UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05628
| Name of Registrant: | Vanguard Malvern Funds | |
| Address of Registrant: |
P.O. Box 2600
Valley Forge, PA 19482 |
|
| Name and address of agent for service: |
Anne E. Robinson, Esquire
P.O. Box 876 Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: September 30
Date of reporting period: October 1, 2019—September 30, 2020
Item 1: Reports to Shareholders
| Annual Report | September 30, 2020 |
| Vanguard U.S. Value Fund |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| Your Fund’s Performance at a Glance | 1 |
| Advisor’s Report | 2 |
| About Your Fund’s Expenses | 4 |
| Performance Summary | 6 |
| Financial Statements | 8 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
· Vanguard U.S. Value Fund posted a return of –10.97% for the 12 months ended September 30, 2020, below the performance of its benchmark, which returned –5.67%.
· The broad U.S. stock market as measured by the Russell 3000 Index returned 15% during the period. The rebound in global stocks began in March and continued in the third quarter. Massive fiscal and monetary support from governments and central banks, signs of economic healing, and reported progress toward a COVID-19 vaccine all buoyed the markets until September, when investor sentiment soured a little.
· The fund seeks to outperform the Russell 3000 Value Index by investing primarily in stocks of large and midsize companies with attractive valuations and growth prospects relative to their peers.
· Fund performance was held back as value stocks generally lagged their growth brethren. Energy was the only sector that contributed positively to relative performance. Industrial, real estate, and materials stocks detracted most.
Market Barometer
|
Average Annual Total Returns Periods Ended September 30, 2020 |
||||
| One Year | Three Years | Five Years | ||
| Stocks | ||||
| Russell 1000 Index (Large-caps) | 16.01% | 12.38% | 14.09% | |
| Russell 2000 Index (Small-caps) | 0.39 | 1.77 | 8.00 | |
| Russell 3000 Index (Broad U.S. market) | 15.00 | 11.65 | 13.69 | |
| FTSE All-World ex US Index (International) | 3.55 | 1.50 | 6.49 | |
| Bonds | ||||
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 6.98% | 5.24% | 4.18% | |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 4.09 | 4.28 | 3.84 | |
| FTSE Three-Month U.S. Treasury Bill Index | 1.02 | 1.65 | 1.15 | |
| CPI | ||||
| Consumer Price Index | 1.37% | 1.79% | 1.81% | |
1
Advisor’s Report
For the 12 months ended September 30, 2020, Vanguard U.S. Value Fund posted a return of about –11%, well below the return of its benchmark, the Russell 3000 Value Index.
Investment environment
After a sharp, pandemic-related decline earlier in 2020, global stocks began a rebound in March that continued into the third quarter. Massive fiscal and monetary support from governments and central banks, signs of economic healing, and reported progress toward a COVID-19 vaccine all buoyed the markets. Investor sentiment soured and volatility returned in September, though, amid stretched valuations in the technology sector, a resurgence in coronavirus infections in some regions, and dimmer chances of a new government aid package in the United States.
In the U.S., where the fund concentrates its investments, large-capitalization stocks outpaced mid- and small-caps, and growth stocks again returned more than value stocks. In the global bond market, the pandemic led to a wave of issuance, which drove up supply, but demand held up fairly well. Yields ended the quarter little changed.
Investment objective and strategy
Although it’s important to understand how overall performance is affected by macroeconomic factors, our strategy focuses on company-specific fundamentals. Our stock selection model evaluates companies in our investment universe to identify those with attractive characteristics that we believe will outperform over the long run.
To do this, we use a strict quantitative process that focuses on a combination of five themes or decision models: high quality—healthy balance sheets and consistent cash-flow generation; effective use of capital by management—sound investment policies that favor internal over external funding; consistent earnings growth—a demonstrated ability to grow earnings year after year; strong market sentiment—market confirmation of our view; and reasonable valuation—avoidance of overpriced stocks.
The interaction of these themes generates an opinion on all the stocks in our universe each day. Using the results of our model, we then construct our portfolio with the goal of maximizing expected return while minimizing exposure to risks that our research indicates do not improve returns, such as industry selection and other risks relative to our benchmark.
Our successes and failures
Against this backdrop, the fund’s tilt toward attractively valued companies relative to the benchmark held back returns. Our growth and momentum models aided performance, but our valuation, quality, and management-decision models more than offset those advantages. Ten of the fund’s 11 industry sectors detracted from relative results. Energy added to performance; industrials, real estate, and materials were the biggest detractors.
2
At the individual holding level, the portfolio benefited from information technology stocks Lam Research and Dell, as well as health care companies Abbott Laboratories, Amgen, and Anthem. The greatest shortfalls came from Capital One, Equitable Holdings, and Hanover in financials and Devon Energy and Chevron in energy.
As with any other form of active equity strategy, ours are designed to deliver long-term outperformance. We continue to believe that constructing a portfolio focused on the fundamentals we’ve described will benefit investors over the long term, although we recognize that markets can reward or punish us in the near term. We believe the fund offers a strong mix of stocks with attractive valuation and growth characteristics.
Portfolio Managers:
James P. Stetler
Binbin Guo, Principal, Head of Alpha Equity Investments
Vanguard Quantitative Equity Group
October 15, 2020
3
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
4
Six Months Ended September 30, 2020
| Beginning | Ending | Expenses | |
| U.S. Value Fund | Account Value | Account Value | Paid During |
| 3/31/2020 | 9/30/2020 | Period | |
| Based on Actual Fund Return | $1,000.00 | $1,201.70 | $1.21 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,023.90 | 1.11 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.22%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).
5
U.S. Value Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 30, 2010, Through September 30, 2020
Initial Investment of $10,000
| Average Annual Total Returns | ||||||
| Periods Ended September 30, 2020 | ||||||
| Final Value | ||||||
| One | Five | Ten | of a $10,000 | |||
| Year | Years | Years | Investment | |||
|
U.S. Value Fund | -10.97% | 4.51% | 9.35% | $24,440 | |
|
Russell 3000 Value Index | -5.67 | 7.43 | 9.75 | 25,352 | |
|
Dow Jones U.S. Total Stock Market Float Adjusted Index | 14.77 | 13.60 | 13.43 | 35,263 | |
See Financial Highlights for dividend and capital gains information.
6
U.S. Value Fund
Fund Allocation
As of September 30, 2020
| Communication Services | 9.2% |
| Consumer Discretionary | 7.9 |
| Consumer Staples | 8.1 |
| Energy | 3.8 |
| Financials | 18.6 |
| Health Care | 14.3 |
| Industrials | 13.2 |
| Information Technology | 9.6 |
| Materials | 4.7 |
| Real Estate | 4.6 |
| Utilities | 6.0 |
The table reflects the fund's investments, except for short term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
7
U.S. Value Fund
Financial Statements
Schedule of Investments
As of September 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| Market | ||||||||
| Value• | ||||||||
| Shares | ($000) | |||||||
| Common Stocks (99.6%) | ||||||||
| Communication Services (9.2%) | ||||||||
| Verizon Communications Inc. | 346,342 | 20,604 | ||||||
| * | Alphabet Inc. Class C | 8,111 | 11,920 | |||||
| AT&T Inc. | 399,279 | 11,383 | ||||||
| Walt Disney Co. | 88,761 | 11,014 | ||||||
| Comcast Corp. Class A | 215,158 | 9,953 | ||||||
| Activision Blizzard Inc. | 79,914 | 6,469 | ||||||
| * | Discovery Inc. Class A | 287,571 | 6,260 | |||||
| CenturyLink Inc. | 379,332 | 3,827 | ||||||
| News Corp. Class A | 167,162 | 2,344 | ||||||
| * | Alphabet Inc. Class A | 1,310 | 1,920 | |||||
| * | Take-Two Interactive Software Inc. | 9,935 | 1,641 | |||||
| * | Liberty Broadband Corp. Class A | 10,306 | 1,462 | |||||
| * | Zynga Inc. Class A | 127,679 | 1,164 | |||||
| * | Lions Gate Entertainment Corp. Class A | 105,557 | 1,001 | |||||
| * | Cars.com Inc. | 104,591 | 845 | |||||
| * | Pinterest Inc. Class A | 16,519 | 686 | |||||
| News Corp. Class B | 47,604 | 666 | ||||||
| * | MSG Networks Inc. | 53,922 | 516 | |||||
| 93,675 | ||||||||
| Consumer Discretionary (7.8%) | ||||||||
| Home Depot Inc. | 45,075 | 12,518 | ||||||
| McDonald’s Corp. | 29,749 | 6,530 | ||||||
| Yum! Brands Inc. | 64,705 | 5,908 | ||||||
| Target Corp. | 34,821 | 5,481 | ||||||
| Whirlpool Corp. | 27,555 | 5,067 | ||||||
| Service Corp. International | 101,195 | 4,268 | ||||||
| * | frontdoor Inc. | 92,288 | 3,591 | |||||
| * | Meritage Homes Corp. | 31,680 | 3,497 | |||||
| Best Buy Co. Inc. | 28,463 | 3,168 | ||||||
| Papa John’s International Inc. | 35,971 | 2,960 | ||||||
| Gentex Corp. | 93,822 | 2,416 | ||||||
| Brunswick Corp. | 37,094 | 2,185 | ||||||
| Aaron’s Inc. | 35,982 | 2,038 | ||||||
| eBay Inc. | 37,984 | 1,979 | ||||||
| Rent-A-Center Inc. | 65,593 | 1,961 | ||||||
| Yum China Holdings Inc. | 27,358 | 1,449 | ||||||
| * | Laureate Education Inc. Class A | 107,173 | 1,423 | |||||
| Thor Industries Inc. | 13,268 | 1,264 | ||||||
| * | Caesars Entertainment Inc. | 20,658 | 1,158 | |||||
| * | Murphy USA Inc. | 7,713 | 989 | |||||
| Ford Motor Co. | 141,005 | 939 | ||||||
| Kontoor Brands Inc. | 37,930 | 918 | ||||||
| * | Nautilus Inc. | 52,172 | 895 | |||||
| *,^ | GameStop Corp. Class A | 85,501 | 872 | |||||
| Standard Motor Products Inc. | 15,310 | 684 | ||||||
| ODP Corp. | 35,126 | 683 | ||||||
| * | American Axle & Manufacturing Holdings Inc. | 113,404 | 654 | |||||
| * | CarParts.com Inc. | 58,436 | 632 | |||||
| * | Hibbett Sports Inc. | 15,542 | 610 | |||||
| * | M/I Homes Inc. | 12,968 | 597 | |||||
| H&R Block Inc. | 35,850 | 584 | ||||||
| * | Lakeland Industries Inc. | 26,615 | 527 | |||||
| * | Tupperware Brands Corp. | 25,067 | 505 | |||||
| * | Turtle Beach Corp. | 27,228 | 495 | |||||
| Big Lots Inc. | 11,047 | 493 | ||||||
| 79,938 | ||||||||
| Consumer Staples (8.1%) | ||||||||
| Walmart Inc. | 135,016 | 18,890 | ||||||
| Procter & Gamble Co. | 129,202 | 17,958 | ||||||
| Altria Group Inc. | 199,533 | 7,710 | ||||||
| Campbell Soup Co. | 144,149 | 6,972 | ||||||
| Kraft Heinz Co. | 199,620 | 5,979 | ||||||
| Philip Morris International Inc. | 78,180 | 5,863 | ||||||
| General Mills Inc. | 79,593 | 4,909 | ||||||
| Coca-Cola Co. | 68,343 | 3,374 | ||||||
| * | TreeHouse Foods Inc. | 80,686 | 3,270 | |||||
| * | Edgewell Personal Care Co. | 92,920 | 2,591 | |||||
| Kimberly-Clark Corp. | 13,904 | 2,053 | ||||||
8
U.S. Value Fund
| Market | ||||||||
| Value• | ||||||||
| Shares | ($000) | |||||||
| * | Hain Celestial Group Inc. | 53,842 | 1,847 | |||||
| Casey’s General Stores Inc. | 4,733 | 841 | ||||||
| Conagra Brands Inc. | 21,962 | 784 | ||||||
| 83,041 | ||||||||
| Energy (3.8%) | ||||||||
| Exxon Mobil Corp. | 340,073 | 11,675 | ||||||
| Chevron Corp. | 161,410 | 11,621 | ||||||
| * | Green Plains Inc. | 130,559 | 2,021 | |||||
| DHT Holdings Inc. | 374,934 | 1,935 | ||||||
| ConocoPhillips | 48,616 | 1,596 | ||||||
| Schlumberger Ltd. | 81,380 | 1,266 | ||||||
| National Oilwell Varco Inc. | 128,979 | 1,169 | ||||||
| Halliburton Co. | 81,944 | 987 | ||||||
| Devon Energy Corp. | 99,936 | 945 | ||||||
| * | Magnolia Oil & Gas Corp. Class A | 160,872 | 832 | |||||
| Teekay Tankers Ltd. Class A | 75,174 | 815 | ||||||
| World Fuel Services Corp. | 36,145 | 766 | ||||||
| Apache Corp. | 77,177 | 731 | ||||||
| Range Resources Corp. | 77,639 | 514 | ||||||
| Williams Cos. Inc. | 25,068 | 493 | ||||||
| Kinder Morgan Inc. | 39,251 | 484 | ||||||
| Targa Resources Corp. | 33,540 | 471 | ||||||
| * | Oceaneering International Inc. | 129,680 | 456 | |||||
| 38,777 | ||||||||
| Financials (18.6%) | ||||||||
| * | Berkshire Hathaway Inc. Class B | 134,782 | 28,700 | |||||
| JPMorgan Chase & Co. | 234,426 | 22,568 | ||||||
| Bank of America Corp. | 506,324 | 12,197 | ||||||
| Citigroup Inc. | 272,501 | 11,748 | ||||||
| Morgan Stanley | 208,739 | 10,093 | ||||||
| Allstate Corp. | 92,289 | 8,688 | ||||||
| Intercontinental Exchange Inc. | 71,643 | 7,168 | ||||||
| MetLife Inc. | 185,963 | 6,912 | ||||||
| Hanover Insurance Group Inc. | 55,312 | 5,154 | ||||||
| CME Group Inc. | 29,376 | 4,915 | ||||||
| Synchrony Financial | 182,059 | 4,764 | ||||||
| Navient Corp. | 554,780 | 4,688 | ||||||
| Progressive Corp. | 43,671 | 4,134 | ||||||
| Regions Financial Corp. | 353,642 | 4,077 | ||||||
| Wells Fargo & Co. | 166,921 | 3,924 | ||||||
| Associated Banc-Corp | 304,678 | 3,845 | ||||||
| FNB Corp. | 545,487 | 3,698 | ||||||
| CNO Financial Group Inc. | 217,680 | 3,492 | ||||||
| S&P Global Inc. | 8,382 | 3,023 | ||||||
| OFG Bancorp | 238,710 | 2,974 | ||||||
| Bank of New York Mellon Corp. | 83,275 | 2,860 | ||||||
| Fifth Third Bancorp | 130,605 | 2,785 | ||||||
| Flagstar Bancorp Inc. | 90,710 | 2,688 | ||||||
| Equitable Holdings Inc. | 133,242 | 2,430 | ||||||
| Erie Indemnity Co. Class A | 10,722 | 2,255 | ||||||
| Primerica Inc. | 15,416 | 1,744 | ||||||
| State Street Corp. | 28,362 | 1,683 | ||||||
| BlackRock Inc. | 2,779 | 1,566 | ||||||
| Interactive Brokers Group Inc. | 30,999 | 1,498 | ||||||
| Universal Insurance Holdings Inc. | 95,517 | 1,322 | ||||||
| * | Brighthouse Financial Inc. | 46,144 | 1,242 | |||||
| Hilltop Holdings Inc. | 60,281 | 1,241 | ||||||
| * | Enova International Inc. | 71,986 | 1,180 | |||||
| * | Cannae Holdings Inc. | 30,209 | 1,126 | |||||
| Cowen Inc. Class A | 68,280 | 1,111 | ||||||
| Cboe Global Markets Inc. | 12,393 | 1,087 | ||||||
| * | NMI Holdings Inc. Class A | 51,355 | 914 | |||||
| Artisan Partners Asset Management Inc. Class A | 22,143 | 863 | ||||||
| First Horizon National Corp. | 84,675 | 798 | ||||||
| Aflac Inc. | 21,462 | 780 | ||||||
| Virtu Financial Inc. Class A | 28,969 | 667 | ||||||
| Popular Inc. | 18,122 | 657 | ||||||
| Unum Group | 32,072 | 540 | ||||||
| Cullen/Frost Bankers Inc. | 7,145 | 457 | ||||||
| 190,256 | ||||||||
| Health Care (14.2%) | ||||||||
| Johnson & Johnson | 194,880 | 29,014 | ||||||
| Abbott Laboratories | 112,721 | 12,267 | ||||||
| Pfizer Inc. | 310,178 | 11,384 | ||||||
| Anthem Inc. | 37,625 | 10,106 | ||||||
| Merck & Co. Inc. | 99,186 | 8,227 | ||||||
| * | IQVIA Holdings Inc. | 50,600 | 7,976 | |||||
| Danaher Corp. | 34,801 | 7,494 | ||||||
| Medtronic plc | 58,978 | 6,129 | ||||||
| Cigna Corp. | 35,813 | 6,067 | ||||||
| HCA Healthcare Inc. | 48,550 | 6,053 | ||||||
| Cardinal Health Inc. | 123,980 | 5,821 | ||||||
| * | DaVita Inc. | 62,808 | 5,379 | |||||
| Becton Dickinson and Co. | 16,755 | 3,899 | ||||||
| CVS Health Corp. | 61,761 | 3,607 | ||||||
| McKesson Corp. | 23,557 | 3,508 | ||||||
| * | Biogen Inc. | 10,803 | 3,065 | |||||
| * | Syneos Health Inc. | 56,081 | 2,981 | |||||
| Eli Lilly and Co. | 18,858 | 2,791 | ||||||
| * | Medpace Holdings Inc. | 19,372 | 2,165 | |||||
| * | Tenet Healthcare Corp. | 71,736 | 1,758 | |||||
| Thermo Fisher Scientific Inc. | 3,582 | 1,582 | ||||||
| *,^ | AMAG Pharmaceuticals Inc. | 152,361 | 1,432 | |||||
| Gilead Sciences Inc. | 21,156 | 1,337 | ||||||
| * | Pacific Biosciences of California Inc. | 81,602 | 805 | |||||
9
U.S. Value Fund
| Market | ||||||||
| Value• | ||||||||
| Shares | ($000) | |||||||
| *,^ | Precigen Inc. | 97,922 | 343 | |||||
| *,^ | Mallinckrodt plc | 264,465 | 257 | |||||
| 145,447 | ||||||||
| Industrials (13.2%) | ||||||||
| General Electric Co. | 1,508,971 | 9,401 | ||||||
| Deere & Co. | 37,779 | 8,373 | ||||||
| Masco Corp. | 135,395 | 7,464 | ||||||
| WW Grainger Inc. | 20,120 | 7,178 | ||||||
| Honeywell International Inc. | 43,207 | 7,112 | ||||||
| Expeditors International of Washington Inc. | 76,939 | 6,965 | ||||||
| Lockheed Martin Corp. | 17,409 | 6,673 | ||||||
| Landstar System Inc. | 45,810 | 5,749 | ||||||
| * | Colfax Corp. | 173,252 | 5,433 | |||||
| Kansas City Southern | 27,113 | 4,903 | ||||||
| * | GMS Inc. | 201,515 | 4,856 | |||||
| * | Builders FirstSource Inc. | 142,824 | 4,659 | |||||
| United Parcel Service Inc. Class B | 26,180 | 4,362 | ||||||
| Northrop Grumman Corp. | 12,028 | 3,795 | ||||||
| * | United Rentals Inc. | 19,048 | 3,324 | |||||
| UFP Industries Inc. | 55,726 | 3,149 | ||||||
| Owens Corning | 44,119 | 3,036 | ||||||
| Union Pacific Corp. | 14,012 | 2,759 | ||||||
| Illinois Tool Works Inc. | 13,460 | 2,601 | ||||||
| CSX Corp. | 28,063 | 2,180 | ||||||
| CoreLogic Inc. | 30,213 | 2,044 | ||||||
| Boeing Co. | 12,072 | 1,995 | ||||||
| Nordson Corp. | 9,759 | 1,872 | ||||||
| * | Foundation Building Materials Inc. | 112,651 | 1,771 | |||||
| Deluxe Corp. | 68,483 | 1,762 | ||||||
| Emerson Electric Co. | 24,857 | 1,630 | ||||||
| Southwest Airlines Co. | 43,185 | 1,619 | ||||||
| Herman Miller Inc. | 51,222 | 1,545 | ||||||
| Werner Enterprises Inc. | 35,515 | 1,491 | ||||||
| Pentair plc | 31,818 | 1,456 | ||||||
| Johnson Controls International plc | 33,913 | 1,385 | ||||||
| General Dynamics Corp. | 9,286 | 1,285 | ||||||
| Stanley Black & Decker Inc. | 7,923 | 1,285 | ||||||
| Nielsen Holdings plc | 84,125 | 1,193 | ||||||
| Trane Technologies plc | 9,547 | 1,158 | ||||||
| Rockwell Automation Inc. | 5,060 | 1,117 | ||||||
| * | FTI Consulting Inc. | 10,531 | 1,116 | |||||
| Schneider National Inc. Class B | 37,076 | 917 | ||||||
| * | Generac Holdings Inc. | 4,287 | 830 | |||||
| 3M Co. | 5,152 | 825 | ||||||
| Steelcase Inc. Class A | 67,382 | 681 | ||||||
| Rush Enterprises Inc. Class A | 10,480 | 530 | ||||||
| Franklin Electric Co. Inc. | 8,963 | 527 | ||||||
| Raytheon Technologies Corp. | 9,156 | 527 | ||||||
| * | Echo Global Logistics Inc. | 20,170 | 520 | |||||
| 135,053 | ||||||||
| Information Technology (9.4%) | ||||||||
| Intel Corp. | 361,897 | 18,739 | ||||||
| HP Inc. | 378,484 | 7,187 | ||||||
| * | Synaptics Inc. | 81,818 | 6,580 | |||||
| Booz Allen Hamilton Holding Corp. Class A | 77,148 | 6,402 | ||||||
| Cisco Systems Inc. | 156,542 | 6,166 | ||||||
| * | CACI International Inc. Class A | 28,803 | 6,140 | |||||
| Oracle Corp. | 102,080 | 6,094 | ||||||
| * | Dell Technologies Inc. | 73,066 | 4,946 | |||||
| * | Synopsys Inc. | 16,895 | 3,615 | |||||
| NortonLifeLock Inc. | 162,605 | 3,389 | ||||||
| International Business Machines Corp. | 27,748 | 3,376 | ||||||
| Western Digital Corp. | 77,846 | 2,845 | ||||||
| * | Amkor Technology Inc. | 253,378 | 2,838 | |||||
| * | Autodesk Inc. | 9,649 | 2,229 | |||||
| Avnet Inc. | 74,531 | 1,926 | ||||||
| Jabil Inc. | 46,868 | 1,606 | ||||||
| * | Lumentum Holdings Inc. | 20,324 | 1,527 | |||||
| Texas Instruments Inc. | 10,365 | 1,480 | ||||||
| * | eGain Corp. | 81,487 | 1,155 | |||||
| Plantronics Inc. | 97,122 | 1,150 | ||||||
| * | Cardtronics plc Class A | 48,121 | 953 | |||||
| * | NeoPhotonics Corp. | 123,853 | 754 | |||||
| * | Crowdstrike Holdings Inc. Class A | 4,835 | 664 | |||||
| * | NETGEAR Inc. | 21,037 | 648 | |||||
| * | Diebold Nixdorf Inc. | 80,698 | 616 | |||||
| Microchip Technology Inc. | 5,748 | 591 | ||||||
| * | MACOM Technology Solutions Holdings Inc. | 16,800 | 571 | |||||
| * | SMART Global Holdings Inc. | 19,447 | 532 | |||||
| * | CommScope Holding Co.Inc. | 52,976 | 477 | |||||
| * | Ciena Corp. | 9,147 | 363 | |||||
| 95,559 | ||||||||
| Materials (4.7%) | ||||||||
| Linde plc | 34,375 | 8,186 | ||||||
| * | Element Solutions Inc. | 545,942 | 5,738 | |||||
| Corteva Inc. | 195,308 | 5,627 | ||||||
| Ecolab Inc. | 23,939 | 4,784 | ||||||
| International Paper Co. | 115,361 | 4,677 | ||||||
| DuPont de Nemours Inc. | 67,910 | 3,768 | ||||||
| Royal Gold Inc. | 29,749 | 3,575 | ||||||
| Boise Cascade Co. | 62,143 | 2,481 | ||||||
| Sensient Technologies Corp. | 35,618 | 2,056 | ||||||
10
U.S. Value Fund
| Market | ||||||||
| Value• | ||||||||
| Shares | ($000) | |||||||
| * | Crown Holdings Inc. | 26,414 | 2,030 | |||||
| Reliance Steel & Aluminum Co. | 18,400 | 1,877 | ||||||
| * | Coeur Mining Inc. | 216,550 | 1,598 | |||||
| Commercial Metals Co. | 78,854 | 1,575 | ||||||
| 47,972 | ||||||||
| Real Estate (4.6%) | ||||||||
| SBA Communications | ||||||||
| Corp. Class A | 20,106 | 6,403 | ||||||
| Sabra Health Care REIT Inc. | 439,845 | 6,063 | ||||||
| Weyerhaeuser Co. | 192,805 | 5,499 | ||||||
| Iron Mountain Inc. | 203,879 | 5,462 | ||||||
| Gaming and Leisure Properties Inc. | 143,614 | 5,304 | ||||||
| SL Green Realty Corp. | 89,919 | 4,170 | ||||||
| PotlatchDeltic Corp. | 80,907 | 3,406 | ||||||
| Brandywine Realty Trust | 177,670 | 1,837 | ||||||
| CoreCivic Inc. | 219,513 | 1,756 | ||||||
| Omega Healthcare Investors Inc. | 55,596 | 1,665 | ||||||
| VICI Properties Inc. | 56,851 | 1,329 | ||||||
| * | Realogy Holdings Corp. | 123,463 | 1,165 | |||||
| GEO Group Inc. | 101,057 | 1,146 | ||||||
| Regency Centers Corp. | 20,257 | 770 | ||||||
| Spirit Realty Capital Inc. | 19,507 | 658 | ||||||
| CyrusOne Inc. | 7,105 | 498 | ||||||
| 47,131 | ||||||||
| Utilities (6.0%) | ||||||||
| Southern Co. | 193,660 | 10,500 | ||||||
| Exelon Corp. | 253,783 | 9,075 | ||||||
| Sempra Energy | 58,507 | 6,925 | ||||||
| NextEra Energy Inc. | 14,593 | 4,050 | ||||||
| Vistra Corp. | 214,450 | 4,045 | ||||||
| Dominion Energy Inc. | 43,536 | 3,436 | ||||||
| Consolidated Edison Inc. | 42,895 | 3,337 | ||||||
| FirstEnergy Corp. | 97,516 | 2,800 | ||||||
| Hawaiian Electric Industries Inc. | 78,680 | 2,615 | ||||||
| Evergy Inc. | 51,431 | 2,614 | ||||||
| Ameren Corp. | 29,056 | 2,298 | ||||||
| CenterPoint Energy Inc. | 109,846 | 2,126 | ||||||
| Entergy Corp. | 20,307 | 2,001 | ||||||
| Clearway Energy Inc. Class A | 65,522 | 1,618 | ||||||
| PNM Resources Inc. | 29,761 | 1,230 | ||||||
| AES Corp. | 66,465 | 1,204 | ||||||
| NRG Energy Inc. | 31,914 | 981 | ||||||
| 60,855 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $909,560) | 1,017,704 | |||||||
| Temporary Cash Investments (0.7%) | ||||||||
| Money Market Fund (0.7%) | ||||||||
| 1,2 | Vanguard Market Liquidity Fund, 0.117% | 68,455 | 6,845 | |||||
| Face | ||||||||
| Amount | ||||||||
| ($000) | ||||||||
| U.S. Government and Agency Obligations (0.0%) | ||||||||
| 3 | United States Cash Management Bill,0.146%,12/15/20 | 500 | 500 | |||||
|
Total
Temporary Cash Investments
(Cost $7,345) |
7,345 | |||||||
|
Total
Investments (100.3%)
(Cost $916,905) |
1,025,049 | |||||||
| Other Assets and Liabilities—Net (-0.3%) | (2,871) | |||||||
| Net Assets (100%) | 1,022,178 | |||||||
Cost is in $000.
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,396,000. |
| 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 | Collateral of $2,579,000 was received for securities on loan. |
| 3 | Securities with a value of $417,000 have been segregated as initial margin for open futures contracts. |
| REIT—Real Estate Investment Trust. |
11
U.S. Value Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | December 2020 | 31 | 5,196 | 8 |
See accompanying Notes, which are an integral part of the Financial Statements.
12
U.S. Value Fund
Statement of Assets and Liabilities
As of September 30, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $910,060) | 1,018,204 |
| Affiliated Issuers (Cost $6,845) | 6,845 |
| Total Investments in Securities | 1,025,049 |
| Investment in Vanguard | 45 |
| Receivables for Accrued Income | 1,124 |
| Receivables for Capital Shares Issued | 121 |
| Variation Margin Receivable—Futures Contracts | 29 |
| Total Assets | 1,026,368 |
| Liabilities | |
| Due to Custodian | 48 |
| Collateral for Securities on Loan | 2,579 |
| Payables for Capital Shares Redeemed | 1,445 |
| Payables to Vanguard | 118 |
| Total Liabilities | 4,190 |
| Net Assets | 1,022,178 |
| At September 30, 2020, net assets consisted of: | |
| Paid-in Capital | 977,057 |
| Total Distributable Earnings (Loss) | 45,121 |
| Net Assets | 1,022,178 |
| Net Assets | |
| Applicable to 65,731,975 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,022,178 |
| Net Asset Value Per Share | $15.55 |
See accompanying Notes, which are an integral part of the Financial Statements.
13
U.S. Value Fund
Statement of Operations
| Year Ended | ||
| September 30, 2020 | ||
| ($000) | ||
| Investment Income | ||
| Income | ||
| Dividends | 31,374 | |
| Interest1 | 50 | |
| Securities Lending—Net | 677 | |
| Total Income | 32,101 | |
| Expenses | ||
| The Vanguard Group—Note B | ||
| Investment Advisory Services | 966 | |
| Management and Administrative | 1,528 | |
| Marketing and Distribution | 132 | |
| Custodian Fees | 12 | |
| Auditing Fees | 30 | |
| Shareholders’ Reports | 27 | |
| Trustees’ Fees and Expenses | 1 | |
| Total Expenses | 2,696 | |
| Net Investment Income | 29,405 | |
| Realized Net Gain (Loss) | ||
| Investment Securities Sold1 | (81,417) | |
| Futures Contracts | 849 | |
| Realized Net Gain (Loss) | (80,568) | |
| Change in Unrealized Appreciation (Depreciation) | ||
| Investment Securities1 | (95,642) | |
| Futures Contracts | 72 | |
| Change in Unrealized Appreciation (Depreciation) | (95,570) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (146,733) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $45,000, ($3,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
U.S. Value Fund
Statement of Changes in Net Assets
| Year Ended September 30, | |||
| 2020 | 2019 | ||
| ($000) | ($000) | ||
| Increase (Decrease) in Net Assets | |||
| Operations | |||
| Net Investment Income | 29,405 | 36,380 | |
| Realized Net Gain (Loss) | (80,568) | 11,842 | |
| Change in Unrealized Appreciation (Depreciation) | (95,570) | (106,148) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (146,733) | (57,926) | |
| Distributions1 | |||
| Total Distributions | (47,673) | (103,313) | |
| Capital Share Transactions | |||
| Issued | 224,508 | 184,404 | |
| Issued in Lieu of Cash Distributions | 44,434 | 96,928 | |
| Redeemed | (499,737) | (364,718) | |
| Net Increase (Decrease) from Capital Share Transactions | (230,795) | (83,386) | |
| Total Increase (Decrease) | (425,201) | (244,625) | |
| Net Assets | |||
| Beginning of Period | 1,447,379 | 1,692,004 | |
| End of Period | 1,022,178 | 1,447,379 | |
| 1 | Certain prior-period numbers have been reclassified to conform with the current-period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
U.S. Value Fund
Financial Highlights
| For a Share Outstanding | Year Ended September 30, | ||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $18.04 | $20.03 | $19.63 | $17.25 | $16.48 |
| Investment Operations | |||||
| Net Investment Income | .3941 | .4321 | .3731 | .4371 | .440 |
| Net Realized and Unrealized Gain (Loss) on Investments | (2.275) | (1.176) | 1.563 | 2.606 | 1.341 |
| Total from Investment Operations | (1.881) | (.744) | 1.936 | 3.043 | 1.781 |
| Distributions | |||||
| Dividends from Net Investment Income | (.431) | (.389) | (.382) | (.386) | (.358) |
| Distributions from Realized Capital Gains | (.178) | (.857) | (1.154) | (.277) | (.653) |
| Total Distributions | (.609) | (1.246) | (1.536) | (.663) | (1.011) |
| Net Asset Value, End of Period | $15.55 | $18.04 | $20.03 | $19.63 | $17.25 |
| Total Return2 | -10.97% | -2.98% | 10.22% | 17.87% | 11.09% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $1,022 | $1,447 | $1,692 | $1,675 | $1,374 |
| Ratio of Total Expenses to Average Net Assets | 0.22% | 0.22% | 0.22% | 0.23% | 0.23% |
| Ratio of Net Investment Income to Average Net Assets | 2.40% | 2.43% | 1.92% | 2.36% | 2.63% |
| Portfolio Turnover Rate | 54% | 61% | 75% | 95% | 76% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
U.S. Value Fund
Notes to Financial Statements
Vanguard U.S. Value Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. In July 2020, the board of trustees approved an agreement and plan of reorganization whereby Vanguard U.S. Value Fund would be reorganized into Vanguard Value Index Fund. This reorganization requires approval by Vanguard U.S. Value Fund shareholders and will be submitted to shareholders at a special meeting to be held on or about January 22, 2021.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearing-house imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
17
U.S. Value Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
18
U.S. Value Fund
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $45,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
19
U.S. Value Fund
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 1,017,704 | — | — | 1,017,704 |
| Temporary Cash Investments | 6,845 | 500 | — | 7,345 |
| Total | 1,024,549 | 500 | — | 1,025,049 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 29 | — | — | 29 |
1 Represents variation margin on the last day of the reporting period.
D. Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; and the deferral of qualified late-year losses. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | ||
| ($000) | ||
| Undistributed Ordinary Income | 19,973 | |
| Undistributed Long-Term Gains | — | |
| Capital Loss Carryforwards | — | |
| Qualified Late-Year Losses | (82,996) | |
| Net Unrealized Gains (Losses) | 108,144 |
The tax character of distributions paid was as follows:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Amount | Amount | |
| ($000) | ($000) | |
| Ordinary Income* | 33,730 | 32,254 |
| Long-Term Capital Gains | 13,943 | 71,059 |
| Total | 47,673 | 103,313 |
| * | Includes short-term capital gains, if any. |
20
U.S. Value Fund
As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | ||
| ($000) | ||
| Tax Cost | 916,905 | |
| Gross Unrealized Appreciation | 187,584 | |
| Gross Unrealized Depreciation | (79,440) | |
| Net Unrealized Appreciation (Depreciation) | 108,144 |
E. During the year ended September 30, 2020, the fund purchased $657,790,000 of investment securities and sold $902,410,000 of investment securities, other than U.S. government securities and temporary cash investments.
F. Capital shares issued and redeemed were:
| Year Ended September 30, | |||
| 2020 | 2019 | ||
| Shares | Shares | ||
| (000) | (000) | ||
| Issued | 14,745 | 10,484 | |
| Issued in Lieu of Cash Distributions | 2,397 | 6,009 | |
| Redeemed | (31,647) | (20,731) | |
| Net Increase (Decrease) in Shares Outstanding | (14,505) | (4,238) | |
G. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
21
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Malvern Funds and Shareholders of Vanguard U.S. Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard U.S. Value Fund (one of the funds constituting Vanguard Malvern Funds, referred to hereafter as the “Fund”) as of September 30, 2020, the related statement of operations for the year ended September 30, 2020, the statement of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the five years in the period ended September 30, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 12, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
22
Special 2020 tax information (unaudited) for Vanguard U.S. Value Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $13,943,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
The fund distributed $32,897,000 of qualified dividend income to shareholders during the fiscal year.
The fund distributed $833,000 of qualified business income to shareholders during the fiscal year.
For corporate shareholders, 96.5% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
23
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018– present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufac-turing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020–present), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of the individual life and disability division of Guardian Life. Member of the board of the American Council of Life Insurers and the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Deputy assistant to the President of the United States (2015).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
| Joseph Brennan | James M. Norris | |
| Mortimer J. Buckley | Thomas M. Rampulla | |
| Gregory Davis | Karin A. Risi | |
| John James | Anne E. Robinson | |
| John T. Marcante | Michael Rollings | |
| Chris D. McIsaac | Lauren Valente |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.
|
© 2020 The Vanguard Group, Inc. All rights reserved. |
|
| Vanguard Marketing Corporation, Distributor. | |
| Q1240 112020 |
| Annual Report | September 30, 2020 |
| Vanguard Short-Term Inflation-Protected Securities Index Fund |
| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| Your Fund’s Performance at a Glance | 1 |
| About Your Fund’s Expenses | 2 |
| Performance Summary | 4 |
| Financial Statements | 7 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
· For the 12 months ended September 30, 2020, returns for Vanguard Short-Term Inflation-Protected Securities Index Fund ranged from 4.64% for Investor Shares to 4.74% for ETF Shares (based on net asset value). The fund’s benchmark, which has no expenses, returned 4.89%.
· The outbreak of the novel coronavirus—and the aggressive efforts to contain it— upended economies and financial markets worldwide during the period. It led to lockdowns, the shuttering of nonessential businesses, and travel restrictions in many countries. Economic activity contracted sharply and unemployment soared.
· Many governments and central banks around the world took emergency action to provide fiscal and monetary support to blunt the impact of the pandemic. The U.S. Federal Reserve slashed its target range for short-term interest rates to 0%–0.25% and began purchasing government, mortgage-backed, and corporate securities to buoy the bond market.
· Those actions, along with greater uncertainty in the markets, contributed to yields of regular Treasuries ending the period significantly lower—and their prices higher.
· Treasury Inflation-Protected Securities (TIPS) performed well as inflation expectations fell sharply but rebounded to finish the period higher. The 5-year break-even inflation rate—considered a measure of the expected annualized rate of inflation over the coming five years—rose to 1.53% at the end of September from 1.34% a year earlier.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended September 30, 2020 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.01% | 12.38% | 14.09% |
| Russell 2000 Index (Small-caps) | 0.39 | 1.77 | 8.00 |
| Russell 3000 Index (Broad U.S. market) | 15.00 | 11.65 | 13.69 |
| FTSE All-World ex US Index (International) | 3.55 | 1.50 | 6.49 |
| Bonds | |||
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 6.98% | 5.24% | 4.18% |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 4.09 | 4.28 | 3.84 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.02 | 1.65 | 1.15 |
| CPI | |||
| Consumer Price Index | 1.37% | 1.79% | 1.81% |
1
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
2
| Six Months Ended September 30, 2020 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Short-Term Inflation-Protected Securities Index Fund | 3/31/2020 | 9/30/2020 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,043.43 | $0.72 |
| ETF Shares | 1,000.00 | 1,043.81 | 0.26 |
| Admiral™ Shares | 1,000.00 | 1,043.57 | 0.31 |
| Institutional Shares | 1,000.00 | 1,043.69 | 0.20 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,024.30 | $0.71 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.25 |
| Admiral Shares | 1,000.00 | 1,024.70 | 0.30 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.20 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Investor Shares, 0.05% for ETF Shares, 0.06% for Admiral Shares, and 0.04% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).
3
Short-Term Inflation-Protected Securities Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: October 16, 2012, Through September 30, 2020
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended September 30, 2020 | |||||
| Since | Final Value | ||||
| One | Five | Inception | of a $10,000 | ||
| Year | Years | (10/16/2012) | Investment | ||
|
Short-Term Inflation-Protected Securities Index Fund Investor Shares | 4.64% | 2.33% | 1.16% | $10,963 |
|
Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0–5 Year Index | 4.89 | 2.48 | 1.27 | 11,059 |
|
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.26 | 12,908 |
“Since Inception” performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.
| Since | Final Value | ||||
| One | Five | Inception | of a $10,000 | ||
| Year | Years | (10/12/2012) | Investment | ||
| Short-Term Inflation-Protected Securities Index Fund ETF Shares Net Asset Value | 4.74% | 2.42% | 1.25% | $11,042 | |
| Short-Term Inflation-Protected Securities Index Fund ETF Shares Market Price Value | 4.76% | 2.41% | 1.26% | 11,050 | |
| Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0–5 Year Index | 4.89 | 2.48 | 1.27 | 11,057 | |
| Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.24 | 12,890 | |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
4
Short-Term Inflation-Protected Securities Index Fund
| Since | Final Value | |||
| One | Five | Inception | of a $5,000,000 | |
| Year | Years | (10/17/2012) | Investment | |
| Short-Term Inflation-Protected Securities Index Fund Institutional Shares | 4.73% | 2.43% | 1.28% | $5,533,750 |
| Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0–5 Year Index | 4.89 | 2.48 | 1.28 | 5,533,166 |
| Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.29 | 6,468,907 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: October 12, 2012, Through September 30, 2020
| Since | |||
| One | Five | Inception | |
| Year | Years | (10/12/2012) | |
| Short-Term Inflation-Protected Securities Index Fund ETF Shares Market Price | 4.76% | 12.67% | 10.50% |
| Short-Term Inflation-Protected Securities Index Fund ETF Shares Net Asset Value | 4.74 | 12.69 | 10.42 |
| Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 0–5 Year Index | 4.89 | 13.04 | 10.57 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
5
Short-Term Inflation-Protected Securities Index Fund
Distribution by Stated Maturity
As of September 30, 2020
| Under 1 Year | 16.1% |
| 1 - 2 Years | 18.8 |
| 2 - 3 Years | 19.9 |
| 3 - 4 Years | 17.8 |
| 4 - 5 Years | 27.3 |
| Over 5 Years | 0.1 |
The table reflects the fund’s investments, except for short-term investments. The fund invests in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
6
Short-Term Inflation-Protected Securities Index Fund
Financial Statements
Schedule of Investments
As of September 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| Face | Market | ||||||||
| Maturity | Amount | Value· | |||||||
| Coupon | Date | ($000) | ($000) | ||||||
| U.S. Government and Agency Obligations (99.4%) | |||||||||
| U.S. Government Securities (99.4%) | |||||||||
| United States Treasury Inflation Indexed Bonds | 1.125% | 1/15/21 | 1,666,865 | 1,985,118 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 1,971,124 | 2,161,940 | |||||
| United States Treasury Inflation Indexed Bonds | 0.625% | 7/15/21 | 1,611,944 | 1,879,145 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/22 | 2,027,211 | 2,355,872 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/22 | 2,189,566 | 2,372,864 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/22 | 2,002,703 | 2,313,577 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 2,265,594 | 2,619,447 | |||||
| United States Treasury Inflation Indexed Bonds | 0.625% | 4/15/23 | 2,054,860 | 2,240,929 | |||||
| United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/23 | 2,220,816 | 2,592,362 | |||||
| United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/24 | 2,140,602 | 2,524,122 | |||||
| United States Treasury Inflation Indexed Bonds | 0.500% | 4/15/24 | 1,545,363 | 1,684,838 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/24 | 2,125,219 | 2,451,294 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 10/15/24 | 1,773,613 | 1,898,891 | |||||
| United States Treasury Inflation Indexed Bonds | 0.250% | 1/15/25 | 2,118,323 | 2,470,818 | |||||
| United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/25 | 1,032,299 | 1,645,990 | |||||
| United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/25 | 1,809,716 | 1,931,053 | |||||
| United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/25 | 1,950,433 | 2,310,498 | |||||
| United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 19,000 | 22,806 | |||||
| United States Treasury Inflation Indexed Bonds | 2.000% | 1/15/26 | 15,000 | 23,045 | |||||
| Total U.S. Government and Agency Obligations (Cost $36,375,539) | 37,484,609 | ||||||||
| Shares | |||||||||
| Temporary Cash Investment (0.4%) | |||||||||
| Money Market Fund (0.4%) | |||||||||
| 1 |
Vanguard Market Liquidity Fund
(Cost $158,646) |
0.117% | 1,586,546 | 158,655 | |||||
| Total Investments (99.8%) (Cost $36,534,185) | 37,643,264 | ||||||||
| Other Assets and Liabilities—Net (0.2%) | 58,027 | ||||||||
| Net Assets (100%) | 37,701,291 | ||||||||
Cost is in $000.
| · | See Note A in Notes to Financial Statements. |
| 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. |
See accompanying Notes, which are an integral part of the Financial Statements.
7
Short-Term Inflation-Protected Securities Index Fund
Statement of Assets and Liabilities
As of September 30, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $36,375,539) | 37,484,609 |
| Affiliated Issuers (Cost $158,646) | 158,655 |
| Total Investments in Securities | 37,643,264 |
| Investment in Vanguard | 1,529 |
| Cash | 136 |
| Receivables for Accrued Income | 39,488 |
| Receivables for Capital Shares Issued | 116,607 |
| Total Assets | 37,801,024 |
| Liabilities | |
| Payables for Investment Securities Purchased | 79,159 |
| Payables for Capital Shares Redeemed | 13,851 |
| Payables for Distributions | 5,399 |
| Payables to Vanguard | 1,324 |
| Total Liabilities | 99,733 |
| Net Assets | 37,701,291 |
8
Short-Term Inflation-Protected Securities Index Fund
| Statement of Assets and Liabilities (continued) | |
| At September 30, 2020, net assets consisted of: | |
| ($000s, except shares and per-share amounts) | Amount |
| Paid-in Capital | 36,640,549 |
| Total Distributable Earnings (Loss) | 1,060,742 |
| Net Assets | 37,701,291 |
| Investor Shares–Net Assets | |
| Applicable to 317,316,436 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,062,779 |
| Net Asset Value Per Share–Investor Shares | $25.41 |
| ETF Shares–Net Assets | |
| Applicable to 180,784,571 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,217,408 |
| Net Asset Value Per Share–ETF Shares | $50.99 |
| Admiral Shares–Net Assets | |
| Applicable to 335,700,643 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,540,708 |
| Net Asset Value Per Share–Admiral Shares | $25.44 |
| Institutional Shares–Net Assets | |
| Applicable to 466,648,508 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,880,396 |
| Net Asset Value Per Share–Institutional Shares | $25.46 |
See accompanying Notes, which are an integral part of the Financial Statements.
9
Short-Term Inflation-Protected Securities Index Fund
Statement of Operations
| Year Ended | |
| September 30, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 422,371 |
| Total Income | 422,371 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 957 |
| Management and Administrative—Investor Shares | 9,332 |
| Management and Administrative—ETF Shares | 2,650 |
| Management and Administrative—Admiral Shares | 3,737 |
| Management and Administrative—Institutional Shares | 3,503 |
| Marketing and Distribution—Investor Shares | 697 |
| Marketing and Distribution—ETF Shares | 446 |
| Marketing and Distribution—Admiral Shares | 561 |
| Marketing and Distribution—Institutional Shares | 402 |
| Custodian Fees | 158 |
| Auditing Fees | 67 |
| Shareholders’ Reports—Investor Shares | 49 |
| Shareholders’ Reports—ETF Shares | 379 |
| Shareholders’ Reports—Admiral Shares | 100 |
| Shareholders’ Reports—Institutional Shares | 6 |
| Trustees’ Fees and Expenses | 20 |
| Total Expenses | 23,064 |
| Net Investment Income | 399,307 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | (13,046) |
| Futures Contracts | (9,046) |
| Realized Net Gain (Loss) | (22,092) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | 1,120,319 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,497,534 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,127,000, $496,000, and $9,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $8,761,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
10
Short-Term Inflation-Protected Securities Index Fund
Statement of Changes in Net Assets
| Year Ended September 30, | ||
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 399,307 | 586,202 |
| Realized Net Gain (Loss) | (22,092) | (47,302) |
| Change in Unrealized Appreciation (Depreciation) | 1,120,319 | 432,416 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,497,534 | 971,316 |
| Distributions1 | ||
| Investor Shares | (89,472) | (129,427) |
| ETF Shares | (50,954) | (125,996) |
| Admiral Shares | (99,255) | (137,254) |
| Institutional Shares | (139,828) | (178,041) |
| Total Distributions | (379,509) | (570,718) |
| Capital Share Transactions | ||
| Investor Shares | 815,588 | 240,591 |
| ETF Shares | 2,047,806 | 1,350,372 |
| Admiral Shares | 952,458 | 709,238 |
| Institutional Shares | 1,568,293 | 1,775,121 |
| Net Increase (Decrease) from Capital Share Transactions | 5,384,145 | 4,075,322 |
| Total Increase (Decrease) | 6,502,170 | 4,475,920 |
| Net Assets | ||
| Beginning of Period | 31,199,121 | 26,723,201 |
| End of Period | 37,701,291 | 31,199,121 |
1 Certain prior-period numbers have been reclassified to conform with the current-period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
11
Short-Term Inflation-Protected Securities Index Fund
Financial Highlights
| Investor Shares | ||||||
| For a Share Outstanding | Year Ended September 30, | |||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | |
| Net Asset Value, Beginning of Period | $24.57 | $24.23 | $24.77 | $24.83 | $24.23 | |
| Investment Operations | ||||||
| Net Investment Income1 | .272 | .483 | .669 | .312 | .080 | |
| Net Realized and Unrealized Gain (Loss) on Investments | .862 | .324 | (.448) | (.237) | .520 | |
| Total from Investment Operations | 1.134 | .807 | .221 | .075 | .600 | |
| Distributions | ||||||
| Dividends from Net Investment Income | (.294) | (.467) | (.761) | (.135) | — | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.294) | (.467) | (.761) | (.135) | — | |
| Net Asset Value, End of Period | $25.41 | $24.57 | $24.23 | $24.77 | $24.83 | |
| Total Return2 | 4.64% | 3.36% | 0.91% | 0.31% | 2.48% | |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $8,063 | $7,014 | $6,679 | $5,904 | $5,088 | |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.14% | 0.15% | 0.16% | |
| Ratio of Net Investment Income to Average Net Assets | 1.09% | 1.98% | 2.73% | 1.26% | 0.42% | |
| Portfolio Turnover Rate3 | 37% | 26% | 25% | 27% | 28% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Short-Term Inflation-Protected Securities Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding | Year Ended September 30, | ||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $49.03 | $48.34 | $49.41 | $49.59 | $48.36 |
| Investment Operations | |||||
| Net Investment Income1 | .634 | 1.003 | 1.358 | .671 | .251 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.677 | .652 | (.869) | (.477) | .979 |
| Total from Investment Operations | 2.311 | 1.655 | .489 | .194 | 1.230 |
| Distributions | |||||
| Dividends from Net Investment Income | (.351) | (.965) | (1.559) | (.374) | — |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.351) | (.965) | (1.559) | (.374) | — |
| Net Asset Value, End of Period | $50.99 | $49.03 | $48.34 | $49.41 | $49.59 |
| Total Return | 4.74% | 3.46% | 1.01% | 0.40% | 2.54% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $9,217 | $6,884 | $5,453 | $3,881 | $2,478 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.27% | 2.07% | 2.81% | 1.35% | 0.51% |
| Portfolio Turnover Rate2 | 37% | 26% | 25% | 27% | 28% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Short-Term Inflation-Protected Securities Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended September 30, | ||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $24.60 | $24.25 | $24.79 | $24.88 | $24.27 |
| Investment Operations | |||||
| Net Investment Income1 | .294 | .500 | .692 | .338 | .149 |
| Net Realized and Unrealized Gain (Loss) on Investments | .860 | .332 | (.450) | (.241) | .461 |
| Total from Investment Operations | 1.154 | .832 | .242 | .097 | .610 |
| Distributions | |||||
| Dividends from Net Investment Income | (.314) | (.482) | (.782) | (.187) | — |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.314) | (.482) | (.782) | (.187) | — |
| Net Asset Value, End of Period | $25.44 | $24.60 | $24.25 | $24.79 | $24.88 |
| Total Return2 | 4.72% | 3.46% | 1.00% | 0.40% | 2.51% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $8,541 | $7,333 | $6,525 | $5,078 | $3,373 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.18% | 2.06% | 2.81% | 1.35% | 0.51% |
| Portfolio Turnover Rate3 | 37% | 26% | 25% | 27% | 28% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Short-Term Inflation-Protected Securities Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended September 30, | ||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $24.62 | $24.27 | $24.81 | $24.90 | $24.28 |
| Investment Operations | |||||
| Net Investment Income1 | .306 | .517 | .696 | .333 | .139 |
| Net Realized and Unrealized Gain (Loss) on Investments | .853 | .319 | (.449) | (.225) | .481 |
| Total from Investment Operations | 1.159 | .836 | .247 | .108 | .620 |
| Distributions | |||||
| Dividends from Net Investment Income | (.319) | (.486) | (.787) | (.198) | — |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.319) | (.486) | (.787) | (.198) | — |
| Net Asset Value, End of Period | $25.46 | $24.62 | $24.27 | $24.81 | $24.90 |
| Total Return | 4.73% | 3.48% | 1.02% | 0.44% | 2.55% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,880 | $9,967 | $8,067 | $6,986 | $5,500 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.22% | 2.08% | 2.83% | 1.37% | 0.54% |
| Portfolio Turnover Rate2 | 37% | 26% | 25% | 27% | 28% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Short-Term Inflation-Protected Securities Index Fund
Notes to Financial Statements
Vanguard Short-Term Inflation-Protected Securities Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at September 30, 2020.
16
Short-Term Inflation-Protected Securities Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
17
Short-Term Inflation-Protected Securities Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $1,529,000, representing less than 0.01% of the fund’s net assets and 0.61% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments as of September 30, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 37,484,609 | — | 37,484,609 |
| Temporary Cash Investments | 158,655 | — | — | 158,655 |
| Total | 158,655 | 37,484,609 | — | 37,643,264 |
18
Short-Term Inflation-Protected Securities Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
| Amount | |
| ($000) | |
| Paid-in Capital | 8,761 |
| Total Distributable Earnings (Loss) | (8,761) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the deferral of losses from straddles; the inclusion of payables for distributions; and the treatment of deflation and amortization adjustments from certain fixed income securities. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | |
| ($000) | |
| Undistributed Ordinary Income | 135,408 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards | (176,382) |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 1,107,115 |
The tax character of distributions paid was as follows:
| Year Ended September 30, | |||
| 2020 | 2019 | ||
| Amount | Amount | ||
| ($000) | ($000) | ||
| Ordinary Income* | 379,509 | 570,718 | |
| Long-Term Capital Gains | — | — | |
| Total | 379,509 | 570,718 | |
* Includes short-term capital gains, if any.
As of September 30, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 36,536,148 |
| Gross Unrealized Appreciation | 1,116,120 |
| Gross Unrealized Depreciation | (9,005) |
| Net Unrealized Appreciation (Depreciation) | 1,107,115 |
19
Short-Term Inflation-Protected Securities Index Fund
E. During the year ended September 30, 2020, the fund purchased $17,943,563,000 of investment securities and sold $13,301,136,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,716,310,000 and $1,191,230,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| Year Ended September 30, | |||||
| 2020 | 2019 | ||||
| Amount | Shares | Amount | Shares | ||
| ($000) | (000) | ($000) | (000) | ||
| Investor Shares | |||||
| Issued | 1,738,945 | 69,825 | 691,395 | 28,334 | |
| Issued in Lieu of Cash Distributions | 89,472 | 3,587 | 129,344 | 5,315 | |
| Redeemed1 | (1,012,829) | (41,545) | (580,148) | (23,840) | |
| Net Increase (Decrease)—Investor Shares | 815,588 | 31,867 | 240,591 | 9,809 | |
| ETF Shares | |||||
| Issued | 3,304,061 | 66,032 | 2,120,465 | 43,511 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (1,256,255) | (25,650) | (770,093) | (15,900) | |
| Net Increase (Decrease)—ETF Shares | 2,047,806 | 40,382 | 1,350,372 | 27,611 | |
| Admiral Shares | |||||
| Issued1 | 3,192,927 | 128,047 | 2,001,963 | 82,149 | |
| Issued in Lieu of Cash Distributions | 88,789 | 3,552 | 125,948 | 5,168 | |
| Redeemed | (2,329,258) | (93,982) | (1,418,673) | (58,249) | |
| Net Increase (Decrease)—Admiral Shares | 952,458 | 37,617 | 709,238 | 29,068 | |
| Institutional Shares | |||||
| Issued | 3,394,284 | 135,886 | 2,596,338 | 106,113 | |
| Issued in Lieu of Cash Distributions | 137,605 | 5,499 | 174,645 | 7,159 | |
| Redeemed | (1,963,596) | (79,604) | (995,862) | (40,784) | |
| Net Increase (Decrease)—Institutional Shares | 1,568,293 | 61,781 | 1,775,121 | 72,488 | |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 2,000 and 2,000 shares, respectively, in the amount of $61,000 from the conversion during the year ended September 30, 2020. Investor Shares—Redeemed and Admiral Shares—Issued include 3,819,000 and 3,815,000 shares, respectively, in the amount of $92,222,000 from the conversion during the year ended September 30, 2019. |
At September 30, 2020, several Vanguard funds and trusts managed by Vanguard or its affiliates were each a record or beneficial owner of the fund, and had combined ownership of 50% of the fund’s net assets. If any of these shareholders were to redeem their investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
20
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Malvern Funds and Shareholders of Vanguard Short-Term Inflation-Protected Securities Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard Short-Term Inflation-Protected Securities Index Fund (one of the funds constituting Vanguard Malvern Funds, referred to hereafter as the “Fund”) as of September 30, 2020, the related statement of operations for the year ended September 30, 2020, the statement of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the five years in the period ended September 30, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 17, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
21
Special 2020 tax information (unaudited) for Vanguard Short-Term Inflation-Protected Securities Index Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
22
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (Tips) 0–5 Year Index (Index or Bloomberg Barclays Index).
Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Short-Term Inflation-Protected Securities Index Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Short-Term Inflation-Protected Securities Index Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Short-Term Inflation-Protected Securities Index Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Short-Term Inflation-Protected Securities Index Fund or the owners of the Short-Term Inflation-Protected Securities Index Fund.
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23
The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Short-Term Inflation-Protected Securities Index Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Short-Term Inflation-Protected Securities Index Fund, investors or other third parties.
NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE SHORT-TERM INFLATION-PROTECTED SECURITIES INDEX FUND.
None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.
© 2020 Bloomberg. Used with Permission.
Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018– present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020–present), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of the individual life and disability division of Guardian Life. Member of the board of the American Council of Life Insurers and the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork- Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Deputy assistant to the President of the United States (2015).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
| Joseph Brennan | James M. Norris | |
| Mortimer J. Buckley | Thomas M. Rampulla | |
| Gregory Davis | Karin A. Risi | |
| John James | Anne E. Robinson | |
| John T. Marcante | Michael Rollings | |
| Chris D. McIsaac | Lauren Valente |
Connect with Vanguard® > vanguard.com
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| © 2020 The Vanguard Group, Inc. | |
| All rights reserved. | |
| U.S. Patent Nos. 6,879,964; 7,337,138; | |
| 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q19670 112020 |
|
Annual Report | September 30, 2020
Vanguard Core Bond Fund
|
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See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
|
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| Your Fund’s Performance at a Glance | 1 |
| Advisor’s Report | 2 |
| About Your Fund’s Expenses | 5 |
| Performance Summary | 7 |
| Financial Statements | 9 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
· Vanguard Core Bond Fund returned 8.95% for Investor Shares and 9.11% for Admiral Shares for the 12 months ended September 30, 2020. Those results exceeded the 7.14% return of its benchmark, the Bloomberg Barclays U.S. Aggregate Float Adjusted Index.
· The COVID-19 pandemic led economic activity to contract sharply and unemployment to spike across much of the globe amid government-mandated lockdowns and social distancing measures. Volatility in the bond markets initially spiked and liquidity eroded, but by the end of the period, bond yields moved significantly lower—and prices higher— as investors turned much more risk-averse.
· The key driver of the fund’s outperformance was its defensive credit exposure in the first quarter, which allowed it to add credit exposure, including emerging-markets bonds, at attractive valuations in March and April. Security selection was another bright spot for the fund, adding value throughout the year, while its allocation to structured products detracted.
· The fund regularly uses derivatives to limit portfolio risks. The fund’s derivatives positions, including both hedges and active positions, boosted performance slightly.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended September 30, 2020 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.01% | 12.38% | 14.09% |
| Russell 2000 Index (Small-caps) | 0.39 | 1.77 | 8.00 |
| Russell 3000 Index (Broad U.S. market) | 15.00 | 11.65 | 13.69 |
| FTSE All-World ex US Index (International) | 3.55 | 1.50 | 6.49 |
| Bonds | |||
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 6.98% | 5.24% | 4.18% |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 4.09 | 4.28 | 3.84 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.02 | 1.65 | 1.15 |
| CPI | |||
| Consumer Price Index | 1.37% | 1.79% | 1.81% |
Advisor’s Report
For the 12 months ended September 30, 2020, Vanguard Core Bond Fund returned 8.95% for Investor Shares and 9.11% for Admiral Shares. It outpaced its benchmark, the Bloomberg Barclays U.S. Aggregate Float Adjusted Index, which returned 7.14%.
The investment environment
The outbreak of the novel coronavirus in early 2020––and the aggressive efforts to contain it––defined the period, upending economies and financial markets worldwide. As the pandemic spread, crude oil prices sank, trade and travel restrictions multiplied, non-essential businesses were shuttered, and unemployment spiked.
Many governments and central banks around the world took emergency action in the form of fiscal and monetary stimulus to blunt the pandemic’s impact on economic activity, jobs, and the functioning of the credit markets. In the United States, Congress passed bills providing aid to state and local governments, companies, and workers. The U.S. Federal Reserve cut the federal funds target range to near zero and began buying hundreds of billions of dollars’ worth of government bonds, mortgage-backed securities, and corporate bonds.
At the height of investor pessimism in March, volatility spiked and liquidity eroded in the bond market. Yields nevertheless ended the 12-month period significantly lower—and prices higher—as investors sought out safer assets. The yield of the 2-year U.S. Treasury note fell 149 basis points over the period to 0.13%. (A basis point is one-hundredth of a percentage point.) Longer-term Treasury yields also declined, with many investors seeking less risky assets. Longer-term yields fell less, but they still declined significantly: The yield of the bellwether 10-year Treasury note ended the period down 98 basis points at a slim 0.68%.
The average difference in yield between investment-grade corporate bonds over Treasuries of comparable maturities started the period fairly narrow, then widened out dramatically as fears about the pandemic’s impact peaked before tightening back somewhat amid the combined effect of central bank bond-buying and steady global demand for yield. The average spread stood at 136 basis points at the end of the period, up from 115 basis points a year earlier, as measured by the Bloomberg Barclays Corporate Bond Index’s average option-adjusted spread.
| Yields of U.S. Treasury Securities | ||
| September 30, | September 30, | |
| Maturity | 2019 | 2020 |
| 2 years | 1.62% | 0.13% |
| 5 years | 1.54 | 0.28 |
| 10 years | 1.66 | 0.68 |
| 30 years | 2.11 | 1.46 |
Source: Vanguard.
Management of the fund
Overall, our overweight allocation to credit sectors primarily drove relative performance. Security selection in BBB-rated U.S. investment-grade issuers and emerging-market issuers, notably in Latin America, added value.
Our disciplined approach to risk paid off in this challenging environment. Going into 2020, we were carrying a relatively low level of risk in the fund as we viewed valuations in the credit market as comparatively expensive versus historical levels. One way we did that was by significantly overweighting mortgage-backed securities (MBS), a noncredit sector. While we did not fully anticipate the scale of the global pandemic, we saw warning signs early in 2020 as China shut down and European exports began to suffer. We complemented our overall defensive positioning with underweights to sectors particularly sensitive to growth and commodity prices. This put us in a very strong position to add credit and mortgage-backed-bond risk at the height of the market panic in March and April. That wasn’t the case for some asset managers who were carrying more risk ahead of the pandemic, chasing a few extra basis points of potential return despite valuations being elevated.
As the market sold off, our more defensive positioning helped to mitigate the impact and offered our team the opportunity to search for value as bond prices across sectors became significantly cheaper. As the market recovered, we turned more offensive, seizing opportunities in the noncyclical segments of the corporate bond market such as pharmaceuticals and telecommunications, which added value.
Being overweight in MBS segments that are less sensitive to prepayment risk also helped. Later in the period, we found certain lower-quality investment-grade segments of the industrial sector attractive where issuers’ valuations were compelling relative to their fundamental credit profiles.
Dampening the fund’s relative performance was an allocation to structured products. This high-quality segment of the bond market, which includes asset-backed securities and commercial MBS, dramatically repriced and then was slow to recover.
Cash inflows to the fund were strong, but we were able to absorb that money without incurring a lot of transaction costs or creating a material drag on performance.
Outlook
Risks remain that rising COVID-19 infections could lead to reimposed broad lockdowns that would further hurt economies and that a vaccine may still be a long way off. These risks are somewhat mitigated, though, because governments are better prepared now to deal with outbreaks. Moreover, central banks have asserted their readiness to continue to support bond markets.
With initial credit market adjustments to the pandemic behind us and valuations having risen, credit markets may be a little more challenging, and security selection will be
even more crucial. In particular, bonds from issuers in sectors less affected by COVID-19 have been bid up to expensive levels, with markets disregarding factors that weighed on valuations before the pandemic.
On the other hand, opportunities may continue to emerge among issuers starting to recover in sectors more affected by COVID-19, where spreads widened a lot despite fairly solid fundamentals. In consumer cyclicals and media, for example, there are now companies benefiting from increased market share, less competition, or improved business models.
With our global fixed income team of portfolio managers, analysts, and traders and our bottom-up, fundamentals-based research process and disciplined approach to risk-taking, we are well-positioned to identify and invest in potential pockets of outperformance as opportunities arise.
Portfolio Managers:
Brian W. Quigley, CFA
Arvind Narayanan, CFA
Daniel Shaykevich, Principal
Samuel C. Martinez, CFA
Vanguard Fixed Income Group
October 23, 2020
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
5
| Six Months Ended September 30, 2020 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Core Bond Fund | 3/31/2020 | 9/30/2020 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,055.42 | $1.28 |
| Admiral™ Shares | 1,000.00 | 1,056.20 | 0.51 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,023.75 | $1.26 |
| Admiral Shares | 1,000.00 | 1,024.50 | 0.51 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.25% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).
6
Core Bond Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: March 28, 2016, Through September 30, 2020
Initial Investment of $10,000
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).
See Financial Highlights for dividend and capital gains information.
