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: 811-07175
| Name of Registrant: | Vanguard Tax-Managed 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: December 31
Date of reporting period: January 1, 2021—December 31, 2021
Item 1: Reports to Shareholders
Annual Report | December 31, 2021
Vanguard
Tax-Managed Funds®
| Vanguard Tax-Managed Balanced Fund |
| Vanguard Tax-Managed Capital Appreciation Fund |
| Vanguard Tax-Managed Small-Cap Fund |
Contents
| 1 | |
| 2 | |
| 4 | |
| 100 | |
| 123 |
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 December 31, 2021, returns for the Vanguard Tax-Managed Funds ranged from 13.10% for Vanguard Tax-Managed Balanced Fund to 27.11% for Institutional Shares of Vanguard Tax-Managed Small Cap Fund. |
| • | The U.S. economy continued to heal over the 12 months. Vaccination programs started rolling out shortly after the period began, helping some of the hardest-hit sectors such as hospitality, leisure, and travel, and more workers returned to the labor force. U.S. stocks performed strongly even with the spread of new COVID-19 variants, a surge in inflation, and Federal Reserve monetary policy turning less accommodative. |
| • | Growth stocks outperformed value stocks for the 12 months, while large-capitalization stocks led mid- and small-caps. The broad U.S. stock market, as measured by the CRSP US Total Market Index, returned 25.72%. |
| • | The municipal bond market, as measured by the Bloomberg 1–15 Year Municipal Bond Index, returned 0.86%. Municipal bonds make up about half the Tax-Managed Balanced Fund’s assets. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2021 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.45% | 26.21% | 18.43% |
| Russell 2000 Index (Small-caps) | 14.82 | 20.02 | 12.02 |
| Russell 3000 Index (Broad U.S. market) | 25.66 | 25.79 | 17.97 |
| FTSE All-World ex US Index (International) | 8.36 | 13.66 | 9.89 |
| Bonds | |||
| Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -1.54% | 4.79% | 3.57% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 1.52 | 4.73 | 4.17 |
| FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 0.95 | 1.11 |
| CPI | |||
| Consumer Price Index | 7.04% | 3.53% | 2.92% |
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 December 31, 2021 | |||
| Beginning Account Value 6/30/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Tax-Managed Balanced Fund | $1,000.00 | $1,051.50 | $0.47 |
| Tax-Managed Capital Appreciation Fund | |||
| Admiral™ Shares | $1,000.00 | $1,102.60 | $0.48 |
| Institutional Shares | 1,000.00 | 1,102.80 | 0.32 |
| Tax-Managed Small-Cap Fund | |||
| Admiral Shares | $1,000.00 | $1,028.50 | $0.46 |
| Institutional Shares | 1,000.00 | 1,028.70 | 0.31 |
| Based on Hypothetical 5% Yearly Return | |||
| Tax-Managed Balanced Fund | $1,000.00 | $1,024.75 | $0.46 |
| Tax-Managed Capital Appreciation Fund | |||
| Admiral Shares | $1,000.00 | $1,024.75 | $0.46 |
| Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
| Tax-Managed Small-Cap Fund | |||
| Admiral Shares | $1,000.00 | $1,024.75 | $0.46 |
| Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
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: for the Tax-Managed Balanced Fund, 0.09%; for the Tax-Managed Capital Appreciation
Fund, 0.09% for Admiral Shares and 0.06% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.09% for Admiral Shares and 0.06% 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 (184/365).
3
Tax-Managed Balanced 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:
December 31, 2011, Through December 31, 2021
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2021 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Tax-Managed Balanced Fund | 13.10% | 10.92% | 9.75% | $25,344 |
| Tax-Managed Balanced Composite Index | 13.19 | 11.25 | 9.96 | 25,852 |
| Bloomberg Municipal Bond Index | 1.52 | 4.17 | 3.72 | 14,414 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 25.66 | 17.92 | 16.24 | 45,050 |
Tax-Managed Balanced Composite Index:
50% Russell 1000 Index and 50% Bloomberg 1–15 Year Municipal Bond Index.
See Financial
Highlights for dividend and capital gains information.
4
Tax-Managed Balanced Fund
Fund Allocation
As of December 31, 2021
| Investment Exposure | |
| Basic Materials | 0.6% |
| Consumer Discretionary | 7.9 |
| Consumer Staples | 2.4 |
| Energy | 1.3 |
| Financials | 5.0 |
| Health Care | 5.9 |
| Industrials | 6.3 |
| Other | 0.6 |
| Real Estate | 1.5 |
| Technology | 14.2 |
| Telecommunications | 1.3 |
| Utilities | 1.3 |
| Tax-Exempt Municipal Bonds | 51.7 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
5
Tax-Managed Balanced Fund
Financial Statements
Schedule of Investments
As of December 31, 2021
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
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Tax-Exempt Municipal Bonds (51.4%) | ||||||
| Alabama (1.1%) | ||||||
| Alabama Economic Settlement Authority BP Settlement Revenue | 4.000% | 9/15/33 | 500 | 566 | ||
| Alabama Federal AID Highway Finance Authority Bonds Prere. | 5.000% | 9/1/22 | 3,230 | 3,333 | ||
| Alabama Federal AID Highway Finance Authority Special Obligation Revenue ETM | 5.000% | 9/1/25 | 3,525 | 4,103 | ||
| Alabama Incentives Financing Authority Special Obligation Revenue Prere. | 5.000% | 9/1/22 | 380 | 392 | ||
| Alabama State Public School & College Authority Capital Improvement & Refunding Bonds | 4.000% | 11/1/38 | 2,640 | 3,181 | ||
| Alabama State Public School & College Authority Capital Improvement & Refunding Bonds | 5.000% | 11/1/39 | 5,000 | 6,511 | ||
| Birmingham-Jefferson AL Civic Center Authority Special Tax Revenue | 5.000% | 7/1/31 | 1,125 | 1,361 | ||
15
Tax-Managed Balanced Fund
16
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Arizona COP ETM | 5.000% | 10/1/26 | 2,000 | 2,411 | ||
| Arizona Excise Taxes Obligations Revenue | 1.500% | 7/1/29 | 600 | 594 | ||
| Arizona Excise Taxes Obligations Revenue | 2.100% | 7/1/36 | 1,000 | 994 | ||
| Arizona Industrial Development Authority Lease Revenue (Children's National Medical Center) | 5.000% | 9/1/34 | 350 | 450 | ||
| 5 | Arizona Industrial Development Authority Revenue (Economic Legacy Cares) | 6.375% | 7/1/25 | 180 | 199 | |
| 5 | Arizona Industrial Development Authority Revenue (Economic Legacy Cares) | 6.500% | 7/1/26 | 100 | 113 | |
| 5 | Arizona Industrial Development Authority Revenue (Economic Legacy Cares) | 6.625% | 7/1/27 | 265 | 305 | |
| 5 | Arizona Industrial Development Authority Revenue (Economic Legacy Cares) | 6.750% | 7/1/28 | 305 | 356 | |
| Arizona Industrial Development Authority Revenue (Greathearts Arizona Projects) | 3.000% | 7/1/37 | 695 | 753 | ||
| Arizona Industrial Development Authority Revenue (Lincoln South Beltway Project) | 5.000% | 11/1/28 | 1,290 | 1,624 | ||
| Arizona Industrial Development Authority Revenue (Phoenix Children's Hospital) | 5.000% | 2/1/36 | 1,765 | 2,336 | ||
| Arizona State University Revenue (McAllister Academic Village LLC) | 5.000% | 7/1/36 | 1,620 | 1,913 | ||
| Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/23 | 2,155 | 2,306 | ||
| Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/24 | 2,110 | 2,351 | ||
| Arizona Transportation Board Highway Revenue | 5.000% | 7/1/22 | 2,210 | 2,263 | ||
| Arizona Transportation Board Highway Revenue | 5.000% | 7/1/32 | 1,025 | 1,211 | ||
| Arizona Transportation Board Highway Revenue | 5.000% | 7/1/33 | 1,000 | 1,180 | ||
| Arizona Transportation Board Highway Revenue Prere. | 5.000% | 7/1/22 | 500 | 512 | ||
| Arizona Water Infrastructure Finance Authority Revenue | 5.000% | 10/1/27 | 1,000 | 1,122 | ||
| Chandler AZ GO | 5.000% | 7/1/23 | 1,165 | 1,248 | ||
| Glendale City AZ Excise Tax Refunding Obligations Revenue | 5.000% | 7/1/28 | 1,785 | 2,179 | ||
| La Paz County AZ Industrial Development Authority Education Facility Lease Revenue (Harmony Public Schools Project) | 5.000% | 2/15/31 | 100 | 124 | ||
| Maricopa County AZ Elementary School District No. 14 (Creighton) GO | 3.000% | 7/1/32 | 1,000 | 1,095 | ||
| 5 | Maricopa County AZ Industrial Development Authority Education Revenue (Legacy Traditional Schools Projects) | 3.000% | 7/1/31 | 650 | 695 | |
| Maricopa County AZ Industrial Development Authority Hospital Revenue (Honorhealth) | 5.000% | 9/1/33 | 830 | 1,032 | ||
| Maricopa County AZ Pollution Control Corp. Revenue (Southern California Edison Co.) | 2.400% | 6/1/35 | 1,000 | 1,003 | ||
| Maricopa County AZ School District No. 83 | 3.000% | 10/1/39 | 1,000 | 1,107 | ||
| Maricopa County AZ Unified School District No. 4 (Mesa) GO | 5.000% | 7/1/24 | 1,730 | 1,928 | ||
| 6,7 | Phoenix AZ Civic Improvement Corp. Distribution Revenue | 5.500% | 7/1/42 | 1,500 | 2,343 | |
| Phoenix AZ Civic Improvement Corp. Excise Tax Revenue | 5.000% | 7/1/35 | 1,110 | 1,448 | ||
| Phoenix AZ Civic Improvement Corp. Excise Tax Revenue ETM | 5.000% | 7/1/22 | 1,145 | 1,172 | ||
| Phoenix AZ Civic Improvement Corp. Wastewater System Revenue | 5.000% | 7/1/22 | 2,290 | 2,345 | ||
| Phoenix AZ Civic Improvement Corp. Wastewater System Revenue | 5.000% | 7/1/27 | 1,295 | 1,540 | ||
| Phoenix AZ Civic Improvement Corp. Wastewater System Revenue | 4.000% | 7/1/28 | 2,015 | 2,180 | ||
17
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/22 | 1,260 | 1,290 | ||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/23 | 2,040 | 2,185 | ||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/26 | 2,520 | 2,803 | ||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/29 | 1,800 | 2,321 | ||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/35 | 1,900 | 2,236 | ||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 5.000% | 7/1/39 | 1,000 | 1,323 | ||
| Phoenix AZ Civic Improvement Corp. Water System Revenue | 4.000% | 7/1/41 | 1,000 | 1,216 | ||
| Phoenix AZ Industrial Development Authority Lease Revenue (Downtown Phoenix Student Housing LLC) | 5.000% | 7/1/27 | 300 | 359 | ||
| Phoenix AZ Industrial Development Authority Lease Revenue (Downtown Phoenix Student Housing LLC) | 5.000% | 7/1/28 | 250 | 305 | ||
| 4,5 | Pima County AZ Industrial Development Authority Revenue (American Leadership Academy Project) | 4.000% | 6/15/31 | 1,050 | 1,103 | |
| Pima County AZ Industrial Development Authority Revenue (Tucson Medical Center) | 4.000% | 4/1/38 | 1,040 | 1,245 | ||
| Pima County AZ Sewer Revenue | 5.000% | 7/1/24 | 1,105 | 1,231 | ||
| Pima County AZ Sewer System Revenue | 5.000% | 7/1/25 | 1,000 | 1,070 | ||
| Regional Public Transportation Authority Arizona Excise Tax Revenue (Maricopa County Public Transportation) | 5.250% | 7/1/24 | 1,125 | 1,260 | ||
| Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 12/1/29 | 2,000 | 2,040 | ||
| 4 | Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 1/1/31 | 2,000 | 2,598 | |
| 4 | Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 1/1/32 | 2,500 | 3,306 | |
| Salt River Project Arizona Agricultural Improvement & Power District Revenue | 5.000% | 1/1/36 | 1,540 | 1,842 | ||
| Salt River Project Arizona Agricultural Improvement & Power District Revenue (Arizona Salt Projects Electric System) | 5.000% | 1/1/24 | 1,210 | 1,322 | ||
| Salt River Project Arizona Agricultural Improvement & Power District Revenue (Arizona Salt Projects Electric System) | 5.000% | 1/1/25 | 1,825 | 2,074 | ||
| Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/24 | 910 | 1,025 | ||
| Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/28 | 640 | 802 | ||
| Salt Verde AZ Financial Corp. Gas Revenue | 5.000% | 12/1/37 | 855 | 1,198 | ||
| 81,963 | ||||||
| Arkansas (0.2%) | ||||||
| Arkansas Federal Highway Revenue GO | 3.000% | 4/1/24 | 5,000 | 5,102 | ||
| Arkansas State GO (Four-Lane Highway Construction and Improvement) | 5.000% | 6/15/23 | 10,000 | 10,691 | ||
| Pulaski County AR Hospital Revenue (Arkansas Children's Hospital) | 5.000% | 3/1/29 | 1,075 | 1,277 | ||
| 8 | Springdale AR Sales & Use Revenue | 5.000% | 4/1/37 | 1,000 | 1,097 | |
| Springdale AR School District No. 50 GO | 4.000% | 6/1/27 | 1,190 | 1,207 | ||
| Springdale AR School District No. 50 GO | 4.000% | 6/1/32 | 1,155 | 1,172 | ||
| University of Arkansas Revenue | 5.000% | 11/1/24 | 850 | 958 | ||
| University of Arkansas Revenue | 5.000% | 11/1/30 | 775 | 926 | ||
| 22,430 | ||||||
18
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| California (4.6%) | ||||||
| ABAG Finance Authority for Nonprofit Corps. California Revenue (Episcopal Senior Communities) ETM | 5.000% | 7/1/22 | 500 | 512 | ||
| ABAG Finance Authority for Nonprofit Corps. California Revenue (Episcopal Senior Communities) Prere. | 5.000% | 7/1/22 | 2,800 | 2,867 | ||
| 3 | ABAG Finance Authority for Nonprofit Corps. California Revenue (Windemere Ranch Infrastructure Financing Program) | 5.000% | 9/2/30 | 1,135 | 1,390 | |
| 9 | Alameda CA Corridor Transportation Authority Revenue | 0.000% | 10/1/30 | 740 | 641 | |
| 10 | Alameda CA Corridor Transportation Authority Revenue | 0.000% | 10/1/32 | 2,070 | 1,685 | |
| Anaheim CA Housing & Public Improvements Authority Revenue (Electric Utility Distribution System) | 5.000% | 10/1/30 | 1,000 | 1,056 | ||
| Anaheim CA Housing & Public Improvements Authority Revenue (Electric Utility Distribution System) | 5.000% | 10/1/33 | 1,015 | 1,071 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 4.000% | 4/1/33 | 1,000 | 1,159 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) | 4.000% | 4/1/37 | 820 | 948 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) Prere. | 5.000% | 4/1/22 | 500 | 506 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) Prere. | 5.000% | 4/1/23 | 1,000 | 1,060 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.125% | 4/1/25 | 2,950 | 3,072 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.850% | 4/1/25 | 1,000 | 1,065 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.625% | 4/1/26 | 2,000 | 2,131 | ||
| Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) PUT | 2.950% | 4/1/26 | 1,000 | 1,076 | ||
| 11 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area), SIFMA Municipal Swap Index Yield + 0.300% PUT | 0.400% | 4/1/27 | 1,000 | 1,000 | |
| 11 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area), SIFMA Municipal Swap Index Yield + 0.410% PUT | 0.510% | 4/1/28 | 1,000 | 1,000 | |
| 11 | Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area), SIFMA Municipal Swap Index Yield + 0.900% PUT | 1.000% | 5/1/23 | 1,000 | 1,006 | |
| 4 | Bay Area Water Supply & Conservation Agency CA Revenue (Capital Cost Recovery Prepayment Program) | 5.000% | 10/1/33 | 1,000 | 1,289 | |
| 9 | Brea CA Redevelopment Agency Successor Agency Tax Allocation Revenue (Redevelopment Project AB) | 0.000% | 8/1/29 | 1,000 | 890 | |
| California Community Choice Financing Authority Revenue PUT | 4.000% | 12/1/27 | 3,325 | 3,838 | ||
| California Community Choice Financing Authority Revenue PUT | 4.000% | 8/1/31 | 2,985 | 3,626 | ||
| California Educational Facilities Authority Revenue | 5.000% | 3/15/39 | 15 | 22 | ||
| California Educational Facilities Authority Revenue | 5.000% | 6/1/43 | 1,995 | 3,064 | ||
| California GO | 5.000% | 8/1/22 | 1,000 | 1,028 | ||
| California GO | 5.000% | 9/1/22 | 1,805 | 1,863 | ||
| California GO | 5.000% | 10/1/22 | 1,630 | 1,689 | ||
| California GO | 5.000% | 12/1/22 | 1,025 | 1,070 | ||
| California GO | 5.000% | 9/1/23 | 1,750 | 1,887 | ||
| California GO | 5.000% | 11/1/23 | 1,155 | 1,254 | ||
| California GO | 5.000% | 4/1/24 | 2,000 | 2,208 | ||
| California GO | 5.000% | 10/1/24 | 2,000 | 2,252 | ||
19
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| California GO | 5.000% | 12/1/24 | 2,000 | 2,266 | ||
| California GO | 5.000% | 3/1/26 | 660 | 757 | ||
| California GO | 5.000% | 4/1/26 | 2,000 | 2,372 | ||
| California GO | 5.000% | 4/1/27 | 2,000 | 2,446 | ||
| California GO | 3.500% | 8/1/27 | 1,515 | 1,746 | ||
| California GO | 5.000% | 2/1/28 | 690 | 725 | ||
| California GO | 5.000% | 4/1/28 | 5,125 | 6,436 | ||
| California GO | 5.000% | 9/1/29 | 455 | 544 | ||
| California GO | 5.000% | 9/1/29 | 1,000 | 1,297 | ||
| California GO | 5.000% | 10/1/29 | 5,000 | 6,495 | ||
| California GO | 5.000% | 11/1/29 | 1,700 | 1,843 | ||
| California GO | 5.000% | 9/1/30 | 1,500 | 1,996 | ||
| California GO | 5.000% | 11/1/30 | 5,000 | 6,661 | ||
| California GO | 4.000% | 8/1/31 | 1,675 | 1,918 | ||
| California GO | 5.000% | 9/1/31 | 2,000 | 2,720 | ||
| California GO | 5.000% | 2/1/32 | 500 | 502 | ||
| California GO | 5.000% | 4/1/32 | 2,500 | 3,191 | ||
| California GO | 5.000% | 9/1/32 | 1,000 | 1,353 | ||
| California GO | 5.000% | 10/1/32 | 1,875 | 2,101 | ||
| California GO | 4.000% | 8/1/33 | 1,520 | 1,736 | ||
| California GO | 5.000% | 8/1/33 | 2,865 | 3,402 | ||
| California GO | 4.000% | 9/1/33 | 2,000 | 2,290 | ||
| California GO | 3.000% | 10/1/34 | 1,225 | 1,358 | ||
| California GO | 5.000% | 11/1/34 | 1,340 | 1,771 | ||
| California GO | 3.000% | 10/1/35 | 1,815 | 2,003 | ||
| California GO | 5.000% | 11/1/35 | 5,000 | 6,599 | ||
| California GO | 3.000% | 10/1/36 | 1,500 | 1,649 | ||
| California GO | 4.000% | 10/1/36 | 1,000 | 1,227 | ||
| California GO | 4.000% | 10/1/36 | 1,155 | 1,417 | ||
| California GO | 5.000% | 9/1/41 | 5,000 | 6,623 | ||
| California GO | 4.000% | 10/1/41 | 1,000 | 1,209 | ||
| California Health Facilities Financing Authority Revenue (Adventist Health System/West) | 5.000% | 3/1/23 | 1,325 | 1,398 | ||
| California Health Facilities Financing Authority Revenue (Cedars-Sinai Health System) | 5.000% | 8/15/41 | 1,890 | 2,473 | ||
| California Health Facilities Financing Authority Revenue (Children's Hospital of Los Angeles) | 5.000% | 11/15/23 | 1,000 | 1,041 | ||
| California Health Facilities Financing Authority Revenue (Common Spirit Health) | 4.000% | 4/1/37 | 1,000 | 1,194 | ||
| California Health Facilities Financing Authority Revenue (Kaiser Permanente) PUT | 5.000% | 11/1/22 | 795 | 827 | ||
| California Health Facilities Financing Authority Revenue (PIH Health) | 4.000% | 6/1/38 | 1,000 | 1,186 | ||
| California Health Facilities Financing Authority Revenue (Providence St. Joseph Health Obligated Group) PUT | 4.000% | 10/1/24 | 1,195 | 1,310 | ||
| California Health Facilities Financing Authority Revenue (Providence St. Joseph Health Obligated Group) PUT | 5.000% | 10/1/25 | 1,690 | 1,963 | ||
| California Health Facilities Financing Authority Revenue (Stanford Hospital & Clinics) Prere. | 5.000% | 8/15/22 | 2,000 | 2,059 | ||
| California Health Facilities Financing Authority Revenue (Sutter Health) | 5.000% | 11/15/36 | 1,000 | 1,228 | ||
| California Housing Finance Agency Municipal Certificates | 3.750% | 3/25/35 | 2,493 | 2,943 | ||
| California Housing Finance Agency Municipal Certificates | 3.500% | 11/20/35 | 989 | 1,128 | ||
| California Housing Finance Agency Municipal Certificates | 3.250% | 8/20/36 | 499 | 566 | ||
20
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 7 | California Infrastructure & Economic Development Bank Revenue (Bay Area Toll Bridges Seismic Retrofit) Prere. | 5.000% | 1/1/28 | 500 | 621 | |
| 11 | California Infrastructure & Economic Development Bank Revenue (California Academy of Sciences), SIFMA Municipal Swap Index Yield + 0.350% PUT | 0.450% | 8/1/24 | 1,000 | 1,003 | |
| California Infrastructure & Economic Development Bank Revenue (County Museum of Art Project) PUT | 1.200% | 6/1/28 | 1,000 | 1,010 | ||
| California Municipal Finance Authority Revenue (Anaheim Electric Utility Distribution System) | 5.000% | 10/1/30 | 965 | 1,118 | ||
| California Municipal Finance Authority Revenue (Recovery Zone Bonds) VRDO | 0.070% | 1/3/22 | 5,100 | 5,100 | ||
| California Public Works Board Lease Revenue (Davidson Library) Prere. | 5.000% | 3/1/23 | 20 | 21 | ||
| California Public Works Board Lease Revenue (Department of Corrections) | 5.000% | 6/1/22 | 1,000 | 1,020 | ||
| California Public Works Board Lease Revenue (Department of Corrections) | 5.000% | 6/1/27 | 1,050 | 1,071 | ||
| California Public Works Board Lease Revenue (Judicial Council Projects) | 5.000% | 10/1/26 | 1,200 | 1,346 | ||
| California Public Works Board Lease Revenue (Judicial Council Projects) | 5.000% | 3/1/28 | 300 | 315 | ||
| California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 2/1/24 | 500 | 548 | ||
| California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 12/1/26 | 2,500 | 2,822 | ||
| California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 2/1/31 | 2,000 | 2,665 | ||
| California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 11/1/31 | 1,000 | 1,040 | ||
| California Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 4/1/32 | 350 | 354 | ||
| 3 | California School Facilities Financing Authority Revenue (Los Angeles County) | 0.000% | 8/1/49 | 2,000 | 673 | |
| 4 | California State Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 8/1/22 | 1,000 | 1,018 | |
| 4 | California State Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 8/1/29 | 1,000 | 1,274 | |
| California State Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 11/1/32 | 1,000 | 1,040 | ||
| 4 | California State Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 8/1/34 | 340 | 430 | |
| 4 | California State Public Works Board Lease Revenue (Various Capital Projects) | 5.000% | 8/1/36 | 2,000 | 2,615 | |
| California State University Systemwide Revenue | 5.000% | 11/1/32 | 1,000 | 1,181 | ||
| California State University Systemwide Revenue | 5.000% | 11/1/32 | 2,815 | 3,437 | ||
| California State University Systemwide Revenue | 5.000% | 11/1/35 | 2,000 | 2,438 | ||
| California State University Systemwide Revenue | 5.000% | 11/1/37 | 1,000 | 1,161 | ||
| California State University Systemwide Revenue | 5.000% | 11/1/41 | 1,400 | 1,644 | ||
| California State University Systemwide Revenue Prere. | 5.000% | 11/1/22 | 1,000 | 1,040 | ||
| California State University Systemwide Revenue Prere. | 5.000% | 11/1/24 | 40 | 45 | ||
| California State University Systemwide Revenue Prere. | 5.000% | 11/1/24 | 165 | 186 | ||
| California State University Systemwide Revenue Prere. | 5.000% | 11/1/24 | 1,970 | 2,228 | ||
| California State University Systemwide Revenue Prere. | 5.000% | 11/1/24 | 2,335 | 2,641 | ||
| California Statewide Communities Development Authority Pollution Control Revenue (Southern Edison Co.) | 1.750% | 9/1/29 | 1,000 | 1,004 | ||
21
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| California Statewide Communities Development Authority Revenue (Kaiser Foundation Hospitals) PUT | 5.000% | 11/1/29 | 3,750 | 4,863 | ||
| 5 | California Statewide Communities Development Authority Revenue (Loma Linda University Medical Center) | 5.000% | 12/1/28 | 400 | 468 | |
| 3 | Centinela Valley CA Union High School District GO | 4.000% | 8/1/29 | 1,035 | 1,177 | |
| Chabot-Las Positas CA Community College District GO Prere. | 5.000% | 8/1/23 | 1,000 | 1,074 | ||
| Chaffey CA Community College District GO | 5.000% | 6/1/23 | 850 | 907 | ||
| 3 | Chino CA Public Financing Authority Special Tax Revenue | 5.000% | 9/1/30 | 800 | 921 | |
| Chula Vista CA Municipal Financing Authority Special Tax Revenue | 5.500% | 9/1/27 | 970 | 1,049 | ||
| 12 | Citrus CA Community College District GO, 5.000% coupon rate effective 2/1/2023 Prere. | 0.000% | 2/1/24 | 1,000 | 1,042 | |
| Contra Costa CA Community College District GO Prere. | 5.000% | 8/1/23 | 1,000 | 1,075 | ||
| Contra Costa CA Municipal Water District Revenue | 5.000% | 10/1/33 | 1,000 | 1,079 | ||
| Corona-Norco CA Unified School District Special Tax Revenue (Community Facilities District No. 98-1) ETM | 5.000% | 9/1/22 | 970 | 1,001 | ||
| 5 | CSCDA Community Improvement Authority Revenue | 2.650% | 12/1/46 | 565 | 515 | |
| 5 | CSCDA Community Improvement Authority Revenue | 2.450% | 2/1/47 | 1,000 | 898 | |
| 5 | CSCDA Community Improvement Authority Revenue | 3.500% | 5/1/47 | 500 | 503 | |
| East Bay CA Municipal Utility District Water System Revenue | 5.000% | 6/1/42 | 2,875 | 3,504 | ||
| 3 | East Side CA Union High School District Santa Clara County GO | 3.000% | 8/1/32 | 1,000 | 1,093 | |
| East Side CA Union High School District Santa Clara County GO | 2.000% | 8/1/33 | 1,000 | 1,026 | ||
| 11 | Eastern Municipal Water & Wastewater Revenue, SIFMA Municipal Swap Index Yield + 0.100% PUT | 0.200% | 7/1/24 | 300 | 300 | |
| 12 | Foothill/Eastern Transportation Corridor Agency California Toll Road Revenue, 6.200% coupon rate effective 1/15/2024 | 0.000% | 1/15/29 | 1,390 | 1,667 | |
| Gavilan CA Joint Community College District GO | 5.000% | 8/1/28 | 1,000 | 1,153 | ||
| Golden State Tobacco Securitization Corp. California Revenue ETM | 5.000% | 6/1/25 | 500 | 577 | ||
| 9 | Golden State Tobacco Securitization Corp. California Revenue ETM | 0.000% | 6/1/27 | 2,070 | 1,977 | |
| Golden State Tobacco Securitization Corp. California Revenue Prere. | 5.000% | 6/1/25 | 1,140 | 1,318 | ||
| Grossmont CA Healthcare District GO | 4.000% | 7/15/40 | 2,000 | 2,212 | ||
| La Quinta CA Redevelopment Agency Tax Allocation Revenue Prere. | 5.000% | 9/1/23 | 1,500 | 1,617 | ||
| La Quinta CA Redevelopment Agency Tax Allocation Revenue Prere. | 5.000% | 9/1/24 | 1,000 | 1,122 | ||
| La Verne CA (Brethren Hillcrest Homes) COP Prere. | 5.000% | 5/15/22 | 350 | 360 | ||
| Long Beach CA Finance Authority Natural Gas Purchase Revenue | 5.250% | 11/15/23 | 435 | 474 | ||
| 6 | Long Beach CA Unified School District GO | 0.000% | 8/1/24 | 1,290 | 1,270 | |
| Los Angeles CA Community College District GO Prere. | 4.000% | 8/1/23 | 2,000 | 2,119 | ||
| Los Angeles CA Community College District GO Prere. | 4.000% | 8/1/24 | 1,000 | 1,093 | ||
| Los Angeles CA Department of Airports International Airport Revenue | 4.000% | 5/15/36 | 2,000 | 2,412 | ||
| Los Angeles CA Department of Airports International Airport Revenue | 5.000% | 5/15/39 | 1,000 | 1,311 | ||
| Los Angeles CA Department of Airports International Airport Revenue | 4.000% | 5/15/40 | 2,055 | 2,460 | ||
22
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Los Angeles CA Department of Airports International Airport Revenue | 5.000% | 5/15/41 | 1,400 | 1,828 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/23 | 2,600 | 2,786 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/33 | 1,375 | 1,663 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/35 | 1,330 | 1,665 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/36 | 1,000 | 1,169 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/36 | 1,695 | 2,123 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/37 | 1,000 | 1,203 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/37 | 1,145 | 1,428 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/38 | 500 | 602 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/38 | 2,550 | 3,184 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/40 | 1,500 | 1,945 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/41 | 5,095 | 6,646 | ||
| Los Angeles CA Department of Water & Power Revenue | 5.000% | 7/1/42 | 2,000 | 2,333 | ||
| 2 | Los Angeles CA Department of Water & Power Revenue VRDO | 0.060% | 1/3/22 | 4,600 | 4,600 | |
| Los Angeles CA Metropolitan Transportation Authority Sales Tax Revenue | 5.000% | 6/1/29 | 5,000 | 6,485 | ||
| Los Angeles CA Metropolitan Transportation Authority Sales Tax Revenue | 5.000% | 7/1/38 | 1,400 | 1,756 | ||
| Los Angeles CA Unified School District GO | 4.000% | 7/1/35 | 2,250 | 2,733 | ||
| Los Angeles CA Unified School District GO | 4.000% | 7/1/40 | 1,000 | 1,219 | ||
| Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/36 | 1,755 | 2,138 | ||
| Los Angeles County CA Public Works Financing Authority Lease Revenue | 5.000% | 8/1/26 | 500 | 514 | ||
| Los Angeles County CA Public Works Financing Authority Lease Revenue | 5.000% | 8/1/29 | 1,250 | 1,285 | ||
| 4 | Los Angeles County CA Public Works Financing Authority Lease Revenue | 5.000% | 12/1/30 | 1,000 | 1,279 | |
| 4 | Los Angeles County CA Public Works Financing Authority Lease Revenue | 5.000% | 12/1/35 | 1,200 | 1,550 | |
| 8 | Los Angeles County CA School District GO | 5.000% | 7/1/36 | 1,000 | 1,232 | |
| Los Angeles County CA Unified School District GO | 5.000% | 7/1/31 | 1,000 | 1,286 | ||
| Metropolitan Water District of Southern California Waterworks Revenue | 5.000% | 7/1/40 | 1,000 | 1,303 | ||
| 11 | Metropolitan Water District of Southern California Waterworks Revenue, SIFMA Municipal Swap Index Yield + 0.140% PUT | 0.240% | 5/21/24 | 500 | 500 | |
| 11 | Metropolitan Water District of Southern California Waterworks Revenue, SIFMA Municipal Swap Index Yield + 0.140% PUT | 0.240% | 5/21/24 | 500 | 500 | |
| 11 | Metropolitan Water District of Southern California Waterworks Revenue, SIFMA Municipal Swap Index Yield + 0.140% PUT | 0.240% | 5/21/24 | 500 | 500 | |
| Milpitas CA Redevelopment Agency Successor Agency Tax Allocation Revenue | 5.000% | 9/1/31 | 1,130 | 1,303 | ||
23
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| M-S-R CA Energy Authority Gas Revenue | 6.500% | 11/1/39 | 555 | 889 | ||
| Napa Valley CA Unified School District GO Prere. | 4.000% | 8/1/23 | 1,690 | 1,789 | ||
| Napa Valley Community College District GO | 4.000% | 8/1/32 | 1,090 | 1,222 | ||
| Newport Mesa CA Unified School District GO | 0.000% | 8/1/30 | 630 | 560 | ||
| Oakland CA Redevelopment Agency Tax Allocation Revenue (Central District Project) | 5.000% | 9/1/22 | 500 | 515 | ||
| 3 | Oakland CA Unified School District GO | 5.000% | 8/1/25 | 1,500 | 1,739 | |
| 8 | Oakland CA Unified School District GO | 4.000% | 8/1/39 | 1,000 | 1,208 | |
| Orange County CA Local Transportation Authority Sales Tax Revenue | 5.000% | 2/15/33 | 1,035 | 1,310 | ||
| 10 | Palomar Pomerado Health California GO | 0.000% | 8/1/22 | 1,000 | 996 | |
| 6 | Palomar Pomerado Health California GO | 0.000% | 8/1/26 | 1,040 | 982 | |
| 6 | Palomar Pomerado Health California GO | 0.000% | 8/1/32 | 740 | 599 | |
| 3 | Poway CA Unified School District Public Financing Authority Special Tax Revenue | 5.000% | 9/1/31 | 1,375 | 1,638 | |
| Riverside CA Electric Revenue | 5.000% | 10/1/32 | 1,830 | 2,322 | ||
| Riverside County CA Transportation Commission Sales Tax Revenue Prere. | 5.250% | 6/1/23 | 1,000 | 1,071 | ||
| Riverside County CA Transportation Commission Toll Revenue | 0.000% | 6/1/30 | 2,415 | 2,060 | ||
| Riverside County CA Transportation Commission Toll Revenue | 4.000% | 6/1/38 | 320 | 384 | ||
| Roseville CA Natural Gas Financing Authority Gas Revenue | 5.000% | 2/15/23 | 340 | 357 | ||
| Roseville CA Natural Gas Financing Authority Gas Revenue | 5.000% | 2/15/25 | 325 | 368 | ||
| 8 | Sacramento CA City Financing Authority Revenue | 5.000% | 12/1/22 | 760 | 793 | |
| 10 | Sacramento CA City Financing Authority Tax Allocation Revenue | 0.000% | 12/1/30 | 1,815 | 1,552 | |
| Sacramento County CA Sanitation Districts Financing Authority Revenue | 5.000% | 8/1/25 | 495 | 576 | ||
| Sacramento County CA Sanitation Districts Financing Authority Revenue | 5.000% | 8/1/27 | 575 | 665 | ||
| 3 | San Bernardino CA Community College District GO | 0.000% | 8/1/22 | 1,000 | 998 | |
| San Diego CA Community College District GO Prere. | 5.000% | 8/1/23 | 1,000 | 1,075 | ||
| 3 | San Diego CA Unified School District GO | 5.500% | 7/1/27 | 520 | 656 | |
| San Diego CA Unified School District GO | 0.000% | 7/1/28 | 370 | 343 | ||
| San Diego CA Unified School District GO | 0.000% | 7/1/29 | 440 | 399 | ||
| San Diego CA Unified School District GO | 0.000% | 7/1/30 | 250 | 221 | ||
| San Diego CA Unified School District GO ETM | 0.000% | 7/1/27 | 320 | 302 | ||
| San Diego CA Unified School District GO ETM | 0.000% | 7/1/27 | 80 | 76 | ||
| San Diego CA Unified School District GO ETM | 0.000% | 7/1/27 | 100 | 95 | ||
| San Diego CA Unified School District GO ETM | 0.000% | 7/1/28 | 70 | 65 | ||
| San Diego CA Unified School District GO ETM | 0.000% | 7/1/28 | 60 | 56 | ||
| San Diego CA Unified School District GO ETM | 0.000% | 7/1/29 | 60 | 54 | ||
| San Diego CA Unified School District GO Prere. | 5.000% | 7/1/23 | 2,000 | 2,141 | ||
| San Diego County CA Regional Airport Authority Revenue | 5.000% | 7/1/34 | 1,000 | 1,327 | ||
| San Diego County CA Regional Transportation Commission Sales Tax Revenue | 3.000% | 10/1/22 | 530 | 541 | ||
| San Diego County CA Regional Transportation Commission Sales Tax Revenue | 5.000% | 10/1/22 | 2,125 | 2,202 | ||
| San Diego County CA Regional Transportation Commission Sales Tax Revenue Prere. | 5.000% | 4/1/22 | 560 | 567 | ||
| San Diego County CA Water Authority Revenue | 5.000% | 5/1/28 | 1,000 | 1,150 | ||
| San Francisco CA Bay Area Rapid Transit District GO | 5.000% | 8/1/30 | 1,530 | 1,768 | ||
| San Francisco CA City & County COP | 5.000% | 4/1/28 | 1,635 | 1,900 | ||
24
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| San Francisco CA City & County COP | 4.000% | 4/1/33 | 1,000 | 1,117 | ||
| San Francisco CA City & County COP | 4.000% | 4/1/39 | 1,000 | 1,160 | ||
| San Francisco CA City & County International Airport Revenue | 5.000% | 5/1/27 | 605 | 614 | ||
| San Francisco CA City & County International Airport Revenue | 5.000% | 5/1/34 | 1,000 | 1,261 | ||
| San Francisco CA City & County Public Utilities Commission Wastewater Revenue | 1.000% | 10/1/25 | 4,355 | 4,403 | ||
| San Francisco CA City & County Public Utilities Commission Water Revenue | 5.000% | 11/1/31 | 1,700 | 2,040 | ||
| San Francisco CA City & County Public Utilities Commission Water Revenue | 5.000% | 11/1/32 | 1,000 | 1,145 | ||
| San Francisco CA City & County Public Utilities Commission Water Revenue | 5.000% | 11/1/35 | 1,500 | 1,794 | ||
| San Francisco CA City & County Unified School District GO | 4.000% | 6/15/32 | 965 | 981 | ||
| San Francisco CA City & County Unified School District GO | 4.250% | 6/15/33 | 1,000 | 1,018 | ||
| San Mateo Foster City School District GO | 3.000% | 8/1/40 | 750 | 817 | ||
| 9 | San Ramon CA Public Financing Authority Tax Allocation Revenue | 0.000% | 2/1/33 | 1,475 | 1,165 | |
| Santa Clara CA Financing Authority Revenue | 3.000% | 5/1/39 | 1,155 | 1,246 | ||
| Santa Clara CA Unified School District GO | 3.000% | 7/1/34 | 1,000 | 1,078 | ||
| Southern California Public Power Authority Revenue | 5.000% | 7/1/30 | 3,000 | 3,261 | ||
| Southern California Public Power Authority Revenue (Canyon Power Project) | 5.000% | 7/1/32 | 2,000 | 2,298 | ||
| State Center California Community College District GO | 5.000% | 8/1/29 | 1,000 | 1,153 | ||
| 8 | Stockton Public Financing Authority Revenue | 5.000% | 9/1/29 | 1,000 | 1,114 | |
| Tahoe-Truckee CA Unified School District GO | 5.000% | 8/1/34 | 1,030 | 1,218 | ||
| 10 | Union CA Elementary School District GO | 0.000% | 9/1/28 | 1,080 | 989 | |
| Union City CA Community Redevelopment Agency Successor Agency Tax Allocation Revenue | 5.000% | 10/1/30 | 1,635 | 1,883 | ||
| University of California Revenue | 5.000% | 5/15/28 | 690 | 734 | ||
| University of California Revenue | 5.000% | 5/15/30 | 1,435 | 1,460 | ||
| 4 | University of California Revenue | 5.000% | 5/15/31 | 2,000 | 2,656 | |
| University of California Revenue | 4.000% | 5/15/33 | 1,000 | 1,107 | ||
| University of California Revenue | 5.000% | 5/15/33 | 3,000 | 3,933 | ||
| University of California Revenue | 4.000% | 5/15/34 | 1,000 | 1,153 | ||
| University of California Revenue | 4.000% | 5/15/34 | 1,770 | 1,912 | ||
| University of California Revenue | 4.000% | 5/15/35 | 2,000 | 2,303 | ||
| University of California Revenue | 5.000% | 5/15/35 | 1,620 | 2,020 | ||
| University of California Revenue | 5.000% | 5/15/35 | 1,165 | 1,449 | ||
| 4 | University of California Revenue | 5.000% | 5/15/36 | 2,000 | 2,682 | |
| 4 | University of California Revenue | 5.000% | 5/15/38 | 2,275 | 3,029 | |
| University of California Revenue | 4.000% | 5/15/39 | 5,000 | 6,052 | ||
| University of California Revenue Prere. | 5.000% | 5/15/23 | 310 | 330 | ||
| University of California Revenue PUT | 5.000% | 5/15/23 | 3,960 | 4,216 | ||