7
Core Bond Fund
Fund Allocation
As of September 30, 2020
| Asset-Backed/Commercial Mortgage-Backed Securities | 3.9% |
| Corporate Bonds | 37.8 |
| Sovereign Bonds | 9.2 |
| U.S. Government and Agency Obligations | 48.9 |
| Other | 0.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
8
Core Bond Fund
Financial Statements
Schedule of Investments
As of September 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
9
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4,5 | Freddie Mac Gold Pool | 3.000% | 9/1/46–8/1/47 | 3,585 | 3,821 | |
| 4,5 | Freddie Mac Gold Pool | 3.500% | 3/1/45–3/1/49 | 3,489 | 3,736 | |
| 4,5 | Freddie Mac Gold Pool | 4.000% | 7/1/39–5/1/49 | 5,546 | 6,032 | |
| 4,5 | Freddie Mac Gold Pool | 4.500% | 12/1/39–2/1/49 | 4,764 | 5,208 | |
| 4,5 | Freddie Mac Gold Pool | 5.000% | 8/1/33–6/1/41 | 2,777 | 3,174 | |
| 4,5 | Freddie Mac Gold Pool | 5.500% | 3/1/29–5/1/40 | 654 | 739 | |
| 4,5 | Freddie Mac Gold Pool | 6.000% | 7/1/28–10/1/36 | 175 | 207 | |
| 4,5 | Freddie Mac Gold Pool | 6.500% | 9/1/39 | 275 | 319 | |
| 4,5 | Freddie Mac Gold Pool | 7.500% | 5/1/38 | 134 | 157 | |
| 4 | Ginnie Mae I Pool | 3.000% | 4/15/45 | 302 | 315 | |
| 4 | Ginnie Mae I Pool | 3.500% | 6/15/47 | 1,073 | 1,126 | |
| 4 | Ginnie Mae I Pool | 4.000% | 7/15/45–8/15/45 | 111 | 118 | |
| 4 | Ginnie Mae I Pool | 4.500% | 2/15/39–9/15/46 | 904 | 1,004 | |
| 4 | Ginnie Mae I Pool | 5.000% | 3/15/38–2/15/40 | 1,955 | 2,239 | |
| 4 | Ginnie Mae I Pool | 6.000% | 7/15/37 | 36 | 42 | |
| ¤,4 | Ginnie Mae II Pool | 2.000% | 10/1/50–10/21/50 | 35,500 | 36,865 | |
| 4 | Ginnie Mae II Pool | 3.000% | 5/20/43–12/20/49 | 21,137 | 21,917 | |
| 4 | Ginnie Mae II Pool | 3.500% | 4/20/43–12/20/49 | 16,835 | 18,014 | |
| 4 | Ginnie Mae II Pool | 4.000% | 11/20/42–12/20/49 | 9,406 | 9,988 | |
| 4 | Ginnie Mae II Pool | 4.500% | 11/20/44–11/20/49 | 17,309 | 18,559 | |
| 4 | Ginnie Mae II Pool | 5.000% | 8/20/48–11/20/49 | 1,635 | 1,766 | |
| 4 | Ginnie Mae II Pool | 6.000% | 1/20/40–5/20/48 | 1,106 | 1,286 | |
| ¤,4,5 | UMBS Pool | 1.500% | 10/1/35–11/1/35 | 29,000 | 29,624 | |
| ¤,4,5 | UMBS Pool | 2.000% | 10/1/35–11/1/50 | 366,700 | 378,142 | |
| ¤,4,5 | UMBS Pool | 2.500% | 5/1/50–11/1/50 | 1,347 | 1,423 | |
| ¤,4,5 | UMBS Pool | 3.000% | 9/1/49–10/1/50 | 16,965 | 17,725 | |
| 4,5 | UMBS Pool | 3.500% | 11/1/40–2/1/50 | 12,749 | 13,563 | |
| 4,5 | UMBS Pool | 4.000% | 1/1/49–12/1/49 | 7,885 | 8,412 | |
| 4,5 | UMBS Pool | 4.500% | 4/1/49–3/1/50 | 5,471 | 5,773 | |
| 4,5 | UMBS Pool | 5.000% | 3/1/42–2/1/50 | 839 | 946 | |
| 4,5 | UMBS Pool | 5.500% | 4/1/38–4/1/41 | 1,537 | 1,802 | |
| 4,5 | UMBS Pool | 6.000% | 4/1/39 | 1,766 | 2,083 | |
| 845,017 | ||||||
| Nonconventional Mortgage-Backed Securities (2.2%) | ||||||
| 4,5 | Fannie Mae REMICS | 1.750% | 5/25/43–3/25/46 | 3,481 | 3,554 | |
| 4,5 | Fannie Mae REMICS | 1.850% | 8/25/46 | 1,438 | 1,487 | |
| 4,5 | Fannie Mae REMICS | 2.500% | 9/25/49–12/25/49 | 4,457 | 4,696 | |
| 4,5 | Fannie Mae REMICS | 2.750% | 8/25/47 | 1,057 | 1,094 | |
| 4,5 | Fannie Mae REMICS | 3.000% | 2/25/43–9/25/48 | 8,447 | 8,810 | |
| 4,5 | Fannie Mae REMICS | 3.500% | 12/25/41–6/25/48 | 4,913 | 5,351 | |
| 4,5 | Fannie Mae REMICS | 4.000% | 12/25/47–10/25/48 | 304 | 340 | |
| 4,5 | Fannie Mae REMICS | 5.250% | 9/25/41 | 110 | 119 | |
| 4,5 | Freddie Mac REMICS | 2.500% | 9/25/49–2/25/50 | 3,983 | 4,210 | |
| 4,5 | Freddie Mac REMICS | 3.000% | 11/25/47–12/15/47 | 1,632 | 1,693 | |
| 4,5 | Freddie Mac REMICS | 3.500% | 4/15/38–3/25/50 | 12,495 | 13,887 | |
| 4,5 | Freddie Mac REMICS | 4.000% | 1/15/48–4/15/49 | 13,713 | 15,237 | |
| 4,5 | Freddie Mac REMICS | 5.500% | 8/15/38 | 898 | 1,049 | |
| 4 | Ginnie Mae REMICS | 3.000% | 11/20/45–7/20/48 | 6,886 | 7,241 | |
| 4 | Ginnie Mae REMICS | 3.500% | 4/20/48–5/20/49 | 4,554 | 4,895 | |
| 4,6 | Ginnie Mae REMICS | 4.000% | 1/20/45–9/20/48 | 2,176 | 1,345 | |
| 4,7,8 | Ginnie Mae REMICS, 6.150% - 1M USD LIBOR | 5.994% | 6/20/47 | 3,394 | 605 | |
| 75,613 | ||||||
| Total U.S. Government and Agency Obligations (Cost $1,541,960) | 1,575,214 | |||||
10
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Asset-Backed/Commercial Mortgage-Backed Securities (3.6%) | ||||||
| 4,9 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 90 | 96 | |
| 4 | AmeriCredit Automobile Receivables Trust 2016-3 | 2.710% | 9/8/22 | 200 | 202 | |
| 4 | AmeriCredit Automobile Receivables Trust 2018-2 | 4.010% | 7/18/24 | 390 | 413 | |
| 4 | AmeriCredit Automobile Receivables Trust 2019-1 | 3.620% | 3/18/25 | 580 | 614 | |
| 4 | AmeriCredit Automobile Receivables Trust 2020-2 | 2.130% | 3/18/26 | 240 | 243 | |
| 4,9 | Applebee’s Funding LLC / IHOP Funding LLC 2019-1 | 4.194% | 6/7/49 | 50 | 46 | |
| 4,9 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 35 | 34 | |
| 4,9 | Aventura Mall Trust 2018-AVM | 4.249% | 7/5/40 | 999 | 1,064 | |
| 4,9 | Avis Budget Rental Car Funding AESOP LLC 2016-1A | 2.990% | 6/20/22 | 500 | 504 | |
| 4,9 | Avis Budget Rental Car Funding AESOP LLC 2017-1A | 3.070% | 9/20/23 | 355 | 366 | |
| 4,9 | Avis Budget Rental Car Funding AESOP LLC 2019-1A | 3.450% | 3/20/23 | 130 | 133 | |
| 4,9 | BAMLL Commercial Mortgage Securities Trust 2019-BPR | 3.112% | 11/5/32 | 1,100 | 1,100 | |
| 4,9 | BAMLL Commercial Mortgage Securities Trust 2019-BPR | 3.287% | 11/5/32 | 70 | 70 | |
| 4 | Banc of America Commercial Mortgage Trust 2015-UBS7 | 3.441% | 9/15/48 | 98 | 107 | |
| 4 | BANK 2017 - BNK4 | 3.625% | 5/15/50 | 19 | 22 | |
| 4 | BANK 2017 - BNK6 | 3.518% | 7/15/60 | 80 | 91 | |
| 4 | BANK 2017 - BNK6 | 3.741% | 7/15/60 | 50 | 56 | |
| 4 | BANK 2017 - BNK7 | 3.175% | 9/15/60 | 1,341 | 1,484 | |
| 4 | BANK 2017 - BNK8 | 3.488% | 11/15/50 | 80 | 91 | |
| 4 | BANK 2018 - BN14 | 4.185% | 9/15/60 | 25 | 29 | |
| 4 | BANK 2018 - BNK14 | 4.231% | 9/15/60 | 15 | 18 | |
| 4 | BANK 2019 - BN23 | 2.846% | 12/15/52 | 130 | 143 | |
| 4 | BANK 2019 - BN17 | 3.714% | 4/15/52 | 80 | 93 | |
| 4 | BANK 2019 - BN20 | 3.011% | 9/15/62 | 200 | 224 | |
| 4 | BBCMS Mortgage Trust 2020-C6 | 2.639% | 2/15/53 | 200 | 220 | |
| 4 | Benchmark 2018-B1 Mortgage Trust | 3.878% | 1/15/51 | 70 | 80 | |
| 4 | Benchmark 2018-B1 Mortgage Trust | 4.059% | 1/15/51 | 220 | 246 | |
| 4 | Benchmark 2018-B1 Mortgage Trust | 4.253% | 1/15/51 | 350 | 356 | |
| 4 | Benchmark 2019-B15 Mortgage Trust | 2.859% | 12/15/72 | 300 | 331 | |
| 4 | Benchmark 2020-B16 Mortgage Trust | 2.732% | 2/15/53 | 200 | 221 | |
| 4,9 | BX Trust 2019-OC11 | 3.202% | 12/9/41 | 100 | 105 | |
| 4,9 | CAL Funding II Ltd. Series 2018-2A | 4.340% | 9/25/43 | 224 | 226 | |
| 4 | California Republic Auto Receivables Trust 2016-2 | 3.510% | 3/15/23 | 210 | 210 | |
| 4,9 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.220% | 9/19/22 | 140 | 142 | |
| 4,9 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.440% | 8/21/23 | 50 | 52 | |
| 4 | CarMax Auto Owner Trust 2017-4 | 2.460% | 8/15/23 | 40 | 41 | |
| 4 | CarMax Auto Owner Trust 2017-4 | 2.700% | 10/16/23 | 40 | 41 | |
| 4 | CarMax Auto Owner Trust 2018-1 | 2.830% | 9/15/23 | 90 | 93 | |
| 4 | CarMax Auto Owner Trust 2018-1 | 2.950% | 11/15/23 | 50 | 51 | |
| 4 | CarMax Auto Owner Trust 2018-2 | 3.370% | 10/16/23 | 90 | 94 | |
11
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | CarMax Auto Owner Trust 2018-2 | 3.570% | 12/15/23 | 130 | 136 | |
| 4 | CarMax Auto Owner Trust 2018-2 | 3.990% | 4/15/25 | 100 | 103 | |
| 4 | CarMax Auto Owner Trust 2018-4 | 3.670% | 5/15/24 | 100 | 107 | |
| 4 | CarMax Auto Owner Trust 2018-4 | 3.850% | 7/15/24 | 70 | 74 | |
| 4 | CarMax Auto Owner Trust 2018-4 | 4.150% | 4/15/25 | 100 | 105 | |
| 4 | CD 2016-CD1 Commercial Mortgage Trust | 2.724% | 8/10/49 | 10 | 11 | |
| 4 | CD 2016-CD1 Commercial Mortgage Trust | 3.631% | 8/10/49 | 270 | 252 | |
| 4 | CD 2017-CD4 Commercial Mortgage Trust | 3.514% | 5/10/50 | 60 | 68 | |
| 4 | CD 2017-CD6 Commercial Mortgage Trust | 3.456% | 11/13/50 | 19 | 22 | |
| 4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 61 | 66 | |
| 4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.371% | 9/10/46 | 30 | 33 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 320 | 348 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.575% | 5/10/47 | 169 | 180 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.356% | 7/10/47 | 78 | 84 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 350 | 380 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.175% | 7/10/47 | 230 | 247 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.372% | 10/10/47 | 10 | 11 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 365 | 399 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 4.345% | 10/10/47 | 140 | 150 | |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 4.675% | 10/10/47 | 175 | 172 | |
| 4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 228 | 246 | |
| 4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 431 | 481 | |
| 4 | Citigroup Commercial Mortgage Trust 2017-P8 | 3.203% | 9/15/50 | 20 | 22 | |
| 4 | Citigroup Commercial Mortgage Trust 2017-P8 | 4.192% | 9/15/50 | 60 | 65 | |
| 4 | Citigroup Commercial Mortgage Trust 2017-P8 | 4.410% | 9/15/50 | 110 | 106 | |
| 4 | Citigroup Commercial Mortgage Trust 2018-C5 | 4.228% | 6/10/51 | 45 | 53 | |
| 4,9 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 40 | 41 | |
| 4 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 500 | 505 | |
| 4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 57 | 62 | |
| 4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 503 | 547 | |
| 4,9 | COMM 2013-CCRE6 Mortgage Trust | 3.147% | 3/10/46 | 150 | 156 | |
| 4,9 | COMM 2013-CCRE6 Mortgage Trust | 3.397% | 3/10/46 | 210 | 213 | |
| 4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 10 | 11 | |
| 4,9 | COMM 2013-CCRE9 Mortgage Trust | 4.385% | 7/10/45 | 230 | 216 | |
| 4,9 | COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 100 | 98 | |
| 4,9 | COMM 2014-277P Mortgage Trust | 3.732% | 8/10/49 | 200 | 216 | |
| 4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 30 | 33 | |
| 4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 300 | 329 | |
| 4 | COMM 2014-CCRE17 Mortgage Trust | 3.700% | 5/10/47 | 19 | 21 |
12
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 354 | 388 | |
| 4 | COMM 2014-CCRE17 Mortgage Trust | 4.945% | 5/10/47 | 190 | 183 | |
| 4 | COMM 2014-CCRE18 Mortgage Trust | 3.550% | 7/15/47 | 29 | 31 | |
| 4 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 110 | 118 | |
| 4 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 228 | 248 | |
| 4 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 123 | 137 | |
| 4 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 194 | 210 | |
| 4 | COMM 2019-G44 Mortgage Trust | 2.873% | 8/15/57 | 150 | 166 | |
| 4 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 363 | 405 | |
| 4 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.502% | 11/15/49 | 132 | 147 | |
| 4 | CSAIL 2020-C19 Commercial Mortgage Trust | 2.561% | 3/15/53 | 250 | 271 | |
| 4 | DBJPM 17-C6 Mortgage Trust | 3.328% | 6/10/50 | 70 | 79 | |
| 4,8,9 | DELAM 2018-1, 1M USD LIBOR + 0.700% | 0.856% | 11/19/25 | 660 | 660 | |
| 4,9 | DLL Securitization Trust Series 2019-DA1 | 2.920% | 4/20/27 | 260 | 272 | |
| 4,9 | DRB Prime Student Loan Trust 2017-C | 2.810% | 11/25/42 | 186 | 189 | |
| 4,9 | Drive Auto Receivables Trust 2016-C | 4.180% | 3/15/24 | 52 | 53 | |
| 4 | Drive Auto Receivables Trust 2017-1 | 3.840% | 3/15/23 | 26 | 26 | |
| 4 | Drive Auto Receivables Trust 2018-2 | 3.630% | 8/15/24 | 122 | 123 | |
| 4 | Drive Auto Receivables Trust 2018-2 | 4.140% | 8/15/24 | 390 | 405 | |
| 4 | Drive Auto Receivables Trust 2018-3 | 3.720% | 9/16/24 | 220 | 222 | |
| 4 | Drive Auto Receivables Trust 2018-3 | 4.300% | 9/16/24 | 260 | 271 | |
| 4 | Drive Auto Receivables Trust 2018-5 | 3.990% | 1/15/25 | 480 | 496 | |
| 4 | Drive Auto Receivables Trust 2018-5 | 4.300% | 4/15/26 | 650 | 688 | |
| 4 | Drive Auto Receivables Trust 2019-1 | 2.700% | 2/16/27 | 180 | 184 | |
| 4 | Drive Auto Receivables Trust 2020-1 | 2.700% | 5/17/27 | 180 | 185 | |
| 4 | Drive Auto Receivables Trust 2020-2 | 3.050% | 5/15/28 | 140 | 146 | |
| 4,9 | EDvestinU Private Education Loan Trust (EDVES) 2019-A | 3.580% | 11/25/38 | 75 | 79 | |
| 4,9 | Fair Square Issuance Trust 2020-A | 2.900% | 9/20/24 | 210 | 210 | |
| 4,5 | Federal Home Loan Mortgage Corp 2017- 357A | 2.500% | 9/15/47 | 2,463 | 2,659 | |
| 4,5,6 | FHLMC Multifamily Structured Pass Through Certificates K054 | 1.309% | 1/25/26 | 22,912 | 1,244 | |
| 4,5,6 | FHLMC Multifamily Structured Pass Through Certificates K057 | 1.322% | 7/25/26 | 37,679 | 2,199 | |
| 4,5,6 | FHLMC Multifamily Structured Pass Through Certificates K104 | 1.127% | 1/25/30 | 25,597 | 2,282 | |
| 4,5,6 | FHLMC Multifamily Structured Pass Through Certificates K105 | 1.645% | 1/25/30 | 61,980 | 7,534 | |
| 4,5,6 | FHLMC Multifamily Structured Pass Through Certificates K1502 | 1.102% | 1/25/31 | 21,344 | 1,622 | |
| 4,6 | FHMS Multifamily Structured Pass Through Certificates K116 | 1.428% | 7/25/30 | 62,000 | 7,224 | |
| 4,9 | Fontainebleau Miami Beach Trust 2019-FBLU | 3.144% | 12/10/36 | 815 | 833 | |
| 4 | Ford Credit Auto Lease Trust 2019-A | 3.250% | 7/15/22 | 600 | 613 | |
| 4 | Ford Credit Auto Lease Trust 2020-B | 1.700% | 2/15/25 | 310 | 314 | |
| 4,9 | Ford Credit Auto Owner Trust 2017-2 | 2.600% | 3/15/29 | 120 | 124 | |
| 4,9 | Ford Credit Auto Owner Trust 2017-2 | 2.750% | 3/15/29 | 250 | 256 | |
| 4,9 | Ford Credit Auto Owner Trust 2018-2 | 3.760% | 1/15/30 | 120 | 127 | |
| 4,9 | Ford Credit Auto Owner Trust 2018-REV1 | 3.190% | 7/15/31 | 150 | 165 | |
| 4,9 | Ford Credit Auto Owner Trust 2018-REV1 | 3.340% | 7/15/31 | 100 | 109 | |
| 4,9 | Ford Credit Auto Owner Trust 2018-REV2 | 3.470% | 1/15/30 | 310 | 334 | |
| 4,9 | Ford Credit Auto Owner Trust 2018-REV2 | 3.610% | 1/15/30 | 260 | 278 | |
| 4,9 | Ford Credit Auto Owner Trust 2019-1 | 3.520% | 7/15/30 | 370 | 404 | |
| 4 | Ford Credit Auto Owner Trust 2019-A | 3.020% | 10/15/24 | 320 | 339 |
13
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Ford Credit Auto Owner Trust 2019-A | 3.250% | 9/15/25 | 340 | 359 | |
| 4,9 | Ford Credit Auto Owner Trust 2020-1 | 2.040% | 8/15/31 | 220 | 230 | |
| 4,9 | Ford Credit Auto Owner Trust 2020-1 | 2.290% | 8/15/31 | 210 | 220 | |
| 4,9 | Ford Credit Auto Owner Trust 2020-1 | 2.540% | 8/15/31 | 260 | 269 | |
| 4 | Ford Credit Auto Owner Trust 2020-B | 2.040% | 12/15/26 | 300 | 310 | |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2019-2 | 3.250% | 4/15/26 | 170 | 183 | |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2019-3 | 2.420% | 9/15/24 | 130 | 134 | |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 1.420% | 9/15/25 | 420 | 420 | |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 2.120% | 9/15/25 | 590 | 590 | |
| 4,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates | 1.536% | 5/25/30 | 52,694 | 6,238 | |
| 4,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates | 1.328% | 6/25/30 | 65,050 | 7,191 | |
| 4,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates 2020-K110 | 1.815% | 4/25/30 | 13,496 | 1,826 | |
| 4,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates 2020-K111 | 1.682% | 5/25/30 | 19,391 | 2,497 | |
| 4,5,6 | Freddie Mac Multifamily Structured Pass Through Certificates K109 | 1.700% | 4/25/30 | 27,489 | 3,494 | |
| 4,5,9 | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1 | 3.721% | 2/25/48 | 40 | 40 | |
| 6,9 | FREMF 2015-K42 Mortgage Trust | 0.100% | 12/25/24 | 1,073,204 | 3,537 | |
| 4,9 | Global SC Finance VII Srl | 2.260% | 11/19/40 | 700 | 700 | |
| 4 | GM Financial Automobile Leasing Trust 2020-1 | 2.280% | 6/20/24 | 100 | 102 | |
| 4 | GM Financial Automobile Leasing Trust 2020-2 | 3.210% | 12/20/24 | 140 | 146 | |
| 4 | GM Financial Leasing Trust | 1.710% | 2/20/25 | 420 | 420 | |
| 4,9 | GMF Floorplan Owner Revolving Trust | 1.480% | 8/15/25 | 120 | 120 | |
| 4,9 | Golden Credit Card Trust 2018-4A | 3.440% | 8/15/25 | 1,852 | 1,988 | |
| 4,8,9 | Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450% | 0.700% | 8/25/60 | 141 | 141 | |
| 4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 350 | 368 | |
| 4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 30 | 32 | |
| 4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 318 | 346 | |
| 4 | GS Mortgage Securities Trust 2014-GC24 | 4.643% | 9/10/47 | 170 | 153 | |
| 4 | GS Mortgage Securities Trust 2014-GC24 | 4.664% | 9/10/47 | 150 | 122 | |
| 4 | GS Mortgage Securities Trust 2014-GC26 | 3.364% | 11/10/47 | 150 | 161 | |
| 4 | GS Mortgage Securities Trust 2015-GC28 | 3.136% | 2/10/48 | 30 | 33 | |
| 4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 203 | 222 | |
| 4 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 113 | 123 | |
| 4 | GS Mortgage Securities Trust 2015-GC34 | 3.244% | 10/10/48 | 120 | 128 | |
| 4 | GS Mortgage Securities Trust 2016-GS3 | 2.850% | 10/10/49 | 60 | 65 | |
| 4 | GS Mortgage Securities Trust 2019-GC38 | 3.968% | 2/10/52 | 150 | 176 | |
| 4 | GS Mortgage Securities Trust 2019-GC40 | 3.160% | 7/10/52 | 60 | 67 | |
| 4 | GS Mortgage Securities Trust 2020-GC45 | 2.911% | 2/13/53 | 630 | 702 | |
| 4 | GS Mortgage Securities Trust-2020-GC45 | 2.843% | 2/13/53 | 325 | 357 | |
| 4,9 | Hardee’s Funding HNGRY 2018-1A | 5.710% | 6/20/48 | 470 | 494 | |
| 4,9 | Harley Marine Financing LLC Barge 2018-1 | 5.682% | 5/15/43 | 176 | 159 | |
| 4,9 | Hertz Vehicle Financing II LP 2016-2A | 2.950% | 3/25/22 | 38 | 38 | |
| 4,9 | Hilton USA Trust 2016-HHV | 3.719% | 11/5/38 | 20 | 21 |
14
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4,9 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 250 | 253 | |
| 4,8,9 | Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 0.850% | 1.001% | 12/17/36 | 343 | 341 | |
| 4,8,9 | Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 1.150% | 1.301% | 12/17/36 | 130 | 129 | |
| 4,8,9 | Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.700% | 0.851% | 3/17/37 | 257 | 253 | |
| 4,8,9 | Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.950% | 1.100% | 3/17/37 | 100 | 99 | |
| 4,9 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 | 4.717% | 2/15/46 | 820 | 820 | |
| 4,9 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | 5.605% | 8/15/46 | 550 | 564 | |
| 4,9 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 20 | 20 | |
| 4,9 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | 3.424% | 10/15/45 | 290 | 300 | |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 | 4.214% | 1/15/46 | 230 | 230 | |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 3.881% | 12/15/46 | 10 | 11 | |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 4.166% | 12/15/46 | 247 | 269 | |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 | 2.870% | 8/15/49 | 52 | 57 | |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP5 | 3.723% | 3/15/50 | 70 | 80 | |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 | 3.454% | 9/15/50 | 60 | 68 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C12 | 3.363% | 7/15/45 | 1,205 | 1,262 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C14 | 4.133% | 8/15/46 | 30 | 32 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C15 | 5.373% | 11/15/45 | 30 | 30 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C19 | 3.997% | 4/15/47 | 10 | 11 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C24 | 3.639% | 11/15/47 | 149 | 164 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C26 | 3.231% | 1/15/48 | 336 | 362 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C26 | 3.494% | 1/15/48 | 350 | 383 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C27 | 3.179% | 2/15/48 | 261 | 282 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C30 | 3.822% | 7/15/48 | 80 | 90 | |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C31 | 3.801% | 8/15/48 | 100 | 112 | |
| 4 | JPMDB Commercial Mortgage Securities Trust 2016-C4 | 3.141% | 12/15/49 | 30 | 33 | |
| 4 | JPMDB Commercial Mortgage Securities Trust 2017-C7 | 3.409% | 10/15/50 | 60 | 68 | |
| 4 | JPMDB Commercial Mortgage Securities Trust 2018-C8 | 4.211% | 6/15/51 | 50 | 60 |
15
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4,9 | Lanark Master Issuer plc 2020-1A | 2.277% | 12/22/69 | 170 | 177 | |
| 4,9 | Laurel Road Prime Student Loan Trust 2018-B | 3.540% | 5/26/43 | 348 | 358 | |
| 4,9 | MMAF Equipment Finance LLC 2018-A | 3.610% | 3/10/42 | 100 | 108 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | 3.792% | 8/15/45 | 100 | 104 | |
| 4,9 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV | 3.277% | 10/15/30 | 1,430 | 1,294 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 | 4.218% | 7/15/46 | 200 | 189 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | 4.259% | 10/15/46 | 400 | 436 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | 3.773% | 4/15/47 | 295 | 320 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | 5.070% | 4/15/47 | 150 | 154 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 | 4.494% | 6/15/47 | 80 | 83 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | 3.923% | 10/15/47 | 350 | 387 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 | 3.526% | 12/15/47 | 390 | 422 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 3.249% | 2/15/48 | 188 | 203 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | 3.451% | 7/15/50 | 29 | 32 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | 3.719% | 7/15/50 | 110 | 123 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | 3.635% | 10/15/48 | 196 | 218 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 | 3.325% | 5/15/49 | 333 | 368 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 | 4.904% | 5/15/49 | 160 | 149 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 | 3.720% | 12/15/49 | 570 | 649 | |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | 3.536% | 11/15/52 | 90 | 102 | |
| 4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 522 | 586 | |
| 4 | Morgan Stanley Capital I Trust 2016-BNK2 | 2.791% | 11/15/49 | 110 | 118 | |
| 4 | Morgan Stanley Capital I Trust 2016-BNK2 | 3.049% | 11/15/49 | 50 | 55 | |
| 4 | Morgan Stanley Capital I Trust 2016-UB11 | 2.782% | 8/15/49 | 200 | 216 | |
| 4 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 154 | 170 | |
| 4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.587% | 12/15/50 | 55 | 62 | |
| 4,8,9 | Navient Student Loan Trust 2016-2, 1M USD LIBOR + 1.050% | 1.198% | 6/25/65 | 73 | 73 | |
| 4,8,9 | Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850% | 0.998% | 6/25/65 | 5 | 5 | |
| 4,8,9 | Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750% | 0.898% | 3/25/66 | 57 | 57 | |
| 4,9 | Navient Student Loan Trust 2017-A | 2.880% | 12/16/58 | 183 | 187 | |
| 4,9 | Navient Student Loan Trust 2018-BA | 3.610% | 12/15/59 | 394 | 411 | |
| 4,9 | Navient Student Loan Trust 2018-BA | 4.000% | 12/15/59 | 1,591 | 1,653 | |
| 4,9 | Navient Student Loan Trust 2018-CA | 3.520% | 6/16/42 | 700 | 720 | |
| 4,9 | Navient Student Loan Trust 2018-DA | 4.000% | 12/15/59 | 635 | 667 | |
| 4,9 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 700 | 519 |
16
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4,8,9 | Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880% | 1.032% | 1/16/60 | 200 | 200 | |
| 4,8,9 | Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000% | 1.156% | 6/20/60 | 165 | 164 | |
| 4,8,9 | Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950% | 1.100% | 8/18/60 | 160 | 159 | |
| 4,9 | PFS Financing Corp. 2020-A | 1.270% | 6/15/25 | 700 | 705 | |
| 4,9 | PFS Financing Corp. 2020-B | 1.210% | 6/15/24 | 400 | 404 | |
| 4,9 | PFS Financing Corp. 2020-E | 1.000% | 10/15/25 | 280 | 281 | |
| 4,8,9 | PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950% | 1.098% | 11/25/65 | 124 | 124 | |
| 4,9 | Progress Residential 2017-SFR2 Trust | 2.897% | 12/17/34 | 200 | 200 | |
| 4,9 | Progress Residential 2017-SFR2 Trust | 3.196% | 12/17/34 | 100 | 100 | |
| 4,9 | Progress Residential 2018-SFR1 Trust | 3.255% | 3/17/35 | 390 | 392 | |
| 4,9 | Progress Residential 2018-SFR1 Trust | 3.484% | 3/17/35 | 100 | 101 | |
| 4,9 | Progress Residential 2018-SFR3 Trust | 3.880% | 10/17/35 | 579 | 595 | |
| 4,9 | Progress Residential 2020-SFR3 Trust | 1.294% | 10/17/27 | 300 | 300 | |
| 4,8,9 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 0.956% | 11/10/49 | 230 | 230 | |
| 4,8,9 | RESIMAC Premier Series 2018-1NCA, 1M USD LIBOR + 0.850% | 1.004% | 12/5/59 | 237 | 237 | |
| 4,8,9 | RESIMAC Premier Series 2018-2, 1M USD LIBOR + 0.850% | 1.006% | 4/10/50 | 75 | 74 | |
| 4 | Santander Drive Auto Receivables Trust 2018-1 | 2.960% | 3/15/24 | 184 | 185 | |
| 4 | Santander Drive Auto Receivables Trust 2018-1 | 3.320% | 3/15/24 | 140 | 143 | |
| 4 | Santander Drive Auto Receivables Trust 2018-3 | 4.070% | 8/15/24 | 960 | 1,000 | |
| 4 | Santander Drive Auto Receivables Trust 2018-4 | 3.980% | 12/15/25 | 470 | 492 | |
| 4 | Santander Drive Auto Receivables Trust 2018-5 | 4.190% | 12/16/24 | 540 | 562 | |
| 4 | Santander Drive Auto Receivables Trust 2020-2 | 2.220% | 9/15/26 | 790 | 802 | |
| 4 | Santander Drive Auto Receivables Trust 2020-3 | 1.640% | 11/16/26 | 1,070 | 1,069 | |
| 4,9 | Santander Retail Auto Lease Trust 2020-A | 2.520% | 11/20/24 | 170 | 174 | |
| 4,9 | Securitized Term Auto Receivables Trust 2018-2A | 3.544% | 6/26/23 | 130 | 134 | |
| 4 | Small Business Administration Participation Certs 2019-25E | 3.070% | 5/1/44 | 703 | 764 | |
| 4 | SMART ABS Series 2016-2US Trust | 2.050% | 12/14/22 | 24 | 24 | |
| 4,9 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 217 | 222 | |
| 4,8,9 | SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.450% | 1.602% | 2/17/32 | 143 | 144 | |
| 4,8,9 | SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100% | 1.252% | 9/15/34 | 58 | 58 | |
| 4,8,9 | SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900% | 1.052% | 9/15/34 | 78 | 78 | |
| 4,9 | SMB Private Education Loan Trust 2017-B | 2.820% | 10/15/35 | 187 | 194 | |
| 4,9 | SMB Private Education Loan Trust 2018-B | 3.600% | 1/15/37 | 391 | 410 | |
| 4,9 | SMB Private Education Loan Trust 2018-C | 3.630% | 11/15/35 | 520 | 546 | |
| 4,9 | SoFi Professional Loan Program 2016-B LLC | 2.740% | 10/25/32 | 147 | 150 | |
| 4,9 | SoFi Professional Loan Program 2016-C LLC | 2.360% | 12/27/32 | 206 | 208 |
17
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4,9 | SoFi Professional Loan Program 2016-D LLC | 2.340% | 4/25/33 | 41 | 42 | |
| 4,8,9 | SoFi Professional Loan Program 2016-D LLC, 1M USD LIBOR + 0.950% | 1.098% | 1/25/39 | 13 | 12 | |
| 4,9 | SoFi Professional Loan Program 2017-B LLC | 2.740% | 5/25/40 | 5 | 5 | |
| 4,9 | SoFi Professional Loan Program 2017-D LLC | 2.650% | 9/25/40 | 76 | 78 | |
| 4,9 | SoFi Professional Loan Program 2017-E LLC | 2.720% | 11/26/40 | 115 | 117 | |
| 4,9 | SoFi Professional Loan Program 2017-F LLC | 2.840% | 1/25/41 | 147 | 151 | |
| 4,9 | SoFi Professional Loan Program 2018-A LLC | 2.950% | 2/25/42 | 100 | 103 | |
| 4,9 | SoFi Professional Loan Program 2018-C LLC | 3.590% | 1/25/48 | 570 | 596 | |
| 4,9 | SoFi Professional Loan Program 2018-D LLC | 3.600% | 2/25/48 | 400 | 417 | |
| 4,9 | Stack Infrastructure Issuer LLC 2019-1A | 4.540% | 2/25/44 | 54 | 58 | |
| 4 | Synchrony Credit Card Master Note Trust 2016-2 | 2.950% | 5/15/24 | 140 | 142 | |
| 4 | Synchrony Credit Card Master Note Trust 2017-2 | 2.820% | 10/15/25 | 170 | 177 | |
| 4 | Synchrony Credit Card Master Note Trust 2017-2 | 3.010% | 10/15/25 | 230 | 239 | |
| 4,9 | Taco Bell Funding LLC 2016-1A | 4.377% | 5/25/46 | 35 | 35 | |
| 4,9 | Tesla Auto Lease Trust 2018-B | 4.120% | 10/20/21 | 320 | 328 | |
| 4,9 | Tesla Auto Lease Trust 2018-B | 4.360% | 10/20/21 | 200 | 205 | |
| 4,9 | Tesla Auto Lease Trust 2020-A | 1.680% | 2/20/24 | 100 | 101 | |
| 4,9 | Textainer Marine Containers Limited 2019-A | 3.960% | 4/20/44 | 248 | 253 | |
| 4,9 | Tidewater Auto Receivables Trust 2018-AA | 3.450% | 11/15/24 | 42 | 42 | |
| 4,9 | Tidewater Auto Receivables Trust 2018-AA | 3.840% | 11/15/24 | 100 | 102 | |
| 4,9 | Tidewater Auto Receivables Trust 2018-AA | 4.300% | 11/15/24 | 100 | 103 | |
| 4,9 | TIF 2020-1 A | 2.090% | 8/20/45 | 248 | 248 | |
| 4,9 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 100 | 106 | |
| 4,9 | Trafigura Securitisation Finance plc 2018-1A | 3.730% | 3/15/22 | 820 | 829 | |
| 4,9 | Trinity Rail Leasing LP 2018-1A | 4.620% | 6/17/48 | 440 | 449 | |
| 4,9 | Trip Rail Master Funding LLC 2017-1A | 2.709% | 8/15/47 | 28 | 28 | |
| 4 | UBS Commercial Mortgage Trust 2017-C7 | 3.679% | 12/15/50 | 112 | 129 | |
| 4 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.469% | 4/10/46 | 10 | 10 | |
| 4,9 | Vantage Data Centers LLC 2018-1A | 4.072% | 2/16/43 | 117 | 121 | |
| 4 | Verizon Owner Trust 2020-B | 0.830% | 2/20/25 | 430 | 430 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 40 | 41 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 354 | 381 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.410% | 7/15/46 | 450 | 480 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 190 | 207 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 330 | 354 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 601 | 668 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.648% | 9/15/58 | 200 | 195 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 320 | 359 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.688% | 9/15/58 | 160 | 156 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 166 | 184 |
18
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Wells Fargo Commercial Mortgage Trust 2016-C37 | 3.525% | 12/15/49 | 90 | 100 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C38 | 3.453% | 7/15/50 | 90 | 102 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C39 | 3.157% | 9/15/50 | 10 | 11 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C41 | 3.472% | 11/15/50 | 70 | 79 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C42 | 3.589% | 12/15/50 | 55 | 63 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-RC1 | 3.631% | 1/15/60 | 42 | 48 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2018-C43 | 4.514% | 3/15/51 | 50 | 47 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2018-C46 | 4.152% | 8/15/51 | 30 | 35 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2019-C49 | 3.933% | 3/15/52 | 80 | 92 | |
| 4 | Wells Fargo Commercial Mortgage Trust 2019-C50 | 3.635% | 5/15/52 | 70 | 80 | |
| 4,9 | Wendys Funding LLC 2018-1 | 3.573% | 3/15/48 | 97 | 100 | |
| 4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 100 | 109 | |
| 4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 20 | 22 | |
| 4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.410% | 8/15/47 | 10 | 11 | |
| 4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 361 | 395 | |
| 4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.650% | 10/15/57 | 234 | 255 | |
| 4 | World Omni Auto Receivables Trust 2018-A | 2.890% | 4/15/25 | 40 | 41 | |
| 4 | World Omni Auto Receivables Trust 2019-B | 2.860% | 6/16/25 | 110 | 115 | |
| 4 | World Omni Automobile Lease Securitization Trust 2019-B | 3.240% | 7/15/24 | 160 | 165 | |
| Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $122,407) | 126,229 | |||||
| Corporate Bonds (35.3%) | ||||||
| Finance (10.6%) | ||||||
| Banking (7.0%) | ||||||
| Ally Financial Inc. | 1.450% | 10/2/23 | 1,545 | 1,539 | ||
| American Express Co. | 3.400% | 2/22/24 | 331 | 359 | ||
| American Express Co. | 2.500% | 7/30/24 | 401 | 426 | ||
| American Express Co. | 3.000% | 10/30/24 | 5,726 | 6,199 | ||
| 4,9 | Australia & New Zealand Banking Group Ltd. | 2.950% | 7/22/30 | 5,200 | 5,384 | |
| Banco Santander SA | 2.746% | 5/28/25 | 200 | 210 | ||
| Banco Santander SA | 3.490% | 5/28/30 | 200 | 218 | ||
| 4 | Bank of America Corp. | 2.816% | 7/21/23 | 4,002 | 4,157 | |
| 4 | Bank of America Corp. | 3.864% | 7/23/24 | 2,610 | 2,818 | |
| Bank of America Corp. | 4.000% | 1/22/25 | 1,000 | 1,114 | ||
| 4 | Bank of America Corp. | 0.981% | 9/25/25 | 4,000 | 3,999 | |
| 4 | Bank of America Corp. | 3.093% | 10/1/25 | 479 | 517 | |
| 4 | Bank of America Corp. | 3.366% | 1/23/26 | 4,099 | 4,467 | |
| 4 | Bank of America Corp. | 2.015% | 2/13/26 | 356 | 369 | |
| 4 | Bank of America Corp. | 1.319% | 6/19/26 | 1,755 | 1,766 | |
| 4 | Bank of America Corp. | 3.559% | 4/23/27 | 242 | 270 | |
| 4 | Bank of America Corp. | 3.824% | 1/20/28 | 433 | 491 | |
| 4 | Bank of America Corp. | 3.705% | 4/24/28 | 244 | 275 | |
| 4 | Bank of America Corp. | 3.419% | 12/20/28 | 520 | 579 | |
| 4 | Bank of America Corp. | 3.970% | 3/5/29 | 1,635 | 1,875 | |
19
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Bank of America Corp. | 4.271% | 7/23/29 | 201 | 236 | |
| 4 | Bank of America Corp. | 3.194% | 7/23/30 | 1,050 | 1,160 | |
| 4 | Bank of America Corp. | 1.898% | 7/23/31 | 1,550 | 1,549 | |
| 4 | Bank of America Corp. | 2.676% | 6/19/41 | 1,700 | 1,730 | |
| 4 | Bank of America Corp. | 4.443% | 1/20/48 | 1,000 | 1,294 | |
| 4 | Bank of America Corp. | 4.083% | 3/20/51 | 2,000 | 2,474 | |
| Bank of Montreal | 3.300% | 2/5/24 | 431 | 466 | ||
| Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 200 | 219 | ||
| Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 200 | 212 | ||
| 4 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 545 | 625 | |
| Bank of Nova Scotia | 2.200% | 2/3/25 | 278 | 293 | ||
| Bank of Nova Scotia | 2.700% | 8/3/26 | 269 | 294 | ||
| 9 | Banque Federative du Credit Mutuel SA | 2.375% | 11/21/24 | 200 | 211 | |
| Barclays plc | 3.684% | 1/10/23 | 5,000 | 5,156 | ||
| Barclays plc | 4.375% | 9/11/24 | 510 | 540 | ||
| 4 | Barclays plc | 3.932% | 5/7/25 | 1,200 | 1,284 | |
| 4 | Barclays plc | 2.852% | 5/7/26 | 414 | 431 | |
| Barclays plc | 4.337% | 1/10/28 | 2,844 | 3,161 | ||
| Barclays plc | 3.564% | 9/23/35 | 1,500 | 1,478 | ||
| 4,9 | BNP Paribas SA | 2.219% | 6/9/26 | 1,360 | 1,400 | |
| 4,9 | BNP Paribas SA | 2.588% | 8/12/35 | 3,000 | 2,890 | |
| 10 | BPCE SA | 5.400% | 10/27/25 | 1,070 | 767 | |
| 9 | BPCE SA | 3.250% | 1/11/28 | 200 | 221 | |
| 4 | Capital One Bank USA NA | 2.280% | 1/28/26 | 1,853 | 1,928 | |
| 4 | Citigroup Inc. | 3.106% | 4/8/26 | 210 | 226 | |
| Citigroup Inc. | 3.400% | 5/1/26 | 331 | 368 | ||
| Citigroup Inc. | 3.200% | 10/21/26 | 1,524 | 1,680 | ||
| Citigroup Inc. | 4.450% | 9/29/27 | 1,907 | 2,207 | ||
| 4 | Citigroup Inc. | 3.887% | 1/10/28 | 200 | 226 | |
| 4 | Citigroup Inc. | 3.668% | 7/24/28 | 1,198 | 1,344 | |
| 4 | Citigroup Inc. | 3.520% | 10/27/28 | 200 | 222 | |
| 4 | Citigroup Inc. | 3.980% | 3/20/30 | 207 | 238 | |
| 4 | Citigroup Inc. | 4.412% | 3/31/31 | 248 | 297 | |
| 4 | Citigroup Inc. | 2.572% | 6/3/31 | 650 | 681 | |
| 4 | Citigroup Inc. | 3.878% | 1/24/39 | 1,500 | 1,768 | |
| Citigroup Inc. | 4.650% | 7/23/48 | 1,000 | 1,313 | ||
| 9 | Commonwealth Bank of Australia | 3.350% | 6/4/24 | 200 | 219 | |
| 9 | Commonwealth Bank of Australia | 3.150% | 9/19/27 | 223 | 250 | |
| 9 | Commonwealth Bank of Australia | 3.743% | 9/12/39 | 1,000 | 1,102 | |
| Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 1,500 | 1,661 | ||
| 9 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 200 | 213 | |
| Credit Suisse AG | 3.625% | 9/9/24 | 556 | 615 | ||
| Credit Suisse AG | 2.950% | 4/9/25 | 3,400 | 3,710 | ||
| 9 | Danske Bank A/S | 1.171% | 12/8/23 | 4,000 | 3,999 | |
| 4 | Deutsche Bank AG | 2.222% | 9/18/24 | 1,350 | 1,359 | |
| Discover Bank | 4.250% | 3/13/26 | 3,700 | 4,207 | ||
| Fifth Third Bank | 2.250% | 2/1/27 | 200 | 214 | ||
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 359 | 393 | ||
| Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 1,859 | 2,066 | ||
| 4 | Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 253 | 274 | |
| Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 207 | 233 | ||
| Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 200 | 224 | ||
| 4 | Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 344 | 386 | |
| 4 | Goldman Sachs Group Inc. | 4.223% | 5/1/29 | 1,750 | 2,041 | |
| Goldman Sachs Group Inc. | 2.600% | 2/7/30 | 207 | 219 |
20
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Goldman Sachs Group Inc. | 4.411% | 4/23/39 | 958 | 1,157 | |
| 4 | HSBC Holdings plc | 2.633% | 11/7/25 | 1,670 | 1,727 | |
| HSBC Holdings plc | 4.300% | 3/8/26 | 215 | 242 | ||
| 4 | HSBC Holdings plc | 1.645% | 4/18/26 | 1,905 | 1,893 | |
| HSBC Holdings plc | 3.900% | 5/25/26 | 257 | 284 | ||
| 4 | HSBC Holdings plc | 2.099% | 6/4/26 | 4,449 | 4,505 | |
| 4 | HSBC Holdings plc | 4.292% | 9/12/26 | 200 | 223 | |
| 4 | HSBC Holdings plc | 4.041% | 3/13/28 | 652 | 719 | |
| 4 | HSBC Holdings plc | 2.013% | 9/22/28 | 2,000 | 1,966 | |
| 4 | HSBC Holdings plc | 4.583% | 6/19/29 | 348 | 400 | |
| 4 | HSBC Holdings plc | 3.973% | 5/22/30 | 248 | 277 | |
| 4,11 | HSBC Holdings plc | 3.000% | 5/29/30 | 600 | 825 | |
| 4 | HSBC Holdings plc | 2.848% | 6/4/31 | 2,995 | 3,096 | |
| 4 | HSBC Holdings plc | 2.357% | 8/18/31 | 1,000 | 987 | |
| ING Groep NV | 3.950% | 3/29/27 | 214 | 245 | ||
| ING Groep NV | 4.050% | 4/9/29 | 236 | 276 | ||
| 9 | Intesa Sanpaolo SPA | 3.250% | 9/23/24 | 500 | 526 | |
| 9 | Intesa Sanpaolo SPA | 4.000% | 9/23/29 | 200 | 218 | |
| 11 | Intesa Sanpaolo SPA | 2.500% | 1/15/30 | 1,100 | 1,430 | |
| 4 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 7,223 | 7,945 | |
| 4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 284 | 304 | |
| JPMorgan Chase & Co. | 3.900% | 7/15/25 | 256 | 289 | ||
| 4 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 2,110 | 2,186 | |
| 4 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 2,030 | 2,121 | |
| JPMorgan Chase & Co. | 3.200% | 6/15/26 | 303 | 336 | ||
| 4 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 207 | 233 | |
| 4 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 6,807 | 7,621 | |
| 4 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 473 | 532 | |
| 4 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 384 | 445 | |
| 4 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 200 | 240 | |
| 4 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 229 | 247 | |
| 4 | JPMorgan Chase & Co. | 3.882% | 7/24/38 | 2,750 | 3,249 | |
| 4 | JPMorgan Chase & Co. | 3.964% | 11/15/48 | 660 | 800 | |
| 4 | JPMorgan Chase & Co. | 3.109% | 4/22/51 | 1,350 | 1,434 | |
| KeyBank NA | 3.300% | 6/1/25 | 200 | 223 | ||
| Lloyds Banking Group plc | 4.450% | 5/8/25 | 240 | 271 | ||
| 4 | Lloyds Banking Group plc | 3.870% | 7/9/25 | 1,593 | 1,746 | |
| Lloyds Banking Group plc | 3.750% | 1/11/27 | 576 | 638 | ||
| Lloyds Banking Group plc | 4.375% | 3/22/28 | 248 | 287 | ||
| Lloyds Banking Group plc | 4.550% | 8/16/28 | 200 | 235 | ||
| 8,10 | Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 0.000% | 1.490% | 3/7/25 | 1,000 | 706 | |
| Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 200 | 210 | ||
| Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 753 | 839 | ||
| Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 3,665 | 3,722 | ||
| Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 360 | 409 | ||
| Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 265 | 291 | ||
| Mitsubishi UFJ Financial Group Inc. | 3.751% | 7/18/39 | 515 | 597 | ||
| 4 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 248 | 260 | |
| 4 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 200 | 218 | |
| Morgan Stanley | 2.750% | 5/19/22 | 2,100 | 2,176 | ||
| Morgan Stanley | 4.000% | 7/23/25 | 244 | 275 | ||
| Morgan Stanley | 3.875% | 1/27/26 | 707 | 806 | ||
| 4 | Morgan Stanley | 2.188% | 4/28/26 | 2,070 | 2,168 | |
| Morgan Stanley | 3.625% | 1/20/27 | 573 | 648 |
21
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Morgan Stanley | 3.591% | 7/22/28 | 751 | 841 | |
| 4 | Morgan Stanley | 2.699% | 1/22/31 | 500 | 532 | |
| 4 | Morgan Stanley | 3.622% | 4/1/31 | 265 | 303 | |
| 4 | Morgan Stanley | 3.971% | 7/22/38 | 1,000 | 1,173 | |
| 4 | Morgan Stanley | 4.457% | 4/22/39 | 525 | 659 | |
| Morgan Stanley | 4.300% | 1/27/45 | 725 | 920 | ||
| Natwest Group plc | 3.875% | 9/12/23 | 600 | 644 | ||
| 4 | Natwest Group plc | 4.269% | 3/22/25 | 700 | 759 | |
| 4 | Natwest Group plc | 3.073% | 5/22/28 | 1,175 | 1,238 | |
| 11 | NIBC Bank NV | 3.125% | 11/15/23 | 1,800 | 2,402 | |
| 12 | NIBC Bank NV | 0.875% | 7/8/25 | 700 | 817 | |
| 4,12 | OP Corporate Bank plc | 1.625% | 6/9/30 | 2,611 | 3,122 | |
| PNC Bank NA | 3.300% | 10/30/24 | 250 | 274 | ||
| PNC Bank NA | 2.950% | 2/23/25 | 259 | 283 | ||
| PNC Bank NA | 3.250% | 6/1/25 | 505 | 559 | ||
| PNC Bank NA | 3.100% | 10/25/27 | 623 | 693 | ||
| PNC Bank NA | 3.250% | 1/22/28 | 250 | 280 | ||
| PNC Bank NA | 2.700% | 10/22/29 | 200 | 214 | ||
| PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 269 | 294 | ||
| PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 403 | 463 | ||
| Royal Bank of Canada | 2.550% | 7/16/24 | 1,520 | 1,626 | ||
| Royal Bank of Canada | 2.250% | 11/1/24 | 938 | 994 | ||
| Santander Holdings USA Inc. | 3.500% | 6/7/24 | 290 | 311 | ||
| Santander Holdings USA Inc. | 4.400% | 7/13/27 | 1,746 | 1,919 | ||
| Santander UK plc | 2.875% | 6/18/24 | 200 | 213 | ||
| 9 | Skandinaviska Enskilda Banken AB | 0.850% | 9/2/25 | 6,500 | 6,499 | |
| 4,9 | State Street Corp. | 2.825% | 3/30/23 | 200 | 207 | |
| State Street Corp. | 3.300% | 12/16/24 | 343 | 378 | ||
| State Street Corp. | 3.550% | 8/18/25 | 282 | 319 | ||
| 4 | State Street Corp. | 2.354% | 11/1/25 | 244 | 258 | |
| State Street Corp. | 2.400% | 1/24/30 | 223 | 243 | ||
| Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 200 | 213 | ||
| Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 290 | 328 | ||
| Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 427 | 459 | ||
| Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 200 | 223 | ||
| Sumitomo Mitsui Financial Group Inc. | 3.040% | 7/16/29 | 588 | 642 | ||
| Sumitomo Mitsui Financial Group Inc. | 2.750% | 1/15/30 | 273 | 292 | ||
| Synchrony Financial | 3.950% | 12/1/27 | 6,640 | 7,128 | ||
| Toronto-Dominion Bank | 2.650% | 6/12/24 | 146 | 156 | ||
| Toronto-Dominion Bank | 1.150% | 6/12/25 | 230 | 233 | ||
| Truist Bank | 3.200% | 4/1/24 | 517 | 559 | ||
| Truist Bank | 1.500% | 3/10/25 | 200 | 205 | ||
| Truist Bank | 3.625% | 9/16/25 | 250 | 281 | ||
| Truist Bank | 4.050% | 11/3/25 | 290 | 335 | ||
| US Bancorp | 3.700% | 1/30/24 | 366 | 403 | ||
| US Bancorp | 2.400% | 7/30/24 | 358 | 381 | ||
| US Bancorp | 1.450% | 5/12/25 | 1,600 | 1,650 | ||
| US Bancorp | 2.375% | 7/22/26 | 302 | 329 | ||
| US Bancorp | 3.150% | 4/27/27 | 256 | 289 | ||
| US Bancorp | 3.000% | 7/30/29 | 200 | 221 | ||
| Wells Fargo & Co. | 3.000% | 2/19/25 | 544 | 587 | ||
| 4 | Wells Fargo & Co. | 2.164% | 2/11/26 | 3,256 | 3,381 | |
| Wells Fargo & Co. | 3.000% | 4/22/26 | 504 | 548 | ||
| 4 | Wells Fargo & Co. | 2.188% | 4/30/26 | 3,600 | 3,739 | |
| Wells Fargo & Co. | 3.000% | 10/23/26 | 545 | 595 |
22
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Wells Fargo & Co. | 3.196% | 6/17/27 | 200 | 218 | |
| Wells Fargo & Co. | 4.300% | 7/22/27 | 4,500 | 5,154 | ||
| 4 | Wells Fargo & Co. | 3.584% | 5/22/28 | 244 | 272 | |
| 4,12 | Wells Fargo & Co. | 1.741% | 5/4/30 | 2,100 | 2,593 | |
| 4 | Wells Fargo & Co. | 2.879% | 10/30/30 | 2,332 | 2,488 | |
| 4 | Wells Fargo & Co. | 3.068% | 4/30/41 | 2,750 | 2,858 | |
| Wells Fargo & Co. | 4.400% | 6/14/46 | 750 | 888 | ||
| 4 | Wells Fargo & Co. | 5.013% | 4/4/51 | 450 | 617 | |
| 11 | Wells Fargo Bank NA | 5.250% | 8/1/23 | 900 | 1,299 | |
| Westpac Banking Corp. | 2.350% | 2/19/25 | 273 | 291 | ||
| Westpac Banking Corp. | 2.850% | 5/13/26 | 200 | 221 | ||
| Westpac Banking Corp. | 3.350% | 3/8/27 | 528 | 604 | ||
| 4,10 | Westpac Banking Corp. | 4.334% | 8/16/29 | 1,920 | 1,456 | |
| 4 | Westpac Banking Corp. | 2.894% | 2/4/30 | 2,700 | 2,787 | |
| 4 | Westpac Banking Corp. | 4.322% | 11/23/31 | 200 | 226 | |
| Brokerage (0.6%) | ||||||
| Affiliated Managers Group Inc. | 3.300% | 6/15/30 | 2,307 | 2,464 | ||
| Ameriprise Financial Inc. | 3.700% | 10/15/24 | 207 | 231 | ||
| Ameriprise Financial Inc. | 3.000% | 4/2/25 | 694 | 759 | ||
| BlackRock Inc. | 3.200% | 3/15/27 | 200 | 227 | ||
| BlackRock Inc. | 2.400% | 4/30/30 | 315 | 342 | ||
| BlackRock Inc. | 1.900% | 1/28/31 | 3,880 | 4,021 | ||
| 12 | Blackstone Property Partners Europe Holdings Sarl | 0.500% | 9/12/23 | 3,200 | 3,729 | |
| Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 200 | 223 | ||
| Brookfield Finance Inc. | 3.900% | 1/25/28 | 200 | 223 | ||
| Charles Schwab Corp. | 3.850% | 5/21/25 | 422 | 477 | ||
| Charles Schwab Corp. | 3.200% | 1/25/28 | 206 | 232 | ||
| Charles Schwab Corp. | 3.250% | 5/22/29 | 220 | 253 | ||
| Intercontinental Exchange Inc. | 0.700% | 6/15/23 | 2,120 | 2,125 | ||
| Intercontinental Exchange Inc. | 2.650% | 9/15/40 | 2,950 | 2,935 | ||
| Intercontinental Exchange Inc. | 3.000% | 9/15/60 | 1,470 | 1,486 | ||
| Invesco Finance plc | 4.000% | 1/30/24 | 200 | 218 | ||
| Invesco Finance plc | 5.375% | 11/30/43 | 590 | 727 | ||
| Lazard Group LLC | 4.500% | 9/19/28 | 262 | 306 | ||
| TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 383 | 430 | ||
| TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 200 | 224 | ||
| Finance Companies (0.3%) | ||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 9/15/23 | 4,525 | 4,655 | ||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.450% | 4/3/26 | 2,050 | 2,038 | ||
| Air Lease Corp. | 2.875% | 1/15/26 | 1,600 | 1,577 | ||
| Air Lease Corp. | 3.750% | 6/1/26 | 1,269 | 1,286 | ||
| 9 | GE Capital Funding LLC | 3.450% | 5/15/25 | 1,250 | 1,338 | |
| Insurance (1.3%) | ||||||
| Aflac Inc. | 4.750% | 1/15/49 | 1,250 | 1,596 | ||
| American International Group Inc. | 2.500% | 6/30/25 | 245 | 262 | ||
| American International Group Inc. | 4.500% | 7/16/44 | 1,367 | 1,603 | ||
| American International Group Inc. | 4.800% | 7/10/45 | 715 | 871 | ||
| American International Group Inc. | 4.375% | 6/30/50 | 1,716 | 2,002 | ||
| Anthem Inc. | 3.650% | 12/1/27 | 1,985 | 2,254 |
23
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Anthem Inc. | 3.125% | 5/15/50 | 2,450 | 2,472 | ||
| Aon Corp. | 2.800% | 5/15/30 | 200 | 216 | ||
| Aon plc | 4.600% | 6/14/44 | 478 | 607 | ||
| Aon plc | 4.750% | 5/15/45 | 505 | 656 | ||
| Berkshire Hathaway Finance Corp. | 4.200% | 8/15/48 | 420 | 536 | ||
| Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 2,427 | 2,703 | ||
| Centene Corp. | 4.750% | 1/15/25 | 80 | 82 | ||
| Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 270 | 296 | ||
| Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 318 | 351 | ||
| Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 329 | 373 | ||
| Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 1,040 | 1,022 | ||
| Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 1,710 | 2,236 | ||
| Enstar Group Ltd. | 4.950% | 6/1/29 | 1,630 | 1,803 | ||
| 9 | Great-West Lifeco US Finance 2020 LP | 0.904% | 8/12/25 | 1,920 | 1,915 | |
| Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 343 | 375 | ||
| Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 254 | 281 | ||
| Marsh & McLennan Cos. Inc. | 4.375% | 3/15/29 | 336 | 405 | ||
| MetLife Inc. | 4.550% | 3/23/30 | 1,400 | 1,752 | ||
| 11 | Phoenix Group Holdings plc | 6.625% | 12/18/25 | 595 | 916 | |
| 11 | Phoenix Group Holdings plc | 5.625% | 4/28/31 | 200 | 294 | |
| Progressive Corp. | 3.200% | 3/26/30 | 200 | 228 | ||
| 9 | Protective Life Corp. | 4.300% | 9/30/28 | 200 | 225 | |
| Prudential Financial Inc. | 2.100% | 3/10/30 | 655 | 681 | ||
| Prudential Financial Inc. | 3.935% | 12/7/49 | 445 | 504 | ||
| 4,12 | Sampo Oyj | 3.375% | 5/23/49 | 855 | 1,104 | |
| 9 | Securian Financial Group Inc. | 4.800% | 4/15/48 | 85 | 100 | |
| UnitedHealth Group Inc. | 2.375% | 8/15/24 | 1,275 | 1,355 | ||
| UnitedHealth Group Inc. | 3.750% | 7/15/25 | 386 | 440 | ||
| UnitedHealth Group Inc. | 3.375% | 4/15/27 | 4,558 | 5,174 | ||
| UnitedHealth Group Inc. | 2.950% | 10/15/27 | 323 | 361 | ||
| UnitedHealth Group Inc. | 3.850% | 6/15/28 | 245 | 288 | ||
| UnitedHealth Group Inc. | 3.875% | 12/15/28 | 1,412 | 1,674 | ||
| UnitedHealth Group Inc. | 2.875% | 8/15/29 | 360 | 400 | ||
| UnitedHealth Group Inc. | 2.000% | 5/15/30 | 200 | 209 | ||
| UnitedHealth Group Inc. | 2.750% | 5/15/40 | 850 | 888 | ||
| UnitedHealth Group Inc. | 4.375% | 3/15/42 | 535 | 665 | ||
| Willis North America Inc. | 2.950% | 9/15/29 | 1,585 | 1,706 | ||
| Willis North America Inc. | 3.875% | 9/15/49 | 680 | 781 | ||
| Other Finance (0.1%) | ||||||
| 11 | Aroundtown SA | 3.625% | 4/10/31 | 900 | 1,240 | |
| 12 | Logicor Financing Sarl | 3.250% | 11/13/28 | 800 | 1,064 | |
| 12 | Samhallsbyggnadsbolaget i Norden AB | 1.000% | 8/12/27 | 1,200 | 1,350 | |
| Real Estate Investment Trusts (1.3%) | ||||||
| Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 206 | 229 | ||
| Alexandria Real Estate Equities Inc. | 1.875% | 2/1/33 | 5,000 | 4,900 | ||
| AvalonBay Communities Inc. | 2.950% | 5/11/26 | 200 | 221 | ||
| AvalonBay Communities Inc. | 2.300% | 3/1/30 | 248 | 263 | ||
| Brixmor Operating Partnership LP | 4.050% | 7/1/30 | 2,500 | 2,674 | ||
| Corporate Office Properties LP | 2.250% | 3/15/26 | 2,000 | 2,022 | ||
| Digital Realty Trust LP | 3.600% | 7/1/29 | 200 | 229 | ||
| ERP Operating LP | 3.375% | 6/1/25 | 200 | 221 | ||
| ERP Operating LP | 4.150% | 12/1/28 | 229 | 273 | ||
| Federal Realty Investment Trust | 3.950% | 1/15/24 | 4,825 | 5,216 |
24
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 775 | 846 | ||
| Healthpeak Properties Inc. | 3.000% | 1/15/30 | 1,300 | 1,403 | ||
| Kimco Realty Corp. | 3.400% | 11/1/22 | 850 | 896 | ||
| Kimco Realty Corp. | 3.300% | 2/1/25 | 400 | 430 | ||
| Kimco Realty Corp. | 1.900% | 3/1/28 | 4,000 | 3,944 | ||
| 9 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 4.250% | 2/1/27 | 95 | 82 | |
| Mid-America Apartments LP | 2.750% | 3/15/30 | 200 | 214 | ||
| Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 200 | 218 | ||
| 12 | Prologis Euro Finance LLC | 1.500% | 9/10/49 | 600 | 716 | |
| Public Storage | 3.385% | 5/1/29 | 267 | 308 | ||
| Realty Income Corp. | 3.875% | 4/15/25 | 208 | 235 | ||
| Realty Income Corp. | 4.125% | 10/15/26 | 384 | 445 | ||
| 11 | Realty Income Corp. | 1.625% | 12/15/30 | 1,475 | 1,888 | |
| Sabra Health Care LP | 5.125% | 8/15/26 | 2,391 | 2,591 | ||
| Sabra Health Care LP | 3.900% | 10/15/29 | 200 | 195 | ||
| Simon Property Group LP | 3.750% | 2/1/24 | 236 | 254 | ||
| Simon Property Group LP | 2.000% | 9/13/24 | 214 | 221 | ||
| Simon Property Group LP | 3.500% | 9/1/25 | 2,945 | 3,227 | ||
| Simon Property Group LP | 3.250% | 11/30/26 | 203 | 221 | ||
| Simon Property Group LP | 3.375% | 12/1/27 | 200 | 214 | ||
| Simon Property Group LP | 2.650% | 7/15/30 | 2,670 | 2,684 | ||
| 9 | Trust Fibra Uno | 6.390% | 1/15/50 | 1,375 | 1,372 | |
| UDR Inc. | 2.950% | 9/1/26 | 185 | 202 | ||
| VEREIT Operating Partnership LP | 3.950% | 8/15/27 | 1,515 | 1,611 | ||
| VEREIT Operating Partnership LP | 3.400% | 1/15/28 | 1,550 | 1,618 | ||
| Welltower Inc. | 4.250% | 4/1/26 | 600 | 686 | ||
| 365,106 | ||||||
| Industrial (21.7%) | ||||||
| Basic Industry (1.2%) | ||||||
| 9 | Air Liquide Finance SA | 2.500% | 9/27/26 | 200 | 218 | |
| 9 | Air Liquide Finance SA | 2.250% | 9/10/29 | 1,725 | 1,839 | |
| Air Products and Chemicals Inc. | 2.700% | 5/15/40 | 1,040 | 1,104 | ||
| 9 | Arconic Corp. | 6.000% | 5/15/25 | 60 | 64 | |
| 9 | Axalta Coating Systems LLC | 4.875% | 8/15/24 | 150 | 153 | |
| 9 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV | 4.750% | 6/15/27 | 90 | 92 | |
| 9 | Big River Steel LLC / BRS Finance Corp. | 6.625% | 1/31/29 | 150 | 152 | |
| 9 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.400% | 12/1/26 | 2,102 | 2,311 | |
| 9 | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | 3.700% | 6/1/28 | 200 | 222 | |
| Dow Chemical Co. | 3.625% | 5/15/26 | 257 | 284 | ||
| 12 | Dow Chemical Co. | 0.500% | 3/15/27 | 1,040 | 1,181 | |
| 12 | Dow Chemical Co. | 1.125% | 3/15/32 | 500 | 559 | |
| Dow Chemical Co. | 4.375% | 11/15/42 | 300 | 339 | ||
| DuPont de Nemours Inc. | 4.205% | 11/15/23 | 500 | 550 | ||
| DuPont de Nemours Inc. | 4.493% | 11/15/25 | 997 | 1,149 | ||
| DuPont de Nemours Inc. | 5.319% | 11/15/38 | 380 | 480 | ||
| Eastman Chemical Co. | 3.800% | 3/15/25 | 200 | 220 | ||
| Ecolab Inc. | 1.300% | 1/30/31 | 3,000 | 2,925 | ||
| Ecolab Inc. | 2.125% | 8/15/50 | 1,000 | 915 | ||
| 9 | Element Solutions Inc. | 3.875% | 9/1/28 | 350 | 343 | |
| FMC Corp. | 4.500% | 10/1/49 | 135 | 168 | ||
| Freeport-McMoRan Inc. | 4.375% | 8/1/28 | 250 | 256 | ||
25
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Freeport-McMoRan Inc. | 4.625% | 8/1/30 | 190 | 200 | ||
| 9 | Georgia-Pacific LLC | 1.750% | 9/30/25 | 1,985 | 2,069 | |
| 9 | Georgia-Pacific LLC | 2.100% | 4/30/27 | 207 | 217 | |
| 9 | Graphic Packaging International LLC | 4.750% | 7/15/27 | 200 | 217 | |
| 9 | Graphic Packaging International LLC | 3.500% | 3/15/28 | 90 | 90 | |
| 9 | Graphic Packaging International LLC | 3.500% | 3/1/29 | 86 | 87 | |
| 9 | Hudbay Minerals Inc. | 6.125% | 4/1/29 | 190 | 187 | |
| International Paper Co. | 7.300% | 11/15/39 | 300 | 441 | ||
| International Paper Co. | 4.350% | 8/15/48 | 400 | 486 | ||
| LYB International Finance III LLC | 2.875% | 5/1/25 | 420 | 450 | ||
| LYB International Finance III LLC | 3.375% | 5/1/30 | 1,000 | 1,091 | ||
| Newmont Corp. | 2.800% | 10/1/29 | 3,385 | 3,661 | ||
| Newmont Corp. | 2.250% | 10/1/30 | 535 | 551 | ||
| 9 | Novelis Corp. | 4.750% | 1/30/30 | 40 | 39 | |
| Nucor Corp. | 2.000% | 6/1/25 | 430 | 449 | ||
| Nucor Corp. | 2.700% | 6/1/30 | 790 | 847 | ||
| Nutrien Ltd. | 4.125% | 3/15/35 | 180 | 207 | ||
| Nutrien Ltd. | 4.900% | 6/1/43 | 2,246 | 2,753 | ||
| Nutrien Ltd. | 5.250% | 1/15/45 | 115 | 144 | ||
| 9 | OCI NV | 5.250% | 11/1/24 | 110 | 113 | |
| 9 | OCI NV | 4.625% | 10/15/25 | 135 | 135 | |
| Packaging Corp. of America | 3.400% | 12/15/27 | 230 | 257 | ||
| Packaging Corp. of America | 4.050% | 12/15/49 | 150 | 179 | ||
| Praxair Inc. | 2.000% | 8/10/50 | 1,000 | 900 | ||
| Sherwin-Williams Co. | 4.200% | 1/15/22 | 1,285 | 1,334 | ||
| Sherwin-Williams Co. | 4.500% | 6/1/47 | 310 | 383 | ||
| Sherwin-Williams Co. | 3.300% | 5/15/50 | 1,000 | 1,058 | ||
| Steel Dynamics Inc. | 2.400% | 6/15/25 | 555 | 581 | ||
| Steel Dynamics Inc. | 3.450% | 4/15/30 | 1,570 | 1,723 | ||
| Vale Overseas Ltd. | 6.250% | 8/10/26 | 159 | 187 | ||
| 12 | Vale SA | 3.750% | 1/10/23 | 1,300 | 1,597 | |
| 9 | WR Grace & Co-Conn | 4.875% | 6/15/27 | 55 | 57 | |
| WRKCo Inc. | 4.650% | 3/15/26 | 2,599 | 3,049 | ||
| WRKCo Inc. | 4.000% | 3/15/28 | 325 | 373 | ||
| WRKCo Inc. | 3.900% | 6/1/28 | 1,000 | 1,139 | ||
| Capital Goods (2.8%) | ||||||
| 3M Co. | 2.250% | 9/19/26 | 200 | 217 | ||
| 3M Co. | 3.700% | 4/15/50 | 871 | 1,052 | ||
| 12 | Airbus Finance BV | 1.375% | 5/13/31 | 450 | 523 | |
| 9 | Airbus SE | 3.150% | 4/10/27 | 221 | 233 | |
| 9 | American Builders & Contractors Supply Co. Inc. | 5.875% | 5/15/26 | 30 | 31 | |
| 9 | American Builders & Contractors Supply Co. Inc. | 4.000% | 1/15/28 | 155 | 158 | |
| 9 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 4/30/25 | 116 | 121 | |
| 9 | Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. | 5.250% | 8/15/27 | 250 | 255 | |
| 9 | BAE Systems plc | 1.900% | 2/15/31 | 3,000 | 2,968 | |
| Ball Corp. | 5.000% | 3/15/22 | 65 | 68 | ||
| Ball Corp. | 4.875% | 3/15/26 | 140 | 156 | ||
| Ball Corp. | 2.875% | 8/15/30 | 564 | 547 | ||
| 9 | Berry Global Inc. | 4.875% | 7/15/26 | 172 | 182 | |
| 9 | Berry Global Inc. | 5.625% | 7/15/27 | 220 | 230 |
26
Core Bond Fund
27
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 12 | Raytheon Technologies Corp. | 2.150% | 5/18/30 | 1,400 | 1,823 | |
| Raytheon Technologies Corp. | 4.625% | 11/16/48 | 2,900 | 3,774 | ||
| 9 | Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 5.125% | 7/15/23 | 8 | 8 | |
| 9 | Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 4.000% | 10/15/27 | 470 | 473 | |
| Roper Technologies Inc. | 2.000% | 6/30/30 | 200 | 204 | ||
| Silgan Holdings Inc. | 4.125% | 2/1/28 | 120 | 122 | ||
| 9 | Specialty Building Products Holdings LLC / SBP Finance Corp. | 6.375% | 9/30/26 | 22 | 22 | |
| 9 | Spirit AeroSystems Inc. | 5.500% | 1/15/25 | 120 | 121 | |
| 9 | Standard Industries Inc. | 5.000% | 2/15/27 | 61 | 63 | |
| 9 | Standard Industries Inc. | 4.375% | 7/15/30 | 95 | 97 | |
| Stanley Black & Decker Inc. | 3.400% | 3/1/26 | 265 | 297 | ||
| Stanley Black & Decker Inc. | 2.300% | 3/15/30 | 1,126 | 1,200 | ||
| 9 | TransDigm Inc. | 8.000% | 12/15/25 | 25 | 27 | |
| 9 | TransDigm Inc. | 6.250% | 3/15/26 | 250 | 261 | |
| TransDigm Inc. | 5.500% | 11/15/27 | 465 | 446 | ||
| 9 | Trivium Packaging Finance BV | 5.500% | 8/15/26 | 35 | 36 | |
| 9 | Trivium Packaging Finance BV | 8.500% | 8/15/27 | 95 | 101 | |
| United Rentals North America Inc. | 4.625% | 10/15/25 | 125 | 128 | ||
| United Rentals North America Inc. | 3.875% | 11/15/27 | 955 | 984 | ||
| 9 | WESCO Distribution Inc. | 7.250% | 6/15/28 | 540 | 590 | |
| Communication (3.6%) | ||||||
| Activision Blizzard Inc. | 2.500% | 9/15/50 | 2,990 | 2,752 | ||
| American Tower Corp. | 2.400% | 3/15/25 | 200 | 212 | ||
| American Tower Corp. | 3.375% | 10/15/26 | 1,940 | 2,154 | ||
| American Tower Corp. | 2.750% | 1/15/27 | 200 | 215 | ||
| AT&T Inc. | 3.400% | 5/15/25 | 500 | 552 | ||
| AT&T Inc. | 3.600% | 7/15/25 | 45 | 50 | ||
| AT&T Inc. | 3.875% | 1/15/26 | 3,040 | 3,446 | ||
| AT&T Inc. | 4.125% | 2/17/26 | 493 | 564 | ||
| AT&T Inc. | 2.300% | 6/1/27 | 414 | 434 | ||
| AT&T Inc. | 4.350% | 3/1/29 | 1,280 | 1,499 | ||
| AT&T Inc. | 4.300% | 2/15/30 | 200 | 236 | ||
| AT&T Inc. | 4.500% | 5/15/35 | 700 | 825 | ||
| AT&T Inc. | 4.900% | 8/15/37 | 500 | 604 | ||
| AT&T Inc. | 4.300% | 12/15/42 | 2,100 | 2,366 | ||
| AT&T Inc. | 4.500% | 3/9/48 | 1,650 | 1,883 | ||
| AT&T Inc. | 3.650% | 6/1/51 | 1,280 | 1,284 | ||
| 9 | AT&T Inc. | 3.550% | 9/15/55 | 1,238 | 1,189 | |
| 9 | AT&T Inc. | 3.650% | 9/15/59 | 567 | 556 | |
| 9 | Cablevision Lightpath LLC | 3.875% | 9/15/27 | 45 | 45 | |
| 9 | Cablevision Lightpath LLC | 5.625% | 9/15/28 | 45 | 46 | |
| 9 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.750% | 3/1/30 | 370 | 390 | |
| 9 | CCO Holdings LLC / CCO Holdings Capital Corp. | 4.250% | 2/1/31 | 105 | 108 | |
| Charter Communications Operating LLC / Charter Communications Operating Capital | 4.908% | 7/23/25 | 589 | 680 | ||
| Charter Communications Operating LLC / Charter Communications Operating Capital | 4.800% | 3/1/50 | 1,390 | 1,583 | ||
| Charter Communications Operating LLC / Charter Communications Operating Capital | 3.700% | 4/1/51 | 750 | 736 |
28
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Comcast Corp. | 3.375% | 8/15/25 | 9,304 | 10,376 | ||
| Comcast Corp. | 3.150% | 3/1/26 | 452 | 502 | ||
| Comcast Corp. | 2.350% | 1/15/27 | 445 | 478 | ||
| Comcast Corp. | 3.150% | 2/15/28 | 468 | 525 | ||
| Comcast Corp. | 4.150% | 10/15/28 | 523 | 629 | ||
| Comcast Corp. | 3.400% | 4/1/30 | 229 | 264 | ||
| Comcast Corp. | 1.950% | 1/15/31 | 1,300 | 1,334 | ||
| Comcast Corp. | 3.250% | 11/1/39 | 1,990 | 2,210 | ||
| Comcast Corp. | 3.750% | 4/1/40 | 3,970 | 4,636 | ||
| Comcast Corp. | 4.650% | 7/15/42 | 1,200 | 1,551 | ||
| Comcast Corp. | 4.700% | 10/15/48 | 168 | 222 | ||
| Comcast Corp. | 3.450% | 2/1/50 | 1,500 | 1,683 | ||
| Crown Castle International Corp. | 4.450% | 2/15/26 | 310 | 355 | ||
| Crown Castle International Corp. | 3.700% | 6/15/26 | 3,912 | 4,361 | ||
| Crown Castle International Corp. | 5.200% | 2/15/49 | 1,465 | 1,922 | ||
| 9 | CSC Holdings LLC | 5.375% | 2/1/28 | 245 | 259 | |
| 9 | CSC Holdings LLC | 5.750% | 1/15/30 | 185 | 197 | |
| 9 | CSC Holdings LLC | 4.625% | 12/1/30 | 515 | 516 | |
| Discovery Communications LLC | 3.900% | 11/15/24 | 35 | 39 | ||
| Discovery Communications LLC | 4.900% | 3/11/26 | 1,747 | 2,039 | ||
| Discovery Communications LLC | 4.650% | 5/15/50 | 765 | 869 | ||
| Fox Corp. | 3.050% | 4/7/25 | 180 | 196 | ||
| Fox Corp. | 5.476% | 1/25/39 | 2,020 | 2,696 | ||
| 9 | Front Range BidCo Inc. | 4.000% | 3/1/27 | 280 | 275 | |
| 9 | Front Range BidCo Inc. | 6.125% | 3/1/28 | 210 | 216 | |
| Lamar Media Corp. | 5.750% | 2/1/26 | 60 | 62 | ||
| 9 | Lamar Media Corp. | 3.750% | 2/15/28 | 137 | 136 | |
| 9 | Lamar Media Corp. | 4.875% | 1/15/29 | 75 | 78 | |
| 9 | Lamar Media Corp. | 4.000% | 2/15/30 | 118 | 118 | |
| 9 | Level 3 Financing Inc. | 4.625% | 9/15/27 | 400 | 410 | |
| 9 | Level 3 Financing Inc. | 4.250% | 7/1/28 | 190 | 193 | |
| 9 | Level 3 Financing Inc. | 3.625% | 1/15/29 | 410 | 405 | |
| 9 | Netflix Inc. | 3.625% | 6/15/25 | 575 | 598 | |
| 9 | Nexstar Broadcasting Inc. | 4.750% | 11/1/28 | 435 | 444 | |
| 9 | Nexstar Escrow Inc. | 5.625% | 7/15/27 | 255 | 267 | |
| 9 | Nielsen Finance LLC / Nielsen Finance Co. | 5.625% | 10/1/28 | 255 | 261 | |
| 9 | Nielsen Finance LLC / Nielsen Finance Co. | 5.875% | 10/1/30 | 200 | 207 | |
| RELX Capital Inc. | 3.000% | 5/22/30 | 1,000 | 1,093 | ||
| 9 | Sirius XM Radio Inc. | 4.625% | 7/15/24 | 65 | 67 | |
| 9 | Sirius XM Radio Inc. | 5.000% | 8/1/27 | 70 | 73 | |
| 9 | Sky Ltd. | 3.750% | 9/16/24 | 200 | 223 | |
| Sprint Corp. | 7.125% | 6/15/24 | 420 | 481 | ||
| Sprint Corp. | 7.625% | 3/1/26 | 65 | 78 | ||
| T-Mobile USA Inc. | 4.500% | 2/1/26 | 175 | 180 | ||
| 9 | T-Mobile USA Inc. | 1.500% | 2/15/26 | 3,430 | 3,441 | |
| 9 | T-Mobile USA Inc. | 3.750% | 4/15/27 | 2,013 | 2,253 | |
| 9 | T-Mobile USA Inc. | 3.875% | 4/15/30 | 3,424 | 3,897 | |
| 9 | T-Mobile USA Inc. | 3.000% | 2/15/41 | 3,590 | 3,524 | |
| 9 | T-Mobile USA Inc. | 3.300% | 2/15/51 | 990 | 974 | |
| 9 | TEGNA Inc. | 4.750% | 3/15/26 | 375 | 383 | |
| Telefonica Emisiones SAU | 4.103% | 3/8/27 | 3,000 | 3,411 | ||
| Telefonica Emisiones SAU | 4.665% | 3/6/38 | 400 | 457 | ||
| Telefonica Emisiones SAU | 5.213% | 3/8/47 | 2,000 | 2,370 | ||
| Time Warner Cable LLC | 4.500% | 9/15/42 | 1,200 | 1,300 | ||
| 9 | Twitter Inc. | 3.875% | 12/15/27 | 445 | 465 |
29
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Verizon Communications Inc. | 3.376% | 2/15/25 | 245 | 273 | ||
| 10 | Verizon Communications Inc. | 4.050% | 2/17/25 | 1,250 | 1,004 | |
| Verizon Communications Inc. | 4.125% | 3/16/27 | 458 | 540 | ||
| Verizon Communications Inc. | 3.000% | 3/22/27 | 2,675 | 2,978 | ||
| 10 | Verizon Communications Inc. | 4.500% | 8/17/27 | 500 | 426 | |
| Verizon Communications Inc. | 4.329% | 9/21/28 | 200 | 243 | ||
| Verizon Communications Inc. | 4.016% | 12/3/29 | 2,000 | 2,395 | ||
| Verizon Communications Inc. | 3.850% | 11/1/42 | 600 | 710 | ||
| Verizon Communications Inc. | 4.000% | 3/22/50 | 1,800 | 2,209 | ||
| ViacomCBS Inc. | 4.750% | 5/15/25 | 2,040 | 2,343 | ||
| ViacomCBS Inc. | 4.200% | 5/19/32 | 3,200 | 3,660 | ||
| ViacomCBS Inc. | 4.375% | 3/15/43 | 1,600 | 1,698 | ||
| 9 | Virgin Media Finance plc | 5.000% | 7/15/30 | 80 | 80 | |
| 9 | Virgin Media Secured Finance plc | 4.500% | 8/15/30 | 59 | 61 | |
| 9 | Virgin Media Vendor Financing Notes IV DAC | 5.000% | 7/15/28 | 170 | 170 | |
| 9 | Vmed O2 UK Financing I plc | 4.250% | 1/31/31 | 215 | 218 | |
| Vodafone Group plc | 4.375% | 5/30/28 | 327 | 386 | ||
| Vodafone Group plc | 5.250% | 5/30/48 | 1,500 | 1,934 | ||
| Walt Disney Co. | 1.750% | 8/30/24 | 1,447 | 1,506 | ||
| Walt Disney Co. | 3.350% | 3/24/25 | 590 | 655 | ||
| Walt Disney Co. | 1.750% | 1/13/26 | 439 | 457 | ||
| Walt Disney Co. | 3.375% | 11/15/26 | 375 | 424 | ||
| Walt Disney Co. | 3.700% | 3/23/27 | 1,630 | 1,873 | ||
| Walt Disney Co. | 2.000% | 9/1/29 | 273 | 282 | ||
| Walt Disney Co. | 2.650% | 1/13/31 | 760 | 819 | ||
| Walt Disney Co. | 3.500% | 5/13/40 | 1,200 | 1,356 | ||
| Walt Disney Co. | 4.125% | 12/1/41 | 400 | 485 | ||
| Walt Disney Co. | 4.700% | 3/23/50 | 1,000 | 1,323 | ||
| Walt Disney Co. | 3.600% | 1/13/51 | 825 | 930 | ||
| 9 | WMG Acquisition Corp. | 3.000% | 2/15/31 | 255 | 248 | |
| 11 | WPP Finance SA | 3.750% | 5/19/32 | 550 | 762 | |
| Consumer Cyclical (2.6%) | ||||||
| 9 | 1011778 BC ULC / New Red Finance Inc. | 5.000% | 10/15/25 | 52 | 53 | |
| 9 | 1011778 BC ULC / New Red Finance Inc. | 3.875% | 1/15/28 | 80 | 81 | |
| 9 | 1011778 BC ULC / New Red Finance Inc. | 4.375% | 1/15/28 | 265 | 271 | |
| 9 | Alimentation Couche-Tard Inc. | 3.550% | 7/26/27 | 221 | 247 | |
| 9 | Allison Transmission Inc. | 5.000% | 10/1/24 | 20 | 20 | |
| 9 | Allison Transmission Inc. | 4.750% | 10/1/27 | 205 | 212 | |
| Amazon.com Inc. | 1.200% | 6/3/27 | 248 | 252 | ||
| Amazon.com Inc. | 3.150% | 8/22/27 | 892 | 1,015 | ||
| American Honda Finance Corp. | 2.150% | 9/10/24 | 372 | 391 | ||
| American Honda Finance Corp. | 1.200% | 7/8/25 | 1,064 | 1,071 | ||
| 9 | ANGI Homeservices Inc. | 3.875% | 8/15/28 | 58 | 57 | |
| 9 | Asbury Automotive Group Inc. | 4.500% | 3/1/28 | 162 | 163 | |
| 9 | Asbury Automotive Group Inc. | 4.750% | 3/1/30 | 445 | 447 | |
| AutoZone Inc. | 3.625% | 4/15/25 | 1,278 | 1,426 | ||
| AutoZone Inc. | 4.000% | 4/15/30 | 1,380 | 1,635 | ||
| AutoZone Inc. | 1.650% | 1/15/31 | 4,580 | 4,494 | ||
| Block Financial LLC | 3.875% | 8/15/30 | 1,200 | 1,204 | ||
| BorgWarner Inc. | 2.650% | 7/1/27 | 207 | 218 | ||
| 9 | Burlington Coat Factory Warehouse Corp. | 6.250% | 4/15/25 | 170 | 179 | |
| 9 | Carnival Corp. | 11.500% | 4/1/23 | 157 | 176 | |
| 9 | Churchill Downs Inc. | 5.500% | 4/1/27 | 340 | 354 | |
| 9 | Churchill Downs Inc. | 4.750% | 1/15/28 | 198 | 199 |
30
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 9 | Clarios Global LP | 6.750% | 5/15/25 | 50 | 53 | |
| 9 | Colt Merger Sub Inc. | 5.750% | 7/1/25 | 19 | 20 | |
| 9 | Colt Merger Sub Inc. | 8.125% | 7/1/27 | 129 | 136 | |
| Costco Wholesale Corp. | 1.375% | 6/20/27 | 3,300 | 3,372 | ||
| Dana Inc. | 5.375% | 11/15/27 | 38 | 39 | ||
| Dana Inc. | 5.625% | 6/15/28 | 60 | 62 | ||
| Dollar General Corp. | 4.125% | 5/1/28 | 250 | 294 | ||
| Dollar General Corp. | 3.500% | 4/3/30 | 248 | 283 | ||
| eBay Inc. | 2.700% | 3/11/30 | 200 | 212 | ||
| 9 | Expedia Group Inc. | 6.250% | 5/1/25 | 135 | 148 | |
| 9 | Expedia Group Inc. | 7.000% | 5/1/25 | 65 | 70 | |
| 9 | Expedia Group Inc. | 4.625% | 8/1/27 | 195 | 204 | |
| 12 | FCE Bank plc | 1.660% | 2/11/21 | 800 | 930 | |
| Ford Motor Co. | 8.500% | 4/21/23 | 100 | 109 | ||
| Ford Motor Credit Co. LLC | 3.087% | 1/9/23 | 200 | 196 | ||
| Ford Motor Credit Co. LLC | 5.125% | 6/16/25 | 155 | 160 | ||
| Ford Motor Credit Co. LLC | 4.125% | 8/17/27 | 290 | 282 | ||
| Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 55 | 52 | ||
| General Motors Co. | 4.875% | 10/2/23 | 6,000 | 6,535 | ||
| General Motors Co. | 5.400% | 10/2/23 | 1,000 | 1,102 | ||
| General Motors Co. | 6.125% | 10/1/25 | 1,000 | 1,158 | ||
| General Motors Co. | 5.200% | 4/1/45 | 400 | 431 | ||
| General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 300 | 303 | ||
| General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 510 | 526 | ||
| General Motors Financial Co. Inc. | 5.200% | 3/20/23 | 4,000 | 4,331 | ||
| General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 1,242 | 1,307 | ||
| General Motors Financial Co. Inc. | 2.900% | 2/26/25 | 207 | 213 | ||
| General Motors Financial Co. Inc. | 4.350% | 4/9/25 | 213 | 231 | ||
| General Motors Financial Co. Inc. | 2.750% | 6/20/25 | 1,770 | 1,813 | ||
| Goodyear Tire & Rubber Co. | 9.500% | 5/31/25 | 110 | 120 | ||
| Goodyear Tire & Rubber Co. | 4.875% | 3/15/27 | 280 | 265 | ||
| 9 | Hilton Domestic Operating Co. Inc. | 5.375% | 5/1/25 | 1,020 | 1,056 | |
| 9 | Hilton Domestic Operating Co. Inc. | 5.750% | 5/1/28 | 70 | 74 | |
| Home Depot Inc. | 2.500% | 4/15/27 | 200 | 218 | ||
| Home Depot Inc. | 2.800% | 9/14/27 | 225 | 249 | ||
| Home Depot Inc. | 3.900% | 12/6/28 | 217 | 259 | ||
| Home Depot Inc. | 2.950% | 6/15/29 | 1,263 | 1,429 | ||
| Home Depot Inc. | 4.250% | 4/1/46 | 720 | 916 | ||
| Home Depot Inc. | 4.500% | 12/6/48 | 500 | 667 | ||
| Home Depot Inc. | 3.125% | 12/15/49 | 750 | 833 | ||
| 9 | International Game Technology plc | 6.250% | 1/15/27 | 25 | 27 | |
| 9 | International Game Technology plc | 5.250% | 1/15/29 | 120 | 121 | |
| 9 | Ken Garff Automotive LLC | 4.875% | 9/15/28 | 285 | 280 | |
| 9 | L Brands Inc. | 6.875% | 7/1/25 | 50 | 54 | |
| Lennar Corp. | 5.250% | 6/1/26 | 100 | 112 | ||
| Lennar Corp. | 4.750% | 11/29/27 | 5 | 6 | ||
| 9 | Lithia Motors Inc. | 4.375% | 1/15/31 | 80 | 80 | |
| 9 | Live Nation Entertainment Inc. | 5.625% | 3/15/26 | 20 | 19 | |
| 9 | Live Nation Entertainment Inc. | 6.500% | 5/15/27 | 95 | 102 | |
| 9 | Live Nation Entertainment Inc. | 4.750% | 10/15/27 | 120 | 112 | |
| Lowe’s Cos. Inc. | 3.100% | 5/3/27 | 1,180 | 1,314 | ||
| Lowe’s Cos. Inc. | 4.050% | 5/3/47 | 250 | 297 | ||
| Magna International Inc. | 2.450% | 6/15/30 | 200 | 210 | ||
| Marriott International Inc. | 4.625% | 6/15/30 | 540 | 577 | ||
| Mastercard Inc. | 3.300% | 3/26/27 | 200 | 229 |
31
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Mastercard Inc. | 3.650% | 6/1/49 | 614 | 751 | ||
| 9 | Mattamy Group Corp. | 4.625% | 3/1/30 | 60 | 61 | |
| McDonald’s Corp. | 2.625% | 9/1/29 | 2,700 | 2,935 | ||
| McDonald’s Corp. | 3.625% | 9/1/49 | 1,100 | 1,225 | ||
| McDonald’s Corp. | 4.200% | 4/1/50 | 1,695 | 2,060 | ||
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 5.625% | 5/1/24 | 235 | 248 | ||
| 9 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.625% | 6/15/25 | 361 | 368 | |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. | 4.500% | 9/1/26 | 122 | 124 | ||
| 9 | Michaels Stores Inc. | 4.750% | 10/1/27 | 110 | 109 | |
| 9 | Nissan Motor Co. Ltd. | 3.043% | 9/15/23 | 7,100 | 7,195 | |
| 9 | Panther BF Aggregator 2 LP / Panther Finance Co. Inc. | 8.500% | 5/15/27 | 640 | 664 | |
| Penske Automotive Group Inc. | 3.500% | 9/1/25 | 285 | 284 | ||
| PulteGroup Inc. | 5.500% | 3/1/26 | 280 | 318 | ||
| PulteGroup Inc. | 5.000% | 1/15/27 | 100 | 113 | ||
| 9 | Royal Caribbean Cruises Ltd. | 10.875% | 6/1/23 | 30 | 33 | |
| 9 | Royal Caribbean Cruises Ltd. | 9.125% | 6/15/23 | 25 | 26 | |
| 9 | Royal Caribbean Cruises Ltd. | 11.500% | 6/1/25 | 60 | 69 | |
| Starbucks Corp. | 3.500% | 3/1/28 | 335 | 381 | ||
| Starbucks Corp. | 3.500% | 11/15/50 | 600 | 637 | ||
| Target Corp. | 3.375% | 4/15/29 | 200 | 232 | ||
| TJX Cos. Inc. | 3.500% | 4/15/25 | 200 | 223 | ||
| TJX Cos. Inc. | 2.250% | 9/15/26 | 2,011 | 2,143 | ||
| TJX Cos. Inc. | 4.500% | 4/15/50 | 350 | 451 | ||
| Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 4,000 | 4,238 | ||
| Toyota Motor Credit Corp. | 1.800% | 2/13/25 | 66 | 69 | ||
| Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 279 | 326 | ||
| TRI Pointe Group Inc. | 5.700% | 6/15/28 | 205 | 224 | ||
| 9 | Vail Resorts Inc. | 6.250% | 5/15/25 | 691 | 731 | |
| Visa Inc. | 3.150% | 12/14/25 | 917 | 1,024 | ||
| Visa Inc. | 1.900% | 4/15/27 | 200 | 212 | ||
| Visa Inc. | 2.050% | 4/15/30 | 248 | 265 | ||
| 12 | Volkswagen Financial Services AG | 2.250% | 10/16/26 | 1,700 | 2,143 | |
| 9 | Volkswagen Group of America Finance LLC | 2.900% | 5/13/22 | 3,000 | 3,101 | |
| 9 | Volkswagen Group of America Finance LLC | 2.700% | 9/26/22 | 4,000 | 4,142 | |
| 9 | Volkswagen Group of America Finance LLC | 3.125% | 5/12/23 | 2,000 | 2,112 | |
| Walmart Inc. | 3.050% | 7/8/26 | 414 | 466 | ||
| Walmart Inc. | 3.700% | 6/26/28 | 331 | 390 | ||
| 9 | William Carter Co. | 5.500% | 5/15/25 | 230 | 242 | |
| 9 | Wyndham Hotels & Resorts Inc. | 4.375% | 8/15/28 | 162 | 157 | |
| Yum! Brands Inc. | 3.625% | 3/15/31 | 510 | 510 | ||
| Consumer Noncyclical (6.3%) | ||||||
| Abbott Laboratories | 4.900% | 11/30/46 | 1,019 | 1,443 | ||
| AbbVie Inc. | 3.375% | 11/14/21 | 4,000 | 4,129 | ||
| 9 | AbbVie Inc. | 2.600% | 11/21/24 | 2,238 | 2,369 | |
| 9 | AbbVie Inc. | 3.800% | 3/15/25 | 263 | 293 | |
| 9 | AbbVie Inc. | 2.950% | 11/21/26 | 2,563 | 2,781 | |
| 9 | AbbVie Inc. | 3.200% | 11/21/29 | 313 | 344 | |
| 9 | AbbVie Inc. | 4.050% | 11/21/39 | 2,765 | 3,149 | |
| AbbVie Inc. | 4.875% | 11/14/48 | 895 | 1,128 | ||
| 9 | AbbVie Inc. | 4.250% | 11/21/49 | 725 | 857 |
32
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 9 | Acadia Healthcare Co. Inc. | 5.000% | 4/15/29 | 120 | 121 | |
| Allina Health System | 3.887% | 4/15/49 | 1,000 | 1,214 | ||
| Altria Group Inc. | 2.350% | 5/6/25 | 1,000 | 1,056 | ||
| Altria Group Inc. | 4.400% | 2/14/26 | 2,570 | 2,961 | ||
| Altria Group Inc. | 5.800% | 2/14/39 | 2,000 | 2,541 | ||
| Altria Group Inc. | 5.375% | 1/31/44 | 325 | 404 | ||
| Altria Group Inc. | 5.950% | 2/14/49 | 135 | 181 | ||
| Altria Group Inc. | 4.450% | 5/6/50 | 300 | 335 | ||
| Amgen Inc. | 3.875% | 11/15/21 | 3,314 | 3,410 | ||
| Amgen Inc. | 2.200% | 2/21/27 | 2,609 | 2,755 | ||
| Amgen Inc. | 3.150% | 2/21/40 | 2,250 | 2,363 | ||
| Amgen Inc. | 3.375% | 2/21/50 | 750 | 809 | ||
| Amgen Inc. | 4.663% | 6/15/51 | 500 | 649 | ||
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 3.650% | 2/1/26 | 331 | 371 | ||
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | 4.700% | 2/1/36 | 3,090 | 3,710 | ||
| Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 250 | 280 | ||
| Anheuser-Busch InBev Worldwide Inc. | 4.150% | 1/23/25 | 290 | 328 | ||
| Anheuser-Busch InBev Worldwide Inc. | 4.000% | 4/13/28 | 348 | 402 | ||
| Anheuser-Busch InBev Worldwide Inc. | 5.450% | 1/23/39 | 750 | 969 | ||
| Anheuser-Busch InBev Worldwide Inc. | 4.350% | 6/1/40 | 1,000 | 1,161 | ||
| Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 1,117 | 1,374 | ||
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 2,400 | 2,549 | ||
| Anheuser-Busch InBev Worldwide Inc. | 4.600% | 4/15/48 | 545 | 656 | ||
| 9 | Aramark Services Inc. | 6.375% | 5/1/25 | 470 | 489 | |
| Aramark Services Inc. | 4.750% | 6/1/26 | 125 | 126 | ||
| 9 | Aramark Services Inc. | 5.000% | 2/1/28 | 60 | 60 | |
| AstraZeneca plc | 3.125% | 6/12/27 | 200 | 222 | ||
| BAT Capital Corp. | 3.215% | 9/6/26 | 200 | 215 | ||
| BAT Capital Corp. | 4.390% | 8/15/37 | 3,050 | 3,280 | ||
| BAT Capital Corp. | 4.540% | 8/15/47 | 1,550 | 1,642 | ||
| 9 | Bausch Health Cos. Inc. | 5.500% | 11/1/25 | 45 | 46 | |
| 9 | Bausch Health Cos. Inc. | 5.750% | 8/15/27 | 95 | 101 | |
| 9 | Bausch Health Cos. Inc. | 7.000% | 1/15/28 | 220 | 233 | |
| Becton Dickinson & Co. | 3.700% | 6/6/27 | 338 | 381 | ||
| Becton Dickinson & Co. | 4.669% | 6/6/47 | 300 | 368 | ||
| Biogen Inc. | 3.150% | 5/1/50 | 2,000 | 1,967 | ||
| Boston Scientific Corp. | 1.900% | 6/1/25 | 1,000 | 1,042 | ||
| Boston Scientific Corp. | 4.000% | 3/1/29 | 500 | 580 | ||
| Boston Scientific Corp. | 4.550% | 3/1/39 | 800 | 1,000 | ||
| 9 | BRF SA | 5.750% | 9/21/50 | 1,320 | 1,316 | |
| Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 331 | 359 | ||
| Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 200 | 229 | ||
| Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 2,361 | 2,634 | ||
| Bristol-Myers Squibb Co. | 3.450% | 11/15/27 | 532 | 612 | ||
| Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 870 | 1,022 | ||
| Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 2,962 | 3,458 | ||
| Bristol-Myers Squibb Co. | 4.550% | 2/20/48 | 875 | 1,182 | ||
| Bristol-Myers Squibb Co. | 4.250% | 10/26/49 | 450 | 590 | ||
| CHRISTUS Health | 4.341% | 7/1/28 | 200 | 234 | ||
| Cigna Corp. | 3.750% | 7/15/23 | 2,000 | 2,162 | ||
| Cigna Corp. | 4.800% | 8/15/38 | 1,730 | 2,145 | ||
| Cigna Corp. | 3.400% | 3/15/50 | 1,500 | 1,567 | ||
| Coca-Cola Co. | 2.500% | 3/15/51 | 1,100 | 1,091 |
33
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| CommonSpirit Health | 2.760% | 10/1/24 | 615 | 643 | ||
| Constellation Brands Inc. | 3.200% | 2/15/23 | 550 | 581 | ||
| Constellation Brands Inc. | 2.875% | 5/1/30 | 1,780 | 1,914 | ||
| Constellation Brands Inc. | 3.750% | 5/1/50 | 500 | 557 | ||
| CVS Health Corp. | 3.700% | 3/9/23 | 10,165 | 10,872 | ||
| CVS Health Corp. | 2.625% | 8/15/24 | 200 | 213 | ||
| CVS Health Corp. | 4.100% | 3/25/25 | 413 | 466 | ||
| CVS Health Corp. | 2.875% | 6/1/26 | 207 | 224 | ||
| CVS Health Corp. | 3.000% | 8/15/26 | 2,329 | 2,539 | ||
| CVS Health Corp. | 3.625% | 4/1/27 | 1,419 | 1,594 | ||
| CVS Health Corp. | 3.250% | 8/15/29 | 25 | 27 | ||
| CVS Health Corp. | 4.780% | 3/25/38 | 4,150 | 5,014 | ||
| CVS Health Corp. | 5.050% | 3/25/48 | 400 | 506 | ||
| CVS Health Corp. | 4.250% | 4/1/50 | 400 | 469 | ||
| 9 | DaVita Inc. | 4.625% | 6/1/30 | 235 | 241 | |
| 9 | DaVita Inc. | 3.750% | 2/15/31 | 350 | 337 | |
| DH Europe Finance II Sarl | 2.200% | 11/15/24 | 290 | 306 | ||
| DH Europe Finance II Sarl | 2.600% | 11/15/29 | 500 | 541 | ||
| DH Europe Finance II Sarl | 3.400% | 11/15/49 | 1,120 | 1,266 | ||
| Eli Lilly & Co. | 3.375% | 3/15/29 | 200 | 231 | ||
| Eli Lilly & Co. | 2.500% | 9/15/60 | 1,800 | 1,688 | ||
| 9 | Emergent BioSolutions Inc. | 3.875% | 8/15/28 | 85 | 85 | |
| Encompass Health Corp. | 4.500% | 2/1/28 | 270 | 271 | ||
| Encompass Health Corp. | 4.625% | 4/1/31 | 80 | 80 | ||
| General Mills Inc. | 2.600% | 10/12/22 | 5,000 | 5,203 | ||
| General Mills Inc. | 2.875% | 4/15/30 | 205 | 224 | ||
| General Mills Inc. | 4.700% | 4/17/48 | 1,040 | 1,413 | ||
| Gilead Sciences Inc. | 0.750% | 9/29/23 | 4,300 | 4,303 | ||
| Gilead Sciences Inc. | 3.500% | 2/1/25 | 675 | 746 | ||
| Gilead Sciences Inc. | 3.650% | 3/1/26 | 433 | 488 | ||
| Gilead Sciences Inc. | 2.950% | 3/1/27 | 1,750 | 1,924 | ||
| Gilead Sciences Inc. | 1.200% | 10/1/27 | 2,660 | 2,672 | ||
| GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 298 | 354 | ||
| GlaxoSmithKline Capital plc | 0.534% | 10/1/23 | 4,250 | 4,257 | ||
| GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 5,532 | 5,978 | ||
| GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 331 | 382 | ||
| HCA Inc. | 5.375% | 2/1/25 | 275 | 301 | ||
| HCA Inc. | 5.250% | 6/15/26 | 757 | 882 | ||
| HCA Inc. | 5.375% | 9/1/26 | 90 | 100 | ||
| HCA Inc. | 3.500% | 9/1/30 | 30 | 31 | ||
| HCA Inc. | 5.250% | 6/15/49 | 975 | 1,185 | ||
| 9 | Hill-Rom Holdings Inc. | 5.000% | 2/15/25 | 78 | 80 | |
| 9 | Hill-Rom Holdings Inc. | 4.375% | 9/15/27 | 270 | 278 | |
| Hormel Foods Corp. | 1.800% | 6/11/30 | 290 | 298 | ||
| 12 | JAB Holdings BV | 2.500% | 4/17/27 | 1,200 | 1,536 | |
| JM Smucker Co. | 3.375% | 12/15/27 | 273 | 305 | ||
| JM Smucker Co. | 3.550% | 3/15/50 | 1,200 | 1,318 | ||
| Johnson & Johnson | 2.450% | 9/1/60 | 1,700 | 1,700 | ||
| Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 3,550 | 3,977 | ||
| Kellogg Co. | 4.500% | 4/1/46 | 530 | 662 | ||
| Kimberly-Clark Corp. | 1.050% | 9/15/27 | 1,700 | 1,712 | ||
| Kimberly-Clark Corp. | 3.100% | 3/26/30 | 2,279 | 2,607 | ||
| 9 | Kraft Heinz Foods Co. | 3.875% | 5/15/27 | 225 | 238 | |
| Kroger Co. | 3.700% | 8/1/27 | 600 | 689 | ||
| Kroger Co. | 3.875% | 10/15/46 | 3,125 | 3,539 |
| 34 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Laboratory Corp. of America Holdings | 3.250% | 9/1/24 | 900 | 979 | ||
| 9 | Lamb Weston Holdings Inc. | 4.625% | 11/1/24 | 60 | 63 | |
| 9 | Lamb Weston Holdings Inc. | 4.875% | 11/1/26 | 160 | 167 | |
| 9 | Lamb Weston Holdings Inc. | 4.875% | 5/15/28 | 120 | 130 | |
| McCormick & Co. Inc. | 2.500% | 4/15/30 | 1,555 | 1,661 | ||
| McKesson Corp. | 3.950% | 2/16/28 | 750 | 873 | ||
| 12 | Medtronic Global Holdings SCA | 1.375% | 10/15/40 | 710 | 849 | |
| Medtronic Inc. | 4.625% | 3/15/45 | 600 | 823 | ||
| Merck & Co. Inc. | 3.400% | 3/7/29 | 331 | 385 | ||
| Merck & Co. Inc. | 1.450% | 6/24/30 | 240 | 243 | ||
| Merck & Co. Inc. | 4.000% | 3/7/49 | 925 | 1,165 | ||
| Mondelez International Inc. | 0.625% | 7/1/22 | 5,000 | 5,014 | ||
| Mondelez International Inc. | 2.125% | 4/13/23 | 950 | 986 | ||
| Mondelez International Inc. | 2.750% | 4/13/30 | 2,807 | 3,054 | ||
| Mondelez International Inc. | 1.875% | 10/15/32 | 2,650 | 2,644 | ||
| 4 | Mount Sinai Hospitals Group Inc. | 3.737% | 7/1/49 | 1,200 | 1,324 | |
| Mylan Inc. | 4.550% | 4/15/28 | 200 | 232 | ||
| Mylan Inc. | 5.200% | 4/15/48 | 500 | 618 | ||
| 12 | Mylan NV | 2.250% | 11/22/24 | 600 | 748 | |
| Mylan NV | 3.950% | 6/15/26 | 200 | 225 | ||
| 12 | Mylan NV | 3.125% | 11/22/28 | 550 | 742 | |
| 9 | Nestle Holdings Inc. | 1.000% | 9/15/27 | 2,500 | 2,490 | |
| Novartis Capital Corp. | 2.000% | 2/14/27 | 1,000 | 1,060 | ||
| Novartis Capital Corp. | 2.200% | 8/14/30 | 210 | 226 | ||
| PepsiCo Inc. | 4.450% | 4/14/46 | 1,000 | 1,321 | ||
| PepsiCo Inc. | 3.450% | 10/6/46 | 1,000 | 1,157 | ||
| 9 | Performance Food Group Inc. | 6.875% | 5/1/25 | 65 | 69 | |
| 9 | Performance Food Group Inc. | 5.500% | 10/15/27 | 298 | 307 | |
| Pfizer Inc. | 3.000% | 12/15/26 | 202 | 228 | ||
| Pfizer Inc. | 3.450% | 3/15/29 | 382 | 447 | ||
| Pfizer Inc. | 1.700% | 5/28/30 | 200 | 206 | ||
| Pfizer Inc. | 2.550% | 5/28/40 | 1,546 | 1,599 | ||
| Philip Morris International Inc. | 2.100% | 5/1/30 | 200 | 206 | ||
| Philip Morris International Inc. | 4.250% | 11/10/44 | 2,050 | 2,469 | ||
| 9 | Post Holdings Inc. | 5.000% | 8/15/26 | 130 | 133 | |
| 9 | Post Holdings Inc. | 5.750% | 3/1/27 | 70 | 74 | |
| 9 | Post Holdings Inc. | 4.625% | 4/15/30 | 147 | 151 | |
| Procter & Gamble Co. | 2.800% | 3/25/27 | 200 | 223 | ||
| Procter & Gamble Co. | 3.600% | 3/25/50 | 1,040 | 1,311 | ||
| 9 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 230 | 255 | |
| Reynolds American Inc. | 4.450% | 6/12/25 | 599 | 674 | ||
| Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 642 | 712 | ||
| Sysco Corp. | 5.650% | 4/1/25 | 1,000 | 1,183 | ||
| 9 | Takeda Pharmaceutical Co. Ltd. | 2.450% | 1/18/22 | 5,000 | 5,113 | |
| Takeda Pharmaceutical Co. Ltd. | 2.050% | 3/31/30 | 248 | 251 | ||
| Takeda Pharmaceutical Co. Ltd. | 3.025% | 7/9/40 | 2,000 | 2,075 | ||
| Takeda Pharmaceutical Co. Ltd. | 3.175% | 7/9/50 | 1,500 | 1,532 | ||
| 9 | Tenet Healthcare Corp. | 4.625% | 9/1/24 | 15 | 15 | |
| 9 | Tenet Healthcare Corp. | 7.500% | 4/1/25 | 15 | 16 | |
| 9 | Tenet Healthcare Corp. | 4.875% | 1/1/26 | 250 | 254 | |
| 9 | Tenet Healthcare Corp. | 6.250% | 2/1/27 | 205 | 211 | |
| Thermo Fisher Scientific Inc. | 4.133% | 3/25/25 | 425 | 484 | ||
| Tyson Foods Inc. | 4.000% | 3/1/26 | 348 | 398 | ||
| Tyson Foods Inc. | 4.350% | 3/1/29 | 259 | 314 |
| 35 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Tyson Foods Inc. | 4.550% | 6/2/47 | 2,000 | 2,505 | ||
| Tyson Foods Inc. | 5.100% | 9/28/48 | 310 | 426 | ||
| Unilever Capital Corp. | 2.600% | 5/5/24 | 400 | 428 | ||
| Unilever Capital Corp. | 2.125% | 9/6/29 | 294 | 311 | ||
| 9 | Upjohn Inc. | 1.650% | 6/22/25 | 1,500 | 1,533 | |
| 9 | Upjohn Inc. | 2.300% | 6/22/27 | 200 | 206 | |
| 9 | Upjohn Inc. | 3.850% | 6/22/40 | 3,050 | 3,296 | |
| 9 | VRX Escrow Corp. | 6.125% | 4/15/25 | 165 | 169 | |
| Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 215 | 238 | ||
| Zoetis Inc. | 3.000% | 5/15/50 | 1,670 | 1,782 | ||
| Energy (2.7%) | ||||||
| Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. | 3.337% | 12/15/27 | 248 | 263 | ||
| BP Capital Markets America Inc. | 3.194% | 4/6/25 | 248 | 272 | ||
| BP Capital Markets America Inc. | 3.796% | 9/21/25 | 347 | 392 | ||
| BP Capital Markets America Inc. | 3.410% | 2/11/26 | 444 | 495 | ||
| BP Capital Markets America Inc. | 3.119% | 5/4/26 | 679 | 748 | ||
| BP Capital Markets America Inc. | 3.017% | 1/16/27 | 248 | 272 | ||
| BP Capital Markets America Inc. | 3.543% | 4/6/27 | 3,000 | 3,361 | ||
| BP Capital Markets America Inc. | 4.234% | 11/6/28 | 925 | 1,093 | ||
| BP Capital Markets plc | 3.279% | 9/19/27 | 1,024 | 1,136 | ||
| 9 | Cameron LNG LLC | 3.701% | 1/15/39 | 1,000 | 1,123 | |
| Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 600 | 623 | ||
| Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 520 | 558 | ||
| Cenovus Energy Inc. | 3.000% | 8/15/22 | 145 | 141 | ||
| Cenovus Energy Inc. | 5.375% | 7/15/25 | 630 | 607 | ||
| Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/25 | 3,214 | 3,660 | ||
| 9 | Cheniere Energy Inc. | 4.625% | 10/15/28 | 305 | 313 | |
| Chevron Corp. | 1.554% | 5/11/25 | 491 | 508 | ||
| Chevron Corp. | 1.995% | 5/11/27 | 210 | 222 | ||
| Chevron Corp. | 2.978% | 5/11/40 | 500 | 537 | ||
| Chevron USA Inc. | 2.343% | 8/12/50 | 500 | 466 | ||
| Concho Resources Inc. | 2.400% | 2/15/31 | 350 | 334 | ||
| ConocoPhillips Co. | 4.950% | 3/15/26 | 1,397 | 1,668 | ||
| ConocoPhillips Co. | 4.300% | 11/15/44 | 265 | 316 | ||
| DCP Midstream Operating LP | 5.625% | 7/15/27 | 59 | 60 | ||
| Devon Energy Corp. | 5.850% | 12/15/25 | 300 | 336 | ||
| Devon Energy Corp. | 5.600% | 7/15/41 | 200 | 202 | ||
| Diamondback Energy Inc. | 4.750% | 5/31/25 | 250 | 269 | ||
| Diamondback Energy Inc. | 3.250% | 12/1/26 | 1,687 | 1,689 | ||
| Dominion Energy Gas Holdings LLC | 3.600% | 12/15/24 | 200 | 220 | ||
| Enbridge Energy Partners LP | 5.500% | 9/15/40 | 125 | 149 | ||
| Enbridge Inc. | 3.125% | 11/15/29 | 700 | 742 | ||
| Enbridge Inc. | 4.000% | 11/15/49 | 300 | 318 | ||
| 9 | Endeavor Energy Resources LP / EER Finance Inc. | 6.625% | 7/15/25 | 45 | 46 | |
| 9 | Endeavor Energy Resources LP / EER Finance Inc. | 5.750% | 1/30/28 | 105 | 105 | |
| Energy Transfer Operating LP | 5.500% | 6/1/27 | 1,572 | 1,727 | ||
| Energy Transfer Operating LP | 3.750% | 5/15/30 | 1,770 | 1,715 | ||
| Energy Transfer Operating LP | 6.250% | 4/15/49 | 400 | 412 | ||
| Energy Transfer Operating LP | 5.000% | 5/15/50 | 200 | 184 | ||
| Energy Transfer Partners LP | 6.050% | 6/1/41 | 700 | 701 |
| 36 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Energy Transfer Partners LP | 6.500% | 2/1/42 | 400 | 418 | ||
| Enterprise Products Operating LLC | 4.050% | 2/15/22 | 3,000 | 3,135 | ||
| Enterprise Products Operating LLC | 5.950% | 2/1/41 | 300 | 375 | ||
| Enterprise Products Operating LLC | 4.850% | 3/15/44 | 900 | 1,018 | ||
| Enterprise Products Operating LLC | 5.100% | 2/15/45 | 2,000 | 2,315 | ||
| Enterprise Products Operating LLC | 4.800% | 2/1/49 | 500 | 569 | ||
| EOG Resources Inc. | 3.150% | 4/1/25 | 249 | 272 | ||
| 9 | EQM Midstream Partners LP | 6.500% | 7/1/27 | 155 | 164 | |
| EQT Corp. | 3.000% | 10/1/22 | 120 | 117 | ||
| Exxon Mobil Corp. | 2.992% | 3/19/25 | 200 | 219 | ||
| Exxon Mobil Corp. | 2.275% | 8/16/26 | 538 | 575 | ||
| Exxon Mobil Corp. | 2.610% | 10/15/30 | 1,731 | 1,862 | ||
| 12 | Exxon Mobil Corp. | 1.408% | 6/26/39 | 1,000 | 1,151 | |
| Exxon Mobil Corp. | 4.227% | 3/19/40 | 1,235 | 1,509 | ||
| Exxon Mobil Corp. | 3.452% | 4/15/51 | 655 | 719 | ||
| 9 | Gray Oak Pipeline LLC | 2.600% | 10/15/25 | 455 | 457 | |
| Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 500 | 550 | ||
| Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 611 | 745 | ||
| Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 300 | 351 | ||
| Kinder Morgan Inc. | 5.300% | 12/1/34 | 1,500 | 1,782 | ||
| Kinder Morgan Inc. | 5.550% | 6/1/45 | 500 | 595 | ||
| Magellan Midstream Partners LP | 4.200% | 10/3/47 | 290 | 300 | ||
| Marathon Petroleum Corp. | 4.750% | 12/15/23 | 1,222 | 1,337 | ||
| Marathon Petroleum Corp. | 4.700% | 5/1/25 | 2,732 | 3,084 | ||
| Marathon Petroleum Corp. | 5.125% | 12/15/26 | 290 | 337 | ||
| Marathon Petroleum Corp. | 4.500% | 4/1/48 | 200 | 202 | ||
| 9 | MEG Energy Corp. | 6.500% | 1/15/25 | 114 | 111 | |
| MPLX LP | 1.750% | 3/1/26 | 2,850 | 2,846 | ||
| MPLX LP | 2.650% | 8/15/30 | 1,615 | 1,583 | ||
| MPLX LP | 4.500% | 4/15/38 | 300 | 306 | ||
| MPLX LP | 4.700% | 4/15/48 | 900 | 912 | ||
| Noble Energy Inc. | 3.250% | 10/15/29 | 1,000 | 1,109 | ||
| NuStar Logistics LP | 5.750% | 10/1/25 | 55 | 57 | ||
| NuStar Logistics LP | 6.375% | 10/1/30 | 230 | 238 | ||
| Occidental Petroleum Corp. | 2.700% | 8/15/22 | 170 | 159 | ||
| Occidental Petroleum Corp. | 5.875% | 9/1/25 | 86 | 79 | ||
| Occidental Petroleum Corp. | 5.550% | 3/15/26 | 200 | 181 | ||
| Occidental Petroleum Corp. | 6.625% | 9/1/30 | 58 | 53 | ||
| ONEOK Inc. | 3.400% | 9/1/29 | 500 | 490 | ||
| Phillips 66 | 3.700% | 4/6/23 | 450 | 481 | ||
| Phillips 66 | 3.850% | 4/9/25 | 202 | 224 | ||
| Phillips 66 Partners LP | 3.605% | 2/15/25 | 305 | 322 | ||
| Pioneer Natural Resources Co. | 1.900% | 8/15/30 | 2,400 | 2,253 | ||
| Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 1,310 | 1,397 | ||
| 9 | Rattler Midstream LP | 5.625% | 7/15/25 | 60 | 60 | |
| Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 2,000 | 2,120 | ||
| Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 1,669 | 1,974 | ||
| Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 475 | 479 | ||
| Shell International Finance BV | 0.375% | 9/15/23 | 3,550 | 3,536 | ||
| Shell International Finance BV | 3.250% | 5/11/25 | 517 | 571 | ||
| Shell International Finance BV | 2.875% | 5/10/26 | 441 | 488 | ||
| Shell International Finance BV | 2.375% | 11/7/29 | 1,245 | 1,313 | ||
| Shell International Finance BV | 4.550% | 8/12/43 | 500 | 616 |
| 37 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Shell International Finance BV | 3.750% | 9/12/46 | 500 | 557 | ||
| Shell International Finance BV | 3.125% | 11/7/49 | 1,300 | 1,335 | ||
| Southwestern Energy Co. | 8.375% | 9/15/28 | 148 | 145 | ||
| Suncor Energy Inc. | 3.100% | 5/15/25 | 1,485 | 1,596 | ||
| Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 2,000 | 2,277 | ||
| 9 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | 7.500% | 10/1/25 | 20 | 20 | |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp. | 6.500% | 7/15/27 | 120 | 125 | ||
| Total Capital International SA | 2.434% | 1/10/25 | 267 | 284 | ||
| Total Capital International SA | 2.829% | 1/10/30 | 200 | 221 | ||
| TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 190 | 205 | ||
| TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 244 | 287 | ||
| TransCanada PipeLines Ltd. | 4.250% | 5/15/28 | 155 | 178 | ||
| TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 1,155 | 1,353 | ||
| TransCanada PipeLines Ltd. | 4.750% | 5/15/38 | 800 | 945 | ||
| TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 1,000 | 1,201 | ||
| TransCanada PipeLines Ltd. | 4.875% | 5/15/48 | 600 | 740 | ||
| 9 | Transcontinental Gas Pipe Line Co. LLC | 3.250% | 5/15/30 | 780 | 840 | |
| Valero Energy Corp. | 1.200% | 3/15/24 | 910 | 908 | ||
| Valero Energy Corp. | 2.850% | 4/15/25 | 740 | 775 | ||
| Valero Energy Corp. | 2.150% | 9/15/27 | 1,035 | 1,028 | ||
| Valero Energy Corp. | 4.350% | 6/1/28 | 300 | 333 | ||
| Valero Energy Corp. | 4.900% | 3/15/45 | 100 | 111 | ||
| Western Midstream Operating LP | 5.050% | 2/1/30 | 160 | 154 | ||
| Williams Cos. Inc. | 3.750% | 6/15/27 | 1,785 | 1,957 | ||
| Williams Cos. Inc. | 6.300% | 4/15/40 | 200 | 247 | ||
| WPX Energy Inc. | 5.875% | 6/15/28 | 65 | 68 | ||
| WPX Energy Inc. | 4.500% | 1/15/30 | 115 | 114 | ||
| Other Industrial (0.0%) | ||||||
| Hillenbrand Inc. | 5.750% | 6/15/25 | 76 | 82 | ||
| 9 | Williams Scotsman International Inc. | 4.625% | 8/15/28 | 129 | 129 | |
| Technology (1.6%) | ||||||
| Adobe Inc. | 2.150% | 2/1/27 | 2,309 | 2,476 | ||
| Alphabet Inc. | 1.100% | 8/15/30 | 3,060 | 3,033 | ||
| Apple Inc. | 2.750% | 1/13/25 | 557 | 604 | ||
| Apple Inc. | 3.250% | 2/23/26 | 730 | 821 | ||
| Apple Inc. | 2.450% | 8/4/26 | 577 | 629 | ||
| Apple Inc. | 2.050% | 9/11/26 | 579 | 619 | ||
| Apple Inc. | 3.350% | 2/9/27 | 341 | 389 | ||
| Apple Inc. | 3.200% | 5/11/27 | 464 | 527 | ||
| Apple Inc. | 2.900% | 9/12/27 | 422 | 474 | ||
| Apple Inc. | 3.850% | 5/4/43 | 3,375 | 4,202 | ||
| Apple Inc. | 2.950% | 9/11/49 | 925 | 1,011 | ||
| Applied Materials Inc. | 3.300% | 4/1/27 | 284 | 322 | ||
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 1,484 | 1,645 | ||
| Broadcom Inc. | 4.700% | 4/15/25 | 1,540 | 1,747 | ||
| Broadcom Inc. | 5.000% | 4/15/30 | 1,450 | 1,709 | ||
| CDW LLC / CDW Finance Corp. | 4.125% | 5/1/25 | 125 | 129 | ||
| CDW LLC / CDW Finance Corp. | 4.250% | 4/1/28 | 130 | 134 | ||
| CDW LLC / CDW Finance Corp. | 3.250% | 2/15/29 | 322 | 320 |
| 38 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 9 | CommScope Finance LLC | 5.500% | 3/1/24 | 10 | 10 | |
| 9 | CommScope Finance LLC | 8.250% | 3/1/27 | 85 | 88 | |
| 9 | CommScope Inc. | 6.000% | 3/1/26 | 45 | 47 | |
| 9 | CommScope Inc. | 7.125% | 7/1/28 | 59 | 60 | |
| 9 | Dell International LLC / EMC Corp. | 6.100% | 7/15/27 | 1,490 | 1,760 | |
| 9 | Dell International LLC / EMC Corp. | 6.200% | 7/15/30 | 256 | 306 | |
| Fiserv Inc. | 3.800% | 10/1/23 | 80 | 87 | ||
| Fiserv Inc. | 3.200% | 7/1/26 | 375 | 416 | ||
| Fiserv Inc. | 4.400% | 7/1/49 | 400 | 502 | ||
| 9 | Gartner Inc. | 4.500% | 7/1/28 | 155 | 162 | |
| 9 | Gartner Inc. | 3.750% | 10/1/30 | 145 | 147 | |
| Intel Corp. | 3.150% | 5/11/27 | 44 | 49 | ||
| Intel Corp. | 2.450% | 11/15/29 | 237 | 258 | ||
| Intel Corp. | 4.750% | 3/25/50 | 1,210 | 1,659 | ||
| International Business Machines Corp. | 3.625% | 2/12/24 | 306 | 336 | ||
| International Business Machines Corp. | 3.300% | 5/15/26 | 2,696 | 3,037 | ||
| International Business Machines Corp. | 3.500% | 5/15/29 | 296 | 342 | ||
| International Business Machines Corp. | 4.250% | 5/15/49 | 275 | 342 | ||
| Intuit Inc. | 0.950% | 7/15/25 | 1,950 | 1,968 | ||
| Intuit Inc. | 1.350% | 7/15/27 | 1,170 | 1,187 | ||
| Juniper Networks Inc. | 3.750% | 8/15/29 | 237 | 271 | ||
| Microsoft Corp. | 2.525% | 6/1/50 | 2,700 | 2,814 | ||
| 9 | NCR Corp. | 8.125% | 4/15/25 | 35 | 39 | |
| 9 | NCR Corp. | 5.000% | 10/1/28 | 29 | 29 | |
| 9 | NCR Corp. | 5.250% | 10/1/30 | 29 | 29 | |
| NVIDIA Corp. | 3.700% | 4/1/60 | 550 | 653 | ||
| 9 | ON Semiconductor Corp. | 3.875% | 9/1/28 | 115 | 117 | |
| Oracle Corp. | 3.400% | 7/8/24 | 200 | 219 | ||
| Oracle Corp. | 2.950% | 11/15/24 | 371 | 403 | ||
| Oracle Corp. | 2.500% | 4/1/25 | 200 | 214 | ||
| Oracle Corp. | 2.950% | 5/15/25 | 328 | 357 | ||
| Oracle Corp. | 2.650% | 7/15/26 | 298 | 325 | ||
| Oracle Corp. | 2.950% | 4/1/30 | 921 | 1,027 | ||
| Oracle Corp. | 3.600% | 4/1/50 | 1,300 | 1,452 | ||
| PayPal Holdings Inc. | 2.400% | 10/1/24 | 3,065 | 3,253 | ||
| Qorvo Inc. | 4.375% | 10/15/29 | 150 | 159 | ||
| 9 | Qorvo Inc. | 3.375% | 4/1/31 | 115 | 117 | |
| QUALCOMM Inc. | 3.250% | 5/20/27 | 569 | 638 | ||
| 9 | QualityTech LP / QTS Finance Corp. | 3.875% | 10/1/28 | 155 | 156 | |
| 9 | Sabre GLBL Inc. | 9.250% | 4/15/25 | 205 | 225 | |
| 9 | Sabre GLBL Inc. | 7.375% | 9/1/25 | 144 | 144 | |
| 9 | Seagate HDD Cayman | 4.125% | 1/15/31 | 700 | 758 | |
| 9 | SS&C Technologies Inc. | 5.500% | 9/30/27 | 90 | 95 | |
| 9 | Switch Ltd. | 3.750% | 9/15/28 | 130 | 131 | |
| Tyco Electronics Group SA | 3.700% | 2/15/26 | 209 | 234 | ||
| Tyco Electronics Group SA | 3.125% | 8/15/27 | 238 | 259 | ||
| Verisk Analytics Inc. | 4.125% | 3/15/29 | 1,265 | 1,490 | ||
| VMware Inc. | 3.900% | 8/21/27 | 2,540 | 2,830 | ||
| VMware Inc. | 4.700% | 5/15/30 | 840 | 999 | ||
| Western Digital Corp. | 4.750% | 2/15/26 | 213 | 230 | ||
| Transportation (0.9%) | ||||||
| 9 | Air Canada | 7.750% | 4/15/21 | 115 | 115 | |
| 10 | Aurizon Network Pty Ltd. | 4.000% | 6/21/24 | 2,500 | 1,935 |
| 39 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 309 | 339 | ||
| Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,000 | 1,353 | ||
| Burlington Northern Santa Fe LLC | 3.550% | 2/15/50 | 304 | 355 | ||
| Burlington Northern Santa Fe LLC | 3.050% | 2/15/51 | 3,320 | 3,603 | ||
| 9 | Cargo Aircraft Management Inc. | 4.750% | 2/1/28 | 160 | 162 | |
| CSX Corp. | 3.250% | 6/1/27 | 353 | 398 | ||
| CSX Corp. | 4.250% | 3/15/29 | 2,960 | 3,563 | ||
| CSX Corp. | 3.800% | 4/15/50 | 1,000 | 1,186 | ||
| Delta Air Lines Inc. | 2.900% | 10/28/24 | 80 | 71 | ||
| 9 | Delta Air Lines Inc. | 7.000% | 5/1/25 | 335 | 368 | |
| Delta Air Lines Inc. | 7.375% | 1/15/26 | 230 | 241 | ||
| 4,9 | Delta Air Lines Inc. / SkyMiles IP Ltd. | 4.750% | 10/20/28 | 2,650 | 2,753 | |
| FedEx Corp. | 4.250% | 5/15/30 | 100 | 120 | ||
| FedEx Corp. | 3.875% | 8/1/42 | 300 | 330 | ||
| FedEx Corp. | 5.250% | 5/15/50 | 900 | 1,204 | ||
| 4,9 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | 6.500% | 6/20/27 | 394 | 410 | |
| Norfolk Southern Corp. | 3.050% | 5/15/50 | 1,660 | 1,748 | ||
| Southwest Airlines Co. | 5.250% | 5/4/25 | 938 | 1,033 | ||
| Southwest Airlines Co. | 5.125% | 6/15/27 | 1,000 | 1,092 | ||
| Southwest Airlines Co. | 2.625% | 2/10/30 | 2,250 | 2,122 | ||
| Union Pacific Corp. | 3.500% | 6/8/23 | 275 | 296 | ||
| Union Pacific Corp. | 3.150% | 3/1/24 | 490 | 529 | ||
| Union Pacific Corp. | 2.150% | 2/5/27 | 4,315 | 4,598 | ||
| Union Pacific Corp. | 3.250% | 2/5/50 | 1,005 | 1,104 | ||
| Union Pacific Corp. | 3.750% | 2/5/70 | 650 | 733 | ||
| United Parcel Service Inc. | 2.200% | 9/1/24 | 207 | 219 | ||
| United Parcel Service Inc. | 3.050% | 11/15/27 | 250 | 283 | ||
| 748,189 | ||||||
| Utilities (3.0%) | ||||||
| Electric (2.8%) | ||||||
| AEP Transmission Co. LLC | 3.750% | 12/1/47 | 500 | 589 | ||
| AEP Transmission Co. LLC | 3.800% | 6/15/49 | 750 | 903 | ||
| Ameren Corp. | 3.500% | 1/15/31 | 700 | 800 | ||
| Appalachian Power Co. | 4.500% | 3/1/49 | 500 | 629 | ||
| 9 | Berkshire Hathaway Energy Co. | 3.700% | 7/15/30 | 200 | 235 | |
| 9 | Berkshire Hathaway Energy Co. | 4.250% | 10/15/50 | 1,000 | 1,252 | |
| 9 | Calpine Corp. | 4.500% | 2/15/28 | 220 | 225 | |
| 9 | Calpine Corp. | 5.125% | 3/15/28 | 145 | 150 | |
| 9 | Calpine Corp. | 4.625% | 2/1/29 | 65 | 65 | |
| 9 | Calpine Corp. | 5.000% | 2/1/31 | 30 | 30 | |
| 9 | Clearway Energy Operating LLC | 4.750% | 3/15/28 | 164 | 170 | |
| Commonwealth Edison Co. | 3.800% | 10/1/42 | 685 | 793 | ||
| Commonwealth Edison Co. | 3.750% | 8/15/47 | 490 | 582 | ||
| Connecticut Light & Power Co. | 3.200% | 3/15/27 | 1,600 | 1,789 | ||
| Connecticut Light & Power Co. | 4.150% | 6/1/45 | 250 | 316 | ||
| Connecticut Light & Power Co. | 4.000% | 4/1/48 | 307 | 389 | ||
| Consolidated Edison Co. of New York Inc. | 3.950% | 4/1/50 | 34 | 41 | ||
| Consumers Energy Co. | 3.950% | 7/15/47 | 900 | 1,117 | ||
| Dominion Energy Inc. | 2.750% | 1/15/22 | 500 | 517 | ||
| Dominion Energy Inc. | 3.300% | 3/15/25 | 1,125 | 1,242 | ||
| Dominion Energy Inc. | 4.250% | 6/1/28 | 1,280 | 1,506 | ||
| Dominion Energy Inc. | 3.375% | 4/1/30 | 720 | 811 | ||
| Dominion Energy Inc. | 4.050% | 9/15/42 | 500 | 592 | ||
| 40 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Dominion Energy South Carolina Inc. | 4.600% | 6/15/43 | 530 | 691 | ||
| DTE Electric Co. | 2.250% | 3/1/30 | 921 | 975 | ||
| DTE Electric Co. | 2.625% | 3/1/31 | 200 | 219 | ||
| DTE Electric Co. | 3.700% | 3/15/45 | 225 | 263 | ||
| DTE Electric Co. | 4.050% | 5/15/48 | 500 | 624 | ||
| DTE Electric Co. | 2.950% | 3/1/50 | 400 | 422 | ||
| DTE Energy Co. | 2.600% | 6/15/22 | 4,000 | 4,130 | ||
| Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 3,932 | 4,385 | ||
| Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 970 | 1,051 | ||
| Duke Energy Carolinas LLC | 2.450% | 2/1/30 | 200 | 217 | ||
| Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 250 | 354 | ||
| Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 1,528 | 1,903 | ||
| Duke Energy Corp. | 3.750% | 9/1/46 | 2,000 | 2,276 | ||
| Duke Energy Corp. | 3.950% | 8/15/47 | 400 | 465 | ||
| Duke Energy Florida LLC | 3.800% | 7/15/28 | 241 | 283 | ||
| Duke Energy Florida LLC | 2.500% | 12/1/29 | 255 | 276 | ||
| Duke Energy Florida LLC | 1.750% | 6/15/30 | 290 | 295 | ||
| Duke Energy Indiana LLC | 2.750% | 4/1/50 | 1,200 | 1,226 | ||
| Duke Energy Progress LLC | 4.100% | 5/15/42 | 400 | 486 | ||
| 12 | Elenia Finance Oyj | 0.375% | 2/6/27 | 2,990 | 3,513 | |
| Entergy Arkansas Inc. | 3.500% | 4/1/26 | 202 | 229 | ||
| Entergy Corp. | 2.800% | 6/15/30 | 200 | 216 | ||
| Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 1,200 | 1,420 | ||
| Entergy Louisiana LLC | 3.120% | 9/1/27 | 220 | 245 | ||
| Entergy Louisiana LLC | 4.200% | 9/1/48 | 500 | 639 | ||
| Entergy Louisiana LLC | 2.900% | 3/15/51 | 500 | 523 | ||
| Entergy Texas Inc. | 4.000% | 3/30/29 | 1,000 | 1,171 | ||
| Entergy Texas Inc. | 3.550% | 9/30/49 | 705 | 789 | ||
| Evergy Inc. | 2.900% | 9/15/29 | 3,130 | 3,358 | ||
| Eversource Energy | 1.650% | 8/15/30 | 855 | 851 | ||
| Eversource Energy | 3.450% | 1/15/50 | 1,995 | 2,215 | ||
| Exelon Corp. | 3.950% | 6/15/25 | 330 | 372 | ||
| Exelon Corp. | 4.050% | 4/15/30 | 400 | 468 | ||
| Exelon Corp. | 5.625% | 6/15/35 | 200 | 265 | ||
| Exelon Corp. | 5.100% | 6/15/45 | 1,000 | 1,310 | ||
| Exelon Corp. | 4.450% | 4/15/46 | 1,000 | 1,212 | ||
| Florida Power & Light Co. | 4.125% | 2/1/42 | 1,417 | 1,772 | ||
| Florida Power & Light Co. | 3.800% | 12/15/42 | 1,035 | 1,253 | ||
| Georgia Power Co. | 2.200% | 9/15/24 | 207 | 218 | ||
| National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 309 | 363 | ||
| National Rural Utilities Cooperative Finance Corp. | 2.400% | 3/15/30 | 16 | 17 | ||
| National Rural Utilities Cooperative Finance Corp. | 4.300% | 3/15/49 | 500 | 649 | ||
| NextEra Energy Capital Holdings Inc. | 3.150% | 4/1/24 | 307 | 331 | ||
| NextEra Energy Capital Holdings Inc. | 2.750% | 5/1/25 | 2,707 | 2,924 | ||
| NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 605 | 686 | ||
| NextEra Energy Capital Holdings Inc. | 2.250% | 6/1/30 | 1,000 | 1,035 | ||
| Northern States Power Co. | 6.250% | 6/1/36 | 500 | 734 | ||
| NRG Energy Inc. | 7.250% | 5/15/26 | 70 | 74 | ||
| NSTAR Electric Co. | 3.200% | 5/15/27 | 421 | 471 | ||
| Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 1,300 | 1,418 | ||
| Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 374 | 440 |
| 41 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 1,140 | 1,354 | ||
| Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 1,010 | 1,223 | ||
| Pacific Gas & Electric Co. | 3.300% | 12/1/27 | 1,000 | 1,025 | ||
| Pacific Gas and Electric Co. | 1.750% | 6/16/22 | 1,705 | 1,704 | ||
| Pacific Gas and Electric Co. | 3.300% | 8/1/40 | 250 | 229 | ||
| Pacific Gas and Electric Co. | 3.500% | 8/1/50 | 340 | 306 | ||
| PacifiCorp | 5.250% | 6/15/35 | 313 | 437 | ||
| PacifiCorp | 4.125% | 1/15/49 | 525 | 649 | ||
| PacifiCorp | 4.150% | 2/15/50 | 865 | 1,081 | ||
| 9 | Pattern Energy Operations LP / Pattern Energy Operations Inc. | 4.500% | 8/15/28 | 120 | 124 | |
| PECO Energy Co. | 4.150% | 10/1/44 | 1,515 | 1,891 | ||
| PECO Energy Co. | 3.700% | 9/15/47 | 1,285 | 1,534 | ||
| PECO Energy Co. | 3.900% | 3/1/48 | 40 | 50 | ||
| PG&E Corp. | 5.250% | 7/1/30 | 155 | 150 | ||
| PPL Capital Funding Inc. | 4.125% | 4/15/30 | 505 | 595 | ||
| Public Service Co. of Colorado | 6.250% | 9/1/37 | 550 | 824 | ||
| Public Service Co. of Colorado | 3.800% | 6/15/47 | 1,000 | 1,213 | ||
| Public Service Co. of Colorado | 4.050% | 9/15/49 | 500 | 630 | ||
| Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 1,000 | 1,094 | ||
| Public Service Electric & Gas Co. | 3.200% | 5/15/29 | 261 | 298 | ||
| Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 806 | 986 | ||
| Public Service Electric & Gas Co. | 3.600% | 12/1/47 | 500 | 594 | ||
| Southern California Edison Co. | 4.000% | 4/1/47 | 315 | 337 | ||
| Southern California Edison Co. | 4.875% | 3/1/49 | 95 | 113 | ||
| Southern Co. | 3.700% | 4/30/30 | 700 | 799 | ||
| Southern Co. | 4.400% | 7/1/46 | 350 | 414 | ||
| Southwestern Electric Power Co. | 4.100% | 9/15/28 | 207 | 239 | ||
| Southwestern Public Service Co. | 3.300% | 6/15/24 | 257 | 278 | ||
| Union Electric Co. | 3.900% | 9/15/42 | 454 | 541 | ||
| Union Electric Co. | 4.000% | 4/1/48 | 910 | 1,125 | ||
| Union Electric Co. | 3.250% | 10/1/49 | 405 | 459 | ||
| Virginia Electric & Power Co. | 3.150% | 1/15/26 | 425 | 471 | ||
| Virginia Electric & Power Co. | 2.950% | 11/15/26 | 1,890 | 2,105 | ||
| Virginia Electric & Power Co. | 4.000% | 1/15/43 | 1,180 | 1,441 | ||
| Virginia Electric & Power Co. | 3.800% | 9/15/47 | 500 | 607 | ||
| 9 | Vistra Operations Co. LLC | 5.500% | 9/1/26 | 65 | 68 | |
| 9 | Vistra Operations Co. LLC | 5.625% | 2/15/27 | 265 | 279 | |
| 9 | Vistra Operations Co. LLC | 5.000% | 7/31/27 | 350 | 367 | |
| Xcel Energy Inc. | 3.500% | 12/1/49 | 1,520 | 1,690 | ||
| Natural Gas (0.1%) | ||||||
| 12 | Cadent Finance plc | 0.750% | 3/11/32 | 1,500 | 1,748 | |
| Sempra Energy | 3.250% | 6/15/27 | 800 | 877 | ||
| Sempra Energy | 4.000% | 2/1/48 | 180 | 205 | ||
| Other Utility (0.1%) | ||||||
| 10 | DBNGP Finance Co. Pty Ltd. | 4.225% | 5/28/25 | 5,550 | 4,421 | |
| 103,040 | ||||||
| Total Corporate Bonds (Cost $1,185,678) | 1,216,335 | |||||
| Sovereign Bonds (8.5%) | ||||||
| 9,12 | Albania | 3.500% | 6/16/27 | 3,000 | 3,605 | |
| 9 | Banque Ouest Africaine de Developpement | 4.700% | 10/22/31 | 480 | 506 | |
| 42 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Bermuda | 4.854% | 2/6/24 | 2,799 | 3,079 | ||
| 4 | Bermuda | 4.750% | 2/15/29 | 360 | 435 | |
| CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 296 | 328 | ||
| 4,9 | Corp Financiera de Desarrollo SA | 2.400% | 9/28/27 | 8,000 | 8,060 | |
| Development Bank of Kazakhstan JSC | 4.125% | 12/10/22 | 4,230 | 4,417 | ||
| Dominican Republic | 5.500% | 1/27/25 | 6,360 | 6,745 | ||
| 9 | Dominican Republic | 5.875% | 1/30/60 | 8,000 | 7,480 | |
| Ecopetrol SA | 5.875% | 9/18/23 | 1,165 | 1,280 | ||
| Ecopetrol SA | 5.375% | 6/26/26 | 1,770 | 1,945 | ||
| Empresa Nacional del Petroleo | 4.750% | 12/6/21 | 3,200 | 3,332 | ||
| 4 | Empresa Nacional del Petroleo | 5.250% | 11/6/29 | 2,640 | 3,070 | |
| Equinor ASA | 2.450% | 1/17/23 | 341 | 356 | ||
| 9 | Export-Import Bank of India | 3.875% | 2/1/28 | 240 | 252 | |
| Export-Import Bank of Korea | 3.000% | 11/1/22 | 317 | 333 | ||
| Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 4,599 | 5,124 | ||
| 9,12 | Kingdom of Morocco | 1.375% | 3/3/26 | 5,800 | 6,779 | |
| 9,12 | Kingdom of Morocco | 2.000% | 9/30/30 | 5,500 | 6,347 | |
| Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 6,085 | 6,180 | ||
| 13 | KSA Sukuk Ltd. | 3.628% | 4/20/27 | 4,000 | 4,425 | |
| NTPC Ltd. | 4.250% | 2/26/26 | 250 | 266 | ||
| 9 | Ontario Teachers’ Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 200 | 205 | |
| 9 | Ontario Teachers’ Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 200 | 218 | |
| 9 | Ontario Teachers’ Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 560 | 632 | |
| Perusahaan Penerbit SBSN Indonesia III | 4.350% | 9/10/24 | 207 | 231 | ||
| Perusahaan Penerbit SBSN Indonesia III | 4.550% | 3/29/26 | 5,236 | 6,015 | ||
| Perusahaan Penerbit SBSN Indonesia III | 4.150% | 3/29/27 | 234 | 263 | ||
| Petrobras Global Finance BV | 7.375% | 1/17/27 | 4,765 | 5,623 | ||
| Petrobras Global Finance BV | 5.999% | 1/27/28 | 3,916 | 4,332 | ||
| Petronas Capital Ltd. | 3.500% | 4/21/30 | 200 | 224 | ||
| Republic of Azerbaijan | 4.750% | 3/18/24 | 3,000 | 3,133 | ||
| 4 | Republic of Azerbaijan | 3.500% | 9/1/32 | 2,000 | 1,921 | |
| 4 | Republic of Colombia | 2.625% | 3/15/23 | 11,000 | 11,289 | |
| 4 | Republic of Colombia | 4.500% | 1/28/26 | 19,588 | 21,672 | |
| Republic of Colombia | 10.375% | 1/28/33 | 1,933 | 3,005 | ||
| 4 | Republic of Columbia | 4.000% | 2/26/24 | 12,823 | 13,673 | |
| Republic of Croatia | 5.500% | 4/4/23 | 3,100 | 3,429 | ||
| 4,9 | Republic of Ecuador | 0.000% | 7/31/30 | 3,580 | 1,683 | |
| 4 | Republic of Ecuador | 0.000% | 7/31/30 | 3,360 | 1,564 | |
| Republic of Honduras | 8.750% | 12/16/20 | 848 | 856 | ||
| Republic of Honduras | 6.250% | 1/19/27 | 1,100 | 1,197 | ||
| Republic of Hungary | 6.375% | 3/29/21 | 1,760 | 1,808 | ||
| Republic of Hungary | 5.375% | 2/21/23 | 4,336 | 4,786 | ||
| Republic of Hungary | 5.750% | 11/22/23 | 200 | 229 | ||
| 12 | Republic of Hungary | 1.125% | 4/28/26 | 2,000 | 2,440 | |
| 12 | Republic of Hungary | 1.750% | 6/5/35 | 1,200 | 1,477 | |
| Republic of Indonesia | 3.750% | 4/25/22 | 733 | 763 | ||
| Republic of Indonesia | 5.875% | 1/15/24 | 3,000 | 3,452 | ||
| Republic of Indonesia | 4.350% | 1/8/27 | 200 | 229 | ||
| Republic of Lithuania | 6.125% | 3/9/21 | 717 | 734 | ||
| Republic of Lithuania | 6.625% | 2/1/22 | 2,000 | 2,159 | ||
| 9,12 | Republic of North Macedonia | 3.675% | 6/3/26 | 2,350 | 2,949 |
| 43 |
Core Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| 4 | Republic of Panama | 4.000% | 9/22/24 | 6,405 | 6,997 | |
| Republic of Panama | 7.125% | 1/29/26 | 11,783 | 14,876 | ||
| Republic of Panama | 8.125% | 4/28/34 | 150 | 221 | ||
| 4 | Republic of Panama | 3.870% | 7/23/60 | 6,000 | 6,878 | |
| Republic of Peru | 7.350% | 7/21/25 | 2,220 | 2,841 | ||
| 4 | Republic of Peru | 2.392% | 1/23/26 | 2,000 | 2,115 | |
| 12 | Republic of Romania | 3.375% | 1/28/50 | 757 | 903 | |
| Republic of Serbia | 7.250% | 9/28/21 | 3,896 | 4,123 | ||
| 9,12 | Republic of Serbia | 3.125% | 5/15/27 | 3,536 | 4,428 | |
| Republic of Slovenia | 5.500% | 10/26/22 | 303 | 333 | ||
| Republic of South Africa | 5.875% | 9/16/25 | 3,763 | 4,026 | ||
| Republic of the Philippines | 2.457% | 5/5/30 | 1,750 | 1,888 | ||
| Republic of Trinidad & Tobago | 4.500% | 8/4/26 | 2,400 | 2,430 | ||
| Russian Federation | 4.750% | 5/27/26 | 12,400 | 14,215 | ||
| Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 5,389 | 5,852 | ||
| Sinopec Group Overseas Development 2017 Ltd. | 3.250% | 9/13/27 | 429 | 466 | ||
| State of Kuwait | 2.750% | 3/20/22 | 2,685 | 2,755 | ||
| State of Qatar | 3.400% | 4/16/25 | 7,800 | 8,543 | ||
| 12 | United Mexican States | 1.625% | 4/8/26 | 3,730 | 4,394 | |
| United Mexican States | 4.150% | 3/28/27 | 2,013 | 2,237 | ||
| United Mexican States | 3.750% | 1/11/28 | 1,500 | 1,609 | ||
| United Mexican States | 4.500% | 4/22/29 | 4,463 | 4,994 | ||
| 14 | United Mexican States | 8.500% | 5/31/29 | 120,000 | 6,399 | |
| 14 | United Mexican States | 8.500% | 11/18/38 | 270,000 | 14,309 | |
| Total Sovereign Bonds (Cost $289,333) | 294,367 | |||||
| Taxable Municipal Bonds (0.2%) | ||||||
| California Institute of Technology Taxable | 3.650% | 9/1/19 | 1,500 | 1,636 | ||
| Houston TX GO | 6.290% | 3/1/32 | 1,800 | 2,278 | ||
| 15 | New Jersey Economic Development Authority Revenue (State Pension Funding) | 7.425% | 2/15/29 | 800 | 995 | |
| New York Metropolitan Transportation Authority Revenue (Transit Revenue) | 5.871% | 11/15/39 | 700 | 814 | ||
| Texas Private Activity Surface Transportation Corp. Revenue (NTE Mobility Partners) | 3.922% | 12/31/49 | 700 | 792 | ||
| Wisconsin Annual Appropriation Revenue | 3.954% | 5/1/36 | 500 | 563 | ||
| Total Taxable Municipal Bonds (Cost $6,647) | 7,078 | |||||
| Temporary Cash Investment (20.0%) | ||||||
| Money Market Fund (20.0%) | ||||||
| 16 | Vanguard Market Liquidity Fund (Cost $688,705) | 0.117% | 6,887,150 | 688,715 | ||
44
Core Bond Fund
| Notional | Market | ||||
| Expiration | Exercise | Amount | Value· | ||
| Date | Contracts | Price | ($000) | ($000) | |
| Options Purchased (0.0%) | |||||
| Exchange-Traded Options (0.0%) | |||||
|
Put Options
10-Year U.S. Treasury Note Futures Contracts |
10/2/20 | 352 | $139.50 | 49,104 | 49 |
|
10-Year U.S. Treasury
Note Futures Contracts |
10/23/20 | 158 | $175.00 | 27,650 | 136 |
| Total Options Purchased (Cost $192) | 185 | ||||
| Total Investments (113.3%) (Cost $3,834,922) | 3,908,123 | ||||
| Other Assets and Liabilities—Net (-13.3%) | (459,782) | ||||
| Net Assets (100%) | 3,448,341 | ||||
Cost is in $000.