| 3,7 | West Contra Costa CA Unified School District GO | 0.000% | 8/1/32 | 1,155 | 958 | |
| 10 | West Contra Costa CA Unified School District GO | 0.000% | 8/1/34 | 1,225 | 961 | |
| 403,939 | ||||||
| Colorado (1.0%) | ||||||
| 13 | Adams & Weld County CO School District No. 27J GO | 5.000% | 12/1/34 | 1,435 | 1,668 | |
| Adams 12 Five Star Schools GO | 5.000% | 12/15/30 | 2,775 | 3,336 | ||
| Adams County CO COP | 5.000% | 12/1/31 | 650 | 755 | ||
| Board of Governors of the Colorado State University System Enterprise Revenue ETM | 5.000% | 3/1/23 | 300 | 317 | ||
25
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Boulder Valley School District No. Re-2 Boulder GO | 4.000% | 12/1/31 | 3,480 | 4,062 | ||
| City & County of Broomfield Colorado Water Revenue | 4.000% | 12/1/39 | 1,000 | 1,235 | ||
| Colorado COP | 4.000% | 12/15/33 | 1,235 | 1,460 | ||
| Colorado COP | 4.000% | 12/15/34 | 1,800 | 2,125 | ||
| Colorado COP | 4.000% | 3/15/40 | 6,035 | 7,231 | ||
| Colorado Educational & Cultural Facilities Authority Revenue (Aspen View Academy Project) | 4.000% | 5/1/36 | 175 | 196 | ||
| Colorado Educational & Cultural Facilities Authority Revenue (University of Denver) | 4.000% | 3/1/30 | 500 | 572 | ||
| 2 | Colorado Health Facilities Authority Hospital Revenue VRDO | 0.080% | 1/3/22 | 2,400 | 2,400 | |
| Colorado Health Facilities Authority Hospital Revenue (Adventist Health System/West Obligated Group) | 5.000% | 11/15/37 | 1,000 | 1,279 | ||
| Colorado Health Facilities Authority Hospital Revenue (Adventist Health System/West Obligated Group) | 4.000% | 11/15/38 | 1,000 | 1,186 | ||
| Colorado Health Facilities Authority Hospital Revenue (Adventist Health System/West Obligated Group) PUT | 5.000% | 11/19/26 | 1,030 | 1,243 | ||
| 4 | Colorado Health Facilities Authority Hospital Revenue (Frasier Project) | 4.000% | 5/15/36 | 825 | 887 | |
| Colorado Health Facilities Authority Retirement Facilities Revenue (Liberty Heights Project) ETM | 0.000% | 7/15/24 | 1,430 | 1,413 | ||
| Colorado Health Facilities Authority Revenue (Adventist Health System/Sunbelt Obligated Group) PUT | 5.000% | 11/15/23 | 2,990 | 3,264 | ||
| Colorado Health Facilities Authority Revenue (CommonSpirit Health) | 5.000% | 8/1/32 | 2,250 | 2,842 | ||
| Colorado Health Facilities Authority Revenue (Covenant Retirement Community Inc.) Prere. | 5.000% | 12/1/22 | 500 | 522 | ||
| Colorado Health Facilities Authority Revenue (NCMC Inc.) Prere. | 4.000% | 5/15/26 | 1,500 | 1,713 | ||
| Colorado Housing & Finance Authority Revenue (Single Family Mortgage) | 3.000% | 5/1/50 | 2,180 | 2,319 | ||
| Colorado Springs CO Utility System Revenue Prere. | 5.000% | 11/15/22 | 500 | 521 | ||
| 2 | Denver CO City & County VRDO | 0.100% | 1/3/22 | 4,400 | 4,400 | |
| Denver CO City & County Airport Revenue | 5.000% | 11/15/24 | 1,200 | 1,355 | ||
| Denver CO City & County Airport Revenue | 5.000% | 12/1/26 | 775 | 932 | ||
| Denver CO City & County Airport Revenue | 4.000% | 12/1/38 | 400 | 464 | ||
| Denver CO City & County Better Denver & Zoo GO | 5.000% | 8/1/22 | 1,000 | 1,028 | ||
| Denver CO City & County COP | 5.000% | 6/1/37 | 1,685 | 1,956 | ||
| Denver CO City & County Dedicated Tax Revenue | 0.000% | 8/1/29 | 500 | 426 | ||
| Denver CO City & County GO | 5.000% | 8/1/23 | 1,535 | 1,650 | ||
| Denver CO City & County GO | 5.000% | 8/1/29 | 2,245 | 2,915 | ||
| Denver CO City & County Revenue | 4.000% | 8/1/38 | 1,500 | 1,823 | ||
| Denver CO City & County School District GO | 4.000% | 12/1/31 | 1,000 | 1,120 | ||
| Denver CO City & County School District GO | 5.000% | 12/1/36 | 2,000 | 2,389 | ||
| 10 | E-470 Public Highway Authority Colorado Revenue | 0.000% | 9/1/23 | 1,010 | 1,002 | |
| 10 | E-470 Public Highway Authority Colorado Revenue | 0.000% | 9/1/29 | 2,000 | 1,789 | |
| 10 | E-470 Public Highway Authority Colorado Revenue | 0.000% | 9/1/32 | 1,000 | 830 | |
| 11 | E-470 Public Highway Authority Colorado Revenue, SOFR + 0.350% PUT | 0.384% | 9/1/24 | 210 | 211 | |
| El Paso County CO School District No. 20 Academy GO | 5.000% | 12/15/30 | 2,400 | 2,890 | ||
| El Paso County CO School District No. 3 Widefield GO Prere. | 5.000% | 12/1/22 | 350 | 365 | ||
| El Paso County CO School District No. 3 Widefield GO Prere. | 5.000% | 12/1/22 | 500 | 522 | ||
| El Paso County CO School District No. 3 Widefield GO Prere. | 5.000% | 12/1/22 | 500 | 522 | ||
26
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| El Paso County CO School District No. 3 Widefield GO Prere. | 5.000% | 12/1/22 | 520 | 543 | ||
| El Paso County CO School District No. 3 Widefield GO Prere. | 5.000% | 12/1/22 | 635 | 663 | ||
| Garfield, Pitkin, & Eagle County CO School District GO Prere. | 4.000% | 12/15/25 | 1,000 | 1,137 | ||
| Jefferson County CO School District No. R-1 GO | 5.000% | 12/15/36 | 3,395 | 4,274 | ||
| Regional Transportation District of Colorado COP | 5.000% | 6/1/31 | 1,010 | 1,279 | ||
| Regional Transportation District of Colorado COP | 5.000% | 11/1/31 | 1,000 | 1,352 | ||
| University of Colorado Enterprise System Revenue | 4.000% | 6/1/32 | 1,590 | 1,838 | ||
| University of Colorado Enterprise System Revenue Prere. | 5.000% | 6/1/22 | 515 | 525 | ||
| University of Colorado Enterprise System Revenue PUT | 2.000% | 10/15/25 | 500 | 525 | ||
| University of Colorado Hospital Authority Revenue | 5.000% | 11/15/36 | 1,000 | 1,040 | ||
| 84,311 | ||||||
| Connecticut (0.8%) | ||||||
| Connecticut GO | 5.000% | 7/15/22 | 2,050 | 2,102 | ||
| Connecticut GO | 5.000% | 11/15/22 | 1,935 | 2,015 | ||
| Connecticut GO | 5.000% | 4/15/24 | 800 | 811 | ||
| Connecticut GO | 5.000% | 2/15/25 | 1,000 | 1,139 | ||
| Connecticut GO | 5.000% | 5/15/25 | 2,345 | 2,696 | ||
| Connecticut GO | 5.000% | 7/15/25 | 1,625 | 1,879 | ||
| Connecticut GO | 5.000% | 9/1/26 | 1,000 | 1,119 | ||
| Connecticut GO | 5.000% | 2/15/27 | 1,000 | 1,214 | ||
| Connecticut GO | 4.000% | 9/15/27 | 1,000 | 1,025 | ||
| Connecticut GO | 5.000% | 4/15/28 | 500 | 507 | ||
| Connecticut GO | 5.000% | 4/15/28 | 1,000 | 1,249 | ||
| Connecticut GO | 5.000% | 3/1/32 | 2,950 | 3,228 | ||
| Connecticut GO | 5.000% | 10/15/32 | 705 | 730 | ||
| Connecticut GO | 3.000% | 1/15/33 | 270 | 301 | ||
| 4 | Connecticut GO | 4.000% | 1/15/35 | 1,000 | 1,229 | |
| Connecticut GO | 4.000% | 3/15/35 | 5,000 | 5,586 | ||
| Connecticut GO | 3.000% | 1/15/38 | 2,345 | 2,575 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Connecticut State University System) | 5.000% | 11/1/31 | 1,000 | 1,280 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Covenant Retirement Communities) | 5.000% | 12/1/31 | 1,000 | 1,192 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Hartford Healthcare) | 4.000% | 7/1/36 | 1,750 | 2,049 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Nuvance Health) | 5.000% | 7/1/29 | 1,255 | 1,596 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Sacred Heart University) | 5.000% | 7/1/31 | 850 | 1,090 | ||
| 4 | Connecticut Health & Educational Facilities Authority Revenue (Stampord Hospital) | 4.000% | 7/1/35 | 150 | 176 | |
| 4 | Connecticut Health & Educational Facilities Authority Revenue (Stampord Hospital) | 4.000% | 7/1/36 | 300 | 351 | |
| 4 | Connecticut Health & Educational Facilities Authority Revenue (Stampord Hospital) | 4.000% | 7/1/37 | 200 | 233 | |
| Connecticut Health & Educational Facilities Authority Revenue (University of Hartford) | 5.000% | 7/1/31 | 575 | 701 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 1.450% | 7/1/22 | 875 | 880 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 1.450% | 7/1/22 | 900 | 906 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 5.000% | 2/1/23 | 3,400 | 3,575 | ||
27
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 0.250% | 2/9/24 | 1,000 | 996 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 0.375% | 7/12/24 | 1,500 | 1,497 | ||
| Connecticut Health & Educational Facilities Authority Revenue (Yale University) PUT | 2.000% | 7/1/26 | 500 | 531 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 9/1/23 | 1,360 | 1,465 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 1/1/28 | 1,805 | 2,239 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 1/1/29 | 500 | 634 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 5/1/34 | 1,000 | 1,322 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 10/1/34 | 1,000 | 1,253 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 11/1/35 | 1,000 | 1,334 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 4.000% | 5/1/37 | 2,410 | 2,913 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 5.000% | 5/1/38 | 2,250 | 2,881 | ||
| Connecticut Special Tax Revenue (Transportation Infrastructure) | 4.000% | 11/1/38 | 1,000 | 1,215 | ||
| Hamden GO Prere. | 5.000% | 8/15/22 | 1,110 | 1,143 | ||
| Hartford County CT Metropolitan District GO | 5.000% | 7/15/28 | 1,280 | 1,613 | ||
| Hartford County CT Metropolitan District GO | 4.000% | 7/15/38 | 2,025 | 2,397 | ||
| University of Connecticut GO | 5.000% | 2/15/27 | 635 | 719 | ||
| University of Connecticut Revenue | 5.000% | 11/1/27 | 1,000 | 1,236 | ||
| 68,822 | ||||||
| Delaware (0.2%) | ||||||
| Delaware GO | 5.000% | 2/1/25 | 1,010 | 1,153 | ||
| Delaware GO | 5.000% | 2/1/30 | 3,000 | 3,727 | ||
| Delaware Health Facilities Authority Revenue (Beebe Medical Center Project) | 5.000% | 6/1/30 | 600 | 742 | ||
| 4 | Delaware River & Bay Authority Delaware Revenue | 5.000% | 1/1/28 | 500 | 589 | |
| Delaware River & Bay Authority Delaware Revenue | 3.000% | 1/1/38 | 1,495 | 1,626 | ||
| Delaware State Economic Development Authority Revenue (NRG Energy Projects) PUT | 1.250% | 10/1/25 | 650 | 651 | ||
| Delaware Transportation Authority Grant Anticipation Bonds | 5.000% | 9/1/29 | 1,780 | 2,287 | ||
| University of Delaware Bonds | 5.000% | 11/1/34 | 440 | 612 | ||
| University of Delaware Bonds | 5.000% | 11/1/35 | 500 | 700 | ||
| University of Delaware Bonds | 5.000% | 11/1/37 | 1,700 | 2,148 | ||
| 2 | University of Delaware Bonds VRDO | 0.080% | 1/3/22 | 5,140 | 5,140 | |
| 19,375 | ||||||
| District of Columbia (0.5%) | ||||||
| District of Columbia GO | 5.000% | 10/15/22 | 1,300 | 1,349 | ||
| District of Columbia GO | 5.000% | 6/1/25 | 1,235 | 1,426 | ||
| District of Columbia GO | 5.000% | 6/1/29 | 3,780 | 4,194 | ||
| District of Columbia GO | 5.000% | 2/1/30 | 1,000 | 1,310 | ||
| District of Columbia GO | 5.000% | 6/1/32 | 1,000 | 1,182 | ||
| District of Columbia GO | 5.000% | 6/1/34 | 1,320 | 1,583 | ||
| District of Columbia GO | 4.000% | 2/1/37 | 725 | 885 | ||
| District of Columbia GO | 4.000% | 2/1/40 | 1,250 | 1,513 | ||
28
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| District of Columbia Hospital Revenue (Children's Hospital Obligated Group) | 5.000% | 7/15/35 | 1,000 | 1,159 | ||
| District of Columbia Income Tax Revenue | 5.000% | 12/1/24 | 1,350 | 1,409 | ||
| District of Columbia Revenue Bonds (Gallaudet University Project) | 3.000% | 4/1/39 | 720 | 781 | ||
| District of Columbia Revenue Bonds (Latin American Montessori Bilingual Public Charter School) | 5.000% | 6/1/40 | 1,000 | 1,188 | ||
| District of Columbia Water & Sewer Authority Public Utility Revenue | 5.000% | 10/1/33 | 2,175 | 2,626 | ||
| District of Columbia Water & Sewer Authority Public Utility Revenue | 5.000% | 10/1/39 | 1,125 | 1,315 | ||
| District of Columbia Water & Sewer Authority Public Utility Revenue | 5.000% | 10/1/39 | 2,000 | 2,230 | ||
| Metropolitan Washington DC/VA Airports Authority Airport System Revenue | 5.000% | 10/1/30 | 2,325 | 3,069 | ||
| 6 | Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Capital Appreciation Bonds) | 0.000% | 10/1/36 | 525 | 383 | |
| Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Dulles Metrorail & Capital Improvement Projects) | 5.000% | 10/1/33 | 2,240 | 2,789 | ||
| Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Dulles Metrorail & Capital Improvement Projects) | 0.000% | 10/1/37 | 1,300 | 778 | ||
| Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue (Dulles Metrorail & Capital Improvement Projects) | 4.000% | 10/1/39 | 1,000 | 1,149 | ||
| Washington Convention & Sports Authority Revenue | 5.000% | 10/1/26 | 1,090 | 1,305 | ||
| Washington Convention & Sports Authority Revenue | 4.000% | 10/1/34 | 1,115 | 1,338 | ||
| Washington Metropolitan Area Transit Authority Revenue | 5.000% | 7/15/23 | 1,000 | 1,073 | ||
| Washington Metropolitan Area Transit Authority Revenue | 5.000% | 7/15/25 | 1,000 | 1,159 | ||
| Washington Metropolitan Area Transit Authority Revenue | 5.000% | 7/15/34 | 2,825 | 3,699 | ||
| Washington Metropolitan Area Transit Authority Revenue | 5.000% | 7/15/38 | 2,000 | 2,598 | ||
| 43,490 | ||||||
| Florida (2.2%) | ||||||
| Alachua County FL Health Facilities Authority Revenue (Oak Hammock) | 4.000% | 10/1/31 | 290 | 327 | ||
| 4 | Alachua County FL Health Facilities Authority Revenue (Oak Hammock) | 4.000% | 10/1/31 | 615 | 681 | |
| Brevard County FL School Board COP | 5.000% | 7/1/25 | 1,000 | 1,068 | ||
| Broward County FL Airport System Revenue Prere. | 5.000% | 10/1/22 | 400 | 414 | ||
| Broward County FL Airport System Revenue Prere. | 5.500% | 10/1/23 | 1,000 | 1,090 | ||
| Capital Projects Finance Authority FL Student Housing Revenue (Projects Loan Program) | 5.000% | 10/1/33 | 540 | 662 | ||
| 5 | Capital Trust Agency Florida Educational Facilities Revenue (Academir Charter Schools Project) | 2.500% | 7/1/31 | 495 | 494 | |
| Capital Trust Agency Florida Educational Facilities Revenue (Advantage Academy of Hillsborough Projects) | 5.000% | 12/15/29 | 400 | 458 | ||
| 3 | Central FL Expressway Authority Revenue | 4.000% | 7/1/35 | 1,000 | 1,228 | |
| 3 | Central FL Expressway Authority Revenue | 4.000% | 7/1/38 | 1,000 | 1,216 | |
| 3 | Central FL Expressway Authority Revenue | 2.500% | 7/1/40 | 1,000 | 1,033 | |
| Central Florida Expressway Authority Revenue | 4.000% | 7/1/32 | 1,015 | 1,151 | ||
29
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| East Central FL Regional Wastewater Treatment Facilities Operation Board Revenue | 5.000% | 10/1/34 | 925 | 1,133 | ||
| East Central FL Regional Wastewater Treatment Facilities Operation Board Revenue | 5.000% | 10/1/35 | 1,075 | 1,316 | ||
| Escambia County FL Health Facilities Authority Revenue (Baptist Health Care Corp. Obligated Group) | 5.000% | 8/15/39 | 1,525 | 1,893 | ||
| Florida Board of Education Lottery Revenue | 4.000% | 7/1/27 | 1,230 | 1,252 | ||
| Florida Board of Education Public Education Capital Outlay GO | 5.000% | 6/1/24 | 625 | 667 | ||
| Florida Board of Education Public Education Capital Outlay GO | 4.000% | 6/1/27 | 1,255 | 1,275 | ||
| Florida Board of Education Public Education Capital Outlay GO | 4.000% | 6/1/29 | 1,365 | 1,386 | ||
| Florida Board of Education Public Education Capital Outlay GO | 4.000% | 6/1/32 | 1,675 | 1,863 | ||
| 4 | Florida Capital Improvement Revenue (Student Housing Project) | 5.000% | 7/1/29 | 1,310 | 1,616 | |
| 5 | Florida Development Finance Corp. Educational Facilities Revenue (Global Outreach Charter Academy Projects) | 4.000% | 6/30/29 | 205 | 230 | |
| 5 | Florida Development Finance Corp. Educational Facilities Revenue (Mater Academy Projects) | 5.000% | 6/15/29 | 400 | 471 | |
| 5 | Florida Development Finance Corp. Educational Facilities Revenue (Mater Academy Projects) | 5.000% | 6/15/30 | 475 | 557 | |
| Florida Development Finance Corp. Educational Facilities Revenue (River City Science Academy Projects) | 4.000% | 7/1/30 | 220 | 247 | ||
| Florida Development Finance Corp. Healthcare Facilities Revenue (Lakeland Regional Health Systems) | 4.000% | 11/15/36 | 2,195 | 2,657 | ||
| Florida GO | 4.000% | 6/1/27 | 1,455 | 1,529 | ||
| Florida GO | 5.000% | 7/1/27 | 1,440 | 1,725 | ||
| Florida Gulf Coast University Financing Corp. Capital Improvement Revenue | 4.000% | 2/1/38 | 770 | 890 | ||
| Florida Higher Educational Facilities Financial Authority Revenue (Rollins College Projects) | 4.000% | 12/1/36 | 1,750 | 2,068 | ||
| Florida Municipal Power Agency Revenue | 4.000% | 10/1/30 | 2,775 | 3,223 | ||
| Florida Municipal Power Agency Revenue | 3.000% | 10/1/33 | 1,000 | 1,098 | ||
| Florida State Department of Transportation Right of Way Acquisition Revenue | 5.000% | 7/1/23 | 5,130 | 5,492 | ||
| Florida State Turnpike Authority Revenue | 2.000% | 7/1/41 | 1,470 | 1,424 | ||
| Florida Turnpike Authority Revenue | 4.000% | 7/1/34 | 1,000 | 1,112 | ||
| Florida Turnpike Authority Revenue | 4.000% | 7/1/34 | 1,385 | 1,572 | ||
| Halifax Hospital Medical Center FL Hospital Revenue | 3.750% | 6/1/41 | 210 | 227 | ||
| 2 | Hillsborough County FL Industrial Development Authority Health System Revenue (Baycare Health System) VRDO | 0.090% | 1/3/22 | 2,700 | 2,700 | |
| Hillsborough County FL Industrial Development Authority Hospital Revenue (Tampa General Hospital Projects) | 3.600% | 10/1/28 | 500 | 557 | ||
| Hillsborough County FL School Board (Master Lease Program) COP Prere. | 5.000% | 7/1/22 | 1,650 | 1,690 | ||
| Jacksonville FL Electric Authority Electric System Revenue | 5.000% | 10/1/26 | 1,005 | 1,203 | ||
| Jacksonville FL Electric Authority Electric System Revenue | 4.000% | 10/1/37 | 1,955 | 2,256 | ||
| Jacksonville FL Electric Authority Electric System Revenue Prere. | 5.000% | 10/1/23 | 1,160 | 1,255 | ||
30
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Jacksonville FL Electric Authority Water & Sewer Revenue | 5.000% | 10/1/27 | 1,905 | 2,355 | ||
| Jacksonville FL Electric Authority Water & Sewer Revenue | 5.000% | 10/1/27 | 1,465 | 1,808 | ||
| Jacksonville FL Health Care Facilities Revenue (Baptist Health System Obligated Group) | 4.000% | 8/15/37 | 1,250 | 1,417 | ||
| Jacksonville FL Health Care Facilities Revenue (Brooks Rehabilitation) | 5.000% | 11/1/30 | 1,085 | 1,306 | ||
| Jacksonville FL Special Revenue | 5.000% | 10/1/27 | 1,500 | 1,847 | ||
| Jacksonville FL Special Revenue | 5.000% | 10/1/28 | 1,640 | 2,064 | ||
| Jacksonville FL Special Revenue | 5.000% | 10/1/32 | 500 | 518 | ||
| Jacksonville FL Special Revenue | 5.000% | 10/1/38 | 1,410 | 1,781 | ||
| Jacksonville FL Transportation Authority Local Option Gas Tax Revenue | 5.000% | 8/1/34 | 1,000 | 1,152 | ||
| Jacksonville FL Transportation Revenue | 5.000% | 10/1/28 | 1,200 | 1,392 | ||
| Jacksonville FL Water & Sewer Revenue | 4.000% | 10/1/35 | 1,655 | 1,897 | ||
| JEA FL Electric System Revenue | 5.000% | 10/1/37 | 2,000 | 2,066 | ||
| 2 | JEA FL Electric System Revenue VRDO | 0.070% | 1/3/22 | 2,200 | 2,200 | |
| Key West FL Utility Board Electricity Revenue | 5.000% | 10/1/37 | 1,030 | 1,279 | ||
| Lakeland FL Educational Facilities Revenue (Florida Southern College Project) | 5.000% | 9/1/31 | 880 | 901 | ||
| Lakeland FL Energy System Revenue | 4.000% | 10/1/37 | 1,000 | 1,228 | ||
| Lakeland FL Hospital Revenue (Lakeland Regional Health Systems) | 5.000% | 11/15/26 | 1,475 | 1,770 | ||
| Lee County FL Industrial Development Authority Healthcare Facilities Revenue | 4.000% | 11/15/30 | 465 | 539 | ||
| Lee Memorial Health System Florida Hospital Revenue | 5.000% | 4/1/39 | 1,655 | 2,048 | ||
| Miami Beach FL Health Facilities Authority Revenue (Mount Sinai Medical Center) | 5.000% | 11/15/27 | 1,000 | 1,122 | ||
| Miami Beach FL Resort Tax Revenue | 5.000% | 9/1/34 | 1,020 | 1,181 | ||
| Miami Beach FL Water & Sewer Revenue | 5.000% | 10/1/30 | 1,500 | 1,741 | ||
| Miami Beach FL Water & Sewer Revenue | 5.000% | 10/1/38 | 1,000 | 1,244 | ||
| 3,5 | Miami FL Special Obligation Street & Sidewalk Improvement Program Revenue | 5.000% | 1/1/30 | 1,325 | 1,626 | |
| 3,5 | Miami FL Special Obligation Street & Sidewalk Improvement Program Revenue | 5.000% | 1/1/35 | 1,000 | 1,213 | |
| Miami-Dade County FL Aviation Revenue (Miami International Airport) | 5.000% | 10/1/33 | 1,850 | 2,200 | ||
| Miami-Dade County FL Aviation Revenue (Miami International Airport) | 5.000% | 10/1/34 | 1,000 | 1,188 | ||
| Miami-Dade County FL Aviation Revenue (Miami International Airport) | 4.000% | 10/1/36 | 1,000 | 1,192 | ||
| Miami-Dade County FL Building Better Communities GO | 5.000% | 7/1/36 | 1,160 | 1,373 | ||
| Miami-Dade County FL Educational Facilities Authority Revenue (University of Miami Issue) | 5.000% | 4/1/34 | 705 | 798 | ||
| Miami-Dade County FL Expressway Authority Toll System Revenue | 5.000% | 7/1/24 | 860 | 951 | ||
| Miami-Dade County FL Expressway Authority Toll System Revenue | 5.000% | 7/1/25 | 830 | 922 | ||
| Miami-Dade County FL GO | 5.000% | 7/1/24 | 1,000 | 1,114 | ||
| Miami-Dade County FL Health Facilities Authority Hospital Revenue (Miami Children's Hospital) Prere. | 5.000% | 8/1/23 | 1,000 | 1,073 | ||
| Miami-Dade County FL Health Facilities Authority Hospital Revenue (Niklaus Children's Hospital Project) | 4.000% | 8/1/33 | 1,290 | 1,562 | ||
| Miami-Dade County FL Public Health Trust GO | 4.000% | 7/1/32 | 1,750 | 2,053 | ||
| Miami-Dade County FL School Board COP | 5.000% | 2/1/26 | 3,035 | 3,552 | ||
31
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Miami-Dade County FL School Board GO Prere. | 5.000% | 3/15/23 | 3,155 | 3,332 | ||
| Miami-Dade County FL Seaport Revenue | 4.000% | 10/1/39 | 2,000 | 2,394 | ||
| Miami-Dade County FL Seaport Revenue Prere. | 5.750% | 10/1/23 | 2,610 | 2,858 | ||
| Miami-Dade County FL Special Obligation Revenue | 5.000% | 10/1/22 | 1,645 | 1,703 | ||
| Miami-Dade County FL Special Obligation Revenue | 5.000% | 4/1/37 | 1,255 | 1,574 | ||
| Miami-Dade County FL Special Obligation Revenue | 0.000% | 10/1/39 | 1,265 | 803 | ||
| Miami-Dade County FL Special Obligation Revenue Prere. | 5.000% | 10/1/22 | 1,000 | 1,036 | ||
| Miami-Dade County FL Special Obligation Revenue Prere. | 5.000% | 10/1/22 | 500 | 518 | ||
| Miami-Dade County FL Transit Sales Surtax Revenue | 4.000% | 7/1/31 | 1,400 | 1,593 | ||
| Miami-Dade County FL Water & Sewer Revenue | 5.000% | 10/1/22 | 2,060 | 2,134 | ||
| Miami-Dade County FL Water & Sewer System Revenue | 4.000% | 10/1/38 | 2,125 | 2,572 | ||
| Miami-Dade County FL Water & Sewer System Revenue Prere. | 5.000% | 10/1/22 | 2,525 | 2,615 | ||
| North Brevard County FL Hospital District Revenue | 5.000% | 1/1/34 | 1,000 | 1,187 | ||
| North Sumter County Utility Dependent District Utility Revenue | 5.000% | 10/1/37 | 2,505 | 3,217 | ||
| Orange County FL Health Facilities Authority Hospital Revenue (Orlando Health Inc.) | 5.000% | 10/1/30 | 1,510 | 1,796 | ||
| Orange County FL School Board COP | 5.000% | 8/1/32 | 1,000 | 1,368 | ||
| Orange County FL School Board COP | 5.000% | 8/1/33 | 6,105 | 7,221 | ||
| 3 | Orlando FL Tourist Development Tax Revenue | 5.000% | 11/1/28 | 1,535 | 1,886 | |
| Orlando FL Utilities Commission System Revenue PUT | 1.250% | 10/1/28 | 1,000 | 1,012 | ||
| Osceola County FL Transportation Revenue | 5.000% | 10/1/28 | 500 | 631 | ||
| Osceola County FL Transportation Revenue | 0.000% | 10/1/34 | 2,000 | 1,442 | ||
| Palm Beach County FL Health Facilities Authority Hospital Revenue (BRRH Corp. Obligated Group) Prere. | 5.000% | 12/1/24 | 560 | 634 | ||
| Palm Beach County FL Public Improvement Revenue | 5.000% | 5/1/33 | 1,245 | 1,467 | ||
| Palm Beach County FL School Board COP | 5.000% | 8/1/29 | 1,540 | 1,772 | ||
| Palm Beach County FL School Board COP | 5.000% | 8/1/32 | 1,500 | 1,719 | ||
| Palm Beach County Health Facilities Authority Revenue (Toby & Leon Cooperman Sinai Residences of Boca Raton Expansion) | 2.625% | 6/1/25 | 165 | 168 | ||
| 4 | Palm Beach County Health Facilities Authority Revenue (Toby & Leon Cooperman Sinai Residences of Boca Raton Expansion) | 4.000% | 6/1/36 | 260 | 274 | |
| Panama City Beach FL Capital Improvement Revenue | 5.000% | 11/1/32 | 375 | 490 | ||
| Port St. Lucie FL Utility System Revenue | 4.000% | 9/1/32 | 1,440 | 1,648 | ||
| Reedy Creek FL Improvement District GO | 4.000% | 6/1/34 | 1,190 | 1,345 | ||
| Reedy Creek FL Improvement District GO | 4.000% | 6/1/35 | 1,000 | 1,131 | ||
| South Broward FL Hospital District Revenue | 4.000% | 5/1/33 | 1,020 | 1,143 | ||
| South Miami FL Health Facilities Authority Revenue (Baptist Health South Florida Obligated Group) | 4.000% | 8/15/33 | 1,180 | 1,346 | ||
| St. Johns County FL Industrial Development Authority Revenue (Vicars Landing Project) | 4.000% | 12/15/36 | 1,000 | 1,107 | ||
| St. Johns County FL Water & Sewer Revenue | 0.000% | 6/1/24 | 1,110 | 1,093 | ||
| Sunshine State Governmental Financing Commission Florida Revenue (Miami Dade County Program) Prere. | 5.000% | 9/1/23 | 1,000 | 1,078 | ||
| Tallahassee FL Energy System Revenue | 5.000% | 10/1/35 | 1,000 | 1,119 | ||
| Tallahassee FL Health Facilities System Revenue (Memorial Healthcare Projects) | 5.000% | 12/1/40 | 1,000 | 1,124 | ||
| Tallahassee FL Utility System Revenue | 5.000% | 10/1/29 | 1,015 | 1,139 | ||
| Tallahassee FL Utility System Revenue | 5.000% | 10/1/30 | 750 | 842 | ||
| Tallahassee FL Utility System Revenue | 5.000% | 10/1/34 | 1,265 | 1,416 | ||
32
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Tampa Bay FL Water Utility System Revenue | 5.000% | 10/1/37 | 2,040 | 2,418 | ||
| Tampa FL Cigarette Tax Allocation Revenue (H. Lee Moffitt Cancer Center Project) | 5.000% | 9/1/26 | 200 | 206 | ||
| Tampa FL Health System Revenue (BayCare Health System) | 4.000% | 11/15/33 | 120 | 121 | ||
| Tampa FL Health System Revenue (BayCare Health System) | 5.000% | 11/15/33 | 1,575 | 1,601 | ||
| Tampa FL Hospital Revenue | 5.000% | 7/1/23 | 750 | 767 | ||
| Tampa FL Non-AD Valorem Improvement Revenue (Sustainable Bonds) | 3.000% | 10/1/35 | 2,000 | 2,238 | ||
| Tampa-Hillsborough County FL Expressway Authority Revenue | 5.000% | 7/1/30 | 200 | 251 | ||
| Tampa-Hillsborough County FL Expressway Authority Revenue | 5.000% | 7/1/31 | 250 | 312 | ||
| Tohopekaliga FL Water Authority Utility System Revenue | 4.000% | 10/1/32 | 1,000 | 1,147 | ||
| Village Community FL Development District No. 13 Florida Assessment Revenue | 2.850% | 5/1/36 | 1,000 | 1,014 | ||
| Volusia County FL Educational Facilities Authority Revenue (Embry-Riddle Aeronautical University Inc.) | 5.000% | 10/15/29 | 860 | 1,046 | ||
| Volusia County FL School Board COP | 5.000% | 8/1/25 | 1,025 | 1,142 | ||
| Volusia County FL School Board COP | 5.000% | 8/1/25 | 1,650 | 1,909 | ||
| Volusia County FL School Board COP | 5.000% | 8/1/29 | 1,000 | 1,287 | ||
| 8 | Wildwood FL Utility Dependent District Revenue (South Sumter Utility Project) | 5.000% | 10/1/34 | 1,410 | 1,833 | |
| 194,318 | ||||||
| Georgia (1.3%) | ||||||
| Athens-Clarke County GA Unified Government Water & Sewerage Revenue | 4.000% | 1/1/32 | 1,000 | 1,101 | ||
| Atlanta GA Airport Revenue | 5.000% | 1/1/33 | 2,000 | 2,176 | ||
| Atlanta GA Water & Wastewater Revenue | 5.000% | 11/1/25 | 1,290 | 1,481 | ||
| Atlanta GA Water & Wastewater Revenue | 4.000% | 11/1/36 | 500 | 583 | ||
| Atlanta GA Water & Wastewater Revenue | 5.000% | 11/1/36 | 1,320 | 1,627 | ||
| Bulloch County GA Development Authority Revenue (Georgia Southern University Housing Foundation) | 5.000% | 7/1/27 | 410 | 498 | ||
| Bulloch County GA Development Authority Revenue (Georgia Southern University Housing Foundation) ETM | 5.000% | 7/1/27 | 100 | 122 | ||
| City of Atlanta Airport General Revenue | 5.000% | 7/1/22 | 1,675 | 1,715 | ||
| City of Atlanta Airport General Revenue | 5.000% | 7/1/23 | 1,000 | 1,071 | ||
| City of Atlanta Airport General Revenue | 4.000% | 7/1/41 | 2,015 | 2,428 | ||
| City of Dalton GA Utilities Revenue | 4.000% | 3/1/37 | 1,450 | 1,713 | ||
| Cobb County GA Kennestone Hospital Authority Revenue | 5.000% | 4/1/24 | 400 | 423 | ||
| Coweta County GA Development Authority Revenue (Piedmont Healthcare Inc. Project) | 5.000% | 7/1/36 | 1,060 | 1,339 | ||
| Dahlonega GA Downtown Development Authority Revenue (North Georgia MAC LLC Project) | 5.000% | 7/1/31 | 810 | 966 | ||
| DeKalb County GA Water & Sewer Revenue | 5.250% | 10/1/31 | 500 | 502 | ||
| Forsyth County GA GO | 5.000% | 9/1/23 | 2,000 | 2,157 | ||
| Fulton County GA Development Authority Revenue (Children's Healthcare of Atlanta Obligated Group) | 5.000% | 7/1/38 | 1,500 | 1,900 | ||
| 5 | Fulton County GA Residential Care Facilities for the Elderly Authority Revenue (Canterbury Court Project) | 4.000% | 4/1/41 | 1,000 | 1,081 | |
| Fulton County GA Water & Sewer Revenue | 4.000% | 1/1/34 | 4,000 | 4,139 | ||
33
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Gainesville & Hall County GA Hospital Authority Revenue (Northeast Georgia Health System Inc. Project) | 4.000% | 2/15/40 | 1,000 | 1,178 | ||
| Georgia GO | 5.000% | 7/1/24 | 1,500 | 1,674 | ||
| Georgia GO | 5.000% | 7/1/24 | 1,000 | 1,116 | ||
| Georgia GO | 5.000% | 7/1/25 | 1,100 | 1,274 | ||
| Georgia GO | 5.000% | 2/1/30 | 1,500 | 1,820 | ||
| Georgia GO | 5.000% | 7/1/30 | 2,530 | 3,361 | ||
| Georgia GO | 5.000% | 8/1/33 | 5,035 | 6,646 | ||
| Georgia Municipal Electric Power Authority Revenue | 5.000% | 1/1/33 | 1,335 | 1,721 | ||
| Georgia State Ports Authority Revenue | 4.000% | 7/1/37 | 1,100 | 1,349 | ||
| Griffin-Spalding County GA Hospital Authority Revenue (WellStar Health System Obligated Group) | 5.000% | 4/1/25 | 600 | 686 | ||
| Griffin-Spalding County GA Hospital Authority Revenue (WellStar Health System Obligated Group) | 5.000% | 4/1/31 | 350 | 420 | ||
| Griffin-Spalding County GA Hospital Authority Revenue (WellStar Health System Obligated Group) | 5.000% | 4/1/33 | 1,575 | 1,885 | ||
| Gwinnett County GA School District GO | 5.000% | 2/1/28 | 500 | 569 | ||
| Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 3/15/22 | 525 | 530 | ||
| Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 5/15/33 | 500 | 616 | ||
| Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 5/15/37 | 250 | 351 | ||
| Main Street Natural Gas Inc. Georgia Gas Project Revenue | 5.000% | 5/15/38 | 500 | 709 | ||
| 2 | Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 9/1/23 | 6,210 | 6,547 | |
| 2 | Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 12/1/23 | 6,245 | 6,633 | |
| Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 12/2/24 | 1,475 | 1,610 | ||
| Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 9/1/26 | 2,900 | 3,283 | ||
| Main Street Natural Gas Inc. Georgia Gas Project Revenue PUT | 4.000% | 12/1/28 | 3,690 | 4,330 | ||
| Main Street Natural Gas Inc. Georgia Gas Supply Revenue PUT | 4.000% | 9/1/27 | 3,500 | 4,045 | ||
| Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 5.000% | 7/1/31 | 1,410 | 1,678 | ||
| Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 4.000% | 7/1/33 | 1,835 | 2,140 | ||
| Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 4.000% | 7/1/33 | 5,210 | 6,389 | ||
| Metropolitan Atlanta Rapid Transportation Authority Georgia Sales Tax Revenue | 3.000% | 7/1/39 | 2,050 | 2,263 | ||
| Milledgeville & Baldwin County GA Development Authority Revenue (Georgia College & State University Projects) | 5.000% | 6/15/31 | 600 | 800 | ||
| Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/26 | 1,510 | 1,763 | ||
| 8 | Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/28 | 1,495 | 1,766 | |
| Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/29 | 1,795 | 2,197 | ||
| Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/35 | 1,715 | 1,922 | ||
| Municipal Electric Authority Georgia Revenue | 5.000% | 1/1/39 | 1,215 | 1,493 | ||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project M) | 5.000% | 1/1/32 | 500 | 614 | ||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project M) | 5.000% | 1/1/33 | 180 | 221 | ||
34
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project M) | 5.000% | 1/1/36 | 600 | 733 | ||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/28 | 580 | 706 | ||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/30 | 810 | 994 | ||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/34 | 800 | 976 | ||
| Municipal Electric Authority Georgia Revenue (Plant Voltage Units 3 & 4 Project P) | 5.000% | 1/1/39 | 2,000 | 2,438 | ||
| Private Colleges & University Authority of Georgia Revenue (Emory University) | 4.000% | 9/1/36 | 2,000 | 2,411 | ||
| Private Colleges & University Authority of Georgia Revenue (Emory University) | 5.000% | 9/1/36 | 795 | 1,014 | ||
| Private Colleges & University Authority of Georgia Revenue (Savannah College of Art & Design Projects) | 5.000% | 4/1/30 | 550 | 706 | ||
| Private Colleges & University Authority of Georgia Revenue (Savannah College of Art & Design Projects) | 4.000% | 4/1/40 | 370 | 437 | ||
| Walton County GA Development Authority Revenue (Piedmont Healthcare Inc. Project) | 4.000% | 7/1/38 | 1,145 | 1,346 | ||
| 114,382 | ||||||
| Guam (0.1%) | ||||||
| Guam Business Privilege Tax Revenue | 5.000% | 11/15/29 | 865 | 984 | ||
| Guam Government Business Privilege Tax Revenue | 5.000% | 11/15/26 | 735 | 847 | ||
| Guam Government Business Privilege Tax Revenue | 4.000% | 1/1/36 | 650 | 749 | ||
| Guam Government Waterworks Authority Water & Waste Water System Revenue | 5.250% | 7/1/23 | 1,000 | 1,067 | ||
| Guam Government Waterworks Authority Water & Waste Water System Revenue Prere. | 5.250% | 7/1/23 | 1,305 | 1,398 | ||
| 3 | Guam Power Authority Revenue | 5.000% | 10/1/30 | 255 | 263 | |
| 5,308 | ||||||
| Hawaii (0.6%) | ||||||
| 4 | City & County of Honolulu GO | 5.000% | 11/1/27 | 1,000 | 1,192 | |
| City & County of Honolulu GO | 4.000% | 7/1/41 | 1,000 | 1,211 | ||
| Hawaii Airports System Revenue | 5.000% | 7/1/29 | 1,785 | 2,279 | ||
| Hawaii Airports System Revenue | 5.000% | 7/1/30 | 1,000 | 1,304 | ||
| Hawaii Airports System Revenue | 5.000% | 7/1/31 | 2,000 | 2,595 | ||
| Hawaii Airports System Revenue | 4.000% | 7/1/38 | 2,500 | 2,966 | ||
| Hawaii GO | 5.000% | 8/1/24 | 1,765 | 1,974 | ||
| Hawaii GO | 5.000% | 10/1/25 | 1,575 | 1,837 | ||
| Hawaii GO | 5.000% | 1/1/29 | 1,370 | 1,699 | ||
| Hawaii GO | 5.000% | 8/1/29 | 595 | 662 | ||
| Hawaii GO | 4.000% | 8/1/32 | 5,000 | 5,415 | ||
| Hawaii GO | 5.000% | 1/1/33 | 1,575 | 1,937 | ||
| Hawaii GO | 5.000% | 1/1/36 | 4,115 | 5,052 | ||
| Hawaii GO Prere. | 5.000% | 8/1/23 | 3,500 | 3,761 | ||
| Hawaii GO Prere. | 5.000% | 8/1/24 | 1,500 | 1,679 | ||
| Hawaii GO Prere. | 5.000% | 8/1/24 | 235 | 263 | ||
| Honolulu HI City & County GO | 5.000% | 7/1/24 | 2,000 | 2,230 | ||
| Honolulu HI City & County GO | 5.000% | 10/1/28 | 1,000 | 1,160 | ||
| Honolulu HI City & County GO | 5.000% | 10/1/29 | 4,000 | 4,637 | ||
| Honolulu HI City & County GO | 4.000% | 10/1/32 | 1,000 | 1,113 | ||
| Honolulu HI City & County Wastewater System Revenue Prere. | 5.000% | 7/1/25 | 2,000 | 2,315 | ||
| Honolulu HI City & County Wastewater System Revenue Prere. | 5.000% | 7/1/25 | 1,000 | 1,157 | ||
35
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Maui County HI GO | 2.000% | 3/1/41 | 1,000 | 985 | ||
| University of Hawaii Revenue Bonds | 4.000% | 10/1/33 | 1,200 | 1,464 | ||
| 50,887 | ||||||
| Idaho (0.1%) | ||||||
| Idaho Airport Revenue & Refunding Bonds | 5.000% | 9/1/35 | 1,040 | 1,377 | ||
| Idaho Health Facilities Authority Revenue (St. Luke's Health System Project) | 5.000% | 3/1/28 | 1,595 | 1,970 | ||
| 2 | Idaho Health Facilities Authority Revenue (St. Luke's Health System Project) VRDO | 0.070% | 1/3/22 | 1,300 | 1,300 | |
| Idaho Housing & Finance Association Grant Revenue | 5.000% | 7/15/35 | 750 | 987 | ||
| 5,634 | ||||||
| Illinois (2.3%) | ||||||
| Chicago IL Board of Education GO | 5.000% | 12/1/23 | 1,000 | 1,083 | ||
| Chicago IL Board of Education GO | 5.000% | 12/1/24 | 700 | 784 | ||
| Chicago IL Board of Education GO | 5.000% | 12/1/24 | 1,500 | 1,679 | ||
| Chicago IL Board of Education GO | 7.000% | 12/1/26 | 500 | 615 | ||
| 10 | Chicago IL Board of Education GO | 0.000% | 12/1/28 | 1,000 | 896 | |
| Chicago IL Board of Education GO | 5.000% | 12/1/28 | 1,150 | 1,411 | ||
| 10 | Chicago IL Board of Education GO | 0.000% | 12/1/29 | 520 | 453 | |
| 10 | Chicago IL Board of Education GO | 0.000% | 12/1/30 | 1,350 | 1,142 | |
| 3 | Chicago IL Board of Education GO | 5.000% | 12/1/30 | 1,250 | 1,547 | |
| 10 | Chicago IL Board of Education GO | 0.000% | 12/1/31 | 1,550 | 1,275 | |
| Chicago IL Board of Education GO | 5.000% | 12/1/33 | 725 | 910 | ||
| Chicago IL Board of Education GO | 5.250% | 12/1/35 | 1,225 | 1,355 | ||
| Chicago IL Board of Education GO | 5.000% | 4/1/36 | 1,270 | 1,519 | ||
| Chicago IL GO | 5.000% | 1/1/24 | 520 | 564 | ||
| Chicago IL GO | 5.000% | 1/1/26 | 335 | 375 | ||
| Chicago IL GO | 5.000% | 1/1/28 | 1,090 | 1,311 | ||
| Chicago IL GO | 5.000% | 1/1/31 | 1,500 | 1,848 | ||
| Chicago IL Housing Authority Revenue | 5.000% | 1/1/33 | 1,000 | 1,184 | ||
| Chicago IL Metropolitan Water Reclamation District GO | 5.000% | 12/1/30 | 620 | 816 | ||
| Chicago IL Metropolitan Water Reclamation District GO | 5.000% | 12/1/31 | 535 | 718 | ||
| Chicago IL Midway Airport Revenue | 5.000% | 1/1/26 | 240 | 251 | ||
| Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/22 | 300 | 300 | ||
| Chicago IL O'Hare International Airport Revenue | 5.250% | 1/1/24 | 200 | 209 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/25 | 1,010 | 1,144 | ||
| Chicago IL O'Hare International Airport Revenue | 5.500% | 1/1/26 | 1,000 | 1,049 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/29 | 3,330 | 3,755 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/29 | 1,140 | 1,328 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/30 | 1,000 | 1,165 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/31 | 1,060 | 1,195 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/32 | 500 | 508 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/33 | 1,000 | 1,127 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/34 | 2,430 | 3,089 | ||
| Chicago IL O'Hare International Airport Revenue | 4.000% | 1/1/35 | 3,000 | 3,558 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/35 | 1,855 | 2,154 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/35 | 2,835 | 3,594 | ||
| Chicago IL O'Hare International Airport Revenue | 4.000% | 1/1/38 | 1,000 | 1,179 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/38 | 1,080 | 1,329 | ||
| Chicago IL O'Hare International Airport Revenue | 5.000% | 1/1/39 | 1,000 | 1,229 | ||
| 8 | Chicago IL Park District GO | 5.000% | 1/1/29 | 1,000 | 1,248 | |
| 8 | Chicago IL Park District GO | 5.000% | 1/1/32 | 1,225 | 1,400 | |
| 8 | Chicago IL Park District GO | 5.000% | 1/1/33 | 1,000 | 1,202 | |
| Chicago IL Transit Authority Revenue (Sales Tax Receipts) | 5.250% | 12/1/49 | 1,500 | 1,681 | ||
36
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Chicago IL Wastewater Transmission Revenue | 5.000% | 1/1/28 | 1,000 | 1,201 | ||
| Chicago IL Wastewater Transmission Revenue | 5.000% | 1/1/29 | 1,580 | 1,707 | ||
| 10 | Chicago IL Wastewater Transmission Revenue | 5.500% | 1/1/30 | 1,225 | 1,493 | |
| Chicago IL Water Revenue | 5.000% | 11/1/39 | 1,000 | 1,109 | ||
| Chicago IL Waterworks Revenue | 5.000% | 11/1/30 | 1,000 | 1,110 | ||
| Chicago Park District GO | 5.000% | 1/1/31 | 460 | 496 | ||
| Chicago Park District GO Prere. | 5.000% | 1/1/24 | 540 | 589 | ||
| Clinton Bond Fayette Counties IL Community College District No. 501 (Kaskaskia) | 0.350% | 6/1/41 | 1,500 | 1,500 | ||
| Cook County IL Community College District GO | 5.250% | 12/1/32 | 1,000 | 1,071 | ||
| 3 | Cook County IL GO | 5.000% | 11/15/26 | 1,545 | 1,872 | |
| 3 | Cook County IL School District No. 87 Berkeley GO | 3.000% | 12/1/37 | 500 | 552 | |
| Cook Kane Lake & McHenry Counties IL Community College District No. 512 (William Rainey Harper College) | 3.000% | 12/15/35 | 2,500 | 2,752 | ||
| Illinois Finance Authority Revenue (Advocate Health Care Network) Prere. | 5.000% | 8/1/24 | 1,550 | 1,732 | ||
| Illinois Finance Authority Revenue (Advocate Health Care Network) Prere. | 5.000% | 8/1/24 | 2,550 | 2,850 | ||
| Illinois Finance Authority Revenue (Advocate Health Care Network) Prere. | 5.000% | 8/1/24 | 2,000 | 2,235 | ||
| Illinois Finance Authority Revenue (Benedictine University) | 4.000% | 10/1/33 | 500 | 570 | ||
| Illinois Finance Authority Revenue (Carle Foundation) | 5.000% | 8/15/35 | 1,000 | 1,321 | ||
| Illinois Finance Authority Revenue (Centegra Health System) Prere. | 5.000% | 9/1/24 | 1,300 | 1,458 | ||
| Illinois Finance Authority Revenue (Clean Water Initiative) | 5.000% | 7/1/31 | 1,000 | 1,201 | ||
| Illinois Finance Authority Revenue (DePaul University) | 5.000% | 10/1/33 | 1,000 | 1,181 | ||
| Illinois Finance Authority Revenue (DePaul University) | 5.000% | 10/1/34 | 1,000 | 1,180 | ||
| Illinois Finance Authority Revenue (Edward Elmhurst Obligated Group) | 5.000% | 1/1/36 | 1,000 | 1,175 | ||
| Illinois Finance Authority Revenue (Franciscan Communities Inc.) | 5.000% | 5/15/37 | 1,000 | 1,138 | ||
| Illinois Finance Authority Revenue (Mercy Health System) | 4.000% | 12/1/28 | 1,000 | 1,131 | ||
| Illinois Finance Authority Revenue (Northwest Community Hospital) | 5.000% | 7/1/35 | 1,000 | 1,173 | ||
| Illinois Finance Authority Revenue (Northwestern Memorial Healthcare) | 3.000% | 7/15/40 | 1,000 | 1,079 | ||
| Illinois Finance Authority Revenue (OSF Healthcare System) | 4.000% | 11/15/33 | 1,000 | 1,108 | ||
| Illinois Finance Authority Revenue (OSF Healthcare System) PUT | 5.000% | 11/15/24 | 75 | 83 | ||
| Illinois Finance Authority Revenue (OSF Healthcare System) PUT | 5.000% | 11/15/26 | 165 | 195 | ||
| Illinois Finance Authority Revenue (Presence Health Network) | 5.000% | 2/15/41 | 3,370 | 4,019 | ||
| Illinois Finance Authority Revenue (Rehabilitation Institute of Chicago) | 5.500% | 7/1/28 | 2,000 | 2,145 | ||
| Illinois Finance Authority Revenue (Rush University Medical Center) | 5.000% | 11/15/33 | 1,050 | 1,192 | ||
| Illinois Finance Authority Revenue (University of Chicago) | 5.000% | 10/1/33 | 1,500 | 2,089 | ||
| Illinois Finance Authority Revenue (University of Chicago) | 5.000% | 10/1/35 | 1,000 | 1,117 | ||
| Illinois GO | 5.000% | 8/1/22 | 1,000 | 1,027 | ||
| Illinois GO | 5.000% | 10/1/22 | 1,290 | 1,335 | ||
37
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Illinois GO | 5.000% | 11/1/22 | 2,300 | 2,388 | ||
| Illinois GO | 5.000% | 11/1/22 | 1,000 | 1,038 | ||
| Illinois GO | 5.000% | 2/1/23 | 540 | 567 | ||
| Illinois GO | 5.000% | 3/1/23 | 750 | 790 | ||
| Illinois GO | 5.000% | 11/1/23 | 1,000 | 1,081 | ||
| Illinois GO | 4.000% | 3/1/24 | 750 | 805 | ||
| Illinois GO | 5.500% | 7/1/24 | 1,100 | 1,184 | ||
| Illinois GO | 5.000% | 8/1/24 | 1,500 | 1,540 | ||
| Illinois GO | 5.000% | 10/1/24 | 1,470 | 1,643 | ||
| Illinois GO | 5.000% | 11/1/24 | 1,785 | 2,001 | ||
| 3 | Illinois GO | 5.000% | 3/1/26 | 1,125 | 1,133 | |
| Illinois GO | 5.000% | 2/1/28 | 1,690 | 1,999 | ||
| Illinois GO | 5.000% | 10/1/28 | 2,000 | 2,463 | ||
| Illinois GO | 5.000% | 11/1/28 | 1,000 | 1,204 | ||
| Illinois GO | 5.000% | 11/1/29 | 1,000 | 1,201 | ||
| Illinois GO | 5.250% | 2/1/30 | 1,900 | 2,078 | ||
| Illinois GO | 5.250% | 7/1/31 | 1,000 | 1,069 | ||
| Illinois GO | 4.125% | 10/1/36 | 500 | 588 | ||
| Illinois GO | 4.000% | 10/1/40 | 700 | 808 | ||
| Illinois Housing Development Authority Revenue | 3.000% | 10/1/50 | 4,810 | 5,159 | ||
| 3,14 | Illinois Regional Transportation Authority Revenue | 6.250% | 7/1/23 | 500 | 544 | |
| 8 | Illinois Sales Tax Revenue | 5.000% | 6/15/28 | 1,000 | 1,173 | |
| Illinois Sales Tax Revenue | 5.000% | 6/15/36 | 1,000 | 1,201 | ||
| Illinois Sales Tax Revenue | 5.000% | 6/15/37 | 1,000 | 1,198 | ||
| Illinois Sports Facilities Authority (State Tax Supported) | 5.000% | 6/15/29 | 1,075 | 1,319 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 1,000 | 1,046 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 1,490 | 1,881 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 3,500 | 4,517 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/31 | 1,600 | 2,012 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/32 | 500 | 523 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/37 | 1,200 | 1,459 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/38 | 3,715 | 4,165 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/41 | 2,150 | 2,750 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/41 | 3,095 | 4,038 | ||
| Illinois Toll Highway Authority Revenue | 4.000% | 1/1/42 | 1,300 | 1,557 | ||
| Illinois Toll Highway Authority Revenue | 5.000% | 1/1/43 | 1,215 | 1,575 | ||
| 3 | Kane County IL School District No. 131 (Aurora East Side) GO | 4.000% | 12/1/33 | 250 | 291 | |
| 3 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/26 | 910 | 859 | |
| 3 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/27 | 1,195 | 1,102 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue | 5.500% | 6/15/29 | 2,505 | 2,944 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue | 0.000% | 12/15/29 | 2,205 | 1,903 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/38 | 1,000 | 663 | |
| Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 5.000% | 12/15/27 | 710 | 867 | ||
| Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 5.000% | 12/15/28 | 1,500 | 1,532 | ||
38
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 3,7 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 5.500% | 6/15/29 | 400 | 474 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 6/15/31 | 1,540 | 1,273 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 12/15/31 | 360 | 294 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 6/15/32 | 1,215 | 978 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 6/15/33 | 1,130 | 886 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 12/15/33 | 1,790 | 1,383 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 6/15/35 | 1,000 | 740 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 6/15/37 | 1,075 | 742 | |
| 10 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 12/15/37 | 700 | 474 | |
| 4 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 12/15/37 | 1,000 | 664 | |
| 4 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 0.000% | 6/15/38 | 1,000 | 652 | |
| 4 | Metropolitan Pier & Exposition Authority Illinois Dedicated Sales Tax Revenue (McCormick Place Expansion Project) | 4.000% | 12/15/42 | 1,000 | 1,150 | |
| Northern Illinois Municipal Power Agency Project Revenue | 5.000% | 12/1/26 | 1,070 | 1,274 | ||
| 8 | Northern Illinois University Auxiliary Facilities System Revenue | 4.000% | 10/1/34 | 500 | 596 | |
| Railsplitter Tobacco Settlement Authority Illinois Tobacco Settlement Revenue | 5.000% | 6/1/26 | 1,570 | 1,852 | ||
| Regional Transportation Authority Illinois GO | 5.000% | 6/1/31 | 1,785 | 2,103 | ||
| Romeoville IL Revenue (Lewis University Project) | 5.000% | 10/1/28 | 1,000 | 1,115 | ||
| Sales Tax Securitization Corp. Illinois Revenue | 5.000% | 1/1/29 | 1,500 | 1,889 | ||
| Sales Tax Securitization Corp. Illinois Revenue | 5.000% | 1/1/32 | 1,500 | 1,982 | ||
| 8 | Sangamon County Springfield School District No. 186 GO ETM | 5.000% | 2/1/23 | 445 | 467 | |
| Southwestern Illinois Development Authority Health Facilities Revenue (Hospital Sisters Services Inc.) | 5.000% | 2/15/28 | 1,000 | 1,236 | ||
| Southwestern Illinois Development Authority Revenue | 5.000% | 4/15/30 | 1,275 | 1,635 | ||
| University of Illinois Auxiliary Facilities System Revenue | 4.000% | 4/1/31 | 120 | 131 | ||
| University of Illinois Auxiliary Facilities System Revenue | 4.000% | 4/1/33 | 10 | 11 | ||
| 8 | Will County IL Community High School District No. 210 (Lincoln-Way) GO | 0.000% | 1/1/29 | 1,000 | 887 | |
| Will County IL Community High School District No. 210 (Lincoln-Way) GO | 5.000% | 1/1/30 | 1,200 | 1,246 | ||
| 202,357 | ||||||
39
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Indiana (0.7%) | ||||||
| Ball State University Student Fee Indiana Revenue | 5.000% | 7/1/32 | 425 | 516 | ||
| Ball State University Student Fee Indiana Revenue | 5.000% | 7/1/34 | 1,110 | 1,346 | ||
| Ball State University Student Fee Indiana Revenue | 5.000% | 7/1/35 | 1,450 | 1,756 | ||
| Carmel IN Local Public Improvement Bond Bank (Special Program Bonds) | 4.000% | 1/15/35 | 1,000 | 1,160 | ||
| Hammond IN Multi-School Building Corp. Revenue | 5.000% | 1/15/29 | 790 | 974 | ||
| Indiana Finance Authority Hospital Revenue (Indiana University Health Obligated Group) | 5.000% | 12/1/22 | 1,100 | 1,148 | ||
| Indiana Finance Authority Hospital Revenue (Indiana University Health Obligated Group) | 5.000% | 12/1/33 | 1,390 | 1,580 | ||
| Indiana Finance Authority Hospital Revenue (Parkview Health Systems Obligated Group) | 5.000% | 5/1/27 | 700 | 853 | ||
| Indiana Finance Authority Hospital Revenue (Parkview Health Systems Obligated Group) | 5.000% | 5/1/30 | 450 | 585 | ||
| Indiana Finance Authority Revenue (Butler University Project) | 5.000% | 2/1/29 | 1,020 | 1,277 | ||
| Indiana Finance Authority Revenue (Community Foundation of Northwest Indiana Obligated Group) Prere. | 5.000% | 3/1/22 | 690 | 695 | ||
| Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 5.000% | 11/1/29 | 1,175 | 1,441 | ||
| Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 5.000% | 11/1/30 | 1,520 | 1,863 | ||
| Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 5.000% | 11/1/31 | 1,130 | 1,384 | ||
| Indiana Finance Authority Revenue (Franciscan Alliance Inc.) | 4.000% | 11/1/35 | 1,685 | 1,919 | ||
| Indiana Finance Authority Revenue (Green Bonds) | 5.000% | 2/1/30 | 1,000 | 1,306 | ||
| Indiana Finance Authority Revenue (Marquette Project) | 5.000% | 3/1/24 | 1,645 | 1,787 | ||
| Indiana Finance Authority Revenue (Marquette Project) | 5.000% | 3/1/25 | 650 | 729 | ||
| Indiana Finance Authority Revenue (Stadium Project) | 5.250% | 2/1/30 | 1,075 | 1,245 | ||
| 2 | Indiana Finance Authority Revenue (Stadium Project) VRDO | 0.080% | 1/3/22 | 8,600 | 8,600 | |
| Indiana Finance Authority Revenue (State Revolving Fund) Prere. | 5.000% | 2/1/23 | 500 | 526 | ||
| Indiana Finance Authority Wastewater Utility Revenue (CWA Authority Project) | 5.000% | 10/1/30 | 1,500 | 1,980 | ||
| Indiana Finance Authority Wastewater Utility Revenue (CWA Authority Project) | 5.000% | 10/1/32 | 500 | 518 | ||
| Indiana Finance Authority Wastewater Utility Revenue (CWA Authority Project) | 3.000% | 10/1/41 | 1,000 | 1,104 | ||
| Indiana Municipal Power Agency Revenue | 5.000% | 1/1/34 | 1,415 | 1,674 | ||
| Indiana Municipal Power Agency Revenue | 5.000% | 1/1/36 | 1,000 | 1,219 | ||
| Indiana Municipal Power Agency Revenue | 5.000% | 1/1/39 | 4,575 | 5,400 | ||
| Indianapolis Department of Public Utilities Water System Revenue | 5.000% | 10/1/35 | 1,460 | 1,823 | ||
| Indianapolis IN Gas Utilities Distribution System (Citizens Energy Group) | 5.000% | 8/15/23 | 3,250 | 3,495 | ||
| Indianapolis Local Public Improvement Bond | 5.000% | 6/1/31 | 2,500 | 3,278 | ||
| Indianapolis Local Public Improvement Bond Bank (Cityway 1 Project) | 5.000% | 2/1/32 | 1,345 | 1,468 | ||
| IPS Multi-School Building Corp. IN Revenue | 5.000% | 7/15/28 | 1,390 | 1,571 | ||
| Ivy IN Tech Community College Revenue | 5.000% | 7/1/32 | 870 | 1,076 | ||
| Ivy IN Tech Community College Revenue | 5.000% | 7/1/33 | 880 | 1,086 | ||
| Richmond IN Hospital Authority Revenue (Reid Hospital & Health Care Services Inc.) | 5.000% | 1/1/24 | 720 | 781 | ||
40
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Silver Creek IN School Building Corp. (Valorem Property) | 3.000% | 1/15/35 | 1,200 | 1,345 | ||
| Tippecanoe County IN School Building Corp. Revenue | 4.000% | 7/15/32 | 1,070 | 1,281 | ||
| 61,789 | ||||||
| Iowa (0.2%) | ||||||
| Des Moines IA Stormwater Management Utility Revenue (Capital Loan Notes) | 5.000% | 6/1/23 | 1,000 | 1,067 | ||
| Iowa City IA Community School District GO | 3.000% | 6/1/30 | 3,725 | 4,097 | ||
| Iowa Finance Authority Health Facilities Revenue (Mercy Medical Center Project) | 5.000% | 8/15/27 | 1,435 | 1,472 | ||
| Iowa Finance Authority Midwestern Disaster Area Revenue (Iowa Fertilizer Co. Project) PUT | 5.250% | 12/1/37 | 2,120 | 2,297 | ||
| Iowa Finance Authority Revenue | 5.000% | 8/1/38 | 1,345 | 1,751 | ||
| Iowa Finance Authority Revenue | 5.000% | 8/1/40 | 1,000 | 1,325 | ||
| Iowa Higher Education Loan Authority Revenue (Des Moines University Projects) | 5.000% | 10/1/35 | 1,250 | 1,567 | ||
| Iowa Tobacco Settlement Authority Revenue | 4.000% | 6/1/36 | 1,000 | 1,195 | ||
| Xenia IA Rural Water District Revenue | 5.000% | 12/1/28 | 1,000 | 1,176 | ||
| 15,947 | ||||||
| Kansas (0.2%) | ||||||
| Johnson County KS Public Building Commission (Courthouse & Medical Examiners Facilities) Revenue | 4.000% | 9/1/27 | 1,000 | 1,150 | ||
| Johnson County KS Unified School District No. 512 (Shawnee Mission) GO | 4.000% | 10/1/22 | 1,000 | 1,029 | ||
| Kansas Department of Transportation Highway Revenue | 5.000% | 9/1/26 | 700 | 785 | ||
| Kansas Development Finance Authority Revenue | 5.000% | 5/1/25 | 1,345 | 1,428 | ||
| Kansas Development Finance Authority Revenue | 5.000% | 5/1/27 | 1,585 | 1,681 | ||
| Kansas Development Finance Authority Revenue | 5.000% | 4/1/32 | 1,325 | 1,400 | ||
| 2 | Kansas Development Finance Authority Revenue VRDO | 0.070% | 1/3/22 | 1,200 | 1,200 | |
| Lyon County KS Unified School District No 253. GO | 4.000% | 9/1/32 | 350 | 407 | ||
| Sedgwick County KS Unified School District No. 266 (Maize) GO | 5.000% | 9/1/23 | 1,565 | 1,686 | ||
| Sedgwick County KS Unified School District No. 266 (Maize) GO | 3.000% | 9/1/33 | 2,090 | 2,295 | ||
| University of Kansas Hospital Authority Health Facilities Refunding & Improvement Bonds | 4.000% | 9/1/40 | 1,000 | 1,098 | ||
| Wyandotte County/Kansas City KS Unified Government Utility System Revenue Prere. | 5.000% | 9/1/22 | 1,000 | 1,032 | ||
| 15,191 | ||||||
| Kentucky (0.5%) | ||||||
| Carroll County KY Pollution Control Revenue (Kentucky Utilities Co. Project) PUT | 1.550% | 9/1/26 | 1,000 | 1,027 | ||
| Kentucky Bond Development Corp. Educational Facilities Revenue (Centre College) | 4.000% | 6/1/34 | 225 | 270 | ||
| Kentucky Bond Development Corp. Transient Room Tax Revenue (Lexington Center Corp. Project) | 5.000% | 9/1/29 | 1,980 | 2,490 | ||
| 10 | Kentucky Economic Development Finance Authority Health System Revenue (Norton Healthcare Inc. & Affiliates) | 0.000% | 10/1/25 | 1,220 | 1,155 | |
| Kentucky Economic Development Finance Authority Hospital Revenue (Baptist Healthcare System Obligated Group) | 5.000% | 8/15/31 | 1,575 | 1,897 | ||
| 10 | Kentucky Municipal Power Agency Power System Revenue | 5.000% | 9/1/29 | 1,000 | 1,154 | |
| 8 | Kentucky Property & Building Commission Revenue | 5.000% | 5/1/34 | 1,000 | 1,236 | |
41
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 4/1/24 | 9,220 | 9,851 | ||
| Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 1/1/25 | 6,760 | 7,366 | ||
| Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 6/1/25 | 775 | 849 | ||
| Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 6/1/25 | 1,095 | 1,201 | ||
| Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 6/1/26 | 1,790 | 2,023 | ||
| Kentucky Public Energy Authority Gas Supply Revenue PUT | 4.000% | 2/1/28 | 3,200 | 3,706 | ||
| Kentucky Public Transportation Infrastructure Authority Toll Revenue (Downtown Crossing Project) BAN | 0.000% | 7/1/22 | 810 | 808 | ||
| Kentucky State Property & Building Commission Revenue | 5.000% | 9/1/22 | 1,500 | 1,548 | ||
| Kentucky Turnpike Authority Economic Development Road Revenue (Revitalization Project) Prere. | 5.000% | 7/1/23 | 1,000 | 1,071 | ||
| 4 | Kentucky Turnpike Authority Economic Development Road Revenue (Revitalization Projects) | 5.000% | 7/1/30 | 460 | 585 | |
| 4 | Kentucky Turnpike Authority Economic Development Road Revenue (Revitalization Projects) | 5.000% | 7/1/31 | 250 | 324 | |
| Louisville & Jefferson County KY Metropolitan Government Revenue (Catholic Health Initiatives) Prere. | 5.000% | 6/1/22 | 1,000 | 1,020 | ||
| Louisville & Jefferson County KY Metropolitan Government Revenue (Gas & Electric Co. Project) | 2.000% | 10/1/33 | 1,500 | 1,522 | ||
| Owen County KY Revenue (American Water Capital Corp.) PUT | 2.450% | 10/1/29 | 500 | 537 | ||
| Owen County KY Revenue (American Water Capital Corp.) PUT | 2.450% | 10/1/29 | 1,000 | 1,073 | ||
| Warren County KY Hospital Revenue (Bowling Green-Warren County Community Hospital Corp. Project) Prere. | 5.000% | 4/1/23 | 1,050 | 1,112 | ||
| 43,825 | ||||||
| Louisiana (0.5%) | ||||||
| Bossier City LA Utilities Revenue | 5.000% | 10/1/22 | 500 | 518 | ||
| Bossier City LA Utilities Revenue | 5.000% | 10/1/23 | 595 | 641 | ||
| East Baton Rouge LA Sewerage Commission Revenue PUT | 1.300% | 2/1/28 | 1,000 | 1,016 | ||
| East Baton Rouge Parish LA Industrial Development Board Inc. (ExxonMobil Project) VRDO | 0.090% | 1/3/22 | 17,150 | 17,150 | ||
| Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/31 | 1,000 | 1,012 | ||
| Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/32 | 850 | 860 | ||
| Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/34 | 330 | 334 | ||
| Louisiana Gasoline & Fuel Tax Revenue | 4.000% | 5/1/35 | 390 | 395 | ||
| Louisiana Gasoline & Fuel Tax Revenue | 5.000% | 5/1/35 | 1,065 | 1,302 | ||
| Louisiana Gasoline & Fuel Tax Revenue | 4.500% | 5/1/39 | 2,665 | 2,973 | ||
| Louisiana Gasoline & Fuel Tax Revenue PUT | 0.600% | 5/1/23 | 1,000 | 1,001 | ||
| Louisiana GO | 5.000% | 3/1/29 | 2,520 | 3,227 | ||
| 8 | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue | 5.000% | 10/1/29 | 1,315 | 1,636 | |
| Louisiana Local Government Environmental Facilities & Community Development Authority Revenue (LCTCS Facilities Corp. Project) Prere. | 5.000% | 10/1/24 | 1,235 | 1,389 | ||
| Louisiana Public Facilities Authority Hospital Revenue (Louisiana Children's Medical Center) | 5.000% | 6/1/36 | 1,250 | 1,519 | ||
42
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Louisiana Public Facilities Authority Hospital Revenue (Tulane University of Louisiana) | 5.000% | 4/1/37 | 1,270 | 1,611 | ||
| Louisiana Public Facilities Authority Revenue (Ochsner Clinic Projects) PUT | 5.000% | 5/15/25 | 220 | 253 | ||
| Louisiana Stadium & Exposition District Revenue | 5.000% | 7/1/24 | 1,000 | 1,067 | ||
| Louisiana State University Revenue | 5.000% | 7/1/23 | 455 | 485 | ||
| 3 | New Orleans LA Aviation Board Revenue | 5.000% | 10/1/27 | 875 | 1,070 | |
| New Orleans LA GO | 5.000% | 12/1/31 | 500 | 521 | ||
| St. Charles Parish LA Gulf Opportunity Zone Revenue (Valero Energy Corp.) PUT | 4.000% | 6/1/22 | 1,755 | 1,781 | ||
| St. John the Baptish Parish LA Revenue (Marathon Oil Corp. Project) PUT | 2.125% | 7/1/24 | 715 | 737 | ||
| St. John the Baptish Parish LA Revenue (Marathon Oil Corp. Project) PUT | 2.375% | 7/1/26 | 725 | 763 | ||
| Tangipahoa Parish LA Hospital Service District No. 1 (North Oaks Health System Project) | 4.000% | 2/1/36 | 2,000 | 2,360 | ||
| 45,621 | ||||||
| Maine (0.1%) | ||||||
| Maine Health & Higher Educational Facilities Authority Revenue (Mainehealth) | 5.000% | 7/1/29 | 445 | 550 | ||
| Maine Health & Higher Educational Facilities Authority Revenue (Mainehealth) | 5.000% | 7/1/30 | 600 | 738 | ||
| 3 | Maine Health & Higher Educational Facilities Authority Revenue (Mainehealth) | 4.000% | 7/1/36 | 150 | 182 | |
| Maine Municipal Bond Bank | 4.000% | 11/1/38 | 800 | 982 | ||
| Maine Municipal Bond Bank (Department of Transportation) | 5.000% | 9/1/32 | 1,265 | 1,645 | ||
| 4 | Maine Turnpike Authority Revenue | 4.000% | 7/1/38 | 1,145 | 1,384 | |
| Portland ME General Airport Revenue | 4.000% | 1/1/39 | 820 | 941 | ||
| 6,422 | ||||||
| Maryland (1.4%) | ||||||
| Anne Arundel County MD GO | 5.000% | 4/1/23 | 1,190 | 1,261 | ||
| Anne Arundel County MD GO | 5.000% | 10/1/23 | 3,115 | 3,371 | ||
| Anne Arundel County MD GO | 5.000% | 10/1/23 | 1,155 | 1,250 | ||
| Anne Arundel County MD GO | 5.000% | 4/1/25 | 3,145 | 3,605 | ||
| Anne Arundel County MD GO | 5.000% | 10/1/27 | 1,455 | 1,696 | ||
| Anne Arundel County MD GO | 5.000% | 4/1/33 | 1,000 | 1,142 | ||
| Baltimore County MD GO | 5.000% | 3/1/24 | 400 | 440 | ||
| Baltimore County MD GO | 4.000% | 3/1/30 | 1,200 | 1,395 | ||
| Baltimore County MD GO | 5.000% | 3/1/33 | 1,000 | 1,340 | ||
| Baltimore County MD GO | 5.000% | 3/1/33 | 3,035 | 3,852 | ||
| Baltimore MD Consolidated Public Improvement GO | 5.000% | 3/1/32 | 1,275 | 1,621 | ||
| Baltimore MD Consolidated Public Improvement GO Prere. | 5.000% | 10/15/22 | 650 | 674 | ||
| Baltimore MD Project Revenue | 5.000% | 7/1/24 | 2,095 | 2,334 | ||
| Harford County MD GO | 5.000% | 10/1/26 | 1,250 | 1,507 | ||
| Howard County MD Housing Commission General Revenue (Columbia Landing Apartments) | 1.600% | 6/1/29 | 1,000 | 995 | ||
| Maryland Department of Transportation Revenue | 5.000% | 9/1/22 | 7,500 | 7,740 | ||
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/23 | 70 | 73 | |
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/24 | 80 | 87 | |
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/25 | 60 | 67 | |
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/26 | 65 | 75 | |
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/27 | 65 | 77 | |
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/28 | 65 | 78 | |
| 4 | Maryland Department of Transportation Revenue | 5.000% | 12/1/29 | 65 | 80 | |
43
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Maryland Department of Transportation Revenue | 4.000% | 12/15/29 | 1,365 | 1,461 | ||
| Maryland Department of Transportation Revenue | 3.000% | 10/1/30 | 2,620 | 2,897 | ||
| Maryland GO | 5.000% | 3/15/22 | 1,000 | 1,010 | ||
| Maryland GO | 5.000% | 8/1/22 | 1,790 | 1,840 | ||
| Maryland GO | 5.000% | 8/1/22 | 1,500 | 1,542 | ||
| Maryland GO | 5.000% | 3/15/23 | 1,145 | 1,211 | ||
| Maryland GO | 4.000% | 8/1/23 | 3,155 | 3,341 | ||
| Maryland GO | 5.000% | 8/1/23 | 1,920 | 2,063 | ||
| Maryland GO | 5.000% | 8/1/23 | 1,670 | 1,794 | ||
| Maryland GO | 5.000% | 3/15/24 | 1,100 | 1,213 | ||
| Maryland GO | 5.000% | 8/1/25 | 9,380 | 10,895 | ||
| Maryland GO | 5.000% | 3/15/26 | 1,235 | 1,464 | ||
| Maryland GO | 4.000% | 8/1/26 | 1,970 | 2,087 | ||
| Maryland GO | 4.000% | 3/1/29 | 3,000 | 3,028 | ||
| Maryland GO | 4.000% | 6/1/29 | 2,000 | 2,167 | ||
| Maryland GO | 3.250% | 8/1/30 | 1,000 | 1,042 | ||
| Maryland GO | 5.000% | 8/1/31 | 5,000 | 6,275 | ||
| Maryland GO | 5.000% | 3/15/32 | 2,750 | 3,504 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (Adventist Healthcare Obligated Group) | 5.500% | 1/1/31 | 1,950 | 2,373 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (Adventist Healthcare) | 5.000% | 1/1/28 | 165 | 202 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (Anne Arundel Health System) | 5.000% | 7/1/27 | 500 | 511 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (Anne Arundel Health System) | 5.000% | 7/1/31 | 750 | 902 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (Johns Hopkins Health System Obligated Group) Prere. | 5.000% | 7/1/22 | 500 | 512 | ||
| 5,11 | Maryland Health & Higher Educational Facilities Authority Revenue (Maryland Medical System), SIFMA Municipal Swap Index Yield + 0.540% PUT | 0.640% | 12/8/27 | 3,645 | 3,645 | |
| Maryland Health & Higher Educational Facilities Authority Revenue (Meritus Medical Center Inc.) | 5.000% | 7/1/33 | 1,215 | 1,372 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (Stevenson University) | 5.000% | 6/1/29 | 270 | 336 | ||
| Maryland Health & Higher Educational Facilities Authority Revenue (University of Pittsburgh Medical Center) | 4.000% | 4/15/38 | 1,000 | 1,177 | ||
| 4 | Maryland State Local Facilities GO | 4.000% | 3/1/29 | 1,000 | 1,194 | |
| Maryland State Local Facilities GO | 4.000% | 8/1/36 | 5,000 | 6,219 | ||
| Maryland State Stadium Authority Built Learn Revenue | 4.000% | 6/1/36 | 1,000 | 1,198 | ||
| Maryland Transportation Authority Facilities Projects Revenue | 2.000% | 7/1/35 | 1,500 | 1,507 | ||
| Montgomery County MD GO | 5.000% | 11/1/22 | 1,000 | 1,040 | ||
| Montgomery County MD GO | 5.000% | 11/1/22 | 1,275 | 1,326 | ||
| Montgomery County MD GO | 4.000% | 11/1/28 | 2,390 | 2,826 | ||
| Montgomery County MD GO | 4.000% | 12/1/30 | 1,555 | 1,713 | ||
| Montgomery County MD GO Prere. | 4.000% | 11/1/24 | 1,000 | 1,102 | ||
| Montgomery County MD GO Prere. | 5.000% | 11/1/24 | 1,000 | 1,130 | ||
| Prince Georges County MD Public Improvement Bonds GO | 5.000% | 7/1/23 | 3,375 | 3,615 | ||
| Washington MD Suburban Sanitary Commission GO | 5.000% | 6/1/22 | 1,000 | 1,020 | ||
| Washington MD Suburban Sanitary Commission GO | 4.000% | 6/15/33 | 1,000 | 1,166 | ||
| 119,680 | ||||||
44
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Massachusetts (1.3%) | ||||||
| Commonwealth of Massachusetts GO | 5.000% | 10/1/22 | 7,930 | 8,215 | ||
| Commonwealth of Massachusetts GO | 2.000% | 9/1/39 | 1,900 | 1,879 | ||
| Massachusetts Bay Transportation Authority Assessment Revenue | 5.000% | 7/1/27 | 2,880 | 3,425 | ||
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/22 | 495 | 507 | ||
| 10 | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.500% | 7/1/25 | 2,530 | 2,969 | |
| 10 | Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.500% | 7/1/26 | 410 | 499 | |
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/31 | 955 | 1,288 | ||
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.250% | 7/1/34 | 1,285 | 1,867 | ||
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 4.000% | 7/1/37 | 1,000 | 1,229 | ||
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/38 | 3,290 | 4,085 | ||
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 4.000% | 7/1/40 | 1,915 | 2,334 | ||
| Massachusetts Bay Transportation Authority Sales Tax Revenue | 5.000% | 7/1/40 | 1,125 | 1,395 | ||
| Massachusetts Department of Transportation Metropolitan Highway System Revenue PUT | 5.000% | 1/1/23 | 1,110 | 1,161 | ||
| Massachusetts Development Finance Agency Revenue (Boston College) | 5.000% | 7/1/37 | 1,750 | 2,102 | ||
| Massachusetts Development Finance Agency Revenue (CareGroup Inc.) | 5.000% | 7/1/29 | 1,225 | 1,528 | ||
| Massachusetts Development Finance Agency Revenue (CareGroup Inc.) | 5.000% | 7/1/38 | 1,085 | 1,327 | ||
| Massachusetts Development Finance Agency Revenue (Harvard University) | 5.000% | 10/15/29 | 5,000 | 6,530 | ||
| Massachusetts Development Finance Agency Revenue (Lahey Clinic Obligated Group) | 5.000% | 7/1/34 | 500 | 625 | ||
| Massachusetts Development Finance Agency Revenue (Southcoast Health System) | 5.000% | 7/1/28 | 200 | 249 | ||
| Massachusetts Development Finance Agency Revenue (UMass Memorial Medical Center) | 5.000% | 7/1/25 | 1,275 | 1,465 | ||
| Massachusetts Development Finance Agency Revenue (UMass Student Housing Project) | 5.000% | 10/1/32 | 525 | 607 | ||
| Massachusetts Development Finance Agency Revenue (Western New England University) | 5.000% | 9/1/32 | 1,105 | 1,344 | ||
| Massachusetts GO | 5.000% | 8/1/22 | 1,000 | 1,028 | ||
| Massachusetts GO | 5.000% | 11/1/22 | 1,900 | 1,976 | ||
| Massachusetts GO | 5.250% | 8/1/23 | 525 | 566 | ||
| Massachusetts GO | 5.000% | 12/1/23 | 1,520 | 1,656 | ||
| Massachusetts GO | 5.000% | 9/1/25 | 3,850 | 4,482 | ||
| Massachusetts GO | 5.000% | 5/1/29 | 2,180 | 2,315 | ||
| Massachusetts GO | 5.000% | 9/1/29 | 5,000 | 6,496 | ||
| Massachusetts GO | 5.000% | 5/1/31 | 1,675 | 1,778 | ||
| Massachusetts GO | 5.000% | 9/1/31 | 1,500 | 2,032 | ||
| Massachusetts GO | 5.250% | 1/1/34 | 2,665 | 3,428 | ||
| Massachusetts GO | 5.000% | 7/1/35 | 1,000 | 1,152 | ||
| Massachusetts GO | 3.500% | 5/1/37 | 2,000 | 2,069 | ||
| Massachusetts GO | 3.000% | 11/1/39 | 1,500 | 1,655 | ||
| Massachusetts GO | 2.000% | 3/1/41 | 1,000 | 976 | ||
45
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Massachusetts Port Authority Revenue | 5.000% | 7/1/35 | 2,400 | 3,060 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/23 | 645 | 664 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/31 | 610 | 706 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue | 4.000% | 8/15/32 | 600 | 669 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue | 4.750% | 8/15/32 | 1,335 | 1,524 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue | 5.000% | 8/15/37 | 1,860 | 2,157 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue Prere. | 5.000% | 8/15/22 | 3,500 | 3,604 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue Prere. | 5.000% | 2/15/24 | 1,500 | 1,647 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue Prere. | 4.750% | 8/15/25 | 165 | 190 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue Prere. | 5.000% | 8/15/25 | 1,010 | 1,173 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue Prere. | 5.000% | 8/15/25 | 355 | 411 | ||
| Massachusetts School Building Authority Dedicated Sales Tax Revenue Prere. | 5.000% | 8/15/25 | 890 | 1,033 | ||
| 10 | Massachusetts Special Obligation Dedicated Tax Revenue | 5.500% | 1/1/26 | 510 | 604 | |
| Massachusetts Transportation Fund Revenue | 4.000% | 6/1/35 | 1,040 | 1,211 | ||
| 10 | Massachusetts Turnpike Authority Revenue (Metropolitan Highway System) | 0.000% | 1/1/29 | 890 | 807 | |
| Massachusetts Water Resources Authority Revenue | 4.000% | 8/1/22 | 5,250 | 5,366 | ||
| Massachusetts Water Resources Authority Revenue | 5.000% | 8/1/38 | 7,465 | 9,757 | ||
| Massachusetts Water Resources Authority Revenue Prere. | 4.000% | 8/1/24 | 1,000 | 1,093 | ||
| Massachusetts Water Resources Authority Revenue Prere. | 5.000% | 8/1/26 | 3,000 | 3,599 | ||
| 117,514 | ||||||
| Michigan (1.3%) | ||||||
| 15 | Battle Creek MI School District GO | 5.000% | 5/1/25 | 535 | 615 | |
| Birmingham MI City School District GO | 5.000% | 5/1/22 | 740 | 752 | ||
| 15 | Chippewa Valley MI Schools GO | 5.000% | 5/1/33 | 1,000 | 1,164 | |
| 15 | Dearborn MI School District GO | 5.000% | 5/1/34 | 1,200 | 1,300 | |
| 3,15 | Detroit MI City School District GO | 5.250% | 5/1/28 | 615 | 780 | |
| 3 | Detroit MI Downtown Development Authority Tax Allocation Revenue | 5.000% | 7/1/35 | 1,120 | 1,232 | |
| Detroit MI Water & Sewerage Department Sewage Disposal System Revenue | 5.000% | 7/1/22 | 455 | 466 | ||
| Detroit MI Water & Sewerage Department Sewage Disposal System Revenue | 5.000% | 7/1/23 | 1,050 | 1,074 | ||
| Detroit MI Water & Sewerage Department Sewage Disposal System Revenue Prere. | 5.000% | 7/1/22 | 1,000 | 1,024 | ||
| 3 | Downriver MI Utility Wastewater Authority Revenue | 5.000% | 4/1/34 | 1,050 | 1,296 | |
| Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/27 | 1,840 | 2,253 | ||
| Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/28 | 1,205 | 1,514 | ||
| Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/29 | 1,200 | 1,510 | ||
46
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/31 | 1,645 | 1,946 | ||
| Great Lakes MI Water Authority Sewer Disposal System Revenue | 5.000% | 7/1/37 | 1,000 | 1,233 | ||
| Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/28 | 1,030 | 1,228 | ||
| Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/29 | 1,420 | 1,813 | ||
| 3 | Great Lakes MI Water Authority Water Supply System Revenue | 4.000% | 7/1/33 | 1,000 | 1,126 | |
| Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/33 | 1,310 | 1,692 | ||
| Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/36 | 1,000 | 1,179 | ||
| Great Lakes MI Water Authority Water Supply System Revenue | 5.000% | 7/1/40 | 500 | 638 | ||
| 15 | Hudsonville MI Public Schools GO | 5.000% | 5/1/31 | 420 | 510 | |
| Ingham County MI Building Authority | 3.000% | 5/1/34 | 3,900 | 4,295 | ||
| Karegnondi Water Authority Michigan Water Supply System Revenue (Karegnondi Water Pipeline) | 5.000% | 11/1/29 | 970 | 1,191 | ||
| 15 | Lake Orion MI Community School District GO | 5.000% | 5/1/38 | 4,070 | 5,142 | |
| 3,15 | Lincoln MI Consolidated School District GO | 5.000% | 5/1/24 | 1,000 | 1,107 | |
| 15 | Marysville MI Public Schools District GO | 5.000% | 5/1/28 | 1,630 | 1,935 | |
| Michigan Building Authority Revenue | 5.000% | 10/15/32 | 1,395 | 1,657 | ||
| Michigan Building Authority Revenue | 5.000% | 4/15/33 | 1,000 | 1,156 | ||