| • | See Note A in Notes to Financial Statements. |
| ¤ | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2020. |
| 1 | Securities with a value of $564,000 have been segregated as initial margin for open centrally cleared swap contracts. |
| 2 | Securities with a value of $539,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
| 3 | Securities with a value of $8,653,000 have been segregated as initial margin for open futures contracts. |
| 4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 6 | Interest-only security. |
| 7 | Inverse interest-only security. |
| 8 | Variable rate security; rate shown is effective rate at period end. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 9 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020, the aggregate value of these securities was $220,496,000, representing 6.4% of net assets. |
| 10 | Face amount denominated in Australian dollars. |
| 11 | Face amount denominated in British pounds. |
| 12 | Face amount denominated in euro. |
| 13 | Guaranteed by the Kingdom of Saudi Arabia. |
| 14 | Face amount denominated in Mexican pesos. |
| 15 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
| 16 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month.
3M—3-month.
GO—General Obligation Bond.
LIBOR—London Interbank Offered Rate.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.
45
Core Bond Fund
| Derivative Financial Instruments Outstanding as of Period End | |||||
| Options Written | |||||
| Notional | Market | ||||
| Expiration | Exercise | Amount | Value | ||
| Date | Contracts | Price | ($000) | ($000) | |
| Exchange-Traded Options | |||||
| Put Options | |||||
| 10-Year U.S. Treasury Note Futures Contracts | 10/2/20 | 352 | $139.00 | 48,928 | (11) |
| 10-Year U.S. Treasury Note Futures Contracts | 10/2/20 | 352 | $139.25 | 49,016 | (22) |
| 10-Year U.S. Treasury Note Futures Contracts | 10/23/20 | 158 | $173.00 | 27,334 | (59) |
| Total Options Written (Premiums Received $103) | (92) | ||||
| Futures Contracts | |||||
| ($000) | |||||
| Value and | |||||
| Number of | Unrealized | ||||
| Long (Short) | Notional | Appreciation | |||
| Expiration | Contracts | Amount | (Depreciation) | ||
| Long Futures Contracts | |||||
| Ultra Long U.S. Treasury Bond | December 2020 | 712 | 157,930 | (382) | |
| 2-Year U.S. Treasury Note | December 2020 | 330 | 72,917 | 26 | |
| 5-Year U.S. Treasury Note | December 2020 | 506 | 63,772 | (16) | |
| 30-Year U.S. Treasury Bond | December 2020 | 345 | 60,817 | 13 | |
| Euro-Schatz | December 2020 | 22 | 2,896 | — | |
| (359) | |||||
| Short Futures Contracts | |||||
| Ultra 10-Year U.S. Treasury Note | December 2020 | (420) | (67,167) | 31 | |
| Euro-Bobl | December 2020 | (168) | (26,625) | (13) | |
| Euro-Bund | December 2020 | (130) | (26,600) | (56) | |
| AUD 3-Year Treasury Bond | December 2020 | (105) | (8,822) | (24) | |
| Long Gilt | December 2020 | (48) | (8,430) | (10) | |
| 10-Year U.S. Treasury Note | December 2020 | (51) | (7,116) | (3) | |
| Euro-Buxl | December 2020 | (20) | (5,222) | (52) | |
| AUD 10-Year Treasury Bond | December 2020 | (18) | (1,926) | (24) | |
| (151) | |||||
| (510) |
46
Core Bond Fund
| Forward Currency Contracts | |||||||||
| Contract | Unrealized | Unrealized | |||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | ||||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | ||||
| Deutsche Bank AG | 10/30/20 | USD | 67,729 | EUR | 58,275 | — | (639) | ||
| Morgan Stanley Capital Services LLC | 10/30/20 | USD | 14,360 | MXN | 324,646 | — | (268) | ||
| BNP Paribas | 10/30/20 | USD | 10,727 | AUD | 15,207 | — | (165) | ||
| Citigroup Global Markets Inc. | 10/30/20 | USD | 8,657 | GBP | 6,719 | — | (14) | ||
| Bank of America, N.A. | 10/30/20 | USD | 2,700 | GBP | 2,101 | — | (12) | ||
| Royal Bank of Canada | 10/30/20 | USD | 239 | EUR | 205 | — | (1) | ||
| Morgan Stanley Capital Services LLC | 10/30/20 | USD | 6 | ZAR | 106 | — | — | ||
| — | (1,099) | ||||||||
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
MXN—Mexican peso.
USD—U.S. dollar.
ZAR—South African rand.
1 Periodic premium received/paid quarterly.
USD–U.S. dollar.
47
Core Bond Fund
48
Core Bond Fund
Over-the-Counter Credit Default Swaps (continued)
| Remaining | ||||||||
| Periodic | Up-Front | |||||||
| Premium | Premium | |||||||
| Notional | Received | Paid | Unrealized | Unrealized | ||||
| Reference | Termination | Amount | (Paid)1 | Value | (Received) | Appreciation | (Depreciation) | |
| Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) | ($000) | ($000) |
| McDonald’s Corp. | 6/20/22 | GSI | 325 | (1.000) | (6) | (4) | — | (2) |
| People’s Republic of China | 6/20/23 | GSI | 1,200 | (1.000) | (27) | (9) | — | (18) |
| Republic of Colombia | 12/22/25 | GSI | 17,870 | (1.000) | 418 | 289 | 129 | — |
| Republic of Colombia | 12/22/25 | GSI | 7,825 | (1.000) | 183 | 142 | 41 | — |
| Republic of Colombia | 12/22/25 | GSI | 7,100 | (1.000) | 166 | 135 | 31 | — |
| Republic of South Africa | 12/22/25 | GSI | 1,083 | (1.000) | 110 | 102 | 8 | — |
| Republic of South Africa | 12/22/25 | MSCS | 2,370 | (1.000) | 241 | 222 | 19 | — |
| Societe Generale SA | 12/20/21 | JPMC | 325 | (1.000) | (4) | (1) | — | (3) |
| Standard Chartered Bank | 12/20/21 | JPMC | 185 | (1.000) | (2) | — | — | (2) |
| State of Qatar | 6/20/22 | BOANA | 340 | (1.000) | (5) | 1 | — | (6) |
| State of Qatar | 6/20/22 | CITNA | 660 | (1.000) | (10) | 3 | — | (13) |
| 1,709 | 1,400 | 366 | (57) | |||||
| 1,793 | 1,456 | 398 | (61) |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 Periodic premium received/paid quarterly.
BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CITNA—Citibank, N.A.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
At September 30, 2020, the counterparties had deposited in segregated accounts securities with a value of $2,365,000 and cash of $589,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
49
Core Bond Fund
| Centrally Cleared Interest Rate Swaps | ||||||
| Fixed | Floating | |||||
| Interest | Interest | |||||
| Rate | Rate | Unrealized | ||||
| Future | Notional | Received | Received | Appreciation | ||
| Effective | Amount | (Paid)2 | (Paid)3 | Value | (Depreciation) | |
| Termination Date | Date1 | ($000) | (%) | (%) | ($000) | ($000) |
| 12/16/22 | 12/16/20 | 949 | 0.000 | (0.000) | — | — |
| 12/16/23 | 12/16/20 | 288 | 0.000 | (0.000) | — | — |
| 12/16/24 | 12/16/20 | 119 | 0.000 | (0.000) | — | — |
| 12/16/25 | 12/16/20 | 1 | 0.025 | (0.000) | — | — |
| — | — |
| 1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
| 2 | Fixed interest payment received/paid annually. |
| 3 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Floating interest payment received/paid semiannually. |
See accompanying Notes, which are an integral part of the Financial Statements.
50
Core Bond Fund
Statement of Assets and Liabilities
As of September 30, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $3,146,217) | 3,219,408 |
| Affiliated Issuers (Cost $688,705) | 688,715 |
| Total Investments in Securities | 3,908,123 |
| Cash | 7,229 |
| Investment in Vanguard | 133 |
| Foreign Currency, at Value (Cost $593) | 609 |
| Receivables for Investment Securities Sold | 647,089 |
| Receivables for Accrued Income | 16,962 |
| Receivables for Capital Shares Issued | 10,743 |
| Swap Premiums Paid | 1,470 |
| Variation Margin Receivable—Futures Contracts | 639 |
| Variation Margin Receivable—Centrally Cleared Swap Contracts | 7 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 398 |
| Total Assets | 4,593,402 |
| Liabilities | |
| Payables for Investment Securities Purchased | 1,136,420 |
| Payables for Capital Shares Redeemed | 4,990 |
| Payables for Distributions | 388 |
| Payables to Vanguard | 194 |
| Options Written, at Value (Premiums Received $103) | 92 |
| Swap Premiums Received | 14 |
| Variation Margin Payable—Futures Contracts | 1,794 |
| Variation Margin Payable—Centrally Cleared Swap Contracts | 9 |
| Unrealized Depreciation—Forward Currency Contracts | 1,099 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 61 |
| Total Liabilities | 1,145,061 |
| Net Assets | 3,448,341 |
51
Core Bond Fund
Statement of Assets and Liabilities (continued)
At September 30, 2020, net assets consisted of:
| ($000s, except shares and per-share amounts) | Amount |
| Paid-in Capital | 3,324,151 |
| Total Distributable Earnings (Loss) | 124,190 |
| Net Assets | 3,448,341 |
| Investor Shares—Net Assets | |
| Applicable to 21,600,500 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 236,115 |
| Net Asset Value Per Share—Investor Shares | $10.93 |
| Admiral Shares—Net Assets | |
| Applicable to 146,974,786 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,212,226 |
| Net Asset Value Per Share—Admiral Shares | $21.86 |
See accompanying Notes, which are an integral part of the Financial Statements.
52
Core Bond Fund
Statement of Operations
| Year Ended | |
| September 30, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 40,668 |
| Total Income | 40,668 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 221 |
| Management and Administrative—Investor Shares | 356 |
| Management and Administrative—Admiral Shares | 1,275 |
| Marketing and Distribution—Investor Shares | 24 |
| Marketing and Distribution—Admiral Shares | 126 |
| Custodian Fees | 73 |
| Auditing Fees | 41 |
| Shareholders’ Reports—Investor Shares | 6 |
| Shareholders’ Reports—Admiral Shares | 19 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 2,142 |
| Net Investment Income | 38,526 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 64,012 |
| Futures Contracts | 5,260 |
| Options Purchased | (452) |
| Options Written | 2,685 |
| Swap Contracts | 5,213 |
| Forward Currency Contracts | (5,669) |
| Foreign Currencies | 456 |
| Realized Net Gain (Loss) | 71,505 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 36,820 |
| Futures Contracts | (1,830) |
| Options Purchased | 107 |
| Options Written | (122) |
| Swap Contracts | 283 |
| Forward Currency Contracts | (1,250) |
| Foreign Currencies | 7 |
| Change in Unrealized Appreciation (Depreciation) | 34,015 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 144,046 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $652,000, ($21,000), and $10,000, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Core Bond Fund
Statement of Changes in Net Assets
| Year Ended September 30, | ||
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 38,526 | 34,768 |
| Realized Net Gain (Loss) | 71,505 | 7,565 |
| Change in Unrealized Appreciation (Depreciation) | 34,015 | 62,540 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 144,046 | 104,873 |
| Distributions1 | ||
| Investor Shares | (3,277) | (2,881) |
| Admiral Shares | (35,633) | (31,289) |
| Total Distributions | (38,910) | (34,170) |
| Capital Share Transactions | ||
| Investor Shares | 109,249 | 30,625 |
| Admiral Shares | 2,003,328 | 144,394 |
| Net Increase (Decrease) from Capital Share Transactions | 2,112,577 | 175,019 |
| Total Increase (Decrease) | 2,217,713 | 245,722 |
| Net Assets | ||
| Beginning of Period | 1,230,628 | 984,906 |
| End of Period | 3,448,341 | 1,230,628 |
1 Certain prior-period numbers have been reclassified to conform with the current-period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
54
Core Bond Fund
Financial Highlights
Investor Shares
| March 10, | |||||
| 20161 to | |||||
| For a Share Outstanding | Year Ended September 30, | Sept. 30, | |||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $10.24 | $9.59 | $10.00 | $10.26 | $10.00 |
| Investment Operations | |||||
| Net Investment Income | .2092 | .3112 | .2692 | .2172 | .097 |
| Net Realized and Unrealized Gain (Loss) on Investments | .697 | .645 | (.400) | (.219) | .259 |
| Total from Investment Operations | .906 | .956 | (.131) | (.002) | .356 |
| Distributions | |||||
| Dividends from Net Investment Income | (.216) | (.306) | (.279) | (.197) | (.096) |
| Distributions from Realized Capital Gains | — | — | — | (.061) | — |
| Total Distributions | (.216) | (.306) | (.279) | (.258) | (.096) |
| Net Asset Value, End of Period | $10.93 | $10.24 | $9.59 | $10.00 | $10.26 |
| Total Return3 | 8.95% | 10.15% | -1.32% | 0.03% | 3.57% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $236 | $117 | $80 | $91 | $65 |
| Ratio of Total Expenses to Average Net Assets | 0.25% | 0.25% | 0.25% | 0.25% | 0.25%5 |
| Ratio of Net Investment Income to Average Net Assets | 1.96% | 3.16% | 2.76% | 2.18% | 2.00%5 |
| Portfolio Turnover Rate4 | 383% | 406% | 263% | 232% | 229% |
| 1 | Subscription period for the fund was March 10, 2016, to March 24, 2016, during which time all assets were held in money market instruments. Performance measurement began March 28, 2016, the first business day after the subscription period, at a net asset value of $10.00. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Includes 68%, 32%, 60%, 81%, and 58% attributable to mortgage-dollar-roll activity. |
| 5 | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
55
Core Bond Fund
Financial Highlights
Admiral Shares
| March 10, | |||||
| 20161 to | |||||
| For a Share Outstanding | Year Ended September 30, | Sept. 30, | |||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $20.48 | $19.18 | $20.00 | $20.53 | $20.00 |
| Investment Operations | |||||
| Net Investment Income | .4362 | .6512 | .5632 | .4542 | .205 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.407 | 1.290 | (.800) | (.445) | .528 |
| Total from Investment Operations | 1.843 | 1.941 | (.237) | .009 | .733 |
| Distributions | |||||
| Dividends from Net Investment Income | (.463) | (.641) | (.583) | (.417) | (.203) |
| Distributions from Realized Capital Gains | — | — | — | (.122) | — |
| Total Distributions | (.463) | (.641) | (.583) | (.539) | (.203) |
| Net Asset Value, End of Period | $21.86 | $20.48 | $19.18 | $20.00 | $20.53 |
| Total Return3 | 9.11% | 10.31% | -1.19% | 0.10% | 3.67% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,212 | $1,114 | $905 | $794 | $578 |
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.13% | 0.15% | 0.15%5 |
| Ratio of Net Investment Income to Average Net Assets | 2.04% | 3.31% | 2.88% | 2.28% | 2.10%5 |
| Portfolio Turnover Rate4 | 383% | 406% | 263% | 232% | 229% |
| 1 | Subscription period for the fund was March 10, 2016, to March 24, 2016, during which time all assets were held in money market instruments. Performance measurement began March 28, 2016, the first business day after the subscription period, at a net asset value of $20.00. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 4 | Includes 68%, 32%, 60%, 81%, and 58% attributable to mortgage-dollar-roll activity. |
| 5 | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
56
Core Bond Fund
Notes to Financial Statements
Vanguard Core Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary
57
Core Bond Fund
risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts represented 12% and 5% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. 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 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 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
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Core Bond Fund
During the year ended September 30, 2020, the fund’s average investment in forward currency contracts represented 5% of net assets, based on the average of notional amounts at each quarterend during the period.
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold,
59
Core Bond Fund
or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
During the year ended September 30, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 8% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that if interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.
Options contracts on futures are valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities 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 in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option
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Core Bond Fund
written. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended September 30, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.
7. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund’s sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay a fixed rate and receive a floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is in-the-money, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.
Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded in the Statement of Assets and Liabilities as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded in the Statement of Assets and Liabilities as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. The notional amounts of swaptions are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of swaptions are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the year ended September 30, 2020, the fund’s average value of investments in swaptions purchased and swaptions written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period. The fund had no open swaptions contracts at September 30, 2020.
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Core Bond Fund
8. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At September 30, 2020, counterparties had deposited in segregated accounts securities with a value of $324,000 and cash of $1,782,000 in connection with TBA transactions.
9. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
10. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
11. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
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Core Bond Fund
12. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
13. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
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Core Bond Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $133,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 1,575,214 | — | 1,575,214 |
| Asset-Backed/Commercial Mortgage-Backed Securities | — | 126,229 | — | 126,229 |
| Corporate Bonds | — | 1,216,335 | — | 1,216,335 |
| Sovereign Bonds | — | 294,367 | — | 294,367 |
| Taxable Municipal Bonds | — | 7,078 | — | 7,078 |
| Temporary Cash Investments | 688,715 | — | — | 688,715 |
| Options Purchased | — | 185 | — | 185 |
| Total | 688,715 | 3,219,408 | — | 3,908,123 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 639 | — | — | 639 |
| Swap Contracts | 71 | 398 | — | 405 |
| Total | 646 | 398 | — | 1,044 |
| Liabilities | ||||
| Options Written | 92 | — | — | 92 |
| Futures Contracts1 | 1,794 | — | — | 1,794 |
| Forward Currency Contracts | — | 1,099 | — | 1,099 |
| Swap Contracts | 91 | 61 | — | 70 |
| Total | 1,895 | 1,160 | — | 3,055 |
1 Represents variation margin on the last day of the reporting period.
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Core Bond Fund
D. At September 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | ($000) |
| Options Purchased | 185 | — | — | 185 |
| Swap Premiums Paid | — | — | 1,470 | 1,470 |
| Variation Margin Receivable—Futures Contracts | 639 | — | — | 639 |
| Variation Margin Receivable—Centrally Cleared Swap Contracts | — | — | 7 | 7 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 398 | 398 |
| Total Assets | 824 | — | 1,875 | 2,699 |
| Options Written | 92 | — | — | 92 |
| Swap Premiums Received | — | — | 14 | 14 |
| Variation Margin Payable—Futures Contracts | 1,794 | — | — | 1,794 |
| Variation Margin Payable—Centrally Cleared Swap Contracts | — | — | 9 | 9 |
| Unrealized Depreciation—Forward Currency Contracts | — | 1,099 | — | 1,099 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 61 | 61 |
| Total Liabilities | 1,886 | 1,099 | 84 | 3,069 |
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Core Bond Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended September 30, 2020, were:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
| Futures Contracts | 5,260 | — | — | 5,260 |
| Options Purchased | (217) | — | (235) | (452) |
| Options Written | 2,215 | — | 470 | 2,685 |
| Swap Contracts | 6,743 | — | (1,530) | 5,213 |
| Forward Currency Contracts | — | (5,669) | — | (5,669) |
| Realized Net Gain (Loss) on Derivatives | 14,001 | (5,669) | (1,295) | 7,037 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
| Futures Contracts | (1,830) | — | — | (1,830) |
| Options Purchased | 42 | — | 65 | 107 |
| Options Written | 1 | — | (123) | (122) |
| Swap Contracts | (13) | — | 296 | 283 |
| Forward Currency Contracts | — | (1,250) | — | (1,250) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | (1,800) | (1,250) | 238 | (2,812) |
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions, distributions in connection with fund share redemptions, and swap agreements were reclassified between the following accounts:
| Amount | |
| ($000) | |
| Paid-in Capital | 7,459 |
| Total Distributable Earnings (Loss) | (7,459) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the deferral of losses from straddles; the recognition of unrealized gains or losses from certain derivative contracts; the
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Core Bond Fund
inclusion of payables for distributions; and the recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | |
| ($000) | |
| Undistributed Ordinary Income | 45,993 |
| Undistributed Long-Term Gains | 7,291 |
| Capital Loss Carryforwards | — |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 71,294 |
The tax character of distributions paid was as follows:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Amount | Amount | |
| ($000) | ($000) | |
| Ordinary Income* | 38,910 | 34,170 |
| Long-Term Capital Gains | — | — |
| Total | 38,910 | 34,170 |
* Includes short-term capital gains, if any.
As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 3,838,422 |
| Gross Unrealized Appreciation | 83,925 |
| Gross Unrealized Depreciation | (12,618) |
| Net Unrealized Appreciation (Depreciation) | 71,307 |
F. During the year ended September 30, 2020, the fund purchased $2,342,956,000 of investment securities and sold $1,409,114,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $6,548,626,000 and $5,575,045,000, respectively. Total purchases and sales include $180,708,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Core Bond Fund
G. Capital share transactions for each class of shares were:
| Year Ended September 30, | |||||
| 2020 | 2019 | ||||
| Amount | Shares | Amount | Shares | ||
| ($000) | (000) | ($000) | (000) | ||
| Investor Shares | |||||
| Issued | 241,165 | 22,509 | 67,150 | 6,786 | |
| Issued in Lieu of Cash Distributions | 2,916 | 275 | 2,518 | 255 | |
| Redeemed | (134,832) | (12,575) | (39,043) | (3,977) | |
| Net Increase (Decrease)—Investor Shares | 109,249 | 10,209 | 30,625 | 3,064 | |
| Admiral Shares | |||||
| Issued | 2,514,578 | 116,761 | 597,329 | 30,357 | |
| Issued in Lieu of Cash Distributions | 29,505 | 1,389 | 25,663 | 1,304 | |
| Redeemed | (540,755) | (25,577) | (478,598) | (24,458) | |
| Net Increase (Decrease)—Admiral Shares | 2,003,328 | 92,573 | 144,394 | 7,203 | |
H. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Malvern Funds and Shareholders of Vanguard Core Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard Core Bond Fund (one of the funds constituting Vanguard Malvern Funds, referred to hereafter as the “Fund”) as of September 30, 2020, the related statement of operations for the year ended September 30, 2020, the statement of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 17, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Special 2020 tax information (unaudited) for Vanguard Core Bond Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,015,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 70.3% of income dividends are interest-related dividends.
70
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020–present), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of the individual life and disability division of Guardian Life. Member of the board of the American Council of Life Insurers and the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork- Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Deputy assistant to the President of the United States (2015).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
| Vanguard Senior Management Team | ||
| Joseph Brennan | James M. Norris | |
| Mortimer J. Buckley | Thomas M. Rampulla | |
| Gregory Davis | Karin A. Risi | |
| John James | Anne E. Robinson | |
| John T. Marcante | Michael Rollings | |
| Chris D. McIsaac | Lauren Valente |
Connect with Vanguard® > vanguard.com
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| Q13200 112020 |
|
Annual Report | September 30, 2020
Vanguard Emerging Markets Bond Fund
|
|
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
|
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| Your Fund’s Performance at a Glance | 1 |
| Advisor’s Report | 2 |
| About Your Fund’s Expenses | 5 |
| Performance Summary | 7 |
| Financial Statements | 9 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
· For the 12 months ended September 30, 2020, Vanguard Emerging Markets Bond Fund returned 10.67% for Investor Shares and 10.89% for Admiral Shares, outpacing the return of its benchmark by more than 9 percentage points.
· The COVID-19 pandemic led economic activity to contract sharply and unemployment to spike across much of the globe amid government-mandated lockdowns and social distancing measures. Emerging-market bonds initially saw a spike in volatility, including a dramatic widening in the marginal yields they offer relative to sovereign bonds, before regaining some lost ground thanks to massive monetary support from central banks and some signs that the global economy might improve faster than expected.
· The fund’s fairly defensive stance going into 2020, because of stretched valuations, meant that its managers could take advantage of price dislocations that arose in the wake of the pandemic. That occurred first among high-quality bonds in markets such as Panama, Malaysia, and Israel, where valuations based on fundamentals seemed attractive and the associated risk seemed relatively low, and subsequently among lower-quality bonds in markets such as Ecuador and Sri Lanka, where some distressed issuers fell to valuations that appeared to compensate investors well for the risk being assumed.
· The use of derivatives to hedge portfolio risks is common in the fund. The fund’s derivatives position, including both hedges and active positions, made a net positive contribution to performance.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended September 30, 2020 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.01% | 12.38% | 14.09% |
| Russell 2000 Index (Small-caps) | 0.39 | 1.77 | 8.00 |
| Russell 3000 Index (Broad U.S. market) | 15.00 | 11.65 | 13.69 |
| FTSE All-World ex US Index (International) | 3.55 | 1.50 | 6.49 |
| Bonds | |||
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 6.98% | 5.24% | 4.18% |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 4.09 | 4.28 | 3.84 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.02 | 1.65 | 1.15 |
| CPI | |||
| Consumer Price Index | 1.37% | 1.79% | 1.81% |
1
Advisor’s Report
For the 12 months ended September 30, 2020, Vanguard Emerging Markets Bond Fund returned 10.67% for Investor Shares and 10.89% for Admiral Shares. The fund’s benchmark, the JP Morgan EMBI Global Diversified, returned 1.29%. The average return of its peer group of emerging-market hard currency debt funds was 1.38%. (A “hard currency” is one that is issued by an economically and politically stable country and is widely used around the world as payment for goods and services.)
The 30-day SEC yield declined to 3.31% for the fund’s Investor Shares by the close of the period compared with 4.08% a year earlier. For Admiral Shares, that ending yield was 3.46%, down from 4.23%.
The investment environment
The outbreak of the novel coronavirus in early 2020—and the aggressive efforts to contain it—defined the period, upending economies and financial markets worldwide. As the pandemic spread, crude oil prices sank, trade and travel restrictions multiplied, nonessential businesses were shuttered, and unemployment spiked.
At the height of investor panic in March, volatility spiked and liquidity eroded in the bond market. With investors trying to sell their most liquid assets, even some high-quality issuers saw their yield spreads versus risk-free assets widen dramatically.
Governments around the world were quick to take action, however, committing trillions of dollars in spending, loans, and loan guarantees to blunt the pandemic’s impact on economic activity and jobs. Many central banks slashed short-term interest rates and ramped up bond purchases to keep longer-term rates low and provide liquidity.
Their intervention was so successful in defusing the liquidity crisis that bond issuance soared. Some companies came to market because they needed to shore up their balance sheets, while others in better financial positions issued bonds more as a precaution, not knowing what the markets might look like in six months.
With near-zero interest rates, central bank bond-buying, and steady global demand for yield, credit spread levels went on to tighten significantly from where they were in March and April.
Management of the fund
This fiscal year was a fertile period for active management, as the fund’s relative performance underscores. Investors who were willing to be contrarian and focused on valuations and fundamentals had many opportunities to participate in significant market dislocations.
Going into 2020, the fund was fairly defensively positioned. With valuations of high-quality bonds appearing stretched and lower-quality bonds likely to be affected most by a slowdown in growth, the fund was underweight in both those segments. While we did not fully anticipate the global scale of the COVID-19 pandemic, we reacted to early warning signs, and our conservative stance did benefit us when low-quality bonds sold off amid mounting
2
growth fears as the pandemic spread, and then high-quality bonds suffered when market liquidity dried up.
In March and April, we started to take on more risk at attractive valuations. Our first move was to add longer-duration bonds of high-quality issuers that had really underperformed in countries including Panama, Malaysia, Israel, and the United Arab Emirates. Their credit ratings ranged from BBB to AA. As the financial systems started to recover, these securities performed well.
We then rotated into medium-quality securities in Latin America, which worked out well. There had been some underperformance in, for example, Brazil, which was hit hard by COVID-19 and political concerns, and Mexico, given the downgrading of the national oil company Pemex.
Closer to the end of the fiscal year, we added some distressed holdings that we were underweight in. Ecuador is one example. We had virtually no exposure to the country, as we felt it was too dependent on oil prices, but when its debt hit really distressed levels, we became buyers based on recovery values. Sri Lanka is another example; we had little exposure, thinking it was overvalued, but we moved to take positions when debt sold off on fears that the country might default.
Cash inflows to the fund were strong, but we were able to absorb that money without incurring a lot of transaction costs or creating a material drag on performance.
Outlook
With initial bond market adjustments to the pandemic behind us and valuations having risen, the environment for outperformance may be more challenging, and security selection will be even more crucial.
Risks remain that rising COVID-19 infections could lead to reimposed broad lockdowns that would further hurt economies and that a vaccine may still be a long way off. These risks are somewhat mitigated, though, because governments are better prepared now to deal with outbreaks. Moreover, central banks have asserted their readiness to continue to support bond markets. The U.S. presidential election, inconsistent global fiscal support, and renewed Brexit complications may also add uncertainty to investors’ outlook and market sentiment.
In terms of positioning, we have basically come full circle as higher-quality emerging-market bond spreads are again benefiting from abundant global liquidity, and in some cases valuations can be stretched. We are again wary of higher-quality bonds, especially those further out on the maturity spectrum, as they are not offering enough in either spread or yield to compensate for the volatility that comes with them. The weakest part of the market is also a concern, as the current growth outlook being priced in by market participants seems optimistic in our view, so we are focusing our exposure in the middle of the quality spectrum.
| 3 |
Our conservative stance as we enter the new fiscal year will allow us to act when we see pullbacks in the market that could give us a chance to reload some risk. And as lost economic activity and government balance-sheet deterioration resulting from the pandemic will likely have lasting impacts on some emerging-market economies, country selection will remain an important avenue for generating outperformance.
With our global fixed income team of analysts and traders and our bottom-up, fundamentals-based research process and disciplined approach to risk-taking, we are well-positioned to identify and invest in potential pockets of outperformance as opportunities arise.
Portfolio Managers:
Daniel Shaykevich
Mauro Favini
Vanguard Fixed Income Group
October 22, 2020
4
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
5
| Six Months Ended September 30, 2020 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Emerging Markets Bond Fund | 3/31/2020 | 9/30/2020 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,203.24 | $3.30 |
| Admiral™ Shares | 1,000.00 | 1,204.35 | 2.48 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,022.07 | $3.03 |
| Admiral Shares | 1,000.00 | 1,022.82 | 2.28 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.60% for Investor Shares and 0.45% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).
6
Emerging Markets Bond Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: March 10, 2016, Through September 30, 2020
Initial Investment of $10,000
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
7
Emerging Markets Bond Fund
Fund Allocation
As of September 30, 2020
| Mexico | 8.4% |
| Panama | 7.6 |
| Colombia | 4.6 |
| Russia | 4.6 |
| Qatar | 4.3 |
| Brazil | 4.2 |
| Peru | 3.8 |
| South Africa | 3.6 |
| Ukraine | 3.6 |
| Dominican Republic | 3.2 |
| United Arab Emirates | 3.2 |
| Azerbaijan | 2.6 |
| Indonesia | 2.4 |
| Supranational | 2.3 |
| Ecuador | 2.2 |
| Kazakhstan | 2.2 |
| Saudi Arabia | 2.2 |
| United States | 1.9 |
| Morocco | 1.8 |
| Chile | 1.5 |
| Costa Rica | 1.5 |
| Guatemala | 1.5 |
| Romania | 1.5 |
| Trinidad & Tobago | 1.5 |
| Uzbekistan | 1.5 |
| Sri Lanka | 1.3 |
| Angola | 1.2 |
| Argentina | 1.2 |
| Croatia | 1.2 |
| Jordan | 1.1 |
| Serbia | 1.1 |
| Bahrain | 1.0 |
| Israel | 1.0 |
| Malaysia | 1.0 |
| Other | 12.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives.
8
Emerging Markets Bond Fund
Financial Statements
Schedule of Investments
As of September 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Angola (1.1%) | |||||
| Sovereign Bonds (1.1%) | |||||
| Republic of Angola | 9.375% | 5/8/48 | 1,000 | 778 | |
| Republic of Angola | 9.125% | 11/26/49 | 13,115 | 10,155 | |
| Total Angola (Cost $11,590) | 10,933 | ||||
| Argentina (1.2%) | |||||
| Sovereign Bonds (1.2%) | |||||
| 1 | Argentine Republic | 1.000% | 7/9/29 | 926 | 420 |
| 1 | Argentine Republic | 0.125% | 7/9/30 | 25,864 | 10,734 |
| 1 | Argentine Republic | 0.125% | 7/9/41 | 700 | 276 |
| Total Argentina (Cost $12,037) | 11,430 | ||||
| Armenia (0.3%) | |||||
| Sovereign Bonds (0.3%) | |||||
| Republic of Armenia | 3.950% | 9/26/29 | 3,000 | 2,894 | |
| Total Armenia (Cost $2,993) | 2,894 | ||||
| Azerbaijan (2.4%) | |||||
| Sovereign Bonds (2.4%) | |||||
| Republic of Azerbaijan | 4.750% | 3/18/24 | 3,000 | 3,133 | |
| 1 | Republic of Azerbaijan | 3.500% | 9/1/32 | 7,100 | 6,818 |
| 2 | Southern Gas Corridor CJSC | 6.875% | 3/24/26 | 10,815 | 12,283 |
| State Oil Co. of the Azerbaijan Republic | 6.950% | 3/18/30 | 1,335 | 1,575 | |
| Total Azerbaijan (Cost $23,821) | 23,809 | ||||
| Bahrain (1.0%) | |||||
| Sovereign Bonds (1.0%) | |||||
| Kingdom of Bahrain | 7.000% | 10/12/28 | 8,500 | 9,268 | |
| 3 | Kingdom of Bahrain | 7.375% | 5/14/30 | 355 | 387 |
| Total Bahrain (Cost $10,171) | 9,655 | ||||
| Belarus (0.2%) | |||||
| Sovereign Bonds (0.2%) | |||||
| Republic of Belarus | 7.625% | 6/29/27 | 2,200 | 2,146 | |
| Total Belarus (Cost $2,135) | 2,146 | ||||
| Bermuda (0.1%) | |||||
| Sovereign Bonds (0.1%) | |||||
| 1 | Bermuda | 3.717% | 1/25/27 | 523 | 580 |
| Total Bermuda (Cost $577) | 580 | ||||
9
Emerging Markets Bond Fund
10
Emerging Markets Bond Fund
11
Emerging Markets Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Guatemala (1.4%) | |||||
| Sovereign Bonds (1.4%) | |||||
| Republic of Guatemala | 5.750% | 6/6/22 | 1,200 | 1,261 | |
| Republic of Guatemala | 4.500% | 5/3/26 | 8,970 | 9,594 | |
| 1 | Republic of Guatemala | 5.375% | 4/24/32 | 2,338 | 2,676 |
| Total Guatemala (Cost $13,211) | 13,531 | ||||
| Honduras (0.6%) | |||||
| Sovereign Bonds (0.6%) | |||||
| 1 | Republic of Honduras | 7.500% | 3/15/24 | 2,320 | 2,516 |
| 3 | Republic of Honduras | 5.625% | 6/24/30 | 3,227 | 3,449 |
| Total Honduras (Cost $5,557) | 5,965 | ||||
| Hungary (0.6%) | |||||
| Sovereign Bonds (0.6%) | |||||
| 5 | Republic of Hungary | 3.000% | 8/21/30 | 1,425,000 | 4,869 |
| 4 | Republic of Hungary | 1.750% | 6/5/35 | 1,320 | 1,625 |
| Total Hungary (Cost $6,522) | 6,494 | ||||
| India (0.6%) | |||||
| Sovereign Bonds (0.6%) | |||||
| Export-Import Bank of India | 3.875% | 3/12/24 | 1,200 | 1,270 | |
| Export-Import Bank of India | 3.875% | 2/1/28 | 4,200 | 4,407 | |
| Total India (Cost $5,641) | 5,677 | ||||
| Indonesia (2.3%) | |||||
| Sovereign Bonds (2.3%) | |||||
| 3,4 | Perusahaan Listrik Negara PT | 1.875% | 11/5/31 | 4,400 | 4,928 |
| 6 | Perusahaan Penerbit SBSN Indonesia III | 4.400% | 3/1/28 | 5,600 | 6,391 |
| Republic of Indonesia | 4.625% | 4/15/43 | 4,050 | 4,738 | |
| Republic of Indonesia | 3.700% | 10/30/49 | 700 | 749 | |
| Republic of Indonesia | 3.500% | 2/14/50 | 1,430 | 1,516 | |
| Republic of Indonesia | 4.450% | 4/15/70 | 3,600 | 4,261 | |
| Total Indonesia (Cost $21,646) | 22,583 | ||||
| Israel (0.9%) | |||||
| Sovereign Bonds (0.9%) | |||||
| State of Israel | 3.375% | 1/15/50 | 3,000 | 3,322 | |
| State of Israel | 4.500% | 4/3/20 | 4,000 | 5,470 | |
| Total Israel (Cost $7,906) | 8,792 | ||||
| Jamaica (0.6%) | |||||
| Sovereign Bonds (0.6%) | |||||
| 1 | Jamaica | 7.625% | 7/9/25 | 4,480 | 5,107 |
| Jamaica | 7.875% | 7/28/45 | 1,000 | 1,261 | |
| Total Jamaica (Cost $6,417) | 6,368 | ||||
| Jordan (1.0%) | |||||
| Sovereign Bonds (1.0%) | |||||
| Hashemite Kingdom of Jordan | 6.125% | 1/29/26 | 500 | 512 | |
| 3 | Hashemite Kingdom of Jordan | 5.850% | 7/7/30 | 5,850 | 5,667 |
| Hashemite Kingdom of Jordan | 7.375% | 10/10/47 | 4,080 | 4,064 | |
| Total Jordan (Cost $10,407) | 10,243 | ||||
12
Emerging Markets Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Kazakhstan (2.1%) | |||||
| Sovereign Bonds (2.1%) | |||||
| Kazakhstan Temir Zholy Finance BV | 6.950% | 7/10/42 | 4,438 | 5,951 | |
| KazMunayGas National Co. JSC | 4.400% | 4/30/23 | 700 | 747 | |
| KazMunayGas National Co. JSC | 5.375% | 4/24/30 | 6,500 | 7,580 | |
| KazMunayGas National Co. JSC | 6.375% | 10/24/48 | 4,750 | 6,062 | |
| Total Kazakhstan (Cost $20,068) | 20,340 | ||||
| Kenya (0.8%) | |||||
| Sovereign Bonds (0.8%) | |||||
| 1 | Republic of Kenya | 7.000% | 5/22/27 | 6,500 | 6,387 |
| Republic of Kenya | 8.250% | 2/28/48 | 2,000 | 1,916 | |
| Total Kenya (Cost $8,329) | 8,303 | ||||
| Lebanon (0.4%) | |||||
| Sovereign Bonds (0.4%) | |||||
| * | Lebanese Republic | 8.250% | 4/12/21 | 2,430 | 425 |
| * | Lebanese Republic | 6.100% | 10/4/22 | 2,250 | 374 |
| * | Lebanese Republic | 6.650% | 4/22/24 | 2,890 | 453 |
| * | Lebanese Republic | 7.000% | 3/20/28 | 6,310 | 973 |
| * | Lebanese Republic | 6.650% | 2/26/30 | 4,900 | 764 |
| * | Lebanese Republic | 7.150% | 11/20/31 | 1,445 | 219 |
| * | Lebanese Republic | 8.200% | 5/17/33 | 1,445 | 221 |
| * | Lebanese Republic | 8.250% | 5/17/34 | 1,445 | 224 |
| Total Lebanon (Cost $7,115) | 3,653 | ||||
| Malaysia (0.9%) | |||||
| Sovereign Bonds (0.9%) | |||||
| Petronas Capital Ltd. | 3.500% | 4/21/30 | 8,070 | 9,018 | |
| Total Malaysia (Cost $8,958) | 9,018 | ||||
| Mexico (7.9%) | |||||
| Corporate Bonds (0.6%) | |||||
| 3 | Trust Fibra Uno | 6.390% | 1/15/50 | 5,625 | 5,611 |
| Sovereign Bonds (7.3%) | |||||
| Petroleos Mexicanos | 6.375% | 1/23/45 | 5,511 | 4,128 | |
| Petroleos Mexicanos | 5.625% | 1/23/46 | 1 | 1 | |
| 4 | United Mexican States | 1.625% | 4/8/26 | 12,170 | 14,337 |
| United Mexican States | 4.150% | 3/28/27 | 3,890 | 4,323 | |
| United Mexican States | 4.500% | 4/22/29 | 6,805 | 7,615 | |
| 7 | United Mexican States | 8.500% | 5/31/29 | 170,000 | 9,065 |
| 7 | United Mexican States | 7.750% | 5/29/31 | 220,000 | 11,202 |
| 1,8 | United Mexican States | 4.750% | 4/27/32 | 12,150 | 13,492 |
| 7 | United Mexican States | 8.500% | 11/18/38 | 151,500 | 8,029 |
| 72,192 | |||||
| Total Mexico (Cost $76,659) | 77,803 | ||||
| Mongolia (0.3%) | |||||
| Sovereign Bonds (0.3%) | |||||
| 3 | Mongolia | 5.125% | 4/7/26 | 3,020 | 3,046 |
| Total Mongolia (Cost $2,984) | 3,046 | ||||
13
Emerging Markets Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Morocco (1.7%) | |||||
| Sovereign Bonds (1.7%) | |||||
| 3,4 | Kingdom of Morocco | 2.000% | 9/30/30 | 14,650 | 16,907 |
| Total Morocco (Cost $16,828) | 16,907 | ||||
| Nigeria (0.1%) | |||||
| Sovereign Bonds (0.1%) | |||||
| Federal Republic of Nigeria | 7.625% | 11/28/47 | 1,000 | 895 | |
| Total Nigeria (Cost $964) | 895 | ||||
| North Macedonia (0.4%) | |||||
| Sovereign Bonds (0.4%) | |||||
| 3,4 | Republic of North Macedonia | 3.675% | 6/3/26 | 2,995 | 3,758 |
| Total North Macedonia (Cost $3,249) | 3,758 | ||||
| Oman (0.1%) | |||||
| Sovereign Bonds (0.1%) | |||||
| Sultanate of Oman | 6.750% | 1/17/48 | 980 | 809 | |
| Total Oman (Cost $842) | 809 | ||||
| Panama (7.1%) | |||||
| Sovereign Bonds (7.1%) | |||||
| 1 | Republic of Panama | 4.000% | 9/22/24 | 15,345 | 16,765 |
| 1 | Republic of Panama | 3.750% | 3/16/25 | 6,700 | 7,303 |
| Republic of Panama | 7.125% | 1/29/26 | 17,125 | 21,620 | |
| Republic of Panama | 8.875% | 9/30/27 | 2,368 | 3,386 | |
| 1 | Republic of Panama | 3.870% | 7/23/60 | 18,000 | 20,633 |
| Total Panama (Cost $68,486) | 69,707 | ||||
| Paraguay (0.4%) | |||||
| Sovereign Bonds (0.4%) | |||||
| Republic of Paraguay | 4.625% | 1/25/23 | 1,700 | 1,800 | |
| Republic of Paraguay | 5.600% | 3/13/48 | 1,500 | 1,845 | |
| Total Paraguay (Cost $3,651) | 3,645 | ||||
| Peru (3.5%) | |||||
| Corporate Bonds (1.0%) | |||||
| Kallpa Generacion SA | 4.875% | 5/24/26 | 5,558 | 6,002 | |
| Kallpa Generacion SA | 4.125% | 8/16/27 | 4,307 | 4,491 | |
| 10,493 | |||||
| Sovereign Bonds (2.5%) | |||||
| Corp Financiera de Desarrollo SA | 4.750% | 7/15/25 | 480 | 539 | |
| 1,3 | Corp Financiera de Desarrollo SA | 2.400% | 9/28/27 | 12,250 | 12,342 |
| Fondo MIVIVIENDA SA | 3.500% | 1/31/23 | 4,600 | 4,786 | |
| Republic of Peru | 7.350% | 7/21/25 | 3,685 | 4,716 | |
| 1 | Republic of Peru | 2.392% | 1/23/26 | 2,000 | 2,115 |
| 24,498 | |||||
| Total Peru (Cost $34,028) | 34,991 | ||||
14
Emerging Markets Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Philippines (0.5%) | |||||
| Sovereign Bonds (0.5%) | |||||
| Republic of the Philippines | 2.457% | 5/5/30 | 3,500 | 3,776 | |
| Republic of the Philippines | 7.750% | 1/14/31 | 600 | 912 | |
| Republic of the Philippines | 3.950% | 1/20/40 | 200 | 235 | |
| Total Philippines (Cost $4,857) | 4,923 | ||||
| Qatar (4.0%) | |||||
| Sovereign Bonds (4.0%) | |||||
| State of Qatar | 3.400% | 4/16/25 | 15,446 | 16,918 | |
| State of Qatar | 4.500% | 4/23/28 | 4,200 | 5,021 | |
| State of Qatar | 5.103% | 4/23/48 | 8,625 | 11,972 | |
| State of Qatar | 4.817% | 3/14/49 | 4,200 | 5,649 | |
| Total Qatar (Cost $39,532) | 39,560 | ||||
| Romania (1.4%) | |||||
| Sovereign Bonds (1.4%) | |||||
| 4 | Republic of Romania | 2.500% | 2/8/30 | 5,000 | 6,083 |
| 3,4 | Republic of Romania | 3.624% | 5/26/30 | 2,700 | 3,567 |
| 4 | Republic of Romania | 3.375% | 1/28/50 | 3,554 | 4,241 |
| Total Romania (Cost $13,021) | 13,891 | ||||
| Russia (4.3%) | |||||
| Sovereign Bonds (4.3%) | |||||
| Gazprom PJSC Via Gaz Capital SA | 5.150% | 2/11/26 | 10,466 | 11,660 | |
| Russian Federation | 4.750% | 5/27/26 | 13,400 | 15,361 | |
| Russian Federation | 4.250% | 6/23/27 | 7,000 | 7,872 | |
| 9 | Russian Federation | 7.650% | 4/10/30 | 251,505 | 3,606 |
| Russian Federation | 5.100% | 3/28/35 | 3,000 | 3,685 | |
| Russian Federation | 5.625% | 4/4/42 | 200 | 267 | |
| Russian Federation | 5.875% | 9/16/43 | 200 | 277 | |
| Total Russia (Cost $42,345) | 42,728 | ||||
| Saudi Arabia (2.1%) | |||||
| Sovereign Bonds (2.1%) | |||||
| Kingdom of Saudi Arabia | 3.250% | 10/26/26 | 4,000 | 4,346 | |
| Kingdom of Saudi Arabia | 2.500% | 2/3/27 | 2,000 | 2,083 | |
| Kingdom of Saudi Arabia | 4.625% | 10/4/47 | 1,500 | 1,831 | |
| Kingdom of Saudi Arabia | 4.500% | 4/22/60 | 3,000 | 3,707 | |
| 10 | KSA Sukuk Ltd. | 3.628% | 4/20/27 | 7,725 | 8,546 |
| Total Saudi Arabia (Cost $19,952) | 20,513 | ||||
| Senegal (0.2%) | |||||
| Sovereign Bonds (0.2%) | |||||
| 1 | Republic of Senegal | 6.750% | 3/13/48 | 2,400 | 2,268 |
| Total Senegal (Cost $2,241) | 2,268 | ||||
| Serbia (1.1%) | |||||
| Sovereign Bonds (1.1%) | |||||
| 3,4 | Republic of Serbia | 3.125% | 5/15/27 | 8,357 | 10,464 |
| Total Serbia (Cost $8,906) | 10,464 | ||||
15
Emerging Markets Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Singapore (0.8%) | |||||
| Corporate Bonds (0.8%) | |||||
| 1,3 | Oversea-Chinese Banking Corp. Ltd. | 1.832% | 9/10/30 | 7,635 | 7,627 |
| Total Singapore (Cost $7,635) | 7,627 | ||||
| South Africa (3.3%) | |||||
| Sovereign Bonds (3.3%) | |||||
| Republic of South Africa | 4.875% | 4/14/26 | 8,930 | 9,013 | |
| 11 | Republic of South Africa | 10.500% | 12/21/26 | 130,545 | 9,047 |
| 11 | Republic of South Africa | 8.875% | 2/28/35 | 60,315 | 3,008 |
| Republic of South Africa | 5.750% | 9/30/49 | 14,170 | 11,962 | |
| Total South Africa (Cost $34,371) | 33,030 | ||||
| Sri Lanka (1.2%) | |||||
| Sovereign Bonds (1.2%) | |||||
| Democratic Socialist Republic of Sri Lanka | 6.850% | 3/14/24 | 4,174 | 3,071 | |
| Democratic Socialist Republic of Sri Lanka | 6.850% | 11/3/25 | 11,445 | 8,107 | |
| Democratic Socialist Republic of Sri Lanka | 7.850% | 3/14/29 | 800 | 551 | |
| Total Sri Lanka (Cost $9,333) | 11,729 | ||||
| Supranational (2.2%) | |||||
| Sovereign Bonds (2.2%) | |||||
| 3 | African Export-Import Bank | 3.994% | 9/21/29 | 2,000 | 2,050 |
| African Export-Import Bank | 3.994% | 9/21/29 | 1,250 | 1,295 | |
| 3 | Banco Latinoamericano de Comercio Exterior SA | 2.375% | 9/14/25 | 12,800 | 12,935 |
| Banque Ouest Africaine de Developpement | 5.500% | 5/6/21 | 1,000 | 1,017 | |
| Banque Ouest Africaine de Developpement | 5.000% | 7/27/27 | 500 | 539 | |
| 3 | Banque Ouest Africaine de Developpement | 4.700% | 10/22/31 | 3,000 | 3,165 |
| Banque Ouest Africaine de Developpement | 4.700% | 10/22/31 | 400 | 420 | |
| Total Supranational (Cost $20,894) | 21,421 | ||||
| Trinidad & Tobago (1.4%) | |||||
| Sovereign Bonds (1.4%) | |||||
| Republic of Trinidad & Tobago | 4.375% | 1/16/24 | 5,695 | 5,777 | |
| Republic of Trinidad & Tobago | 4.500% | 8/4/26 | 2,500 | 2,531 | |
| 1,3 | Republic of Trinidad & Tobago | 4.500% | 6/26/30 | 5,750 | 5,650 |
| Total Trinidad & Tobago (Cost $14,198) | 13,958 | ||||
| Turkey (0.1%) | |||||
| Sovereign Bonds (0.1%) | |||||
| Republic of Turkey | 5.750% | 5/11/47 | 2,000 | 1,572 | |
| Total Turkey (Cost $1,408) | 1,572 | ||||
| Ukraine (3.4%) | |||||
| Sovereign Bonds (3.4%) | |||||
| Ukraine | 7.750% | 9/1/23 | 200 | 204 | |
| 12 | Ukraine | 11.670% | 11/22/23 | 43,093 | 1,533 |
| Ukraine | 7.750% | 9/1/25 | 15,715 | 15,787 | |
| Ukraine | 7.750% | 9/1/26 | 1,500 | 1,493 | |
| Ukraine | 7.750% | 9/1/27 | 1,200 | 1,192 | |
16
Emerging Markets Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Ukraine | 9.750% | 11/1/28 | 5,500 | 5,955 | |
| 3 | Ukraine | 7.253% | 3/15/33 | 7,205 | 6,617 |
| 1 | Ukreximbank Via Biz Finance plc | 9.750% | 1/22/25 | 400 | 405 |
| Total Ukraine (Cost $33,707) | 33,186 | ||||
| United Arab Emirates (3.0%) | |||||
| Sovereign Bonds (3.0%) | |||||
| Emirate of Abu Dhabi | 3.125% | 9/30/49 | 10,295 | 11,034 | |
| Emirate of Sharjah | 4.000% | 7/28/50 | 5,860 | 5,988 | |
| 3 | Emirate of Sharjah | 4.000% | 7/28/50 | 5,950 | 6,029 |
| Sharjah Sukuk Program Ltd. | 3.854% | 4/3/26 | 3,735 | 4,056 | |
| Sharjah Sukuk Program Ltd. | 2.942% | 6/10/27 | 2,000 | 2,064 | |
| Total United Arab Emirates (Cost $29,273) | 29,171 | ||||
| United States (1.8%) | |||||
| U.S. Government and Agency Obligations (1.8%) | |||||
| United States Treasury Note/Bond | 0.250% | 8/31/25 | 4,600 | 4,595 | |
| United States Treasury Note/Bond | 0.625% | 8/15/30 | 13,300 | 13,223 | |
| Total United States (Cost $17,763) | 17,818 | ||||
| Uruguay (0.6%) | |||||
| Sovereign Bonds (0.6%) | |||||
| 1 | Oriental Republic of Uruguay | 4.975% | 4/20/55 | 4,310 | 5,748 |
| Total Uruguay (Cost $5,678) | 5,748 | ||||
| Uzbekistan (1.4%) | |||||
| Sovereign Bonds (1.4%) | |||||
| Republic of Uzbekistan | 4.750% | 2/20/24 | 6,500 | 6,824 | |
| Republic of Uzbekistan | 5.375% | 2/20/29 | 6,150 | 6,862 | |
| Total Uzbekistan (Cost $13,469) | 13,686 | ||||
| Venezuela (0.0%) | |||||
| Sovereign Bonds (0.0%) | |||||
| * | Bolivarian Republic of Venezuela | 11.750% | 10/21/26 | 640 | 50 |
| * | Bolivarian Republic of Venezuela | 7.000% | 3/31/38 | 1,500 | 116 |
| *,1 | Petroleos de Venezuela SA | 6.000% | 11/15/26 | 2,850 | 76 |
| * | Petroleos de Venezuela SA | 5.375% | 4/12/27 | 462 | 12 |
| Total Venezuela (Cost $1,360) | 254 | ||||
| Vietnam (0.5%) | |||||
| Sovereign Bonds (0.5%) | |||||
| Socialist Republic of Vietnam | 4.800% | 11/19/24 | 4,700 | 5,259 | |
| Total Vietnam (Cost $5,223) | 5,259 | ||||
| Shares | |||||
| Temporary Cash Investments (6.0%) | |||||
| Money Market Fund (6.0%) | |||||
| 13 | Vanguard Market Liquidity Fund | 0.117% | 584,484 | 58,448 | |
| Total Temporary Cash Investments (Cost $58,439) | 58,448 | ||||
17
Emerging Markets Bond Fund
| Notional | Market | ||||
| Expiration | Exercise | Amount | Value· | ||
| Counterparty | Date | Price | ($000) | ($000) | |
| Options Purchased (0.1%) | |||||
| Foreign Currency Options | |||||
| Call Options | |||||
| EUR | RBC | 4/22/21 | USD 1.190 | EUR 5,000 | 1 |
| Put Options | |||||
| EUR | RBC | 4/21/21 | USD 1.175 | EUR 13,000 | 303 |
| USD | BOANA | 8/19/21 | JPY 102.00 | USD 29,000 | 528 |
| USD | BNPSW | 7/21/22 | JPY 95.100 | USD 10,000 | 163 |
| 994 | |||||
| Total Options Purchased (Cost $1,183) | 995 | ||||
| Total Investments (99.9%) (Cost $978,515) | 981,789 | ||||
| Other Assets and Liabilities—Net (0.1%) | 1,259 | ||||
| Net Assets (100%) | 983,048 | ||||
Cost is in $000.
| · | See Note A in Notes to Financial Statements. | |
| * | Non-income-producing security—security in default. | |
| 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 | Guaranteed by the Republic of Azerbaijan. | |
| 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 September 30, 2020, the aggregate value of these securities was $163,756,000, representing 16.7% of net assets. | |
| 4 | Face amount denominated in euro. | |
| 5 | Face amount denominated in Hungarian forints. | |
| 6 | Guaranteed by the Republic of Indonesia. | |
| 7 | Face amount denominated in Mexican pesos. | |
| 8 | Securities with a value of $2,943,000 has been segregated as initial margin for open futures contracts. | |
| 9 | Face amount denominated in Russian rubles. | |
| 10 | Guaranteed by the Kingdom of Saudi Arabia. | |
| 11 | Face amount denominated in South African rand. | |
| 12 | Face amount denominated in Ukrainian hryvnia. | |
| 13 | 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
Emerging Markets Bond Fund
| Derivative Financial Instruments Outstanding as of Period End | ||||
| Futures Contracts | ||||
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| 10-Year U.S. Treasury Note | December 2020 | 100 | 13,953 | (25) |
| Short Futures Contracts | ||||
| Euro-Bund | December 2020 | (58) | (11,868) | (26) |
| Ultra Long U.S. Treasury Bond | December 2020 | (33) | (7,320) | 15 |
| Euro-Buxl | December 2020 | (27) | (7,049) | (84) |
| Euro-Bobl | December 2020 | (30) | (4,754) | (6) |
| (101) | ||||
| (126) | ||||
| Forward Currency Contracts | ||||||||
| Contract | Unrealized | Unrealized | ||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | |||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | |||
| J.P. Morgan Securities LLC | 10/20/20 | RUB | 1,339,149 | USD | 17,745 | — | (549) | |
| Bank of America, N.A. | 10/16/20 | MXN | 316,826 | USD | 14,495 | — | (194) | |
| Morgan Stanley Capital Services LLC | 10/16/20 | JPY | 917,990 | USD | 8,780 | — | (75) | |
| State Street Bank & Trust Co. | 10/16/20 | MXN | 188,840 | USD | 8,459 | 65 | — | |
| Bank of America, N.A. | 10/16/20 | MXN | 108,296 | USD | 4,840 | 48 | — | |
| State Street Bank & Trust Co. | 10/16/20 | USD | 36,037 | EUR | 30,514 | 249 | — | |
| State Street Bank & Trust Co. | 10/16/20 | USD | 29,755 | MXN | 626,281 | 1,486 | — | |
| HSBC Bank USA, N.A. | 10/16/20 | USD | 12,523 | ZAR | 205,154 | 299 | — | |
| J.P. Morgan Securities LLC | 10/20/20 | USD | 12,210 | RUB | 954,083 | — | (41) | |
| State Street Bank & Trust Co. | 10/16/20 | USD | 12,048 | EUR | 10,320 | — | (56) | |
| Citigroup Global Markets Inc. | 10/16/20 | USD | 10,946 | EUR | 9,380 | — | (56) | |
| Bank of America, N.A. | 10/16/20 | USD | 7,325 | MXN | 162,202 | 4 | — | |
| State Street Bank & Trust Co. | 10/16/20 | USD | 4,974 | HUF | 1,521,616 | 67 | — | |
| BNP Paribas | 7/22/22 | USD | 6,183 | JPY | 622,050 | 219 | — | |
| BNP Paribas | 7/22/22 | USD | 3,500 | JPY | 349,895 | 145 | — | |
| 2,582 | (971) | |||||||
EUR—euro.