| Michigan Building Authority Revenue | 5.000% | 4/15/36 | 1,235 | 1,459 | ||
| Michigan Environmental Program GO | 4.000% | 5/1/28 | 1,000 | 1,139 | ||
| 11 | Michigan Finance Authority Hospital Revenue Bonds (Trinity Health Credit Group), SIFMA Municipal Swap Index Yield + 0.850% PUT | 0.950% | 12/1/24 | 1,500 | 1,519 | |
| 11 | Michigan Finance Authority Hospital Revenue Bonds (Trinity Health Credit Group), SIFMA Municipal Swap Index Yield + 0.900% PUT | 1.000% | 12/1/25 | 500 | 510 | |
| Michigan Finance Authority Revenue | 5.000% | 10/1/22 | 375 | 376 | ||
| Michigan Finance Authority Revenue | 5.000% | 11/1/28 | 1,055 | 1,326 | ||
| Michigan Finance Authority Revenue | 4.000% | 11/1/32 | 1,740 | 2,097 | ||
| Michigan Finance Authority Revenue | 5.000% | 10/1/34 | 2,565 | 3,245 | ||
| Michigan Finance Authority Revenue (Calvin University) | 5.000% | 9/1/35 | 605 | 777 | ||
| 3 | Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/22 | 1,000 | 1,024 | |
| 3 | Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/23 | 1,000 | 1,069 | |
| Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/28 | 750 | 862 | ||
| Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/29 | 1,500 | 1,663 | ||
| Michigan Finance Authority Revenue (Detroit Water & Sewer) | 5.000% | 7/1/33 | 1,000 | 1,108 | ||
| Michigan Finance Authority Revenue (Henry Ford Health System Obligated Group) | 5.000% | 11/15/26 | 1,210 | 1,457 | ||
| Michigan Finance Authority Revenue (Henry Ford Health System) | 5.000% | 11/15/41 | 1,000 | 1,178 | ||
| Michigan Finance Authority Revenue (Kalamazoo College Project) | 5.000% | 12/1/26 | 850 | 1,014 | ||
| Michigan Finance Authority Revenue (Kalamazoo College Project) | 5.000% | 12/1/27 | 965 | 1,181 | ||
| Michigan Finance Authority Revenue (McLaren Health Care Corp.) | 5.000% | 2/15/34 | 1,700 | 2,147 | ||
47
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Michigan Finance Authority Revenue (Sparrow Obligated Group) | 5.000% | 11/15/27 | 500 | 520 | ||
| Michigan Finance Authority Revenue (Sparrow Obligated Group) | 5.000% | 11/15/36 | 500 | 519 | ||
| Michigan Finance Authority Revenue (State Clean Water Revolving Fund) | 5.000% | 10/1/22 | 2,165 | 2,243 | ||
| Michigan Finance Authority Revenue (State Clean Water Revolving Fund) | 5.000% | 10/1/36 | 2,000 | 2,519 | ||
| Michigan Finance Authority Revenue (State Clean Water Revolving Fund) Prere. | 5.000% | 10/1/22 | 1,000 | 1,036 | ||
| Michigan Finance Authority Revenue (State Clean Water Revolving Fund) Prere. | 5.000% | 10/1/22 | 500 | 518 | ||
| Michigan Finance Authority Revenue (Tobacco Settlement Asset-Backed) | 4.000% | 6/1/37 | 1,000 | 1,187 | ||
| Michigan Finance Authority Revenue (Trinity Health Credit Group) Prere. | 5.000% | 12/1/22 | 8,155 | 8,508 | ||
| Michigan State Housing Development Authority Revenue (Single-Family Mortgage) | 3.500% | 12/1/50 | 1,860 | 2,025 | ||
| Michigan State Trunk Line Fund (Rebuilding Michigan Program) | 4.000% | 11/15/39 | 5,000 | 6,027 | ||
| Michigan State Trunk Line Fund Bonds (Rebuilding Michigan Program) | 4.000% | 11/15/38 | 3,170 | 3,875 | ||
| Michigan State Trunk Line Fund Bonds (Rebuilding Michigan Program) | 4.000% | 11/15/40 | 5,000 | 6,087 | ||
| Oakland University MI Revenue | 5.000% | 3/1/30 | 1,250 | 1,458 | ||
| Portage MI Public Schools GO | 5.000% | 11/1/34 | 1,250 | 1,469 | ||
| 15 | Roseville MI School District GO Prere. | 5.000% | 5/1/25 | 1,665 | 1,913 | |
| Royal Oak MI Hospital Finance Authority Hospital Revenue (William Beaumont Hospital) | 5.000% | 9/1/25 | 1,450 | 1,592 | ||
| 15 | Saginaw City School District GO | 4.000% | 5/1/34 | 1,030 | 1,257 | |
| 15 | Saline MI Area Schools GO | 5.000% | 5/1/23 | 1,100 | 1,168 | |
| University of Michigan Revenue | 5.000% | 4/1/32 | 2,020 | 2,452 | ||
| 3 | University of Michigan Revenue | 5.000% | 11/15/32 | 590 | 777 | |
| 3 | University of Michigan Revenue | 5.000% | 11/15/33 | 200 | 263 | |
| 3 | University of Michigan Revenue | 5.000% | 11/15/38 | 350 | 455 | |
| Wayne County MI Airport Authority Revenue | 5.000% | 12/1/25 | 870 | 1,015 | ||
| Wayne County MI Airport Authority Revenue | 5.000% | 12/1/30 | 1,300 | 1,514 | ||
| 118,376 | ||||||
| Minnesota (0.4%) | ||||||
| Bloomington MN Independent School District No. 271 GO | 5.000% | 2/1/22 | 2,010 | 2,017 | ||
| Duluth MN Economic Development Authority Revenue (Benedictine Health System) | 4.000% | 7/1/31 | 1,625 | 1,769 | ||
| Duluth MN Independent School District No. 709 COP | 5.000% | 2/1/27 | 365 | 435 | ||
| Duluth MN Independent School District No. 709 COP | 5.000% | 2/1/28 | 350 | 427 | ||
| Minneapolis & St. Paul MN Metropolitan Airports Commission Revenue | 5.000% | 1/1/26 | 450 | 527 | ||
| Minneapolis MN Special School District No. 1 COP | 5.000% | 2/1/26 | 1,855 | 1,948 | ||
| Minnesota GO | 5.000% | 8/1/22 | 1,500 | 1,542 | ||
| Minnesota GO | 5.000% | 8/1/24 | 1,615 | 1,806 | ||
| Minnesota GO | 5.000% | 8/1/25 | 1,500 | 1,741 | ||
| Minnesota GO | 5.000% | 8/1/25 | 2,170 | 2,518 | ||
| Minnesota GO | 5.000% | 8/1/27 | 1,005 | 1,165 | ||
| Minnesota GO | 5.000% | 8/1/28 | 3,000 | 3,793 | ||
| Minnesota GO | 5.000% | 9/1/30 | 1,235 | 1,522 | ||
| Minnesota Higher Education Facilities Authority Revenue (Hamline University) | 5.000% | 10/1/35 | 595 | 659 | ||
48
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Minnesota Housing Finance Agency (Housing Infrastructure) | 4.000% | 8/1/36 | 1,500 | 1,801 | ||
| Minnesota Housing Finance Agency Residential Housing Revenue | 2.800% | 12/1/47 | 862 | 879 | ||
| Minnesota Public Facilities Authority Revolving Fund Revenue | 5.000% | 3/1/25 | 2,480 | 2,833 | ||
| Osseo MN Independent School District No. 279 GO | 5.000% | 2/1/28 | 1,000 | 1,207 | ||
| Owatonna MN Independent School District No. 761 GO | 3.000% | 2/1/32 | 1,190 | 1,297 | ||
| St. Francis MN Independent School District No. 15 GO | 5.000% | 2/1/26 | 385 | 405 | ||
| St. Francis MN Independent School District No. 15 GO | 5.000% | 2/1/27 | 485 | 509 | ||
| St. Francis MN Independent School District No. 15 GO | 4.000% | 2/1/29 | 515 | 533 | ||
| St. Francis MN Independent School District No. 15 GO | 4.000% | 2/1/30 | 550 | 569 | ||
| St. Francis MN Independent School District No. 15 GO | 4.000% | 2/1/32 | 775 | 801 | ||
| University of Minnesota Revenue | 5.000% | 4/1/23 | 1,115 | 1,181 | ||
| West St. Paul MN Independent School District No. 197 Revenue (Mendota Heights-Eagan) | 4.000% | 2/1/28 | 1,000 | 1,157 | ||
| White Bear Lake MN Independent School District No. 624 GO | 3.000% | 2/1/30 | 1,150 | 1,275 | ||
| 36,316 | ||||||
| Mississippi (0.7%) | ||||||
| Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue VRDO | 0.090% | 1/3/22 | 22,410 | 22,410 | ||
| Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue (Chevron U.S.A Inc. Project) VRDO | 0.090% | 1/3/22 | 2,050 | 2,050 | ||
| Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue (Chevron U.S.A Inc. Project) VRDO | 0.090% | 1/3/22 | 9,840 | 9,840 | ||
| Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue (Chevron U.S.A Inc. Project) VRDO | 0.090% | 1/3/22 | 1,465 | 1,465 | ||
| Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue (Chevron U.S.A Inc. Project) VRDO | 0.090% | 1/3/22 | 5,245 | 5,245 | ||
| Mississippi Business Finance Corp. Gulf Opportunity Zone Industrial Development Revenue (Chevron U.S.A Inc. Project) VRDO | 0.090% | 1/3/22 | 2,600 | 2,600 | ||
| Mississippi Development Bank Special Obligation Revenue (Marshall County Industrial Development Highway Refunding Project) | 5.000% | 1/1/26 | 1,335 | 1,567 | ||
| Mississippi Development Bank Special Obligation Revenue (Rankin County School District) | 5.000% | 6/1/27 | 500 | 611 | ||
| Mississippi Development Bank Special Obligation Revenue (Rankin County School District) | 5.000% | 6/1/30 | 1,765 | 2,126 | ||
| Mississippi Gaming Tax Revenue | 5.000% | 10/15/36 | 1,500 | 1,854 | ||
| Mississippi GO | 4.000% | 10/1/38 | 2,000 | 2,365 | ||
| Mississippi GO Prere. | 5.000% | 11/1/25 | 1,000 | 1,171 | ||
| Mississippi GO Prere. | 5.000% | 11/1/26 | 115 | 139 | ||
| Mississippi Hospital Equipment & Facilities Authority Revenue (Forrest General Hospital Inc.) | 5.000% | 1/1/29 | 830 | 1,033 | ||
| Mississippi Hospital Equipment & Facilities Authority Revenue (Forrest General Hospital Inc.) | 5.000% | 1/1/30 | 625 | 792 | ||
| Mississippi Hospital Equipment & Facilities Authority Revenue (Forrest General Hospital Inc.) | 5.000% | 1/1/30 | 260 | 330 | ||
| Mississippi Hospital Equipment & Facilities Authority Revenue (North Mississippi Health Services) | 5.000% | 10/1/27 | 1,000 | 1,229 | ||
49
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Mississippi Institutions of Higher Learning Revenue (University of Mississippi Medical Center) | 4.000% | 6/1/34 | 1,000 | 1,132 | ||
| Mississippi State Gaming Tax Revenue | 5.000% | 10/15/32 | 2,000 | 2,483 | ||
| Mississippi State University Educational Building Corp. Revenue | 5.000% | 8/1/30 | 575 | 700 | ||
| Mississippi State University Educational Building Corp. Revenue | 5.000% | 8/1/31 | 515 | 625 | ||
| Mississippi State University Educational Building Corp. Revenue Prere. | 5.000% | 8/1/23 | 1,000 | 1,075 | ||
| 62,842 | ||||||
| Missouri (0.5%) | ||||||
| Bi-State Development Agency MO Illinois Metropolitan District Sales Tax Appropriation Revenue | 4.000% | 10/1/35 | 1,790 | 2,139 | ||
| 4 | Cape Girardeau County MO Industrial Development Authority Health Care Facilities Revenue (St. Francis Healthcare System) | 4.000% | 6/1/37 | 1,680 | 1,953 | |
| 3 | Columbia MO Water & Electric System Revenue | 3.000% | 10/1/31 | 1,285 | 1,414 | |
| Jackson County MO School District No. 4 GO (Blue Springs) | 6.000% | 3/1/38 | 1,000 | 1,334 | ||
| Jackson County MO Special Obligation Revenue (Truman Sports Complex Project) | 5.000% | 12/1/31 | 1,500 | 1,693 | ||
| Jackson County MO Special Obligation Revenue (Truman Sports Complex Project) | 5.000% | 12/1/26 | 1,215 | 1,372 | ||
| Kansas City MO Sanitary Sewer System Revenue | 5.000% | 1/1/32 | 1,020 | 1,257 | ||
| Kansas City MO Special Obligation Bonds (Missouri Projects) | 5.000% | 4/1/34 | 1,000 | 1,297 | ||
| Little Blue Valley MO Sewer District Revenue | 3.000% | 9/1/33 | 1,505 | 1,621 | ||
| Metropolitan St. Louis MO Sewer District Wastewater System Revenue | 5.000% | 5/1/34 | 525 | 635 | ||
| Metropolitan St. Louis MO Sewer District Wastewater System Revenue | 4.000% | 5/1/41 | 4,145 | 4,757 | ||
| Missouri Health & Educational Facilities Authority Educational Facilities Revenue (St. Louis College of Pharmacy Project) | 5.000% | 5/1/30 | 1,000 | 1,069 | ||
| Missouri Health & Educational Facilities Authority Educational Facilities Revenue (St. Louis College of Pharmacy Project) | 5.000% | 5/1/34 | 880 | 938 | ||
| Missouri Health & Educational Facilities Authority Health Facilities Revenue (SSM Health System) | 5.000% | 6/1/25 | 1,480 | 1,639 | ||
| Missouri Health & Educational Facilities Authority Health Facilities Revenue (St. Luke's Health System) | 5.000% | 12/1/31 | 1,050 | 1,303 | ||
| Missouri Health & Educational Facilities Authority Revenue | 4.000% | 7/1/37 | 1,000 | 1,216 | ||
| Missouri Health & Educational Facilities Authority Revenue PUT | 4.000% | 5/1/26 | 2,300 | 2,627 | ||
| Missouri Health & Educational Facilities Authority Revenue PUT | 5.000% | 5/1/28 | 2,100 | 2,612 | ||
| Missouri Health & Educational Facilities Authority Revenue (BJC Health System) | 4.500% | 1/1/39 | 2,865 | 3,078 | ||
| Missouri Health & Educational Facilities Authority Revenue (Children's Mercy Hospital) | 5.000% | 5/15/36 | 1,100 | 1,269 | ||
| Missouri Health & Educational Facilities Authority Revenue (Mercy Health) | 5.000% | 11/15/34 | 1,500 | 1,681 | ||
| Missouri Highways & Transportation Commission Road Revenue | 5.000% | 2/1/23 | 1,000 | 1,052 | ||
| Missouri Joint Municipal Electric Utility Commission Power Project Revenue (Iatan 2 Project) | 5.000% | 12/1/34 | 1,425 | 1,633 | ||
50
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Missouri Joint Municipal Electric Utility Commission Power Project Revenue (Prairie Project) | 5.000% | 12/1/34 | 1,010 | 1,191 | ||
| Missouri Joint Municipal Electric Utility Commission Power Project Revenue (Prairie Project) | 5.000% | 12/1/40 | 1,655 | 1,945 | ||
| 3 | St. Louis MO Parking Revenue | 5.000% | 12/15/23 | 715 | 779 | |
| St. Louis MO Sewer & Wastewater Revenue | 5.000% | 5/1/36 | 1,000 | 1,143 | ||
| 44,647 | ||||||
| Montana (0.0%) | ||||||
| Montana Facility Finance Authority Hospital Revenue (Benefis Health System) | 5.000% | 2/15/32 | 825 | 981 | ||
| Multiple States (0.2%) | ||||||
| 16 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.650% | 9/15/30 | 1,545 | 1,654 | |
| 5,16 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.600% | 9/15/33 | 1,960 | 2,083 | |
| 5,16 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.625% | 6/15/35 | 1,935 | 2,055 | |
| 5,16 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.650% | 6/15/35 | 1,370 | 1,460 | |
| 16 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 3.400% | 1/25/36 | 479 | 552 | |
| 5,16 | Federal Home Loan Mortgage Corp. Multifamily Housing Revenue | 2.650% | 6/15/36 | 1,275 | 1,360 | |
| Nuveen Municipal Income Fund VRDO | 0.300% | 1/3/22 | 5,000 | 5,000 | ||
| 14,164 | ||||||
| Nebraska (0.4%) | ||||||
| Central Plains Energy Project Nebraska Gas Project Revenue PUT | 5.000% | 1/1/24 | 280 | 302 | ||
| Central Plains Energy Project Nebraska Gas Project Revenue (Project No. 3) | 5.000% | 9/1/27 | 1,000 | 1,205 | ||
| Central Plains Energy Project Nebraska Gas Project Revenue (Project No. 3) | 5.000% | 9/1/42 | 1,000 | 1,463 | ||
| 2 | Central Plains Energy Project Nebraska Gas Supply Revenue PUT | 4.000% | 8/1/25 | 7,315 | 8,121 | |
| District Energy Corp. NB Facility Revenue | 5.000% | 7/1/32 | 810 | 1,075 | ||
| Lincoln NE Electric System Revenue Prere. | 5.000% | 9/1/22 | 135 | 139 | ||
| Lincoln NE Electric System Revenue Prere. | 5.000% | 9/1/22 | 275 | 284 | ||
| Municipal Energy Agency of Nebraska Power Supply System Revenue | 5.000% | 4/1/31 | 345 | 349 | ||
| Nebraska Public Power District Revenue | 5.000% | 1/1/23 | 1,500 | 1,571 | ||
| Nebraska Public Power District Revenue | 5.000% | 1/1/30 | 180 | 180 | ||
| Nebraska Public Power District Revenue | 5.000% | 1/1/30 | 820 | 820 | ||
| Nebraska Public Power District Revenue | 5.000% | 1/1/32 | 1,500 | 1,500 | ||
| Nebraska Public Power District Revenue | 4.250% | 1/1/35 | 5,615 | 5,615 | ||
| Nebraska Public Power District Revenue | 5.000% | 1/1/38 | 2,595 | 3,367 | ||
| Omaha NE Public Power District Electric Revenue | 5.000% | 2/1/29 | 1,420 | 1,662 | ||
| Omaha NE Public Power District Electric Revenue Prere. | 5.000% | 2/1/22 | 4,500 | 4,516 | ||
| Omaha NE Sewer Revenue | 5.000% | 11/15/29 | 2,500 | 2,820 | ||
| Public Power Generation Agency Revenue (Whelan Energy Center Unit 2) | 5.000% | 1/1/35 | 1,000 | 1,181 | ||
| Scotts Bluff County NE Hospital Authority Revenue (Regional West Medical Center) | 5.000% | 2/1/24 | 1,785 | 1,923 | ||
| 38,093 | ||||||
51
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Nevada (0.6%) | ||||||
| Carson City NV Hospital Revenue (Carson Tahoe Regional Medical Center) | 5.000% | 9/1/26 | 560 | 662 | ||
| Carson City NV Hospital Revenue (Carson Tahoe Regional Medical Center) | 5.000% | 9/1/28 | 1,220 | 1,475 | ||
| Carson City NV Hospital Revenue (Carson Tahoe Regional Medical Center) Prere. | 5.000% | 9/1/22 | 4,240 | 4,371 | ||
| Clark County NV Airport Improvement Revenue | 5.000% | 7/1/30 | 2,095 | 2,677 | ||
| Clark County NV GO | 4.000% | 6/1/32 | 1,505 | 1,737 | ||
| Clark County NV GO | 4.000% | 7/1/32 | 2,190 | 2,532 | ||
| Clark County NV GO | 5.000% | 7/1/33 | 1,000 | 1,045 | ||
| Clark County NV Highway Improvement Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/31 | 1,575 | 1,743 | ||
| Clark County NV Highway Improvement Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/36 | 1,075 | 1,297 | ||
| Clark County NV Passenger Facility Charge Revenue (Las Vegas McCarran International Airport) | 5.000% | 7/1/31 | 1,100 | 1,403 | ||
| Clark County NV Pollution Control Refunding Revenue (Southern California Edison Co.) | 2.100% | 6/1/31 | 1,000 | 1,010 | ||
| 3 | Clark County NV School District GO | 5.000% | 6/15/27 | 3,000 | 3,669 | |
| 3 | Clark County NV School District GO | 4.000% | 6/15/33 | 1,820 | 2,089 | |
| 8 | Clark County NV School District GO | 3.000% | 6/15/34 | 1,000 | 1,101 | |
| 8 | Clark County NV School District GO | 3.000% | 6/15/37 | 1,000 | 1,094 | |
| Clark County NV School District GO | 3.000% | 6/15/38 | 1,000 | 1,084 | ||
| Clark County NV School District GO | 3.000% | 6/15/40 | 1,600 | 1,720 | ||
| 3 | Clark County NV School District GO | 4.000% | 6/15/40 | 850 | 1,006 | |
| Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/24 | 1,190 | 1,321 | ||
| Las Vegas Valley Water District Nevada GO | 5.000% | 12/1/27 | 1,990 | 2,287 | ||
| Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/35 | 1,870 | 2,205 | ||
| Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/38 | 1,000 | 1,259 | ||
| Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/39 | 1,500 | 1,885 | ||
| Las Vegas Valley Water District Nevada GO | 5.000% | 6/1/41 | 3,045 | 3,585 | ||
| Nevada GO | 5.000% | 4/1/22 | 1,740 | 1,760 | ||
| Nevada GO | 5.000% | 11/1/23 | 1,465 | 1,589 | ||
| Nevada GO | 5.000% | 11/1/25 | 1,015 | 1,164 | ||
| Nevada Highway Improvement Revenue (Motor Vehicle Fuel Tax) | 4.000% | 12/1/32 | 1,660 | 1,909 | ||
| Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/27 | 250 | 293 | ||
| Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/28 | 250 | 299 | ||
| Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/32 | 250 | 297 | ||
| Reno NV Sales Tax Revenue (Reno Transportation Rail Access) | 5.000% | 6/1/33 | 250 | 297 | ||
| Truckee Meadows NV Water Authority Water Revenue | 5.000% | 7/1/34 | 1,510 | 1,781 | ||
| 53,646 | ||||||
| New Hampshire (0.1%) | ||||||
| National Finance Authority NH Revenue | 5.000% | 8/15/30 | 1,500 | 1,931 | ||
| National Finance Authority NH Revenue | 4.125% | 1/20/34 | 2,531 | 3,013 | ||
| New Hampshire Health & Education Facilities Authority Revenue (Dartmouth College) | 4.000% | 8/1/43 | 2,855 | 3,346 | ||
| 8,290 | ||||||
52
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New Jersey (1.8%) | ||||||
| Camden County NJ Improvement Authority Health Care Redevelopment Project Revenue (Cooper Health System Obligated Group) | 5.000% | 2/15/27 | 1,400 | 1,523 | ||
| Cape May County NJ GO | 2.000% | 9/15/30 | 2,605 | 2,710 | ||
| 8 | City of Newark NJ The Board of Education New Jersey School Energy Savings Obligation Refunding Bonds | 5.000% | 7/15/29 | 375 | 476 | |
| 8 | City of Newark NJ The Board of Education New Jersey School Energy Savings Obligation Refunding Bonds | 5.000% | 7/15/30 | 375 | 485 | |
| 3 | Clifton NJ Board of Education School Bonds Revenue | 2.000% | 8/15/34 | 1,500 | 1,495 | |
| County of Hudson NJ General Improvement Revenue | 3.000% | 11/15/31 | 2,615 | 2,915 | ||
| County of Hudson NJ General Improvement Revenue | 2.125% | 11/15/36 | 1,000 | 1,001 | ||
| 3 | Cumberland County NJ Improvement Authority GO Prere. | 5.000% | 9/1/24 | 4,000 | 4,490 | |
| Hudson County NJ Improvement Authority Lease Revenue (Courthouse Projects) | 4.000% | 10/1/40 | 2,010 | 2,413 | ||
| Morris County NJ Improvement Authority School District Revenue (Morris Hills Regional District Project) Prere. | 5.000% | 10/1/22 | 510 | 528 | ||
| New Jersey Covid 19 Emergency Bonds GO | 5.000% | 6/1/25 | 1,000 | 1,146 | ||
| New Jersey Covid 19 Emergency Bonds GO | 5.000% | 6/1/27 | 1,500 | 1,823 | ||
| New Jersey Covid 19 Emergency Bonds GO | 5.000% | 6/1/28 | 1,750 | 2,174 | ||
| New Jersey Covid 19 Emergency Bonds GO | 5.000% | 6/1/29 | 1,000 | 1,270 | ||
| New Jersey Covid 19 Emergency Bonds GO | 4.000% | 6/1/30 | 1,000 | 1,213 | ||
| New Jersey Covid 19 Emergency Bonds GO | 3.000% | 6/1/32 | 1,420 | 1,617 | ||
| New Jersey Economic Development Authority Revenue | 5.000% | 6/15/23 | 1,000 | 1,066 | ||
| 5 | New Jersey Economic Development Authority Revenue | 5.250% | 9/1/23 | 2,000 | 2,158 | |
| New Jersey Economic Development Authority Revenue | 5.250% | 6/15/27 | 560 | 646 | ||
| New Jersey Economic Development Authority Revenue | 5.500% | 6/15/29 | 2,000 | 2,437 | ||
| New Jersey Economic Development Authority Revenue | 5.000% | 6/15/33 | 1,100 | 1,415 | ||
| New Jersey Economic Development Authority Revenue | 4.000% | 6/15/35 | 500 | 583 | ||
| New Jersey Economic Development Authority Revenue (Cigarette Tax) | 5.000% | 6/15/26 | 1,600 | 1,632 | ||
| 10 | New Jersey Economic Development Authority Revenue (Motor Vehicle Surcharge) | 5.250% | 7/1/26 | 405 | 483 | |
| 10 | New Jersey Economic Development Authority Revenue (Motor Vehicle Surcharge) ETM | 5.250% | 7/1/26 | 95 | 114 | |
| 10 | New Jersey Economic Development Authority Revenue (School Facilities Construction) | 5.500% | 9/1/27 | 1,000 | 1,249 | |
| New Jersey Economic Development Authority Revenue (School Facilities Construction) | 5.000% | 3/1/28 | 2,095 | 2,204 | ||
| New Jersey Economic Development Authority Revenue (School Facilities Construction) | 5.000% | 6/15/35 | 700 | 874 | ||
| New Jersey Educational Facilities Authority Revenue (Princeton University) | 5.000% | 7/1/22 | 5,095 | 5,218 | ||
| New Jersey Educational Facilities Authority Revenue (Princeton University) | 5.000% | 3/1/25 | 5,000 | 5,723 | ||
| New Jersey Educational Facilities Authority Revenue (Princeton University) | 2.000% | 3/1/37 | 1,000 | 992 | ||
| New Jersey GO | 2.000% | 6/1/31 | 1,295 | 1,316 | ||
| New Jersey GO | 2.000% | 6/1/32 | 1,230 | 1,233 | ||
| New Jersey GO | 2.000% | 6/1/35 | 1,000 | 993 | ||
| New Jersey Health Care Facilities Financing Authority Lease Revenue (Greystone Park Psychiatric Hospital Project) | 5.000% | 9/15/24 | 500 | 538 | ||
| New Jersey Health Care Facilities Financing Authority Revenue (Atlanticare Health System) | 3.000% | 7/1/40 | 145 | 157 | ||
53
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New Jersey Health Care Facilities Financing Authority Revenue (Barnabas Health) | 5.000% | 7/1/22 | 1,000 | 1,024 | ||
| New Jersey Health Care Facilities Financing Authority Revenue (Barnabas Health) | 4.000% | 7/1/38 | 1,000 | 1,211 | ||
| New Jersey Health Care Facilities Financing Authority Revenue (Barnabas Health) Prere. | 5.000% | 7/1/22 | 900 | 921 | ||
| New Jersey Health Care Facilities Financing Authority Revenue (St. Joseph's Healthcare System) | 5.000% | 7/1/27 | 1,000 | 1,180 | ||
| New Jersey Health Care Facilities Financing Authority Revenue (Valley Health System) | 5.000% | 7/1/29 | 1,385 | 1,771 | ||
| 2 | New Jersey Health Care Facilities Financing Authority Revenue (Virtua Health Inc.) VRDO | 0.060% | 1/5/22 | 300 | 300 | |
| New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/25 | 1,300 | 1,491 | ||
| New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/28 | 2,380 | 2,796 | ||
| New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/28 | 620 | 728 | ||
| New Jersey Transportation Trust Fund Authority Federal Highway Reimbursement Revenue | 5.000% | 6/15/29 | 1,400 | 1,642 | ||
| 4 | New Jersey Transportation Trust Fund Authority Program Bonds | 5.000% | 6/15/31 | 1,000 | 1,288 | |
| 4 | New Jersey Transportation Trust Fund Authority Program Bonds | 5.000% | 6/15/33 | 1,000 | 1,304 | |
| 4 | New Jersey Transportation Trust Fund Authority Program Bonds | 5.000% | 6/15/34 | 600 | 778 | |
| New Jersey Transportation Trust Fund Authority Program Bonds | 4.000% | 6/15/37 | 1,000 | 1,168 | ||
| New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/27 | 1,000 | 1,228 | ||
| New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/30 | 1,285 | 1,597 | ||
| New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 6/15/31 | 1,000 | 1,239 | ||
| New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/33 | 1,115 | 1,374 | ||
| New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/34 | 1,115 | 1,369 | ||
| New Jersey Transportation Trust Fund Authority Revenue | 5.000% | 12/15/35 | 1,015 | 1,244 | ||
| New Jersey Transportation Trust Fund Authority System Bonds | 5.000% | 6/15/30 | 1,000 | 1,282 | ||
| New Jersey Transportation Trust Fund Authority System Bonds | 5.000% | 6/15/31 | 1,000 | 1,307 | ||
| 10,17 | New Jersey Transportation Trust Fund Authority System Bonds | 0.000% | 12/15/31 | 165 | 140 | |
| New Jersey Transportation Trust Fund Authority System Bonds | 5.000% | 6/15/32 | 1,000 | 1,303 | ||
| 3 | New Jersey Transportation Trust Fund Authority System Bonds | 0.000% | 12/15/32 | 1,000 | 816 | |
| New Jersey Transportation Trust Fund Authority System Bonds | 0.000% | 12/15/34 | 1,000 | 756 | ||
| New Jersey Transportation Trust Fund Authority System Bonds | 4.000% | 6/15/35 | 500 | 591 | ||
| New Jersey Transportation Trust Fund Authority Transportation Program Revenue | 5.000% | 6/15/29 | 1,615 | 1,649 | ||
| New Jersey Transportation Trust Fund Authority Transportation Program Revenue | 5.250% | 6/15/33 | 1,500 | 1,726 | ||
54
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New Jersey Transportation Trust Fund Authority Transportation Program Revenue | 5.000% | 6/15/36 | 2,125 | 2,257 | ||
| New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.500% | 12/15/22 | 1,315 | 1,380 | ||
| New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.500% | 12/15/23 | 605 | 664 | ||
| New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.000% | 12/15/24 | 1,000 | 1,128 | ||
| 9 | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 0.000% | 12/15/26 | 2,000 | 1,884 | |
| New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.000% | 12/15/27 | 5,260 | 6,461 | ||
| 10 | New Jersey Transportation Trust Fund Authority Transportation System Revenue | 0.000% | 12/15/31 | 1,000 | 832 | |
| New Jersey Transportation Trust Fund Authority Transportation System Revenue | 5.000% | 6/15/32 | 700 | 789 | ||
| New Jersey Turnpike Authority Revenue | 5.000% | 1/1/28 | 500 | 589 | ||
| New Jersey Turnpike Authority Revenue | 5.000% | 1/1/32 | 1,000 | 1,233 | ||
| New Jersey Turnpike Authority Revenue | 4.000% | 1/1/33 | 1,070 | 1,245 | ||
| New Jersey Turnpike Authority Revenue | 4.000% | 1/1/34 | 2,500 | 2,906 | ||
| New Jersey Turnpike Authority Revenue | 5.000% | 1/1/35 | 1,000 | 1,198 | ||
| New Jersey Turnpike Authority Revenue | 5.000% | 1/1/37 | 1,000 | 1,228 | ||
| New Jersey Turnpike Authority Revenue Prere. | 5.000% | 1/1/22 | 1,000 | 1,000 | ||
| New Jersey Turnpike Authority Revenue Prere. | 5.000% | 1/1/23 | 1,190 | 1,247 | ||
| New Jersey Turnpike Authority Revenue Prere. | 5.000% | 1/1/23 | 1,185 | 1,242 | ||
| 2,5 | New Jersey Turnpike Authority Revenue TOB VRDO | 0.220% | 1/6/22 | 5,650 | 5,650 | |
| 3 | North Hudson Sewerage Authority Revenue | 5.000% | 6/1/36 | 1,320 | 1,873 | |
| North Hudson Sewerage Authority Revenue Prere. | 5.000% | 6/1/22 | 10,000 | 10,196 | ||
| South Jersey Transportation Authority New Jersey Transportation System Revenue | 5.000% | 11/1/39 | 1,025 | 1,124 | ||
| South Jersey Transportation Authority New Jersey Transportation System Revenue Prere. | 5.000% | 11/1/22 | 500 | 520 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/26 | 1,825 | 2,154 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 3.200% | 6/1/27 | 140 | 142 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/27 | 3,200 | 3,878 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/30 | 685 | 839 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/31 | 1,000 | 1,220 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/35 | 450 | 544 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/36 | 1,500 | 1,807 | ||
| Tobacco Settlement Financing Corp. New Jersey Revenue | 5.000% | 6/1/37 | 1,000 | 1,203 | ||
| Toms River NJ Board of Education GO | 3.000% | 7/15/30 | 3,000 | 3,210 | ||
| Toms River NJ Board of Education GO | 3.000% | 7/15/33 | 3,570 | 3,789 | ||
| 158,965 | ||||||
| New Mexico (0.4%) | ||||||
| Albuquerque NM GO | 5.000% | 7/1/23 | 6,000 | 6,424 | ||
| Albuquerque NM Municipal School District No. 12 GO | 5.000% | 8/1/22 | 290 | 298 | ||
| Albuquerque NM Municipal School District No. 12 GO | 5.000% | 8/1/23 | 265 | 285 | ||
| Farmington NM Pollution Control Revenue (Edison Co. Four Corners Project) | 1.800% | 4/1/29 | 1,000 | 1,012 | ||
55
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Farmington NM Pollution Control Revenue (Edison Co. Four Corners Project) | 1.800% | 4/1/29 | 1,550 | 1,568 | ||
| Farmington NM Pollution Control Revenue (San Juan & Four Corners Projects) | 2.150% | 4/1/33 | 2,675 | 2,650 | ||
| New Mexico Finance Authority Revenue | 5.000% | 6/1/23 | 1,210 | 1,291 | ||
| New Mexico Finance Authority Transportation Revenue | 4.000% | 6/15/26 | 2,000 | 2,033 | ||
| New Mexico Finance Authority Transportation Revenue | 5.000% | 6/15/27 | 1,045 | 1,161 | ||
| New Mexico Finance Authority Transportation Revenue | 5.000% | 6/15/29 | 1,500 | 1,927 | ||
| New Mexico GO (Capital Projects) | 5.000% | 3/1/30 | 3,050 | 3,989 | ||
| New Mexico Hospital Equipment Loan Council Hospital System Revenue (Presbyterian Healthcare Services) | 5.000% | 8/1/28 | 1,520 | 1,743 | ||
| 2 | New Mexico Municipal Energy Acquisition Authority Gas Supply Revenue PUT | 5.000% | 5/1/25 | 805 | 914 | |
| New Mexico State Severance Tax Bonds | 5.000% | 7/1/23 | 5,000 | 5,351 | ||
| New Mexico State Severance Tax Bonds | 5.000% | 7/1/24 | 1,000 | 1,114 | ||
| New Mexico State Severance Tax Bonds | 5.000% | 7/1/25 | 1,000 | 1,154 | ||
| Rio Rancho NM Public School District No. 94 GO | 4.000% | 8/1/22 | 3,675 | 3,755 | ||
| 36,669 | ||||||
| New York (7.6%) | ||||||
| Battery Park City NY Authority Revenue | 5.000% | 11/1/38 | 750 | 967 | ||
| Brooklyn Arena Local Development Corp. NY Pilot Revenue Refunding (Barclays Center) | 5.000% | 7/15/30 | 700 | 826 | ||
| Brooklyn Arena Local Development Corp. NY Pilot Revenue Refunding (Barclays Center) | 5.000% | 7/15/42 | 690 | 795 | ||
| 3 | Broome County NY Local Development Corp. Revenue (United Health Services Hospitals Inc. Project) | 5.000% | 4/1/29 | 2,100 | 2,661 | |
| Carmel NY Board | 1.250% | 9/30/22 | 1,669 | 1,682 | ||
| Dutchess County NY Local Development Corp. Revenue (Culinary Institute of America Project) | 5.000% | 7/1/33 | 200 | 227 | ||
| Dutchess County NY Local Development Corp. Revenue (Culinary Institute of America Project) | 5.000% | 7/1/34 | 240 | 272 | ||
| East Islip NY Union Free School District | 1.000% | 6/29/22 | 1,000 | 1,004 | ||
| Erie County NY Fiscal Stability Authority Revenue | 5.000% | 9/1/30 | 500 | 614 | ||
| 3 | Hempstead NY GO | 4.000% | 4/1/29 | 1,420 | 1,572 | |
| Hudson Yards Infrastructure Corp. New York Revenue | 5.000% | 2/15/31 | 1,550 | 1,862 | ||
| Hudson Yards Infrastructure Corp. New York Revenue | 5.000% | 2/15/36 | 1,500 | 1,791 | ||
| Hudson Yards Infrastructure Corp. New York Revenue | 5.000% | 2/15/37 | 520 | 620 | ||
| Long Island NY Power Authority Electric System Revenue | 5.000% | 9/1/24 | 130 | 134 | ||
| Long Island NY Power Authority Electric System Revenue | 5.000% | 9/1/33 | 1,185 | 1,553 | ||
| Long Island NY Power Authority Electric System Revenue | 5.000% | 9/1/35 | 1,095 | 1,380 | ||
| Long Island NY Power Authority Electric System Revenue PUT | 1.500% | 9/1/26 | 1,360 | 1,394 | ||
| Metropolitan Transportation Authority NY BAN | 5.000% | 5/15/22 | 9,100 | 9,258 | ||
| Metropolitan Transportation Authority NY Revenue | 3.000% | 11/1/22 | 2,000 | 2,045 | ||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 2/1/23 | 7,000 | 7,350 | ||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/27 | 1,000 | 1,183 | ||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/28 | 2,075 | 2,391 | ||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/29 | 1,115 | 1,307 | ||
| Metropolitan Transportation Authority NY Revenue | 5.250% | 11/15/30 | 3,440 | 4,149 | ||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/33 | 1,500 | 1,887 | ||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/34 | 2,500 | 3,051 | ||
| Metropolitan Transportation Authority NY Revenue | 4.000% | 11/15/40 | 810 | 927 | ||
| Metropolitan Transportation Authority NY Revenue | 4.000% | 11/15/41 | 2,170 | 2,514 | ||
56
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Metropolitan Transportation Authority NY Revenue | 5.000% | 11/15/43 | 500 | 618 | ||
| Metropolitan Transportation Authority NY Revenue PUT | 5.000% | 11/15/22 | 8,095 | 8,413 | ||
| Metropolitan Transportation Authority NY Revenue PUT | 5.000% | 5/15/24 | 7,000 | 7,708 | ||
| 3,11 | Metropolitan Transportation Authority NY Revenue, SOFR + 0.550% PUT | 0.584% | 4/1/24 | 500 | 501 | |
| 2 | Metropolitan Transportation Authority NY Revenue VRDO | 0.060% | 1/3/22 | 3,500 | 3,500 | |
| 2 | Metropolitan Transportation Authority NY Revenue VRDO | 0.060% | 1/3/22 | 8,900 | 8,900 | |
| Monroe County NY Industrial Development Agency School Facility Revenue (Rochester Schools Modernization Project) | 5.000% | 5/1/31 | 1,970 | 2,386 | ||
| Monroe County NY Industrial Development Corp. Revenue (University of Rochester Project) | 5.000% | 7/1/37 | 1,540 | 1,871 | ||
| Monroe County NY Industrial Development Corp. Revenue (University of Rochester Projects) | 5.000% | 12/1/28 | 555 | 695 | ||
| Monroe County NY Industrial Development Revenue (University of Rochester Project) | 5.000% | 7/1/23 | 2,000 | 2,141 | ||
| Nassau County NY GO | 5.000% | 4/1/23 | 1,000 | 1,059 | ||
| New York City NY GO | 5.000% | 8/1/22 | 705 | 725 | ||
| New York City NY GO | 5.000% | 8/1/22 | 1,290 | 1,326 | ||
| New York City NY GO | 5.000% | 8/1/23 | 400 | 411 | ||
| New York City NY GO | 5.000% | 8/1/23 | 1,505 | 1,617 | ||
| New York City NY GO | 5.000% | 8/1/24 | 1,000 | 1,118 | ||
| New York City NY GO | 5.000% | 8/1/25 | 770 | 773 | ||
| New York City NY GO | 5.000% | 8/1/25 | 1,245 | 1,443 | ||
| New York City NY GO | 5.000% | 8/1/25 | 1,310 | 1,519 | ||
| New York City NY GO | 5.000% | 8/1/25 | 1,000 | 1,159 | ||
| New York City NY GO | 5.000% | 6/1/26 | 2,450 | 2,821 | ||
| New York City NY GO | 5.000% | 8/1/26 | 1,000 | 1,051 | ||
| New York City NY GO | 5.000% | 8/1/26 | 80 | 82 | ||
| New York City NY GO | 5.000% | 8/1/28 | 5,000 | 6,293 | ||
| New York City NY GO | 5.000% | 11/1/29 | 5,000 | 6,467 | ||
| New York City NY GO | 5.000% | 8/1/30 | 1,000 | 1,073 | ||
| New York City NY GO | 5.000% | 12/1/32 | 1,755 | 2,109 | ||
| New York City NY GO | 5.000% | 12/1/32 | 1,000 | 1,263 | ||
| New York City NY GO | 5.000% | 12/1/33 | 1,775 | 2,132 | ||
| New York City NY GO | 5.000% | 8/1/34 | 1,000 | 1,299 | ||
| New York City NY GO | 4.000% | 8/1/35 | 1,000 | 1,218 | ||
| New York City NY GO | 5.000% | 12/1/35 | 1,120 | 1,341 | ||
| New York City NY GO | 4.000% | 8/1/36 | 1,000 | 1,214 | ||
| New York City NY GO | 4.000% | 8/1/37 | 2,000 | 2,353 | ||
| New York City NY GO | 4.000% | 10/1/37 | 2,690 | 3,174 | ||
| New York City NY GO | 3.000% | 3/1/41 | 1,210 | 1,304 | ||
| New York City NY GO Prere. | 5.000% | 8/1/22 | 420 | 432 | ||
| New York City NY GO Prere. | 5.000% | 3/1/23 | 1,490 | 1,573 | ||
| 2 | New York City NY GO VRDO | 0.060% | 1/3/22 | 13,300 | 13,300 | |
| 2 | New York City NY GO VRDO | 0.060% | 1/3/22 | 7,600 | 7,600 | |
| 2 | New York City NY GO VRDO | 0.060% | 1/3/22 | 3,865 | 3,865 | |
| 2 | New York City NY GO VRDO | 0.060% | 1/3/22 | 7,700 | 7,700 | |
| 2 | New York City NY GO VRDO | 0.070% | 1/3/22 | 5,600 | 5,600 | |
| 2 | New York City NY GO VRDO | 0.070% | 1/3/22 | 12,000 | 12,000 | |
| 2 | New York City NY GO VRDO | 0.080% | 1/3/22 | 400 | 400 | |
| 2 | New York City NY GO VRDO | 0.080% | 1/3/22 | 700 | 700 | |
| 2 | New York City NY GO VRDO | 0.090% | 1/3/22 | 2,000 | 2,000 | |
| New York City NY GO VRDO | 0.150% | 1/3/22 | 400 | 400 | ||
57
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New York City NY GO VRDO | 0.160% | 1/3/22 | 600 | 600 | ||