HUF—Hungarian forint.
JPY—Japanese yen.
MXN—Mexican peso.
RUB—Russian ruble.
USD—U.S. dollar.
ZAR—South African rand.
19
Emerging Markets Bond Fund
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 Periodic premium received/paid quarterly.
BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
RBC—Royal Bank of Canada.
At September 30, 2020, the counterparties had deposited in segregated accounts securities with a value of $2,705,000 and cash of $2,540,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Emerging Markets Bond Fund
Statement of Assets and Liabilities
As of September 30, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $920,076) | 923,341 |
| Affiliated Issuers (Cost $58,439) | 58,448 |
| Total Investments in Securities | 981,789 |
| Investment in Vanguard | 36 |
| Cash | 625 |
| Cash Collateral Pledged—Forward Currency Contracts and Over-the-Counter Swap Contracts | 470 |
| Receivables for Investment Securities Sold | 5,785 |
| Receivables for Accrued Income | 10,534 |
| Receivables for Capital Shares Issued | 9,099 |
| Swap Premiums Paid | 1,788 |
| Variation Margin Receivable—Futures Contracts | 130 |
| Unrealized Appreciation—Forward Currency Contracts | 2,582 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 188 |
| Total Assets | 1,013,026 |
| Liabilities | |
| Foreign Currency Due to Custodian, at Value | 87 |
| Payables for Investment Securities Purchased | 24,310 |
| Payables for Capital Shares Redeemed | 3,629 |
| Payables for Distributions | 414 |
| Payables to Vanguard | 235 |
| Variation Margin Payable—Futures Contracts | 81 |
| Unrealized Depreciation—Forward Currency Contracts | 971 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 251 |
| Total Liabilities | 29,978 |
| Net Assets | 983,048 |
21
Emerging Markets Bond Fund
Statement of Assets and Liabilities (continued)
At September 30, 2020, net assets consisted of:
| ($000s, except shares and per-share amounts) | Amount |
| Paid-in Capital | 963,110 |
| Total Distributable Earnings (Loss) | 19,938 |
| Net Assets | 983,048 |
| Investor Shares—Net Assets | |
| Applicable to 11,033,260 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 129,466 |
| Net Asset Value Per Share—Investor Shares | $11.73 |
| Admiral Shares—Net Assets | |
| Applicable to 31,265,292 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 853,582 |
| Net Asset Value Per Share—Admiral Shares | $27.30 |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Emerging Markets Bond Fund
Statement of Operations
| Year Ended | |
| September 30, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 28,677 |
| Total Income | 28,677 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 67 |
| Management and Administrative—Investor Shares | 435 |
| Management and Administrative—Admiral Shares | 2,058 |
| Marketing and Distribution—Investor Shares | 13 |
| Marketing and Distribution—Admiral Shares | 36 |
| Custodian Fees | 47 |
| Auditing Fees | 43 |
| Shareholders’ Reports—Investor Shares | 6 |
| Shareholders’ Reports—Admiral Shares | 8 |
| Total Expenses | 2,713 |
| Net Investment Income | 25,964 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 14,388 |
| Futures Contracts | 1,077 |
| Options Purchased | (40) |
| Swap Contracts | 3,868 |
| Forward Currency Contracts | (4,589) |
| Foreign Currencies | 368 |
| Realized Net Gain (Loss) | 15,072 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 2,516 |
| Futures Contracts | (156) |
| Options Purchased | (407) |
| Swap Contracts | (74) |
| Forward Currency Contracts | 1,073 |
| Foreign Currencies | 8 |
| Change in Unrealized Appreciation (Depreciation) | 2,960 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 43,996 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $305,000, $10,000, and $9,000, respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
Emerging Markets Bond Fund
Statement of Changes in Net Assets
| Year Ended September 30, | ||
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 25,964 | 8,716 |
| Realized Net Gain (Loss) | 15,072 | 9,629 |
| Change in Unrealized Appreciation (Depreciation) | 2,960 | 2,398 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 43,996 | 20,743 |
| Distributions1 | ||
| Investor Shares | (4,486) | (1,920) |
| Admiral Shares | (26,098) | (6,932) |
| Total Distributions | (30,584) | (8,852) |
| Capital Share Transactions | ||
| Investor Shares | 62,448 | 36,597 |
| Admiral Shares | 537,078 | 220,764 |
| Net Increase (Decrease) from Capital Share Transactions | 599,526 | 257,361 |
| Total Increase (Decrease) | 612,938 | 269,252 |
| Net Assets | ||
| Beginning of Period | 370,110 | 100,858 |
| End of Period | 983,048 | 370,110 |
| 1 | Certain prior-period numbers have been reclassified to conform with the current-period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
24
Emerging Markets Bond Fund
Financial Highlights
| Investor Shares | |||||
| March 10, | |||||
| 20161 to | |||||
| For a Share Outstanding | Year Ended September 30, | Sept. 30, | |||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $11.19 | $10.36 | $10.76 | $11.07 | $10.00 |
| Investment Operations | |||||
| Net Investment Income | .4952 | .5242 | .4432 | .5042 | .286 |
| Net Realized and Unrealized Gain (Loss) on Investments | .655 | .826 | (.193) | .184 | 1.050 |
| Total from Investment Operations | 1.150 | 1.350 | .250 | .688 | 1.336 |
| Distributions | |||||
| Dividends from Net Investment Income | (.400) | (.520) | (.439) | (.514) | (.266) |
| Distributions from Realized Capital Gains | (.210) | — | (.211) | (.484) | — |
| Total Distributions | (.610) | (.520) | (.650) | (.998) | (.266) |
| Net Asset Value, End of Period | $11.73 | $11.19 | $10.36 | $10.76 | $11.07 |
| Total Return3 | 10.67% | 13.40% | 2.39% | 7.01% | 13.51% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $129 | $64 | $25 | $12 | $11 |
| Ratio of Total Expenses to Average Net Assets | 0.60% | 0.60% | 0.60% | 0.60% | 0.60%4 |
| Ratio of Net Investment Income to Average Net Assets | 4.40% | 4.73% | 4.29% | 4.79% | 4.85%4 |
| Portfolio Turnover Rate | 266% | 272% | 350% | 261% | 153% |
| 1 | Inception. | |
| 2 | Calculated based on average shares outstanding. | |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. | |
| 4 | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
25
Emerging Markets Bond Fund
Financial Highlights
| Admiral Shares | |||
| Dec. 6, | |||
| Year Ended | 20171 to | ||
| September 30, | Sept. 30, | ||
| For a Share Outstanding Throughout Each Period | 2020 | 2019 | 2018 |
| Net Asset Value, Beginning of Period | $26.03 | $24.11 | $24.80 |
| Investment Operations | |||
| Net Investment Income2 | 1.192 | 1.228 | .875 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.535 | 1.940 | (.659) |
| Total from Investment Operations | 2.727 | 3.168 | .216 |
| Distributions | |||
| Dividends from Net Investment Income | (.969) | (1.248) | (.906) |
| Distributions from Realized Capital Gains | (.488) | — | — |
| Total Distributions | (1.457) | (1.248) | (.906) |
| Net Asset Value, End of Period | $27.30 | $26.03 | $24.11 |
| Total Return3 | 10.89% | 13.53% | 0.92% |
| Ratios/Supplemental Data | |||
| Net Assets, End of Period (Millions) | $854 | $306 | $76 |
| Ratio of Total Expenses to Average Net Assets | 0.45% | 0.45% | 0.45%4 |
| Ratio of Net Investment Income to Average Net Assets | 4.54% | 4.88% | 4.44%4 |
| Portfolio Turnover Rate | 266% | 272% | 350% |
| 1 | Inception. | |
| 2 | Calculated based on average shares outstanding. | |
| 3 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. | |
| 4 | Annualized. |
See accompanying Notes, which are an integral part of the Financial Statements.
26
Emerging Markets Bond Fund
Notes to Financial Statements
Vanguard Emerging Markets Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated
27
Emerging Markets Bond Fund
clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts represented 3% and 6% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. 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 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 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the year ended September 30, 2020, the fund’s average investment in forward currency contracts represented 22% of net assets, based on the average of notional amounts at each quarter-end during the period.
28
Emerging Markets Bond Fund
5. Options: The fund invests in options on foreign currency, which are transacted over-the-counter (OTC) and not on an exchange. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into options with a diverse group of prequalified counterparties and monitoring their financial strength. The primary risk associated with purchasing options on foreign currency is that the value of the underlying foreign currencies may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options on foreign currency is that the value of the underlying foreign currencies may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Options on foreign currency are valued daily based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities 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 in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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.
During the year ended September 30, 2020, the fund’s average value of investments in options purchased and options written represented less than 1% and 0% of net assets, respectively, based on the average market values at each quarter-end during the period.
6. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
29
Emerging Markets Bond Fund
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
During the year ended September 30, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 7% and 5% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period.
7. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
8. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
30
Emerging Markets Bond Fund
9. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
10. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
31
Emerging Markets Bond Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $36,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 17,818 | — | 17,818 |
| Corporate Bonds | — | 33,824 | — | 33,824 |
| Sovereign Bonds | — | 870,704 | — | 870,704 |
| Temporary Cash Investments | 58,448 | — | — | 58,448 |
| Options Purchased | — | 995 | — | 995 |
| Total | 58,448 | 923,341 | — | 981,789 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 130 | — | — | 130 |
| Forward Currency Contracts | — | 2,582 | — | 2,582 |
| Swap Contracts | — | 188 | — | 188 |
| Total | 130 | 2,770 | — | 2,900 |
| Liabilities | ||||
| Futures Contracts1 | 81 | — | — | 81 |
| Forward Currency Contracts | — | 971 | — | 971 |
| Swap Contracts | — | 251 | — | 251 |
| Total | 81 | 1,222 | — | 1,303 |
1 Represents variation margin on the last day of the reporting period.
32
Emerging Markets Bond Fund
D. At September 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | ($000) |
| Options Purchased | — | 995 | — | 995 |
| Swap Premiums Paid | — | — | 1,788 | 1,788 |
| Variation Margin Receivable—Futures Contracts | 130 | — | — | 130 |
| Unrealized Appreciation—Forward Currency Contracts | — | 2,582 | — | 2,582 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 188 | 188 |
| Total Assets | 130 | 3,577 | 1,976 | 5,683 |
| Variation Margin Payable—Futures Contracts | 81 | — | — | 81 |
| Unrealized Depreciation—Forward Currency Contracts | — | 971 | — | 971 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 251 | 251 |
| Total Liabilities | 81 | 971 | 251 | 1,303 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended September 30, 2020, were:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
| Futures Contracts | 1,077 | — | — | 1,077 |
| Options Purchased | — | (40) | — | (40) |
| Swap Contracts | — | — | 3,868 | 3,868 |
| Forward Currency Contracts | — | (4,589) | — | (4,589) |
| Realized Net Gain (Loss) on Derivatives | 1,077 | (4,629) | 3,868 | 316 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
| Futures Contracts | (156) | — | — | (156) |
| Options Purchased | — | (407) | — | (407) |
| Swap Contracts | — | — | (74) | (74) |
| Forward Currency Contracts | — | 1,073 | — | 1,073 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | (156) | 666 | (74) | 436 |
33
Emerging Markets Bond Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions, distributions in connection with fund share redemptions, and swap agreements were reclassified between the following accounts:
| Amount | |
| ($000) | |
| Paid-in Capital | 2,773 |
| Total Distributable Earnings (Loss) | (2,773) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; the inclusion of payables for distributions; and the recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | |
| ($000) | |
| Undistributed Ordinary Income | 17,909 |
| Undistributed Long-Term Gains | 237 |
| Capital Loss Carryforwards | — |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 2,206 |
The tax character of distributions paid was as follows:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Amount | Amount | |
| ($000) | ($000) | |
| Ordinary Income* | 29,886 | 8,852 |
| Long-Term Capital Gains | 698 | — |
| Total | 30,584 | 8,852 |
* Includes short-term capital gains, if any.
34
Emerging Markets Bond Fund
As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 980,313 |
| Gross Unrealized Appreciation | 22,147 |
| Gross Unrealized Depreciation | (19,941) |
| Net Unrealized Appreciation (Depreciation) | 2,206 |
F. During the year ended September 30, 2020, the fund purchased $1,809,985,000 of investment securities and sold $1,344,395,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $49,541,000 and $37,214,000, respectively. Total purchases and sales include $1,690,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Year Ended September 30, | |||||
| 2020 | 2019 | ||||
| Amount | Shares | Amount | Shares | ||
| ($000) | (000) | ($000) | (000) | ||
| Investor Shares | |||||
| Issued | 131,566 | 11,514 | 63,399 | 5,855 | |
| Issued in Lieu of Cash Distributions | 3,762 | 336 | 1,586 | 147 | |
| Redeemed | (72,880) | (6,554) | (28,388) | (2,633) | |
| Net Increase (Decrease)—Investor Shares | 62,448 | 5,296 | 36,597 | 3,369 | |
| Admiral Shares | |||||
| Issued | 788,716 | 29,735 | 287,665 | 11,301 | |
| Issued in Lieu of Cash Distributions | 20,639 | 790 | 4,933 | 195 | |
| Redeemed | (272,277) | (11,014) | (71,834) | (2,908) | |
| Net Increase (Decrease)—Admiral Shares | 537,078 | 19,511 | 220,764 | 8,588 | |
At September 30, 2020, one shareholder was the record or beneficial owner of 31% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
35
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Malvern Funds and Shareholders of Vanguard Emerging Markets Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard Emerging Markets Bond Fund (one of the funds constituting Vanguard Malvern Funds, referred to hereafter as the “Fund”) as of September 30, 2020, the related statement of operations for the year ended September 30, 2020, the statement of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 17, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
36
Special 2020 tax information (unaudited) for Vanguard Emerging Markets Bond Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $772,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
37
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020–present), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of the individual life and disability division of Guardian Life. Member of the board of the American Council of Life Insurers and the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork- Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Deputy assistant to the President of the United States (2015).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
| Joseph Brennan | James M. Norris |
| Mortimer J. Buckley | Thomas M. Rampulla |
| Gregory Davis | Karin A. Risi |
| John James | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | Lauren Valente |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.
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© 2020 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor.
Q14310 112020 |
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Annual Report | September 30, 2020
Vanguard Institutional Bond Funds
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Vanguard Institutional Short-Term Bond Fund
Vanguard Institutional Intermediate-Term Bond Fund
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| Your Fund’s Performance at a Glance | 1 |
| About Your Fund’s Expenses | 2 |
| Institutional Short-Term Bond Fund | 4 |
| Institutional Intermediate-Term Bond Fund | 43 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
· For the 12 months ended September 30, 2020, Vanguard Institutional Short-Term Bond Fund returned 4.10%, outperforming its benchmark, the Bloomberg Barclays U.S. Government/Credit 1–3 Year Ex Baa Index, which returned 3.74%. Vanguard Institutional Intermediate-Term Bond Fund returned 6.02%; its benchmark, the Bloomberg Barclays U.S. Intermediate Aggregate Ex Baa Index, returned 5.56%.
· The funds were conservatively positioned going into 2020 as valuations seemed stretched. That allowed their portfolio managers to add high-quality bonds when the market initially cheapened and then to selectively add exposure to some of the hardest- hit segments when their valuation became compelling.
· The primary driver of outperformance for both funds was an underweighting of U.S. Treasuries as they underperformed credit sectors. Exposure to emerging markets helped the funds, as did exposure to corporate bonds to a lesser extent.
· The funds’ potential annual rates of income, as measured by their 30-day SEC yields, declined along with bond yields. The Short-Term Fund’s yield fell 109 basis points to 1.24%, and the Intermediate-Term Fund’s yield fell 112 basis points to 1.19%. (A basis point is one-hundredth of a percentage point.)
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended September 30, 2020 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 16.01% | 12.38% | 14.09% |
| Russell 2000 Index (Small-caps) | 0.39 | 1.77 | 8.00 |
| Russell 3000 Index (Broad U.S. market) | 15.00 | 11.65 | 13.69 |
| FTSE All-World ex US Index (International) | 3.55 | 1.50 | 6.49 |
| Bonds | |||
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 6.98% | 5.24% | 4.18% |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 4.09 | 4.28 | 3.84 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.02 | 1.65 | 1.15 |
| CPI | |||
| Consumer Price Index | 1.37% | 1.79% | 1.81% |
1
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
· Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
· Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
2
| Six Months Ended September 30, 2020 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 3/31/2020 | 9/30/2020 | Period | |
| Based on Actual Fund Return | |||
| Institutional Short-Term Bond Fund | $1,000.00 | $1,034.39 | $0.10 |
| Institutional Intermediate-Term Bond Fund | $1,000.00 | $1,029.05 | $0.10 |
| Based on Hypothetical 5% Yearly Return | |||
| Institutional Short-Term Bond Fund | $1,000.00 | $1,024.90 | $0.10 |
| Institutional Intermediate-Term Bond Fund | $1,000.00 | $1,024.90 | $0.10 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: 0.02% for the Institutional Short-Term Bond Fund and 0.02% for the Institutional Intermediate-Term Bond Fund. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).
3
Institutional Short-Term Bond Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 30, 2010, Through September 30, 2020
Initial Investment of $10,000,000
| Average Annual Total Returns | |||||
| Periods Ended September 30, 2020 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000,000 | ||
| Year | Years | Years | Investment | ||
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Institutional Short-Term Bond Fund Institutional Plus Shares | 4.10% | 2.47% | 1.89% | $12,056,057 |
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Bloomberg Barclays U.S. Government/Credit 1–3 Year ex Baa Index | 3.74 | 1.98 | 1.47 | 11,567,751 |
|
Bloomberg Barclays U.S. Aggregate Float Adjusted Index | 7.14 | 4.26 | 3.67 | 14,341,817 |
The fund is the successor to VFTC Short-Term Bond Trust (the predecessor trust), a collective trust managed by Vanguard Fiduciary Trust Company, an affiliate of The Vanguard Group, Inc. The predecessor trust transferred its assets to the fund in connection with the fund’s commencement of operations on or about June 19, 2015. The performance of the fund’s Institutional Plus Shares includes the performance of the predecessor trust prior to the commencement of the fund’s operations. The performance of the predecessor trust has not been adjusted to reflect the expenses of the fund’s Institutional Plus Shares. If the performance of the predecessor trust was adjusted to reflect the expenses of the fund’s Institutional Plus Shares, the predecessor trust’s performance would have been lower. The fund is managed with the same investment objective, strategies, policies, and risks as the predecessor trust. The predecessor trust was not an investment company registered under the Investment Company Act of 1940. If the predecessor trust had been an investment company, its performance may have been different.
See Financial Highlights for dividend and capital gains information.
4
Institutional Short-Term Bond Fund
Fund Allocation
As of September 30, 2020
| Asset-Backed/Commercial Mortgage-Backed Securities | 48.4% |
| Corporate Bonds | 31.6 |
| Sovereign Bonds | 8.8 |
| Taxable Municipal Bonds | 1.0 |
| U.S. Government and Agency Obligations | 10.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
5
Institutional Short-Term Bond Fund
Financial Statements
Schedule of Investments
As of September 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
6
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Asset-Backed/Commercial Mortgage-Backed Securities (47.4%) | |||||
| 3 | Ally Auto Receivables Trust 2017-5 | 2.220% | 10/17/22 | 7,700 | 7,780 |
| 3 | Ally Auto Receivables Trust 2018-1 | 2.530% | 2/15/23 | 1,490 | 1,516 |
| 3 | Ally Auto Receivables Trust 2019-1 | 3.020% | 4/15/24 | 5,520 | 5,804 |
| 3 | Ally Auto Receivables Trust 2019-3 | 1.930% | 5/15/24 | 11,670 | 11,907 |
| 3 | Ally Auto Receivables Trust 2019-4 | 1.920% | 1/15/25 | 1,890 | 1,959 |
| 3 | Ally Master Owner Trust Series 2018-2 | 3.290% | 5/15/23 | 29,540 | 30,086 |
| 3 | Ally Master Owner Trust Series 2018-2 | 3.300% | 7/17/23 | 26,580 | 27,173 |
| 3 | AmeriCredit Automobile Receivables Trust 2019-1 | 2.970% | 11/20/23 | 8,800 | 8,970 |
| 3 | AmeriCredit Automobile Receivables Trust 2020-2 | 0.660% | 12/18/24 | 5,580 | 5,599 |
| 3,5 | ARI Fleet Lease Trust 2020-A | 1.800% | 8/15/28 | 2,800 | 2,876 |
| 3,5 | Aventura Mall Trust 2018-AVM | 4.249% | 7/5/40 | 740 | 788 |
| 3,5 | Avis Budget Rental Car Funding AESOP LLC 2017-1A | 3.070% | 9/20/23 | 5,215 | 5,370 |
| 3,5 | Avis Budget Rental Car Funding AESOP LLC 2019-1A | 3.450% | 3/20/23 | 7,620 | 7,814 |
| 3 | Banc of America Commercial Mortgage Trust 2015-UBS7 | 3.429% | 9/15/48 | 290 | 309 |
| 3 | Banc of America Commercial Mortgage Trust 2017-BNK3 | 3.574% | 2/15/50 | 160 | 181 |
| 3 | BANK 2017 - BNK6 | 3.254% | 7/15/60 | 440 | 492 |
| 3 | BANK 2017 - BNK6 | 3.518% | 7/15/60 | 420 | 478 |
| 3 | BANK 2017 - BNK6 | 3.741% | 7/15/60 | 30 | 33 |
| 3 | BANK 2017 - BNK7 | 3.435% | 9/15/60 | 280 | 317 |
| 3 | BANK 2017 - BNK8 | 3.488% | 11/15/50 | 1,120 | 1,272 |
| 3 | BANK 2018 - BN10 | 3.641% | 2/15/61 | 380 | 427 |
| 3 | BANK 2018 - BN12 | 4.255% | 5/15/61 | 250 | 296 |
| 3 | BANK 2018 - BN14 | 4.185% | 9/15/60 | 445 | 512 |
| 3 | BANK 2018 - BN14 | 4.231% | 9/15/60 | 250 | 297 |
| 3 | BANK 2019 - BN17 | 3.623% | 4/15/52 | 181 | 206 |
| 3 | BANK 2019 - BN17 | 3.714% | 4/15/52 | 576 | 670 |
| 3 | BANK 2019 - BN19 | 3.183% | 8/15/61 | 470 | 531 |
| 3 | BANK 2019 - BN20 | 3.011% | 9/15/62 | 100 | 112 |
| 3 | BANK 2020 - BN28 | 1.725% | 3/15/63 | 1,000 | 1,027 |
| 3 | Benchmark 2018-B1 Mortgage Trust | 3.602% | 1/15/51 | 110 | 122 |
| 3 | Benchmark 2018-B1 Mortgage Trust | 3.878% | 1/15/51 | 60 | 68 |
| 3 | Benchmark 2019-B10 Mortgage Trust | 3.615% | 3/15/62 | 194 | 220 |
| 3 | Benchmark 2020-B19 Mortgage Trust | 1.745% | 9/15/53 | 1,000 | 1,028 |
| 3 | BMW Vehicle Owner Trust 2018-A | 1.920% | 1/25/24 | 23,060 | 23,482 |
| 3 | BMW Vehicle Owner Trust 2018-A | 2.510% | 6/25/24 | 11,280 | 11,489 |
| 3 | BMW Vehicle Owner Trust 2020-A | 0.480% | 10/25/24 | 29,030 | 29,104 |
| 3 | BMW Vehicle Owner Trust 2020-A | 0.620% | 4/26/27 | 4,550 | 4,575 |
| 3,6 | Brazos Higher Education Authority Inc. Series 2005-3, 3M USD LIBOR + 0.200% | 0.425% | 6/25/26 | 1,046 | 1,041 |
| 3,6 | Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% | 1.050% | 2/25/30 | 1,687 | 1,689 |
| 3,5 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.220% | 9/19/22 | 4,920 | 4,981 |
| 3,5 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.270% | 12/19/22 | 12,014 | 12,102 |
| 3,5 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.440% | 8/21/23 | 6,380 | 6,581 |
7
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3,5 | Canadian Pacer Auto Receivables Trust A Series 2019 | 2.960% | 6/19/24 | 1,900 | 1,974 |
| 3,5 | Canadian Pacer Auto Receivables Trust A Series 2020 | 1.830% | 7/19/24 | 10,040 | 10,222 |
| 3,5 | Canadian Pacer Auto Receivables Trust A Series 2020 | 1.890% | 3/19/25 | 2,150 | 2,183 |
| 3 | Capital One Auto Receivables Trust 2019-1 | 2.510% | 11/15/23 | 33,410 | 34,163 |
| 3 | Capital One Auto Receivables Trust 2019-1 | 2.560% | 10/15/24 | 5,380 | 5,627 |
| 3 | Capital One Auto Receivables Trust 2019-2 | 1.920% | 5/15/24 | 27,130 | 27,710 |
| 3 | Capital One Auto Receivables Trust 2020-1 | 1.600% | 11/15/24 | 24,280 | 24,793 |
| 3 | Capital One Auto Receivables Trust 2020-1 | 1.630% | 8/15/25 | 4,340 | 4,475 |
| 3 | Capital One Multi-Asset Execution Trust 2019-A1 | 2.840% | 12/15/24 | 37,760 | 39,089 |
| 3 | CarMax Auto Owner Trust 2017-3 | 2.220% | 11/15/22 | 13,510 | 13,697 |
| 3 | CarMax Auto Owner Trust 2017-4 | 2.330% | 5/15/23 | 4,040 | 4,118 |
| 3 | CarMax Auto Owner Trust 2018-1 | 2.640% | 6/15/23 | 11,600 | 11,927 |
| 3 | CarMax Auto Owner Trust 2018-3 | 3.130% | 6/15/23 | 3,810 | 3,881 |
| 3 | CarMax Auto Owner Trust 2018-3 | 3.270% | 3/15/24 | 14,840 | 15,562 |
| 3 | CarMax Auto Owner Trust 2018-4 | 3.360% | 9/15/23 | 14,160 | 14,519 |
| 3 | CarMax Auto Owner Trust 2018-4 | 3.480% | 2/15/24 | 5,320 | 5,657 |
| 3 | CarMax Auto Owner Trust 2019-3 | 2.180% | 8/15/24 | 29,590 | 30,405 |
| 3 | CarMax Auto Owner Trust 2019-3 | 2.300% | 4/15/25 | 5,400 | 5,666 |
| 3 | CarMax Auto Owner Trust 2019-4 | 2.020% | 11/15/24 | 16,090 | 16,575 |
| 3 | CarMax Auto Owner Trust 2019-4 | 2.130% | 7/15/25 | 3,830 | 4,016 |
| 3 | CarMax Auto Owner Trust 2020-1 | 2.030% | 6/16/25 | 5,620 | 5,887 |
| 3 | CarMax Auto Owner Trust 2020-3 | 0.620% | 3/17/25 | 43,100 | 43,313 |
| 3 | CarMax Auto Owner Trust 2020-3 | 0.770% | 3/16/26 | 4,900 | 4,949 |
| 3 | CD 2016-CD1 Commercial Mortgage Trust | 2.724% | 8/10/49 | 540 | 583 |
| 3 | CD 2017-CD6 Commercial Mortgage Trust | 3.456% | 11/13/50 | 1,130 | 1,279 |
| 3 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 64 | 64 |
| 3,5 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.931% | 12/15/47 | 2,072 | 2,144 |
| 3 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 472 | 513 |
| 3,5 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 9,873 | 10,023 |
| 3,5 | Chesapeake Funding II LLC 2019-1 | 2.940% | 4/15/31 | 5,728 | 5,868 |
| 3,5 | Chesapeake Funding II LLC 2019-2 | 1.950% | 9/15/31 | 9,124 | 9,274 |
| 3,5 | Chesapeake Funding II LLC 2020-1 | 0.870% | 8/16/32 | 17,617 | 17,666 |
| 3,5 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 450 | 464 |
| 3 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 952 | 995 |
| 3 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 169 | 176 |
| 3 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 3,415 | 3,717 |
| 3 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 756 | 822 |
| 3 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 255 | 276 |
| 3 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.372% | 10/10/47 | 591 | 638 |
| 3 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 2,250 | 2,457 |
8
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 50 | 54 |
| 3 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 950 | 1,061 |
| 3 | Citigroup Commercial Mortgage Trust 2017-C4 | 3.471% | 10/12/50 | 520 | 590 |
| 3 | Citigroup Commercial Mortgage Trust 2017-P8 | 3.465% | 9/15/50 | 1,085 | 1,230 |
| 3 | Citigroup Commercial Mortgage Trust 2018-C5 | 4.228% | 6/10/51 | 230 | 272 |
| 3 | CNH Equipment Trust 2020-A | 1.160% | 6/16/25 | 8,220 | 8,334 |
| 3 | CNH Equipment Trust 2020-A | 1.510% | 4/15/27 | 2,310 | 2,379 |
| 3 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 363 | 374 |
| 3 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 901 | 930 |
| 3,5 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 340 | 348 |
| 3 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 547 | 558 |
| 3 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 291 | 302 |
| 3 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 8/10/50 | 924 | 998 |
| 3 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 8/10/50 | 813 | 889 |
| 3 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 800 | 870 |
| 3 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/46 | 837 | 916 |
| 3 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 20 | 21 |
| 3 | COMM 2013-CCRE9 Mortgage Trust | 4.362% | 7/10/45 | 800 | 868 |
| 3,5 | COMM 2013-CCRE9 Mortgage Trust | 4.385% | 7/10/45 | 3,169 | 3,348 |
| 3 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 150 | 161 |
| 3 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 790 | 822 |
| 3,5 | COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 1,228 | 1,209 |
| 3 | COMM 2014-CCRE14 Mortgage Trust | 3.955% | 2/10/47 | 20 | 22 |
| 3 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 505 | 556 |
| 3 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 30 | 33 |
| 3 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 500 | 549 |
| 3 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 350 | 380 |
| 3 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 80 | 86 |
| 3 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,500 | 1,659 |
| 3 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 855 | 933 |
| 3 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 487 | 543 |
| 3 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 44 | 48 |
| 3 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 1,250 | 1,398 |
| 3 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.502% | 11/15/49 | 900 | 1,002 |
| 3 | CSAIL 2017-C8 Commercial Mortgage Trust | 3.392% | 6/15/50 | 520 | 584 |
| 3,5 | Daimler Trucks Retail Trust 2019-1 | 2.790% | 5/15/25 | 3,980 | 4,102 |
| 3 | DBJPM 17-C6 Mortgage Trust | 3.328% | 6/10/50 | 740 | 833 |
| 3,5,6 | DELAM 2018-1, 1M USD LIBOR + 0.700% | 0.856% | 11/19/25 | 16,440 | 16,439 |
| §,3,5 | Dell Equipment Finance Trust 2020-2 | 0.470% | 10/24/22 | 22,750 | 22,747 |
| §,3,5 | Dell Equipment Finance Trust 2020-2 | 0.570% | 10/23/23 | 19,650 | 19,649 |
| 3 | Discover Card Execution Note Trust 2018-A5 | 3.320% | 3/15/24 | 22,440 | 23,101 |
| 3 | Discover Card Execution Note Trust 2019-A1 | 3.040% | 7/15/24 | 31,810 | 32,960 |
| 3,5 | DLL Securitization Trust Series 2018-1 | 3.100% | 4/18/22 | 3,863 | 3,886 |
| 3,5 | DLL Securitization Trust Series 2018-A3 | 3.460% | 1/20/22 | 7,902 | 7,972 |
| 3,5 | DLL Securitization Trust Series 2018-A4 | 3.590% | 6/20/24 | 11,100 | 11,391 |
| 3,5 | DLL Securitization Trust Series 2019-DA1 | 2.890% | 4/20/23 | 6,970 | 7,088 |
| 3,5 | DLL Securitization Trust Series 2019-DA1 | 2.920% | 4/20/27 | 10,190 | 10,657 |
| 3,5 | DLL Securitization Trust Series 2019-MA2 | 2.340% | 9/20/23 | 21,160 | 21,622 |
| 3,5 | DLL Securitization Trust Series 2019-MT3 | 2.080% | 2/21/23 | 14,100 | 14,358 |
9
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3,5 | DLL Securitization Trust Series 2019-MT3 | 2.150% | 9/21/26 | 8,000 | 8,243 |
| 3 | Drive Auto Receivables Trust 2020-1 | 2.020% | 11/15/23 | 5,790 | 5,866 |
| 3 | Drive Auto Receivables Trust 2020-2 | 0.830% | 5/15/24 | 5,980 | 6,011 |
| 3,5,6 | Edsouth Indenture No 9 LLC 2015-1, 1M USD LIBOR + 0.800% | 0.948% | 10/25/56 | 454 | 448 |
| 3,5 | Enterprise Fleet Financing LLC Series 2019-1 | 2.980% | 10/20/24 | 2,743 | 2,788 |
| 3,5 | Enterprise Fleet Financing LLC Series 2019-1 | 3.070% | 10/20/24 | 6,160 | 6,447 |
| 3,5 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 8,478 | 8,613 |
| 3,5 | Enterprise Fleet Financing LLC Series 2020-1 | 1.780% | 12/22/25 | 29,760 | 30,211 |
| 3,5 | Enterprise Fleet Financing LLC Series 2020-1 | 1.860% | 12/22/25 | 4,500 | 4,619 |
| 3,5 | Enterprise Fleet Financing LLC Series 2020-1 | 0.610% | 7/20/26 | 17,970 | 17,967 |
| 3,4 | Fannie Mae Grantor Trust 2017-T1 | 2.898% | 6/25/27 | 12,980 | 14,359 |
| 3 | Fifth Third Auto Trust 2017-1 | 2.030% | 7/15/24 | 13,390 | 13,479 |
| 3,5 | Flagship Credit Auto Trust 2020-1 | 1.490% | 7/15/24 | 6,139 | 6,196 |
| 3,5 | Fontainebleau Miami Beach Trust 2019-FBLU | 3.144% | 12/10/36 | 650 | 664 |
| 3 | Ford Credit Auto Lease Trust 2020-A | 1.850% | 3/15/23 | 14,850 | 15,101 |
| 3 | Ford Credit Auto Lease Trust 2020-B | 0.620% | 8/15/23 | 45,240 | 45,441 |
| 3 | Ford Credit Auto Lease Trust 2020-B | 0.690% | 10/15/23 | 7,380 | 7,405 |
| 3,5 | Ford Credit Auto Owner Trust 2017-1 | 2.620% | 8/15/28 | 56,550 | 58,276 |
| 3,5 | Ford Credit Auto Owner Trust 2017-2 | 2.360% | 3/15/29 | 24,640 | 25,527 |
| 3 | Ford Credit Auto Owner Trust 2018-B | 3.240% | 4/15/23 | 9,465 | 9,631 |
| 3 | Ford Credit Auto Owner Trust 2018-B | 3.380% | 3/15/24 | 14,050 | 14,805 |
| 3,5 | Ford Credit Auto Owner Trust 2018-REV2 | 3.470% | 1/15/30 | 23,465 | 25,302 |
| 3 | Ford Credit Auto Owner Trust 2019-A | 2.780% | 9/15/23 | 34,570 | 35,378 |
| 3 | Ford Credit Auto Owner Trust 2019-A | 2.850% | 8/15/24 | 18,140 | 19,153 |
| 3,5 | Ford Credit Auto Owner Trust 2020-1 | 2.040% | 8/15/31 | 3,580 | 3,750 |
| 3 | Ford Credit Auto Owner Trust 2020-A | 1.040% | 8/15/24 | 9,260 | 9,374 |
| 3 | Ford Credit Auto Owner Trust 2020-A | 1.350% | 7/15/25 | 2,660 | 2,726 |
| 3 | Ford Credit Auto Owner Trust 2020-B | 0.560% | 10/15/24 | 48,800 | 49,039 |
| 3 | Ford Credit Auto Owner Trust 2020-B | 0.790% | 11/15/25 | 27,200 | 27,512 |
| 3 | Ford Credit Floorplan Master Owner Trust 2019-A | 2.440% | 9/15/26 | 250 | 266 |
| 3 | Ford Credit Floorplan Master Owner Trust A 2019-3 | 2.230% | 9/15/24 | 35,340 | 36,543 |
| 3 | Ford Credit Floorplan Master Owner Trust A Series 2018-1 | 2.950% | 5/15/23 | 40,300 | 40,960 |
| 3 | Ford Credit Floorplan Master Owner Trust A Series 2018-3 | 3.520% | 10/15/23 | 74,860 | 77,258 |
| 3 | Ford Credit Floorplan Master Owner Trust A Series 2019-1 | 2.840% | 3/15/24 | 11,480 | 11,869 |
| 3 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 51,140 | 51,247 |
| 3 | Ford Credit Floorplan Master Owner Trust A Series 2020-2 | 1.060% | 9/15/27 | 22,350 | 22,395 |
| 3 | GM Financial Automobile Leasing Trust 2019-3 | 2.030% | 6/20/22 | 22,230 | 22,484 |
| 3 | GM Financial Automobile Leasing Trust 2020-1 | 1.670% | 12/20/22 | 17,230 | 17,477 |
| 3 | GM Financial Automobile Leasing Trust 2020-1 | 1.700% | 12/20/23 | 3,060 | 3,125 |
| 3 | GM Financial Automobile Leasing Trust 2020-2 | 0.800% | 7/20/23 | 13,940 | 14,051 |
| 3 | GM Financial Automobile Leasing Trust 2020-2 | 1.010% | 7/22/24 | 1,850 | 1,873 |
| 3,5 | GM Financial Consumer Automobile 2017-3 | 2.130% | 3/16/23 | 7,860 | 7,957 |
| 3 | GM Financial Consumer Automobile 2018-2 | 3.020% | 12/18/23 | 5,945 | 6,150 |
| 3 | GM Financial Consumer Automobile 2018-3 | 3.160% | 1/16/24 | 9,990 | 10,451 |
| 3 | GM Financial Consumer Automobile 2018-4 | 3.210% | 10/16/23 | 4,427 | 4,529 |
| 3 | GM Financial Consumer Automobile 2018-4 | 3.320% | 6/17/24 | 20,490 | 21,590 |
10
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | GM Financial Consumer Automobile 2019-1 | 3.110% | 7/16/24 | 14,060 | 14,795 |
| 3 | GM Financial Consumer Automobile 2019-2 | 2.650% | 2/16/24 | 22,660 | 23,113 |
| 3 | GM Financial Consumer Automobile 2019-2 | 2.710% | 8/16/24 | 6,850 | 7,173 |
| 3 | GM Financial Consumer Automobile 2019-3 | 2.180% | 4/16/24 | 25,100 | 25,651 |
| 3 | GM Financial Consumer Automobile 2019-4 | 1.750% | 7/16/24 | 26,310 | 26,800 |
| 3 | GM Financial Consumer Automobile 2019-4 | 1.760% | 1/16/25 | 3,810 | 3,929 |
| 3 | GM Financial Consumer Automobile 2020-1 | 1.840% | 9/16/24 | 15,880 | 16,231 |
| 3 | GM Financial Consumer Automobile 2020-3 | 0.580% | 1/16/26 | 13,500 | 13,569 |
| 3 | GM Financial Leasing Trust | 0.450% | 8/21/23 | 19,750 | 19,733 |
| 3 | GM Financial Leasing Trust | 0.510% | 10/21/24 | 5,380 | 5,379 |
| 3,5 | GMF Floorplan Owner Revolving Trust | 0.680% | 8/15/25 | 9,540 | 9,541 |
| 3,5 | GMF Floorplan Owner Revolving Trust 2019-1 | 2.700% | 4/15/24 | 16,600 | 17,169 |
| 3,5 | GMF Floorplan Owner Revolving Trust 2019-2 | 2.900% | 4/15/26 | 18,400 | 19,762 |
| 3,5 | Golden Credit Card Trust 2018-4A | 3.440% | 8/15/25 | 30,290 | 32,514 |
| 3,5,6 | Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450% | 0.700% | 8/25/60 | 9,028 | 9,024 |
| 3,5 | GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 2,580 | 2,623 |
| 3,5 | GreatAmerica Leasing Receivables Funding LLC Series 2019-1 | 3.210% | 2/18/25 | 4,630 | 4,863 |
| 3,5 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.760% | 8/15/23 | 26,738 | 27,328 |
| 3,5 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.850% | 2/16/26 | 5,800 | 6,009 |
| 3,5 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 217 | 224 |
| 3 | GS Mortgage Securities Trust 2013-GC13 | 4.187% | 7/10/46 | 1,338 | 1,440 |
| 3 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 1,176 | 1,235 |
| 3 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 60 | 63 |
| 3 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 110 | 121 |
| 3 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 60 | 65 |
| 3 | GS Mortgage Securities Trust 2014-GC26 | 3.364% | 11/10/47 | 620 | 664 |
| 3 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 1,180 | 1,289 |
| 3 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 5 | 5 |
| 3 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 770 | 852 |
| 3 | GS Mortgage Securities Trust 2016-GS3 | 2.850% | 10/10/49 | 580 | 629 |
| 3 | GS Mortgage Securities Trust 2018-GS10 | 4.155% | 7/10/51 | 250 | 296 |
| 3 | GS Mortgage Securities Trust 2019-GC40 | 3.160% | 7/10/52 | 140 | 158 |
| 3 | GS Mortgage Securities Trust 2019-GS4 | 3.001% | 9/1/52 | 500 | 560 |
| 3 | Harley-Davidson Motorcycle Trust 2019-A | 2.340% | 2/15/24 | 34,660 | 35,285 |
| 3 | Harley-Davidson Motorcycle Trust 2019-A | 2.390% | 11/15/26 | 3,600 | 3,732 |
| 3 | Harley-Davidson Motorcycle Trust 2020-A | 1.870% | 10/15/24 | 11,330 | 11,555 |
| 3 | Harley-Davidson Motorcycle Trust 2020-A | 1.930% | 4/15/27 | 3,640 | 3,760 |
| 3,5 | Hertz Vehicle Financing II LP 2016-2A | 2.950% | 3/25/22 | 3,362 | 3,362 |
| 3,5,6 | Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360% | 0.635% | 10/15/54 | 3,355 | 3,354 |
| 3,5,6 | Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% | 0.695% | 10/15/54 | 12,830 | 12,832 |
| 3 | Honda Auto Receivables 2018-3 Owner Trust | 3.070% | 11/21/24 | 11,310 | 11,691 |
| 3 | Honda Auto Receivables 2018-4 Owner Trust | 2.520% | 6/21/23 | 6,240 | 6,394 |
| 3 | Honda Auto Receivables 2018-4 Owner Trust | 2.540% | 3/21/25 | 1,270 | 1,330 |
| 3 | Honda Auto Receivables 2018-4 Owner Trust | 3.300% | 7/15/25 | 6,680 | 6,984 |
| 3 | Honda Auto Receivables 2019-1 Owner Trust | 2.900% | 6/18/24 | 5,320 | 5,571 |
| 3 | Honda Auto Receivables 2019-3 Owner Trust | 1.780% | 8/15/23 | 26,800 | 27,307 |
| 3 | Honda Auto Receivables 2019-3 Owner Trust | 1.850% | 8/15/25 | 7,800 | 8,041 |
11
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Honda Auto Receivables 2020-1 Owner Trust | 1.610% | 4/22/24 | 38,330 | 39,243 |
| 3 | Honda Auto Receivables 2020-1 Owner Trust | 1.630% | 10/21/26 | 7,130 | 7,359 |
| 3 | Honda Auto Receivables 2020-2 Owner Trust | 0.820% | 7/15/24 | 19,150 | 19,326 |
| 3 | Honda Auto Receivables 2020-2 Owner Trust | 1.090% | 10/15/26 | 4,970 | 5,058 |
| 3 | Honda Auto Receivables 2020-3 Owner Trust | 0.460% | 4/19/27 | 8,970 | 8,963 |
| 3,5 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 3,082 | 3,114 |
| 3,5 | HPEFS Equipment Trust 2019-1 | 2.210% | 9/20/29 | 3,000 | 3,048 |
| 3,5 | HPEFS Equipment Trust 2020-1A | 1.760% | 2/20/30 | 9,200 | 9,367 |
| 3,5 | Hudson Yards 2019-30HY | 3.228% | 7/10/39 | 420 | 471 |
| 3,5 | Hyundai Auto Lease Securitization Trust | 0.510% | 9/15/23 | 25,180 | 25,184 |
| 3,5 | Hyundai Auto Lease Securitization Trust | 0.580% | 6/17/24 | 4,230 | 4,233 |
| 3,5 | Hyundai Auto Lease Securitization Trust 2019-B | 2.040% | 8/15/22 | 32,600 | 33,010 |
| 3,5 | Hyundai Auto Lease Securitization Trust 2020-A | 1.950% | 7/17/23 | 15,540 | 15,860 |
| 3 | Hyundai Auto Receivables Trust 2019-A | 2.710% | 5/15/25 | 3,260 | 3,406 |
| 3 | Hyundai Auto Receivables Trust 2019-B | 1.940% | 2/15/24 | 19,020 | 19,439 |
| 3 | Hyundai Auto Receivables Trust 2019-B | 2.000% | 4/15/25 | 10,320 | 10,710 |
| 3 | Hyundai Auto Receivables Trust 2020-A | 1.410% | 11/15/24 | 16,940 | 17,300 |
| 3 | Hyundai Auto Receivables Trust 2020-A | 1.720% | 6/15/26 | 10,777 | 11,191 |
| 3 | Hyundai Auto Receivables Trust 2020-B | 0.480% | 12/16/24 | 38,010 | 38,055 |
| 3 | Hyundai Auto Receivables Trust 2020-B | 0.620% | 12/15/25 | 8,430 | 8,463 |
| 3,5 | Hyundai Floorplan Master Owner Trust Series 2019-1A | 2.680% | 4/15/24 | 36,000 | 37,220 |
| 3,5 | Irvine Core Office Trust 2013-IRV | 3.279% | 5/15/48 | 2,036 | 2,119 |
| 3 | John Deere Owner Trust 2018-B | 2.910% | 7/17/23 | 25,490 | 26,061 |
| 3 | John Deere Owner Trust 2018-B | 3.230% | 6/16/25 | 10,420 | 10,805 |
| 3 | John Deere Owner Trust 2018-B | 3.000% | 1/15/26 | 4,030 | 4,224 |
| 3 | John Deere Owner Trust 2019-B | 2.210% | 12/15/23 | 15,670 | 16,039 |
| 3 | John Deere Owner Trust 2019-B | 2.320% | 5/15/26 | 8,340 | 8,699 |
| 3 | John Deere Owner Trust 2020-B | 0.510% | 11/15/24 | 15,290 | 15,319 |
| 3 | John Deere Owner Trust 2020-B | 0.720% | 6/15/27 | 4,020 | 4,045 |
| 3,5 | JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 | 4.070% | 11/15/43 | 135 | 135 |
| 3,5 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 | 4.717% | 2/15/46 | 758 | 758 |
| 3,5 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | 5.605% | 8/15/46 | 867 | 890 |
| 3,5 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 4,957 | 4,982 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | 2.829% | 10/15/45 | 299 | 308 |
| 3,5 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | 3.424% | 10/15/45 | 1,627 | 1,685 |
| 3,5 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC | 3.093% | 7/5/32 | 1,067 | 1,093 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 | 3.994% | 1/15/46 | 657 | 706 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 3.674% | 12/15/46 | 225 | 236 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 3.881% | 12/15/46 | 264 | 283 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 4.166% | 12/15/46 | 1,250 | 1,363 |
12
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 800 | 836 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 | 3.461% | 7/15/47 | 116 | 121 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 | 2.870% | 8/15/49 | 900 | 981 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 | 3.490% | 7/15/50 | 310 | 352 |
| 3 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 | 3.454% | 9/15/50 | 340 | 386 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2013-C12 | 3.664% | 7/15/45 | 2,043 | 2,177 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2013-C12 | 4.175% | 7/15/45 | 1,835 | 1,939 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2013-C14 | 4.133% | 8/15/46 | 277 | 299 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2013-C15 | 3.659% | 11/15/45 | 150 | 157 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2013-C17 | 4.199% | 1/15/47 | 2,947 | 3,225 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2014-C18 | 4.079% | 2/15/47 | 1,160 | 1,270 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2014-C18 | 4.439% | 2/15/47 | 700 | 749 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2014-C19 | 3.997% | 4/15/47 | 120 | 131 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2014-C21 | 3.493% | 8/15/47 | 233 | 247 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2014-C24 | 3.639% | 11/15/47 | 500 | 548 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2015-C30 | 3.822% | 7/15/48 | 40 | 45 |
| 3 | JPMBB Commercial Mortgage Securities Trust 2015-C31 | 3.801% | 8/15/48 | 220 | 247 |
| 3 | JPMDB Commercial Mortgage Securities Trust 2016-C4 | 3.141% | 12/15/49 | 80 | 89 |
| 3 | JPMDB Commercial Mortgage Securities Trust 2018-C8 | 4.211% | 6/15/51 | 230 | 274 |
| 3,5 | Kubota Credit Owner Trust 2020-1 | 1.960% | 3/15/24 | 8,390 | 8,648 |
| 3,5 | Kubota Credit Owner Trust 2020-2A | 0.590% | 10/15/24 | 18,250 | 18,277 |
| 3,5 | Kubota Credit Owner Trust 2020-2A | 0.730% | 6/15/26 | 4,950 | 4,971 |
| 3,6 | Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% | 0.676% | 12/22/69 | 8,045 | 7,999 |
| 3,5 | Lanark Master Issuer plc 2020-1A | 2.277% | 12/22/69 | 2,050 | 2,131 |
| 3,5 | Master Credit Card Trust II 20-1A A | 1.990% | 9/21/24 | 5,680 | 5,893 |
| 3 | Mercedes-Benz Auto Lease Trust 2019-A | 2.000% | 10/17/22 | 7,240 | 7,351 |
| 3 | Mercedes-Benz Auto Lease Trust 2020-A | 1.840% | 12/15/22 | 19,340 | 19,658 |
| 3 | Mercedes-Benz Auto Lease Trust 2020-A | 1.880% | 9/15/25 | 7,460 | 7,639 |
| 3 | Mercedes-Benz Auto Lease Trust 2020-B | 0.500% | 6/15/26 | 4,680 | 4,679 |
| 3 | Mercedes-Benz Auto Receivables Trust 2018-1 | 3.150% | 10/15/24 | 18,320 | 19,215 |
| 3 | Mercedes-Benz Auto Receivables Trust 2019-1 | 2.040% | 1/15/26 | 9,370 | 9,770 |
| 3 | Mercedes-Benz Auto Receivables Trust 2020-1 | 0.550% | 2/18/25 | 21,610 | 21,688 |
| 3 | Mercedes-Benz Auto Receivables Trust 2020-1 | 0.770% | 10/15/26 | 4,950 | 4,998 |
| 3,5 | Mercedes-Benz Master Owner Trust 2019-B | 2.610% | 5/15/24 | 25,720 | 26,614 |
13
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3,5 | MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 504 | 512 |
| 3,5 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 8,390 | 8,625 |
| 3,5 | MMAF Equipment Finance LLC 2017-A | 2.410% | 8/16/24 | 10,320 | 10,496 |
| 3,5 | MMAF Equipment Finance LLC 2017-A | 2.680% | 7/16/27 | 5,160 | 5,403 |
| 3,5 | MMAF Equipment Finance LLC 2018-A | 3.390% | 1/10/25 | 9,390 | 9,801 |
| 3,5 | MMAF Equipment Finance LLC 2018-A | 3.610% | 3/10/42 | 3,550 | 3,847 |
| 3,5 | MMAF Equipment Finance LLC 2019-A | 3.080% | 11/12/41 | 4,320 | 4,665 |
| 3,5 | MMAF Equipment Finance LLC 2020-A | 0.740% | 4/9/24 | 9,560 | 9,597 |
| 3,5 | MMAF Equipment Finance LLC 2020-A | 0.970% | 4/9/27 | 20,500 | 20,727 |
| 3,5 | MMAF Equipment Finance LLC 2020-B | 0.850% | 4/14/42 | 8,340 | 8,328 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | 3.176% | 8/15/45 | 879 | 907 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | 3.792% | 8/15/45 | 694 | 721 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | 2.858% | 11/15/45 | 372 | 383 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 | 4.218% | 7/15/46 | 3,023 | 3,252 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | 3.960% | 8/15/46 | 1,023 | 1,080 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | 4.298% | 8/15/46 | 70 | 76 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | 3.824% | 10/15/46 | 171 | 178 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | 4.259% | 10/15/46 | 70 | 76 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | 4.039% | 11/15/46 | 150 | 163 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | 4.064% | 2/15/47 | 250 | 270 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | 4.384% | 2/15/47 | 250 | 270 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | 3.773% | 4/15/47 | 1,452 | 1,576 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | 4.051% | 4/15/47 | 1,065 | 1,167 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 | 3.892% | 6/15/47 | 300 | 327 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 | 4.094% | 6/15/47 | 465 | 504 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | 3.923% | 10/15/47 | 20 | 22 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 | 3.526% | 12/15/47 | 20 | 22 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 3.249% | 2/15/48 | 90 | 97 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | 3.451% | 7/15/50 | 224 | 244 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | 3.719% | 7/15/50 | 1,450 | 1,616 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | 3.635% | 10/15/48 | 500 | 556 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 | 3.325% | 5/15/49 | 900 | 994 |
14
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 | 3.720% | 12/15/49 | 900 | 1,025 |
| 3 | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | 3.536% | 11/15/52 | 460 | 520 |
| 3,5 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 1,344 | 1,344 |
| 3 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 2,000 | 2,244 |
| 3 | Morgan Stanley Capital I Trust 2016-BNK2 | 3.049% | 11/15/49 | 150 | 165 |
| 3 | Morgan Stanley Capital I Trust 2016-UB11 | 2.782% | 8/15/49 | 600 | 647 |
| 3 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 900 | 993 |
| 3 | Morgan Stanley Capital I Trust 2017-HR2 | 3.509% | 12/15/50 | 180 | 200 |
| 3 | Morgan Stanley Capital I Trust 2017-HR2 | 3.587% | 12/15/50 | 222 | 252 |
| 3,5,6 | Navient Student Loan Trust 2016-2, 1M USD LIBOR + 1.050% | 1.198% | 6/25/65 | 2,287 | 2,288 |
| 3,5,6 | Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850% | 0.998% | 6/25/65 | 435 | 435 |
| 3,5,6 | Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750% | 0.898% | 3/25/66 | 20,962 | 20,975 |
| 3,5,6 | Navient Student Loan Trust 2017-1, 1M USD LIBOR + 0.750% | 0.898% | 7/26/66 | 4,343 | 4,337 |
| 3 | Nissan Auto Lease Trust 2020-A | 1.840% | 1/17/23 | 19,800 | 20,150 |
| 3 | Nissan Auto Lease Trust 2020-B | 0.430% | 10/16/23 | 25,130 | 25,127 |
| 3 | Nissan Auto Lease Trust 2020-B | 0.490% | 1/15/26 | 5,800 | 5,798 |
| 3 | Nissan Auto Receivables 2017-C Owner Trust | 2.280% | 2/15/24 | 32,320 | 32,890 |
| 3 | Nissan Auto Receivables 2019-A Owner Trust | 3.160% | 12/16/24 | 12,310 | 12,891 |
| 3 | Nissan Auto Receivables 2019-A Owner Trust | 3.000% | 9/15/25 | 6,410 | 6,755 |
| 3 | Nissan Auto Receivables 2019-B Owner Trust | 2.500% | 11/15/23 | 6,420 | 6,579 |
| 3 | Nissan Auto Receivables 2019-B Owner Trust | 2.540% | 12/15/25 | 1,250 | 1,312 |
| 3 | Nissan Auto Receivables 2020-A Owner Trust | 1.380% | 12/16/24 | 23,470 | 23,930 |
| 3 | Nissan Auto Receivables 2020-A Owner Trust | 1.700% | 5/17/27 | 7,760 | 8,086 |
| 3 | Nissan Auto Receivables 2020-B Owner Trust | 0.550% | 7/15/24 | 35,840 | 35,856 |
| 3 | Nissan Auto Receivables 2020-B Owner Trust | 0.710% | 1/15/27 | 5,030 | 5,051 |
| 3,5 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 510 | 378 |
| 3,5,6 | Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880% | 1.032% | 1/16/60 | 870 | 867 |
| 3,5,6 | Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000% | 1.156% | 6/20/60 | 5,493 | 5,455 |
| 3,5,6 | Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950% | 1.100% | 8/18/60 | 2,547 | 2,538 |
| 3,5,6 | Permanent Master Issuer plc 2018-1A, 3M USD LIBOR + 0.380% | 0.655% | 7/15/58 | 3,460 | 3,463 |
| 3,5 | PFS Financing Corp. 2017-D | 2.400% | 10/17/22 | 1,500 | 1,501 |
| 3,5 | PFS Financing Corp. 2020-A | 1.270% | 6/15/25 | 9,500 | 9,573 |
| 3,5 | PFS Financing Corp. 2020-B | 1.210% | 6/15/24 | 5,700 | 5,759 |
| 3,5 | PFS Financing Corp. 2020-E | 1.000% | 10/15/25 | 3,000 | 3,011 |
| 3,5 | PFS Financing Corp. 2020-F | 0.930% | 8/15/24 | 2,300 | 2,307 |
| 3,5,6 | PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950% | 1.098% | 11/25/65 | 9,243 | 9,224 |
| 3,5 | Progress Residential 2018-SFR1 Trust | 2.768% | 8/17/34 | 99 | 101 |
| 3,5 | Progress Residential 2020-SFR2 Trust | 2.078% | 6/17/37 | 970 | 990 |
| 3,5 | Progress Residential 2020-SFR3 Trust | 1.294% | 10/17/27 | 2,800 | 2,800 |
| 3 | Public Service New Hampshire Funding LLC 2018-1 | 3.094% | 2/1/26 | 3,897 | 4,044 |
| 3,5,6 | RESIMAC Premier Series 2017-1A, 1M USD LIBOR + 0.950% | 1.101% | 9/11/48 | 1,013 | 1,011 |
15
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3,5,6 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 0.956% | 11/10/49 | 917 | 915 |
| 3,5,6 | RESIMAC Premier Series 2018-1NCA, 1M USD LIBOR + 0.850% | 1.004% | 12/5/59 | 1,020 | 1,019 |
| 3,5,6 | RESIMAC Premier Series 2018-2, 1M USD LIBOR + 0.850% | 1.006% | 4/10/50 | 2,626 | 2,615 |
| §,3,5 | RESIMAC Premier Series 2020-1 | 1.274% | 2/7/52 | 4,200 | 4,200 |
| 3 | Santander Drive Auto Receivables Trust 2020-2 | 0.670% | 4/15/24 | 6,490 | 6,509 |
| 3 | Santander Drive Auto Receivables Trust 2020-3 | 0.520% | 7/15/24 | 23,840 | 23,859 |
| 3,5 | Santander Retail Auto Lease Trust 2019-A | 2.770% | 6/20/22 | 20,730 | 21,144 |
| 3,5 | Santander Retail Auto Lease Trust 2020-A | 1.690% | 1/20/23 | 7,199 | 7,284 |
| 3,5 | Santander Retail Auto Lease Trust 2020-A | 1.740% | 7/20/23 | 17,510 | 17,910 |
| 3,5 | Santander Retail Auto Lease Trust 2020-A | 1.760% | 3/20/24 | 5,110 | 5,252 |
| 3,5 | Securitized Term Auto Receivables Trust 2018-1A | 3.298% | 11/25/22 | 4,030 | 4,125 |
| 3,5 | Securitized Term Auto Receivables Trust 2018-2A | 3.544% | 6/26/23 | 3,820 | 3,927 |
| 3 | SMART ABS Series 2016-2US Trust | 2.050% | 12/14/22 | 1,398 | 1,398 |
| 3,5 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 286 | 293 |
| 3,5,6 | SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.450% | 1.602% | 2/17/32 | 235 | 236 |
| 3,5,6 | SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100% | 1.252% | 9/15/34 | 393 | 391 |
| 3,5,6 | SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900% | 1.052% | 9/15/34 | 2,026 | 2,018 |
| 3,5 | SMB Private Education Loan Trust 2017-B | 2.820% | 10/15/35 | 569 | 588 |
| 3,5 | SMB Private Education Loan Trust 2018-A | 3.500% | 2/15/36 | 2,190 | 2,301 |
| 3,5 | SMB Private Education Loan Trust 2018-B | 3.600% | 1/15/37 | 1,190 | 1,249 |
| 3,5 | SMB Private Education Loan Trust 2018-C | 3.630% | 11/15/35 | 2,307 | 2,422 |
| 3,5 | SoFi Professional Loan Program 2017-A LLC | 2.400% | 3/26/40 | 1,790 | 1,815 |
| 3,5,6 | SoFi Professional Loan Program 2017-A LLC, 1M USD LIBOR + 0.700% | 0.848% | 3/26/40 | 721 | 720 |
| 3,5 | SoFi Professional Loan Program 2017-B LLC | 2.740% | 5/25/40 | 468 | 476 |
| 3,5 | SoFi Professional Loan Program 2017-D LLC | 2.650% | 9/25/40 | 378 | 389 |
| 3,5 | SoFi Professional Loan Program 2017-E LLC | 2.720% | 11/26/40 | 310 | 316 |
| 3,5 | SoFi Professional Loan Program 2017-F LLC | 2.840% | 1/25/41 | 474 | 487 |
| 3,5 | SoFi Professional Loan Program 2018-A LLC | 2.390% | 2/25/42 | 2 | 2 |
| 3,5 | SoFi Professional Loan Program 2018-A LLC | 2.950% | 2/25/42 | 230 | 237 |
| 3,5 | SoFi Professional Loan Program 2018-B LLC | 3.340% | 8/25/47 | 1,600 | 1,647 |
| 3,5 | SoFi Professional Loan Program 2018-C LLC | 3.590% | 1/25/48 | 2,890 | 3,023 |
| 3,5 | SoFi Professional Loan Program 2018-D LLC | 3.600% | 2/25/48 | 2,000 | 2,087 |
| 3 | Synchrony Card Issuance Trust 2018-A1 | 3.380% | 9/15/24 | 8,640 | 8,887 |
| 3 | Synchrony Card Issuance Trust 2019-2A | 2.340% | 6/15/25 | 28,350 | 29,256 |
| 3 | Synchrony Credit Card Master Note Trust 2016-2 | 2.210% | 5/15/24 | 210 | 212 |
| 3 | Synchrony Credit Card Master Note Trust 2017-2 | 2.620% | 10/15/25 | 15,470 | 16,137 |
| 3,5 | Tesla Auto Lease Trust 2020-A | 0.680% | 12/20/23 | 6,820 | 6,854 |
| 3,5 | Tesla Auto Lease Trust 2020-A | 0.780% | 12/20/23 | 1,230 | 1,238 |
| 3,5 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 100 | 106 |
| 3,5 | Toyota Auto Loan Extended Note Trust 2019-1 | 2.560% | 11/25/31 | 900 | 961 |
| 3,5 | Toyota Auto Loan Extended Note Trust 2020-1 | 1.350% | 5/25/33 | 13,400 | 13,751 |
16
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Toyota Auto Receivables 2018-B Owner Trust | 3.110% | 11/15/23 | 12,870 | 13,432 |
| 3 | Toyota Auto Receivables 2018-C Owner Trust | 3.130% | 2/15/24 | 20,140 | 21,103 |
| 3 | Toyota Auto Receivables 2019-A Owner Trust | 2.910% | 7/17/23 | 50,390 | 51,537 |