| New York City NY Housing Development Corp. Multi-Family Housing Revenue | 5.250% | 7/1/29 | 1,000 | 1,072 | ||
| New York City NY Housing Development Corp. Multi-Family Housing Revenue | 3.700% | 11/1/38 | 2,000 | 2,164 | ||
| 18 | New York City NY Housing Development Corp. Multi-Family Housing Revenue | 2.350% | 11/1/40 | 2,000 | 2,024 | |
| 18 | New York City NY Housing Development Corp. Multi-Family Housing Revenue PUT | 0.700% | 5/1/25 | 400 | 400 | |
| New York City NY Housing Development Corp. Multi-Family Housing Revenue PUT | 0.900% | 1/1/26 | 800 | 800 | ||
| New York City NY Housing Development Corp. Multi-Family Housing Revenue PUT | 2.950% | 2/1/26 | 1,000 | 1,067 | ||
| New York City NY Housing Development Corp. Multi-Family Housing Revenue (Sustainable Neighborhood Bonds) | 3.000% | 11/1/39 | 1,000 | 1,043 | ||
| 3 | New York City NY Industrial Development Agency Revenue (Yankee Stadium Project) | 3.000% | 3/1/38 | 2,000 | 2,155 | |
| 3 | New York City NY Industrial Development Agency Revenue (Yankee Stadium Projects) | 3.000% | 3/1/36 | 2,000 | 2,167 | |
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 1,350 | 1,557 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 4,560 | 5,351 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/29 | 1,100 | 1,422 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.250% | 6/15/33 | 1,000 | 1,230 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/36 | 2,000 | 2,327 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.250% | 6/15/37 | 3,140 | 3,856 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/38 | 1,000 | 1,228 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 4.000% | 6/15/39 | 1,000 | 1,219 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/39 | 2,075 | 2,372 | ||
| New York City NY Municipal Water Finance Authority Water & Sewer System Revenue | 5.000% | 6/15/39 | 2,500 | 3,158 | ||
| 2 | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue VRDO | 0.050% | 1/3/22 | 15,350 | 15,350 | |
| 2 | New York City NY Municipal Water Finance Authority Water & Sewer System Revenue VRDO | 0.070% | 1/3/22 | 2,350 | 2,350 | |
| New York City NY Transitional Finance Authority Building AID Revenue | 5.000% | 7/15/24 | 550 | 564 | ||
| New York City NY Transitional Finance Authority Building AID Revenue | 5.000% | 7/15/28 | 1,730 | 2,000 | ||
| New York City NY Transitional Finance Authority Building AID Revenue | 5.000% | 7/15/29 | 2,000 | 2,310 | ||
| New York City NY Transitional Finance Authority Building AID Revenue | 5.000% | 7/15/30 | 1,045 | 1,221 | ||
| New York City NY Transitional Finance Authority Building AID Revenue | 5.000% | 7/15/32 | 250 | 256 | ||
| New York City NY Transitional Finance Authority Building AID Revenue | 5.000% | 7/15/35 | 1,635 | 2,031 | ||
| New York City NY Transitional Finance Authority Building AID Revenue | 4.000% | 7/15/38 | 1,750 | 2,046 | ||
58
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New York City NY Transitional Finance Authority Building AID Revenue | 4.000% | 7/15/41 | 2,500 | 2,942 | ||
| New York City NY Transitional Finance Authority Building AID Revenue ETM | 5.000% | 7/15/24 | 3,430 | 3,833 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/22 | 1,140 | 1,186 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/28 | 1,325 | 1,544 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/29 | 850 | 902 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 2/1/30 | 500 | 525 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/31 | 300 | 305 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/31 | 500 | 520 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/32 | 1,370 | 1,528 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/32 | 500 | 520 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/32 | 1,500 | 1,746 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/34 | 500 | 508 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/34 | 1,450 | 1,615 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/34 | 1,710 | 2,032 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/34 | 1,565 | 1,818 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 2/1/35 | 4,000 | 4,529 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/35 | 1,525 | 1,854 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 11/1/35 | 2,500 | 3,019 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 11/1/35 | 1,745 | 2,026 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/36 | 1,580 | 1,904 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 8/1/36 | 1,235 | 1,422 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 11/1/36 | 1,000 | 1,185 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/37 | 1,680 | 2,038 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 5/1/38 | 2,500 | 2,650 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/38 | 8,000 | 8,895 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 4.000% | 11/1/38 | 1,000 | 1,180 | ||
| New York City NY Transitional Finance Authority Future Tax Revenue | 5.000% | 8/1/42 | 3,000 | 3,327 | ||
| 2 | New York City NY Transitional Finance Authority Future Tax Revenue VRDO | 0.060% | 1/3/22 | 6,500 | 6,500 | |
| 2 | New York City NY Transitional Finance Authority Future Tax Revenue VRDO | 0.060% | 1/3/22 | 11,430 | 11,430 | |
59
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 2 | New York City NY Transitional Finance Authority Future Tax Revenue VRDO | 0.060% | 1/3/22 | 7,875 | 7,875 | |
| 2 | New York City NY Transitional Finance Authority Future Tax Revenue VRDO | 0.080% | 1/3/22 | 4,800 | 4,800 | |
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 11/1/25 | 2,230 | 2,605 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 8/1/35 | 2,015 | 2,518 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 8/1/35 | 1,200 | 1,591 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 4.000% | 8/1/36 | 1,000 | 1,218 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 8/1/36 | 2,325 | 2,901 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 4.000% | 11/1/36 | 2,800 | 3,424 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 4.000% | 8/1/37 | 250 | 303 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 4.000% | 8/1/38 | 5,000 | 5,741 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 4.000% | 2/1/39 | 2,500 | 2,992 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 5.000% | 11/1/39 | 1,330 | 1,671 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 3.000% | 8/1/40 | 1,500 | 1,622 | ||
| New York City NY Transitional Finance Authority Future Tax Secured Revenue | 3.000% | 8/1/41 | 1,000 | 1,078 | ||
| 2,5 | New York City NY Transitional Finance Authority Future Tax Secured Revenue TOB VRDO | 0.120% | 1/6/22 | 4,300 | 4,300 | |
| New York City NY Transitional Finance Authority Revenue | 5.000% | 8/1/35 | 1,500 | 1,874 | ||
| New York City NY Transitional Finance Authority Revenue | 5.000% | 8/1/36 | 5,710 | 7,125 | ||
| New York City NY Transitional Finance Authority Revenue | 5.000% | 5/1/38 | 1,675 | 2,069 | ||
| New York City NY Transitional Finance Authority Revenue | 5.000% | 5/1/39 | 1,335 | 1,677 | ||
| New York City NY Trust for Cultural Resources Revenue (Lincoln Center for the Performing Arts Inc.) | 5.000% | 12/1/26 | 1,350 | 1,622 | ||
| 2 | New York City Water & Sewer System Revenue VRDO | 0.070% | 1/3/22 | 400 | 400 | |
| 2 | New York City Water & Sewer System Revenue VRDO | 0.070% | 1/3/22 | 9,000 | 9,000 | |
| 2 | New York City Water & Sewer System Revenue VRDO | 0.080% | 1/3/22 | 8,900 | 8,900 | |
| 2 | New York City Water & Sewer System Revenue VRDO | 0.080% | 1/3/22 | 1,300 | 1,300 | |
| 2 | New York City Water & Sewer System Revenue VRDO | 0.090% | 1/3/22 | 3,300 | 3,300 | |
| 2 | New York City Water & Sewer System Revenue VRDO | 0.090% | 1/3/22 | 1,620 | 1,620 | |
| New York Liberty Development Corp. Revenue (1 World Trade Center Project) | 3.000% | 2/15/42 | 500 | 529 | ||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 1.900% | 11/15/31 | 1,500 | 1,500 | ||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 2.100% | 11/15/32 | 1,500 | 1,511 | ||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 2.200% | 11/15/33 | 1,440 | 1,453 | ||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 2.300% | 11/15/34 | 1,500 | 1,519 | ||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 2.400% | 11/15/35 | 1,400 | 1,424 | ||
60
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 2.500% | 11/15/36 | 950 | 970 | ||
| New York Liberty Development Corp. Revenue (4 World Trade Center Project) | 2.750% | 11/15/41 | 2,050 | 2,106 | ||
| New York Liberty Development Corp. Revenue (7 World Trade Center Project) | 5.000% | 9/15/31 | 1,000 | 1,009 | ||
| New York Liberty Development Corp. Revenue (Bank of America Tower at One Bryant Park Project) | 2.800% | 9/15/69 | 500 | 518 | ||
| New York Liberty Development Corp. Revenue (Goldman Sachs Headquarters) | 5.250% | 10/1/35 | 945 | 1,334 | ||
| New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/23 | 1,045 | 1,132 | ||
| New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/24 | 2,180 | 2,448 | ||
| New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/25 | 1,135 | 1,316 | ||
| New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/28 | 1,675 | 1,973 | ||
| New York Metropolitan Transportation Authority Revenue | 4.000% | 11/15/31 | 1,445 | 1,653 | ||
| New York Metropolitan Transportation Authority Revenue | 5.000% | 11/15/33 | 1,330 | 1,379 | ||
| New York Metropolitan Transportation Authority Revenue Prere. | 5.000% | 11/15/22 | 820 | 854 | ||
| New York Metropolitan Transportation Authority Revenue Prere. | 5.000% | 5/15/23 | 570 | 607 | ||
| New York Metropolitan Transportation Authority Revenue PUT | 5.000% | 5/15/30 | 2,500 | 3,169 | ||
| New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 5.000% | 3/1/22 | 3,000 | 3,023 | ||
| New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 0.000% | 11/15/32 | 1,000 | 819 | ||
| New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) | 4.000% | 11/15/33 | 1,545 | 1,768 | ||
| New York Metropolitan Transportation Authority Revenue (Hudson Yards Development) | 5.000% | 11/15/51 | 4,250 | 4,259 | ||
| 9 | New York State Dormitory Authority Lease Revenue (City of New York Court Facilities) | 5.500% | 5/15/24 | 500 | 560 | |
| 9 | New York State Dormitory Authority Lease Revenue (City of New York Court Facilities) | 5.500% | 5/15/27 | 500 | 622 | |
| New York State Dormitory Authority Revenue | 5.000% | 7/1/31 | 1,000 | 1,326 | ||
| New York State Dormitory Authority Revenue | 3.000% | 10/1/32 | 1,000 | 1,070 | ||
| New York State Dormitory Authority Revenue (Icahn School of Medicine at Mount Sinai) | 5.000% | 7/1/28 | 1,000 | 1,144 | ||
| New York State Dormitory Authority Revenue (Icahn School of Medicine at Mount Sinai) | 5.000% | 7/1/32 | 1,000 | 1,143 | ||
| New York State Dormitory Authority Revenue (Montefiore Obligated Group) | 5.000% | 9/1/27 | 1,895 | 2,299 | ||
| New York State Dormitory Authority Revenue (Montefiore Obligated Group) | 5.000% | 8/1/29 | 550 | 677 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/23 | 830 | 835 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 12/15/23 | 625 | 653 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/24 | 840 | 845 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 12/15/26 | 720 | 753 | ||
61
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 3/15/27 | 1,700 | 1,913 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/28 | 2,040 | 2,317 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/29 | 1,085 | 1,235 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/29 | 5,000 | 6,407 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/30 | 2,000 | 2,194 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/31 | 2,455 | 2,783 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 5,000 | 6,667 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/32 | 500 | 505 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/32 | 2,000 | 2,656 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/33 | 1,975 | 2,261 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/33 | 300 | 302 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/34 | 1,905 | 2,178 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 3/15/34 | 2,000 | 2,191 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/35 | 1,000 | 1,141 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/35 | 3,000 | 3,849 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/35 | 5,000 | 5,654 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/37 | 3,000 | 3,643 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 3/15/37 | 3,000 | 3,609 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 3.000% | 3/15/38 | 3,400 | 3,699 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 4.000% | 2/15/39 | 2,000 | 2,358 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 5.000% | 2/15/39 | 2,000 | 2,421 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 3.000% | 3/15/39 | 3,000 | 3,255 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) | 3.000% | 3/15/40 | 3,000 | 3,247 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) ETM | 5.000% | 2/15/25 | 1,500 | 1,713 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) Prere. | 5.000% | 2/15/22 | 170 | 171 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) Prere. | 5.000% | 2/15/22 | 160 | 161 | ||
| New York State Dormitory Authority Revenue (Personal Income Tax) Prere. | 5.000% | 12/15/22 | 840 | 878 | ||
| 4 | New York State Dormitory Authority Revenue (Teachers College) | 5.000% | 7/1/29 | 195 | 244 | |
| 4 | New York State Dormitory Authority Revenue (Teachers College) | 5.000% | 7/1/30 | 205 | 261 | |
62
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 4 | New York State Dormitory Authority Revenue (Teachers College) | 5.000% | 7/1/31 | 225 | 292 | |
| 4 | New York State Dormitory Authority Revenue (Teachers College) | 5.000% | 7/1/32 | 235 | 303 | |
| 4 | New York State Dormitory Authority Revenue (Teachers College) | 5.000% | 7/1/33 | 255 | 328 | |
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/25 | 1,295 | 1,484 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/32 | 1,230 | 1,423 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/32 | 1,480 | 1,789 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/33 | 1,795 | 2,139 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/35 | 1,420 | 1,641 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/35 | 2,000 | 2,379 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/36 | 1,500 | 1,847 | ||
| New York State Dormitory Authority Sales Tax Revenue | 5.000% | 3/15/37 | 2,160 | 2,657 | ||
| New York State Energy Research & Development Authority Pollution Control Revenue (New York State Electric & Gas Corp.) | 3.500% | 10/1/29 | 1,000 | 1,150 | ||
| New York State Environmental Facilities Corp. Revenue | 5.000% | 8/15/29 | 305 | 396 | ||
| New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/22 | 2,075 | 2,120 | ||
| New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/23 | 1,000 | 1,069 | ||
| New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/25 | 500 | 511 | ||
| New York State Environmental Facilities Corp. Revenue (State Clean Water & Drinking Water Revolving Funds) | 5.000% | 6/15/34 | 1,500 | 1,833 | ||
| New York State Homeowner Mortgage Agency Revenue | 2.200% | 4/1/36 | 2,000 | 2,013 | ||
| New York State Housing Finance Agency Revenue | 2.200% | 11/1/36 | 875 | 874 | ||
| New York State Liberty Development Corp. Liberty Revenue (Bank of America Tower at One Bryant Park Project) | 2.450% | 9/15/69 | 3,500 | 3,673 | ||
| New York State Liberty Development Corp. Liberty Revenue (Bank of America Tower at One Bryant Park Project) | 2.625% | 9/15/69 | 1,075 | 1,114 | ||
| New York State Mortgage Agency Homeowner Revenue | 3.250% | 10/1/50 | 2,470 | 2,666 | ||
| New York State Thruway Authority General Revenue | 4.000% | 1/1/42 | 2,000 | 2,388 | ||
| New York State Thruway Authority Revenue | 5.000% | 1/1/35 | 1,130 | 1,317 | ||
| New York State Thruway Authority Revenue | 5.000% | 1/1/36 | 1,045 | 1,329 | ||
| 10 | New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.500% | 3/15/22 | 530 | 536 | |
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/24 | 1,325 | 1,460 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/24 | 5,000 | 5,510 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/25 | 2,830 | 3,238 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/26 | 1,930 | 2,122 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/28 | 10,000 | 12,505 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 2,000 | 2,112 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 1,420 | 1,645 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/33 | 2,010 | 2,359 | ||
63
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/33 | 1,485 | 1,567 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/36 | 2,000 | 2,404 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 5.000% | 3/15/37 | 2,000 | 2,402 | ||
| New York State Urban Development Corp. Revenue (Personal Income Tax) | 4.000% | 3/15/39 | 5,000 | 5,904 | ||
| New York State Urban Development Corp. Sales Tax Revenue | 4.000% | 3/15/39 | 3,000 | 3,628 | ||
| New York State Urban Development Corp. Sales Tax Revenue | 3.000% | 3/15/41 | 3,000 | 3,234 | ||
| New York State Urban Development Corp. Sales Tax Revenue | 3.000% | 3/15/42 | 2,500 | 2,688 | ||
| Port Authority of New York & New Jersey Revenue | 5.000% | 9/1/26 | 1,805 | 2,023 | ||
| Port Authority of New York & New Jersey Revenue | 5.000% | 9/1/36 | 1,230 | 1,532 | ||
| Port Authority of New York & New Jersey Revenue | 5.000% | 11/1/36 | 2,295 | 2,935 | ||
| Southold NY Suffolk County | 1.250% | 9/22/22 | 1,938 | 1,952 | ||
| Suffolk County NY Economic Development Corp. Revenue (Catholic Health Services) | 5.000% | 7/1/27 | 1,370 | 1,515 | ||
| 4 | Suffolk County NY Refunding Bonds | 5.000% | 6/15/29 | 745 | 925 | |
| Tobacco Settlement Financing Corp. New York Revenue | 5.000% | 6/1/29 | 1,870 | 2,254 | ||
| Tobacco Settlement Financing Corp. New York Revenue | 5.000% | 6/1/34 | 1,760 | 2,091 | ||
| Triborough Bridge & Tunnel Authority New York Payroll Mobility Bonds | 3.000% | 5/15/32 | 490 | 561 | ||
| Triborough Bridge & Tunnel Authority New York Payroll Mobility Bonds PUT | 2.000% | 5/15/26 | 1,000 | 1,046 | ||
| Triborough Bridge & Tunnel Authority New York Payroll Mobility Bonds PUT | 2.000% | 5/15/28 | 1,000 | 1,061 | ||
| Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/23 | 1,500 | 1,631 | ||
| Triborough Bridge & Tunnel Authority New York Revenue | 0.000% | 11/15/32 | 1,130 | 917 | ||
| Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/34 | 2,000 | 2,324 | ||
| Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/34 | 1,900 | 2,305 | ||
| Triborough Bridge & Tunnel Authority New York Revenue | 5.000% | 11/15/36 | 1,000 | 1,213 | ||
| 11 | Triborough Bridge & Tunnel Authority New York Revenue, SOFR + 0.380% PUT | 0.414% | 2/1/24 | 150 | 150 | |
| 2 | Triborough Bridge & Tunnel Authority New York Revenue VRDO | 0.090% | 1/3/22 | 100 | 100 | |
| Troy NY Capital Resource Corp. Revenue (Rensselaer Polytechnic Institute Project) | 5.000% | 9/1/37 | 1,320 | 1,682 | ||
| Utility Debt Securitization Authority New York Revenue | 5.000% | 12/15/33 | 1,600 | 1,740 | ||
| Utility Debt Securitization Authority New York Revenue | 5.000% | 12/15/35 | 1,945 | 2,278 | ||
| Utility Debt Securitization Authority New York Revenue | 5.000% | 12/15/36 | 2,450 | 2,868 | ||
| 5 | Westchester County NY Local Development Corp. Revenue (Purchase Senior Learning Community Inc.) | 3.200% | 7/1/28 | 250 | 252 | |
| Westchester County NY Local Development Corp. Revenue (Westchester Medical Center) | 5.000% | 11/1/31 | 1,085 | 1,238 | ||
| Westchester NY Tobacco Asset Securitization Revenue | 5.000% | 6/1/28 | 1,400 | 1,703 | ||
| Westchester NY Tobacco Asset Securitization Revenue | 5.000% | 6/1/33 | 1,500 | 1,793 | ||
| 668,663 | ||||||
| North Carolina (0.6%) | ||||||
| Cary NC Combined Enterprise System Revenue Prere. | 5.000% | 12/1/22 | 330 | 345 | ||
64
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Cary NC Combined Enterprise System Revenue Prere. | 5.000% | 12/1/22 | 170 | 177 | ||
| Cary NC GO | 5.000% | 9/1/22 | 1,000 | 1,032 | ||
| Charlotte GO | 5.000% | 6/1/30 | 1,325 | 1,754 | ||
| Charlotte NC International Airport Revenue | 4.000% | 7/1/38 | 1,250 | 1,516 | ||
| Charlotte NC Refunding Certificate of Participation (Transit Projects) | 5.000% | 6/1/30 | 1,000 | 1,313 | ||
| Charlotte-Mecklenburg NC Hospital Authority Health Care System Revenue | 5.000% | 1/15/34 | 1,500 | 1,737 | ||
| Charlotte-Mecklenburg NC Hospital Authority Health Care System Revenue PUT | 5.000% | 12/1/31 | 1,000 | 1,344 | ||
| Durham County NC GO | 4.000% | 6/1/25 | 2,460 | 2,757 | ||
| Mecklenburg County NC GO | 5.000% | 3/1/26 | 1,085 | 1,286 | ||
| Mecklenburg County NC Public Improvement GO | 5.000% | 12/1/26 | 1,775 | 2,154 | ||
| North Carolina GAN | 5.000% | 3/1/25 | 1,055 | 1,205 | ||
| North Carolina GAN | 5.000% | 3/1/27 | 1,015 | 1,153 | ||
| North Carolina GO | 5.000% | 5/1/22 | 360 | 366 | ||
| North Carolina GO | 5.000% | 6/1/23 | 2,030 | 2,166 | ||
| North Carolina GO | 3.000% | 5/1/33 | 1,000 | 1,131 | ||
| North Carolina Housing Finance Agency Homeownership Revenue | 3.000% | 7/1/51 | 2,785 | 2,993 | ||
| North Carolina Medical Care Commission Health Care Facilities Revenue (Presbyterian Homes Obligated) | 4.000% | 10/1/40 | 800 | 905 | ||
| North Carolina Medical Care Commission Health Care Facilities Revenue (WakeMed) | 5.000% | 10/1/27 | 1,000 | 1,032 | ||
| North Carolina Medical Care Commission Hospital (Moses Cone Health System) VRDO | 0.100% | 1/6/22 | 2,025 | 2,025 | ||
| North Carolina Medical Care Commission Hospital Revenue (Southeastern Regional Medical Center) | 5.000% | 6/1/24 | 850 | 866 | ||
| North Carolina State Grant Anticipation Revenue | 5.000% | 3/1/28 | 1,000 | 1,248 | ||
| North Carolina State Limited Obligation | 5.000% | 5/1/25 | 3,590 | 4,128 | ||
| 3 | North Carolina Turnpike Authority Revenue | 5.000% | 1/1/38 | 30 | 37 | |
| North Carolina Turnpike Authority Revenue | 4.000% | 1/1/39 | 2,000 | 2,273 | ||
| Orange County NC Public Facilities Co. Revenue Prere. | 5.000% | 10/1/22 | 180 | 186 | ||
| Orange County NC Public Facilities Co. Revenue Prere. | 5.000% | 10/1/22 | 320 | 331 | ||
| University of North Carolina at Charlotte Revenue | 4.000% | 10/1/35 | 400 | 473 | ||
| University of North Carolina at Charlotte Revenue | 3.000% | 10/1/36 | 1,600 | 1,741 | ||
| University of North Carolina at Charlotte Revenue | 4.000% | 10/1/37 | 1,000 | 1,178 | ||
| University of North Carolina at Charlotte Revenue | 4.000% | 10/1/40 | 325 | 381 | ||
| Wake County NC GO | 5.000% | 3/1/23 | 2,145 | 2,265 | ||
| Wake County NC GO | 5.000% | 4/1/23 | 1,000 | 1,060 | ||
| Wake County NC GO | 4.000% | 5/1/30 | 2,000 | 2,096 | ||
| Western California University General Revenue | 3.000% | 4/1/36 | 1,480 | 1,612 | ||
| 4 | Winston-Salem State University NC General Revenue | 5.000% | 4/1/29 | 440 | 553 | |
| 4 | Winston-Salem State University NC General Revenue | 4.000% | 4/1/33 | 530 | 645 | |
| 49,464 | ||||||
| North Dakota (0.0%) | ||||||
| Grand Forks ND Health Care System Revenue (Altru Health System Obligated Group) | 5.000% | 12/1/25 | 1,210 | 1,405 | ||
| Grand Forks ND Health Care System Revenue (Altru Health System) | 5.000% | 12/1/29 | 445 | 562 | ||
| 3 | Grand Forks ND Health Care System Revenue (Altru Health System) | 3.000% | 12/1/39 | 1,000 | 1,060 | |
| 3,027 | ||||||
| Ohio (1.4%) | ||||||
| Allen County OH Hospital Facilities Revenue (Mercy Health) | 4.000% | 12/1/40 | 1,200 | 1,401 | ||
65
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Allen County OH Hospital Facilities Revenue (Mercy Health) | 5.000% | 8/1/29 | 1,300 | 1,596 | ||
| Allen County OH Hospital Facilities Revenue (Mercy Health) | 4.000% | 8/1/37 | 2,200 | 2,509 | ||
| American Municipal Power Ohio Inc. Revenue (Fremont Energy Center Project) | 5.000% | 2/15/31 | 1,000 | 1,319 | ||
| American Municipal Power Ohio Inc. Revenue (Fremont Energy Center Project) | 4.000% | 2/15/38 | 1,045 | 1,250 | ||
| American Municipal Power Ohio Inc. Revenue (Fremont Energy Center Project) Prere. | 5.250% | 2/15/22 | 570 | 573 | ||
| American Municipal Power Ohio Inc. Revenue (Fremont Energy Center Projects) | 5.000% | 2/15/42 | 3,000 | 3,016 | ||
| American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects) | 5.000% | 2/15/26 | 1,025 | 1,206 | ||
| American Municipal Power Ohio Inc. Revenue (Hydroelectric Projects) PUT | 1.000% | 8/15/24 | 385 | 390 | ||
| Bowling Green State University Ohio Revenue | 5.000% | 6/1/26 | 400 | 473 | ||
| Bowling Green State University Ohio Revenue | 5.000% | 6/1/27 | 260 | 315 | ||
| Buckeye OH Tobacco Settlement Financing Authority Revenue | 5.000% | 6/1/34 | 1,150 | 1,456 | ||
| Buckeye OH Tobacco Settlement Financing Authority Revenue | 4.000% | 6/1/39 | 1,000 | 1,162 | ||
| Buckeye OH Tobacco Settlement Financing Authority Revenue | 5.000% | 6/1/55 | 2,855 | 3,316 | ||
| Butler County OH Hospital facilities Revenue (Cincinnati Children's Hospital Medical Center) | 5.000% | 5/15/32 | 2,000 | 2,712 | ||
| Centerville OH Health Care Revenue (Graceworks Lutheran Services) | 5.000% | 11/1/26 | 725 | 811 | ||
| Centerville OH Health Care Revenue (Graceworks Lutheran Services) | 5.000% | 11/1/27 | 380 | 431 | ||
| Cleveland OH Municipal School District GO | 5.000% | 12/1/28 | 1,000 | 1,063 | ||
| Cleveland Ohio Income Tax Revenue | 3.000% | 10/1/34 | 335 | 370 | ||
| Cleveland-Cuyahoga County OH Port Authority Cultural Facilities Revenue (Cleveland Museum of Natural History Project) | 4.000% | 7/1/38 | 365 | 435 | ||
| 3 | Columbus OH City School District GO | 0.000% | 12/1/29 | 1,000 | 887 | |
| Columbus OH GO | 4.000% | 8/15/26 | 1,730 | 1,945 | ||
| Columbus OH GO Prere. | 5.000% | 7/1/22 | 535 | 548 | ||
| Columbus OH Metropolitan Housing Authority Revenue | 4.000% | 8/1/36 | 1,000 | 1,168 | ||
| Columbus OH Sewer Revenue Prere. | 5.000% | 12/1/24 | 4,000 | 4,532 | ||
| Cuyahoga County OH Excise Tax Revenue (Sports Facilities Improvement Project) Prere. | 5.000% | 12/1/23 | 510 | 556 | ||
| Cuyahoga County OH Hospital Revenue (Metro Health System) | 5.000% | 2/15/32 | 1,000 | 1,178 | ||
| Fairfield County OH Hospital Facilities Revenue (Fairfield Medical Center) | 5.125% | 6/15/33 | 615 | 639 | ||
| Franklin County OH Convention Facilities Authority Revenue | 5.000% | 12/1/28 | 1,680 | 1,874 | ||
| Franklin County OH Convention Facilities Authority Revenue | 5.000% | 12/1/30 | 680 | 802 | ||
| Franklin County OH Hospital Revenue (Nationwide Children's Hospital) | 5.000% | 11/1/31 | 1,000 | 1,325 | ||
| Franklin County OH Revenue (Trinity Health Corp.) | 5.000% | 12/1/31 | 1,100 | 1,416 | ||
| Franklin County OH Sales Tax Revenue | 5.000% | 6/1/28 | 830 | 1,045 | ||
| Hamilton County OH Hospital Facilities Revenue (UC Health) | 5.000% | 9/15/28 | 625 | 780 | ||
| Hamilton County OH Hospital Facilities Revenue (TriHealth Obligated Group) | 5.000% | 8/15/36 | 1,000 | 1,194 | ||
66
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 2 | Lancaster OH Port Authority Gas Supply Revenue PUT | 5.000% | 2/1/25 | 1,100 | 1,238 | |
| Miami Valley OH Career Technology Center GO | 5.000% | 12/1/25 | 880 | 1,032 | ||
| Montgomery County OH Hospital Facilities Improvement & Refunding Revenue (Kettering Health Network) | 3.000% | 8/1/34 | 900 | 981 | ||
| Montgomery County OH Hospital Facilities Revenue (Premier Health Partners Obligated Group) | 4.000% | 11/15/42 | 1,000 | 1,139 | ||
| Montgomery County OH Hospital Revenue (Premier Health Partners) | 5.000% | 11/15/31 | 2,290 | 2,856 | ||
| Montgomery County OH Hospital Revenue (Premier Health Partners) | 5.000% | 11/15/37 | 2,590 | 3,196 | ||
| North Royalton OH City School District GO | 5.000% | 12/1/26 | 300 | 346 | ||
| North Royalton OH City School District GO | 5.000% | 12/1/28 | 1,400 | 1,606 | ||
| Ohio (Treasurer Of State) | 5.000% | 4/1/36 | 775 | 1,015 | ||
| Ohio Capital Facilities Lease-Appropriation Revenue (Adult Correctional Building Fund Projects) | 5.000% | 10/1/33 | 1,605 | 1,958 | ||
| Ohio Capital Facilities Lease-Appropriation Revenue (Mental Health Facilities Improvement Fund Projects) | 5.000% | 2/1/22 | 750 | 753 | ||
| Ohio Capital Facilities Lease-Appropriation Revenue (Transportation Building Fund Projects) | 5.000% | 4/1/30 | 1,155 | 1,310 | ||
| Ohio Common Schools GO Prere. | 5.000% | 6/15/22 | 1,000 | 1,022 | ||
| 4 | Ohio Community Learning Centers Income Tax Revenue | 4.000% | 12/1/26 | 375 | 428 | |
| Ohio GO | 5.000% | 5/1/23 | 1,870 | 1,988 | ||
| Ohio GO | 5.000% | 8/1/23 | 500 | 514 | ||
| Ohio GO | 5.000% | 8/1/24 | 500 | 559 | ||
| Ohio GO | 5.000% | 11/1/24 | 1,675 | 1,892 | ||
| Ohio GO | 5.000% | 2/1/27 | 1,000 | 1,175 | ||
| Ohio GO | 5.000% | 6/15/27 | 3,425 | 3,613 | ||
| Ohio GO | 5.000% | 5/1/33 | 1,010 | 1,258 | ||
| Ohio GO | 5.000% | 3/1/35 | 1,000 | 1,205 | ||
| Ohio GO | 5.000% | 3/15/36 | 1,005 | 1,101 | ||
| Ohio GO | 5.000% | 3/1/38 | 2,000 | 2,401 | ||
| Ohio Higher Education GO | 5.000% | 5/1/30 | 5,015 | 5,740 | ||
| Ohio Higher Educational Facility Commission Revenue (Case Western Reserve University Project) | 5.000% | 12/1/22 | 585 | 610 | ||
| 2 | Ohio Higher Educational Facility Commission Revenue (Cleveland Clinic Health System Obligated Group) VRDO | 0.070% | 1/3/22 | 1,445 | 1,445 | |
| Ohio Major New State Infrastructure Project Revenue | 5.000% | 12/15/25 | 2,450 | 2,877 | ||
| Ohio Major New State Infrastructure Project Revenue | 5.000% | 12/15/28 | 1,020 | 1,210 | ||
| Ohio Parks & Recreation Capital Facilities Revenue | 5.000% | 12/1/35 | 1,320 | 1,652 | ||
| Ohio Parks & Recreation Capital Facilities Revenue | 5.000% | 12/1/37 | 2,240 | 2,795 | ||
| Ohio Revenue (Infrastructure Project) | 5.000% | 12/15/23 | 1,000 | 1,090 | ||
| Ohio Revenue (Transportation Building Fund Projects) | 5.000% | 4/1/26 | 925 | 1,095 | ||
| Ohio State Common Schools GO | 5.000% | 6/15/23 | 500 | 534 | ||
| Ohio State Higher Educational Facility Commission Revenue | 5.000% | 1/15/33 | 1,260 | 1,556 | ||
| Ohio State Hospital Revenue (Premier Health Partners Obligated Group) | 5.000% | 11/15/33 | 105 | 132 | ||
| Ohio State Hospital Revenue (University Hospitals Health System) | 5.000% | 1/15/35 | 500 | 616 | ||
| Ohio State University General Receipts Revenue | 5.000% | 12/1/30 | 1,370 | 1,824 | ||
| Ohio State University General Receipts Revenue | 4.000% | 12/1/40 | 1,760 | 2,146 | ||
| Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/28 | 1,030 | 1,083 | ||
| Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/35 | 1,310 | 1,600 | ||
67
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Ohio Water Development Authority Water Pollution Control Loan Fund Revenue | 5.000% | 6/1/25 | 5,050 | 5,824 | ||
| Ohio Water Development Authority Water Pollution Control Loan Fund Revenue | 5.000% | 12/1/26 | 1,850 | 2,240 | ||
| Penta Career Center Ohio COP | 5.250% | 4/1/23 | 125 | 127 | ||
| Revere OH Local School District GO Prere. | 5.000% | 6/1/22 | 1,000 | 1,020 | ||
| Revere OH Local School District GO Prere. | 5.000% | 6/1/22 | 665 | 678 | ||
| Winton Woods City OH School District GO Prere. | 5.000% | 5/1/22 | 550 | 559 | ||
| Winton Woods City OH School District GO Prere. | 5.000% | 5/1/22 | 255 | 259 | ||
| Winton Woods City OH School District GO Prere. | 5.000% | 5/1/22 | 250 | 254 | ||
| Winton Woods City OH School District GO Prere. | 5.000% | 5/1/22 | 260 | 264 | ||
| Winton Woods City OH School District GO Prere. | 5.000% | 5/1/22 | 250 | 254 | ||
| 119,763 | ||||||
| Oklahoma (0.2%) | ||||||
| Edmond OK Public Works Authority Sales Tax & Utility System Revenue | 4.000% | 7/1/25 | 1,160 | 1,295 | ||
| Norman OK Regional Hospital Authority Revenue | 5.000% | 9/1/28 | 1,245 | 1,512 | ||
| Oklahoma Capitol Improvement Authority Facilities Revenue | 5.000% | 7/1/26 | 1,145 | 1,272 | ||
| Oklahoma Capitol Improvement Authority Facilities Revenue | 4.000% | 7/1/38 | 1,000 | 1,154 | ||
| Oklahoma City OK GO | 5.000% | 3/1/24 | 525 | 527 | ||
| Oklahoma Development Finance Authority Health System Revenue (Integris Baptist Medical Center) | 4.000% | 8/15/38 | 1,000 | 1,092 | ||
| Oklahoma Development Finance Authority Health System Revenue (OU Medicine) | 5.000% | 8/15/28 | 1,500 | 1,846 | ||
| Oklahoma State University Agricultural Mechanical Revenue | 4.000% | 9/1/35 | 460 | 566 | ||
| Oklahoma Turnpike Authority Revenue | 5.000% | 1/1/37 | 2,020 | 2,345 | ||
| Tulsa County OK Independent School District No. 4 Bixby GO | 4.000% | 7/1/23 | 2,000 | 2,112 | ||
| Tulsa County OK Industrial Authority Educational Facilities Lease Revenue | 4.000% | 9/1/31 | 1,500 | 1,857 | ||
| Tulsa County OK Industrial Authority Senior Living Community Revenue (Montereau Inc.) | 5.000% | 11/15/23 | 280 | 301 | ||
| 15,879 | ||||||
| Oregon (0.4%) | ||||||
| Clatsop County OR School District No. 10 Seaside GO | 5.000% | 6/15/33 | 1,140 | 1,386 | ||
| Deschutes & Jefferson Counties OR School District No. 2J GO | 0.000% | 6/15/31 | 750 | 648 | ||
| Deschutes County OR Public Library District GO | 4.000% | 6/1/23 | 575 | 605 | ||
| Hospital Facilities Authority of Multnomah County Oregon Revenue | 4.000% | 12/1/36 | 1,000 | 1,124 | ||
| Medford Hospital Facilities Authority Revenue | 5.000% | 8/15/35 | 1,000 | 1,285 | ||
| Multnomah County OR School District GO | 5.000% | 6/15/29 | 1,015 | 1,166 | ||
| Oregon Department of Administrative Services Lottery Revenue | 5.000% | 4/1/25 | 1,380 | 1,521 | ||
| Oregon Department of Transportation Highway User Tax Revenue | 5.000% | 11/15/39 | 2,175 | 2,785 | ||
| Oregon Facilities Authority Revenue (Legacy Health Project) | 5.000% | 6/1/33 | 1,000 | 1,172 | ||
| Oregon Facilities Authority Revenue (Reed College Projects) | 4.000% | 7/1/31 | 450 | 518 | ||
| Oregon Facilities Authority Revenue (Reed College Projects) | 4.000% | 7/1/32 | 450 | 517 | ||
| Oregon GO | 5.000% | 5/1/23 | 500 | 508 | ||
68
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Oregon GO | 4.000% | 6/1/23 | 790 | 832 | ||
| Oregon GO | 5.000% | 6/1/35 | 1,000 | 1,334 | ||
| Oregon Health & Science University Revenue PUT | 5.000% | 2/1/32 | 1,000 | 1,333 | ||
| Portland OR Community College District GO | 5.000% | 6/15/22 | 7,745 | 7,913 | ||
| Portland OR Water System Revenue | 2.000% | 5/1/42 | 2,000 | 1,958 | ||
| Salem OR Hospital Facilities Authority Revenue (Capital Manor Inc.) | 5.000% | 5/15/33 | 550 | 631 | ||
| Salem OR Hospital Facilities Authority Revenue (Capital Manor Inc.) | 5.000% | 5/15/38 | 500 | 571 | ||
| Tri-County Metropolitan Transportation District of Oregon Revenue | 4.000% | 9/1/40 | 5,645 | 6,228 | ||
| Washington County OR School District No. 48J Beaverton GO | 5.000% | 6/15/36 | 1,305 | 1,580 | ||
| 35,615 | ||||||
| Pennsylvania (2.3%) | ||||||
| Allegheny County PA GO | 4.000% | 11/1/30 | 1,025 | 1,175 | ||
| Allegheny County PA Hospital Development Authority Revenue | 5.000% | 4/1/27 | 1,010 | 1,224 | ||
| Allegheny County PA Hospital Development Authority Revenue | 5.000% | 4/1/32 | 1,000 | 1,222 | ||
| Allegheny County PA Hospital Development Authority Revenue | 5.000% | 4/1/33 | 1,000 | 1,220 | ||
| Allegheny County PA Hospital Development Authority Revenue | 4.000% | 4/1/38 | 500 | 568 | ||
| Allegheny County PA Hospital Development Authority Revenue (University of Pittsburgh Medical Center) | 5.000% | 7/15/27 | 1,000 | 1,221 | ||
| Allegheny County PA Hospital Development Authority Revenue (University of Pittsburgh) | 5.000% | 10/15/29 | 1,470 | 1,886 | ||
| Allegheny County PA Sanitary Authority Sewer Revenue | 4.000% | 6/1/39 | 470 | 567 | ||
| Allentown PA Neighborhood Improvement Zone Development Authority Tax Revenue | 5.000% | 5/1/24 | 1,000 | 1,014 | ||