| 3 | Toyota Auto Receivables 2019-A Owner Trust | 3.000% | 5/15/24 | 4,280 | 4,529 |
| 3 | Toyota Auto Receivables 2019-C Owner Trust | 1.910% | 9/15/23 | 32,870 | 33,487 |
| 3 | Toyota Auto Receivables 2019-D Owner Trust | 1.990% | 2/18/25 | 2,460 | 2,562 |
| 3 | Toyota Auto Receivables 2020-A Owner Trust | 1.680% | 5/15/25 | 8,300 | 8,571 |
| 3 | Toyota Auto Receivables 2020-B Owner Trust | 1.360% | 8/15/24 | 13,380 | 13,633 |
| 3 | Toyota Auto Receivables 2020-B Owner Trust | 1.660% | 9/15/25 | 5,220 | 5,403 |
| 3 | Toyota Auto Receivables 2020-C Owner Trust | 0.570% | 10/15/25 | 7,770 | 7,788 |
| 3,5 | Trafigura Securitisation Finance plc 2018-1A | 3.730% | 3/15/22 | 4,650 | 4,700 |
| 3 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 247 | 256 |
| 3 | UBS Commercial Mortgage Trust 2017-C7 | 3.679% | 12/15/50 | 495 | 572 |
| 3 | UBS Commercial Mortgage Trust 2019-C16 | 3.460% | 4/15/52 | 214 | 239 |
| 3,5 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 2,364 | 2,453 |
| 3 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 521 | 541 |
| 3 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.244% | 4/10/46 | 100 | 105 |
| 3 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.469% | 4/10/46 | 60 | 62 |
| 3 | Verizon Owner Trust 2019-A | 2.930% | 9/20/23 | 13,810 | 14,172 |
| 3 | Verizon Owner Trust 2019-A | 1.940% | 4/22/24 | 30,230 | 30,956 |
| 3 | Verizon Owner Trust 2019-B | 2.330% | 12/20/23 | 41,004 | 42,015 |
| 3 | Verizon Owner Trust 2020-A | 1.850% | 7/22/24 | 19,526 | 20,023 |
| 3 | Verizon Owner Trust 2020-B | 0.470% | 2/20/25 | 62,570 | 62,604 |
| 3,5 | VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 2,236 | 2,293 |
| 3 | Volkswagen Auto Loan Enhanced Trust 2018-1 | 3.150% | 7/22/24 | 12,200 | 12,591 |
| 3 | Volkswagen Auto Loan Enhanced Trust 2018-2 | 3.250% | 4/20/23 | 8,103 | 8,269 |
| 3 | Volkswagen Auto Loan Enhanced Trust 2018-2 | 3.330% | 2/20/25 | 11,540 | 12,060 |
| 3 | Volkswagen Auto Loan Enhanced Trust 2020-1 | 0.980% | 11/20/24 | 27,300 | 27,640 |
| 3 | Volkswagen Auto Loan Enhanced Trust 2020-1 | 1.260% | 8/20/26 | 4,010 | 4,104 |
| 3,5 | Volvo Financial Equipment LLC | 0.510% | 10/15/24 | 20,600 | 20,596 |
| 3,5 | Volvo Financial Equipment LLC | 0.600% | 3/15/28 | 4,000 | 3,997 |
| 3 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 472 | 489 |
| 3 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 434 | 447 |
| 3 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 206 | 216 |
| 3 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 800 | 861 |
| 3 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.410% | 7/15/46 | 350 | 373 |
| 3 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 10 | 11 |
| 3 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 68 | 73 |
| 3 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 1,250 | 1,388 |
| 3 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/58 | 700 | 780 |
| 3 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 1,771 | 1,988 |
17
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Wells Fargo Commercial Mortgage Trust 2016-BNK1 | 2.652% | 8/15/49 | 280 | 300 |
| 3 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 900 | 998 |
| 3 | Wells Fargo Commercial Mortgage Trust 2016-C37 | 3.525% | 12/15/49 | 360 | 400 |
| 3 | Wells Fargo Commercial Mortgage Trust 2017-C38 | 3.453% | 7/15/50 | 520 | 588 |
| 3 | Wells Fargo Commercial Mortgage Trust 2017-C39 | 3.157% | 9/15/50 | 190 | 209 |
| 3 | Wells Fargo Commercial Mortgage Trust 2017-C40 | 3.581% | 10/15/50 | 1,160 | 1,316 |
| 3 | Wells Fargo Commercial Mortgage Trust 2017-C41 | 3.472% | 11/15/50 | 1,430 | 1,613 |
| 3 | Wells Fargo Commercial Mortgage Trust 2017-RC1 | 3.631% | 1/15/60 | 246 | 278 |
| 3 | Wells Fargo Commercial Mortgage Trust 2018-C46 | 4.152% | 8/15/51 | 235 | 276 |
| 3 | Wells Fargo Commercial Mortgage Trust 2018-C48 | 4.245% | 1/15/52 | 280 | 328 |
| 3 | Wells Fargo Commercial Mortgage Trust 2019-C49 | 3.933% | 3/15/52 | 230 | 265 |
| 3 | Wells Fargo Commercial Mortgage Trust 2019-C50 | 3.635% | 5/15/52 | 250 | 286 |
| 3,5 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 566 | 573 |
| 3 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 597 | 615 |
| 3 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 752 | 754 |
| 3 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 385 | 397 |
| 3 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 1,152 | 1,189 |
| 3 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 567 | 586 |
| 3 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 190 | 199 |
| 3 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 526 | 571 |
| 3 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 140 | 146 |
| 3 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 230 | 241 |
| 3 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 1,042 | 1,139 |
| 3 | WFRBS Commercial Mortgage Trust 2014-C19 | 3.829% | 3/15/47 | 660 | 711 |
| 3 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 110 | 121 |
| 3 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.650% | 10/15/57 | 761 | 829 |
| 3 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 1,038 | 1,148 |
| 3 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.766% | 3/15/47 | 60 | 64 |
| 3 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 500 | 547 |
| §,3,5 | Wheels SPV 2 LLC 2020-1A | 0.510% | 8/20/29 | 9,000 | 8,999 |
| §,3,5 | Wheels SPV 2 LLC 2020-1A | 0.620% | 8/20/29 | 3,000 | 3,000 |
| 3 | World Omni Auto Receivables Trust 2018-A | 2.730% | 2/15/24 | 14,460 | 14,964 |
| 3 | World Omni Auto Receivables Trust 2018-D | 3.330% | 4/15/24 | 47,300 | 48,472 |
| 3 | World Omni Auto Receivables Trust 2018-D | 3.440% | 12/16/24 | 5,870 | 6,219 |
| 3 | World Omni Auto Receivables Trust 2019-A | 3.220% | 6/16/25 | 6,420 | 6,820 |
| 3 | World Omni Auto Receivables Trust 2020-A | 1.100% | 4/15/25 | 1,000 | 1,014 |
| 3 | World Omni Auto Receivables Trust 2020-B | 0.630% | 5/15/25 | 28,930 | 29,063 |
| 3 | World Omni Auto Receivables Trust 2020-B | 0.820% | 1/15/26 | 7,420 | 7,509 |
| 3 | World Omni Auto Receivables Trust 2020-C | 0.610% | 10/15/26 | 16,350 | 16,441 |
| 3 | World Omni Automobile Lease Securitization Trust 2019-B | 2.030% | 11/15/22 | 22,200 | 22,658 |
18
Institutional Short-Term Bond Fund
19
Institutional Short-Term Bond Fund
20
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value* | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 4,540 | 4,580 |
| Morgan Stanley | 2.500% | 4/21/21 | 13,738 | 13,893 | |
| Morgan Stanley | 2.625% | 11/17/21 | 14,452 | 14,814 | |
| Morgan Stanley | 2.750% | 5/19/22 | 25,205 | 26,117 | |
| Morgan Stanley | 3.125% | 1/23/23 | 1,135 | 1,200 | |
| Morgan Stanley | 3.750% | 2/25/23 | 9,575 | 10,279 | |
| 3 | Morgan Stanley | 3.737% | 4/24/24 | 5,000 | 5,376 |
| 3 | Morgan Stanley | 2.720% | 7/22/25 | 2,854 | 3,036 |
| 3 | Morgan Stanley | 2.188% | 4/28/26 | 15,000 | 15,710 |
| 5 | MUFG Bank Ltd. | 2.850% | 9/8/21 | 3,990 | 4,080 |
| MUFG Union Bank NA | 3.150% | 4/1/22 | 15,875 | 16,483 | |
| MUFG Union Bank NA | 2.100% | 12/9/22 | 4,000 | 4,129 | |
| National Australia Bank Ltd. | 1.875% | 12/13/22 | 3,000 | 3,090 | |
| 5 | National Bank of Canada | 2.150% | 10/7/22 | 7,250 | 7,475 |
| National Bank of Canada | 2.100% | 2/1/23 | 6,670 | 6,891 | |
| 5 | Nationwide Building Society | 2.000% | 1/27/23 | 4,625 | 4,752 |
| 5 | Nationwide Building Society | 3.900% | 7/21/25 | 7,000 | 7,884 |
| 5 | Nationwide Building Society | 1.000% | 8/28/25 | 2,870 | 2,838 |
| 5 | Nordea Bank Abp | 1.000% | 6/9/23 | 12,270 | 12,411 |
| 5 | Nordea Bank Abp | 0.750% | 8/28/25 | 4,310 | 4,281 |
| 3 | PNC Bank NA | 2.232% | 7/22/22 | 8,444 | 8,550 |
| PNC Bank NA | 2.700% | 11/1/22 | 8,313 | 8,676 | |
| 3 | PNC Bank NA | 2.028% | 12/9/22 | 5,000 | 5,087 |
| PNC Bank NA | 2.950% | 1/30/23 | 10,000 | 10,523 | |
| 3 | PNC Bank NA | 1.743% | 2/24/23 | 14,250 | 14,517 |
| PNC Bank NA | 3.500% | 6/8/23 | 6,165 | 6,637 | |
| PNC Bank NA | 3.300% | 10/30/24 | 265 | 290 | |
| PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 2,070 | 2,253 | |
| Royal Bank of Canada | 2.800% | 4/29/22 | 12,070 | 12,528 | |
| Royal Bank of Canada | 1.600% | 4/17/23 | 4,200 | 4,310 | |
| Santander UK plc | 3.400% | 6/1/21 | 23,680 | 24,005 | |
| Santander UK plc | 2.100% | 1/13/23 | 8,000 | 8,230 | |
| 5 | Skandinaviska Enskilda Banken AB | 2.200% | 12/12/22 | 1,880 | 1,948 |
| 5 | Skandinaviska Enskilda Banken AB | 0.550% | 9/1/23 | 8,560 | 8,558 |
| State Street Corp. | 4.375% | 3/7/21 | 3,200 | 3,259 | |
| 3,5 | State Street Corp. | 2.825% | 3/30/23 | 5,330 | 5,516 |
| 3 | State Street Corp. | 2.653% | 5/15/23 | 10,475 | 10,842 |
| 3,5 | State Street Corp. | 2.901% | 3/30/26 | 15,273 | 16,553 |
| Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 1,950 | 1,991 | |
| Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 1,220 | 1,266 | |
| Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 5,408 | 5,642 | |
| Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 6,450 | 6,806 | |
| Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 9,614 | 10,411 | |
| Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 2,080 | 2,272 | |
| Sumitomo Mitsui Financial Group Inc. | 2.448% | 9/27/24 | 7,892 | 8,337 | |
| Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | 15,647 | 15,897 | |
| Svenska Handelsbanken AB | 1.875% | 9/7/21 | 1,305 | 1,324 | |
| 5 | Svenska Handelsbanken AB | 0.625% | 6/30/23 | 6,000 | 6,008 |
| Svenska Handelsbanken AB | 3.900% | 11/20/23 | 9,710 | 10,691 | |
| 5 | Swedbank AB | 0.600% | 9/25/23 | 3,835 | 3,809 |
| Toronto-Dominion Bank | 1.900% | 12/1/22 | 6,600 | 6,811 | |
| Toronto-Dominion Bank | 0.750% | 6/12/23 | 11,280 | 11,350 | |
| Toronto-Dominion Bank | 3.500% | 7/19/23 | 13,705 | 14,868 | |
| Toronto-Dominion Bank | 0.450% | 9/11/23 | 10,630 | 10,606 |
21
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value* | |||
| Coupon | Date | ($000) | ($000) | ||
| Toronto-Dominion Bank | 2.650% | 6/12/24 | 1,225 | 1,309 | |
| Truist Bank | 2.625% | 1/15/22 | 4,000 | 4,105 | |
| Truist Bank | 2.800% | 5/17/22 | 18,135 | 18,813 | |
| Truist Bank | 2.450% | 8/1/22 | 6,885 | 7,133 | |
| 3 | Truist Bank | 3.502% | 8/2/22 | 2,850 | 2,918 |
| Truist Bank | 3.000% | 2/2/23 | 3,000 | 3,157 | |
| Truist Bank | 3.200% | 4/1/24 | 5,000 | 5,406 | |
| Truist Bank | 1.500% | 3/10/25 | 440 | 452 | |
| Truist Financial Corp. | 2.700% | 1/27/22 | 8,926 | 9,182 | |
| Truist Financial Corp. | 3.050% | 6/20/22 | 19,558 | 20,357 | |
| Truist Financial Corp. | 2.200% | 3/16/23 | 9,520 | 9,887 | |
| Truist Financial Corp. | 2.500% | 8/1/24 | 6,215 | 6,601 | |
| 5 | UBS AG | 1.750% | 4/21/22 | 5,250 | 5,353 |
| 3,5 | UBS Group AG | 1.008% | 7/30/24 | 4,445 | 4,445 |
| 5 | UBS Group Funding Switzerland AG | 3.491% | 5/23/23 | 3,400 | 3,553 |
| US Bancorp | 2.625% | 1/24/22 | 16,202 | 16,667 | |
| US Bancorp | 2.950% | 7/15/22 | 4,800 | 5,010 | |
| US Bancorp | 2.400% | 7/30/24 | 9,785 | 10,409 | |
| US Bank NA | 1.800% | 1/21/22 | 4,000 | 4,074 | |
| US Bank NA | 1.950% | 1/9/23 | 11,970 | 12,386 | |
| US Bank NA | 2.850% | 1/23/23 | 392 | 414 | |
| Wells Fargo & Co. | 2.625% | 7/22/22 | 22,500 | 23,341 | |
| Wells Fargo & Co. | 3.069% | 1/24/23 | 6,730 | 6,939 | |
| Wells Fargo & Co. | 3.750% | 1/24/24 | 16,850 | 18,276 | |
| 3 | Wells Fargo & Co. | 1.654% | 6/2/24 | 19,270 | 19,629 |
| Wells Fargo & Co. | 3.550% | 9/29/25 | 3,788 | 4,209 | |
| Wells Fargo Bank NA | 3.625% | 10/22/21 | 6,425 | 6,626 | |
| 3 | Wells Fargo Bank NA | 2.082% | 9/9/22 | 14,500 | 14,698 |
| Wells Fargo Bank NA | 3.550% | 8/14/23 | 14,525 | 15,726 | |
| Westpac Banking Corp. | 2.750% | 1/11/23 | 20,725 | 21,813 | |
| Westpac Banking Corp. | 2.000% | 1/13/23 | 4,700 | 4,848 | |
| Westpac Banking Corp. | 3.650% | 5/15/23 | 11,500 | 12,453 | |
| Westpac Banking Corp. | 3.300% | 2/26/24 | 5,000 | 5,425 | |
| Brokerage (0.1%) | |||||
| Ameriprise Financial Inc. | 3.000% | 3/22/22 | 2,000 | 2,072 | |
| CME Group Inc. | 3.000% | 9/15/22 | 2,000 | 2,100 | |
| Finance Companies (0.0%) | |||||
| 5 | USAA Capital Corp. | 1.500% | 5/1/23 | 500 | 514 |
| Insurance (1.1%) | |||||
| 5 | AIG Global Funding | 2.700% | 12/15/21 | 2,570 | 2,637 |
| 5 | AIG Global Funding | 0.800% | 7/7/23 | 14,210 | 14,276 |
| Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 5,910 | 6,184 | |
| 5 | Great-West Lifeco US Finance 2020 LP | 0.904% | 8/12/25 | 3,840 | 3,831 |
| 5 | Jackson National Life Global Funding | 3.300% | 2/1/22 | 5,000 | 5,189 |
| Loews Corp. | 2.625% | 5/15/23 | 2,000 | 2,098 | |
| Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 2,421 | 2,566 | |
| Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 1,500 | 1,639 | |
| Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 2,700 | 2,949 | |
| 5 | MassMutual Global Funding II | 0.850% | 6/9/23 | 12,000 | 12,178 |
| 5 | Metropolitan Life Global Funding I | 0.900% | 6/8/23 | 3,720 | 3,772 |
| 5 | Pacific Life Global Funding II | 0.500% | 9/23/23 | 8,570 | 8,558 |
22
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value* | |||
| Coupon | Date | ($000) | ($000) | ||
| 5 | Reliance Standard Life Global Funding II | 2.150% | 1/21/23 | 2,000 | 2,047 |
| UnitedHealth Group Inc. | 2.375% | 10/15/22 | 13,887 | 14,436 | |
| UnitedHealth Group Inc. | 2.875% | 3/15/23 | 5,646 | 5,975 | |
| UnitedHealth Group Inc. | 3.500% | 2/15/24 | 2,350 | 2,578 | |
| UnitedHealth Group Inc. | 2.375% | 8/15/24 | 1,275 | 1,355 | |
| Real Estate Investment Trusts (0.4%) | |||||
| Camden Property Trust | 2.950% | 12/15/22 | 3,080 | 3,211 | |
| Camden Property Trust | 4.250% | 1/15/24 | 3,890 | 4,267 | |
| Public Storage | 2.370% | 9/15/22 | 3,120 | 3,233 | |
| Realty Income Corp. | 3.250% | 10/15/22 | 14,800 | 15,521 | |
| Simon Property Group LP | 2.500% | 7/15/21 | 2,285 | 2,310 | |
| Simon Property Group LP | 2.350% | 1/30/22 | 3,000 | 3,049 | |
| Simon Property Group LP | 2.625% | 6/15/22 | 470 | 482 | |
| 1,868,644 | |||||
| Industrial (7.7%) | |||||
| Basic Industry (0.1%) | |||||
| Air Products and Chemicals Inc. | 2.750% | 2/3/23 | 8 | 8 | |
| BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 1,045 | 1,079 | |
| Praxair Inc. | 3.000% | 9/1/21 | 7,300 | 7,480 | |
| Capital Goods (0.5%) | |||||
| 3M Co. | 2.750% | 3/1/22 | 1,595 | 1,647 | |
| 3M Co. | 1.750% | 2/14/23 | 3,335 | 3,442 | |
| 3M Co. | 2.250% | 3/15/23 | 2,074 | 2,166 | |
| Caterpillar Financial Services Corp. | 1.931% | 10/1/21 | 1,130 | 1,149 | |
| Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 1,016 | 1,049 | |
| Caterpillar Financial Services Corp. | 1.900% | 9/6/22 | 8,630 | 8,876 | |
| Caterpillar Financial Services Corp. | 1.950% | 11/18/22 | 5,408 | 5,586 | |
| Caterpillar Financial Services Corp. | 0.450% | 9/14/23 | 9,220 | 9,218 | |
| General Dynamics Corp. | 2.250% | 11/15/22 | 2,125 | 2,201 | |
| General Dynamics Corp. | 1.875% | 8/15/23 | 1,679 | 1,742 | |
| John Deere Capital Corp. | 1.950% | 6/13/22 | 1,045 | 1,074 | |
| John Deere Capital Corp. | 1.200% | 4/6/23 | 1,350 | 1,376 | |
| Precision Castparts Corp. | 2.500% | 1/15/23 | 6,990 | 7,289 | |
| Communication (0.2%) | |||||
| 5 | Sky plc | 3.125% | 11/26/22 | 9,480 | 10,000 |
| Walt Disney Co. | 2.450% | 3/4/22 | 1,861 | 1,915 | |
| Walt Disney Co. | 2.350% | 12/1/22 | 1,860 | 1,936 | |
| Consumer Cyclical (1.8%) | |||||
| Amazon.com Inc. | 2.400% | 2/22/23 | 2,473 | 2,591 | |
| American Honda Finance Corp. | 1.650% | 7/12/21 | 1,950 | 1,970 | |
| American Honda Finance Corp. | 1.950% | 5/20/22 | 24,000 | 24,572 | |
| American Honda Finance Corp. | 1.950% | 5/10/23 | 30,000 | 31,064 | |
| Home Depot Inc. | 3.750% | 2/15/24 | 6,990 | 7,702 | |
| Target Corp. | 2.250% | 4/15/25 | 2,975 | 3,181 | |
| Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 1,250 | 1,294 | |
| Toyota Motor Credit Corp. | 2.900% | 3/30/23 | 32,431 | 34,362 | |
| Toyota Motor Credit Corp. | 0.500% | 8/14/23 | 22,000 | 22,016 | |
| Walmart Inc. | 2.350% | 12/15/22 | 6,665 | 6,952 | |
| Walmart Inc. | 2.850% | 7/8/24 | 9,700 | 10,537 | |
23
Institutional Short-Term Bond Fund
24
Institutional Short-Term Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value* | ||||
| Coupon | Date | ($000) | ($000) | |||
| 638,351 | ||||||
| Utilities (0.6%) | ||||||
| Electric (0.6%) | ||||||
| Berkshire Hathaway Energy Co. | 2.375% | 1/15/21 | 2,325 | 2,339 | ||
| CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 2,000 | 2,018 | ||
| Duke Energy Carolinas LLC | 3.350% | 5/15/22 | 22,705 | 23,724 | ||
| Duke Energy Carolinas LLC | 2.500% | 3/15/23 | 5,200 | 5,445 | ||
| National Rural Utilities Cooperative Finance Corp. | 1.750% | 1/21/22 | 2,505 | 2,553 | ||
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 2,023 | 2,081 | ||
| National Rural Utilities Cooperative Finance Corp. | 2.400% | 4/25/22 | 2,000 | 2,056 | ||
| NSTAR Electric Co. | 3.500% | 9/15/21 | 830 | 848 | ||
| NSTAR Electric Co. | 2.375% | 10/15/22 | 1,440 | 1,490 | ||
| Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 385 | 404 | ||
| PECO Energy Co. | 1.700% | 9/15/21 | 1,705 | 1,726 | ||
| PECO Energy Co. | 2.375% | 9/15/22 | 820 | 847 | ||
| 45,531 | ||||||
| Total Corporate Bonds (Cost $2,503,962) | 2,552,526 | |||||
| Sovereign Bonds (8.6%) | ||||||
| Abu Dhabi National Energy Co PJSC | 3.625% | 1/12/23 | 2,000 | 2,108 | ||
| Bermuda | 4.138% | 1/3/23 | 7,800 | 8,246 | ||
| 5 | Bermuda | 4.138% | 1/3/23 | 7,000 | 7,393 | |
| 5 | CDP Financial Inc. | 2.750% | 3/7/22 | 22,500 | 23,258 | |
| 5 | CDP Financial Inc. | 3.150% | 7/24/24 | 1,750 | 1,921 | |
| CNOOC Finance 2015 USA LLC | 3.500% | 5/5/25 | 1,400 | 1,540 | ||
| Corp. Andina de Fomento | 2.125% | 9/27/21 | 1,000 | 1,013 | ||
| Corp. Andina de Fomento | 2.375% | 5/12/23 | 10,000 | 10,302 | ||
| Corp. Nacional del Cobre de Chile | 3.750% | 11/4/20 | 1,500 | 1,503 | ||
| 5 | CPPIB Capital Inc. | 2.750% | 7/22/21 | 8,000 | 8,167 | |
| 5,7 | Dexia Credit Local SA | 1.875% | 9/15/21 | 10,000 | 10,137 | |
| 5 | Dexia Credit Local SA | 2.375% | 9/20/22 | 10,290 | 10,625 | |
| 5 | Dexia Credit Local SA | 3.250% | 9/26/23 | 50,000 | 54,007 | |
| Emirate of Abu Dhabi | 2.500% | 10/11/22 | 17,000 | 17,592 | ||
| 5 | Emirate of Abu Dhabi | 0.750% | 9/2/23 | 24,700 | 24,638 | |
| 5 | Emirate of Abu Dhabi | 2.125% | 9/30/24 | 12,100 | 12,613 | |
| 5 | Emirate of Abu Dhabi | 2.500% | 4/16/25 | 6,373 | 6,738 | |
| Emirate of Abu Dhabi | 3.125% | 10/11/27 | 8,260 | 9,167 | ||
| Equinor ASA | 3.150% | 1/23/22 | 3,000 | 3,105 | ||
| Equinor ASA | 2.650% | 1/15/24 | 2,000 | 2,130 | ||
| Equinor ASA | 1.750% | 1/22/26 | 5,000 | 5,178 | ||
| Export-Import Bank of Korea | 4.000% | 1/29/21 | 5,200 | 5,257 | ||
| Export-Import Bank of Korea | 3.000% | 11/1/22 | 2,400 | 2,520 | ||
| Harvest Operations Corp. | 3.000% | 9/21/22 | 6,000 | 6,266 | ||
| 5 | Harvest Operations Corp. | 4.200% | 6/1/23 | 2,000 | 2,175 | |
| IDB Trust Services Ltd. | 2.393% | 4/12/22 | 25,625 | 26,294 | ||
| 6 | Industrial & Commercial Bank of China Ltd., 3M USD LIBOR + 0.750% | 0.993% | 11/8/20 | 4,500 | 4,500 | |
| Inter-American Development Bank | 2.125% | 11/9/20 | 150 | 150 | ||
| 8 | Japan Bank for International Cooperation | 2.125% | 11/16/20 | 12,500 | 12,519 | |
| 8 | Japan Bank for International Cooperation | 3.125% | 7/20/21 | 24,300 | 24,836 | |
| 8 | Japan Bank for International Cooperation | 2.500% | 5/23/24 | 5,000 | 5,361 | |
25
Institutional Short-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value* | |||
| Coupon | Date | ($000) | ($000) | ||
| Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 14,000 | 14,220 | |
| Korea Development Bank | 4.625% | 11/16/21 | 2,315 | 2,415 | |
| Korea Development Bank | 3.000% | 3/19/22 | 12,500 | 12,937 | |
| 6 | Korea Development Bank, 3M USD LIBOR + 0.550% | 0.799% | 3/12/21 | 10,000 | 10,000 |
| Korea Hydro & Nuclear Power Co. Ltd. | 4.750% | 7/13/21 | 5,366 | 5,534 | |
| Korea Hydro & Nuclear Power Co. Ltd. | 3.000% | 9/19/22 | 4,786 | 5,000 | |
| Korea Midland Power Co. Ltd. | 2.500% | 7/21/21 | 533 | 541 | |
| Korea Midland Power Co. Ltd. | 3.375% | 1/22/22 | 1,605 | 1,661 | |
| KSA Sukuk Ltd. | 2.894% | 4/20/22 | 5,000 | 5,154 | |
| 5 | OMERS Finance Trust | 1.125% | 4/14/23 | 40,000 | 40,530 |
| 5 | Ontario Teachers’ Finance Trust | 2.125% | 9/19/22 | 20,000 | 20,643 |
| 5 | Ontario Teachers’ Finance Trust | 0.375% | 9/29/23 | 25,000 | 24,958 |
| Province of Manitoba | 2.100% | 9/6/22 | 1,400 | 1,445 | |
| Province of Quebec | 2.750% | 8/25/21 | 6,350 | 6,485 | |
| 9 | Republic of Chile | 1.625% | 1/30/25 | 2,133 | 2,653 |
| Republic of Latvia | 5.250% | 6/16/21 | 4,000 | 4,128 | |
| 5 | Republic of Lithuania | 6.125% | 3/9/21 | 2,737 | 2,805 |
| Republic of Lithuania | 6.125% | 3/9/21 | 26,180 | 26,816 | |
| 5 | Republic of Lithuania | 6.625% | 2/1/22 | 5,717 | 6,165 |
| Republic of Lithuania | 6.625% | 2/1/22 | 41,690 | 44,995 | |
| Republic of Poland | 5.125% | 4/21/21 | 1,350 | 1,384 | |
| Republic of Poland | 5.000% | 3/23/22 | 20,630 | 22,066 | |
| Sinopec Group Overseas Development 2012 Ltd. | 3.900% | 5/17/22 | 268 | 280 | |
| Sinopec Group Overseas Development 2017 Ltd. | 2.500% | 9/13/22 | 300 | 308 | |
| Slovak Republic | 4.375% | 5/21/22 | 58,542 | 62,349 | |
| SoQ Sukuk A QSC | 3.241% | 1/18/23 | 358 | 377 | |
| State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 5,542 | 5,692 | |
| State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 3,630 | 4,048 | |
| State of Israel | 3.150% | 6/30/23 | 2,000 | 2,141 | |
| State of Kuwait | 2.750% | 3/20/22 | 16,244 | 16,670 | |
| State of Kuwait | 3.500% | 3/20/27 | 627 | 705 | |
| State of Qatar | 4.500% | 1/20/22 | 6,000 | 6,280 | |
| State of Qatar | 3.875% | 4/23/23 | 10,734 | 11,520 | |
| 5 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 5,208 |
| 5 | Tokyo Metropolitan Government | 0.750% | 7/16/25 | 21,000 | 20,992 |
| Total Sovereign Bonds (Cost $690,112) | 710,364 | ||||
| Taxable Municipal Bonds (1.0%) | |||||
| State Board of Administration Finance Corp. | 1.258% | 7/1/25 | 56,750 | 57,621 | |
| University of California | 0.883% | 5/15/25 | 27,000 | 27,236 | |
| Total Taxable Municipal Bonds (Cost $83,750) | 84,857 | ||||
26
Institutional Short-Term Bond Fund
| Market | |||
| Value* | |||
| Coupon | Shares | ($000) | |
| Temporary Cash Investment (3.9%) | |||
| Money Market Fund (3.9%) | |||
| 10 Vanguard Market Liquidity Fund (Cost $324,135) | 0.117% | 3,241,352 | 324,135 |
| Total Investments (101.8%) (Cost $8,242,753) | 8,405,988 | ||
| Other Assets and Liabilities—Net (-1.8%) | (149,557) | ||
| Net Assets (100%) | 8,256,431 |
Cost is in $000.
| · | See Note A in Notes to Financial Statements. |
| ¤ | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2020. |
| § | Security value determined using significant unobservable inputs. |
| 1 | Securities with a value of $10,832,000 have been segregated as initial margin for open centrally cleared swap contracts. |
| 2 | Securities with a value of $2,596,000 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 | 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 September 30, 2020, the aggregate value of these securities was $1,652,092,000, representing 20.0% of net assets. |
| 6 | Variable rate security; rate shown is effective rate at period end. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 7 | Guaranteed by multiple countries. |
| 8 | Guaranteed by the Government of Japan. |
| 9 | Face amount denominated in euro. |
| 10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
1M—1-month.
3M—3-month.
LIBOR—London Interbank Offered Rate.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.
27
Institutional Short-Term Bond Fund
| Derivative Financial Instruments Outstanding as of Period End | |||||
| Futures Contracts | |||||
| ($000) | |||||
| Value and | |||||
| Number of | Unrealized | ||||
| Long (Short) | Notional | Appreciation | |||
| Expiration | Contracts | Amount | (Depreciation) | ||
| Long Futures Contracts | |||||
| 2-Year U.S. Treasury Note | December 2020 | 4,650 | 1,027,468 | 377 | |
| 10-Year U.S. Treasury Note | December 2020 | 229 | 31,953 | 74 | |
| 30-Year U.S. Treasury Bond | December 2020 | 88 | 15,513 | (45) | |
| 406 | |||||
| Short Futures Contracts | |||||
| 5-Year U.S. Treasury Note | December 2020 | (1,535) | (193,458) | (35) | |
| Ultra 10-Year U.S. Treasury Note | December 2020 | (302) | (48,296) | 10 | |
| Euro-Bobl | December 2020 | (13) | (2,060) | (1) | |
| (26) | |||||
| 380 | |||||
| Forward Currency Contracts | |||||||||
| Contract | Unrealized | Unrealized | |||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | ||||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | ||||
| Barclays Bank plc | 10/30/20 | USD | 2,540 | EUR | 2,181 | — | (19) | ||
| Royal Bank of Canada | 10/30/20 | USD | 1 | EUR | 1 | — | — | ||
| J.P. Morgan Securities LLC | 10/30/20 | USD | 1 | EUR | 1 | — | — | ||
| — | (19) | ||||||||
EUR—euro.
USD—U.S. dollar.
28
Institutional Short-Term Bond Fund
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 Periodic premium received/paid quarterly.
BOANA—Bank of America, N.A.
CITNA—Citibank N.A.
MSCS—Morgan Stanley Capital Services LLC.
| 1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
| 2 | Fixed interest payment received/paid annually. |
| 3 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Floating interest payment received/paid semiannually. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Institutional Short-Term Bond Fund
Statement of Assets and Liabilities
As of September 30, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $7,918,618) | 8,081,853 |
| Affiliated Issuers (Cost $324,135) | 324,135 |
| Total Investment Securities | 8,405,988 |
| Investment in Vanguard | 332 |
| Foreign Currency, at Value (Cost $1) | 1 |
| Receivables for Investment Securities Sold | 173,515 |
| Receivables for Accrued Income | 24,909 |
| Swap Premiums Paid | 68 |
| Variation Margin Receivable—Futures Contracts | 519 |
| Variation Margin Receivable—Centrally Cleared Swap Contracts | 80 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 14 |
| Total Assets | 8,605,426 |
| Liabilities | |
| Due to Custodian | 1,282 |
| Payables for Investment Securities Purchased | 347,267 |
| Payables to Vanguard | 85 |
| Variation Margin Payable—Futures Contracts | 186 |
| Variation Margin Payable—Centrally Cleared Swap Contracts | 7 |
| Unrealized Depreciation—Forward Currency Contracts | 19 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 149 |
| Total Liabilities | 348,995 |
| Net Assets | 8,256,431 |
| At September 30, 2020, net assets consisted of: | |
| Paid-in Capital | 8,070,599 |
| Total Distributable Earnings (Loss) | 185,832 |
| Net Assets | 8,256,431 |
| Net Assets | |
| Applicable to 587,215,934 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,256,431 |
| Net Asset Value Per Share | $14.06 |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Institutional Short-Term Bond Fund
Statement of Operations
| Year Ended | |
| September 30, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 163,481 |
| Total Income | 163,481 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 202 |
| Management and Administrative | 1,064 |
| Marketing and Distribution | 82 |
| Custodian Fees | 44 |
| Auditing Fees | 34 |
| Trustees’ Fees and Expenses | 4 |
| Total Expenses | 1,430 |
| Net Investment Income | 162,051 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 88,443 |
| Futures Contracts | 1,272 |
| Swap Contracts | (24,451) |
| Forward Currency Contracts | (187) |
| Foreign Currencies | 210 |
| Realized Net Gain (Loss) | 65,287 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 58,032 |
| Futures Contracts | 3,978 |
| Swap Contracts | 3,083 |
| Forward Currency Contracts | (19) |
| Foreign Currencies | 1 |
| Change in Unrealized Appreciation (Depreciation) | 65,075 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 292,413 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,036,000, ($212,000), and ($12,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
31
Institutional Short-Term Bond Fund
Statement of Changes in Net Assets
|
Year Ended September 30, |
||
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 162,051 | 216,763 |
| Realized Net Gain (Loss) | 65,287 | (4,375) |
| Change in Unrealized Appreciation (Depreciation) | 65,075 | 158,777 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 292,413 | 371,165 |
| Distributions1 | ||
| Total Distributions | (162,064) | (216,604) |
| Capital Share Transactions | ||
| Issued | 2,112,377 | 362,489 |
| Issued in Lieu of Cash Distributions | 162,064 | 216,604 |
| Redeemed | (1,929,309) | (748,794) |
| Net Increase (Decrease) from Capital Share Transactions | 345,132 | (169,701) |
| Total Increase (Decrease) | 475,481 | (15,140) |
| Net Assets | ||
| Beginning of Period | 7,780,950 | 7,796,090 |
| End of Period | 8,256,431 | 7,780,950 |
1 Certain prior-period numbers have been reclassified to conform with the current-period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
32
Institutional Short-Term Bond Fund
Financial Highlights
| For a Share Outstanding | Year Ended September 30, | ||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $13.82 | $13.55 | $13.75 | $13.84 | $13.79 |
| Investment Operations | |||||
| Net Investment Income | .3161 | .3731 | .2931 | .2211 | .188 |
| Net Realized and Unrealized Gain (Loss) on Investments | .244 | .271 | (.202) | (.071) | .052 |
| Total from Investment Operations | .560 | .644 | .091 | .150 | .240 |
| Distributions | |||||
| Dividends from Net Investment Income | (.320) | (.374) | (.291) | (.229) | (.187) |
| Distributions from Realized Capital Gains | — | — | — | (.011) | (.003) |
| Total Distributions | (.320) | (.374) | (.291) | (.240) | (.190) |
| Net Asset Value, End of Period | $14.06 | $13.82 | $13.55 | $13.75 | $13.84 |
| Total Return | 4.10% | 4.81% | 0.67% | 1.10% | 1.75% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $8,256 | $7,781 | $7,796 | $7,233 | $10,397 |
| Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% |
| Ratio of Net Investment Income to Average Net Assets | 2.27% | 2.73% | 2.15% | 1.61% | 1.37% |
| Portfolio Turnover Rate | 118% | 83% | 118%2 | 66% | 119% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
33
Institutional Short-Term Bond Fund
Notes to Financial Statements
Vanguard Institutional Short-Term Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund has been established by Vanguard as an investment vehicle for certain collective trusts and other accounts managed by Vanguard or its affiliates and qualifying education savings plans. The fund is offered to investors who meet certain administrative and service criteria and invest a minimum of $10 million.
Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
34
Institutional Short-Term Bond Fund
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts represented 12% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. 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 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 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the year ended September 30, 2020, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic
35
Institutional Short-Term Bond Fund
payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
36
Institutional Short-Term Bond Fund
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
During the year ended September 30, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased each represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented 9% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At September 30, 2020, counterparties had deposited in segregated accounts cash of $460,000 in connection with TBA transactions.
7. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
8. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
37
Institutional Short-Term Bond Fund
9. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
10. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $332,000, representing less than 0.01% of the fund’s net assets and 0.13% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
38
Institutional Short-Term Bond Fund
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 825,952 | — | 825,952 |
| Asset-Backed/Commercial Mortgage- Backed Securities | — | 3,849,559 | 58,595 | 3,908,154 |
| Corporate Bonds | — | 2,552,526 | — | 2,552,526 |
| Sovereign Bonds | — | 710,364 | — | 710,364 |
| Taxable Municipal Bonds | — | 84,857 | — | 84,857 |
| Temporary Cash Investments | 324,135 | — | — | 324,135 |
| Total | 324,135 | 8,023,258 | 58,595 | 8,405,988 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 519 | — | — | 519 |
| Swap Contracts | 801 | 14 | — | 94 |
| Total | 599 | 14 | — | 613 |
| Liabilities | ||||
| Futures Contracts1 | 186 | — | — | 186 |
| Forward Currency Contracts | — | 19 | — | 19 |
| Swap Contracts | 71 | 149 | — | 156 |
| Total | 193 | 168 | — | 361 |
1 Represents variation margin on the last day of the reporting period.
39
Institutional Short-Term Bond Fund
D. At September 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | ($000) |
| Swap Premiums Paid | — | — | 68 | 68 |
| Variation Margin Receivable—Futures Contracts | 519 | — | — | 519 |
| Variation Margin Receivable—Centrally Cleared Swap Contracts | 80 | — | — | 80 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 14 | 14 |
| Total Assets | 599 | — | 82 | 681 |
| Variation Margin Payable—Futures Contracts | 186 | — | — | 186 |
| Variation Margin Payable—Centrally Cleared Swap Contracts | 7 | — | — | 7 |
| Unrealized Depreciation—Forward Currency Contracts | — | 19 | — | 19 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 149 | 149 |
| Total Liabilities | 193 | 19 | 149 | 361 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended September 30, 2020, were:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
| Futures Contracts | 1,272 | — | — | 1,272 |
| Swap Contracts | (24,351) | — | (100) | (24,451) |
| Forward Currency Contracts | — | (187) | — | (187) |
| Realized Net Gain (Loss) on Derivatives | (23,079) | (187) | (100) | (23,366) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
| Futures Contracts | 3,978 | — | — | 3,978 |
| Swap Contracts | 3,002 | — | 81 | 3,083 |
| Forward Currency Contracts | — | (19) | — | (19) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | 6,980 | (19) | 81 | 7,042 |
40
Institutional Short-Term Bond Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions, distributions in connection with fund share redemptions, and swap agreements were reclassified between the following accounts:
| Amount | |
| ($000) | |
| Paid-in Capital | 16 |
| Total Distributable Earnings (Loss) | (16) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the deferral of losses from straddles; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | |
| ($000) | |
| Undistributed Ordinary Income | 116 |
| Undistributed Long-Term Gains | 22,645 |
| Capital Loss Carryforwards | — |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 163,071 |
The tax character of distributions paid was as follows:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Amount | Amount | |
| ($000) | ($000) | |
| Ordinary Income* | 162,064 | 216,604 |
| Long-Term Capital Gains | — | — |
| Total | 162,064 | 216,604 |
* Includes short-term capital gains, if any.
41
Institutional Short-Term Bond Fund
As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 8,242,992 |
| Gross Unrealized Appreciation | 166,211 |
| Gross Unrealized Depreciation | (3,140) |
| Net Unrealized Appreciation (Depreciation) | 163,071 |
F. During the year ended September 30, 2020, the fund purchased $5,396,040,000 of investment securities and sold $4,224,746,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,262,945,000 and $4,029,178,000, respectively.
G. Capital shares issued and redeemed were:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Shares | Shares | |
| (000) | (000) | |
| Issued | 151,334 | 26,336 |
| Issued in Lieu of Cash Distributions | 11,649 | 15,817 |
| Redeemed | (138,913) | (54,155) |
| Net Increase (Decrease) in Shares Outstanding | 24,070 | (12,002) |
H. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
42
Institutional Intermediate-Term Bond Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 30, 2010, Through September 30, 2020
Initial Investment of $10,000,000
| Average Annual Total Returns | ||||||||||
| Periods Ended September 30, 2020 | ||||||||||
| Final Value | ||||||||||
| One | Five | Ten | of a $10,000,000 | |||||||
| Year | Years | Years | Investment | |||||||
|
Institutional Intermediate-Term Bond Fund Institutional Plus Shares | 6.02% | 3.27% | 2.95% | $13,380,288 | |||||
|
Bloomberg Barclays U.S. Intermediate Aggregate ex Baa Index | 5.56 | 3.07 | 2.81 | 13,199,124 | |||||
|
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | 4.18 | 3.64 | 14,291,098 | |||||
The fund is the successor to VFTC Intermediate-Term Bond Trust (the predecessor trust), a collective trust managed by Vanguard Fiduciary Trust Company, an affiliate of The Vanguard Group, Inc. The predecessor trust transferred its assets to the fund in connection with the fund’s commencement of operations on or about June 19, 2015. The performance of the fund’s Institutional Plus Shares includes the performance of the predecessor trust prior to the commencement of the fund’s operations. The performance of the predecessor trust has not been adjusted to reflect the expenses of the fund’s Institutional Plus Shares. If the performance of the predecessor trust was adjusted to reflect the expenses of the fund’s Institutional Plus Shares, the predecessor trust’s performance would have been lower. The fund is managed with the same investment objective, strategies, policies, and risks as the predecessor trust. The predecessor trust was not an investment company registered under the Investment Company Act of 1940. If the predecessor trust had been an investment company, its performance may have been different.
See Financial Highlights for dividend and capital gains information.
43
Institutional Intermediate-Term Bond Fund
Fund Allocation
As of September 30, 2020
| Asset-Backed/Commercial Mortgage-Backed Securities | 11.9% |
| Corporate Bonds | 28.6 |
| Sovereign Bonds | 4.2 |
| Taxable Municipal Bonds | 1.0 |
| U.S. Government and Agency Obligations | 54.3 |
The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
44
Institutional Intermediate-Term Bond Fund
Financial Statements
Schedule of Investments
As of September 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| U.S. Government and Agency Obligations (57.6%) | |||||
| U.S. Government Securities (18.3%) | |||||
| United States Treasury Note/Bond | 0.375% | 3/31/22 | 250,000 | 250,860 | |
| United States Treasury Note/Bond | 0.125% | 4/30/22 | 300,000 | 299,952 | |
| United States Treasury Note/Bond | 0.125% | 6/30/22 | 250,000 | 249,960 | |
| United States Treasury Note/Bond | 0.125% | 7/31/22 | 250,000 | 249,960 | |
| 1 | United States Treasury Note/Bond | 1.625% | 11/15/22 | 150,000 | 154,687 |
| United States Treasury Note/Bond | 1.375% | 2/15/23 | 235,000 | 241,867 | |
| 1 | United States Treasury Note/Bond | 0.500% | 3/15/23 | 420,000 | 423,675 |
| United States Treasury Note/Bond | 0.250% | 4/15/23 | 450,000 | 451,197 | |
| United States Treasury Note/Bond | 0.125% | 5/15/23 | 150,000 | 149,907 | |
| United States Treasury Note/Bond | 0.250% | 6/15/23 | 400,000 | 401,064 | |
| 1,2 | United States Treasury Note/Bond | 2.875% | 10/31/23 | 300,000 | 324,936 |
| 1 | United States Treasury Note/Bond | 2.625% | 12/31/23 | 94,000 | 101,447 |
| United States Treasury Note/Bond | 1.500% | 10/31/24 | 175,000 | 184,079 | |
| United States Treasury Note/Bond | 1.500% | 11/30/24 | 100,000 | 105,266 | |
| United States Treasury Note/Bond | 1.750% | 12/31/24 | 75,000 | 79,805 | |
| United States Treasury Note/Bond | 1.375% | 1/31/25 | 300,000 | 314,673 | |
| United States Treasury Note/Bond | 0.500% | 3/31/25 | 100,000 | 101,125 | |
| United States Treasury Note/Bond | 0.250% | 7/31/25 | 200,000 | 199,812 | |
| United States Treasury Note/Bond | 0.250% | 8/31/25 | 14,740 | 14,724 | |
| United States Treasury Note/Bond | 2.250% | 3/31/26 | 100,000 | 110,469 | |
| United States Treasury Note/Bond | 1.625% | 11/30/26 | 175,000 | 188,153 | |
| United States Treasury Note/Bond | 1.750% | 12/31/26 | 40,000 | 43,344 | |
| 1,2 | United States Treasury Note/Bond | 1.125% | 2/28/27 | 72,000 | 75,240 |
| United States Treasury Note/Bond | 0.625% | 3/31/27 | 250,000 | 253,202 | |
| United States Treasury Note/Bond | 0.500% | 5/31/27 | 200,000 | 200,782 | |
| 1 | United States Treasury Note/Bond | 0.625% | 5/15/30 | 200,000 | 199,282 |
| United States Treasury Note/Bond | 0.625% | 8/15/30 | 125,600 | 124,874 | |
| 5,494,342 | |||||
| Agency Bonds and Notes (0.1%) | |||||
| 3 | Fannie Mae Principal Strip | 0.000% | 1/15/30 | 4,900 | 4,398 |
| Federal Home Loan Banks | 3.125% | 6/13/25 | 6,300 | 7,090 | |
| Federal Home Loan Banks | 3.125% | 9/12/25 | 7,050 | 7,976 | |
| Federal Home Loan Banks | 2.500% | 12/10/27 | 8,450 | 9,526 | |
| 1 | Federal Home Loan Banks | 3.250% | 6/9/28 | 2,100 | 2,489 |
| Tennessee Valley Authority | 2.875% | 2/1/27 | 1,280 | 1,454 | |
| 32,933 | |||||
45
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| Conventional Mortgage-Backed Securities (33.3%) | |||||
| 3,4 | Fannie Mae Pool | 2.000% | 5/1/28–8/1/28 | 2,630 | 2,732 |
| ¤,3,4 | Fannie Mae Pool | 2.500% | 9/1/27–12/1/49 | 49,953 | 52,693 |
| 3,4 | Fannie Mae Pool | 3.000% | 8/1/21–1/1/50 | 1,220,749 | 1,279,361 |
| 3,4 | Fannie Mae Pool | 3.500% | 11/1/20–2/1/50 | 669,541 | 715,237 |
| 3,4 | Fannie Mae Pool | 4.000% | 12/1/20–3/1/50 | 514,029 | 550,218 |
| 3,4 | Fannie Mae Pool | 4.500% | 3/1/21–3/1/50 | 480,833 | 526,385 |
| 3,4 | Fannie Mae Pool | 5.000% | 10/1/20–10/1/49 | 107,929 | 121,393 |
| 3,4 | Fannie Mae Pool | 5.500% | 1/1/21–5/1/44 | 184,271 | 217,403 |
| 3,4 | Fannie Mae Pool | 6.000% | 3/1/21–7/1/41 | 87,807 | 104,475 |
| 3,4 | Fannie Mae Pool | 6.500% | 8/1/21–6/1/40 | 6,581 | 7,662 |
| 3,4 | Fannie Mae Pool | 7.000% | 9/1/28–12/1/38 | 2,469 | 2,900 |
| 3,4 | Fannie Mae Pool | 7.500% | 8/1/30–6/1/32 | 183 | 217 |
| 3,4 | Fannie Mae Pool | 8.000% | 7/1/30–1/1/31 | 10 | 11 |
| 3,4 | Fannie Mae Pool | 8.500% | 12/1/30 | 7 | 9 |
| 3,4 | Freddie Mac Gold Pool | 2.000% | 9/1/28–1/1/32 | 4,493 | 4,675 |
| 3,4 | Freddie Mac Gold Pool | 2.500% | 4/1/27–3/1/47 | 19,475 | 20,603 |
| 3,4 | Freddie Mac Gold Pool | 3.000% | 2/1/27–8/1/47 | 110,411 | 117,408 |
| 3,4 | Freddie Mac Gold Pool | 3.500% | 10/1/20–3/1/49 | 207,194 | 221,198 |
| 3,4 | Freddie Mac Gold Pool | 4.000% | 5/1/24–5/1/49 | 115,308 | 123,961 |
| 3,4 | Freddie Mac Gold Pool | 4.500% | 3/1/21–2/1/49 | 73,345 | 80,911 |
| 3,4 | Freddie Mac Gold Pool | 5.000% | 10/1/20–2/1/49 | 13,879 | 15,623 |
| 3,4 | Freddie Mac Gold Pool | 5.500% | 2/1/32–8/1/40 | 20,726 | 23,520 |
| 3,4 | Freddie Mac Gold Pool | 6.000% | 10/1/27–5/1/40 | 15,823 | 18,608 |
| 3,4 | Freddie Mac Gold Pool | 6.500% | 2/1/29–9/1/39 | 7,276 | 8,417 |
| 3,4 | Freddie Mac Gold Pool | 7.000% | 5/1/28–6/1/38 | 1,371 | 1,572 |
| 3,4 | Freddie Mac Gold Pool | 7.500% | 3/1/30–5/1/38 | 1,988 | 2,336 |
| 3,4 | Freddie Mac Gold Pool | 8.000% | 4/1/30–7/1/30 | 9 | 11 |
| 4 | Ginnie Mae I Pool | 2.500% | 1/15/43–6/15/43 | 757 | 801 |
| 4 | Ginnie Mae I Pool | 3.000% | 9/15/42–8/15/45 | 25,819 | 27,155 |
| 4 | Ginnie Mae I Pool | 3.500% | 1/15/42–6/15/47 | 35,010 | 36,771 |
| 4 | Ginnie Mae I Pool | 4.000% | 4/15/39–12/15/46 | 4,826 | 5,182 |
| 4 | Ginnie Mae I Pool | 4.500% | 7/15/33–12/15/46 | 22,698 | 25,260 |
| 4 | Ginnie Mae I Pool | 5.000% | 9/15/33–9/15/41 | 10,662 | 12,207 |
| 4 | Ginnie Mae I Pool | 5.500% | 3/15/31–2/15/41 | 6,296 | 7,180 |
| 4 | Ginnie Mae I Pool | 6.000% | 12/15/28–3/15/41 | 3,687 | 4,171 |
| 4 | Ginnie Mae I Pool | 6.500% | 12/15/27–6/15/38 | 2,390 | 2,751 |
| 4 | Ginnie Mae I Pool | 7.000% | 8/15/24–11/15/31 | 130 | 148 |
| 4 | Ginnie Mae I Pool | 7.500% | 4/15/31–3/15/32 | 35 | 41 |
| 4 | Ginnie Mae I Pool | 8.000% | 4/15/30–10/15/30 | 34 | 41 |
| 4 | Ginnie Mae I Pool | 8.500% | 7/15/30 | 17 | 22 |
| ¤,4 | Ginnie Mae II Pool | 2.000% | 10/1/50–10/21/50 | 167,000 | 173,420 |
| ¤,4 | Ginnie Mae II Pool | 2.500% | 3/20/43–10/1/50 | 3,418 | 3,620 |
| 4 | Ginnie Mae II Pool | 3.000% | 3/20/27–12/20/49 | 485,839 | 503,128 |
| 4 | Ginnie Mae II Pool | 3.500% | 6/20/42–12/20/49 | 330,544 | 353,823 |
| 4 | Ginnie Mae II Pool | 4.000% | 2/20/34–12/20/49 | 228,186 | 244,929 |
| 4 | Ginnie Mae II Pool | 4.500% | 3/20/33–11/20/49 | 375,548 | 402,991 |
| 4 | Ginnie Mae II Pool | 5.000% | 5/20/39–11/20/49 | 39,089 | 43,111 |
| 4 | Ginnie Mae II Pool | 5.500% | 4/20/37–3/20/41 | 2,449 | 2,800 |
| 4 | Ginnie Mae II Pool | 6.000% | 5/20/36–10/20/41 | 4,095 | 4,819 |
| 4 | Ginnie Mae II Pool | 6.500% | 3/20/38–7/20/39 | 44 | 53 |
| ¤,3,4 | UMBS Pool | 1.500% | 10/1/35–11/1/35 | 171,000 | 174,687 |
| ¤,3,4 | UMBS Pool | 2.000% | 10/1/35–11/1/50 | 2,398,700 | 2,465,823 |
| ¤,3,4 | UMBS Pool | 2.500% | 5/1/50–11/1/50 | 188,440 | 197,772 |
46
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| ¤,3,4 | UMBS Pool | 3.000% | 9/1/49–10/1/50 | 439,736 | 459,896 |
| 3,4 | UMBS Pool | 3.500% | 11/1/40–2/1/50 | 247,613 | 262,617 |
| 3,4 | UMBS Pool | 4.000% | 2/1/45–12/1/49 | 192,795 | 204,651 |
| 3,4 | UMBS Pool | 4.500% | 4/1/49–3/1/50 | 104,584 | 110,465 |
| 3,4 | UMBS Pool | 5.000% | 3/1/42–2/1/50 | 11,048 | 12,411 |
| 3,4 | UMBS Pool | 5.500% | 4/1/38–4/1/41 | 26,208 | 30,731 |
| 3,4 | UMBS Pool | 6.000% | 4/1/39 | 18,600 | 21,940 |
| 10,014,956 | |||||
| Nonconventional Mortgage-Backed Securities (5.9%) | |||||
| 3,4,5 | Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.410% | 8/1/33 | 22 | 23 |
| 3,4,5 | Fannie Mae Pool, 12M USD LIBOR + 1.785% | 2.535% | 8/1/33 | 16 | 17 |
| 3,4,5 | Fannie Mae Pool, 12M USD LIBOR + 1.800% | 2.707% | 7/1/33 | 74 | 76 |
| 3,4,5 | Fannie Mae Pool, 12M USD LIBOR + 1.960% | 2.710% | 5/1/33 | 3 | 3 |
| 3,4,5 | Fannie Mae Pool, 1YR CMT + 2.000% | 3.697% | 12/1/32 | 4 | 4 |
| 3,4,5 | Fannie Mae Pool, 1YR CMT + 2.210% | 3.406% | 5/1/33 | 35 | 38 |
| 3,4 | Fannie Mae REMICS | 1.750% | 5/25/43–3/25/46 | 51,805 | 52,852 |
| 3,4 | Fannie Mae REMICS | 1.850% | 8/25/46 | 11,502 | 11,895 |
| 3,4 | Fannie Mae REMICS | 2.500% | 9/25/49–12/25/49 | 142,554 | 150,165 |
| 3,4 | Fannie Mae REMICS | 2.750% | 8/25/47 | 19,900 | 20,612 |
| 3,4 | Fannie Mae REMICS | 3.000% | 2/25/43–9/25/48 | 132,103 | 137,814 |
| 3,4 | Fannie Mae REMICS | 3.500% | 12/25/41–7/25/48 | 110,302 | 120,686 |
| 3,4 | Fannie Mae REMICS | 4.000% | 12/25/47–10/25/48 | 44,989 | 50,315 |
| 3,4 | Fannie Mae REMICS | 5.250% | 9/25/41 | 6,722 | 7,323 |
| 3,4,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% | 2.536% | 8/1/37 | 50 | 52 |
| 3,4,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 3.918% | 10/1/32 | 9 | 10 |
| 3,4,5 | Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% | 3.961% | 2/1/33 | 15 | 16 |
| 3,4 | Freddie Mac REMICS | 2.500% | 9/25/49–2/25/50 | 83,401 | 87,864 |
| 3,4 | Freddie Mac REMICS | 3.000% | 11/25/47–12/15/47 | 22,855 | 23,669 |
| 3,4 | Freddie Mac REMICS | 3.500% | 4/15/38–3/25/50 | 122,242 | 132,118 |
| 3,4 | Freddie Mac REMICS | 4.000% | 8/15/47–5/15/49 | 324,999 | 359,413 |
| 3,4 | Freddie Mac REMICS | 5.500% | 8/15/38 | 12,612 | 14,739 |
| 3,4 | Freddie Mac REMICS | 6.500% | 12/15/44–11/15/47 | 94,701 | 114,545 |
| 4 | Ginnie Mae REMICS | 3.000% | 11/20/45–7/20/48 | 279,903 | 293,787 |
| 4 | Ginnie Mae REMICS | 3.500% | 4/20/48–5/20/49 | 115,333 | 125,109 |
| 4 | Ginnie Mae REMICS | 4.000% | 10/20/47–9/20/48 | 22,925 | 24,309 |
| 4 | Ginnie Mae REMICS | 6.500% | 6/20/47–9/20/47 | 38,244 | 45,594 |
| 1,773,048 | |||||
| Total U.S. Government and Agency Obligations (Cost $16,976,221) | 17,315,279 | ||||
| Asset-Backed/Commercial Mortgage-Backed Securities (12.6%) | |||||
| 4 | Ally Auto Receivables Trust 2018-1 | 2.530% | 2/15/23 | 1,770 | 1,801 |
| 4 | Ally Auto Receivables Trust 2018-3 | 3.000% | 1/17/23 | 1,232 | 1,246 |
| 4 | Ally Auto Receivables Trust 2019-1 | 3.020% | 4/15/24 | 4,910 | 5,163 |
| 4 | Ally Auto Receivables Trust 2019-3 | 1.930% | 5/15/24 | 12,310 | 12,560 |
| 4 | Ally Auto Receivables Trust 2019-4 | 1.920% | 1/15/25 | 710 | 736 |
| 4 | Ally Master Owner Trust Series 2018-2 | 3.290% | 5/15/23 | 21,500 | 21,897 |
| 4 | Ally Master Owner Trust Series 2018-2 | 3.300% | 7/17/23 | 20,180 | 20,630 |
| 4 | AmeriCredit Automobile Receivables Trust 2020-2 | 0.660% | 12/18/24 | 3,350 | 3,362 |
| 4,6 | ARI Fleet Lease Trust 2020-A | 1.800% | 8/15/28 | 2,200 | 2,260 |
47
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| 4,6 | Aventura Mall Trust 2018-AVM | 4.249% | 7/5/40 | 460 | 490 |
| 4,6 | Avis Budget Rental Car Funding AESOP LLC 2017-1A | 3.070% | 9/20/23 | 2,745 | 2,826 |
| 4,6 | Avis Budget Rental Car Funding AESOP LLC 2019-1A | 3.450% | 3/20/23 | 4,430 | 4,543 |
| 4 | Banc of America Commercial Mortgage Trust 2015-UBS7 | 3.429% | 9/15/48 | 280 | 298 |
| 4 | Banc of America Commercial Mortgage Trust 2015-UBS7 | 3.441% | 9/15/48 | 912 | 992 |
| 4 | Banc of America Commercial Mortgage Trust 2017-BNK3 | 3.574% | 2/15/50 | 330 | 373 |
| 4 | BANK 2017 - BNK4 | 3.625% | 5/15/50 | 280 | 319 |
| 4 | BANK 2017 - BNK6 | 3.254% | 7/15/60 | 4,580 | 5,119 |
| 4 | BANK 2017 - BNK6 | 3.518% | 7/15/60 | 1,110 | 1,262 |
| 4 | BANK 2017 - BNK6 | 3.741% | 7/15/60 | 440 | 490 |
| 4 | BANK 2017 - BNK7 | 3.175% | 9/15/60 | 13,570 | 15,016 |
| 4 | BANK 2017 - BNK7 | 3.435% | 9/15/60 | 1,190 | 1,349 |
| 4 | BANK 2017 - BNK8 | 3.488% | 11/15/50 | 4,170 | 4,738 |
| 4 | BANK 2018 - BN10 | 3.641% | 2/15/61 | 1,030 | 1,156 |
| 4 | BANK 2018 - BN12 | 4.255% | 5/15/61 | 780 | 923 |
| 4 | BANK 2018 - BN14 | 4.185% | 9/15/60 | 160 | 184 |
| 4 | BANK 2018 - BN14 | 4.231% | 9/15/60 | 1,055 | 1,254 |
| 4 | BANK 2019 - BN17 | 3.623% | 4/15/52 | 285 | 325 |
| 4 | BANK 2019 - BN17 | 3.714% | 4/15/52 | 4,459 | 5,186 |
| 4 | BANK 2019 - BN19 | 3.183% | 8/15/61 | 3,910 | 4,415 |
| 4 | BANK 2019 - BN20 | 3.011% | 9/15/62 | 7,180 | 8,052 |
| 4 | BANK 2019 - BN23 | 2.846% | 12/15/52 | 1,900 | 2,091 |
| 4 | BANK 2019 - BN23 | 2.920% | 12/15/52 | 11,780 | 13,142 |
| 4 | BANK 2019 - BN24 | 2.960% | 11/15/62 | 30,620 | 34,277 |
| 4 | BANK 2020 - BN28 | 1.725% | 3/15/63 | 7,000 | 7,187 |
| 4 | BBCMS Mortgage Trust 2019-C5 | 3.063% | 11/15/52 | 13,010 | 14,615 |
| 4 | BBCMS Mortgage Trust 2020-C6 | 2.639% | 2/15/53 | 2,515 | 2,763 |
| 4 | Benchmark 2018-B1 Mortgage Trust | 3.602% | 1/15/51 | 640 | 713 |
| 4 | Benchmark 2018-B1 Mortgage Trust | 3.878% | 1/15/51 | 1,360 | 1,550 |
| 4 | Benchmark 2019-B10 Mortgage Trust | 3.615% | 3/15/62 | 305 | 346 |
| 4 | Benchmark 2019-B15 Mortgage Trust | 2.859% | 12/15/72 | 5,250 | 5,792 |
| 4 | Benchmark 2019-B15 Mortgage Trust | 2.928% | 12/15/72 | 20,500 | 22,902 |
| 4 | Benchmark 2020-B16 Mortgage Trust | 2.732% | 2/15/53 | 3,320 | 3,662 |
| 4 | Benchmark 2020-B19 Mortgage Trust | 1.745% | 9/15/53 | 7,163 | 7,363 |
| 4 | BMW Vehicle Owner Trust 2018-A | 1.920% | 1/25/24 | 24,330 | 24,775 |
| 4 | BMW Vehicle Owner Trust 2018-A | 2.510% | 6/25/24 | 9,710 | 9,890 |
| 4 | BMW Vehicle Owner Trust 2020-A | 0.480% | 10/25/24 | 17,400 | 17,444 |
| 4 | BMW Vehicle Owner Trust 2020-A | 0.620% | 4/26/27 | 2,720 | 2,735 |
| 4,5 | Brazos Higher Education Authority Inc. Series 2005-3, 3M USD LIBOR + 0.200% | 0.425% | 6/25/26 | 1,143 | 1,138 |
| 4,5 | Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% | 1.050% | 2/25/30 | 778 | 779 |
| 4,6 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.220% | 9/19/22 | 4,080 | 4,131 |
| 4,6 | Canadian Pacer Auto Receivables Trust A Series 2019 | 2.960% | 6/19/24 | 1,300 | 1,350 |
| 4,6 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.270% | 12/19/22 | 4,948 | 4,984 |
48
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4,6 | Canadian Pacer Auto Receivables Trust A Series 2018 | 3.440% | 8/21/23 | 2,630 | 2,713 |
| 4,6 | Canadian Pacer Auto Receivables Trust A Series 2020 | 1.830% | 7/19/24 | 8,600 | 8,756 |
| 4,6 | Canadian Pacer Auto Receivables Trust A Series 2020 | 1.890% | 3/19/25 | 1,840 | 1,868 |
| 4 | Cantor Commercial Real Estate Lending 2019-CF3 | 3.006% | 1/15/53 | 18,800 | 21,116 |
| 4 | Capital One Auto Receivables Trust 2019-1 | 2.510% | 11/15/23 | 12,470 | 12,751 |
| 4 | Capital One Auto Receivables Trust 2019-1 | 2.560% | 10/15/24 | 4,210 | 4,404 |
| 4 | Capital One Auto Receivables Trust 2019-2 | 1.920% | 5/15/24 | 28,620 | 29,231 |
| 4 | Capital One Auto Receivables Trust 2020-1 | 1.600% | 11/15/24 | 19,830 | 20,249 |
| 4 | Capital One Auto Receivables Trust 2020-1 | 1.630% | 8/15/25 | 3,550 | 3,660 |
| 4 | Capital One Multi-Asset Execution Trust 2019-A1 | 2.840% | 12/15/24 | 29,470 | 30,507 |
| 4 | CarMax Auto Owner Trust 2017-3 | 2.220% | 11/15/22 | 9,990 | 10,128 |
| 4 | CarMax Auto Owner Trust 2017-4 | 2.330% | 5/15/23 | 2,470 | 2,517 |
| 4 | CarMax Auto Owner Trust 2018-1 | 2.640% | 6/15/23 | 7,400 | 7,609 |
| 4 | CarMax Auto Owner Trust 2018-3 | 3.130% | 6/15/23 | 15,812 | 16,105 |
| 4 | CarMax Auto Owner Trust 2018-3 | 3.270% | 3/15/24 | 9,680 | 10,151 |
| 4 | CarMax Auto Owner Trust 2018-4 | 3.360% | 9/15/23 | 11,640 | 11,935 |
| 4 | CarMax Auto Owner Trust 2018-4 | 3.480% | 2/15/24 | 4,290 | 4,562 |
| 4 | CarMax Auto Owner Trust 2019-3 | 2.180% | 8/15/24 | 27,410 | 28,165 |
| 4 | CarMax Auto Owner Trust 2019-3 | 2.300% | 4/15/25 | 5,000 | 5,247 |
| 4 | CarMax Auto Owner Trust 2019-4 | 2.020% | 11/15/24 | 33,050 | 34,046 |
| 4 | CarMax Auto Owner Trust 2019-4 | 2.130% | 7/15/25 | 4,790 | 5,023 |
| 4 | CarMax Auto Owner Trust 2020-1 | 2.030% | 6/16/25 | 3,040 | 3,185 |
| 4 | CarMax Auto Owner Trust 2020-3 | 0.620% | 3/17/25 | 25,850 | 25,978 |
| 4 | CarMax Auto Owner Trust 2020-3 | 0.770% | 3/16/26 | 2,940 | 2,969 |
| 4 | CCUBS Commercial Mortgage Trust 2017-C1 | 3.283% | 11/15/50 | 5,000 | 5,581 |
| 4 | CD 2016-CD1 Commercial Mortgage Trust | 2.724% | 8/10/49 | 110 | 119 |
| 4 | CD 2017-CD3 Commercial Mortgage Trust | 3.631% | 2/10/50 | 1,250 | 1,417 |
| 4 | CD 2017-CD4 Commercial Mortgage Trust | 3.514% | 5/10/50 | 480 | 542 |
| 4 | CD 2017-CD6 Commercial Mortgage Trust | 3.456% | 11/13/50 | 785 | 889 |
| 4 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 36 | 36 |
| 4,6 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.931% | 12/15/47 | 2,298 | 2,379 |
| 4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 3,376 | 3,672 |
| 4,6 | Chesapeake Funding II LLC 2018-1 | 3.040% | 4/15/30 | 7,554 | 7,668 |
| 4,6 | Chesapeake Funding II LLC 2019-1 | 2.940% | 4/15/31 | 16,873 | 17,285 |
| 4,6 | Chesapeake Funding II LLC 2019-2 | 1.950% | 9/15/31 | 13,019 | 13,232 |
| 4,6 | Chesapeake Funding II LLC 2020-1 | 0.870% | 8/16/32 | 10,563 | 10,592 |
| 4,6 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 500 | 515 |
| 4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 1,527 | 1,596 |
| 4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 226 | 236 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.753% | 3/10/47 | 108 | 115 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 8,709 | 9,480 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.575% | 5/10/47 | 708 | 752 |
49
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 4,234 | 4,615 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.356% | 7/10/47 | 705 | 755 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 1,575 | 1,712 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 275 | 298 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.372% | 10/10/47 | 1,640 | 1,770 |
| 4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 4,607 | 5,032 |
| 4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 20 | 22 |
| 4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 620 | 692 |
| 4 | Citigroup Commercial Mortgage Trust 2015-GC36 | 3.349% | 2/10/49 | 2,600 | 2,843 |
| 4 | Citigroup Commercial Mortgage Trust 2016-GC37 | 3.050% | 4/10/49 | 4,200 | 4,462 |
| 4 | Citigroup Commercial Mortgage Trust 2016-GC37 | 3.314% | 4/10/49 | 4,000 | 4,417 |
| 4 | Citigroup Commercial Mortgage Trust 2017-C4 | 3.471% | 10/12/50 | 1,070 | 1,215 |
| 4 | Citigroup Commercial Mortgage Trust 2017-P8 | 3.203% | 9/15/50 | 4,560 | 5,015 |
| 4 | Citigroup Commercial Mortgage Trust 2017-P8 | 3.465% | 9/15/50 | 2,460 | 2,789 |
| 4 | Citigroup Commercial Mortgage Trust 2018-C5 | 4.228% | 6/10/51 | 65 | 77 |
| 4 | Citigroup Commercial Mortgage Trust 2019-C7 | 2.860% | 12/15/72 | 10,150 | 11,174 |
| 4 | Citigroup Commercial Mortgage Trust 2019-C7 | 3.042% | 12/15/72 | 8,630 | 9,669 |
| 4 | Citigroup Commercial Mortgage Trust 2019-C7 | 3.102% | 12/15/72 | 20,500 | 23,177 |