| 5 | Allentown PA Neighborhood Improvement Zone Development Authority Tax Revenue | 5.000% | 5/1/27 | 250 | 293 | |
| 4 | Allentown PA Neighborhood Improvement Zone Development Authority Tax Revenue | 5.000% | 5/1/35 | 500 | 631 | |
| 8 | Allentown PA School District GO | 5.000% | 6/1/31 | 1,000 | 1,169 | |
| 8 | Armstrong PA School District GO | 5.000% | 3/15/27 | 995 | 1,206 | |
| 8 | Armstrong PA School District GO | 5.000% | 3/15/29 | 920 | 1,171 | |
| Bethlehem Area School District GO | 5.000% | 11/15/23 | 1,835 | 1,992 | ||
| 11 | Bethlehem PA Area School District Authority Revenue (Northampton & Lehigh Counties), SOFR + 0.350% PUT | 0.384% | 11/1/25 | 100 | 100 | |
| 11 | Bethlehem PA Area School District Authority Revenue (Northampton & Lehigh Counties), SOFR + 0.350% PUT | 0.384% | 11/1/25 | 105 | 105 | |
| 11 | Bethlehem PA Area School District Authority Revenue (Northampton & Lehigh Counties), SOFR + 0.350% PUT | 0.384% | 11/1/25 | 100 | 100 | |
| Bucks County PA Industrial Development Authority Revenue (Grand View Hospital Project) | 5.000% | 7/1/30 | 750 | 935 | ||
| Centennial PA School District Bucks County GO | 5.000% | 12/15/29 | 1,450 | 1,872 | ||
| Chester County Industrial Development Authority Revenue | 4.000% | 12/1/39 | 3,000 | 3,631 | ||
| Chester County PA GO Prere. | 5.000% | 11/15/22 | 750 | 781 | ||
| 8 | Coatesville PA Area School District Building GO | 0.000% | 10/1/34 | 450 | 311 | |
69
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 8 | Coatesville PA School District Building Authority Lease Revenue | 5.000% | 12/1/26 | 335 | 354 | |
| 8 | Coatesville PA School District Building Authority Lease Revenue | 5.000% | 12/1/27 | 365 | 386 | |
| Commonwealth Financing Authority Pennsylvania Revenue | 5.000% | 6/1/26 | 500 | 591 | ||
| 5 | Dauphin County PA General Authority Revenue (Harrisburg University of Science & Technology) | 5.000% | 10/15/30 | 840 | 980 | |
| Dauphin County PA GO | 5.000% | 11/15/27 | 2,055 | 2,537 | ||
| Delaware River PA Joint Toll Bridge Commission System Revenue | 5.000% | 7/1/34 | 225 | 272 | ||
| 9 | Delaware Valley PA Regional Finance Authority Revenue | 5.500% | 8/1/28 | 1,260 | 1,608 | |
| East Hempfield Township PA Industrial Development Authority Revenue (Millersville University Student Housing Project) Prere. | 5.000% | 7/1/24 | 1,000 | 1,113 | ||
| Easton PA Area School District GO | 4.000% | 4/1/28 | 580 | 689 | ||
| 8,9 | Erie PA Sewer Authority Revenue | 0.000% | 12/1/25 | 85 | 81 | |
| 8,9 | Erie PA Sewer Authority Revenue ETM | 0.000% | 12/1/25 | 1,165 | 1,133 | |
| 8 | Gateway PA School District Alleghany County GO | 3.000% | 10/15/37 | 1,000 | 1,117 | |
| Geisinger Authority PA Health System Revenue (Geisinger Health System) | 5.000% | 4/1/35 | 1,000 | 1,272 | ||
| Lancaster County PA Hospital Authority Revenue (Penn State Health) | 5.000% | 11/1/41 | 1,000 | 1,245 | ||
| Latrobe PA Industrial Development Authority University Revenue (Siton Hill University) | 4.000% | 3/1/40 | 225 | 246 | ||
| Lehigh County PA General Purpose Hospital Authority Revenue (Lehigh Valley Health Network) | 5.000% | 7/1/29 | 1,220 | 1,442 | ||
| Lehigh County PA General Purpose Hospital Authority Revenue (Lehigh Valley Health Network) | 5.000% | 7/1/29 | 2,400 | 3,057 | ||
| Lehigh County PA General Purpose Hospital Authority Revenue (Lehigh Valley Health Network) | 4.000% | 7/1/33 | 780 | 793 | ||
| 3 | Luzerne County PA Industrial Development Authority Lease Revenue | 5.000% | 12/15/25 | 1,000 | 1,155 | |
| Manheim Township PA School District GO | 5.000% | 2/1/30 | 830 | 957 | ||
| Manheim Township PA School District GO | 4.000% | 5/1/35 | 550 | 645 | ||
| Monroeville PA Finance Authority Revenue (UPMC Health System) | 4.250% | 2/15/42 | 2,500 | 2,558 | ||
| Monroeville PA Finance Authority Revenue (UPMC Health System) | 5.000% | 2/15/42 | 1,425 | 1,466 | ||
| Montgomery County PA Higher Education & Health Authority Hospital Revenue (Abington Memorial Hospital) Prere. | 5.000% | 6/1/22 | 500 | 510 | ||
| Montgomery County PA Higher Education & Health Authority Revenue (Thomas Jefferson University) | 5.000% | 9/1/32 | 1,515 | 1,902 | ||
| Montgomery County PA Industrial Development Authority Health Services Revenue (Albert Einstein Healthcare Network) | 5.000% | 1/15/23 | 1,015 | 1,062 | ||
| Montgomery County PA Industrial Development Authority Health Services Revenue (Albert Einstein Healthcare Network) | 5.000% | 1/15/25 | 1,000 | 1,131 | ||
| Montgomery County PA Industrial Development Authority Retirement Community Revenue (ACTS Retirement- Life Communities Obligated Group) Prere. | 5.000% | 5/15/22 | 1,250 | 1,272 | ||
| Mount Lebanon PA Hospital Authority Revenue (St. Clair Memorial Hospital Project) | 5.000% | 7/1/38 | 1,000 | 1,215 | ||
70
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Northampton County PA General Purpose Authority Hospital Revenue (St. Luke's Hospital Project) | 5.000% | 8/15/25 | 1,275 | 1,474 | ||
| Pennsylvania COP | 5.000% | 7/1/26 | 500 | 589 | ||
| Pennsylvania COP | 5.000% | 7/1/27 | 500 | 603 | ||
| Pennsylvania Economic Development Financing Authority Revenue (UPMC Obligated Group) | 5.000% | 3/15/29 | 1,060 | 1,262 | ||
| Pennsylvania Economic Development Financing Authority Revenue (UPMC Obligated Group) | 5.000% | 11/15/30 | 1,510 | 1,846 | ||
| Pennsylvania Economic Development Financing Authority Revenue (Waste Management Project) PUT | 0.950% | 12/1/26 | 1,000 | 999 | ||
| Pennsylvania GO | 5.000% | 8/15/23 | 2,265 | 2,436 | ||
| Pennsylvania GO | 5.000% | 1/1/24 | 1,500 | 1,637 | ||
| Pennsylvania GO | 5.000% | 8/15/24 | 500 | 559 | ||
| Pennsylvania GO | 5.000% | 1/1/26 | 3,295 | 3,867 | ||
| Pennsylvania GO | 5.000% | 9/15/26 | 1,500 | 1,800 | ||
| Pennsylvania GO | 5.000% | 7/15/28 | 4,975 | 6,269 | ||
| Pennsylvania GO | 4.000% | 1/1/29 | 3,000 | 3,450 | ||
| 3 | Pennsylvania GO | 4.000% | 8/15/30 | 1,000 | 1,124 | |
| Pennsylvania GO | 5.000% | 3/15/32 | 8,000 | 9,099 | ||
| Pennsylvania GO | 5.000% | 10/15/32 | 1,000 | 1,081 | ||
| 3 | Pennsylvania GO | 4.000% | 3/1/33 | 1,110 | 1,302 | |
| Pennsylvania GO | 4.000% | 5/15/33 | 2,080 | 2,564 | ||
| 3 | Pennsylvania GO | 4.000% | 3/1/34 | 1,670 | 1,957 | |
| Pennsylvania GO | 4.000% | 3/1/36 | 1,000 | 1,153 | ||
| Pennsylvania GO | 3.000% | 5/15/36 | 1,000 | 1,107 | ||
| Pennsylvania GO | 4.000% | 3/1/37 | 1,000 | 1,151 | ||
| 8 | Pennsylvania GO | 4.000% | 3/1/37 | 1,000 | 1,158 | |
| Pennsylvania GO | 2.000% | 5/15/38 | 1,390 | 1,371 | ||
| Pennsylvania GO | 2.000% | 5/15/39 | 1,000 | 982 | ||
| Pennsylvania GO | 2.000% | 5/15/40 | 1,540 | 1,506 | ||
| Pennsylvania GO | 2.000% | 5/15/41 | 1,430 | 1,390 | ||
| Pennsylvania Higher Educational Facilities Authority Revenue (Temple University) Prere. | 5.000% | 4/1/22 | 500 | 506 | ||
| Pennsylvania Higher Educational Facilities Authority Revenue (University of Pennsylvania Health System) | 5.000% | 8/15/31 | 1,000 | 1,281 | ||
| Pennsylvania Higher Educational Facilities Authority Revenue (University of Pennsylvania Health System) | 4.000% | 8/15/36 | 1,295 | 1,482 | ||
| 4 | Pennsylvania Higher Educational Facilities Authority Revenue (University of Pennsylvania Health System) | 4.000% | 8/15/38 | 650 | 766 | |
| Pennsylvania Housing Finance Agency Revenue | 2.450% | 10/1/41 | 1,500 | 1,515 | ||
| Pennsylvania Turnpike Commission Motor License Fund Revenue | 5.000% | 12/1/32 | 1,000 | 1,227 | ||
| Pennsylvania Turnpike Commission Oil Franchise Tax Revenue | 5.000% | 12/1/24 | 1,050 | 1,144 | ||
| Pennsylvania Turnpike Commission Oil Franchise Tax Revenue | 5.000% | 12/1/28 | 630 | 757 | ||
| Pennsylvania Turnpike Commission Oil Franchise Tax Revenue | 4.000% | 12/1/41 | 1,000 | 1,188 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/24 | 1,980 | 2,190 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/25 | 1,690 | 1,977 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/26 | 1,960 | 2,290 | ||
| 3 | Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/26 | 1,635 | 1,943 | |
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/26 | 750 | 901 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/27 | 2,255 | 2,668 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/29 | 1,570 | 1,936 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/29 | 1,100 | 1,279 | ||
71
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/30 | 300 | 345 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/32 | 1,500 | 1,808 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/32 | 2,000 | 2,262 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/32 | 1,250 | 1,596 | ||
| 3 | Pennsylvania Turnpike Commission Revenue | 6.250% | 6/1/33 | 1,760 | 2,178 | |
| Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/35 | 1,500 | 1,761 | ||
| Pennsylvania Turnpike Commission Revenue | 4.000% | 12/1/36 | 1,650 | 1,995 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/37 | 1,000 | 1,256 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/37 | 2,545 | 3,330 | ||
| Pennsylvania Turnpike Commission Revenue | 6.375% | 12/1/38 | 1,300 | 1,697 | ||
| Pennsylvania Turnpike Commission Revenue | 4.000% | 12/1/39 | 1,250 | 1,511 | ||
| Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/39 | 1,520 | 1,947 | ||
| Pennsylvania Turnpike Commission Revenue | 5.250% | 12/1/39 | 1,000 | 1,135 | ||
| Perkiomen Valley School District Pennsylvania GO | 4.000% | 2/15/31 | 2,465 | 2,684 | ||
| Philadelphia PA Airport Revenue | 5.000% | 7/1/34 | 1,500 | 1,922 | ||
| Philadelphia PA Authority for Industrial Development Revenue (Charter School Project) | 4.000% | 6/1/31 | 705 | 800 | ||
| Philadelphia PA Authority for Industrial Development Revenue (Science University) | 5.000% | 11/1/42 | 1,000 | 1,154 | ||
| Philadelphia PA Authority for Industrial Development Revenue (Temple University) | 5.000% | 4/1/24 | 1,015 | 1,116 | ||
| Philadelphia PA Authority for Industrial Development Revenue (Temple University) | 5.000% | 4/1/27 | 1,000 | 1,138 | ||
| Philadelphia PA Authority for Industrial Development Revenue (Thomas Jefferson University) | 5.000% | 9/1/36 | 1,000 | 1,191 | ||
| Philadelphia PA Gas Works Revenue | 5.000% | 10/1/25 | 1,625 | 1,886 | ||
| Philadelphia PA Gas Works Revenue | 5.000% | 10/1/26 | 1,000 | 1,182 | ||
| Philadelphia PA Gas Works Revenue | 5.000% | 8/1/36 | 1,300 | 1,567 | ||
| Philadelphia PA GO | 4.000% | 5/1/39 | 3,000 | 3,580 | ||
| Philadelphia PA Hospitals & Higher Education Facilities Authority Hospital Revenue (Temple University Health System Obligated Group) | 5.000% | 7/1/25 | 1,000 | 1,149 | ||
| Philadelphia PA School District GO | 5.000% | 9/1/31 | 940 | 1,083 | ||
| Philadelphia PA Water & Wastewater Revenue | 5.000% | 7/1/26 | 1,000 | 1,113 | ||
| Philadelphia PA Water & Wastewater Revenue | 5.000% | 10/1/34 | 2,500 | 3,256 | ||
| Philadelphia PA Water & Wastewater Revenue | 4.000% | 7/1/35 | 1,110 | 1,223 | ||
| 3 | Pittsburgh & Allegheny County PA Sports & Exhibition Authority Sales Tax Revenue | 5.000% | 2/1/31 | 1,000 | 1,278 | |
| Pittsburgh PA Water & Sewer Authority Revenue | 5.000% | 9/1/22 | 1,200 | 1,237 | ||
| 3 | Pittsburgh PA Water & Sewer Authority Revenue | 5.000% | 9/1/33 | 1,000 | 1,274 | |
| 3,11 | Pittsburgh PA Water & Sewer Authority Revenue, SIFMA Municipal Swap Index Yield + 0.650% PUT | 0.750% | 12/1/23 | 350 | 352 | |
| Pittsburgh School District GO | 4.000% | 9/1/35 | 1,670 | 1,942 | ||
| 3 | Reading PA School District GO | 5.000% | 3/1/25 | 955 | 1,082 | |
| Saint Mary PA Hospital Authority Health System Revenue (Trinity Health Corp. Obligated Group) | 5.000% | 11/15/25 | 815 | 953 | ||
| Saint Mary PA Hospital Authority Health System Revenue (Trinity Health Corp. Obligated Group) | 5.000% | 11/15/26 | 770 | 928 | ||
| Snyder County PA Higher Education Authority University Revenue (Susquehanna University Project) | 5.000% | 1/1/27 | 1,135 | 1,358 | ||
| Southcentral Pennsylvania General Authority Revenue (WellSpan Health Obligated Group) Prere. | 5.000% | 6/1/24 | 1,085 | 1,206 | ||
| 8 | State Public School Building Authority Pennsylvania College Revenue (Community College of Allegheny County Project) | 4.000% | 6/15/29 | 1,075 | 1,211 | |
| 8 | State Public School Building Authority Pennsylvania Lease Revenue (School District of Philadelphia) | 5.000% | 6/1/24 | 1,535 | 1,687 | |
72
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 3 | State Public School Building Authority Pennsylvania Lease Revenue (School District of Philadelphia) | 5.000% | 6/1/26 | 1,650 | 1,931 | |
| University of Pittsburgh Pennsylvania of the Commonwealth System of Higher Education | 4.000% | 4/15/26 | 2,000 | 2,272 | ||
| Westmoreland County PA Industrial Development Authority Revenue | 4.000% | 5/15/41 | 1,000 | 1,084 | ||
| 204,629 | ||||||
| Puerto Rico (0.2%) | ||||||
| Puerto Rico Housing Finance Authority Capital Fund Modernization Program (Puerto Rico Public Housing Projects) | 5.000% | 12/1/27 | 1,000 | 1,214 | ||
| Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority Hospital Revenue | 5.000% | 7/1/33 | 215 | 274 | ||
| 3,6 | Puerto Rico Public Finance Corp. Revenue ETM | 6.000% | 8/1/26 | 1,000 | 1,235 | |
| Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/24 | 123 | 119 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/27 | 1,327 | 1,227 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/29 | 2,774 | 2,435 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 0.000% | 7/1/31 | 145 | 118 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 4.329% | 7/1/40 | 10,194 | 11,487 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 4.329% | 7/1/40 | 1,786 | 2,012 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 4.550% | 7/1/40 | 65 | 74 | ||
| Puerto Rico Sales Tax Financing Corp. Revenue | 4.550% | 7/1/40 | 1,565 | 1,784 | ||
| 21,979 | ||||||
| Rhode Island (0.1%) | ||||||
| Narragansett RI Commission Wastewater System Revenue Prere. | 5.000% | 2/1/25 | 1,950 | 2,223 | ||
| Rhode Island Commerce Corp. Airport Revenue | 5.000% | 7/1/30 | 500 | 586 | ||
| Rhode Island Health & Educational Building Corp. Higher Education Facilities Revenue | 5.000% | 11/1/29 | 200 | 257 | ||
| Rhode Island Health & Educational Building Corp. Higher Education Facilities Revenue | 5.000% | 11/1/32 | 425 | 565 | ||
| Rhode Island Health & Educational Building Corp. Higher Education Facilities Revenue | 5.000% | 11/1/36 | 200 | 264 | ||
| Rhode Island Health & Educational Building Corp. Higher Education Facilities Revenue (University of Rhode Island) | 5.000% | 9/15/25 | 500 | 580 | ||
| Rhode Island Health and Educational Building Corp. Public School Revenue (City of East Providence Issue) | 4.000% | 5/15/37 | 1,200 | 1,435 | ||
| Tobacco Settlement Financing Corp. Rhode Island Revenue | 2.250% | 6/1/41 | 295 | 311 | ||
| 6,221 | ||||||
| South Carolina (0.6%) | ||||||
| Beaufort County SC School District GO | 5.000% | 3/1/23 | 1,500 | 1,583 | ||
| Charleston County SC Airport District System Revenue | 5.000% | 7/1/34 | 250 | 316 | ||
| Charleston SC Educational Excellence Financing Corp. Revenue (Charleston County School District, South Carolina Project) | 5.000% | 12/1/23 | 590 | 643 | ||
| Columbia SC Waterworks & Sewer System Revenue | 3.000% | 2/1/35 | 875 | 970 | ||
| Columbia SC Waterworks & Sewer System Revenue Prere. | 5.000% | 2/1/22 | 250 | 251 | ||
| Georgetown County SC School District GO | 3.000% | 3/1/31 | 1,665 | 1,846 | ||
| Greenville County SC Special Source Revenue | 5.000% | 4/1/31 | 375 | 490 | ||
| Greenville County SC Special Source Revenue | 4.000% | 4/1/38 | 250 | 295 | ||
| Greenville SC Hospital Systems Facilities Revenue (Trustees Hospital) | 5.000% | 5/1/29 | 1,820 | 1,847 | ||
73
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Lancaster County SC School District GO | 4.000% | 3/1/32 | 1,000 | 1,159 | ||
| Lexington & Richland County SC School District No. 5 GO | 4.000% | 3/1/30 | 2,760 | 3,407 | ||
| Lexington County SC Health Services District Inc. Hospital Revenue | 5.000% | 11/1/25 | 1,000 | 1,162 | ||
| Lexington County SC Health Services District Inc. Hospital Revenue | 5.000% | 11/1/34 | 1,500 | 1,741 | ||
| Myrtle Beach SC Hospitality Fee Revenue | 5.000% | 6/1/25 | 1,030 | 1,135 | ||
| 2 | Patriots Energy Group Finance Authority SC Gas Supply Revenue PUT | 4.000% | 2/1/24 | 1,895 | 2,021 | |
| Patriots Energy Group SC Gas System Improvement & Refunding Revenue | 4.000% | 6/1/36 | 825 | 987 | ||
| 10 | Piedmont SC Municipal Power Agency Revenue | 0.000% | 1/1/24 | 1,600 | 1,574 | |
| Piedmont SC Municipal Power Agency Revenue | 5.000% | 1/1/31 | 2,500 | 2,979 | ||
| Piedmont SC Municipal Power Agency Revenue | 4.000% | 1/1/33 | 1,000 | 1,202 | ||
| South Carolina Association of Governmental Organizations Educational Facilities Corp. Revenue (Pickens School District) | 5.000% | 12/1/26 | 1,420 | 1,626 | ||
| South Carolina GO | 5.000% | 4/1/27 | 1,160 | 1,419 | ||
| South Carolina Jobs Economic Development Authority Hospital Revenue (Palmetto Health) Prere. | 5.250% | 8/1/23 | 1,000 | 1,078 | ||
| South Carolina Jobs Economic Development Authority Hospital Revenue (Prisma Health) | 5.000% | 5/1/37 | 1,500 | 1,814 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/26 | 1,140 | 1,285 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/31 | 1,200 | 1,568 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/31 | 410 | 547 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/33 | 1,000 | 1,216 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/34 | 1,000 | 1,213 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/35 | 1,500 | 1,817 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/35 | 805 | 1,064 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/36 | 1,500 | 1,814 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/36 | 815 | 1,074 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/37 | 1,000 | 1,190 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/37 | 2,430 | 2,848 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/37 | 1,095 | 1,304 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/38 | 1,000 | 1,203 | ||
| South Carolina Public Service Authority Revenue | 5.000% | 12/1/38 | 1,125 | 1,220 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/39 | 1,000 | 1,200 | ||
| South Carolina Public Service Authority Revenue | 4.000% | 12/1/42 | 1,000 | 1,192 | ||
| South Carolina Transportation Infrastructure Revenue | 5.000% | 10/1/32 | 1,290 | 1,621 | ||
| 3 | Spartanburg SC Regional Health Services District Revenue | 5.000% | 4/15/34 | 510 | 649 | |
| 4 | Spartanburg SC Regional Health Services District Revenue | 5.000% | 4/15/35 | 580 | 757 | |
| 8 | Sumter Two School Facilities Inc. South Carolina Installment Purchase Revenue | 5.000% | 12/1/26 | 1,000 | 1,156 | |
| 57,483 | ||||||
| South Dakota (0.1%) | ||||||
| Educational Enhancement Funding Corp. South Dakota Tobacco Settlement Revenue Prere. | 5.000% | 6/1/23 | 2,000 | 2,133 | ||
| Lincoln County SD Economic Development Revenue (Augustana College Association Project) | 4.000% | 8/1/41 | 2,660 | 3,006 | ||
74
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| South Dakota Health & Educational Facilities Authority Revenue (Regional Health System Obligated Group) | 5.000% | 9/1/32 | 2,915 | 3,489 | ||
| South Dakota Health & Educational Facilities Authority Revenue (Regional Health System Obligated Group) | 4.000% | 9/1/34 | 2,125 | 2,396 | ||
| 11,024 | ||||||
| Tennessee (1.4%) | ||||||
| Chattanooga TN Electric System Revenue | 5.000% | 9/1/31 | 1,000 | 1,150 | ||
| Chattanooga TN Health Educational & Housing Facility Board Revenue (Catholic Health Initiatives) Prere. | 5.000% | 1/1/23 | 1,500 | 1,569 | ||
| Chattanooga TN Health Educational & Housing Facility Board Revenue (Common Spirit Health) | 5.000% | 8/1/29 | 2,880 | 3,686 | ||
| Chattanooga-Hamilton County TN Hospital Authority Hospital Revenue | 5.000% | 10/1/27 | 1,035 | 1,150 | ||
| Greeneville TN Health & Educational Facilities Board Hospital Revenue (Ballad Health) | 5.000% | 7/1/27 | 1,590 | 1,934 | ||
| Jackson TN Hospital Project Revenue | 5.000% | 4/1/38 | 3,620 | 4,406 | ||
| Jackson TN Hospital Project Revenue Prere. | 5.000% | 10/1/28 | 190 | 239 | ||
| Knox County TN Health Educational & Housing Facilities Board Hospital Facilities Revenue (Covenant Healthcare) | 5.000% | 1/1/36 | 1,000 | 1,188 | ||
| Knox County TN Health Educational & Housing Facilities Board Hospital Facilities Revenue (University Health System Inc.) | 5.000% | 9/1/27 | 925 | 1,090 | ||
| Memphis TN GO | 4.000% | 6/1/31 | 1,000 | 1,139 | ||
| Memphis TN GO | 4.000% | 5/1/35 | 5,685 | 6,684 | ||
| Memphis-Shelby County TN Airport Authority Revenue | 5.000% | 7/1/34 | 500 | 639 | ||
| Metropolitan Government of Nashville & Davidson County TN GO | 5.000% | 1/1/29 | 1,335 | 1,697 | ||
| Metropolitan Government of Nashville & Davidson County TN Health & Educational Facilities Board Revenue | 4.000% | 10/1/31 | 215 | 242 | ||
| Metropolitan Government of Nashville & Davidson County TN Health & Educational Facilities Board Revenue (Blakeford at Green Hills) Prere. | 5.000% | 7/1/22 | 500 | 511 | ||
| Metropolitan Government of Nashville & Davidson County TN Health & Educational Facilities Board Revenue (Vanderbilt University Medical Center) | 5.000% | 7/1/31 | 280 | 365 | ||
| Montgomery County TN GO | 5.000% | 6/1/23 | 1,500 | 1,600 | ||
| 12 | New Memphis Arena Public Building Authority of Memphis & Shelby County TN Local Government Public Improvement Bonds (City of Memphis Project), 4.000% coupon rate effective 4/1/2026 | 0.000% | 4/1/31 | 300 | 318 | |
| 2 | Sevier County TN Public Improvement Building Authority Bonds VRDO | 0.070% | 1/3/22 | 8,600 | 8,600 | |
| 2,3 | Shelby County TN Health Educational & Housing Facilities Board Revenue VRDO | 0.070% | 1/3/22 | 24,600 | 24,600 | |
| Sumner County TN Public Improvement Refunding Bonds GO | 5.000% | 6/1/23 | 7,245 | 7,734 | ||
| 2 | Tennergy Corp. TN Gas Revenue PUT | 5.000% | 10/1/24 | 5,090 | 5,672 | |
| Tennergy Corp. TN Gas Revenue PUT | 4.000% | 9/1/28 | 5,540 | 6,472 | ||
| Tennessee Energy Acquisition Corp. Commodity Project Revenue PUT | 5.000% | 11/1/31 | 8,320 | 10,691 | ||
| Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/22 | 1,835 | 1,892 | ||
| Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/24 | 1,800 | 1,960 | ||
| Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/25 | 915 | 1,031 | ||
| Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/26 | 1,035 | 1,215 | ||
| Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/27 | 1,185 | 1,397 | ||
75
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Tennessee Energy Acquisition Corp. Gas Revenue PUT | 4.000% | 5/1/23 | 4,040 | 4,202 | ||
| Tennessee Energy Acquisition Corp. Gas Revenue PUT | 4.000% | 11/1/25 | 1,625 | 1,793 | ||
| Tennessee GO | 5.000% | 8/1/22 | 1,475 | 1,516 | ||
| Tennessee GO | 4.000% | 8/1/28 | 4,850 | 5,439 | ||
| Tennessee GO | 5.000% | 11/1/29 | 4,750 | 6,210 | ||
| Tennessee GO Prere. | 5.000% | 8/1/25 | 1,000 | 1,161 | ||
| Tennessee School Bond Authority Higher Educational Facilities Revenue (2nd Program) | 5.000% | 11/1/33 | 50 | 61 | ||
| Tennessee School Bond Authority Higher Educational Facilities Revenue (2nd Program) Prere. | 5.000% | 11/1/25 | 10 | 12 | ||
| Williamson County TN GO Prere. | 4.000% | 5/1/23 | 1,320 | 1,386 | ||
| 122,651 | ||||||
| Texas (5.5%) | ||||||
| Alamo TX Regional Mobility Authority Revenue | 5.000% | 6/15/27 | 1,280 | 1,471 | ||
| 19 | Allen TX Independent School District GO | 5.000% | 2/15/26 | 1,035 | 1,220 | |
| 19 | Arlington TX Higher Education Finance Corp. Revenue (Riverwalk Education Foundation Inc.) | 4.000% | 8/15/33 | 600 | 708 | |
| 19 | Arlington TX Independent School District (Unlimited Tax) GO | 5.000% | 2/15/26 | 1,090 | 1,241 | |
| 3 | Arlington TX Special Tax Revenue | 5.000% | 2/15/27 | 420 | 508 | |
| 3 | Arlington TX Special Tax Revenue | 5.000% | 2/15/28 | 305 | 378 | |
| 8 | Arlington TX Special Tax Revenue | 5.000% | 2/15/32 | 1,160 | 1,388 | |
| Atascosa County TX Industrial Development Corp. Pollution Control Refunding Revenue Bonds | 5.000% | 12/15/37 | 1,435 | 1,711 | ||
| Austin TX Airport System Revenue | 5.000% | 11/15/26 | 1,120 | 1,347 | ||
| Austin TX Airport System Revenue | 5.000% | 11/15/32 | 1,260 | 1,507 | ||
| Austin TX Community College District Public Facilities Corp. Lease Revenue | 5.000% | 8/1/27 | 1,000 | 1,150 | ||
| Austin TX Electric Utilities Systems Revenue | 5.000% | 11/15/29 | 5,000 | 5,803 | ||
| Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/34 | 1,525 | 2,061 | ||
| Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/37 | 1,000 | 1,196 | ||
| Bexar County TX GO Prere. | 5.000% | 6/15/23 | 3,230 | 3,452 | ||
| Bexar County TX GO Prere. | 5.000% | 6/15/24 | 1,145 | 1,275 | ||
| Brownsville TX Utility System Revenue Prere. | 4.000% | 9/1/23 | 1,000 | 1,060 | ||
| Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/24 | 1,015 | 1,106 | ||
| Central Texas Regional Mobility Authority Revenue | 0.000% | 1/1/25 | 100 | 97 | ||
| Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/25 | 250 | 276 | ||
| Central Texas Regional Mobility Authority Revenue | 0.000% | 1/1/26 | 180 | 171 | ||
| Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/26 | 1,115 | 1,297 | ||
| Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/31 | 900 | 1,175 | ||
| Central Texas Regional Mobility Authority Revenue | 5.000% | 1/1/32 | 1,785 | 2,272 | ||
| Central Texas Regional Mobility Authority Revenue | 4.000% | 1/1/36 | 1,115 | 1,293 | ||
| Central Texas Regional Mobility Authority Revenue | 3.375% | 1/1/41 | 445 | 472 | ||
| Central Texas Regional Mobility Authority Revenue Prere. | 5.000% | 1/1/23 | 565 | 591 | ||
| Central Texas Regional Mobility Authority Revenue Prere. | 5.000% | 7/1/25 | 865 | 999 | ||
| 19 | Clear Creek TX Independent School District PUT | 0.280% | 8/15/24 | 500 | 497 | |
| 19 | Clear Creek TX Independent School District GO | 5.000% | 2/15/34 | 910 | 1,095 | |
| Collin County TX Community College District GO | 4.000% | 8/15/34 | 2,500 | 3,008 | ||
| 19 | Comal Texas Independent School District | 4.000% | 2/1/39 | 5,000 | 5,300 | |
| Conroe TX Local Government Corp. Hotel & Contract Revenue (Conroe Convention Center Hotel) | 5.000% | 10/1/34 | 260 | 335 | ||
| Corpus Christi TX General Improvement Refunding | 5.000% | 3/1/25 | 1,300 | 1,478 | ||
| Dallas County TX Community College District GO | 5.000% | 2/15/26 | 1,000 | 1,170 | ||
| Dallas TX Area Rapid Transit Sales Tax Revenue | 5.000% | 12/1/32 | 2,065 | 2,659 | ||
76
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Dallas TX Area Rapid Transit Sales Tax Revenue Prere. | 5.000% | 12/1/22 | 500 | 522 | ||
| Dallas TX Area Rapid Transit Sales Tax Revenue Prere. | 5.000% | 12/1/25 | 1,670 | 1,957 | ||
| Dallas TX Hotel Occupancy Revenue (Kaufman & Rockall Counties) | 4.000% | 8/15/30 | 1,000 | 1,129 | ||
| 19 | Dallas TX Independent School District | 5.000% | 2/15/30 | 2,200 | 2,490 | |
| 19 | Dallas TX Independent School District GO | 4.000% | 2/15/29 | 2,265 | 2,498 | |
| Dallas TX Waterworks & Sewer System Revenue | 4.000% | 10/1/31 | 1,675 | 1,985 | ||
| Dallas TX Waterworks & Sewer System Revenue ETM | 5.000% | 10/1/22 | 210 | 211 | ||
| Dallas-Fort Worth TX International Airport Revenue | 5.250% | 11/1/29 | 1,000 | 1,088 | ||
| Dallas-Fort Worth TX International Airport Revenue | 5.000% | 11/1/30 | 3,725 | 4,879 | ||
| Dallas-Fort Worth TX International Airport Revenue | 4.000% | 11/1/34 | 1,000 | 1,210 | ||
| Dallas-Fort Worth TX International Airport Revenue | 4.000% | 11/1/35 | 2,020 | 2,439 | ||
| 19 | Dickinson TX Independent School District Revenue PUT | 0.250% | 8/1/23 | 1,000 | 997 | |
| 19 | Eagle Mountain & Saginaw TX Independent School District GO PUT | 2.000% | 8/1/24 | 1,035 | 1,076 | |
| El Paso TX Combination Tax & Revenue Bonds | 4.000% | 8/15/33 | 455 | 551 | ||
| El Paso TX GO | 5.000% | 8/15/28 | 750 | 944 | ||
| El Paso TX GO | 5.000% | 8/15/29 | 575 | 740 | ||
| El Paso TX GO | 5.000% | 8/15/31 | 850 | 1,085 | ||
| El Paso TX GO | 4.000% | 8/15/34 | 1,000 | 1,191 | ||
| El Paso TX GO | 3.000% | 8/15/37 | 765 | 847 | ||
| 19 | El Paso TX Independent School District Revenue | 5.000% | 8/15/42 | 5,000 | 5,827 | |
| 19 | Forney TX Independent School District | 4.000% | 8/15/35 | 1,000 | 1,231 | |
| 8 | Fort Bend County TX Municipal Utility District No. 58 (Unlimited Tax Refunding) | 3.000% | 4/1/35 | 435 | 472 | |
| Fort Bend TX Grand Parkway Toll Road Authority Ltd. | 5.000% | 3/1/29 | 250 | 318 | ||
| Fort Worth TX GO | 5.000% | 3/1/25 | 1,115 | 1,271 | ||
| Fort Worth TX Water & Sewer Revenue | 2.000% | 2/15/23 | 5,000 | 5,100 | ||
| Frisco TX Refunding & Improvement GO | 5.000% | 2/15/28 | 1,425 | 1,622 | ||
| Garland TX Electric Utility System Revenue | 5.000% | 3/1/30 | 675 | 838 | ||
| 19 | Garland TX Independent School District GO | 5.000% | 2/15/22 | 1,025 | 1,031 | |
| 19 | Goose Creek TX Consolidated Independent School District PUT | 0.150% | 10/3/22 | 350 | 350 | |
| 19 | Goose Creek TX Consolidated Independent School District PUT | 0.600% | 8/17/26 | 400 | 395 | |
| 12 | Grand Parkway Transportation Corp. Texas System Toll Revenue, 5.050% coupon rate effective 10/1/2023 | 0.000% | 10/1/30 | 1,550 | 1,799 | |
| Grand Parkway Transportation Corp. TX BAN | 5.000% | 2/1/23 | 2,500 | 2,623 | ||
| Greater Texas Cultural Education Facilities Finance Corp. Revenue | 5.000% | 3/1/32 | 750 | 978 | ||
| 19 | Gregory-Portland Independent School District | 4.000% | 2/15/30 | 2,000 | 2,383 | |
| Guadalupe-Blanco River Authority Revenue | 4.000% | 8/15/38 | 200 | 216 | ||
| Guadalupe-Blanco River Authority Revenue | 4.000% | 8/15/39 | 140 | 151 | ||
| Guadalupe-Blanco River Authority Revenue | 4.000% | 8/15/40 | 130 | 140 | ||
| Guadalupe-Blanco River Authority Revenue | 4.000% | 8/15/41 | 130 | 140 | ||
| Gulf Coast Industrial Development Authority TX Revenue VRDO | 0.090% | 1/3/22 | 4,640 | 4,640 | ||
| 8 | Harlandale TX Independent School District PUT | 2.000% | 8/15/24 | 100 | 101 | |
| Harris County Cultural Education Facilities Finance Corp. Revenue | 3.000% | 10/1/40 | 1,000 | 1,093 | ||
| 11 | Harris County Cultural Education Facilities Finance Corp. Revenue, 1M USD LIBOR + 0.650% PUT | 0.719% | 7/1/24 | 500 | 502 | |
| Harris County Cultural Education Facilities Finance Corp. Revenue VRDO | 0.080% | 1/3/22 | 4,585 | 4,585 | ||
| 2 | Harris County Cultural Education Facilities Finance Corp. Revenue VRDO | 0.080% | 1/3/22 | 7,100 | 7,100 | |
77
Tax-Managed Balanced Fund
78
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/28 | 1,200 | 1,373 | ||
| Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/28 | 1,000 | 1,106 | ||
| Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/34 | 1,120 | 1,379 | ||
| Lower Colorado River Authority Texas Transmission Contract Revenue (LCRA Transmission Services Corp.) | 5.000% | 5/15/36 | 1,085 | 1,389 | ||
| Lower Neches Valley Authority Industrial Development Corp. TX Revenue VRDO | 0.050% | 1/3/22 | 14,875 | 14,875 | ||
| Lubbock TX Electric Light & Power System Revenue | 4.000% | 4/15/39 | 1,685 | 1,985 | ||
| Lubbock TX GO Prere. | 5.000% | 2/15/22 | 500 | 503 | ||
| 19 | Mansfield TX Independent School District GO Prere. | 4.000% | 2/15/23 | 1,265 | 1,319 | |
| 19 | Mansfield TX Independent School District GO Prere. | 5.000% | 2/15/23 | 1,250 | 1,317 | |
| 19 | McKinney TX Independent School District Unlimited Building (Collin County) | 5.000% | 2/15/22 | 250 | 251 | |
| 20 | Mesquite TX Health Facilities Development Corp. Retirement Facility Revenue (Christian Care Centers Inc. Project) | 5.000% | 2/15/24 | 220 | 172 | |
| 19 | Mesquite TX Independent School District GO | 4.000% | 8/15/30 | 1,155 | 1,292 | |
| 19 | Midlothian TX Independent School District Revenue GO PUT | 2.000% | 8/1/24 | 1,005 | 1,039 | |
| Montgomery TX GO | 4.000% | 3/1/30 | 1,840 | 2,170 | ||
| 19 | Montgomery TX Independent School District Refunding Bonds | 4.000% | 2/15/45 | 2,000 | 2,174 | |
| New Hope TX Cultural Education Facilities Finance Corp. First Mortgage Revenue (Morningside Ministries Project) | 6.250% | 1/1/33 | 1,640 | 1,702 | ||
| New Hope TX Cultural Education Facilities Finance Corp. Retirement Facilities Revenue (Westminster Manor Project) | 5.000% | 11/1/26 | 1,060 | 1,203 | ||
| New Hope TX Cultural Education Facilities Finance Corp. Retirement Facilities Revenue (Westminster Manor Project) | 5.000% | 11/1/27 | 1,000 | 1,131 | ||
| New Hope TX Cultural Education Facilities Finance Corp. Retirement Facilities Revenue (Westminster Manor Project) | 5.000% | 11/1/28 | 870 | 981 | ||
| New Hope TX Cultural Education Facilities Finance Corp. Student Housing Revenue (Tarleton State University Project) ETM | 5.000% | 4/1/23 | 200 | 212 | ||
| New Hope TX Cultural Education Facilities Finance Corp. Student Housing Revenue (Tarleton State University Project) ETM | 5.000% | 4/1/24 | 210 | 232 | ||
| New Hope TX Cultural Education Facilities Finance Corp. Student Housing Revenue (Tarleton State University Project) ETM | 5.000% | 4/1/25 | 240 | 275 | ||
| 19 | North East TX Independent School District GO | 5.250% | 2/1/22 | 580 | 582 | |
| North East TX Regional Mobility Authority Revenue | 5.000% | 1/1/30 | 2,390 | 2,731 | ||
| 8 | North Fort Bend Authority TX Water System Revenue | 4.000% | 12/15/33 | 500 | 621 | |
| 8 | North Fort Bend Authority TX Water System Revenue | 3.000% | 12/15/35 | 750 | 834 | |
| 8 | North Fort Bend Authority TX Water System Revenue | 3.000% | 12/15/36 | 585 | 647 | |
| North Texas Municipal Water District Regional Wastewater System Revenue | 5.000% | 6/1/22 | 1,495 | 1,525 | ||
| North Texas Municipal Water District Regional Wastewater System Revenue | 5.000% | 6/1/23 | 1,555 | 1,658 | ||
| North Texas Municipal Water District Regional Wastewater System Revenue | 4.000% | 6/1/31 | 1,500 | 1,735 | ||
79
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/22 | 1,645 | 1,697 | ||
| North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/23 | 1,025 | 1,104 | ||
| North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/33 | 4,000 | 4,620 | ||
| North Texas Municipal Water District Water System Revenue | 5.000% | 9/1/34 | 4,000 | 4,615 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/26 | 1,060 | 1,109 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/27 | 2,625 | 2,858 | ||
| 6 | North Texas Tollway Authority System Revenue | 0.000% | 1/1/28 | 1,000 | 929 | |
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/29 | 1,245 | 1,408 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/30 | 575 | 625 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/32 | 1,820 | 2,047 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/33 | 1,500 | 1,686 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/34 | 1,730 | 1,943 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/35 | 1,060 | 1,190 | ||
| North Texas Tollway Authority System Revenue | 4.000% | 1/1/36 | 1,015 | 1,149 | ||
| 3 | North Texas Tollway Authority System Revenue | 4.000% | 1/1/37 | 1,520 | 1,716 | |
| North Texas Tollway Authority System Revenue | 4.000% | 1/1/37 | 1,030 | 1,187 | ||
| North Texas Tollway Authority System Revenue | 4.000% | 1/1/37 | 1,250 | 1,468 | ||
| North Texas Tollway Authority System Revenue | 5.000% | 1/1/38 | 1,005 | 1,232 | ||
| North Texas Tollway Authority System Revenue | 4.000% | 1/1/39 | 1,000 | 1,203 | ||
| 19 | Northside TX Independent School District | 4.000% | 8/15/33 | 1,125 | 1,376 | |
| 19 | Northside TX Independent School District GO | 5.000% | 8/15/25 | 1,165 | 1,354 | |
| 19 | Northside TX Independent School District GO | 4.000% | 8/15/32 | 1,305 | 1,483 | |
| 19 | Northside TX Independent School District GO PUT | 0.700% | 6/1/25 | 1,000 | 1,001 | |
| 19 | Northwest Independent School District Texas GO | 5.000% | 2/15/26 | 1,000 | 1,146 | |
| 19 | Northwest Independent School District Texas GO | 4.000% | 2/15/38 | 2,400 | 2,889 | |
| 19 | Northwest Independent School District Texas GO Prere. | 5.000% | 2/15/25 | 1,760 | 2,009 | |
| 19 | Palestine Independent School District GO | 5.000% | 2/15/29 | 1,860 | 2,170 | |
| Pasadena TX GO | 4.000% | 2/15/28 | 1,000 | 1,104 | ||
| Pearland TX GO | 4.000% | 3/1/32 | 1,095 | 1,257 | ||
| Pearland TX GO | 4.000% | 3/1/33 | 910 | 1,043 | ||
| Pearland TX Waterworks & Sewer System Revenue | 4.000% | 9/1/32 | 240 | 276 | ||
| Pearland TX Waterworks & Sewer System Revenue | 4.000% | 9/1/33 | 340 | 391 | ||
| Pflugerville TX GO | 4.000% | 8/1/35 | 1,250 | 1,418 | ||
| 19 | Pflugerville TX Independent School District GO | 5.000% | 2/15/25 | 1,600 | 1,827 | |
| Port Authority of Houston of Harris County Revenue | 5.000% | 10/1/29 | 1,000 | 1,294 | ||
| 19 | Richardson Independent School District | 5.000% | 2/15/28 | 1,100 | 1,370 | |
| 19 | Richardson Independent School District GO | 5.000% | 2/15/26 | 3,020 | 3,559 | |
| San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/24 | 1,000 | 1,028 | ||
| San Antonio TX Electric & Gas Systems Revenue | 3.000% | 2/1/30 | 535 | 608 | ||
| San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/30 | 1,000 | 1,190 | ||
| San Antonio TX Electric & Gas Systems Revenue | 3.000% | 2/1/31 | 1,280 | 1,464 | ||
| San Antonio TX Electric & Gas Systems Revenue | 4.000% | 2/1/34 | 1,255 | 1,415 | ||
| San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/34 | 4,050 | 5,204 | ||
| San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/34 | 1,700 | 2,234 | ||
| San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/36 | 1,000 | 1,195 | ||
| San Antonio TX Electric & Gas Systems Revenue PUT | 1.125% | 12/1/26 | 150 | 152 | ||
| San Antonio TX GO | 5.000% | 2/1/26 | 1,000 | 1,141 | ||
| San Antonio TX GO | 4.000% | 8/1/34 | 1,140 | 1,410 | ||
| San Antonio TX GO | 4.000% | 8/1/36 | 1,000 | 1,225 | ||
| San Antonio TX GO Prere. | 4.000% | 8/1/22 | 1,000 | 1,022 | ||
| 19 | San Antonio TX Independent School District GO | 5.000% | 8/15/25 | 1,200 | 1,393 | |
| 19 | San Antonio TX Independent School District GO | 5.000% | 8/15/29 | 1,295 | 1,499 | |
80
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 19 | San Antonio TX Independent School District GO | 5.000% | 8/15/37 | 2,495 | 2,858 | |
| San Antonio TX Municipal Facilities Corp. Lease Revenue (City Tower Renovation Project) | 3.000% | 8/1/34 | 2,305 | 2,554 | ||
| San Antonio TX Water Revenue | 5.000% | 5/15/34 | 1,000 | 1,194 | ||
| San Antonio TX Water Revenue | 5.000% | 5/15/37 | 1,680 | 2,024 | ||
| San Antonio TX Water Revenue | 5.000% | 5/15/38 | 1,440 | 1,781 | ||
| San Antonio TX Water Revenue | 4.000% | 5/15/40 | 3,000 | 3,290 | ||
| San Antonio TX Water Revenue | 4.000% | 5/15/40 | 1,000 | 1,217 | ||
| Southwest Texas Higher Education Authority Inc. Revenue (Southern Methodist University Project) | 4.000% | 10/1/34 | 1,350 | 1,556 | ||
| 19 | Spring TX Independent School District GO | 5.000% | 8/15/32 | 1,000 | 1,153 | |
| 19 | Spring TX Independent School District GO | 5.000% | 8/15/35 | 1,370 | 1,622 | |
| Sugar Land TX GO | 5.000% | 2/15/26 | 510 | 600 | ||
| Tarrant County TX Cultural Education Facilities Finance Corp. Hospital Revenue (Cook Children's Medical Center) | 5.000% | 12/1/25 | 350 | 410 | ||
| Tarrant County TX Cultural Education Facilities Finance Corp. Hospital Revenue (Methodist Hospitals of Dallas) | 5.250% | 10/1/31 | 1,000 | 1,081 | ||
| 2 | Tarrant County TX Cultural Education Facilities Finance Corp. Hospital Revenue (Methodist Hospitals of Dallas) VRDO | 0.090% | 1/3/22 | 3,900 | 3,900 | |
| Tarrant County TX Regional Water District Revenue (Water Control and Improvement District) | 5.000% | 3/1/25 | 1,785 | 2,040 | ||
| Texas A&M University Revenue | 5.000% | 5/15/23 | 1,505 | 1,603 | ||
| 19 | Texas City TX Independent School District GO | 5.000% | 8/15/26 | 3,365 | 3,901 | |
| Texas GO | 5.000% | 10/1/22 | 1,120 | 1,160 | ||
| Texas GO | 5.000% | 4/1/23 | 1,050 | 1,112 | ||
| Texas GO | 5.000% | 10/1/24 | 1,210 | 1,361 | ||
| Texas GO | 5.000% | 10/1/36 | 3,000 | 3,465 | ||
| Texas GO Prere. | 5.000% | 4/1/24 | 1,330 | 1,467 | ||
| Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 5.250% | 12/15/23 | 245 | 268 | ||
| Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 5.250% | 12/15/24 | 580 | 658 | ||
| Texas Municipal Gas Acquisition & Supply Corp I. Revenue | 6.250% | 12/15/26 | 135 | 157 | ||
| Texas Municipal Gas Acquisition & Supply Corp. III Revenue | 5.000% | 12/15/30 | 2,000 | 2,554 | ||
| Texas Municipal Gas Acquisition & Supply Corp. III Revenue | 5.000% | 12/15/31 | 2,000 | 2,597 | ||
| 3 | Texas Municipal Power Agency Revenue | 3.000% | 9/1/31 | 950 | 1,023 | |
| Texas Private Activity Bond Surface Transportation Corp. Revenue (Infrastructure Group LLC I-635 Managed Lanes Project) | 4.000% | 12/31/31 | 1,000 | 1,195 | ||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (Infrastructure Group LLC I-635 Managed Lanes Project) | 4.000% | 6/30/32 | 2,000 | 2,383 | ||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (Infrastructure Group LLC I-635 Managed Lanes Project) | 4.000% | 12/31/35 | 1,000 | 1,177 | ||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (Infrastructure Group LLC I-635 Managed Lanes Project) | 4.000% | 6/30/40 | 2,000 | 2,326 | ||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (Infrastructure Group LLC I-635 Managed Lanes Projects) | 4.000% | 6/30/38 | 1,200 | 1,402 | ||
81
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (Infrastructure Group LLC I-635 Managed Lanes Projects) | 4.000% | 12/31/38 | 1,000 | 1,168 | ||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Project) | 5.000% | 12/31/31 | 1,000 | 1,263 | ||
| Texas Private Activity Bond Surface Transportation Corp. Revenue (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Project) | 5.000% | 12/31/34 | 1,000 | 1,253 | ||
| Texas Public Improvement & Refunding Bonds | 5.000% | 9/1/22 | 3,795 | 3,916 | ||
| Texas Public Property Finance Contractual Obligations | 5.000% | 5/1/23 | 1,395 | 1,483 | ||
| Texas State University System Financing System Revenue | 5.000% | 3/15/32 | 1,625 | 1,952 | ||
| Texas Transportation Commission GO | 5.000% | 10/1/22 | 1,480 | 1,533 | ||
| Texas Transportation Commission GO | 5.000% | 10/1/29 | 1,500 | 1,740 | ||
| Texas Transportation Commission GO | 5.000% | 4/1/32 | 2,000 | 2,354 | ||
| Texas Transportation Commission GO PUT | 0.650% | 4/1/26 | 1,575 | 1,564 | ||
| Texas Transportation Commission Mobility Fund GO | 5.000% | 10/1/34 | 1,705 | 2,094 | ||
| Texas Transportation Commission Revenue | 5.000% | 4/1/23 | 2,100 | 2,225 | ||
| Texas Transportation Commission Turnpike System Revenue | 5.000% | 8/15/33 | 525 | 585 | ||
| Texas Transportation Commission Turnpike System Revenue | 5.000% | 8/15/34 | 895 | 998 | ||
| Texas Transportation Commission Turnpike System Revenue | 5.000% | 8/15/37 | 2,460 | 2,716 | ||
| Texas Water Development Board Revenue | 5.000% | 8/1/25 | 1,350 | 1,566 | ||
| Texas Water Development Board Revenue | 4.000% | 10/15/32 | 1,125 | 1,327 | ||
| Texas Water Development Board Revenue | 4.000% | 10/15/33 | 1,650 | 1,966 | ||
| Texas Water Development Board Revenue | 4.000% | 10/15/34 | 1,465 | 1,742 | ||
| Texas Water Development Board Revenue | 4.000% | 10/15/35 | 2,895 | 3,388 | ||
| Texas Water Development Board Revenue | 4.000% | 10/15/35 | 1,770 | 2,021 | ||
| Texas Water Development Board Revenue | 4.000% | 10/15/36 | 6,130 | 7,610 | ||
| Texas Water Development Board Revenue | 5.000% | 8/1/38 | 5,000 | 6,113 | ||
| Texas Water Development Board State Implementation Revenue Fund (Master Trust) | 3.000% | 10/15/39 | 1,755 | 1,956 | ||
| Travis TX GO | 5.000% | 3/1/27 | 1,545 | 1,828 | ||
| Trinity River Authority of Texas Regional Wastewater System Revenue | 5.000% | 8/1/27 | 1,000 | 1,201 | ||
| Trinity River Authority of Texas Regional Wastewater System Revenue | 4.000% | 8/1/32 | 250 | 310 | ||
| Trinity River Authority of Texas Regional Wastewater System Revenue | 5.000% | 8/1/37 | 1,235 | 1,519 | ||
| 19 | United TX Independent School District GO Prere. | 5.000% | 8/15/24 | 2,550 | 2,858 | |
| University of Houston Texas Revenue | 5.000% | 2/15/28 | 5,000 | 5,873 | ||
| University of Houston Texas Revenue | 3.000% | 2/15/31 | 3,490 | 3,895 | ||
| University of Houston Texas Revenue | 4.000% | 2/15/33 | 1,840 | 2,064 | ||
| University of Houston Texas Revenue | 5.000% | 2/15/33 | 1,500 | 1,755 | ||
| University of Houston Texas Revenue | 5.000% | 2/15/35 | 4,500 | 5,259 | ||
| University of North Texas Revenue | 4.000% | 4/15/34 | 1,110 | 1,281 | ||
| University of North Texas Revenue | 5.000% | 4/15/36 | 1,275 | 1,536 | ||
| University of Texas Financing System Revenue | 2.000% | 8/15/36 | 750 | 751 | ||
| University of Texas System Revenue Financing System Revenue | 5.000% | 8/15/23 | 1,150 | 1,238 | ||
| Waco TX Educational Finance Corp. Revenue (Baylor University) | 5.000% | 3/1/30 | 1,000 | 1,295 | ||
| 8 | West Travis County TX Public Utility Agency Revenue | 5.000% | 8/15/27 | 1,235 | 1,503 | |
82
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| 8 | West Travis County TX Public Utility Agency Revenue | 4.000% | 8/15/32 | 270 | 307 | |
| Williamson County TX GO | 5.000% | 2/15/23 | 230 | 231 | ||
| 482,084 | ||||||
| Utah (0.3%) | ||||||
| Alpine UT School District GO | 5.000% | 3/15/30 | 1,025 | 1,244 | ||
| Central Utah Water Conservancy District Revenue | 4.000% | 10/1/32 | 1,000 | 1,163 | ||
| Granite UT School District Salt Lake County GO | 5.000% | 6/1/23 | 595 | 635 | ||
| Granite UT School District Salt Lake County GO | 5.000% | 6/1/28 | 6,260 | 7,882 | ||
| Jordan Valley UT Water Conservancy District Revenue | 4.000% | 10/1/32 | 750 | 867 | ||
| Tooele County UT School District GO (Utah School Guaranty Program) | 5.000% | 6/1/23 | 1,395 | 1,489 | ||
| Utah County UT Hospital Revenue (IHC Health Services) | 5.000% | 5/15/34 | 750 | 928 | ||
| Utah County UT Hospital Revenue (IHC Health Services) | 5.000% | 5/15/35 | 850 | 1,050 | ||
| Utah GO | 5.000% | 7/1/22 | 1,410 | 1,444 | ||
| Utah GO | 5.000% | 7/1/22 | 7,300 | 7,475 | ||
| Utah GO | 5.000% | 7/1/24 | 1,015 | 1,132 | ||
| Utah Transit Authority Sales Tax Revenue Prere. | 5.000% | 6/15/25 | 1,000 | 1,156 | ||
| Utah Transit Authority Sales Tax Revenue Prere. | 5.000% | 6/15/25 | 1,285 | 1,485 | ||
| Utah Transit Authority Sales Tax Revenue Prere. | 5.000% | 6/15/25 | 585 | 676 | ||
| 3 | Vineyard UT Redevelopment Agency Tax Increment Revenue | 4.000% | 5/1/33 | 150 | 180 | |
| 3 | Vineyard UT Redevelopment Agency Tax Increment Revenue | 4.000% | 5/1/34 | 125 | 150 | |
| 28,956 | ||||||
| Vermont (0.1%) | ||||||
| University of Vermont & State Agricultural College GO | 5.000% | 10/1/38 | 1,000 | 1,439 | ||
| University of Vermont Educational & Health Buildings Financing Agency Revenue | 5.000% | 12/1/28 | 1,010 | 1,189 | ||
| 4 | Vermont Economic Development Authority Mortgage Revenue | 4.000% | 5/1/22 | 185 | 186 | |
| 4 | Vermont Economic Development Authority Mortgage Revenue | 4.000% | 5/1/33 | 1,000 | 1,100 | |
| Vermont GO | 5.000% | 8/15/24 | 2,020 | 2,267 | ||
| 6,181 | ||||||
| Virginia (1.0%) | ||||||
| 2 | Albemarle County VA Economic Development Authority Hospital Revenue (Sentara Martha Jefferson Obliged) VRDO | 0.050% | 1/3/22 | 3,445 | 3,445 | |
| Arlington County VA GO | 5.000% | 6/15/24 | 4,510 | 5,024 | ||
| Arlington County VA GO Prere. | 5.000% | 8/1/22 | 600 | 617 | ||
| Fairfax County VA GO | 5.000% | 10/1/23 | 1,255 | 1,358 | ||
| Fairfax County VA GO | 4.000% | 10/1/32 | 1,415 | 1,637 | ||
| Fairfax County VA Water Authority Revenue Prere. | 5.000% | 4/1/22 | 500 | 506 | ||
| Hampton Roads VA Transportation Accountability Commission Revenue | 5.000% | 7/1/22 | 1,700 | 1,741 | ||
| Hampton Roads VA Transportation Accountability Commission Revenue | 5.000% | 7/1/26 | 3,045 | 3,633 | ||
| 4,5 | Hanover County VA Economic Development Authority Revenue (Covenant Woods) | 4.000% | 7/1/30 | 260 | 280 | |
| Henrico County VA Economic Development Authority Residential Care Facilities Revenue (Westminster Canterbury Richmond) | 4.000% | 10/1/33 | 600 | 684 | ||
| James City County VA Economic Development Authority Revenue (Williamsburg Landing) | 4.000% | 12/1/35 | 225 | 252 | ||
83
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Mosaic VA District Community Development Authority Revenue | 4.000% | 3/1/33 | 750 | 881 | ||
| Norfolk VA Economic Development Authority Hospital Facilities Revenue (Sentara Healthcare) PUT | 5.000% | 11/1/28 | 1,170 | 1,472 | ||
| Norfolk VA GO Prere. | 5.000% | 9/1/24 | 1,090 | 1,224 | ||
| Norfolk VA GO Prere. | 5.000% | 9/1/24 | 1,345 | 1,510 | ||
| Norfolk VA Water Revenue | 5.000% | 11/1/31 | 5 | 5 | ||
| Norfolk VA Water Revenue | 5.000% | 11/1/34 | 1,155 | 1,418 | ||
| Norfolk VA Water Revenue Prere. | 5.000% | 5/1/22 | 495 | 503 | ||
| Portsmouth City VA GO Prere. | 5.000% | 7/15/22 | 5,990 | 6,145 | ||
| Prince William County VA Industrial Development Authority Health Care Facilities Revenue Prere. | 5.000% | 11/1/22 | 1,220 | 1,268 | ||
| Richmond VA GO Prere. | 5.000% | 3/1/23 | 1,000 | 1,055 | ||
| Richmond VA Public Utility Revenue | 5.000% | 1/15/28 | 1,000 | 1,176 | ||
| Roanoke VA Economic Development Authority Hospital Revenue (Carilion Clinic Obligated Group) | 5.000% | 7/1/30 | 500 | 511 | ||
| Stafford County VA Economic Development Authority Hospital Facilities Revenue (Mary Washington Healthcare Obligated Group) | 5.000% | 6/15/24 | 1,120 | 1,242 | ||
| Virginia Beach VA Development Authority Residential Care Facility Revenue (Westminster-Canterbury on Chesapeake Bay) | 5.000% | 9/1/30 | 600 | 694 | ||
| Virginia Beach VA Development Authority Residential Care Facility Revenue (Westminster-Canterbury on Chesapeake Bay) | 5.000% | 9/1/33 | 425 | 489 | ||
| Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 5.000% | 2/1/23 | 5,000 | 5,259 | ||
| Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 5.000% | 2/1/27 | 1,845 | 2,172 | ||
| Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 5.000% | 2/1/27 | 5,000 | 6,079 | ||
| Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 3.000% | 2/1/35 | 1,500 | 1,655 | ||
| Virginia College Building Authority Educational Facilities Revenue (21st Century College & Equipment Programs) | 3.000% | 2/1/40 | 2,100 | 2,326 | ||
| Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 5.000% | 9/1/22 | 70 | 72 | ||
| Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 5.000% | 9/1/23 | 1,020 | 1,100 | ||
| Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 5.000% | 9/1/25 | 1,110 | 1,291 | ||
| Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) | 4.000% | 9/1/36 | 2,130 | 2,496 | ||
| Virginia College Building Authority Educational Facilities Revenue (Public Higher Education Financing Program) ETM | 5.000% | 9/1/22 | 285 | 294 | ||
| Virginia Commonwealth Transportation Board Revenue | 5.000% | 5/15/26 | 1,405 | 1,670 | ||
| Virginia Commonwealth Transportation Board Revenue | 4.000% | 5/15/35 | 1,280 | 1,472 | ||
| Virginia Commonwealth Transportation Board Revenue | 4.000% | 5/15/35 | 1,750 | 2,037 | ||
| Virginia Public Building Authority Public Facilities Revenue | 5.000% | 8/1/23 | 740 | 795 | ||
| Virginia Public Building Authority Public Facilities Revenue | 5.000% | 8/1/24 | 1,250 | 1,398 | ||
84
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Virginia Public Building Authority Revenue | 5.000% | 11/1/31 | 95 | 99 | ||
| Virginia Public School Authority Revenue | 5.000% | 8/1/22 | 1,335 | 1,372 | ||
| Virginia Public School Authority Revenue | 5.000% | 8/1/24 | 6,080 | 6,792 | ||
| Virginia Public School Authority School Technology & Security Notes Revenue | 5.000% | 4/15/23 | 3,450 | 3,659 | ||
| Virginia Public School Authority School Technology & Security Notes Revenue | 5.000% | 4/15/24 | 2,180 | 2,409 | ||
| Virginia Small Business Financing Authority Residential Care Facilities Revenue | 4.000% | 12/1/31 | 500 | 568 | ||
| Virginia ST Resources Authority Infrastructure Revenue Prere. | 5.000% | 11/1/22 | 30 | 31 | ||
| Wise County VA Industrial development Authority Solid Waste & Sewage Disposal Revenue (Virginia Electric & Power Co. Project) PUT | 0.750% | 9/2/25 | 575 | 580 | ||
| 84,396 | ||||||
| Washington (1.4%) | ||||||
| Bellingham WA Water & Sewer Revenue Refunding Bonds | 5.000% | 8/1/25 | 400 | 464 | ||
| Central Kitsap Fire & Rescue GO | 5.000% | 12/1/22 | 2,675 | 2,792 | ||
| Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue | 5.000% | 11/1/26 | 795 | 960 | ||
| Clark County WA School District No. 37 Vancouver Revenue | 5.000% | 12/1/32 | 1,080 | 1,372 | ||
| Energy Northwest Washington Electric Revenue | 5.000% | 7/1/25 | 3,115 | 3,598 | ||
| Energy Northwest Washington Electric Revenue (Columbia Generating Station) | 5.000% | 7/1/31 | 1,225 | 1,407 | ||
| Energy Northwest Washington Electric Revenue (Project No. 3) | 5.000% | 7/1/25 | 7,200 | 8,317 | ||
| Energy Northwest Washington Electric Revenue (Project No. 3) | 5.000% | 7/1/26 | 1,735 | 2,071 | ||
| King County WA GO | 5.000% | 1/1/24 | 500 | 501 | ||
| King County WA GO | 4.000% | 12/1/32 | 1,500 | 1,695 | ||
| King County WA Housing Authority Revenue | 3.000% | 6/1/40 | 1,000 | 1,052 | ||
| King County WA Sewer Revenue | 5.000% | 7/1/23 | 1,000 | 1,071 | ||
| King County, Washington Sewer Improvement & Refunding Revenue Prere. | 5.000% | 7/1/23 | 2,500 | 2,677 | ||
| Mason County WA Public Utility District No. 3 Revenue | 4.000% | 12/1/32 | 1,010 | 1,216 | ||
| Northwest Energy Washington Electric Revenue (Bonneville Power Administration) | 5.000% | 7/1/28 | 2,550 | 2,609 | ||
| Pierce County WA School District No. 3 Puyallup GO | 5.000% | 12/1/25 | 1,000 | 1,043 | ||
| Port of Seattle WA Revenue | 5.000% | 8/1/28 | 1,005 | 1,032 | ||
| Port of Seattle WA Revenue | 5.000% | 8/1/29 | 250 | 257 | ||
| Port of Seattle WA Revenue | 4.000% | 6/1/37 | 3,000 | 3,643 | ||
| 11 | Seattle WA Municipal Light & Power Refunding Revenue, SIFMA Municipal Swap Index Yield + 0.250% PUT | 0.350% | 11/1/26 | 1,000 | 1,008 | |
| Snohomish County WA School District No. 103 (Monroe) GO | 5.000% | 12/1/31 | 1,000 | 1,149 | ||
| Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/27 | 1,000 | 1,130 | ||
| Washington (Motor Vehicle Fuel Tax) GO | 4.000% | 7/1/31 | 1,500 | 1,649 | ||
| Washington Economic Development Finance Authority Lease Revenue (Washington Biomedical Research Properties 2) | 5.000% | 6/1/25 | 1,090 | 1,232 | ||
| Washington GO | 5.000% | 7/1/22 | 1,445 | 1,480 | ||
| Washington GO | 5.000% | 6/1/23 | 2,000 | 2,134 | ||
| Washington GO | 5.000% | 6/1/23 | 4,305 | 4,594 | ||
| Washington GO | 5.000% | 7/1/23 | 1,155 | 1,237 | ||
85
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Washington GO | 5.000% | 7/1/25 | 560 | 573 | ||
| Washington GO | 5.000% | 7/1/25 | 1,500 | 1,671 | ||
| Washington GO | 5.000% | 8/1/26 | 5,105 | 6,112 | ||
| Washington GO | 4.000% | 7/1/27 | 2,425 | 2,470 | ||
| Washington GO | 5.000% | 8/1/27 | 1,000 | 1,155 | ||
| Washington GO | 4.000% | 7/1/28 | 1,135 | 1,156 | ||
| Washington GO | 5.000% | 7/1/28 | 2,000 | 2,260 | ||
| Washington GO | 5.000% | 2/1/29 | 5,530 | 7,073 | ||
| Washington GO | 4.000% | 7/1/29 | 2,720 | 2,858 | ||
| Washington GO | 5.000% | 7/1/30 | 1,100 | 1,243 | ||
| Washington GO | 5.000% | 7/1/32 | 1,250 | 1,410 | ||
| Washington GO | 5.000% | 6/1/34 | 4,080 | 5,450 | ||
| Washington GO | 5.000% | 6/1/35 | 1,500 | 1,952 | ||
| Washington GO | 5.000% | 8/1/36 | 2,150 | 2,686 | ||
| Washington GO | 5.000% | 8/1/37 | 3,685 | 4,101 | ||
| Washington GO | 5.000% | 2/1/38 | 2,370 | 3,109 | ||
| Washington GO | 5.000% | 8/1/38 | 2,070 | 2,578 | ||
| Washington GO | 5.000% | 8/1/38 | 3,275 | 4,349 | ||
| Washington GO Prere. | 5.000% | 2/1/22 | 500 | 502 | ||
| Washington Health Care Facilities Authority Revenue (Central Washington Health Services Association) | 5.000% | 7/1/30 | 1,760 | 1,988 | ||
| Washington Health Care Facilities Authority Revenue (CommonSpirit Health) | 5.000% | 8/1/32 | 1,750 | 2,210 | ||
| Washington Health Care Facilities Authority Revenue (CommonSpirit Health) | 5.000% | 8/1/36 | 1,625 | 2,031 | ||
| Washington Health Care Facilities Authority Revenue (CommonSpirit Health) PUT | 5.000% | 8/1/24 | 1,000 | 1,092 | ||
| Washington Health Care Facilities Authority Revenue (MultiCare Health System) | 5.000% | 8/15/32 | 1,000 | 1,221 | ||
| Washington Health Care Facilities Authority Revenue (Providence Health & Services) | 5.000% | 10/1/33 | 880 | 911 | ||
| Washington Higher Education Facilities Authority Revenue (Seattle University Project) | 5.000% | 10/1/35 | 1,000 | 1,256 | ||
| Washington Higher Education Facilities Authority Revenue (Whitman College Project) | 4.000% | 1/1/36 | 1,685 | 2,017 | ||
| 4 | Washington Higher Education Facilities Authority Revenue (Whitworth University Project) | 4.000% | 10/1/34 | 725 | 846 | |
| Washington State Convention Center Public Facilities District Revenue (Lodging Tax Bonds) | 4.000% | 7/1/31 | 2,025 | 2,349 | ||
| Washington State Convention Center Public Facilities District Revenue (Lodging Tax Bonds) | 3.000% | 7/1/34 | 290 | 313 | ||
| Washington State Housing Finance Commission Municipal Certificates | 3.500% | 12/20/35 | 2,668 | 3,091 | ||
| 125,423 | ||||||
| West Virginia (0.1%) | ||||||
| West Virginia Commissioner of Highways Revenue (Surface Transportation Improvements) | 5.000% | 9/1/33 | 1,170 | 1,421 | ||
| West Virginia Economic Development Authority Lottery Revenue | 4.000% | 6/15/37 | 1,545 | 1,742 | ||
| West Virginia GO | 5.000% | 12/1/35 | 1,000 | 1,245 | ||
| West Virginia GO | 5.000% | 6/1/36 | 1,000 | 1,243 | ||
| West Virginia GO | 5.000% | 6/1/38 | 2,500 | 3,160 | ||
| West Virginia Higher Education Policy Commission Revenue | 5.000% | 7/1/37 | 1,315 | 1,574 | ||
| West Virginia Hospital Finance Authority Hospital Revenue (Cabell Huntington Hospital Inc.) | 5.000% | 1/1/29 | 765 | 951 | ||
86
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| West Virginia Parkways Authority Turnpike Toll Revenue | 5.000% | 6/1/33 | 845 | 1,050 | ||
| West Virginia University Revenue PUT | 5.000% | 10/1/29 | 1,000 | 1,261 | ||
| 13,647 | ||||||
| Wisconsin (0.8%) | ||||||
| Madison WI Area Technical College GO | 4.000% | 3/1/25 | 1,835 | 2,036 | ||
| Madison WI GO | 4.000% | 10/1/26 | 1,500 | 1,731 | ||
| Milwaukee WI GO | 5.000% | 4/1/26 | 1,935 | 2,276 | ||
| Milwaukee WI GO | 5.000% | 4/1/29 | 1,110 | 1,409 | ||
| Public Finance Authority Health Care Facilities Revenue (Appalachian Regional Healthcare System Obligated Group) | 5.000% | 7/1/35 | 300 | 385 | ||
| Public Finance Authority Revenue (Providence St. Joseph Health) PUT | 4.000% | 10/1/30 | 655 | 798 | ||
| Public Finance Authority Revenue (Texas Biomedical Research Institute Project) | 5.000% | 6/1/34 | 650 | 828 | ||
| Wauwatosa WI GO | 4.000% | 12/1/22 | 1,000 | 1,034 | ||
| 3 | Wisconsin Center District Tax Revenue | 0.000% | 12/15/34 | 1,250 | 903 | |
| 3 | Wisconsin Center District Tax Revenue | 0.000% | 12/15/39 | 1,250 | 737 | |
| Wisconsin GO | 5.000% | 5/1/23 | 3,400 | 3,615 | ||
| Wisconsin GO | 4.000% | 5/1/33 | 1,665 | 1,923 | ||
| Wisconsin GO | 5.000% | 5/1/34 | 1,780 | 2,104 | ||
| Wisconsin GO | 5.000% | 5/1/34 | 3,880 | 4,823 | ||
| Wisconsin GO | 5.000% | 5/1/35 | 1,000 | 1,181 | ||
| Wisconsin GO | 5.000% | 5/1/36 | 2,000 | 2,282 | ||
| Wisconsin GO | 5.000% | 5/1/36 | 1,000 | 1,179 | ||
| Wisconsin GO | 5.000% | 5/1/38 | 1,740 | 2,107 | ||
| Wisconsin GO Prere. | 5.000% | 5/1/22 | 500 | 508 | ||
| Wisconsin GO Prere. | 5.000% | 5/1/22 | 35 | 36 | ||
| Wisconsin GO Prere. | 5.000% | 5/1/22 | 2,210 | 2,245 | ||
| Wisconsin GO Prere. | 5.000% | 5/1/23 | 1,000 | 1,063 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Agnesian HealthCare Inc.) | 5.000% | 7/1/31 | 1,065 | 1,279 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Ascension Health Alliance Credit Group) | 4.000% | 11/15/34 | 1,540 | 1,748 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Ascension Health Alliance Credit Group) | 5.000% | 11/15/36 | 2,265 | 2,658 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Aspirus Inc. Obligated Group) | 5.000% | 8/15/25 | 1,670 | 1,789 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Children's Hospital of Wisconsin Inc.) | 4.000% | 8/15/31 | 1,010 | 1,167 | ||
| 2 | Wisconsin Health & Educational Facilities Authority Revenue (Froedtert Health Inc.) VRDO | 0.070% | 1/3/22 | 1,800 | 1,800 | |
| Wisconsin Health & Educational Facilities Authority Revenue (Marquette University) | 5.000% | 10/1/30 | 500 | 517 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Ministry Health Care Inc.) Prere. | 5.000% | 8/15/22 | 3,000 | 3,089 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (Oakwood Lutheran Senior Ministries) | 4.000% | 1/1/29 | 390 | 432 | ||
| Wisconsin Health & Educational Facilities Authority Revenue (ThedaCare Inc. Obligated Group) | 4.000% | 12/15/39 | 1,595 | 1,870 | ||
| Wisconsin Public Finance Authority Exempt Facilities Revenue (Wingate University) | 5.250% | 10/1/32 | 740 | 869 | ||
| Wisconsin Public Finance Authority Hospital Revenue (Renown Regional Medical Center) | 5.000% | 6/1/28 | 750 | 935 | ||
| Wisconsin Public Finance Authority Hospital Revenue (Renown Regional Medical Center) | 5.000% | 6/1/30 | 1,085 | 1,274 | ||
87
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Wisconsin Public Finance Authority Hospital Revenue (Renown Regional Medical Center) | 4.000% | 6/1/39 | 1,000 | 1,176 | ||
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Revenue (United Methodist Retirement Homes) | 4.000% | 10/1/34 | 390 | 448 | ||
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Revenue (United Methodist Retirement Homes) | 4.000% | 10/1/35 | 285 | 327 | ||
| Wisconsin Public Finance Authority Retirement Facilities First Mortgage Revenue (United Methodist Retirement Homes) | 4.000% | 10/1/36 | 435 | 497 | ||
| Wisconsin Public Power System Power Supply System Revenue | 5.000% | 7/1/32 | 500 | 533 | ||
| Wisconsin Transportation Revenue | 5.000% | 7/1/31 | 1,525 | 1,866 | ||
| Wisconsin Transportation Revenue | 5.000% | 7/1/31 | 1,370 | 1,626 | ||
| Wisconsin Transportation Revenue | 5.000% | 7/1/34 | 1,350 | 1,761 | ||
| Wisconsin Transportation Revenue Prere. | 5.000% | 7/1/22 | 275 | 281 | ||
| Wisconsin Transportation Revenue Prere. | 5.000% | 7/1/22 | 970 | 993 | ||
| Wisconsin Transportation Revenue Prere. | 5.000% | 7/1/24 | 2,755 | 3,069 | ||
| 67,207 | ||||||
| Wyoming (0.1%) | ||||||
| Laramie County WY Hospital Revenue (Cheyenne Regional Medical Center Project) | 4.000% | 5/1/29 | 130 | 155 | ||
| Lincoln County WY Pollution Control Revenue (ExxonMobil Project) VRDO | 0.090% | 1/3/22 | 9,035 | 9,035 | ||
88
Tax-Managed Balanced Fund
| Coupon | Maturity Date | Face Amount ($000) | Market Value• ($000) | |||
| Sublette County WY Pollution Control Revenue VRDO | 0.090% | 1/3/22 | 2,500 | 2,500 | ||
| 8 | Wyoming Municipal Power Agency Power Supply Revenue Prere. | 5.000% | 1/1/27 | 1,000 | 1,210 | |
| 12,900 | ||||||
| Total Tax-Exempt Municipal Bonds (Cost $4,371,315) | 4,533,970 | |||||
| Total Investments (99.5%) (Cost $5,853,035) | 8,770,180 | |||||
| Other Assets and Liabilities—Net (0.5%) | 45,483 | |||||
| Net Assets (100%) | 8,815,663 | |||||
| Cost is in $000. | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group. |
| 2 | Scheduled principal and interest payments are guaranteed by bank letter of credit. |
| 3 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp. |
| 4 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2021. |
| 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 December 31, 2021, the aggregate value was $35,343,000, representing 0.4% of net assets. |
| 6 | Scheduled principal and interest payments are guaranteed by Assured Guaranty Corp. |
| 7 | Scheduled principal and interest payments are guaranteed by Financial Guaranty Insurance Co. |
| 8 | Scheduled principal and interest payments are guaranteed by Build America Mutual Assurance Co. |
| 9 | Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp. |
| 10 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
| 11 | 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. |
| 12 | Step bond. |
| 13 | Securities with a value of $880,000 have been segregated as initial margin for open futures contracts. |
| 14 | Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association. |
| 15 | Scheduled principal and interest payments are guaranteed by Michigan School Board Loan Fund. |
| 16 | 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. |
| 17 | Scheduled principal and interest payments are guaranteed by Berkshire Hathaway Assurance Corp. |
| 18 | Scheduled principal and interest payments are guaranteed by Federal Housing Authority. |
| 19 | Scheduled principal and interest payments are guaranteed by Texas Permanent School Fund. |
| 20 | Non-income-producing security—security in default. |
| 1M—1-month. | |
| BAN—Bond Anticipation Note. | |
| COP—Certificate of Participation. | |
| ETM—Escrowed to Maturity. | |
| GAN—Grant Anticipation Note. | |
| GO—General Obligation Bond. | |
| LIBOR—London Interbank Offered Rate. | |
| Prere.—Prerefunded. | |
| PUT—Put Option Obligation. | |
| REIT—Real Estate Investment Trust. | |
| SIFMA—Securities Industry and Financial Markets Association. | |
| SOFR—Secured Overnight Financing Rate. | |
| TOB—Tender Option Bond. | |
| USD—U.S. dollar. | |
| VRDO—Variable Rate Demand Obligation. |
89
Tax-Managed Balanced Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| 5-Year U.S. Treasury Note | March 2022 | 375 | 45,366 | 197 |
| E-mini S&P 500 Index | March 2022 | 400 | 95,170 | 1,936 |
| 2,133 | ||||
| Short Futures Contracts | ||||
| Ultra 10-Year U.S. Treasury Note | March 2022 | (163) | (23,869) | (161) |
| Ultra Long U.S. Treasury Bond | March 2022 | (64) | (12,616) | (200) |
| (361) | ||||
| 1,772 | ||||
See accompanying
Notes, which are an integral part of the Financial Statements.
90
Tax-Managed Balanced Fund
Statement of Assets and Liabilities
As of December 31, 2021
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $5,798,277) | 8,714,224 |
| Affiliated Issuers (Cost $54,758) | 55,956 |
| Total Investments in Securities | 8,770,180 |
| Investment in Vanguard | 281 |
| Cash | 44,495 |
| Cash Collateral Pledged—Futures Contracts | 4,216 |
| Receivables for Accrued Income | 47,582 |
| Receivables for Capital Shares Issued | 7,854 |
| Total Assets | 8,874,608 |
| Liabilities | |
| Payables for Investment Securities Purchased | 55,585 |
| Payables for Capital Shares Redeemed | 2,644 |
| Payables to Vanguard | 344 |
| Variation Margin Payable—Futures Contracts | 372 |
| Total Liabilities | 58,945 |
| Net Assets | 8,815,663 |
| At December 31, 2021, net assets consisted of: | |
| Paid-in Capital | 5,967,205 |
| Total Distributable Earnings (Loss) | 2,848,458 |
| Net Assets | 8,815,663 |
| Net Assets | |
| Applicable to 207,778,348 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,815,663 |
| Net Asset Value Per Share | $42.43 |
See accompanying Notes, which are an
integral part of the Financial Statements.
91
Tax-Managed Balanced Fund
Statement of Operations
| Year Ended December 31, 2021 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1,2 | 45,534 |
| Interest | 81,591 |
| Total Income | 127,125 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 569 |
| Management and Administrative | 6,123 |
| Marketing and Distribution | 264 |
| Custodian Fees | 14 |
| Auditing Fees | 30 |
| Shareholders’ Reports | 54 |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 7,056 |
| Net Investment Income | 120,069 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,3 | 41,976 |
| Futures Contracts | 14,030 |
| Realized Net Gain (Loss) | 56,006 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 776,235 |
| Futures Contracts | 562 |
| Change in Unrealized Appreciation (Depreciation) | 776,797 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 952,872 |
| 1 | Dividend income, realized net gain (loss), and change in unrealized appreciation (depreciation) from affiliated company of the fund were $889,000, $240,000, and ($394,000), respectively. Purchases and sales were $46,621,000 and $59,197,000, respectively. |
| 2 | Dividends are net of foreign withholding taxes of $7,000. |
| 3 | Includes $40,083,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
92
Tax-Managed Balanced Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2021 ($000) | 2020 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 120,069 | 113,355 |
| Realized Net Gain (Loss) | 56,006 | (25,790) |
| Change in Unrealized Appreciation (Depreciation) | 776,797 | 659,620 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 952,872 | 747,185 |
| Distributions | ||
| Total Distributions | (114,715) | (113,354) |
| Capital Share Transactions | ||
| Issued | 1,671,876 | 1,240,383 |
| Issued in Lieu of Cash Distributions | 94,308 | 93,196 |
| Redeemed | (647,530) | (917,289) |
| Net Increase (Decrease) from Capital Share Transactions | 1,118,654 | 416,290 |
| Total Increase (Decrease) | 1,956,811 | 1,050,121 |
| Net Assets | ||
| Beginning of Period | 6,858,852 | 5,808,731 |
| End of Period | 8,815,663 | 6,858,852 |
See accompanying Notes, which are an
integral part of the Financial Statements.
93
Tax-Managed Balanced Fund
Financial Highlights
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $38.06 | $34.25 | $29.65 | $30.73 | $27.85 |
| Investment Operations | |||||
| Net Investment Income1 | .620 | .658 | .701 | .688 | .622 |
| Net Realized and Unrealized Gain (Loss) on Investments | 4.335 | 3.808 | 4.603 | (1.110) | 2.871 |
| Total from Investment Operations | 4.955 | 4.466 | 5.304 | (.422) | 3.493 |
| Distributions | |||||
| Dividends from Net Investment Income2 | (.585) | (.656) | (.704) | (.658) | (.613) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.585) | (.656) | (.704) | (.658) | (.613) |
| Net Asset Value, End of Period | $42.43 | $38.06 | $34.25 | $29.65 | $30.73 |
| Total Return3 | 13.10% | 13.30% | 18.01% | -1.43% | 12.64% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $8,816 | $6,859 | $5,809 | $4,370 | $3,930 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 1.53% | 1.90% | 2.16% | 2.22% | 2.11% |
| Portfolio Turnover Rate4 | 6% | 20% | 12% | 11% | 9% |
| 1 | Calculated based on average shares outstanding. |
| 2 | For tax purposes, nontaxable dividends represent 63%, 62%, 61%, 61%, and 61% of dividends from net investment income. |
| 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 | 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.
94
Tax-Managed Balanced Fund
Notes to Financial Statements
Vanguard Tax-Managed Balanced
Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in debt instruments of many municipal issuers; the issuers’ abilities to meet their
obligations may be affected by economic and political developments in a specific state or region. Many municipalities insure repayment of their bonds. The insurance does not guarantee the market value of the municipal
bonds.
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. Bonds and temporary cash
investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent
pricing services. Securities for which market quotations are not readily available, or whose values have been 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.
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 fund also 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 bonds or stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk
involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors
the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s
performance and requires daily settlement of variation margin representing changes in the market value of each contract. 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.