| 4 | CNH Equipment Trust 2017-C | 2.080% | 2/15/23 | 1,879 | 1,889 |
| 4 | CNH Equipment Trust 2020-A | 1.160% | 6/16/25 | 7,250 | 7,350 |
| 4 | CNH Equipment Trust 2020-A | 1.510% | 4/15/27 | 2,040 | 2,101 |
| 4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 666 | 687 |
| 4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 999 | 1,032 |
| 4,6 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 770 | 789 |
| 4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 1,357 | 1,384 |
| 4 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 50 | 50 |
| 4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 580 | 600 |
| 4,6 | COMM 2013-300P Mortgage Trust | 4.353% | 8/10/30 | 910 | 977 |
| 4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 8/10/50 | 2,059 | 2,224 |
| 4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 8/10/50 | 922 | 1,008 |
| 4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 371 | 400 |
| 4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 2,128 | 2,314 |
| 4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/46 | 4,200 | 4,594 |
| 4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 10 | 11 |
| 4 | COMM 2013-CCRE9 Mortgage Trust | 4.362% | 7/10/45 | 1,947 | 2,113 |
| 4,6 | COMM 2013-CCRE9 Mortgage Trust | 4.385% | 7/10/45 | 2,331 | 2,463 |
50
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 160 | 171 |
| 4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 748 | 779 |
| 4,6 | COMM 2013-SFS Mortgage Trust | 3.086% | 4/12/35 | 1,400 | 1,377 |
| 4,6 | COMM 2014-277P Mortgage Trust | 3.732% | 8/10/49 | 100 | 108 |
| 4 | COMM 2014-CCRE14 Mortgage Trust | 3.955% | 2/10/47 | 4,000 | 4,347 |
| 4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 1,068 | 1,174 |
| 4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 10 | 11 |
| 4 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 1,328 | 1,459 |
| 4 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 330 | 359 |
| 4 | COMM 2014-CCRE18 Mortgage Trust | 3.550% | 7/15/47 | 6,160 | 6,602 |
| 4 | COMM 2014-CCRE18 Mortgage Trust | 3.828% | 7/15/47 | 4,082 | 4,471 |
| 4 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 2,370 | 2,542 |
| 4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,587 | 1,755 |
| 4 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 570 | 622 |
| 4 | COMM 2015-CCRE24 Mortgage Trust | 3.432% | 8/10/48 | 2,512 | 2,761 |
| 4 | COMM 2015-CCRE24 Mortgage Trust | 3.696% | 8/10/48 | 2,916 | 3,253 |
| 4 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 1,838 | 2,058 |
| 4 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 3,386 | 3,777 |
| 4 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 1,195 | 1,296 |
| 4 | COMM 2019-G44 Mortgage Trust | 2.873% | 8/15/57 | 2,050 | 2,269 |
| 4 | COMM 2019-G44 Mortgage Trust | 2.950% | 8/15/57 | 9,970 | 11,131 |
| 4 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 857 | 958 |
| 4 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.210% | 11/15/49 | 3,350 | 3,657 |
| 4 | CSAIL 2016-C7 Commercial Mortgage Trust | 3.502% | 11/15/49 | 2,713 | 3,022 |
| 4 | CSAIL 2017-C8 Commercial Mortgage Trust | 3.392% | 6/15/50 | 1,280 | 1,437 |
| 4 | CSAIL 2019-C18 Commercial Mortgage Trust | 2.968% | 12/15/52 | 17,500 | 19,423 |
| 4 | CSAIL 2020-C19 Commercial Mortgage Trust | 2.561% | 3/15/53 | 4,500 | 4,871 |
| 4,6 | Daimler Trucks Retail Trust 2019-1 | 2.770% | 8/15/22 | 52,026 | 52,669 |
| 4,6 | Daimler Trucks Retail Trust 2019-1 | 2.790% | 5/15/25 | 7,420 | 7,647 |
| 4 | DBJPM 16-C3 Mortgage Trust | 2.632% | 8/10/49 | 9,200 | 9,878 |
| 4 | DBJPM 17-C6 Mortgage Trust | 3.328% | 6/10/50 | 3,210 | 3,615 |
| 4,5,6 | DELAM 2018-1, 1M USD LIBOR + 0.700% | 0.856% | 11/19/25 | 27,600 | 27,598 |
| §,4,6 | Dell Equipment Finance Trust 2020-2 | 0.470% | 10/24/22 | 13,380 | 13,378 |
| §,4,6 | Dell Equipment Finance Trust 2020-2 | 0.570% | 10/23/23 | 11,550 | 11,549 |
| 4 | Discover Card Execution Note Trust 2018-A5 | 3.320% | 3/15/24 | 12,560 | 12,930 |
| 4 | Discover Card Execution Note Trust 2019-A1 | 3.040% | 7/15/24 | 27,100 | 28,080 |
| 4,6 | DLL Securitization Trust Series 2018-1 | 3.100% | 4/18/22 | 3,558 | 3,579 |
| 4,6 | DLL Securitization Trust Series 2018-A3 | 3.460% | 1/20/22 | 8,103 | 8,175 |
| 4,6 | DLL Securitization Trust Series 2018-A4 | 3.590% | 6/20/24 | 6,870 | 7,050 |
| 4,6 | DLL Securitization Trust Series 2019-DA1 | 2.890% | 4/20/23 | 5,580 | 5,675 |
| 4,6 | DLL Securitization Trust Series 2019-DA1 | 2.920% | 4/20/27 | 8,160 | 8,534 |
| 4,6 | DLL Securitization Trust Series 2019-MT3 | 2.080% | 2/21/23 | 17,800 | 18,125 |
| 4,6 | DLL Securitization Trust Series 2019-MT3 | 2.150% | 9/21/26 | 10,200 | 10,510 |
| 4 | Drive Auto Receivables Trust 2020-1 | 2.020% | 11/15/23 | 3,180 | 3,222 |
| 4,5,6 | Edsouth Indenture No 9 LLC 2015-1, 1M USD LIBOR + 0.800% | 0.948% | 10/25/56 | 231 | 227 |
| 4,6 | Enterprise Fleet Financing LLC Series 2019-1 | 2.980% | 10/20/24 | 4,340 | 4,411 |
| 4,6 | Enterprise Fleet Financing LLC Series 2019-1 | 3.070% | 10/20/24 | 9,750 | 10,204 |
| 4,6 | Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | 12,095 | 12,288 |
| 4,6 | Enterprise Fleet Financing LLC Series 2020-1 | 1.780% | 12/22/25 | 26,940 | 27,348 |
| 4,6 | Enterprise Fleet Financing LLC Series 2020-1 | 1.860% | 12/22/25 | 3,400 | 3,490 |
| 4,6 | Enterprise Fleet Financing LLC Series 2020-1 | 0.610% | 7/20/26 | 10,590 | 10,588 |
| 3,4 | Fannie Mae Grantor Trust 2017-T1 | 2.898% | 6/25/27 | 6,919 | 7,654 |
51
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 3,4 | Federal Home Loan Mortgage Corp 2017- 357A | 2.500% | 9/15/47 | 18,388 | 19,852 |
| 4 | Fifth Third Auto Trust 2017-1 | 2.030% | 7/15/24 | 13,110 | 13,197 |
| 4,6 | Flagship Credit Auto Trust 2020-1 | 1.490% | 7/15/24 | 5,325 | 5,374 |
| 4,6 | Fontainebleau Miami Beach Trust 2019-FBLU | 3.144% | 12/10/36 | 4,380 | 4,477 |
| 4 | Ford Credit Auto Lease Trust 2020-A | 1.850% | 3/15/23 | 8,500 | 8,643 |
| 4 | Ford Credit Auto Lease Trust 2020-B | 0.620% | 8/15/23 | 27,390 | 27,512 |
| 4 | Ford Credit Auto Lease Trust 2020-B | 0.690% | 10/15/23 | 4,470 | 4,485 |
| 4,6 | Ford Credit Auto Owner Trust 2017-1 | 2.620% | 8/15/28 | 26,030 | 26,825 |
| 4,6 | Ford Credit Auto Owner Trust 2017-2 | 2.360% | 3/15/29 | 13,160 | 13,634 |
| 4 | Ford Credit Auto Owner Trust 2017-B | 1.870% | 9/15/22 | 7,500 | 7,534 |
| 4 | Ford Credit Auto Owner Trust 2018-B | 3.240% | 4/15/23 | 21,011 | 21,379 |
| 4 | Ford Credit Auto Owner Trust 2018-B | 3.380% | 3/15/24 | 8,300 | 8,746 |
| 4,6 | Ford Credit Auto Owner Trust 2018-REV1 | 3.190% | 7/15/31 | 6,690 | 7,370 |
| 4,6 | Ford Credit Auto Owner Trust 2018-REV2 | 3.470% | 1/15/30 | 12,560 | 13,543 |
| 4,6 | Ford Credit Auto Owner Trust 2019-1 | 3.520% | 7/15/30 | 13,211 | 14,439 |
| 4 | Ford Credit Auto Owner Trust 2019-A | 2.780% | 9/15/23 | 35,430 | 36,258 |
| 4 | Ford Credit Auto Owner Trust 2019-A | 2.850% | 8/15/24 | 18,600 | 19,639 |
| 4,6 | Ford Credit Auto Owner Trust 2020-1 | 2.040% | 8/15/31 | 2,940 | 3,079 |
| 4 | Ford Credit Auto Owner Trust 2020-A | 1.040% | 8/15/24 | 7,830 | 7,926 |
| 4 | Ford Credit Auto Owner Trust 2020-A | 1.350% | 7/15/25 | 2,250 | 2,306 |
| 4 | Ford Credit Auto Owner Trust 2020-B | 0.560% | 10/15/24 | 43,000 | 43,210 |
| 4 | Ford Credit Auto Owner Trust 2020-B | 0.790% | 11/15/25 | 27,800 | 28,119 |
| 4 | Ford Credit Floorplan Master Owner Trust 2019-A | 2.440% | 9/15/26 | 150 | 159 |
| 4 | Ford Credit Floorplan Master Owner Trust A 2019-3 | 2.230% | 9/15/24 | 37,695 | 38,978 |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2018-1 | 2.950% | 5/15/23 | 54,110 | 54,996 |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2018-3 | 3.520% | 10/15/23 | 50,195 | 51,803 |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2019-1 | 2.840% | 3/15/24 | 14,900 | 15,405 |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | 29,760 | 29,823 |
| 4 | Ford Credit Floorplan Master Owner Trust A Series 2020-2 | 1.060% | 9/15/27 | 13,150 | 13,177 |
| 4 | GM Financial Automobile Leasing Trust 2019-3 | 2.030% | 6/20/22 | 23,630 | 23,900 |
| 4 | GM Financial Automobile Leasing Trust 2020-1 | 1.670% | 12/20/22 | 6,480 | 6,573 |
| 4 | GM Financial Automobile Leasing Trust 2020-1 | 1.700% | 12/20/23 | 1,400 | 1,430 |
| 4 | GM Financial Automobile Leasing Trust 2020-2 | 0.800% | 7/20/23 | 12,390 | 12,489 |
| 4 | GM Financial Automobile Leasing Trust 2020-2 | 1.010% | 7/22/24 | 1,640 | 1,661 |
| 4 | GM Financial Consumer Automobile 2018-2 | 3.020% | 12/18/23 | 4,430 | 4,583 |
| 4 | GM Financial Consumer Automobile 2018-3 | 3.020% | 5/16/23 | 13,186 | 13,406 |
| 4 | GM Financial Consumer Automobile 2018-3 | 3.160% | 1/16/24 | 5,820 | 6,089 |
| 4 | GM Financial Consumer Automobile 2018-4 | 3.210% | 10/16/23 | 11,969 | 12,245 |
| 4 | GM Financial Consumer Automobile 2018-4 | 3.320% | 6/17/24 | 8,450 | 8,903 |
| 4 | GM Financial Consumer Automobile 2019-1 | 3.110% | 7/16/24 | 11,470 | 12,070 |
| 4 | GM Financial Consumer Automobile 2019-2 | 2.650% | 2/16/24 | 27,340 | 27,887 |
| 4 | GM Financial Consumer Automobile 2019-2 | 2.710% | 8/16/24 | 8,260 | 8,650 |
| 4 | GM Financial Consumer Automobile 2019-3 | 2.180% | 4/16/24 | 15,340 | 15,677 |
| 4 | GM Financial Consumer Automobile 2019-4 | 1.750% | 7/16/24 | 26,510 | 27,004 |
| 4 | GM Financial Consumer Automobile 2019-4 | 1.760% | 1/16/25 | 3,710 | 3,826 |
| 4 | GM Financial Consumer Automobile 2020-1 | 1.840% | 9/16/24 | 8,640 | 8,831 |
52
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | GM Financial Consumer Automobile 2020-3 | 0.580% | 1/16/26 | 4,500 | 4,523 |
| 4 | GM Financial Leasing Trust | 0.450% | 8/21/23 | 11,650 | 11,640 |
| 4 | GM Financial Leasing Trust | 0.510% | 10/21/24 | 3,180 | 3,180 |
| 4,6 | GMF Floorplan Owner Revolving Trust | 0.680% | 8/15/25 | 5,520 | 5,521 |
| 4,6 | GMF Floorplan Owner Revolving Trust 2019-1 | 2.700% | 4/15/24 | 13,170 | 13,621 |
| 4,6 | GMF Floorplan Owner Revolving Trust 2019-2 | 2.900% | 4/15/26 | 27,600 | 29,644 |
| 4,6 | Golden Credit Card Trust 2018-4A | 3.440% | 8/15/25 | 25,470 | 27,340 |
| 4,5,6 | Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450% | 0.700% | 8/25/60 | 6,605 | 6,602 |
| 4,6 | GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | 2.830% | 6/17/24 | 3,690 | 3,752 |
| 4,6 | GreatAmerica Leasing Receivables Funding LLC Series 2019-1 | 3.210% | 2/18/25 | 4,110 | 4,316 |
| 4,6 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.760% | 8/15/23 | 14,300 | 14,615 |
| 4,6 | GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.850% | 2/16/26 | 3,100 | 3,212 |
| 4,6 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 233 | 241 |
| 4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 1,055 | 1,109 |
| 4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 30 | 32 |
| 4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 5,884 | 6,394 |
| 4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 210 | 231 |
| 4 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 140 | 151 |
| 4 | GS Mortgage Securities Trust 2014-GC26 | 3.364% | 11/10/47 | 1,680 | 1,800 |
| 4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 3,140 | 3,431 |
| 4 | GS Mortgage Securities Trust 2015-GC28 | 3.136% | 2/10/48 | 90 | 97 |
| 4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 40 | 44 |
| 4 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 5 | 5 |
| 4 | GS Mortgage Securities Trust 2015-GC32 | 3.498% | 7/10/48 | 7,000 | 7,630 |
| 4 | GS Mortgage Securities Trust 2015-GC34 | 3.244% | 10/10/48 | 2,060 | 2,199 |
| 4 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 1,720 | 1,903 |
| 4 | GS Mortgage Securities Trust 2016-GS3 | 2.850% | 10/10/49 | 180 | 195 |
| 4 | GS Mortgage Securities Trust 2017-GS6 | 3.433% | 5/10/50 | 2,490 | 2,811 |
| 4 | GS Mortgage Securities Trust 2018-GS10 | 4.155% | 7/10/51 | 720 | 854 |
| 4 | GS Mortgage Securities Trust 2019-GC38 | 3.968% | 2/10/52 | 2,600 | 3,048 |
| 4 | GS Mortgage Securities Trust 2019-GC40 | 3.160% | 7/10/52 | 1,170 | 1,316 |
| 4 | GS Mortgage Securities Trust 2019-GS4 | 3.001% | 9/1/52 | 2,400 | 2,686 |
| 4 | GS Mortgage Securities Trust 2020-GC45 | 2.911% | 2/13/53 | 26,700 | 29,736 |
| 4 | GS Mortgage Securities Trust-2020-GC45 | 2.843% | 2/13/53 | 5,550 | 6,099 |
| 4 | Harley-Davidson Motorcycle Trust 2019-A | 2.340% | 2/15/24 | 13,310 | 13,550 |
| 4 | Harley-Davidson Motorcycle Trust 2019-A | 2.390% | 11/15/26 | 2,960 | 3,068 |
| 4 | Harley-Davidson Motorcycle Trust 2020-A | 1.870% | 10/15/24 | 6,220 | 6,344 |
| 4 | Harley-Davidson Motorcycle Trust 2020-A | 1.930% | 4/15/27 | 2,000 | 2,066 |
| 4,6 | Hertz Vehicle Financing II LP 2015-3A | 2.670% | 9/25/21 | 1,437 | 1,438 |
| 4,6 | Hertz Vehicle Financing II LP 2016-2A | 2.950% | 3/25/22 | 1,589 | 1,589 |
| 4,6 | Hilton USA Trust 2016-HHV | 3.719% | 11/5/38 | 30 | 32 |
| 4,5,6 | Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360% | 0.635% | 10/15/54 | 4,080 | 4,079 |
| 4,5,6 | Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% | 0.695% | 10/15/54 | 7,777 | 7,778 |
| 4 | Honda Auto Receivables 2017-3 Owner Trust | 1.980% | 11/20/23 | 6,490 | 6,530 |
| 4 | Honda Auto Receivables 2018-3 Owner Trust | 3.070% | 11/21/24 | 5,020 | 5,189 |
| 4 | Honda Auto Receivables 2018-4 Owner Trust | 2.520% | 6/21/23 | 12,490 | 12,799 |
| 4 | Honda Auto Receivables 2018-4 Owner Trust | 2.540% | 3/21/25 | 2,530 | 2,650 |
53
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Honda Auto Receivables 2018-4 Owner Trust | 3.300% | 7/15/25 | 11,220 | 11,730 |
| 4 | Honda Auto Receivables 2019-1 Owner Trust | 2.900% | 6/18/24 | 5,000 | 5,236 |
| 4 | Honda Auto Receivables 2019-3 Owner Trust | 1.780% | 8/15/23 | 33,200 | 33,828 |
| 4 | Honda Auto Receivables 2019-3 Owner Trust | 1.850% | 8/15/25 | 9,700 | 9,999 |
| 4 | Honda Auto Receivables 2020-1 Owner Trust | 1.610% | 4/22/24 | 30,170 | 30,889 |
| 4 | Honda Auto Receivables 2020-1 Owner Trust | 1.630% | 10/21/26 | 5,610 | 5,790 |
| 4 | Honda Auto Receivables 2020-2 Owner Trust | 0.820% | 7/15/24 | 16,600 | 16,753 |
| 4 | Honda Auto Receivables 2020-2 Owner Trust | 1.090% | 10/15/26 | 4,300 | 4,376 |
| 4 | Honda Auto Receivables 2020-3 Owner Trust | 0.460% | 4/19/27 | 5,290 | 5,286 |
| 4,6 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 13,080 | 13,217 |
| 4,6 | HPEFS Equipment Trust 2019-1 | 2.190% | 9/20/29 | 4,856 | 4,886 |
| 4,6 | HPEFS Equipment Trust 2019-1 | 2.210% | 9/20/29 | 1,500 | 1,524 |
| 4,6 | HPEFS Equipment Trust 2020-1A | 1.760% | 2/20/30 | 4,800 | 4,887 |
| 4,6 | Hudson Yards 2019-30HY | 3.228% | 7/10/39 | 910 | 1,021 |
| 4,6 | Hyundai Auto Lease Securitization Trust | 0.510% | 9/15/23 | 14,830 | 14,832 |
| 4,6 | Hyundai Auto Lease Securitization Trust | 0.580% | 6/17/24 | 2,490 | 2,492 |
| 4,6 | Hyundai Auto Lease Securitization Trust 2019-B | 2.040% | 8/15/22 | 37,070 | 37,537 |
| 4,6 | Hyundai Auto Lease Securitization Trust 2020-A | 1.950% | 7/17/23 | 8,260 | 8,430 |
| 4 | Hyundai Auto Receivables Trust 2019-A | 2.710% | 5/15/25 | 6,050 | 6,320 |
| 4 | Hyundai Auto Receivables Trust 2019-B | 1.940% | 2/15/24 | 9,820 | 10,036 |
| 4 | Hyundai Auto Receivables Trust 2019-B | 2.000% | 4/15/25 | 5,740 | 5,957 |
| 4 | Hyundai Auto Receivables Trust 2020-A | 1.410% | 11/15/24 | 14,260 | 14,563 |
| 4 | Hyundai Auto Receivables Trust 2020-A | 1.720% | 6/15/26 | 9,420 | 9,782 |
| 4 | Hyundai Auto Receivables Trust 2020-B | 0.480% | 12/16/24 | 22,790 | 22,817 |
| 4 | Hyundai Auto Receivables Trust 2020-B | 0.620% | 12/15/25 | 5,050 | 5,070 |
| 4,6 | Hyundai Floorplan Master Owner Trust Series 2019-1A | 2.680% | 4/15/24 | 5,210 | 5,387 |
| 4,6 | Irvine Core Office Trust 2013-IRV | 3.279% | 5/15/48 | 2,184 | 2,273 |
| 4 | John Deere Owner Trust 2018-B | 2.910% | 7/17/23 | 27,010 | 27,615 |
| 4 | John Deere Owner Trust 2018-B | 3.230% | 6/16/25 | 4,790 | 4,967 |
| 4 | John Deere Owner Trust 2018-B | 3.000% | 1/15/26 | 4,270 | 4,475 |
| 4 | John Deere Owner Trust 2019-B | 2.210% | 12/15/23 | 9,580 | 9,805 |
| 4 | John Deere Owner Trust 2019-B | 2.320% | 5/15/26 | 5,100 | 5,320 |
| 4 | John Deere Owner Trust 2020-B | 0.510% | 11/15/24 | 9,160 | 9,177 |
| 4 | John Deere Owner Trust 2020-B | 0.720% | 6/15/27 | 2,410 | 2,425 |
| 4,6 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 | 4.717% | 2/15/46 | 1,522 | 1,521 |
| 4,6 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | 5.605% | 8/15/46 | 1,383 | 1,419 |
| 4,6 | JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1 | 4.717% | 3/16/46 | 9,826 | 9,876 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 | 3.507% | 5/15/45 | 326 | 337 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | 2.829% | 10/15/45 | 766 | 787 |
| 4,6 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | 3.424% | 10/15/45 | 1,523 | 1,576 |
| 4,6 | JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC | 3.093% | 7/5/32 | 1,600 | 1,639 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 | 3.994% | 1/15/46 | 2,612 | 2,806 |
54
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 3.674% | 12/15/46 | 309 | 324 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 3.881% | 12/15/46 | 185 | 198 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 4.166% | 12/15/46 | 1,250 | 1,363 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 2,841 | 2,969 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 | 3.461% | 7/15/47 | 80 | 83 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 | 2.870% | 8/15/49 | 1,525 | 1,662 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP5 | 3.723% | 3/15/50 | 5,080 | 5,814 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 | 3.224% | 7/15/50 | 3,830 | 4,273 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 | 3.490% | 7/15/50 | 2,170 | 2,460 |
| 4 | JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 | 3.454% | 9/15/50 | 895 | 1,016 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C12 | 3.363% | 7/15/45 | 1,220 | 1,278 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C12 | 3.664% | 7/15/45 | 3,137 | 3,342 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C12 | 4.175% | 7/15/45 | 1,465 | 1,549 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C14 | 4.133% | 8/15/46 | 490 | 530 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C15 | 3.659% | 11/15/45 | 120 | 125 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2013-C17 | 4.199% | 1/15/47 | 4,238 | 4,637 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C18 | 4.079% | 2/15/47 | 3,930 | 4,303 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C18 | 4.439% | 2/15/47 | 450 | 481 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C19 | 3.997% | 4/15/47 | 165 | 181 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C21 | 3.493% | 8/15/47 | 184 | 195 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C24 | 3.639% | 11/15/47 | 1,144 | 1,253 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C26 | 3.231% | 1/15/48 | 86 | 92 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2014-C26 | 3.494% | 1/15/48 | 165 | 180 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C27 | 3.179% | 2/15/48 | 110 | 119 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C30 | 3.822% | 7/15/48 | 20 | 22 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C31 | 3.801% | 8/15/48 | 250 | 280 |
| 4 | JPMBB Commercial Mortgage Securities Trust 2015-C32 | 3.598% | 11/15/48 | 3,489 | 3,883 |
55
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | JPMDB Commercial Mortgage Securities Trust 2016-C4 | 3.141% | 12/15/49 | 400 | 443 |
| 4 | JPMDB Commercial Mortgage Securities Trust 2017-C7 | 3.409% | 10/15/50 | 360 | 408 |
| 4 | JPMDB Commercial Mortgage Securities Trust 2018-C8 | 4.211% | 6/15/51 | 60 | 71 |
| 4,6 | Kubota Credit Owner Trust 2020-1 | 1.960% | 3/15/24 | 7,570 | 7,803 |
| 4,6 | Kubota Credit Owner Trust 2020-2A | 0.590% | 10/15/24 | 11,050 | 11,067 |
| 4,6 | Kubota Credit Owner Trust 2020-2A | 0.730% | 6/15/26 | 3,000 | 3,012 |
| 4,5 | Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% | 0.676% | 12/22/69 | 5,280 | 5,250 |
| 4,6 | Lanark Master Issuer plc 2020-1A | 2.277% | 12/22/69 | 1,550 | 1,612 |
| 4 | Mercedes-Benz Auto Lease Trust 2019-A | 2.000% | 10/17/22 | 20,760 | 21,080 |
| 4 | Mercedes-Benz Auto Lease Trust 2020-A | 1.840% | 12/15/22 | 10,620 | 10,795 |
| 4 | Mercedes-Benz Auto Lease Trust 2020-A | 1.880% | 9/15/25 | 4,100 | 4,198 |
| 4 | Mercedes-Benz Auto Lease Trust 2020-B | 0.500% | 6/15/26 | 2,720 | 2,719 |
| 4 | Mercedes-Benz Auto Receivables Trust 2018-1 | 3.150% | 10/15/24 | 11,460 | 12,020 |
| 4 | Mercedes-Benz Auto Receivables Trust 2019-1 | 2.040% | 1/15/26 | 11,300 | 11,782 |
| 4 | Mercedes-Benz Auto Receivables Trust 2020-1 | 0.550% | 2/18/25 | 19,060 | 19,129 |
| 4 | Mercedes-Benz Auto Receivables Trust 2020-1 | 0.770% | 10/15/26 | 5,050 | 5,099 |
| 4,6 | Mercedes-Benz Master Owner Trust 2019-B | 2.610% | 5/15/24 | 17,360 | 17,963 |
| 4,6 | MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 246 | 250 |
| 4,6 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 6,130 | 6,301 |
| 4,6 | MMAF Equipment Finance LLC 2017-A | 2.410% | 8/16/24 | 6,180 | 6,285 |
| 4,6 | MMAF Equipment Finance LLC 2017-A | 2.680% | 7/16/27 | 3,090 | 3,236 |
| 4,6 | MMAF Equipment Finance LLC 2018-A | 3.390% | 1/10/25 | 4,730 | 4,937 |
| 4,6 | MMAF Equipment Finance LLC 2018-A | 3.610% | 3/10/42 | 2,580 | 2,796 |
| 4,6 | MMAF Equipment Finance LLC 2019-A | 3.080% | 11/12/41 | 4,430 | 4,783 |
| 4,6 | MMAF Equipment Finance LLC 2020-B | 0.850% | 4/14/42 | 4,800 | 4,793 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | 3.176% | 8/15/45 | 2,605 | 2,687 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 | 3.792% | 8/15/45 | 1,116 | 1,160 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | 2.858% | 11/15/45 | 1,025 | 1,055 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 | 4.218% | 7/15/46 | 5,387 | 5,794 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | 3.960% | 8/15/46 | 1,236 | 1,305 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 | 4.298% | 8/15/46 | 190 | 206 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | 3.824% | 10/15/46 | 235 | 244 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | 4.259% | 10/15/46 | 150 | 163 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | 4.039% | 11/15/46 | 85 | 93 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | 4.064% | 2/15/47 | 400 | 431 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | 4.384% | 2/15/47 | 200 | 216 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | 3.773% | 4/15/47 | 1,887 | 2,048 |
56
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | 4.051% | 4/15/47 | 2,800 | 3,068 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 | 3.892% | 6/15/47 | 1,738 | 1,894 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 | 4.094% | 6/15/47 | 330 | 358 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | 3.741% | 8/15/47 | 370 | 403 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | 3.923% | 10/15/47 | 60 | 66 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 | 3.526% | 12/15/47 | 10 | 11 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 3.249% | 2/15/48 | 60 | 65 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | 3.451% | 7/15/50 | 11,118 | 12,103 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | 3.719% | 7/15/50 | 7,440 | 8,292 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | 3.372% | 10/15/48 | 2,500 | 2,721 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 | 3.635% | 10/15/48 | 4,848 | 5,394 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 | 3.325% | 5/15/49 | 2,055 | 2,270 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 | 3.459% | 12/15/49 | 5,600 | 6,229 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 | 3.720% | 12/15/49 | 3,763 | 4,285 |
| 4 | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | 3.536% | 11/15/52 | 1,250 | 1,414 |
| 4,6 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 2,251 | 2,250 |
| 4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 7,386 | 8,288 |
| 4 | Morgan Stanley Capital I Trust 2016-BNK2 | 3.049% | 11/15/49 | 760 | 835 |
| 4 | Morgan Stanley Capital I Trust 2016-UB11 | 2.782% | 8/15/49 | 487 | 525 |
| 4 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 5,373 | 5,927 |
| 4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.509% | 12/15/50 | 1,260 | 1,401 |
| 4 | Morgan Stanley Capital I Trust 2017-HR2 | 3.587% | 12/15/50 | 4,257 | 4,828 |
| 4 | Morgan Stanley Capital I Trust 2019-L3 | 3.127% | 11/15/52 | 13,640 | 15,307 |
| 4 | Morgan Stanley Capital I Trust 2016-BNK2 | 2.791% | 11/15/49 | 1,590 | 1,708 |
| 4,5,6 | Navient Student Loan Trust 2016-2, 1M USD LIBOR + 1.050% | 1.198% | 6/25/65 | 606 | 606 |
| 4,5,6 | Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850% | 0.998% | 6/25/65 | 167 | 167 |
| 4,5,6 | Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750% | 0.898% | 3/25/66 | 4,230 | 4,233 |
| 4,5,6 | Navient Student Loan Trust 2017-1, 1M USD LIBOR + 0.750% | 0.898% | 7/26/66 | 7,396 | 7,385 |
| 4 | Nissan Auto Lease Trust 2020-A | 1.840% | 1/17/23 | 11,340 | 11,540 |
| 4 | Nissan Auto Lease Trust 2020-B | 0.430% | 10/16/23 | 14,820 | 14,818 |
| 4 | Nissan Auto Lease Trust 2020-B | 0.490% | 1/15/26 | 3,420 | 3,419 |
| 4 | Nissan Auto Receivables 2017-C Owner Trust | 2.280% | 2/15/24 | 22,360 | 22,754 |
| 4 | Nissan Auto Receivables 2019-A Owner Trust | 3.160% | 12/16/24 | 6,700 | 7,016 |
| 4 | Nissan Auto Receivables 2019-A Owner Trust | 3.000% | 9/15/25 | 5,690 | 5,997 |
| 4 | Nissan Auto Receivables 2019-B Owner Trust | 2.500% | 11/15/23 | 12,860 | 13,179 |
57
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Nissan Auto Receivables 2019-B Owner Trust | 2.540% | 12/15/25 | 2,500 | 2,624 |
| 4 | Nissan Auto Receivables 2020-A Owner Trust | 1.380% | 12/16/24 | 20,890 | 21,299 |
| 4 | Nissan Auto Receivables 2020-A Owner Trust | 1.700% | 5/17/27 | 6,910 | 7,200 |
| 4 | Nissan Auto Receivables 2020-B Owner Trust | 0.550% | 7/15/24 | 23,110 | 23,120 |
| 4 | Nissan Auto Receivables 2020-B Owner Trust | 0.710% | 1/15/27 | 3,240 | 3,253 |
| 4,6 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 1,250 | 927 |
| 4,5,6 | Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880% | 1.032% | 1/16/60 | 462 | 460 |
| 4,5,6 | Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000% | 1.156% | 6/20/60 | 6,426 | 6,382 |
| 4,5,6 | Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950% | 1.100% | 8/18/60 | 3,794 | 3,781 |
| 4,5,6 | Permanent Master Issuer Plc 2018-1A, 3M USD LIBOR + 0.380% | 0.655% | 7/15/58 | 2,265 | 2,267 |
| 4,6 | PFS Financing Corp. 2017-D | 2.400% | 10/17/22 | 880 | 881 |
| 4,6 | PFS Financing Corp. 2020-A | 1.270% | 6/15/25 | 6,100 | 6,147 |
| 4,6 | PFS Financing Corp. 2020-B | 1.210% | 6/15/24 | 3,700 | 3,738 |
| 4,6 | PFS Financing Corp. 2020-E | 1.000% | 10/15/25 | 1,760 | 1,766 |
| 4,6 | PFS Financing Corp. 2020-F | 0.930% | 8/15/24 | 1,350 | 1,354 |
| 4,5,6 | PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950% | 1.098% | 11/25/65 | 3,867 | 3,859 |
| 4,6 | Progress Residential 2018-SFR1 Trust | 2.768% | 8/17/34 | 179 | 182 |
| 4,6 | Progress Residential 2020-SFR2 Trust | 2.078% | 6/17/37 | 780 | 796 |
| 4,6 | Progress Residential 2020-SFR3 Trust | 1.294% | 10/17/27 | 1,700 | 1,700 |
| 4 | Public Service New Hampshire Funding LLC 2018-1 | 3.094% | 2/1/26 | 3,017 | 3,130 |
| 4,5,6 | RESIMAC Premier Series 2017-1A, 1M USD LIBOR + 0.950% | 1.101% | 9/11/48 | 506 | 506 |
| 4,5,6 | RESIMAC Premier Series 2018-1A, 1M USD LIBOR + 0.800% | 0.956% | 11/10/49 | 477 | 475 |
| 4,5,6 | RESIMAC Premier Series 2018-1NCA, 1M USD LIBOR + 0.850% | 1.004% | 12/5/59 | 564 | 564 |
| 4,5,6 | RESIMAC Premier Series 2018-2, 1M USD LIBOR + 0.850% | 1.006% | 4/10/50 | 2,659 | 2,647 |
| §,4,6 | RESIMAC Premier Series 2020-1 | 1.274% | 2/7/52 | 2,500 | 2,500 |
| 4 | Santander Drive Auto Receivables Trust 2020-2 | 0.670% | 4/15/24 | 3,890 | 3,902 |
| 4 | Santander Drive Auto Receivables Trust 2020-3 | 0.520% | 7/15/24 | 13,870 | 13,881 |
| 4,6 | Santander Retail Auto Lease Trust 2019-A | 2.770% | 6/20/22 | 15,850 | 16,167 |
| 4,6 | Santander Retail Auto Lease Trust 2020-A | 1.690% | 1/20/23 | 10,275 | 10,395 |
| 4,6 | Santander Retail Auto Lease Trust 2020-A | 1.740% | 7/20/23 | 13,620 | 13,931 |
| 4,6 | Santander Retail Auto Lease Trust 2020-A | 1.760% | 3/20/24 | 3,980 | 4,090 |
| 4,6 | Securitized Term Auto Receivables Trust 2018-1A | 3.298% | 11/25/22 | 3,100 | 3,173 |
| 4,6 | Securitized Term Auto Receivables Trust 2018-2A | 3.544% | 6/26/23 | 5,000 | 5,140 |
| 4 | SMART ABS Series 2016-2US Trust | 2.050% | 12/14/22 | 546 | 546 |
| 4,6 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 190 | 195 |
| 4,5,6 | SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.450% | 1.602% | 2/17/32 | 143 | 144 |
| 4,5,6 | SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100% | 1.252% | 9/15/34 | 231 | 230 |
58
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4,5,6 | SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900% | 1.052% | 9/15/34 | 293 | 292 |
| 4,6 | SMB Private Education Loan Trust 2017-B | 2.820% | 10/15/35 | 375 | 387 |
| 4,6 | SMB Private Education Loan Trust 2018-A | 3.500% | 2/15/36 | 1,784 | 1,875 |
| 4,6 | SMB Private Education Loan Trust 2018-B | 3.600% | 1/15/37 | 730 | 766 |
| 4,6 | SMB Private Education Loan Trust 2018-C | 3.630% | 11/15/35 | 1,268 | 1,331 |
| 4,6 | SoFi Professional Loan Program 2017-A LLC | 2.400% | 3/26/40 | 46 | 47 |
| 4,6 | SoFi Professional Loan Program 2017-B LLC | 2.740% | 5/25/40 | 231 | 235 |
| 4,6 | SoFi Professional Loan Program 2017-D LLC | 2.650% | 9/25/40 | 214 | 220 |
| 4,6 | SoFi Professional Loan Program 2017-E LLC | 2.720% | 11/26/40 | 221 | 226 |
| 4,6 | SoFi Professional Loan Program 2017-F LLC | 2.840% | 1/25/41 | 319 | 328 |
| 4,6 | SoFi Professional Loan Program 2018-A LLC | 2.390% | 2/25/42 | 1 | 1 |
| 4,6 | SoFi Professional Loan Program 2018-A LLC | 2.950% | 2/25/42 | 130 | 134 |
| 4,6 | SoFi Professional Loan Program 2018-B LLC | 3.340% | 8/25/47 | 1,070 | 1,102 |
| 4,6 | SoFi Professional Loan Program 2018-C LLC | 3.590% | 1/25/48 | 1,450 | 1,517 |
| 4,6 | SoFi Professional Loan Program 2018-D LLC | 3.120% | 2/25/48 | 37 | 37 |
| 4,6 | SoFi Professional Loan Program 2018-D LLC | 3.600% | 2/25/48 | 1,100 | 1,148 |
| 4 | Synchrony Card Issuance Trust 2018-A1 | 3.380% | 9/15/24 | 3,190 | 3,281 |
| 4 | Synchrony Card Issuance Trust 2019-2A | 2.340% | 6/15/25 | 14,980 | 15,458 |
| 4 | Synchrony Credit Card Master Note Trust 2016-2 | 2.210% | 5/15/24 | 6,820 | 6,899 |
| 4 | Synchrony Credit Card Master Note Trust 2017-2 | 2.620% | 10/15/25 | 11,790 | 12,298 |
| 4,6 | Tesla Auto Lease Trust 2020-A | 0.680% | 12/20/23 | 4,140 | 4,161 |
| 4,6 | Tesla Auto Lease Trust 2020-A | 0.780% | 12/20/23 | 750 | 755 |
| 4,6 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 100 | 106 |
| 4,6 | Toyota Auto Loan Extended Note Trust 2019-1 | 2.560% | 11/25/31 | 550 | 587 |
| 4,6 | Toyota Auto Loan Extended Note Trust 2020-1 | 1.350% | 5/25/33 | 8,600 | 8,826 |
| 4 | Toyota Auto Receivables 2018-B Owner Trust | 3.110% | 11/15/23 | 10,350 | 10,802 |
| 4 | Toyota Auto Receivables 2018-C Owner Trust | 3.130% | 2/15/24 | 14,720 | 15,424 |
| 4 | Toyota Auto Receivables 2019-A Owner Trust | 2.910% | 7/17/23 | 44,780 | 45,800 |
| 4 | Toyota Auto Receivables 2019-A Owner Trust | 3.000% | 5/15/24 | 3,800 | 4,021 |
| 4 | Toyota Auto Receivables 2019-C Owner Trust | 1.910% | 9/15/23 | 34,940 | 35,595 |
| 4 | Toyota Auto Receivables 2019-D Owner Trust | 1.990% | 2/18/25 | 6,850 | 7,134 |
| 4 | Toyota Auto Receivables 2020-A Owner Trust | 1.680% | 5/15/25 | 6,600 | 6,815 |
| 4 | Toyota Auto Receivables 2020-B Owner Trust | 1.360% | 8/15/24 | 11,210 | 11,422 |
| 4 | Toyota Auto Receivables 2020-B Owner Trust | 1.660% | 9/15/25 | 4,570 | 4,730 |
| 4 | Toyota Auto Receivables 2020-C Owner Trust | 0.570% | 10/15/25 | 4,700 | 4,711 |
| 4,6 | Trafigura Securitisation Finance plc 2018-1A | 3.730% | 3/15/22 | 3,800 | 3,841 |
| 4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 273 | 283 |
| 4 | UBS Commercial Mortgage Trust 2017-C7 | 3.679% | 12/15/50 | 2,795 | 3,229 |
| 4 | UBS Commercial Mortgage Trust 2019-C16 | 3.460% | 4/15/52 | 483 | 540 |
| 4,6 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 4,409 | 4,574 |
| 4 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 1,499 | 1,555 |
| 4 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.244% | 4/10/46 | 220 | 230 |
| 4 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.469% | 4/10/46 | 150 | 155 |
| 4 | Verizon Owner Trust 2018-A | 3.230% | 4/20/23 | 20,830 | 21,156 |
| 4 | Verizon Owner Trust 2019-A | 2.930% | 9/20/23 | 14,630 | 15,014 |
| 4 | Verizon Owner Trust 2019-A | 1.940% | 4/22/24 | 28,360 | 29,041 |
| 4 | Verizon Owner Trust 2020-A | 1.850% | 7/22/24 | 10,310 | 10,573 |
| 4 | Verizon Owner Trust 2020-B | 0.470% | 2/20/25 | 36,710 | 36,730 |
59
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4,6 | VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 2,836 | 2,909 |
| 4 | Volkswagen Auto Loan Enhanced Trust 2018-1 | 3.020% | 11/21/22 | 10,882 | 11,040 |
| 4 | Volkswagen Auto Loan Enhanced Trust 2018-1 | 3.150% | 7/22/24 | 5,610 | 5,790 |
| 4 | Volkswagen Auto Loan Enhanced Trust 2018-2 | 3.250% | 4/20/23 | 27,257 | 27,816 |
| 4 | Volkswagen Auto Loan Enhanced Trust 2018-2 | 3.330% | 2/20/25 | 8,820 | 9,218 |
| 4 | Volkswagen Auto Loan Enhanced Trust 2020-1 | 0.980% | 11/20/24 | 23,190 | 23,479 |
| 4 | Volkswagen Auto Loan Enhanced Trust 2020-1 | 1.260% | 8/20/26 | 3,400 | 3,480 |
| 4,6 | Volvo Financial Equipment LLC | 0.510% | 10/15/24 | 12,100 | 12,098 |
| 4,6 | Volvo Financial Equipment LLC | 0.600% | 3/15/28 | 2,300 | 2,298 |
| 4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 852 | 883 |
| 4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 626 | 645 |
| 4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 301 | 315 |
| 4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 315 | 339 |
| 4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 10 | 11 |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 102 | 110 |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 3,199 | 3,553 |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/58 | 2,380 | 2,653 |
| 4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 7,485 | 8,402 |
| 4 | Wells Fargo Commercial Mortgage Trust 2016-BNK1 | 2.652% | 8/15/49 | 300 | 322 |
| 4 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 2,139 | 2,371 |
| 4 | Wells Fargo Commercial Mortgage Trust 2016-C37 | 3.525% | 12/15/49 | 1,810 | 2,012 |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C38 | 3.453% | 7/15/50 | 1,285 | 1,452 |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C39 | 3.157% | 9/15/50 | 30 | 33 |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C40 | 3.581% | 10/15/50 | 3,040 | 3,448 |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C41 | 3.472% | 11/15/50 | 3,160 | 3,565 |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-C42 | 3.589% | 12/15/50 | 4,890 | 5,582 |
| 4 | Wells Fargo Commercial Mortgage Trust 2017-RC1 | 3.631% | 1/15/60 | 396 | 448 |
| 4 | Wells Fargo Commercial Mortgage Trust 2018-C46 | 4.152% | 8/15/51 | 1,095 | 1,287 |
| 4 | Wells Fargo Commercial Mortgage Trust 2018-C48 | 4.245% | 1/15/52 | 980 | 1,146 |
| 4 | Wells Fargo Commercial Mortgage Trust 2019-C49 | 3.933% | 3/15/52 | 310 | 357 |
| 4 | Wells Fargo Commercial Mortgage Trust 2019-C50 | 3.635% | 5/15/52 | 440 | 503 |
60
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Wells Fargo Commercial Mortgage Trust 2019-C54 | 3.146% | 12/15/52 | 1,280 | 1,446 |
| 4 | Wells Fargo Commercial Mortgage Trust 2018-C47 | 4.442% | 9/15/61 | 870 | 1,044 |
| 4,6 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 1,259 | 1,273 |
| 4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 1,199 | 1,235 |
| 4 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 683 | 685 |
| 4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 233 | 241 |
| 4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 2,374 | 2,451 |
| 4 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 633 | 654 |
| 4 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 279 | 291 |
| 4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 255 | 277 |
| 4 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 117 | 122 |
| 4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 441 | 461 |
| 4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 1,665 | 1,821 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C19 | 3.829% | 3/15/47 | 1,640 | 1,768 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 1,215 | 1,332 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.410% | 8/15/47 | 20 | 21 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 80 | 88 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.650% | 10/15/57 | 5,231 | 5,698 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 925 | 1,023 |
| 4 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 2,190 | 2,389 |
| 4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.766% | 3/15/47 | 2,570 | 2,757 |
| 4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 2,597 | 2,840 |
| §,4,6 | Wheels SPV 2 LLC 2020-1A | 0.510% | 8/20/29 | 5,200 | 5,199 |
| §,4,6 | Wheels SPV 2 LLC 2020-1A | 0.620% | 8/20/29 | 1,700 | 1,700 |
| 4 | World Omni Auto Receivables Trust 2018-A | 2.730% | 2/15/24 | 10,860 | 11,238 |
| 4 | World Omni Auto Receivables Trust 2018-D | 3.330% | 4/15/24 | 24,700 | 25,312 |
| 4 | World Omni Auto Receivables Trust 2018-D | 3.440% | 12/16/24 | 3,070 | 3,252 |
| 4 | World Omni Auto Receivables Trust 2019-A | 3.220% | 6/16/25 | 5,230 | 5,556 |
| 4 | World Omni Auto Receivables Trust 2020-B | 0.630% | 5/15/25 | 25,510 | 25,627 |
| 4 | World Omni Auto Receivables Trust 2020-B | 0.820% | 1/15/26 | 7,580 | 7,670 |
| 4 | World Omni Auto Receivables Trust 2020-C | 0.610% | 10/15/26 | 5,400 | 5,430 |
| 4 | World Omni Automobile Lease Securitization Trust 2019-B | 2.030% | 11/15/22 | 27,800 | 28,374 |
| 4 | World Omni Automobile Lease Securitization Trust 2020-A | 1.790% | 6/16/25 | 9,400 | 9,635 |
| Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,675,668) | 3,792,095 | ||||
| Corporate Bonds (30.3%) | |||||
| Finance (16.7%) | |||||
| Banking (13.9%) | |||||
| American Express Co. | 3.700% | 8/3/23 | 35,905 | 38,898 | |
| American Express Co. | 3.400% | 2/22/24 | 11,135 | 12,090 | |
| American Express Co. | 3.000% | 10/30/24 | 18,265 | 19,773 | |
| 6 | Australia & New Zealand Banking Group Ltd. | 4.875% | 1/12/21 | 500 | 506 |
| Banco Santander SA | 4.379% | 4/12/28 | 2,585 | 2,927 | |
| Banco Santander SA | 3.306% | 6/27/29 | 7,600 | 8,226 | |
| 4 | Bank of America Corp. | 2.328% | 10/1/21 | 9,260 | 9,260 |
| Bank of America Corp. | 3.300% | 1/11/23 | 14,870 | 15,779 | |
| 4 | Bank of America Corp. | 2.816% | 7/21/23 | 44,800 | 46,532 |
| 4 | Bank of America Corp. | 3.004% | 12/20/23 | 27,480 | 28,857 |
61
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Bank of America Corp. | 4.125% | 1/22/24 | 10,000 | 11,035 | |
| 4 | Bank of America Corp. | 3.550% | 3/5/24 | 107,080 | 113,751 |
| 4 | Bank of America Corp. | 3.864% | 7/23/24 | 33,950 | 36,657 |
| 4 | Bank of America Corp. | 3.458% | 3/15/25 | 22,500 | 24,279 |
| Bank of America Corp. | 3.875% | 8/1/25 | 4,582 | 5,200 | |
| 4 | Bank of America Corp. | 0.981% | 9/25/25 | 13,670 | 13,666 |
| 4 | Bank of America Corp. | 3.366% | 1/23/26 | 44,735 | 48,754 |
| 4 | Bank of America Corp. | 2.015% | 2/13/26 | 10,000 | 10,376 |
| Bank of America Corp. | 3.500% | 4/19/26 | 3,998 | 4,478 | |
| 4 | Bank of America Corp. | 1.319% | 6/19/26 | 10,890 | 10,959 |
| 4 | Bank of America Corp. | 3.559% | 4/23/27 | 2,777 | 3,101 |
| Bank of America Corp. | 3.248% | 10/21/27 | 4,500 | 4,975 | |
| 4 | Bank of America Corp. | 3.824% | 1/20/28 | 37,156 | 42,118 |
| 4 | Bank of America Corp. | 3.705% | 4/24/28 | 5,800 | 6,546 |
| 4 | Bank of America Corp. | 3.419% | 12/20/28 | 54,922 | 61,135 |
| 4 | Bank of America Corp. | 3.970% | 3/5/29 | 3,000 | 3,441 |
| 4 | Bank of America Corp. | 3.974% | 2/7/30 | 1,960 | 2,269 |
| 4 | Bank of America Corp. | 3.194% | 7/23/30 | 23,795 | 26,295 |
| 4 | Bank of America Corp. | 2.884% | 10/22/30 | 37,816 | 40,658 |
| 4 | Bank of America Corp. | 2.496% | 2/13/31 | 75 | 78 |
| 4 | Bank of America Corp. | 2.592% | 4/29/31 | 7,500 | 7,926 |
| 4 | Bank of America Corp. | 1.898% | 7/23/31 | 26,656 | 26,647 |
| Bank of Montreal | 3.300% | 2/5/24 | 33,960 | 36,719 | |
| Bank of New York Mellon Corp. | 2.950% | 1/29/23 | 22,000 | 23,170 | |
| Bank of New York Mellon Corp. | 3.450% | 8/11/23 | 16,780 | 18,221 | |
| Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 1,100 | 1,205 | |
| Bank of New York Mellon Corp. | 2.100% | 10/24/24 | 3,500 | 3,706 | |
| Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 700 | 770 | |
| Bank of New York Mellon Corp. | 1.600% | 4/24/25 | 14,000 | 14,525 | |
| Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 2,825 | 3,086 | |
| Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 10,000 | 11,358 | |
| 4 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 7,827 | 8,975 |
| Bank of Nova Scotia | 1.950% | 2/1/23 | 16,365 | 16,884 | |
| Bank of Nova Scotia | 2.200% | 2/3/25 | 9,530 | 10,061 | |
| Bank of Nova Scotia | 1.300% | 6/11/25 | 17,120 | 17,380 | |
| Bank of Nova Scotia | 2.700% | 8/3/26 | 7,520 | 8,230 | |
| 6 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 13,875 | 14,031 |
| 6 | Banque Federative du Credit Mutuel SA | 2.700% | 7/20/22 | 37,330 | 38,724 |
| 6 | Banque Federative du Credit Mutuel SA | 3.750% | 7/20/23 | 39,510 | 42,716 |
| 6 | Banque Federative du Credit Mutuel SA | 2.375% | 11/21/24 | 11,000 | 11,620 |
| BNP Paribas SA | 5.000% | 1/15/21 | 5,000 | 5,063 | |
| BNP Paribas SA | 3.250% | 3/3/23 | 6,235 | 6,640 | |
| 4,6 | BNP Paribas SA | 2.219% | 6/9/26 | 7,620 | 7,843 |
| 6 | BPCE SA | 2.375% | 1/14/25 | 3,500 | 3,637 |
| 4 | Canadian Imperial Bank of Commerce | 2.606% | 7/22/23 | 8,335 | 8,629 |
| Canadian Imperial Bank of Commerce | 3.500% | 9/13/23 | 19,475 | 21,154 | |
| Canadian Imperial Bank of Commerce | 3.100% | 4/2/24 | 3,800 | 4,098 | |
| 4 | Citigroup Inc. | 2.312% | 11/4/22 | 10,000 | 10,187 |
| 4 | Citigroup Inc. | 2.876% | 7/24/23 | 20,000 | 20,773 |
| 4 | Citigroup Inc. | 1.678% | 5/15/24 | 38,445 | 39,342 |
| 4 | Citigroup Inc. | 3.106% | 4/8/26 | 10,000 | 10,764 |
| Citigroup Inc. | 3.200% | 10/21/26 | 3,310 | 3,648 | |
| 4 | Citigroup Inc. | 2.666% | 1/29/31 | 8,380 | 8,835 |
| 4 | Citigroup Inc. | 4.412% | 3/31/31 | 11,593 | 13,898 |
62
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Citigroup Inc. | 2.572% | 6/3/31 | 5,000 | 5,242 |
| 6 | Commonwealth Bank of Australia | 3.450% | 3/16/23 | 1,580 | 1,692 |
| 6 | Commonwealth Bank of Australia | 3.350% | 6/4/24 | 39,350 | 43,034 |
| 6 | Commonwealth Bank of Australia | 3.150% | 9/19/27 | 12,000 | 13,440 |
| Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 55,410 | 58,239 | |
| 6 | Cooperatieve Rabobank UA | 3.875% | 9/26/23 | 10,635 | 11,623 |
| 6 | Cooperatieve Rabobank UA | 2.625% | 7/22/24 | 5,990 | 6,379 |
| 4,6 | Cooperatieve Rabobank UA | 1.339% | 6/24/26 | 15,000 | 15,152 |
| Credit Suisse AG | 2.800% | 4/8/22 | 2,740 | 2,836 | |
| Credit Suisse AG | 1.000% | 5/5/23 | 14,470 | 14,597 | |
| Credit Suisse AG | 3.625% | 9/9/24 | 8,000 | 8,846 | |
| Credit Suisse AG | 2.950% | 4/9/25 | 23,500 | 25,642 | |
| 6 | DNB Bank ASA | 1.127% | 9/16/26 | 9,120 | 9,084 |
| Fifth Third Bank | 2.250% | 6/14/21 | 4,133 | 4,180 | |
| Fifth Third Bank | 2.250% | 2/1/27 | 10,000 | 10,696 | |
| First Republic Bank | 2.500% | 6/6/22 | 17,170 | 17,699 | |
| 4 | First Republic Bank | 1.912% | 2/12/24 | 13,330 | 13,675 |
| Goldman Sachs Group Inc. | 2.600% | 12/27/20 | 17,975 | 18,065 | |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 8,200 | 8,756 | |
| 4 | Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 6,270 | 6,418 |
| Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 295 | 315 | |
| 4 | Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 10,600 | 10,968 |
| 4 | Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 4,750 | 4,922 |
| Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 2,100 | 2,304 | |
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 5,675 | 6,212 | |
| Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 8,560 | 9,515 | |
| 4 | HSBC Holdings plc | 3.262% | 3/13/23 | 25,740 | 26,614 |
| HSBC Holdings plc | 3.600% | 5/25/23 | 4,085 | 4,359 | |
| 4 | HSBC Holdings plc | 3.033% | 11/22/23 | 13,015 | 13,584 |
| 4 | HSBC Holdings plc | 3.950% | 5/18/24 | 13,280 | 14,213 |
| 4 | HSBC Holdings plc | 3.803% | 3/11/25 | 1,605 | 1,728 |
| 4 | HSBC Holdings plc | 2.633% | 11/7/25 | 10,180 | 10,530 |
| 4 | HSBC Holdings plc | 1.645% | 4/18/26 | 7,150 | 7,105 |
| HSBC Holdings plc | 3.900% | 5/25/26 | 3,650 | 4,033 | |
| 4 | HSBC Holdings plc | 2.099% | 6/4/26 | 17,000 | 17,212 |
| 4 | HSBC Holdings plc | 4.292% | 9/12/26 | 10,050 | 11,184 |
| 4 | HSBC Holdings plc | 4.041% | 3/13/28 | 28,181 | 31,088 |
| 4 | HSBC Holdings plc | 2.013% | 9/22/28 | 25,000 | 24,579 |
| 4 | HSBC Holdings plc | 4.583% | 6/19/29 | 18,855 | 21,663 |
| HSBC Holdings plc | 4.950% | 3/31/30 | 10,000 | 12,017 | |
| 4 | HSBC Holdings plc | 2.357% | 8/18/31 | 7,440 | 7,347 |
| Huntington National Bank | 3.250% | 5/14/21 | 1,100 | 1,117 | |
| Huntington National Bank | 2.500% | 8/7/22 | 4,685 | 4,866 | |
| Huntington National Bank | 3.550% | 10/6/23 | 28,270 | 30,719 | |
| ING Groep NV | 4.100% | 10/2/23 | 7,850 | 8,617 | |
| JPMorgan Chase & Co. | 3.250% | 9/23/22 | 11,890 | 12,572 | |
| JPMorgan Chase & Co. | 2.972% | 1/15/23 | 27,933 | 28,834 | |
| JPMorgan Chase & Co. | 3.200% | 1/25/23 | 1,955 | 2,077 | |
| 4 | JPMorgan Chase & Co. | 3.207% | 4/1/23 | 15,000 | 15,586 |
| 4 | JPMorgan Chase & Co. | 2.776% | 4/25/23 | 8,975 | 9,288 |
| JPMorgan Chase & Co. | 2.700% | 5/18/23 | 6,106 | 6,432 | |
| JPMorgan Chase & Co. | 3.875% | 2/1/24 | 4,000 | 4,413 | |
| 4 | JPMorgan Chase & Co. | 3.559% | 4/23/24 | 60,810 | 64,966 |
| JPMorgan Chase & Co. | 3.625% | 5/13/24 | 6,500 | 7,156 |
63
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | JPMorgan Chase & Co. | 1.514% | 6/1/24 | 30,000 | 30,640 |
| 4 | JPMorgan Chase & Co. | 4.023% | 12/5/24 | 10,000 | 10,999 |
| JPMorgan Chase & Co. | 3.125% | 1/23/25 | 14,156 | 15,435 | |
| 4 | JPMorgan Chase & Co. | 3.220% | 3/1/25 | 54,505 | 58,435 |
| JPMorgan Chase & Co. | 3.900% | 7/15/25 | 14,605 | 16,466 | |
| 4 | JPMorgan Chase & Co. | 2.301% | 10/15/25 | 13,250 | 13,888 |
| 4 | JPMorgan Chase & Co. | 2.005% | 3/13/26 | 4,650 | 4,817 |
| JPMorgan Chase & Co. | 3.300% | 4/1/26 | 930 | 1,032 | |
| 4 | JPMorgan Chase & Co. | 2.083% | 4/22/26 | 25,500 | 26,643 |
| JPMorgan Chase & Co. | 3.200% | 6/15/26 | 11,430 | 12,668 | |
| JPMorgan Chase & Co. | 4.125% | 12/15/26 | 8,190 | 9,530 | |
| 4 | JPMorgan Chase & Co. | 3.782% | 2/1/28 | 3,595 | 4,055 |
| 4 | JPMorgan Chase & Co. | 3.540% | 5/1/28 | 26,840 | 30,051 |
| 4 | JPMorgan Chase & Co. | 3.509% | 1/23/29 | 8,575 | 9,640 |
| 4 | JPMorgan Chase & Co. | 4.005% | 4/23/29 | 16,335 | 18,921 |
| 4 | JPMorgan Chase & Co. | 4.452% | 12/5/29 | 37,465 | 45,037 |
| 4 | JPMorgan Chase & Co. | 3.702% | 5/6/30 | 4,600 | 5,276 |
| 4 | JPMorgan Chase & Co. | 2.739% | 10/15/30 | 20,000 | 21,539 |
| 4 | JPMorgan Chase & Co. | 4.493% | 3/24/31 | 12,900 | 15,717 |
| 4 | JPMorgan Chase & Co. | 2.522% | 4/22/31 | 15,000 | 15,970 |
| KeyBank NA | 2.500% | 11/22/21 | 1,860 | 1,904 | |
| Lloyds Banking Group plc | 3.900% | 3/12/24 | 5,000 | 5,424 | |
| Manufacturers & Traders Trust Co. | 2.500% | 5/18/22 | 3,890 | 4,021 | |
| Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 3,700 | 4,046 | |
| Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 812 | 826 | |
| Mitsubishi UFJ Financial Group Inc. | 3.218% | 3/7/22 | 10,000 | 10,374 | |
| Mitsubishi UFJ Financial Group Inc. | 2.623% | 7/18/22 | 19,630 | 20,342 | |
| Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 11,599 | 12,032 | |
| Mitsubishi UFJ Financial Group Inc. | 3.761% | 7/26/23 | 18,655 | 20,188 | |
| Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 1,025 | 1,076 | |
| Mitsubishi UFJ Financial Group Inc. | 3.407% | 3/7/24 | 4,500 | 4,888 | |
| Mitsubishi UFJ Financial Group Inc. | 2.801% | 7/18/24 | 12,200 | 13,003 | |
| 4 | Mitsubishi UFJ Financial Group Inc. | 0.848% | 9/15/24 | 28,110 | 28,085 |
| Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | 10,250 | 10,745 | |
| Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 35,530 | 39,582 | |
| Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | 11,555 | 11,735 | |
| Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 427 | 486 | |
| Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 1,807 | 1,957 | |
| Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 1,163 | 1,310 | |
| Mitsubishi UFJ Financial Group Inc. | 3.741% | 3/7/29 | 6,550 | 7,437 | |
| Mitsubishi UFJ Financial Group Inc. | 3.195% | 7/18/29 | 8,000 | 8,790 | |
| Mitsubishi UFJ Financial Group Inc. | 2.048% | 7/17/30 | 22,800 | 22,946 | |
| 6 | Mizuho Bank Ltd. | 3.750% | 4/16/24 | 3,860 | 4,226 |
| 6 | Mizuho Bank Ltd. | 3.600% | 9/25/24 | 6,300 | 6,936 |
| 6 | Mizuho Financial Group Inc. | 2.632% | 4/12/21 | 3,000 | 3,038 |
| 4 | Mizuho Financial Group Inc. | 1.241% | 7/10/24 | 17,100 | 17,251 |
| 4 | Mizuho Financial Group Inc. | 2.555% | 9/13/25 | 5,000 | 5,241 |
| 6 | Mizuho Financial Group Inc. | 3.477% | 4/12/26 | 4,989 | 5,547 |
| Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 1,250 | 1,450 | |
| 4 | Mizuho Financial Group Inc. | 3.153% | 7/16/30 | 5,400 | 5,876 |
| 4 | Mizuho Financial Group Inc. | 2.869% | 9/13/30 | 4,000 | 4,338 |
| 4 | Mizuho Financial Group Inc. | 2.201% | 7/10/31 | 5,000 | 5,091 |
| Morgan Stanley | 5.750% | 1/25/21 | 2,250 | 2,287 | |
| Morgan Stanley | 2.750% | 5/19/22 | 2,825 | 2,927 |
64
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Morgan Stanley | 3.125% | 1/23/23 | 625 | 661 | |
| Morgan Stanley | 3.750% | 2/25/23 | 11,935 | 12,813 | |
| Morgan Stanley | 3.875% | 4/29/24 | 17,649 | 19,418 | |
| Morgan Stanley | 3.700% | 10/23/24 | 10,687 | 11,849 | |
| 4 | Morgan Stanley | 2.720% | 7/22/25 | 8,670 | 9,223 |
| Morgan Stanley | 4.000% | 7/23/25 | 6,355 | 7,166 | |
| Morgan Stanley | 3.875% | 1/27/26 | 8,295 | 9,454 | |
| 4 | Morgan Stanley | 2.188% | 4/28/26 | 32,000 | 33,514 |
| Morgan Stanley | 3.125% | 7/27/26 | 6,760 | 7,462 | |
| Morgan Stanley | 3.625% | 1/20/27 | 3,625 | 4,099 | |
| 4 | Morgan Stanley | 4.431% | 1/23/30 | 15,000 | 17,937 |
| 4 | Morgan Stanley | 3.622% | 4/1/31 | 10,000 | 11,425 |
| MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 7,000 | 7,330 | |
| MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 1,600 | 1,732 | |
| 6 | MUFG Bank Ltd. | 2.850% | 9/8/21 | 3,010 | 3,078 |
| MUFG Union Bank NA | 2.100% | 12/9/22 | 8,000 | 8,259 | |
| 6 | Nationwide Building Society | 1.000% | 8/28/25 | 10,580 | 10,460 |
| 6 | Nordea Bank Abp | 1.000% | 6/9/23 | 8,680 | 8,780 |
| 6 | Nordea Bank Abp | 0.750% | 8/28/25 | 15,870 | 15,765 |
| PNC Bank NA | 2.150% | 4/29/21 | 2,294 | 2,316 | |
| PNC Bank NA | 2.625% | 2/17/22 | 3,980 | 4,086 | |
| PNC Bank NA | 2.700% | 11/1/22 | 3,400 | 3,548 | |
| PNC Bank NA | 2.950% | 2/23/25 | 12,514 | 13,671 | |
| PNC Bank NA | 3.250% | 6/1/25 | 27 | 30 | |
| PNC Bank NA | 3.100% | 10/25/27 | 21,067 | 23,426 | |
| PNC Bank NA | 3.250% | 1/22/28 | 6,245 | 7,000 | |
| PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 1,335 | 1,400 | |
| PNC Financial Services Group Inc. | 3.500% | 1/23/24 | 7,930 | 8,631 | |
| PNC Financial Services Group Inc. | 2.600% | 7/23/26 | 3,820 | 4,171 | |
| PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 4,000 | 4,445 | |
| PNC Financial Services Group Inc. | 3.450% | 4/23/29 | 11,370 | 13,067 | |
| PNC Financial Services Group Inc. | 2.550% | 1/22/30 | 5,000 | 5,430 | |
| Royal Bank of Canada | 2.800% | 4/29/22 | 13,065 | 13,561 | |
| Royal Bank of Canada | 1.600% | 4/17/23 | 12,000 | 12,315 | |
| Royal Bank of Canada | 3.700% | 10/5/23 | 9,880 | 10,787 | |
| Royal Bank of Canada | 2.550% | 7/16/24 | 14,025 | 15,000 | |
| Royal Bank of Canada | 2.250% | 11/1/24 | 28,806 | 30,530 | |
| Royal Bank of Canada | 1.150% | 6/10/25 | 19,250 | 19,516 | |
| Santander UK plc | 3.400% | 6/1/21 | 53,095 | 53,825 | |
| Santander UK plc | 2.875% | 6/18/24 | 3,100 | 3,309 | |
| 6 | Skandinaviska Enskilda Banken AB | 0.850% | 9/2/25 | 30,830 | 30,823 |
| State Street Corp. | 4.375% | 3/7/21 | 6,800 | 6,925 | |
| State Street Corp. | 3.550% | 8/18/25 | 2,630 | 2,978 | |
| 4 | State Street Corp. | 2.354% | 11/1/25 | 2,400 | 2,534 |
| 4,6 | State Street Corp. | 2.901% | 3/30/26 | 2,280 | 2,471 |
| State Street Corp. | 2.400% | 1/24/30 | 13,000 | 14,162 | |
| 4,6 | State Street Corp. | 3.152% | 3/30/31 | 2,750 | 3,128 |
| Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 3,470 | 3,543 | |
| Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 9,575 | 9,934 | |
| Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 16,022 | 16,714 | |
| Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 6,970 | 7,355 | |
| Sumitomo Mitsui Financial Group Inc. | 3.748% | 7/19/23 | 11,590 | 12,550 | |
| Sumitomo Mitsui Financial Group Inc. | 3.936% | 10/16/23 | 7,750 | 8,467 | |
| Sumitomo Mitsui Financial Group Inc. | 2.696% | 7/16/24 | 42,620 | 45,306 |
65
Institutional Intermediate-Term Bond Fund
66
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 4 | Wells Fargo & Co. | 1.654% | 6/2/24 | 5,000 | 5,093 |
| Wells Fargo & Co. | 3.300% | 9/9/24 | 8,943 | 9,748 | |
| Wells Fargo & Co. | 3.000% | 2/19/25 | 15,170 | 16,364 | |
| 4 | Wells Fargo & Co. | 2.406% | 10/30/25 | 14,968 | 15,637 |
| 4 | Wells Fargo & Co. | 2.164% | 2/11/26 | 7,000 | 7,269 |
| Wells Fargo & Co. | 3.000% | 4/22/26 | 20,000 | 21,746 | |
| 4 | Wells Fargo & Co. | 2.188% | 4/30/26 | 10,000 | 10,386 |
| Wells Fargo & Co. | 3.000% | 10/23/26 | 16,620 | 18,138 | |
| 4 | Wells Fargo & Co. | 3.196% | 6/17/27 | 7,100 | 7,748 |
| 4 | Wells Fargo & Co. | 3.584% | 5/22/28 | 10,500 | 11,702 |
| 4 | Wells Fargo & Co. | 2.393% | 6/2/28 | 9,270 | 9,676 |
| Wells Fargo & Co. | 4.150% | 1/24/29 | 8,575 | 10,073 | |
| 4 | Wells Fargo & Co. | 2.879% | 10/30/30 | 5,700 | 6,083 |
| 4 | Wells Fargo & Co. | 2.572% | 2/11/31 | 5,000 | 5,220 |
| Wells Fargo Bank NA | 3.550% | 8/14/23 | 30,805 | 33,352 | |
| Westpac Banking Corp. | 2.750% | 1/11/23 | 21,690 | 22,829 | |
| Westpac Banking Corp. | 3.300% | 2/26/24 | 19,310 | 20,950 | |
| Westpac Banking Corp. | 2.350% | 2/19/25 | 17,000 | 18,138 | |
| Westpac Banking Corp. | 3.350% | 3/8/27 | 18,935 | 21,659 | |
| Westpac Banking Corp. | 2.650% | 1/16/30 | 5,000 | 5,481 | |
| Brokerage (0.6%) | |||||
| Ameriprise Financial Inc. | 3.000% | 3/22/22 | 1,875 | 1,943 | |
| Ameriprise Financial Inc. | 3.000% | 4/2/25 | 16,520 | 18,066 | |
| BlackRock Inc. | 3.200% | 3/15/27 | 1,545 | 1,752 | |
| BlackRock Inc. | 3.250% | 4/30/29 | 3,750 | 4,330 | |
| BlackRock Inc. | 2.400% | 4/30/30 | 20,497 | 22,269 | |
| BlackRock Inc. | 1.900% | 1/28/31 | 2,800 | 2,902 | |
| Brookfield Finance Inc. | 4.350% | 4/15/30 | 7,000 | 8,193 | |
| Charles Schwab Corp. | 4.200% | 3/24/25 | 1,000 | 1,148 | |
| Charles Schwab Corp. | 3.850% | 5/21/25 | 17,155 | 19,409 | |
| Charles Schwab Corp. | 3.200% | 1/25/28 | 4,143 | 4,661 | |
| Charles Schwab Corp. | 4.000% | 2/1/29 | 8,980 | 10,804 | |
| Charles Schwab Corp. | 3.250% | 5/22/29 | 11,335 | 13,011 | |
| Charles Schwab Corp. | 4.625% | 3/22/30 | 2,700 | 3,405 | |
| Invesco Finance plc | 3.125% | 11/30/22 | 5,203 | 5,483 | |
| Invesco Finance plc | 4.000% | 1/30/24 | 12,165 | 13,286 | |
| Invesco Finance plc | 3.750% | 1/15/26 | 1,897 | 2,143 | |
| 6 | Nuveen Finance LLC | 4.125% | 11/1/24 | 20,000 | 22,610 |
| TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 9,571 | 9,881 | |
| TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 3,670 | 4,115 | |
| TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 4,574 | 5,126 | |
| Finance Companies (0.0%) | |||||
| 6 | USAA Capital Corp. | 1.500% | 5/1/23 | 5,080 | 5,224 |
| 6 | USAA Capital Corp. | 2.125% | 5/1/30 | 2,400 | 2,526 |
| Insurance (1.6%) | |||||
| Aflac Inc. | 3.600% | 4/1/30 | 19,050 | 22,292 | |
| 6 | AIG Global Funding | 2.700% | 12/15/21 | 2,625 | 2,694 |
| 6 | AIG Global Funding | 0.800% | 7/7/23 | 15,820 | 15,893 |
| 6 | AIG Global Funding | 0.900% | 9/22/25 | 29,000 | 28,780 |
| Berkshire Hathaway Finance Corp. | 1.850% | 3/12/30 | 9,850 | 10,222 | |
| Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 4,171 | 4,391 |
67
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 8,693 | 9,682 | |
| Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 1,940 | 2,040 | |
| Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 30,810 | 33,788 | |
| Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 9,485 | 10,465 | |
| Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 8,670 | 9,821 | |
| Chubb INA Holdings Inc. | 1.375% | 9/15/30 | 16,500 | 16,219 | |
| 6 | Empower Finance 2020 LP | 1.357% | 9/17/27 | 4,500 | 4,475 |
| 6 | Empower Finance 2020 LP | 1.776% | 3/17/31 | 4,670 | 4,665 |
| 6 | Equitable Financial Life Global Funding | 1.400% | 7/7/25 | 22,980 | 23,527 |
| 6 | Health Care Service Corp. A Mutual Legal Reserve Co. | 2.200% | 6/1/30 | 8,000 | 8,148 |
| 6 | Jackson National Life Global Funding | 3.300% | 2/1/22 | 1,625 | 1,686 |
| Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 5,500 | 5,634 | |
| Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 11,420 | 12,472 | |
| Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 10,130 | 11,198 | |
| Marsh & McLennan Cos. Inc. | 2.250% | 11/15/30 | 18,000 | 18,800 | |
| 6 | MassMutual Global Funding II | 2.500% | 10/17/22 | 950 | 990 |
| 6 | MassMutual Global Funding II | 2.750% | 6/22/24 | 14,920 | 16,071 |
| 6 | MassMutual Global Funding II | 2.950% | 1/11/25 | 2,500 | 2,726 |
| MetLife Inc. | 4.550% | 3/23/30 | 13,076 | 16,363 | |
| 6 | Metropolitan Life Global Funding I | 1.950% | 1/13/23 | 5,990 | 6,186 |
| 6 | Metropolitan Life Global Funding I | 3.600% | 1/11/24 | 3,820 | 4,175 |
| 6 | Metropolitan Life Global Funding I | 3.450% | 12/18/26 | 4,660 | 5,305 |
| 6 | New York Life Global Funding | 1.200% | 8/7/30 | 15,000 | 14,717 |
| 6 | New York Life Insurance Co. | 1.100% | 5/5/23 | 5,670 | 5,768 |
| 6 | Pacific Life Global Funding II | 0.500% | 9/23/23 | 31,430 | 31,387 |
| Progressive Corp. | 3.200% | 3/26/30 | 12,320 | 14,072 | |
| Prudential Financial Inc. | 1.500% | 3/10/26 | 5,300 | 5,521 | |
| Prudential plc | 3.125% | 4/14/30 | 3,500 | 3,869 | |
| UnitedHealth Group Inc. | 2.875% | 3/15/23 | 3,000 | 3,175 | |
| UnitedHealth Group Inc. | 3.500% | 6/15/23 | 4,500 | 4,863 | |
| UnitedHealth Group Inc. | 3.500% | 2/15/24 | 5,820 | 6,385 | |
| UnitedHealth Group Inc. | 2.375% | 8/15/24 | 5,025 | 5,341 | |
| UnitedHealth Group Inc. | 3.750% | 7/15/25 | 5,915 | 6,741 | |
| UnitedHealth Group Inc. | 1.250% | 1/15/26 | 7,810 | 7,968 | |
| UnitedHealth Group Inc. | 3.450% | 1/15/27 | 11,500 | 13,059 | |
| UnitedHealth Group Inc. | 3.375% | 4/15/27 | 415 | 471 | |
| UnitedHealth Group Inc. | 2.950% | 10/15/27 | 13,866 | 15,490 | |
| UnitedHealth Group Inc. | 3.850% | 6/15/28 | 8,630 | 10,143 | |
| UnitedHealth Group Inc. | 3.875% | 12/15/28 | 8,345 | 9,893 | |
| UnitedHealth Group Inc. | 2.875% | 8/15/29 | 13,366 | 14,864 | |
| UnitedHealth Group Inc. | 2.000% | 5/15/30 | 7,500 | 7,832 | |
| Real Estate Investment Trusts (0.6%) | |||||
| AvalonBay Communities Inc. | 3.350% | 5/15/27 | 2,960 | 3,299 | |
| AvalonBay Communities Inc. | 3.200% | 1/15/28 | 2,250 | 2,501 | |
| AvalonBay Communities Inc. | 2.300% | 3/1/30 | 5,000 | 5,309 | |
| Camden Property Trust | 4.875% | 6/15/23 | 5,935 | 6,513 | |
| Camden Property Trust | 4.250% | 1/15/24 | 16,018 | 17,572 | |
| Camden Property Trust | 3.500% | 9/15/24 | 435 | 473 | |
| ERP Operating LP | 2.850% | 11/1/26 | 6,140 | 6,780 | |
| ERP Operating LP | 4.150% | 12/1/28 | 11,480 | 13,667 | |
| ERP Operating LP | 3.000% | 7/1/29 | 8,120 | 8,924 | |
| ERP Operating LP | 2.500% | 2/15/30 | 1,500 | 1,593 |
68
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Federal Realty Investment Trust | 3.000% | 8/1/22 | 9,455 | 9,737 | |
| Federal Realty Investment Trust | 2.750% | 6/1/23 | 5,330 | 5,529 | |
| Federal Realty Investment Trust | 3.250% | 7/15/27 | 6,335 | 6,735 | |
| Prologis LP | 3.750% | 11/1/25 | 7,130 | 8,130 | |
| Prologis LP | 2.125% | 4/15/27 | 3,600 | 3,814 | |
| Prologis LP | 1.250% | 10/15/30 | 10,000 | 9,764 | |
| Public Storage | 2.370% | 9/15/22 | 1,405 | 1,456 | |
| Public Storage | 3.385% | 5/1/29 | 13,880 | 16,027 | |
| Realty Income Corp. | 4.125% | 10/15/26 | 16,355 | 18,968 | |
| Simon Property Group LP | 3.750% | 2/1/24 | 2,550 | 2,747 | |
| Simon Property Group LP | 3.375% | 10/1/24 | 1,240 | 1,339 | |
| Simon Property Group LP | 3.500% | 9/1/25 | 1,003 | 1,099 | |
| Simon Property Group LP | 3.300% | 1/15/26 | 5,080 | 5,501 | |
| Simon Property Group LP | 3.375% | 6/15/27 | 10,780 | 11,548 | |
| Simon Property Group LP | 3.375% | 12/1/27 | 6,775 | 7,251 | |
| Simon Property Group LP | 2.450% | 9/13/29 | 3,300 | 3,267 | |
| 5,028,470 | |||||
| Industrial (11.4%) | |||||
| Basic Industry (0.2%) | |||||
| 6 | Air Liquide Finance SA | 2.250% | 9/27/23 | 25,555 | 26,726 |
| Air Products and Chemicals Inc. | 2.750% | 2/3/23 | 29 | 31 | |
| Air Products and Chemicals Inc. | 1.500% | 10/15/25 | 9,565 | 9,886 | |
| Air Products and Chemicals Inc. | 1.850% | 5/15/27 | 4,620 | 4,834 | |
| Airgas Inc. | 2.900% | 11/15/22 | 2,575 | 2,691 | |
| Airgas Inc. | 3.650% | 7/15/24 | 3,000 | 3,301 | |
| BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 4,005 | 4,135 | |
| Praxair Inc. | 1.100% | 8/10/30 | 17,780 | 17,236 | |
| Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 4,955 | 5,606 | |
| Capital Goods (1.2%) | |||||
| 3M Co. | 2.000% | 2/14/25 | 31,325 | 33,228 | |
| Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 7,100 | 7,382 | |
| Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 12,610 | 13,025 | |
| Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 6,005 | 6,609 | |
| Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 95 | 104 | |
| Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | 11,095 | 11,779 | |
| Caterpillar Financial Services Corp. | 1.100% | 9/14/27 | 19,610 | 19,581 | |
| Caterpillar Inc. | 3.900% | 5/27/21 | 1,613 | 1,651 | |
| Caterpillar Inc. | 2.600% | 6/26/22 | 1,755 | 1,813 | |
| Caterpillar Inc. | 2.600% | 9/19/29 | 12,000 | 13,085 | |
| Deere & Co. | 2.600% | 6/8/22 | 3,825 | 3,951 | |
| Emerson Electric Co. | 0.875% | 10/15/26 | 13,640 | 13,566 | |
| Emerson Electric Co. | 1.800% | 10/15/27 | 14,590 | 15,257 | |
| General Dynamics Corp. | 3.250% | 4/1/25 | 10,870 | 12,034 | |
| General Dynamics Corp. | 3.500% | 5/15/25 | 3,754 | 4,204 | |
| General Dynamics Corp. | 2.125% | 8/15/26 | 4,694 | 5,041 | |
| General Dynamics Corp. | 3.500% | 4/1/27 | 7,645 | 8,764 | |
| General Dynamics Corp. | 2.625% | 11/15/27 | 31,170 | 34,019 | |
| General Dynamics Corp. | 3.750% | 5/15/28 | 5,580 | 6,536 | |
| General Dynamics Corp. | 3.625% | 4/1/30 | 8,380 | 9,967 | |
| Honeywell International Inc. | 2.500% | 11/1/26 | 8,815 | 9,693 | |
| Honeywell International Inc. | 1.950% | 6/1/30 | 22,500 | 23,607 | |
| Illinois Tool Works Inc. | 2.650% | 11/15/26 | 11,640 | 12,863 | |
| John Deere Capital Corp. | 2.750% | 3/15/22 | 5,830 | 6,033 | |
69
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| John Deere Capital Corp. | 2.950% | 4/1/22 | 1,675 | 1,740 | |
| John Deere Capital Corp. | 2.650% | 6/24/24 | 9,000 | 9,675 | |
| John Deere Capital Corp. | 2.250% | 9/14/26 | 7,790 | 8,435 | |
| Lockheed Martin Corp. | 2.900% | 3/1/25 | 3,570 | 3,895 | |
| Lockheed Martin Corp. | 3.550% | 1/15/26 | 23,104 | 26,306 | |
| Lockheed Martin Corp. | 1.850% | 6/15/30 | 8,645 | 8,955 | |
| Precision Castparts Corp. | 2.500% | 1/15/23 | 14,450 | 15,069 | |
| 6 | Siemens Financieringsmaatschappij NV | 2.700% | 3/16/22 | 11,300 | 11,681 |
| Communication (0.8%) | |||||
| America Movil SAB de CV | 3.125% | 7/16/22 | 1,160 | 1,208 | |
| Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 1,700 | 2,026 | |
| Comcast Corp. | 3.600% | 3/1/24 | 9,390 | 10,328 | |
| Comcast Corp. | 3.700% | 4/15/24 | 13,085 | 14,444 | |
| Comcast Corp. | 3.375% | 2/15/25 | 29,805 | 32,949 | |
| Comcast Corp. | 3.100% | 4/1/25 | 2,905 | 3,200 | |
| Comcast Corp. | 3.375% | 8/15/25 | 23,444 | 26,144 | |
| Comcast Corp. | 3.950% | 10/15/25 | 13,900 | 15,938 | |
| Comcast Corp. | 3.150% | 2/15/28 | 28,825 | 32,325 | |
| Comcast Corp. | 4.150% | 10/15/28 | 24,375 | 29,309 | |
| Comcast Corp. | 3.400% | 4/1/30 | 11,500 | 13,240 | |
| Comcast Corp. | 1.950% | 1/15/31 | 17,200 | 17,646 | |
| S&P Global Inc. | 2.500% | 12/1/29 | 10,680 | 11,622 | |
| Walt Disney Co. | 1.750% | 8/30/24 | 18,120 | 18,860 | |
| Walt Disney Co. | 2.200% | 1/13/28 | 11,000 | 11,577 | |
| Walt Disney Co. | 3.800% | 3/22/30 | 10,000 | 11,799 | |
| Consumer Cyclical (1.9%) | |||||
| Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 1,550 | 1,700 | |
| Amazon.com Inc. | 1.200% | 6/3/27 | 19,000 | 19,272 | |
| Amazon.com Inc. | 3.150% | 8/22/27 | 7,000 | 7,963 | |
| American Honda Finance Corp. | 2.150% | 9/10/24 | 15,000 | 15,760 | |
| American Honda Finance Corp. | 2.350% | 1/8/27 | 25,000 | 26,479 | |
| Automatic Data Processing Inc. | 1.250% | 9/1/30 | 20,000 | 19,631 | |
| 6 | BMW US Capital LLC | 3.400% | 8/13/21 | 14,100 | 14,459 |
| Costco Wholesale Corp. | 3.000% | 5/18/27 | 13,225 | 14,842 | |
| Costco Wholesale Corp. | 1.375% | 6/20/27 | 8,700 | 8,889 | |
| Costco Wholesale Corp. | 1.600% | 4/20/30 | 17,777 | 18,098 | |
| Cummins Inc. | 0.750% | 9/1/25 | 10,000 | 10,050 | |
| Cummins Inc. | 1.500% | 9/1/30 | 25,000 | 24,835 | |
| Home Depot Inc. | 3.000% | 4/1/26 | 5,000 | 5,623 | |
| Home Depot Inc. | 2.500% | 4/15/27 | 5,000 | 5,446 | |
| Home Depot Inc. | 2.800% | 9/14/27 | 14,340 | 15,862 | |
| Home Depot Inc. | 3.900% | 12/6/28 | 10,000 | 11,931 | |
| Home Depot Inc. | 2.950% | 6/15/29 | 21,000 | 23,755 | |
| Mastercard Inc. | 3.375% | 4/1/24 | 9,000 | 9,904 | |
| Mastercard Inc. | 2.000% | 3/3/25 | 32,500 | 34,621 | |
| Mastercard Inc. | 2.950% | 11/21/26 | 24,315 | 27,347 | |
| Mastercard Inc. | 2.950% | 6/1/29 | 11,000 | 12,413 | |
| Target Corp. | 2.250% | 4/15/25 | 3,500 | 3,742 | |
| Target Corp. | 3.375% | 4/15/29 | 4,500 | 5,225 | |
| Target Corp. | 2.350% | 2/15/30 | 10,000 | 10,816 | |
| Target Corp. | 2.650% | 9/15/30 | 10,000 | 11,179 | |
| TJX Cos. Inc. | 2.500% | 5/15/23 | 1,100 | 1,153 |
70
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| TJX Cos. Inc. | 3.500% | 4/15/25 | 9,920 | 11,062 | |
| TJX Cos. Inc. | 2.250% | 9/15/26 | 7,870 | 8,386 | |
| TJX Cos. Inc. | 3.875% | 4/15/30 | 10,000 | 11,825 | |
| Toyota Motor Credit Corp. | 3.000% | 4/1/25 | 8,000 | 8,760 | |
| Toyota Motor Credit Corp. | 1.150% | 8/13/27 | 20,000 | 19,958 | |
| Toyota Motor Credit Corp. | 3.650% | 1/8/29 | 20,000 | 23,386 | |
| Visa Inc. | 3.150% | 12/14/25 | 36,090 | 40,295 | |
| Visa Inc. | 1.900% | 4/15/27 | 15,000 | 15,877 | |
| Visa Inc. | 2.050% | 4/15/30 | 30,000 | 32,107 | |
| Walmart Inc. | 2.850% | 7/8/24 | 2,100 | 2,281 | |
| Walmart Inc. | 2.650% | 12/15/24 | 5,550 | 6,003 | |
| Walmart Inc. | 3.700% | 6/26/28 | 5,411 | 6,380 | |
| Walmart Inc. | 3.250% | 7/8/29 | 16,952 | 19,750 | |
| Consumer Noncyclical (3.5%) | |||||
| Abbott Laboratories | 2.950% | 3/15/25 | 12,405 | 13,547 | |
| Abbott Laboratories | 1.400% | 6/30/30 | 7,500 | 7,522 | |
| Ascension Health | 2.532% | 11/15/29 | 2,500 | 2,704 | |
| Bristol-Myers Squibb Co. | 2.750% | 2/15/23 | 24,000 | 25,273 | |
| Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | 61,181 | 66,349 | |
| Bristol-Myers Squibb Co. | 3.875% | 8/15/25 | 23,838 | 27,345 | |
| Bristol-Myers Squibb Co. | 3.200% | 6/15/26 | 33,439 | 37,302 | |
| Bristol-Myers Squibb Co. | 3.900% | 2/20/28 | 9,949 | 11,691 | |
| Bristol-Myers Squibb Co. | 3.400% | 7/26/29 | 39,025 | 45,554 | |
| Brown-Forman Corp. | 2.250% | 1/15/23 | 5,000 | 5,139 | |
| Coca-Cola Co. | 1.750% | 9/6/24 | 3,000 | 3,135 | |
| Coca-Cola Co. | 2.950% | 3/25/25 | 5,000 | 5,492 | |
| Coca-Cola Co. | 2.550% | 6/1/26 | 4,300 | 4,731 | |
| Coca-Cola Co. | 3.375% | 3/25/27 | 12,000 | 13,745 | |
| Coca-Cola Co. | 1.000% | 3/15/28 | 29,425 | 29,376 | |
| Eli Lilly & Co. | 2.750% | 6/1/25 | 3,771 | 4,114 | |
| Eli Lilly & Co. | 3.375% | 3/15/29 | 8,803 | 10,165 | |
| Estee Lauder Cos. Inc. | 2.375% | 12/1/29 | 4,750 | 5,108 | |
| Gilead Sciences Inc. | 2.500% | 9/1/23 | 12,100 | 12,729 | |
| Gilead Sciences Inc. | 3.700% | 4/1/24 | 20,617 | 22,576 | |
| Gilead Sciences Inc. | 3.500% | 2/1/25 | 19,025 | 21,025 | |
| Gilead Sciences Inc. | 3.650% | 3/1/26 | 22,573 | 25,435 | |
| GlaxoSmithKline Capital Inc. | 3.875% | 5/15/28 | 2,500 | 2,972 | |
| GlaxoSmithKline Capital plc | 2.875% | 6/1/22 | 3,075 | 3,195 | |
| GlaxoSmithKline Capital plc | 3.000% | 6/1/24 | 21,524 | 23,258 | |
| GlaxoSmithKline Capital plc | 3.375% | 6/1/29 | 25,000 | 28,838 | |
| Hershey Co. | 2.050% | 11/15/24 | 9,000 | 9,540 | |
| Hershey Co. | 2.450% | 11/15/29 | 10,000 | 10,969 | |
| Hershey Co. | 1.700% | 6/1/30 | 5,000 | 5,136 | |
| Johnson & Johnson | 2.950% | 3/3/27 | 2,385 | 2,674 | |
| Johnson & Johnson | 0.950% | 9/1/27 | 15,000 | 15,004 | |
| Johnson & Johnson | 2.900% | 1/15/28 | 10,400 | 11,689 | |
| Johnson & Johnson | 1.300% | 9/1/30 | 7,000 | 7,060 | |
| Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 1,235 | 1,291 | |
| Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 965 | 1,081 | |
| Kimberly-Clark Corp. | 2.650% | 3/1/25 | 6,906 | 7,464 | |
| Kimberly-Clark Corp. | 3.050% | 8/15/25 | 5,860 | 6,500 | |
| Kimberly-Clark Corp. | 1.050% | 9/15/27 | 10,000 | 10,071 | |
| Kimberly-Clark Corp. | 3.100% | 3/26/30 | 10,507 | 12,017 |
71
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| 6 | Mars Inc. | 0.875% | 7/16/26 | 10,000 | 9,942 |
| Medtronic Inc. | 3.500% | 3/15/25 | 39,030 | 43,970 | |
| Merck & Co. Inc. | 2.750% | 2/10/25 | 9,200 | 9,989 | |
| Merck & Co. Inc. | 3.400% | 3/7/29 | 25,000 | 29,082 | |
| Merck & Co. Inc. | 1.450% | 6/24/30 | 19,550 | 19,810 | |
| Mercy Health | 4.302% | 7/1/28 | 7,000 | 7,984 | |
| 6 | Nestle Holdings Inc. | 3.350% | 9/24/23 | 15,000 | 16,233 |
| 6 | Nestle Holdings Inc. | 1.000% | 9/15/27 | 24,160 | 24,059 |
| Novartis Capital Corp. | 1.750% | 2/14/25 | 4,000 | 4,186 | |
| Novartis Capital Corp. | 2.000% | 2/14/27 | 15,000 | 15,892 | |
| Novartis Capital Corp. | 2.200% | 8/14/30 | 39,962 | 42,970 | |
| PepsiCo Inc. | 2.850% | 2/24/26 | 6,674 | 7,385 | |
| PepsiCo Inc. | 2.375% | 10/6/26 | 5,000 | 5,436 | |
| PepsiCo Inc. | 2.625% | 3/19/27 | 14,500 | 15,906 | |
| PepsiCo Inc. | 2.625% | 7/29/29 | 1,720 | 1,899 | |
| Pfizer Inc. | 3.400% | 5/15/24 | 14,095 | 15,481 | |
| Pfizer Inc. | 2.750% | 6/3/26 | 3,050 | 3,375 | |
| Pfizer Inc. | 3.000% | 12/15/26 | 16,817 | 18,949 | |
| Pfizer Inc. | 3.450% | 3/15/29 | 13,000 | 15,200 | |
| Pfizer Inc. | 2.625% | 4/1/30 | 8,500 | 9,431 | |
| Pfizer Inc. | 1.700% | 5/28/30 | 12,500 | 12,858 | |
| Philip Morris International Inc. | 1.125% | 5/1/23 | 5,000 | 5,076 | |
| Philip Morris International Inc. | 2.875% | 5/1/24 | 4,500 | 4,819 | |
| Philip Morris International Inc. | 1.500% | 5/1/25 | 10,000 | 10,309 | |
| Philip Morris International Inc. | 3.125% | 8/17/27 | 5,000 | 5,588 | |
| Philip Morris International Inc. | 2.100% | 5/1/30 | 5,000 | 5,138 | |
| Procter & Gamble Co. | 2.450% | 11/3/26 | 4,250 | 4,689 | |
| Procter & Gamble Co. | 2.850% | 8/11/27 | 2,000 | 2,246 | |
| Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 300 | 325 | |
| Providence St. Joseph Health Obligated Group | 2.532% | 10/1/29 | 5,000 | 5,321 | |
| 6 | Reckitt Benckiser Treasury Services plc | 2.375% | 6/24/22 | 1,150 | 1,183 |
| 6 | Reckitt Benckiser Treasury Services plc | 2.750% | 6/26/24 | 5,000 | 5,330 |
| 6 | Reckitt Benckiser Treasury Services plc | 3.000% | 6/26/27 | 25,000 | 27,735 |
| 6 | Roche Holdings Inc. | 2.625% | 5/15/26 | 2,000 | 2,202 |
| Sanofi | 4.000% | 3/29/21 | 7,000 | 7,130 | |
| SSM Health Care Corp. | 3.688% | 6/1/23 | 13,650 | 14,683 | |
| Unilever Capital Corp. | 2.600% | 5/5/24 | 24,425 | 26,146 | |
| Unilever Capital Corp. | 2.125% | 9/6/29 | 21,050 | 22,271 | |
| Energy (1.5%) | |||||
| BP Capital Markets America Inc. | 4.500% | 10/1/20 | 3,575 | 3,575 | |
| BP Capital Markets America Inc. | 4.742% | 3/11/21 | 915 | 933 | |
| BP Capital Markets America Inc. | 3.245% | 5/6/22 | 9,875 | 10,308 | |
| BP Capital Markets America Inc. | 2.750% | 5/10/23 | 10,080 | 10,624 | |
| BP Capital Markets America Inc. | 3.790% | 2/6/24 | 5,950 | 6,507 | |
| BP Capital Markets America Inc. | 3.224% | 4/14/24 | 8,400 | 9,056 | |
| BP Capital Markets America Inc. | 3.194% | 4/6/25 | 8,475 | 9,312 | |
| BP Capital Markets America Inc. | 3.796% | 9/21/25 | 4,935 | 5,569 | |
| BP Capital Markets America Inc. | 3.119% | 5/4/26 | 19,465 | 21,457 | |
| BP Capital Markets America Inc. | 3.017% | 1/16/27 | 2,630 | 2,879 | |
| BP Capital Markets America Inc. | 1.749% | 8/10/30 | 8,930 | 8,893 | |
| BP Capital Markets plc | 3.561% | 11/1/21 | 2,387 | 2,467 | |
| BP Capital Markets plc | 3.062% | 3/17/22 | 4,000 | 4,150 | |
| BP Capital Markets plc | 3.994% | 9/26/23 | 1,000 | 1,098 |
72
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| BP Capital Markets plc | 3.814% | 2/10/24 | 35,250 | 38,676 | |
| BP Capital Markets plc | 3.535% | 11/4/24 | 8,740 | 9,648 | |
| BP Capital Markets plc | 3.506% | 3/17/25 | 13,535 | 15,054 | |
| BP Capital Markets plc | 3.279% | 9/19/27 | 7,530 | 8,354 | |
| BP Capital Markets plc | 3.723% | 11/28/28 | 2,095 | 2,396 | |
| Chevron Corp. | 1.141% | 5/11/23 | 19,620 | 19,983 | |
| Chevron Corp. | 1.554% | 5/11/25 | 28,175 | 29,123 | |
| Chevron Corp. | 1.995% | 5/11/27 | 11,600 | 12,243 | |
| Chevron USA Inc. | 0.687% | 8/12/25 | 4,030 | 4,013 | |
| Chevron USA Inc. | 1.018% | 8/12/27 | 3,920 | 3,901 | |
| ConocoPhillips Co. | 4.950% | 3/15/26 | 17,605 | 21,016 | |
| Exxon Mobil Corp. | 1.571% | 4/15/23 | 10,000 | 10,278 | |
| Exxon Mobil Corp. | 2.992% | 3/19/25 | 33,865 | 37,072 | |
| Exxon Mobil Corp. | 2.275% | 8/16/26 | 10,000 | 10,694 | |
| Schlumberger Finance Canada Ltd. | 1.400% | 9/17/25 | 4,350 | 4,389 | |
| Shell International Finance BV | 3.500% | 11/13/23 | 8,102 | 8,811 | |
| Shell International Finance BV | 2.375% | 4/6/25 | 4,640 | 4,951 | |
| Shell International Finance BV | 3.250% | 5/11/25 | 22,255 | 24,592 | |
| Shell International Finance BV | 2.875% | 5/10/26 | 2,805 | 3,105 | |
| Shell International Finance BV | 2.375% | 11/7/29 | 29,195 | 30,798 | |
| Total Capital Canada Ltd. | 2.750% | 7/15/23 | 8,599 | 9,137 | |
| Total Capital International SA | 3.700% | 1/15/24 | 7,867 | 8,628 | |
| Total Capital International SA | 2.434% | 1/10/25 | 11,830 | 12,570 | |
| Total Capital International SA | 3.455% | 2/19/29 | 3,250 | 3,731 | |
| Total Capital International SA | 2.829% | 1/10/30 | 19,635 | 21,679 | |
| Total Capital SA | 4.125% | 1/28/21 | 895 | 905 | |
| Other Industrial (0.0%) | |||||
| Yale University | 1.482% | 4/15/30 | 6,000 | 6,089 | |
| Technology (2.1%) | |||||
| Adobe Inc. | 2.150% | 2/1/27 | 47,105 | 50,504 | |
| Alphabet Inc. | 0.800% | 8/15/27 | 25,000 | 24,826 | |
| Alphabet Inc. | 1.100% | 8/15/30 | 11,180 | 11,082 | |
| Apple Inc. | 3.000% | 2/9/24 | 11,675 | 12,571 | |
| Apple Inc. | 3.450% | 5/6/24 | 6,000 | 6,612 | |
| Apple Inc. | 2.850% | 5/11/24 | 9,045 | 9,741 | |
| Apple Inc. | 2.750% | 1/13/25 | 9,240 | 10,018 | |
| Apple Inc. | 2.500% | 2/9/25 | 3,430 | 3,699 | |
| Apple Inc. | 1.125% | 5/11/25 | 7,000 | 7,152 | |
| Apple Inc. | 3.200% | 5/13/25 | 5,635 | 6,290 | |
| Apple Inc. | 3.250% | 2/23/26 | 13,092 | 14,720 | |
| Apple Inc. | 2.450% | 8/4/26 | 7,245 | 7,893 | |
| Apple Inc. | 2.050% | 9/11/26 | 8,000 | 8,554 | |
| Apple Inc. | 3.350% | 2/9/27 | 13,158 | 15,004 | |
| Apple Inc. | 3.000% | 6/20/27 | 6,920 | 7,785 | |
| Apple Inc. | 2.900% | 9/12/27 | 20,825 | 23,369 | |
| Apple Inc. | 3.000% | 11/13/27 | 6,280 | 7,096 | |
| Intel Corp. | 3.400% | 3/25/25 | 27,000 | 30,170 | |
| Intel Corp. | 3.700% | 7/29/25 | 10,000 | 11,336 | |
| Intel Corp. | 2.600% | 5/19/26 | 4,615 | 5,057 | |
| Intel Corp. | 3.750% | 3/25/27 | 4,660 | 5,431 | |
| Intel Corp. | 2.450% | 11/15/29 | 21,350 | 23,225 | |
| International Business Machines Corp. | 3.000% | 5/15/24 | 6,703 | 7,261 |
73
Institutional Intermediate-Term Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| International Business Machines Corp. | 3.450% | 2/19/26 | 2,500 | 2,830 | ||
| International Business Machines Corp. | 3.300% | 5/15/26 | 61,085 | 68,822 | ||
| International Business Machines Corp. | 3.500% | 5/15/29 | 19,985 | 23,102 | ||
| Intuit Inc. | 0.950% | 7/15/25 | 3,400 | 3,432 | ||
| Microsoft Corp. | 2.875% | 2/6/24 | 17,090 | 18,376 | ||
| Microsoft Corp. | 2.700% | 2/12/25 | 1,175 | 1,275 | ||
| Microsoft Corp. | 3.125% | 11/3/25 | 2,365 | 2,644 | ||
| Microsoft Corp. | 2.400% | 8/8/26 | 10,825 | 11,790 | ||
| Microsoft Corp. | 3.300% | 2/6/27 | 6,830 | 7,808 | ||
| NVIDIA Corp. | 2.850% | 4/1/30 | 5,000 | 5,632 | ||
| Oracle Corp. | 2.500% | 5/15/22 | 9,010 | 9,286 | ||
| Oracle Corp. | 2.400% | 9/15/23 | 750 | 789 | ||
| Oracle Corp. | 3.400% | 7/8/24 | 10,000 | 10,937 | ||
| Oracle Corp. | 2.950% | 11/15/24 | 21,704 | 23,563 | ||
| Oracle Corp. | 2.950% | 5/15/25 | 5,140 | 5,595 | ||
| Oracle Corp. | 2.650% | 7/15/26 | 5,115 | 5,582 | ||
| Oracle Corp. | 3.250% | 11/15/27 | 14,885 | 16,812 | ||
| Oracle Corp. | 2.950% | 4/1/30 | 5,000 | 5,576 | ||
| QUALCOMM Inc. | 3.250% | 5/20/27 | 10,570 | 11,846 | ||
| 6 | QUALCOMM Inc. | 1.300% | 5/20/28 | 25,188 | 25,032 | |
| 6 | QUALCOMM Inc. | 1.650% | 5/20/32 | 36,117 | 35,755 | |
| Texas Instruments Inc. | 2.625% | 5/15/24 | 2,980 | 3,196 | ||
| Texas Instruments Inc. | 2.250% | 9/4/29 | 10,000 | 10,716 | ||
| Texas Instruments Inc. | 1.750% | 5/4/30 | 9,245 | 9,502 | ||
| Transportation (0.2%) | ||||||
| Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 1,265 | 1,395 | ||
| Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 6,310 | 6,932 | ||
| Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 1,175 | 1,291 | ||
| Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 3,915 | 4,453 | ||
| Burlington Northern Santa Fe LLC | 3.250% | 6/15/27 | 8,535 | 9,716 | ||
| 4 | CSX Transportation Inc. | 6.251% | 1/15/23 | 972 | 1,083 | |
| United Parcel Service Inc. | 2.500% | 4/1/23 | 5,941 | 6,232 | ||
| United Parcel Service Inc. | 2.200% | 9/1/24 | 7,175 | 7,597 | ||
| United Parcel Service Inc. | 2.800% | 11/15/24 | 5,000 | 5,433 | ||
| United Parcel Service Inc. | 3.400% | 3/15/29 | 5,000 | 5,774 | ||
| 3,430,582 | ||||||
| Utilities (2.2%) | ||||||
| Electric (2.2%) | ||||||
| AEP Transmission Co. LLC | 3.100% | 12/1/26 | 8,040 | 9,046 | ||
| Ameren Illinois Co. | 2.700% | 9/1/22 | 2,047 | 2,113 | ||
| Arizona Public Service Co. | 2.600% | 8/15/29 | 5,575 | 5,995 | ||
| Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 950 | 984 | ||
| Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 4,455 | 4,672 | ||
| Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 16,200 | 17,661 | ||
| 6 | Berkshire Hathaway Energy Co. | 4.050% | 4/15/25 | 6,070 | 6,918 | |
| Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 8,975 | 10,109 | ||
| CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 1,460 | 1,496 | ||
| Commonwealth Edison Co. | 3.400% | 9/1/21 | 9,800 | 10,002 | ||
| Commonwealth Edison Co. | 2.550% | 6/15/26 | 3,480 | 3,801 | ||
| Connecticut Light & Power Co. | 3.200% | 3/15/27 | 21,650 | 24,203 | ||
| DTE Electric Co. | 2.650% | 6/15/22 | 10,112 | 10,431 | ||
| DTE Electric Co. | 3.650% | 3/15/24 | 8,453 | 9,249 | ||
| DTE Electric Co. | 3.375% | 3/1/25 | 380 | 421 | ||
74
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| DTE Electric Co. | 2.250% | 3/1/30 | 11,838 | 12,534 | |
| DTE Electric Co. | 2.625% | 3/1/31 | 13,760 | 15,100 | |
| Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 7,000 | 7,806 | |
| Duke Energy Carolinas LLC | 2.450% | 8/15/29 | 7,430 | 8,049 | |
| Duke Energy Florida LLC | 3.200% | 1/15/27 | 17,632 | 19,870 | |
| Duke Energy Florida LLC | 3.800% | 7/15/28 | 7,415 | 8,698 | |
| Duke Energy Florida LLC | 2.500% | 12/1/29 | 21,525 | 23,337 | |
| Duke Energy Progress LLC | 3.375% | 9/1/23 | 2,500 | 2,688 | |
| Duke Energy Progress LLC | 3.250% | 8/15/25 | 6,611 | 7,287 | |
| Duke Energy Progress LLC | 3.700% | 9/1/28 | 12,100 | 14,098 | |
| Duke Energy Progress LLC | 3.450% | 3/15/29 | 1,520 | 1,756 | |
| Entergy Arkansas Inc. | 3.700% | 6/1/24 | 6,213 | 6,815 | |
| Entergy Arkansas Inc. | 3.500% | 4/1/26 | 10,288 | 11,646 | |
| Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 8,675 | 10,262 | |
| Entergy Louisiana LLC | 3.300% | 12/1/22 | 1,450 | 1,529 | |
| Entergy Louisiana LLC | 4.050% | 9/1/23 | 1,075 | 1,173 | |
| Entergy Louisiana LLC | 2.400% | 10/1/26 | 5,560 | 5,996 | |
| Entergy Louisiana LLC | 3.120% | 9/1/27 | 15,550 | 17,303 | |
| Florida Power & Light Co. | 2.850% | 4/1/25 | 28,718 | 31,489 | |
| Georgia Power Co. | 2.850% | 5/15/22 | 1,820 | 1,885 | |
| MidAmerican Energy Co. | 3.100% | 5/1/27 | 2,640 | 2,959 | |
| MidAmerican Energy Co. | 3.650% | 4/15/29 | 2,010 | 2,377 | |
| National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 3,375 | 3,539 | |
| National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 4,350 | 4,658 | |
| National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 9,675 | 11,152 | |
| National Rural Utilities Cooperative Finance Corp. | 3.700% | 3/15/29 | 12,935 | 15,215 | |
| National Rural Utilities Cooperative Finance Corp. | 2.400% | 3/15/30 | 10,260 | 11,152 | |
| Nevada Power Co. | 2.400% | 5/1/30 | 8,360 | 8,978 | |
| NSTAR Electric Co. | 2.375% | 10/15/22 | 5,490 | 5,681 | |
| Oncor Electric Delivery Co. LLC | 2.750% | 6/1/24 | 20,000 | 21,444 | |
| Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 5,580 | 6,086 | |
| 6 | Oncor Electric Delivery Co. LLC | 0.550% | 10/1/25 | 34,000 | 33,819 |
| Oncor Electric Delivery Co. LLC | 3.700% | 11/15/28 | 4,000 | 4,709 | |
| Oncor Electric Delivery Co. LLC | 2.750% | 5/15/30 | 4,750 | 5,291 | |
| PacifiCorp | 3.600% | 4/1/24 | 7,640 | 8,410 | |
| PacifiCorp | 3.500% | 6/15/29 | 27,904 | 32,276 | |
| Potomac Electric Power Co. | 3.600% | 3/15/24 | 4,925 | 5,389 | |
| Public Service Electric & Gas Co. | 3.250% | 9/1/23 | 1,560 | 1,685 | |
| Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 8,385 | 9,174 | |
| Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 5,000 | 5,391 | |
| Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 5,430 | 5,998 | |
| Public Service Electric & Gas Co. | 3.700% | 5/1/28 | 1,980 | 2,316 | |
| Public Service Electric & Gas Co. | 3.650% | 9/1/28 | 2,275 | 2,655 | |
| Public Service Electric & Gas Co. | 2.450% | 1/15/30 | 7,500 | 8,141 | |
| Southwestern Public Service Co. | 3.300% | 6/15/24 | 14,881 | 16,093 | |
| Union Electric Co. | 2.950% | 6/15/27 | 1,177 | 1,300 | |
| Union Electric Co. | 2.950% | 3/15/30 | 15,000 | 16,790 | |
| Virginia Electric & Power Co. | 2.950% | 1/15/22 | 8,540 | 8,742 | |
| Virginia Electric & Power Co. | 2.750% | 3/15/23 | 2,515 | 2,630 |
75
Institutional Intermediate-Term Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,730 | 1,865 | ||
| Virginia Electric & Power Co. | 3.100% | 5/15/25 | 6,210 | 6,790 | ||
| Virginia Electric & Power Co. | 3.150% | 1/15/26 | 5,700 | 6,314 | ||
| Virginia Electric & Power Co. | 2.950% | 11/15/26 | 10,000 | 11,137 | ||
| Virginia Electric & Power Co. | 3.500% | 3/15/27 | 6,260 | 7,135 | ||
| Westar Energy Inc. | 2.550% | 7/1/26 | 13,385 | 14,526 | ||
| Natural Gas (0.0%) | ||||||
| Atmos Energy Corp. | 3.000% | 6/15/27 | 2,835 | 3,137 | ||
| 641,376 | ||||||
| Total Corporate Bonds (Cost $8,631,914) | 9,100,428 | |||||
| Sovereign Bonds (4.4%) | ||||||
| 6 | Banco del Estado de Chile | 2.668% | 1/8/21 | 1,175 | 1,178 | |
| 6 | Banco del Estado de Chile | 2.704% | 1/9/25 | 9,000 | 9,452 | |
| 6 | Bermuda | 4.138% | 1/3/23 | 2,700 | 2,852 | |
| Bermuda | 4.138% | 1/3/23 | 1,150 | 1,216 | ||
| Bermuda | 4.854% | 2/6/24 | 6,751 | 7,426 | ||
| 6 | Bermuda | 4.854% | 2/6/24 | 3,206 | 3,518 | |
| 4 | Bermuda | 3.717% | 1/25/27 | 8,089 | 8,963 | |
| 4 | Bermuda | 4.750% | 2/15/29 | 1,750 | 2,112 | |
| 4,6 | Bermuda | 2.375% | 8/20/30 | 15,000 | 15,238 | |
| 6 | BNG Bank NV | 2.125% | 12/14/20 | 13,001 | 13,040 | |
| 6 | BNG Bank NV | 1.500% | 10/16/24 | 25,000 | 26,048 | |
| 6 | CDP Financial Inc. | 3.150% | 7/24/24 | 1,519 | 1,668 | |
| CDP Financial Inc. | 3.150% | 7/24/24 | 20,000 | 21,947 | ||
| 6 | CDP Financial Inc. | 0.875% | 6/10/25 | 40,000 | 40,474 | |
| CNOOC Curtis Funding No 1 Pty Ltd. | 4.500% | 10/3/23 | 600 | 658 | ||
| CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 5,000 | 5,243 | ||
| CNOOC Finance 2015 USA LLC | 3.750% | 5/2/23 | 30,069 | 32,070 | ||
| CNOOC Finance 2015 USA LLC | 4.375% | 5/2/28 | 5,575 | 6,521 | ||
| CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 17,610 | 19,495 | ||
| 6 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 1,056 | |
| Corporacion Nacional del Cobre de Chile | 4.500% | 9/16/25 | 2,382 | 2,682 | ||
| Corporacion Andina de Fomento | 4.375% | 6/15/22 | 6,291 | 6,637 | ||
| 6 | CPPIB Capital Inc. | 2.250% | 1/25/22 | 58,500 | 60,027 | |
| 6,7 | Development Bank of Japan Inc. | 3.125% | 9/6/23 | 12,000 | 12,926 | |
| Development Bank of Japan Inc. | 2.750% | 9/16/25 | 8,500 | 9,362 | ||
| 6,8 | Dexia Credit Local SA | 1.875% | 9/15/21 | 15,000 | 15,205 | |
| 6 | Dexia Credit Local SA | 2.375% | 9/20/22 | 16,910 | 17,461 | |
| 6 | Dexia Credit Local SA | 3.250% | 9/26/23 | 70,000 | 75,610 | |
| 6 | Electricite de France SA | 2.350% | 10/13/20 | 1,825 | 1,825 | |
| 6 | Emirate of Abu Dhabi | 2.125% | 9/30/24 | 34,200 | 35,650 | |
| 6 | Emirate of Abu Dhabi | 2.500% | 4/16/25 | 33,599 | 35,525 | |
| Emirate of Abu Dhabi | 3.125% | 10/11/27 | 7,030 | 7,802 | ||
| Equinor ASA | 3.150% | 1/23/22 | 8,000 | 8,280 | ||
| Equinor ASA | 2.450% | 1/17/23 | 1,904 | 1,990 | ||
| Equinor ASA | 3.700% | 3/1/24 | 7,000 | 7,716 | ||
| Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,800 | 2,831 | ||
| Export-Import Bank of Korea | 2.500% | 5/10/21 | 5,000 | 5,062 | ||
| Export-Import Bank of Korea | 1.875% | 10/21/21 | 10,000 | 10,140 | ||
| Export-Import Bank of Korea | 3.000% | 11/1/22 | 2,000 | 2,100 | ||
| Export-Import Bank of Korea | 2.375% | 6/25/24 | 18,000 | 19,027 | ||
| Export-Import Bank of Korea | 3.250% | 11/10/25 | 10,000 | 11,166 | ||
76
Institutional Intermediate-Term Bond Fund
| Face | Market | ||||
| Maturity | Amount | Value· | |||
| Coupon | Date | ($000) | ($000) | ||
| Export-Import Bank of Korea | 2.625% | 5/26/26 | 2,000 | 2,180 | |
| 6 | Harvest Operations Corp. | 4.200% | 6/1/23 | 8,000 | 8,700 |
| Hydro-Quebec | 8.050% | 7/7/24 | 470 | 591 | |
| IDB Trust Services Ltd. | 2.393% | 4/12/22 | 25,624 | 26,293 | |
| 7 | Japan Bank for International Cooperation | 2.125% | 11/16/20 | 27,100 | 27,141 |
| 7 | Japan Bank for International Cooperation | 3.375% | 10/31/23 | 10,000 | 10,884 |
| 7 | Japan Bank for International Cooperation | 2.500% | 5/23/24 | 20,000 | 21,443 |
| Kingdom of Saudi Arabia | 2.375% | 10/26/21 | 6,500 | 6,602 | |
| Korea Development Bank | 2.500% | 1/13/21 | 6,000 | 6,030 | |
| Korea Development Bank | 4.625% | 11/16/21 | 605 | 631 | |
| Korea Development Bank | 3.375% | 3/12/23 | 30,000 | 31,946 | |
| Korea Development Bank | 2.125% | 10/1/24 | 33,000 | 34,638 | |
| 6 | Korea East-West Power Co. Ltd. | 1.750% | 5/6/25 | 15,000 | 15,519 |
| Korea Hydro & Nuclear Power Co. Ltd. | 4.750% | 7/13/21 | 9,984 | 10,297 | |
| 9 | KSA Sukuk Ltd. | 3.628% | 4/20/27 | 17,930 | 19,834 |
| Malaysia Sovereign Sukuk Bhd. | 3.043% | 4/22/25 | 510 | 555 | |
| MDGH - GMTN BV | 2.750% | 5/11/23 | 5,000 | 5,205 | |
| MDGH - GMTN BV | 2.500% | 11/7/24 | 624 | 653 | |
| 6 | Ontario Teachers’ Cadillac Fairview Properties Trust | 3.125% | 3/20/22 | 20,096 | 20,568 |
| 6 | Ontario Teachers’ Cadillac Fairview Properties Trust | 3.875% | 3/20/27 | 6,600 | 7,206 |
| 6 | Ontario Teachers’ Cadillac Fairview Properties Trust | 4.125% | 2/1/29 | 24,580 | 27,733 |
| 6 | Ontario Teachers’ Finance Trust | 1.250% | 9/27/30 | 45,000 | 45,018 |
| 6 | Petronas Capital Ltd. | 3.500% | 4/21/30 | 1,993 | 2,235 |
| Province of Manitoba | 2.100% | 9/6/22 | 2,100 | 2,168 | |
| Province of Ontario | 1.050% | 5/21/27 | 25,000 | 25,220 | |
| Province of Quebec | 2.750% | 8/25/21 | 10,150 | 10,366 | |
| Province of Quebec | 2.375% | 1/31/22 | 15,700 | 16,129 | |
| Province of Quebec | 7.500% | 7/15/23 | 2,065 | 2,454 | |
| Province of Quebec | 7.125% | 2/9/24 | 2,674 | 3,247 | |
| Province of Quebec | 2.750% | 4/12/27 | 4,730 | 5,310 | |
| 10 | Republic of Chile | 1.625% | 1/30/25 | 9,387 | 11,675 |
| 4 | Republic of Chile | 3.240% | 2/6/28 | 11,616 | 12,890 |
| Republic of Latvia | 5.250% | 6/16/21 | 2,000 | 2,064 | |
| Republic of Lithuania | 6.125% | 3/9/21 | 58,266 | 59,683 | |
| Republic of Lithuania | 6.625% | 2/1/22 | 16,800 | 18,132 | |
| Republic of Poland | 5.125% | 4/21/21 | 10,910 | 11,183 | |
| Republic of Poland | 5.000% | 3/23/22 | 30,837 | 32,984 | |
| Republic of Poland | 3.000% | 3/17/23 | 1,921 | 2,035 | |
| Republic of Slovenia | 5.500% | 10/26/22 | 3,385 | 3,721 | |
| Republic of Slovenia | 5.250% | 2/18/24 | 18,841 | 21,582 | |
| 6 | SABIC Capital II BV | 4.000% | 10/10/23 | 17,612 | 18,931 |
| Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 888 | 972 | |
| Sinopec Group Overseas Development 2014 Ltd. | 4.375% | 4/10/24 | 288 | 318 | |
| Sinopec Group Overseas Development 2015 Ltd. | 3.250% | 4/28/25 | 304 | 328 | |
| 6 | Slovak Republic | 4.375% | 5/21/22 | 2,500 | 2,662 |
| Slovak Republic | 4.375% | 5/21/22 | 706 | 752 | |
| State Grid Overseas Investment 2013 Ltd. | 3.125% | 5/22/23 | 800 | 843 | |
| State Grid Overseas Investment 2016 Ltd. | 2.750% | 5/4/22 | 12,340 | 12,673 |
77
Institutional Intermediate-Term Bond Fund
| Face | Market | |||||
| Maturity | Amount | Value· | ||||
| Coupon | Date | ($000) | ($000) | |||
| State Grid Overseas Investment 2016 Ltd. | 3.500% | 5/4/27 | 7,920 | 8,832 | ||
| State of Israel | 2.750% | 7/3/30 | 50,000 | 55,193 | ||
| State of Kuwait | 2.750% | 3/20/22 | 4,740 | 4,864 | ||
| State of Kuwait | 3.500% | 3/20/27 | 8,019 | 9,019 | ||
| State of Qatar | 4.500% | 1/20/22 | 29,000 | 30,355 | ||
| State of Qatar | 3.875% | 4/23/23 | 2,501 | 2,684 | ||
| State of Qatar | 3.400% | 4/16/25 | 6,960 | 7,623 | ||
| State of Qatar | 3.250% | 6/2/26 | 3,600 | 3,959 | ||
| State of Qatar | 4.500% | 4/23/28 | 1,316 | 1,573 | ||
| State of Qatar | 4.000% | 3/14/29 | 4,305 | 5,026 | ||
| 6 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 2,000 | 2,083 | |
| 6 | Temasek Financial I Ltd. | 3.625% | 8/1/28 | 20,000 | 23,673 | |
| Total Sovereign Bonds (Cost $1,273,152) | 1,334,307 | |||||
| Taxable Municipal Bonds (1.1%) | ||||||
| California GO | 2.650% | 4/1/26 | 50,000 | 54,677 | ||
| City of New York NY | 2.330% | 10/1/29 | 5,000 | 5,241 | ||
| Dallas TX Waterworks & Sewer System Revenue | 2.589% | 10/1/27 | 1,450 | 1,589 | ||
| Florida State Board of Administration Finance Corp. | 1.705% | 7/1/27 | 75,000 | 76,096 | ||
| Florida State Board of Administration Finance Corp. | 2.154% | 7/1/30 | 55,000 | 55,708 | ||
| New York NY GO | 3.750% | 6/1/28 | 1,020 | 1,132 | ||
| Regents of the University of California Revenue | 3.063% | 7/1/25 | 3,430 | 3,790 | ||
| Texas GO | 2.531% | 10/1/23 | 480 | 512 | ||
| University of California | 1.316% | 5/15/27 | 25,000 | 25,267 | ||
| University of California | 3.349% | 7/1/29 | 48,635 | 55,891 | ||
| University of California | 1.614% | 5/15/30 | 34,665 | 34,739 | ||
| 11 | Wisconsin GO | 5.700% | 5/1/26 | 2,585 | 3,057 | |
| Total Taxable Municipal Bonds (Cost $310,411) | 317,699 | |||||
78
Institutional Intermediate-Term Bond Fund
| Market | ||||
| Value· | ||||
| Coupon | Shares | ($000) | ||
| Temporary Cash Investment (4.1%) | ||||
| Money Market Fund (4.1%) | ||||
| 12 | Vanguard Market Liquidity Fund (Cost $1,227,305) | 0.117% | 12,273,089 | 1,227,309 |
| Total Investments (110.1%) (Cost $32,094,671) | 33,087,117 | |||
| Other Assets and Liabilities—Net (-10.1%) | (3,037,967) | |||
| Net Assets (100%) | 30,049,150 | |||
Cost is in $000.
| · | See Note A in Notes to Financial Statements. |
| ¤ | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of September 30, 2020. |
| § | Security value determined using significant unobservable inputs. |
| 1 | Securities with a value of $21,256,000 have been segregated as initial margin for open futures contracts. |
| 2 | Securities with a value of $7,687,000 have been segregated as initial margin for open centrally cleared swap contracts. |
| 3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 5 | Variable rate security; rate shown is effective rate at period end. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 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 September 30, 2020, the aggregate value of these securities was $2,334,110,000, representing 7.8% of net assets. |
| 7 | Guaranteed by the Government of Japan. |
| 8 | Guaranteed by multiple countries. |
| 9 | Guaranteed by the Kingdom of Saudi Arabia. |
| 10 | Face amount denominated in euro. |
| 11 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corporation. |
| 12 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. | |
|
12M—12-month.
1M—1-month.
1YR—1-year.
3M—3-month.
CMT—Constant Maturing Treasury Rate.
GO—General Obligation Bond.
LIBOR—London Interbank Offered Rate.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities. |
79
Institutional Intermediate-Term Bond Fund
| Derivative Financial Instruments Outstanding as of Period End | ||||
| Futures Contracts | ||||
| ($000) | ||||
| Value and | ||||
| Number of | Unrealized | |||
| Long (Short) | Notional | Appreciation | ||
| Expiration | Contracts | Amount | (Depreciation) | |
| Long Futures Contracts | ||||
| 10-Year U.S. Treasury Note | December 2020 | 4,756 | 663,611 | 1,426 |
| 5-Year U.S. Treasury Note | December 2020 | 4,653 | 586,423 | (170) |
| 1,256 | ||||
| Short Futures Contracts | ||||
| Ultra 10-Year U.S. Treasury Note | December 2020 | (5,562) | (889,485) | 409 |
| 2-Year U.S. Treasury Note | December 2020 | (2,426) | (536,051) | (189) |
| 30-Year U.S. Treasury Bond | December 2020 | (880) | (155,128) | 330 |
| Ultra Long U.S. Treasury Bond | December 2020 | (252) | (55,897) | 344 |
| Euro-Bobl | December 2020 | (61) | (9,667) | (3) |
| 891 | ||||
| 2,147 | ||||
| Forward Currency Contracts | ||||||||
| Contract | Unrealized | Unrealized | ||||||
| Settlement | Contract Amount (000) | Appreciation | (Depreciation) | |||||
| Counterparty | Date | Receive | Deliver | ($000) | ($000) | |||
| Deutsche Bank AG | 10/30/20 | USD | 11,154 | EUR | 9,597 | — | (105) | |
| Royal Bank of Canada | 10/30/20 | USD | 10 | EUR | 9 | — | — | |
| J.P. Morgan Securities LLC | 10/30/20 | USD | 4 | EUR | 3 | — | — | |
| — | (105) | |||||||
EUR—euro.
USD—U.S. dollar.
80
Institutional Intermediate-Term Bond Fund
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 Periodic premium received/paid quarterly.
BARC—Barclays Bank plc.
BOANA—Bank of America, N.A.
CITNA—Citibank N.A.
GSI—Goldman Sachs International.
MSCS—Morgan Stanley Capital Services LLC.
81
Institutional Intermediate-Term Bond Fund
| Centrally Cleared Interest Rate Swaps | ||||||
| Fixed | Floating | |||||
| Interest | Interest | |||||
| Rate | Rate | Unrealized | ||||
| Future | Notional | Received | Received | Appreciation | ||
| Effective | Amount | (Paid)2 | (Paid)3 | Value | (Depreciation) | |
| Termination Date | Date | ($000) | (%) | (%) | ($000) | ($000) |
| 12/16/22 | 12/16/201 | 213,068 | (0.000) | 0.000 | 101 | 26 |
| 12/16/23 | 12/16/201 | 136,514 | (0.000) | 0.000 | 136 | 13 |
| 12/16/24 | 12/16/201 | 65,940 | (0.000) | 0.000 | 194 | 15 |
| 12/16/25 | 12/16/201 | 41,881 | (0.250) | 0.000 | (234) | 26 |
| 12/16/27 | 12/16/201 | 44,240 | (0.250) | 0.000 | 113 | 22 |
| 310 | 102 | |||||
| 1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
| 2 | Fixed interest payment received/paid annually. |
| 3 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Floating interest payment received/paid semiannually. |
See accompanying Notes, which are an integral part of the Financial Statements.
82
Institutional Intermediate-Term Bond Fund
Statement of Assets and Liabilities
As of September 30, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $30,867,366) | 31,859,808 |
| Affiliated Issuers (Cost $1,227,305) | 1,227,309 |
| Total Investments in Securities | 33,087,117 |
| Investment in Vanguard | 1,223 |
| Foreign Currency, at Value (Cost $4) | 4 |
| Receivables for Investment Securities Sold | 3,609,329 |
| Receivables for Accrued Income | 115,704 |
| Swap Premiums Paid | 553 |
| Variation Margin Receivable—Futures Contracts | 5,310 |
| Variation Margin Receivable—Centrally Cleared Swap Contracts | 56 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 118 |
| Total Assets | 36,819,414 |
| Liabilities | |
| Due to Custodian | 1,420 |
| Payables for Investment Securities Purchased | 6,766,555 |
| Payables to Vanguard | 311 |
| Swap Premiums Received | 61 |
| Variation Margin Payable—Futures Contracts | 1,525 |
| Variation Margin Payable—Centrally Cleared Swap Contracts | 5 |
| Unrealized Depreciation—Forward Currency Contracts | 105 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 282 |
| Total Liabilities | 6,770,264 |
| Net Assets | 30,049,150 |
| At September 30, 2020, net assets consisted of: | |
| Paid-in Capital | 28,795,373 |
| Total Distributable Earnings (Loss) | 1,253,777 |
| Net Assets | 30,049,150 |
| Net Assets | |
| Applicable to 1,236,050,385 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 30,049,150 |
| Net Asset Value Per Share | $24.31 |
See accompanying Notes, which are an integral part of the Financial Statements.
83
Institutional Intermediate-Term Bond Fund
Statement of Operations
| Year Ended | |
| September 30, 2020 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 577,453 |
| Total Income | 577,453 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 755 |
| Management and Administrative | 4,013 |
| Marketing and Distribution | 274 |
| Custodian Fees | 191 |
| Auditing Fees | 45 |
| Trustees’ Fees and Expenses | 15 |
| Total Expenses | 5,293 |
| Net Investment Income | 572,160 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 238,461 |
| Futures Contracts | 129,005 |
| Swap Contracts | (17,676) |
| Forward Currency Contracts | (786) |
| Foreign Currencies | 870 |
| Realized Net Gain (Loss) | 349,874 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 603,141 |
| Futures Contracts | 2,010 |
| Swap Contracts | 2,535 |
| Forward Currency Contracts | (105) |
| Foreign Currencies | 5 |
| Change in Unrealized Appreciation (Depreciation) | 607,586 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,529,620 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,727,000, ($348,000), and ($28,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
84
Institutional Intermediate-Term Bond Fund
Statement of Changes in Net Assets
| Year Ended September 30, | ||
| 2020 | 2019 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 572,160 | 521,184 |
| Realized Net Gain (Loss) | 349,874 | 101,880 |
| Change in Unrealized Appreciation (Depreciation) | 607,586 | 722,740 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,529,620 | 1,345,804 |
| Distributions1 | ||
| Total Distributions | (572,175) | (520,840) |
| Capital Share Transactions | ||
| Issued | 7,567,141 | 4,088,563 |
| Issued in Lieu of Cash Distributions | 572,175 | 520,840 |
| Redeemed | (953,323) | (55,172) |
| Net Increase (Decrease) from Capital Share Transactions | 7,185,993 | 4,554,231 |
| Total Increase (Decrease) | 8,143,438 | 5,379,195 |
| Net Assets | ||
| Beginning of Period | 21,905,712 | 16,526,517 |
| End of Period | 30,049,150 | 21,905,712 |
| 1 | Certain prior-period numbers have been reclassified to conform with the current-period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
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Institutional Intermediate-Term Bond Fund
Financial Highlights
| For a Share Outstanding | Year Ended September 30, | ||||
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $23.43 | $22.39 | $23.12 | $23.79 | $23.46 |
| Investment Operations | |||||
| Net Investment Income | .5171 | .6561 | .5611 | .4621 | .473 |
| Net Realized and Unrealized Gain (Loss) on Investments | .880 | 1.034 | (.736) | (.470) | .383 |
| Total from Investment Operations | 1.397 | 1.690 | (.175) | (.008) | .856 |
| Distributions | |||||
| Dividends from Net Investment Income | (.517) | (.650) | (.555) | (.454) | (.473) |
| Distributions from Realized Capital Gains | — | — | — | (.208) | (.053) |
| Total Distributions | (.517) | (.650) | (.555) | (.662) | (.526) |
| Net Asset Value, End of Period | $24.31 | $23.43 | $22.39 | $23.12 | $23.79 |
| Total Return | 6.02% | 7.66% | -0.75% | 0.01% | 3.70% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $30,049 | $21,906 | $16,527 | $14,106 | $9,821 |
| Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% |
| Ratio of Net Investment Income to Average Net Assets | 2.16% | 2.86% | 2.48% | 1.99% | 2.02% |
| Portfolio Turnover Rate2 | 347% | 323% | 182% | 253% | 251% |
1 Calculated based on average shares outstanding.
2 Includes 114%, 46%, 67%, 111%, and 67% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
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Institutional Intermediate-Term Bond Fund
Notes to Financial Statements
Vanguard Institutional Intermediate-Term Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund has been established by Vanguard as an investment vehicle for certain collective trusts and other accounts managed by Vanguard or its affiliates and qualifying education savings plans. The fund is offered to investors who meet certain administrative and service criteria and invest a minimum of $10 million.
Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
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Institutional Intermediate-Term Bond Fund
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended September 30, 2020, the fund’s average investments in long and short futures contracts represented 9% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. 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 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 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the year ended September 30, 2020, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market.
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Institutional Intermediate-Term Bond Fund
The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of
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Institutional Intermediate-Term Bond Fund
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
During the year ended September 30, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased each represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At September 30, 2020, counterparties had deposited in segregated accounts securities with a value of $2,228,000 and cash of $11,257,000 in connection with TBA transactions.
7. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities
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Institutional Intermediate-Term Bond Fund
from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
8. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
9. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
10. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
91
Institutional Intermediate-Term Bond Fund
For the year ended September 30, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
11. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At September 30, 2020, the fund had contributed to Vanguard capital in the amount of $1,223,000, representing less than 0.01% of the fund’s net assets and 0.49% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
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Institutional Intermediate-Term Bond Fund
The following table summarizes the market value of the fund’s investments and derivatives as of September 30, 2020, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| U.S. Government and Agency Obligations | — | 17,315,279 | — | 17,315,279 |
| Asset-Backed/Commercial Mortgage- Backed Securities | — | 3,757,769 | 34,326 | 3,792,095 |
| Corporate Bonds | — | 9,100,428 | — | 9,100,428 |
| Sovereign Bonds | — | 1,334,307 | — | 1,334,307 |
| Taxable Municipal Bonds | — | 317,699 | — | 317,699 |
| Temporary Cash Investments | 1,227,309 | — | — | 1,227,309 |
| Total | 1,227,309 | 31,825,482 | 34,326 | 33,087,117 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 5,310 | — | — | 5,310 |
| Swap Contracts | 561 | 118 | — | 174 |
| Total | 5,366 | 118 | — | 5,484 |
| Liabilities | ||||
| Futures Contracts1 | 1,525 | — | — | 1,525 |
| Forward Currency Contracts | — | 105 | — | 105 |
| Swap Contracts | 51 | 282 | — | 287 |
| Total | 1,530 | 387 | — | 1,917 |
1 Represents variation margin on the last day of the reporting period.
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Institutional Intermediate-Term Bond Fund
D. At September 30, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Statement of Assets and Liabilities Caption | ($000) | ($000) | ($000) | ($000) |
| Swap Premiums Paid | — | — | 553 | 553 |
| Variation Margin Receivable—Futures Contracts | 5,310 | — | — | 5,310 |
| Variation Margin Receivable—Centrally Cleared Swap Contracts | 56 | — | — | 56 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | — | — | 118 | 118 |
| Total Assets | 5,366 | — | 671 | 6,037 |
| Swap Premiums Received | — | — | 61 | 61 |
| Variation Margin Payable—Futures Contracts | 1,525 | — | — | 1,525 |
| Variation Margin Payable—Centrally Cleared Swap Contracts | 5 | — | — | 5 |
| Unrealized Depreciation—Forward Currency Contracts | — | 105 | — | 105 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | — | — | 282 | 282 |
| Total Liabilities | 1,530 | 105 | 343 | 1,978 |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended September 30, 2020, were:
| Foreign | ||||
| Interest Rate | Exchange | Credit | ||
| Contracts | Contracts | Contracts | Total | |
| Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
| Futures Contracts | 129,005 | — | — | 129,005 |
| Swap Contracts | (18,805) | — | 1,129 | (17,676) |
| Forward Currency Contracts | — | (786) | — | (786) |
| Realized Net Gain (Loss) on Derivatives | 110,200 | (786) | 1,129 | 110,543 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
| Futures Contracts | 2,010 | — | — | 2,010 |
| Swap Contracts | 2,437 | — | 98 | 2,535 |
| Forward Currency Contracts | — | (105) | — | (105) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | 4,447 | (105) | 98 | 4,440 |
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Institutional Intermediate-Term Bond Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions, distributions in connection with fund share redemptions, and swap agreements were reclassified between the following accounts:
| Amount | |
| ($000) | |
| Paid-in Capital | 3,354 |
| Total Distributable Earnings (Loss) | (3,354) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the deferral of losses from straddles; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount | |
| ($000) | |
| Undistributed Ordinary Income | 170,084 |
| Undistributed Long-Term Gains | 92,883 |
| Capital Loss Carryforwards | — |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 990,810 |
The tax character of distributions paid was as follows:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Amount | Amount | |
| ($000) | ($000) | |
| Ordinary Income* | 572,175 | 520,840 |
| Long-Term Capital Gains | — | — |
| Total | 572,175 | 520,840 |
* Includes short-term capital gains, if any.
95
Institutional Intermediate-Term Bond Fund
As of September 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount | |
| ($000) | |
| Tax Cost | 32,096,741 |
| Gross Unrealized Appreciation | 1,020,149 |
| Gross Unrealized Depreciation | (29,343) |
| Net Unrealized Appreciation (Depreciation) | 990,806 |
F. During the year ended September 30, 2020, the fund purchased $8,786,539,000 of investment securities and sold $3,784,353,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $91,068,168,000 and $85,650,380,000, respectively.
G. Capital shares issued and redeemed were:
| Year Ended September 30, | ||
| 2020 | 2019 | |
| Shares | Shares | |
| (000) | (000) | |
| Issued | 316,998 | 176,418 |
| Issued in Lieu of Cash Distributions | 23,926 | 22,728 |
| Redeemed | (39,686) | (2,385) |
| Net Increase (Decrease) in Shares Outstanding | 301,238 | 196,761 |
H. Management has determined that no events or transactions occurred subsequent to September 30, 2020, that would require recognition or disclosure in these financial statements.
96
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Malvern Funds and Shareholders of Vanguard Institutional Short-Term Bond Fund and Vanguard Institutional Intermediate-Term Bond Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Vanguard Institutional Short-Term Bond Fund and Vanguard Institutional Intermediate-Term Bond Fund (two of the funds constituting Vanguard Malvern Funds, hereafter collectively referred to as the “Funds”) as of September 30, 2020, the related statements of operations for the year ended September 30, 2020, the statements of changes in net assets for each of the two years in the period ended September 30, 2020, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2020 and each of the financial highlights for each of the five years in the period ended September 30, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 17, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
97
Special 2020 tax information (unaudited) for Vanguard Institutional Short-Term Bond Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $16,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 75.9% of income dividends are interest-related dividends.
Special 2020 tax information (unaudited) for Vanguard Institutional Intermediate-Term Bond Fund
This information for the fiscal year ended September 30, 2020, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,188,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 82.3% of income dividends are interest-related dividends.
98
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: board chair (2020–present), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of the individual life and disability division of Guardian Life. Member of the board of the American Council of Life Insurers and the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork- Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and comanaging partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Deputy assistant to the President of the United States (2015).
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.
Vanguard Senior Management Team
| Joseph Brennan | James M. Norris |
| Mortimer J. Buckley | Thomas M. Rampulla |
| Gregory Davis | Karin A. Risi |
| John James | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | Lauren Valente |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
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Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| © 2020 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q4720 112020 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended September 30, 2020: $260,000
Fiscal Year Ended September 30, 2019: $298,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended September 30, 2020: $10,761,407
Fiscal Year Ended September 30, 2019: $9,568,215
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended September 30, 2020: $2,915,863
Fiscal Year Ended September 30, 2019: $3,012,031
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended September 30, 2020: $247,168
Fiscal Year Ended September 30, 2019: $357,238
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended September 30, 2020: $115,000
Fiscal Year Ended September 30, 2019: $0
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended September 30, 2020: $362,168
Fiscal Year Ended September 30, 2019: $357,238
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: 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. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
| (a) | Code of Ethics. |
| (b) | Certifications. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD MALVERN FUNDS | ||
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| MORTIMER J. BUCKLEY | ||
| CHIEF EXECUTIVE OFFICER |
Date: November 17, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| VANGUARD MALVERN FUNDS | ||
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| MORTIMER J. BUCKLEY | ||
| CHIEF EXECUTIVE OFFICER |
Date: November 17, 2020
| VANGUARD MALVERN FUNDS | ||
| BY: | /s/ JOHN BENDL* | |
| JOHN BENDL | ||
| CHIEF FINANCIAL OFFICER |
Date: November 17, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on October 23, 2020 (see File Number 2-52698), Incorporated by Reference.