95
Tax-Managed Balanced Fund
During the year ended December
31, 2021, the fund’s average investments in long and short futures contracts represented 1% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
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 December
31, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income 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
96
Tax-Managed Balanced Fund
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 December 31, 2021, the fund had contributed to Vanguard capital in the amount of $281,000, representing less than 0.01% of the fund’s
net assets and 0.11% 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 December 31, 2021, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 4,236,210 | — | — | 4,236,210 |
| Tax-Exempt Municipal Bonds | — | 4,533,970 | — | 4,533,970 |
| Total | 4,236,210 | 4,533,970 | — | 8,770,180 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 2,133 | — | — | 2,133 |
| Liabilities | ||||
| Futures Contracts1 | 361 | — | — | 361 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| 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 |
97
Tax-Managed Balanced Fund
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 | 39,905 |
| Total Distributable Earnings (Loss) | (39,905) |
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 recognition of unrealized gains from passive foreign investment companies; and the treatment of 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 Tax-Exempt Income | 1,590 |
| Undistributed Ordinary Income | 643 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards | (70,573) |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 2,916,803 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2021 Amount ($000) | 2020 Amount ($000) | |
| Tax-Exempt Income | 72,217 | 69,539 |
| Ordinary Income | 42,498 | 43,815 |
| Long-Term Capital Gains | — | — |
| Total | 114,715 | 113,354 |
98
Tax-Managed Balanced Fund
As of December 31, 2021,
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 | 5,853,377 |
| Gross Unrealized Appreciation | 2,939,279 |
| Gross Unrealized Depreciation | (22,476) |
| Net Unrealized Appreciation (Depreciation) | 2,916,803 |
| E. | During the year ended December 31, 2021, the fund purchased $1,568,507,000 of investment securities and sold $524,476,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $68,904,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2021, such purchases were $280,163,000 and sales were $268,805,000, resulting in net realized gain (loss) of $0; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
| F. | Capital shares issued and redeemed were: |
| Year Ended December 31, | |||
| 2021 Shares (000) | 2020 Shares (000) | ||
| Issued | 41,347 | 35,874 | |
| Issued in Lieu of Cash Distributions | 2,319 | 2,756 | |
| Redeemed | (16,078) | (28,026) | |
| Net Increase (Decrease) in Shares Outstanding | 27,588 | 10,604 | |
| G. | Management has determined that no events or transactions occurred subsequent to December 31, 2021, that would require recognition or disclosure in these financial statements. |
99
Tax-Managed Capital Appreciation 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:
December 31, 2011, Through December 31, 2021
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2021 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Tax-Managed Capital Appreciation Fund Admiral Shares | 26.87% | 18.62% | 16.69% | $46,811 |
|
| Russell 1000 Index | 26.45 | 18.43 | 16.54 | 46,224 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 25.66 | 17.92 | 16.24 | 45,050 |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Tax-Managed Capital Appreciation Fund Institutional Shares | 26.91% | 18.65% | 16.73% | $23,485,717 | |
| Russell 1000 Index | 26.45 | 18.43 | 16.54 | 23,111,795 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 25.66 | 17.92 | 16.24 | 22,525,162 | |
See Financial
Highlights for dividend and capital gains information.
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Tax-Managed Capital Appreciation Fund
Fund Allocation
As of December 31, 2021
| Basic Materials | 1.5% |
| Consumer Discretionary | 16.4 |
| Consumer Staples | 4.8 |
| Energy | 2.7 |
| Financials | 10.6 |
| Health Care | 12.3 |
| Industrials | 13.0 |
| Real Estate | 3.4 |
| Technology | 30.1 |
| Telecommunications | 2.6 |
| Utilities | 2.6 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
101
Tax-Managed Capital Appreciation Fund
Financial Statements
Schedule of Investments
As of December 31, 2021
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.
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Tax-Managed Capital Appreciation Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2022 | 518 | 123,245 | 1,747 |
See accompanying
Notes, which are an integral part of the Financial Statements.
112
Tax-Managed Capital Appreciation Fund
Statement of Assets and Liabilities
As of December 31, 2021
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $5,549,262) | 18,269,051 |
| Affiliated Issuers (Cost $108,822) | 108,815 |
| Total Investments in Securities | 18,377,866 |
| Investment in Vanguard | 581 |
| Cash Collateral Pledged—Futures Contracts | 5,962 |
| Receivables for Accrued Income | 9,148 |
| Receivables for Capital Shares Issued | 5,557 |
| Total Assets | 18,399,114 |
| Liabilities | |
| Due to Custodian | 1 |
| Payables for Investment Securities Purchased | 6 |
| Payables for Capital Shares Redeemed | 2,541 |
| Payables to Vanguard | 683 |
| Variation Margin Payable—Futures Contracts | 356 |
| Total Liabilities | 3,587 |
| Net Assets | 18,395,527 |
| At December 31, 2021, net assets consisted of: | |
| Paid-in Capital | 5,934,193 |
| Total Distributable Earnings (Loss) | 12,461,334 |
| Net Assets | 18,395,527 |
| Admiral Shares—Net Assets | |
| Applicable to 63,929,831 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,849,778 |
| Net Asset Value Per Share—Admiral Shares | $247.92 |
| Institutional Shares—Net Assets | |
| Applicable to 20,667,575 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,545,749 |
| Net Asset Value Per Share—Institutional Shares | $123.18 |
See accompanying Notes, which are an
integral part of the Financial Statements.
113
Tax-Managed Capital Appreciation Fund
Statement of Operations
| Year Ended December 31, 2021 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 200,680 |
| Interest2 | 36 |
| Total Income | 200,716 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,384 |
| Management and Administrative—Admiral Shares | 10,371 |
| Management and Administrative—Institutional Shares | 878 |
| Marketing and Distribution—Admiral Shares | 393 |
| Marketing and Distribution—Institutional Shares | 32 |
| Custodian Fees | 17 |
| Auditing Fees | 31 |
| Shareholders’ Reports—Admiral Shares | 45 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Trustees’ Fees and Expenses | 5 |
| Total Expenses | 14,157 |
| Net Investment Income | 186,559 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 427,603 |
| Futures Contracts | 11,608 |
| Realized Net Gain (Loss) | 439,211 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 3,236,839 |
| Futures Contracts | 1,497 |
| Change in Unrealized Appreciation (Depreciation) | 3,238,336 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,864,106 |
| 1 | Dividends are net of foreign withholding taxes of $29,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $36,000, ($6,000), $2,000, and ($7,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $392,083,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
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Tax-Managed Capital Appreciation Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2021 ($000) | 2020 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 186,559 | 190,493 |
| Realized Net Gain (Loss) | 439,211 | (81,997) |
| Change in Unrealized Appreciation (Depreciation) | 3,238,336 | 2,311,172 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,864,106 | 2,419,668 |
| Distributions | ||
| Admiral Shares | (165,377) | (166,755) |
| Institutional Shares | (24,347) | (19,301) |
| Total Distributions | (189,724) | (186,056) |
| Capital Share Transactions | ||
| Admiral Shares | 80,691 | (56,921) |
| Institutional Shares | 470,623 | 190,473 |
| Net Increase (Decrease) from Capital Share Transactions | 551,314 | 133,552 |
| Total Increase (Decrease) | 4,225,696 | 2,367,164 |
| Net Assets | ||
| Beginning of Period | 14,169,831 | 11,802,667 |
| End of Period | 18,395,527 | 14,169,831 |
See accompanying Notes, which are an
integral part of the Financial Statements.
115
Tax-Managed Capital Appreciation Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $197.63 | $165.93 | $128.29 | $137.30 | $114.08 |
| Investment Operations | |||||
| Net Investment Income1 | 2.542 | 2.666 | 2.557 | 2.385 | 2.166 |
| Net Realized and Unrealized Gain (Loss) on Investments | 50.328 | 31.640 | 37.603 | (9.045) | 23.211 |
| Total from Investment Operations | 52.870 | 34.306 | 40.160 | (6.660) | 25.377 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.580) | (2.606) | (2.520) | (2.350) | (2.157) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.580) | (2.606) | (2.520) | (2.350) | (2.157) |
| Net Asset Value, End of Period | $247.92 | $197.63 | $165.93 | $128.29 | $137.30 |
| Total Return2 | 26.87% | 21.07% | 31.46% | -4.97% | 22.40% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $15,850 | $12,543 | $10,579 | $7,951 | $8,143 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 1.13% | 1.60% | 1.70% | 1.69% | 1.73% |
| Portfolio Turnover Rate3 | 0% | 6% | 5% | 6% | 7% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
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Tax-Managed Capital Appreciation Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $98.19 | $82.46 | $63.75 | $68.23 | $56.69 |
| Investment Operations | |||||
| Net Investment Income1 | 1.304 | 1.360 | 1.292 | 1.207 | 1.099 |
| Net Realized and Unrealized Gain (Loss) on Investments | 25.002 | 15.690 | 18.693 | (4.499) | 11.531 |
| Total from Investment Operations | 26.306 | 17.050 | 19.985 | (3.292) | 12.630 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.316) | (1.320) | (1.275) | (1.188) | (1.090) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.316) | (1.320) | (1.275) | (1.188) | (1.090) |
| Net Asset Value, End of Period | $123.18 | $98.19 | $82.46 | $63.75 | $68.23 |
| Total Return | 26.91% | 21.08% | 31.51% | -4.95% | 22.43% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,546 | $1,627 | $1,223 | $952 | $1,006 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 1.17% | 1.63% | 1.73% | 1.72% | 1.76% |
| Portfolio Turnover Rate2 | 0% | 6% | 5% | 6% | 7% |
| 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.
117
Tax-Managed Capital Appreciation Fund
Notes to Financial Statements
Vanguard Tax-Managed Capital
Appreciation 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: 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.
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.
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 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 December
31, 2021, 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.
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
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Tax-Managed Capital Appreciation Fund
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 December
31, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. 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.
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Tax-Managed Capital Appreciation Fund
| 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 December 31, 2021, the fund had contributed to Vanguard capital in the amount of $581,000, representing less than 0.01% of the fund’s
net assets and 0.23% 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.
At December 31, 2021, 100% of
the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
| 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 | 392,083 |
| Total Distributable Earnings (Loss) | (392,083) |
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 classification of securities for
120
Tax-Managed Capital Appreciation Fund
tax purposes. 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 | 2,521 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards | (260,904) |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 12,719,717 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2021 Amount ($000) | 2020 Amount ($000) | |
| Ordinary Income* | 189,724 | 186,056 |
| Long-Term Capital Gains | — | — |
| Total | 189,724 | 186,056 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2021,
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 | 5,658,149 |
| Gross Unrealized Appreciation | 12,871,272 |
| Gross Unrealized Depreciation | (151,555) |
| Net Unrealized Appreciation (Depreciation) | 12,719,717 |
| E. | During the year ended December 31, 2021, the fund purchased $1,073,431,000 of investment securities and sold $613,370,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $543,707,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2021, such purchases were $102,206,000 and sales were $0; these amounts, other than temporary cash investments, are included in the purchases and sales of
investment securities noted above.
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Tax-Managed Capital Appreciation Fund
| F. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2021 | 2020 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Admiral Shares | |||||
| Issued | 1,597,362 | 7,167 | 1,194,481 | 7,559 | |
| Issued in Lieu of Cash Distributions | 112,437 | 493 | 114,425 | 723 | |
| Redeemed | (1,629,108) | (7,197) | (1,365,827) | (8,571) | |
| Net Increase (Decrease)—Admiral Shares | 80,691 | 463 | (56,921) | (289) | |
| Institutional Shares | |||||
| Issued | 539,021 | 4,683 | 374,832 | 4,366 | |
| Issued in Lieu of Cash Distributions | 13,873 | 123 | 10,490 | 131 | |
| Redeemed | (82,271) | (708) | (194,849) | (2,764) | |
| Net Increase (Decrease)—Institutional Shares | 470,623 | 4,098 | 190,473 | 1,733 | |
| G. | Management has determined that no events or transactions occurred subsequent to December 31, 2021, that would require recognition or disclosure in these financial statements. |
122
Tax-Managed Small-Cap 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:
December 31, 2011, Through December 31, 2021
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2021 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Tax-Managed Small-Cap Fund Admiral Shares | 27.08% | 12.44% | 14.44% | $38,545 |
|
| S&P SmallCap 600 Index | 26.82 | 12.42 | 14.50 | 38,729 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 25.66 | 17.92 | 16.24 | 45,050 |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Tax-Managed Small-Cap Fund Institutional Shares | 27.11% | 12.47% | 14.48% | $19,337,218 | |
| S&P SmallCap 600 Index | 26.82 | 12.42 | 14.50 | 19,364,657 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 25.66 | 17.92 | 16.24 | 22,525,162 | |
See Financial
Highlights for dividend and capital gains information.
123
Tax-Managed Small-Cap Fund
Fund Allocation
As of December 31, 2021
| Communication Services | 1.7% |
| Consumer Discretionary | 12.1 |
| Consumer Staples | 4.6 |
| Energy | 4.7 |
| Financials | 18.8 |
| Health Care | 12.4 |
| Industrials | 17.0 |
| Information Technology | 13.8 |
| Materials | 5.0 |
| Real Estate | 8.0 |
| Utilities | 1.9 |
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.
124
Tax-Managed Small-Cap Fund
Financial Statements
Schedule of Investments
As of December 31, 2021
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.
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Tax-Managed Small-Cap Fund
| Shares | Market Value• ($000) | |||||
| Whitestone REIT | 318,156 | 3,223 | ||||
| Universal Health Realty Income Trust | 52,745 | 3,137 | ||||
| 761,210 | ||||||
| Utilities (2.0%) | ||||||
| American States Water Co. | 351,321 | 36,340 | ||||
| California Water Service Group | 467,013 | 33,559 | ||||
| Avista Corp. | 634,307 | 26,952 | ||||
| South Jersey Industries Inc. | 1,020,318 | 26,651 | ||||
| Chesapeake Utilities Corp. | 151,071 | 22,028 | ||||
| Middlesex Water Co. | 152,634 | 18,362 | ||||
| Northwest Natural Holding Co. | 316,770 | 15,452 | ||||
| Unitil Corp. | 125,875 | 5,789 | ||||
| 185,133 | ||||||
| Total Common Stocks (Cost $5,300,531) | 9,499,864 | |||||
| Temporary Cash Investments (0.1%) | ||||||
| Money Market Fund (0.1%) | ||||||
| 2 | Vanguard Market Liquidity Fund, 0.090% (Cost $12,917) | 129,181 | 12,917 | |||
| Total Investments (99.9%) (Cost $5,313,448) | 9,512,781 | |||||
| Other Assets and Liabilities—Net (0.1%) | 7,390 | |||||
| Net Assets (100%) | 9,520,171 | |||||
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Security value determined using significant unobservable inputs. |
| 2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| CVR—Contingent Value Rights. | |
| REIT—Real Estate Investment Trust. |
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Tax-Managed Small-Cap Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini Russell 2000 Index | March 2022 | 177 | 19,849 | 88 |
See accompanying
Notes, which are an integral part of the Financial Statements.
133
Tax-Managed Small-Cap Fund
Statement of Assets and Liabilities
As of December 31, 2021
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $5,300,531) | 9,499,864 |
| Affiliated Issuers (Cost $12,917) | 12,917 |
| Total Investments in Securities | 9,512,781 |
| Investment in Vanguard | 301 |
| Cash Collateral Pledged—Futures Contracts | 1,515 |
| Receivables for Investment Securities Sold | 5,083 |
| Receivables for Accrued Income | 9,673 |
| Receivables for Capital Shares Issued | 2,545 |
| Total Assets | 9,531,898 |
| Liabilities | |
| Due to Custodian | 1 |
| Payables for Investment Securities Purchased | 8,388 |
| Payables for Capital Shares Redeemed | 2,945 |
| Payables to Vanguard | 357 |
| Variation Margin Payable—Futures Contracts | 36 |
| Total Liabilities | 11,727 |
| Net Assets | 9,520,171 |
| At December 31, 2021, net assets consisted of: | |
| Paid-in Capital | 6,091,940 |
| Total Distributable Earnings (Loss) | 3,428,231 |
| Net Assets | 9,520,171 |
| Admiral Shares—Net Assets | |
| Applicable to 92,519,227 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,630,771 |
| Net Asset Value Per Share—Admiral Shares | $93.29 |
| Institutional Shares—Net Assets | |
| Applicable to 9,512,637 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 889,400 |
| Net Asset Value Per Share—Institutional Shares | $93.50 |
See accompanying Notes, which are an
integral part of the Financial Statements.
134
Tax-Managed Small-Cap Fund
Statement of Operations
| Year Ended December 31, 2021 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 117,950 |
| Interest2 | 21 |
| Total Income | 117,971 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,350 |
| Management and Administrative—Admiral Shares | 5,763 |
| Management and Administrative—Institutional Shares | 331 |
| Marketing and Distribution—Admiral Shares | 272 |
| Marketing and Distribution—Institutional Shares | 16 |
| Custodian Fees | 16 |
| Auditing Fees | 31 |
| Shareholders’ Reports—Admiral Shares | 54 |
| Shareholders’ Reports—Institutional Shares | 3 |
| Trustees’ Fees and Expenses | 3 |
| Total Expenses | 7,839 |
| Net Investment Income | 110,132 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 672,712 |
| Futures Contracts | 4,990 |
| Realized Net Gain (Loss) | 677,702 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 1,211,660 |
| Futures Contracts | (635) |
| Change in Unrealized Appreciation (Depreciation) | 1,211,025 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,998,859 |
| 1 | Dividends are net of foreign withholding taxes of $37,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $21,000, ($2,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $489,031,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
135
Tax-Managed Small-Cap Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2021 ($000) | 2020 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 110,132 | 83,232 |
| Realized Net Gain (Loss) | 677,702 | (216,457) |
| Change in Unrealized Appreciation (Depreciation) | 1,211,025 | 763,586 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,998,859 | 630,361 |
| Distributions | ||
| Admiral Shares | (99,967) | (73,881) |
| Institutional Shares | (10,011) | (7,189) |
| Total Distributions | (109,978) | (81,070) |
| Capital Share Transactions | ||
| Admiral Shares | 216,002 | (307,848) |
| Institutional Shares | 80,506 | (5,978) |
| Net Increase (Decrease) from Capital Share Transactions | 296,508 | (313,826) |
| Total Increase (Decrease) | 2,185,389 | 235,465 |
| Net Assets | ||
| Beginning of Period | 7,334,782 | 7,099,317 |
| End of Period | 9,520,171 | 7,334,782 |
See accompanying Notes, which are an
integral part of the Financial Statements.
136
Tax-Managed Small-Cap Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $74.30 | $67.84 | $55.70 | $61.63 | $55.16 |
| Investment Operations | |||||
| Net Investment Income1 | 1.090 | .819 | .772 | .737 | .666 |
| Net Realized and Unrealized Gain (Loss) on Investments | 18.985 | 6.451 | 12.146 | (5.965) | 6.486 |
| Total from Investment Operations | 20.075 | 7.270 | 12.918 | (5.228) | 7.152 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.085) | (.810) | (.778) | (.702) | (.664) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Return of Capital | — | — | — | — | (.018) |
| Total Distributions | (1.085) | (.810) | (.778) | (.702) | (.682) |
| Net Asset Value, End of Period | $93.29 | $74.30 | $67.84 | $55.70 | $61.63 |
| Total Return2 | 27.08% | 11.05% | 23.28% | -8.62% | 13.05% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $8,631 | $6,689 | $6,506 | $5,304 | $5,428 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 1.22% | 1.39% | 1.23% | 1.13% | 1.17% |
| Portfolio Turnover Rate3 | 9% | 31% | 53% | 29% | 37% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
137
Tax-Managed Small-Cap Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $74.47 | $67.99 | $55.83 | $61.77 | $55.29 |
| Investment Operations | |||||
| Net Investment Income1 | 1.126 | .844 | .794 | .755 | .693 |
| Net Realized and Unrealized Gain (Loss) on Investments | 19.019 | 6.466 | 12.164 | (5.972) | 6.488 |
| Total from Investment Operations | 20.145 | 7.310 | 12.958 | (5.217) | 7.181 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.115) | (.830) | (.798) | (.723) | (.683) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Return of Capital | — | — | — | — | (.018) |
| Total Distributions | (1.115) | (.830) | (.798) | (.723) | (.701) |
| Net Asset Value, End of Period | $93.50 | $74.47 | $67.99 | $55.83 | $61.77 |
| Total Return | 27.11% | 11.10% | 23.30% | -8.59% | 13.08% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $889 | $646 | $593 | $473 | $492 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 1.26% | 1.42% | 1.26% | 1.16% | 1.20% |
| Portfolio Turnover Rate2 | 9% | 31% | 53% | 29% | 37% |
| 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.
138
Tax-Managed Small-Cap Fund
Notes to Financial Statements
Vanguard Tax-Managed Small-Cap
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: 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.
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 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 December
31, 2021, 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.
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Tax-Managed Small-Cap 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 December
31, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
6. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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.
140
Tax-Managed Small-Cap Fund
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. |
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2021, the fund had contributed to Vanguard capital in the amount of $301,000, representing less than 0.01% of the fund’s
net assets and 0.12% 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 December 31, 2021, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 9,499,864 | — | — | 9,499,864 |
| Temporary Cash Investments | 12,917 | — | — | 12,917 |
| Total | 9,512,781 | — | — | 9,512,781 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 88 | — | — | 88 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| 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 |
141
Tax-Managed Small-Cap Fund
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 | 489,031 |
| Total Distributable Earnings (Loss) | (489,031) |
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 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 | 1,596 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards | (764,498) |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 4,191,133 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2021 Amount ($000) | 2020 Amount ($000) | |
| Ordinary Income* | 109,978 | 81,070 |
| Long-Term Capital Gains | — | — |
| Total | 109,978 | 81,070 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2021,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
142
Tax-Managed Small-Cap Fund
| E. | During the year ended December 31, 2021, the fund purchased $1,752,008,000 of investment securities and sold $1,432,104,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $654,470,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2021, such purchases were $50,418,000 and sales were $77,627,000, resulting in net realized gain of $37,617,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
| F. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2021 | 2020 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Admiral Shares | |||||
| Issued | 1,514,849 | 17,250 | 1,131,338 | 20,286 | |
| Issued in Lieu of Cash Distributions | 70,145 | 778 | 52,404 | 905 | |
| Redeemed | (1,368,992) | (15,531) | (1,491,590) | (27,073) | |
| Net Increase (Decrease)—Admiral Shares | 216,002 | 2,497 | (307,848) | (5,882) | |
| Institutional Shares | |||||
| Issued | 140,767 | 1,520 | 66,229 | 1,208 | |
| Issued in Lieu of Cash Distributions | 6,056 | 67 | 4,490 | 77 | |
| Redeemed | (66,317) | (745) | (76,697) | (1,343) | |
| Net Increase (Decrease)—Institutional Shares | 80,506 | 842 | (5,978) | (58) | |
| G. | Management has determined that no events or transactions occurred subsequent to December 31, 2021, that would require recognition or disclosure in these financial statements. |
143
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard
Tax-Managed Funds and Shareholders of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund and Vanguard Tax-Managed Small-Cap Fund
Opinions on the Financial
Statements
We have audited the accompanying statements
of assets and liabilities, including the schedules of investments, of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund and Vanguard Tax-Managed Small-Cap Fund (three of the funds
constituting Vanguard Tax-Managed Funds, hereafter collectively referred to as the "Funds") as of December 31, 2021, the related statements of operations for the year ended December 31, 2021, the statements of changes
in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (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 December 31, 2021, 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 December 31, 2021 and each of the financial highlights for each of the five years in
the period ended December 31, 2021 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 December 31, 2021 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
February 17, 2022
Philadelphia, Pennsylvania
February 17, 2022
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
144
Special 2021 tax
information (unaudited) for Vanguard Tax-Managed Funds
This information for the
fiscal year ended December 31, 2021, is included pursuant to provisions of the Internal Revenue Code.
The Tax-Managed Balanced Fund
designates 63% of its income dividends as exempt-interest dividends.
The funds distributed
qualified dividend income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Tax-Managed Balanced Fund | 42,498 |
| Tax-Managed Capital Appreciation Fund | 189,724 |
| Tax-Managed Small-Cap Fund | 94,383 |
The funds distributed
qualified business income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Tax-Managed Balanced Fund | — |
| Tax-Managed Capital Appreciation Fund | — |
| Tax-Managed Small-Cap Fund | 12,648 |
For corporate shareholders,
the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | Percentage |
| Tax-Managed Balanced Fund | 96.8% |
| Tax-Managed Capital Appreciation Fund | 99.9 |
| Tax-Managed Small-Cap Fund | 84.1 |
145
"Bloomberg®" and Bloomberg 1–15 Year Municipal Bond Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index
Services Limited (BISL), the administrator of the index (collectively, Bloomberg), and have been licensed for use for certain purposes by The Vanguard Group, Inc. (Vanguard).
The Tax-Managed Balanced Fund
is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Tax-Managed Balanced Fund or any member
of the public regarding the advisability of investing in securities generally or in the Tax-Managed Balanced Fund particularly. The only relationship of Bloomberg to Vanguard is the licensing of certain trademarks,
trade names and service marks and of the Bloomberg 1–15 Year Municipal Bond Index, which is determined, composed and calculated by BISL without regard to Vanguard or the Tax-Managed Balanced Fund. Bloomberg has
no obligation to take the needs of Vanguard or the owners of the or the owners of the Tax-Managed Balanced Fund into consideration in determining, composing or calculating the Bloomberg 1–15 Year Municipal Bond
Index. Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Tax-Managed Balanced Fund to be issued. Bloomberg shall not have any obligation
or liability, including, without limitation, to Tax-Managed Balanced Fund customers, in connection with the administration, marketing or trading of the Tax-Managed Balanced Fund.
BLOOMBERG DOES NOT GUARANTEE
THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG 1–15 YEAR MUNICIPAL BOND INDEX OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT
MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE TAX-MANAGED BALANCED FUND OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG 1–15 YEAR MUNICIPAL BOND INDEX
OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG
1–15 YEAR MUNICIPAL BOND INDEX OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES,
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OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
© 2022 Bloomberg.
Used with Permission. Source:
Bloomberg Index Services Limited. Copyright 2022, Bloomberg. All rights reserved.
146
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 217 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.
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.
Annual Report | December 31, 2021
Vanguard
Developed Markets Index Fund
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 December 31, 2021, returns for Vanguard Developed Markets Index Fund ranged from 11.35% for Investor Shares to 11.49% for ETF Shares (based on net asset value) and Institutional Plus Shares. The fund’s benchmark, the FTSE Developed All Cap ex US Index, returned 11.58%. |
| • | The global economy continued to heal over the period. Vaccination programs started rolling out in developed countries early in the year, helping some hard-hit sectors such as hospitality, leisure, and travel while more workers returned to the labor force. Stocks overall performed strongly, even with the spread of new COVID-19 variants and a surge in inflation and as many central banks adopted less accommodative monetary stances. |
| • | Financial and industrial stocks, the largest sectors represented in the benchmark, contributed most to results. Real estate, utilities, and telecommunications, the smallest sectors, were relative laggards. |
| • | For the 10 years ended December 31, the fund share classes with at least a decade of history recorded average annual returns of more than 8%, in line with the spliced benchmark index. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2021 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.45% | 26.21% | 18.43% |
| Russell 2000 Index (Small-caps) | 14.82 | 20.02 | 12.02 |
| Russell 3000 Index (Broad U.S. market) | 25.66 | 25.79 | 17.97 |
| FTSE All-World ex US Index (International) | 8.36 | 13.66 | 9.89 |
| Bonds | |||
| Bloomberg U.S. Aggregate Bond Index (Broad taxable market) | -1.54% | 4.79% | 3.57% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 1.52 | 4.73 | 4.17 |
| FTSE Three-Month U.S. Treasury Bill Index | 0.05 | 0.95 | 1.11 |
| CPI | |||
| Consumer Price Index | 7.04% | 3.53% | 2.92% |
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 December 31, 2021 | |||
| Beginning Account Value 6/30/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Developed Markets Index Fund | |||
| Investor Shares | $1,000.00 | $1,013.20 | $0.81 |
| FTSE Developed Markets ETF Shares | 1,000.00 | 1,014.20 | 0.25 |
| Admiral™ Shares | 1,000.00 | 1,013.80 | 0.36 |
| Institutional Shares | 1,000.00 | 1,013.90 | 0.25 |
| Institutional Plus Shares | 1,000.00 | 1,014.00 | 0.20 |
| Based on Hypothetical 5% Yearly Return | |||
| Developed Markets Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.40 | $0.82 |
| FTSE Developed Markets ETF Shares | 1,000.00 | 1,024.95 | 0.26 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Plus Shares | 1,000.00 | 1,025.00 | 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 0.16% for Investor Shares, 0.05% for FTSE Developed Markets ETF Shares, 0.07%
for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus 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 (184/365).
3
Developed Markets 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:
December 31, 2011, Through December 31, 2021
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2021 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| FTSE Developed Markets ETF Shares Net Asset Value | 11.49% | 10.18% | 8.53% | $22,676 |
| FTSE Developed Markets ETF Shares Market Price | 11.66 | 10.13 | 8.45 | 22,497 | |
| Spliced Developed ex US Index | 11.58 | 10.08 | 8.48 | 22,578 |
| FTSE Global All Cap ex US Index | 8.84 | 9.92 | 7.76 | 21,118 |
Spliced Developed ex US Index: MSCI
EAFE Index through May 28, 2013; FTSE Developed ex North America Index through December 20, 2015; FTSE Developed All Cap ex US Transition Index through May 31, 2016; FTSE Developed All Cap ex US Index thereafter.
Benchmark returns are adjusted for withholding taxes.
| One Year | Five Years | Since Inception (12/19/2013) | Final Value of a $10,000 Investment | ||
| Developed Markets Index Fund Investor Shares | 11.35% | 10.04% | 6.06% | $16,039 | |
| Spliced Developed ex US Index | 11.58 | 10.08 | 6.18 | 16,184 | |
| FTSE Global All Cap ex US Index | 8.84 | 9.92 | 6.01 | 15,975 | |
“Since Inception”
performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standard(s).
See Financial
Highlights for dividend and capital gains information.
4
Developed Markets Index Fund
| Average Annual Total Returns Periods Ended December 31, 2021 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Developed Markets Index Fund Admiral Shares | 11.43% | 10.15% | 8.51% | $22,636 | |
| Spliced Developed ex US Index | 11.58 | 10.08 | 8.48 | 22,578 | |
| FTSE Global All Cap ex US Index | 8.84 | 9.92 | 7.76 | 21,118 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Developed Markets Index Fund Institutional Shares | 11.44% | 10.17% | 8.54% | $11,348,370 | |
| Spliced Developed ex US Index | 11.58 | 10.08 | 8.48 | 11,289,167 | |
| FTSE Global All Cap ex US Index | 8.84 | 9.92 | 7.76 | 10,559,008 | |
| One Year | Five Years | Since Inception (4/1/2014) | Final Value of a $100,000,000 Investment | ||
| Developed Markets Index Fund Institutional Plus Shares | 11.49% | 10.18% | 5.82% | $155,023,030 | |
| Spliced Developed ex US Index | 11.58 | 10.08 | 5.85 | 155,326,870 | |
| FTSE Global All Cap ex US Index | 8.84 | 9.92 | 5.66 | 153,227,970 | |
“Since Inception”
performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF
Shares: December 31, 2011, Through December 31, 2021
| One Year | Five Years | Ten Years | |
| FTSE Developed Markets ETF Shares Market Price | 11.66% | 62.01% | 124.97% |
| FTSE Developed Markets ETF Shares Net Asset Value | 11.49 | 62.34 | 126.76 |
| Spliced Developed ex US Index | 11.58 | 61.60 | 125.78 |
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
Developed Markets Index Fund
Fund Allocation
As of December 31, 2021
| Japan | 20.4% |
| United Kingdom | 13.1 |
| Canada | 9.5 |
| France | 8.6 |
| Switzerland | 8.0 |
| Germany | 7.2 |
| Australia | 6.4 |
| South Korea | 5.0 |
| Netherlands | 3.9 |
| Sweden | 3.5 |
| Hong Kong | 2.5 |
| Italy | 2.2 |
| Denmark | 2.1 |
| Spain | 1.9 |
| Finland | 1.2 |
| Singapore | 1.0 |
| Other | 3.5 |
The table reflects the fund’s
investments, except for short-term investments and derivatives.
The fund may invest 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
Developed Markets Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2021
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.
7
Developed Markets Index Fund
8
Developed Markets Index Fund
| Shares | Market Value• ($000) | ||
| Temporary Cash Investments (2.0%) | |||
| Money Market Fund (2.0%) | |||
| 4,5 | Vanguard Market Liquidity Fund, 0.090% (Cost $3,333,968) | 33,346,561 | 3,334,323 |
| Total Investments (101.1%) (Cost $130,538,897) | 168,922,830 | ||
| Other Assets and Liabilities—Net (-1.1%) | (1,916,246) | ||
| Net Assets (100%) | 167,006,584 | ||
| Cost is in $000. | |||
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,308,807,000. |
| 2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the aggregate value was $3,766,849,000, representing 2.3% of net assets. |
| 3 | Security value determined using significant unobservable inputs. |
| 4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 5 | Collateral of $2,488,074,000 was received for securities on loan, of which $2,451,167,000 is held in Vanguard Market Liquidity Fund and $36,907,000 is held in cash. |
| ADR—American Depositary Receipt. | |
| GDR—Global Depositary Receipt. | |
| Ptg. Ctf.—Participating Certificates. | |
| REIT—Real Estate Investment Trust. |
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2022 | 600 | 142,755 | 522 |
| Euro Stoxx 50 Index | March 2022 | 9,890 | 482,762 | 12,643 |
| FTSE 100 Index | March 2022 | 2,578 | 255,568 | 4,036 |
| S&P ASX 200 Index | March 2022 | 1,364 | 182,275 | 1,656 |
| S&P TSX 60 Index | March 2022 | 558 | 113,007 | 1,748 |
| Topix Index | March 2022 | 1,966 | 340,457 | 3,865 |
| 24,470 | ||||
54
Developed Markets Index Fund
| Forward Currency Contracts | |||||||
| Contract Settlement Date | Contract Amount (000) | Unrealized Appreciation ($000) | Unrealized Depreciation ($000) | ||||
| Counterparty | Receive | Deliver | |||||
| Bank of America, N.A. | 3/16/22 | AUD | 271,256 | USD | 192,920 | 4,471 | — |
| HSBC Bank plc | 3/16/22 | CAD | 213,476 | USD | 168,075 | 659 | — |
| Toronto-Dominion Bank | 3/16/22 | EUR | 266,134 | USD | 300,301 | 3,169 | — |
| Morgan Stanley Capital Services Inc. | 3/16/22 | EUR | 258,034 | USD | 290,701 | 3,534 | — |
| JPMorgan Chase Bank, N.A. | 3/16/22 | EUR | 100,626 | USD | 114,112 | 631 | — |
| Toronto-Dominion Bank | 3/16/22 | GBP | 206,229 | USD | 272,680 | 6,367 | — |
| Royal Bank of Canada | 3/16/22 | GBP | 12,572 | USD | 16,884 | 127 | — |
| Royal Bank of Canada | 3/16/22 | JPY | 31,018,831 | USD | 272,845 | — | (3,009) |
| Toronto-Dominion Bank | 3/16/22 | JPY | 1,973,000 | USD | 17,212 | — | (49) |
| Barclays Bank plc | 3/16/22 | JPY | 1,134,970 | USD | 9,900 | — | (27) |
| Morgan Stanley Capital Services Inc. | 3/16/22 | JPY | 1,120,000 | USD | 9,770 | — | (27) |
| Toronto-Dominion Bank | 3/16/22 | USD | 21,537 | AUD | 30,215 | — | (451) |
| State Street Bank & Trust Co. | 3/16/22 | USD | 95,887 | CAD | 123,598 | — | (1,807) |
| Bank of America, N.A. | 3/16/22 | USD | 198,444 | CHF | 182,952 | — | (2,738) |
| Bank of America, N.A. | 3/16/22 | USD | 12,344 | DKK | 81,202 | — | (107) |
| Toronto-Dominion Bank | 3/16/22 | USD | 162,784 | EUR | 144,354 | — | (1,822) |
| Royal Bank of Canada | 3/16/22 | USD | 162,643 | EUR | 144,354 | — | (1,963) |
| State Street Bank & Trust Co. | 3/16/22 | USD | 127,831 | GBP | 96,521 | — | (2,771) |
| Bank of America, N.A. | 3/16/22 | USD | 24,019 | JPY | 2,728,929 | 280 | — |
| Bank of America, N.A. | 3/16/22 | USD | 1,138 | SEK | 10,330 | — | (6) |
| 19,238 | (14,777) | ||||||
| AUD—Australian dollar. |
| CAD—Canadian dollar. |
| CHF—Swiss franc. |
| DKK—Danish krone. |
| EUR—euro. |
| GBP—British pound. |
| JPY—Japanese yen. |
| SEK—Swedish krona. |
| USD—U.S. dollar. |
At December 31, 2021, the
counterparties had deposited in segregated accounts securities with a value of $1,984,000 and cash of $8,440,000 in connection with open forward currency contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
55
Developed Markets Index Fund
Statement of Assets and Liabilities
As of December 31, 2021
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $127,204,929) | 165,588,507 |
| Affiliated Issuers (Cost $3,333,968) | 3,334,323 |
| Total Investments in Securities | 168,922,830 |
| Investment in Vanguard | 5,234 |
| Cash | 36,907 |
| Cash Collateral Pledged—Futures Contracts | 95,902 |
| Cash Collateral Pledged—Forward Currency Contracts | 7,210 |
| Foreign Currency, at Value (Cost $84,520) | 85,127 |
| Receivables for Investment Securities Sold | 132,417 |
| Receivables for Accrued Income | 431,315 |
| Receivables for Capital Shares Issued | 65,596 |
| Unrealized Appreciation—Forward Currency Contracts | 19,238 |
| Total Assets | 169,801,776 |
| Liabilities | |
| Due to Custodian | 98,400 |
| Payables for Investment Securities Purchased | 37,641 |
| Collateral for Securities on Loan | 2,488,074 |
| Payables for Capital Shares Redeemed | 148,707 |
| Payables to Vanguard | 3,744 |
| Variation Margin Payable—Futures Contracts | 3,849 |
| Unrealized Depreciation—Forward Currency Contracts | 14,777 |
| Total Liabilities | 2,795,192 |
| Net Assets | 167,006,584 |
56
Developed Markets Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2021, net assets consisted of: | |
| ($000s, except shares and per-share amounts) | Amount |
| Paid-in Capital | 133,554,693 |
| Total Distributable Earnings (Loss) | 33,451,891 |
| Net Assets | 167,006,584 |
| Investor Shares—Net Assets | |
| Applicable to 2,880,626 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 36,675 |
| Net Asset Value Per Share—Investor Shares | $12.73 |
| ETF Shares—Net Assets | |
| Applicable to 2,153,005,077 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 110,103,125 |
| Net Asset Value Per Share—ETF Shares | $51.14 |
| Admiral Shares—Net Assets | |
| Applicable to 1,507,350,677 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 24,782,290 |
| Net Asset Value Per Share—Admiral Shares | $16.44 |
| Institutional Shares—Net Assets | |
| Applicable to 924,393,560 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,218,616 |
| Net Asset Value Per Share—Institutional Shares | $16.46 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 655,426,574 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,865,878 |
| Net Asset Value Per Share—Institutional Plus Shares | $25.73 |
See accompanying
Notes, which are an integral part of the Financial Statements.
57
Developed Markets Index Fund
Statement of Operations
| Year Ended December 31, 2021 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 4,237,067 |
| Interest2 | 860 |
| Securities Lending—Net | 37,602 |
| Total Income | 4,275,529 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 4,430 |
| Management and Administrative—Investor Shares | 71 |
| Management and Administrative—ETF Shares | 39,454 |
| Management and Administrative—Admiral Shares | 13,792 |
| Management and Administrative—Institutional Shares | 6,057 |
| Management and Administrative—Institutional Plus Shares | 5,314 |
| Marketing and Distribution—Investor Shares | 4 |
| Marketing and Distribution—ETF Shares | 2,647 |
| Marketing and Distribution—Admiral Shares | 981 |
| Marketing and Distribution—Institutional Shares | 497 |
| Marketing and Distribution—Institutional Plus Shares | 254 |
| Custodian Fees | 4,650 |
| Auditing Fees | 63 |
| Shareholders’ Reports—Investor Shares | 1 |
| Shareholders’ Reports—ETF Shares | 2,253 |
| Shareholders’ Reports—Admiral Shares | 322 |
| Shareholders’ Reports—Institutional Shares | 109 |
| Shareholders’ Reports—Institutional Plus Shares | 105 |
| Trustees’ Fees and Expenses | 43 |
| Total Expenses | 81,047 |
| Net Investment Income | 4,194,482 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 531,971 |
| Futures Contracts | 276,855 |
| Forward Currency Contracts | (59,906) |
| Foreign Currencies | (22,487) |
| Realized Net Gain (Loss) | 726,433 |
58
Developed Markets Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2021 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 11,328,047 |
| Futures Contracts | 14,015 |
| Forward Currency Contracts | (34,634) |
| Foreign Currencies | (14,242) |
| Change in Unrealized Appreciation (Depreciation) | 11,293,186 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,214,101 |
| 1 | Dividends are net of foreign withholding taxes of $398,749,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $830,000, ($158,000), $20,000, and ($236,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $1,103,312,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
59
Developed Markets Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2021 ($000) | 2020 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 4,194,482 | 2,849,838 |
| Realized Net Gain (Loss) | 726,433 | 217,803 |
| Change in Unrealized Appreciation (Depreciation) | 11,293,186 | 9,327,582 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,214,101 | 12,395,223 |
| Distributions | ||
| Investor Shares | (1,404) | (1,037) |
| ETF Shares | (3,293,465) | (1,769,743) |
| Admiral Shares | (750,682) | (431,441) |
| Institutional Shares | (476,451) | (284,063) |
| Institutional Plus Shares | (528,259) | (317,398) |
| Total Distributions | (5,050,261) | (2,803,682) |
| Capital Share Transactions | ||
| Investor Shares | (16,666) | (13,254) |
| ETF Shares | 15,456,013 | 3,023,570 |
| Admiral Shares | 1,864,044 | (355,665) |
| Institutional Shares | 47,662 | 474,063 |
| Institutional Plus Shares | 106,182 | 470,744 |
| Net Increase (Decrease) from Capital Share Transactions | 17,457,235 | 3,599,458 |
| Total Increase (Decrease) | 28,621,075 | 13,190,999 |
| Net Assets | ||
| Beginning of Period | 138,385,509 | 125,194,510 |
| End of Period | 167,006,584 | 138,385,509 |
See accompanying
Notes, which are an integral part of the Financial Statements.
60
Developed Markets Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $11.79 | $10.95 | $9.26 | $11.16 | $9.09 |
| Investment Operations | |||||
| Net Investment Income1 | .331 | .235 | .361 | .312 | .284 |
| Net Realized and Unrealized Gain (Loss) on Investments | .996 | .834 | 1.651 | (1.914) | 2.086 |
| Total from Investment Operations | 1.327 | 1.069 | 2.012 | (1.602) | 2.370 |
| Distributions | |||||
| Dividends from Net Investment Income | (.387) | (.229) | (.322) | (.298) | (.300) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.387) | (.229) | (.322) | (.298) | (.300) |
| Net Asset Value, End of Period | $12.73 | $11.79 | $10.95 | $9.26 | $11.16 |
| Total Return2 | 11.35% | 10.11% | 21.96% | -14.56% | 26.31% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $37 | $49 | $59 | $731 | $950 |
| Ratio of Total Expenses to Average Net Assets | 0.16% | 0.16% | 0.16% | 0.16% | 0.17% |
| Ratio of Net Investment Income to Average Net Assets | 2.61% | 2.34% | 3.56% | 2.89% | 2.71% |
| Portfolio Turnover Rate3 | 3% | 3% | 2% | 3% | 3% |
| 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.
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Developed Markets Index Fund
Financial Highlights
| FTSE Developed Markets ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $47.36 | $43.98 | $37.20 | $44.83 | $36.51 |
| Investment Operations | |||||
| Net Investment Income1 | 1.370 | .982 | 1.289 | 1.291 | 1.166 |
| Net Realized and Unrealized Gain (Loss) on Investments | 4.024 | 3.363 | 6.831 | (7.677) | 8.397 |
| Total from Investment Operations | 5.394 | 4.345 | 8.120 | (6.386) | 9.563 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.614) | (.965) | (1.340) | (1.244) | (1.243) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.614) | (.965) | (1.340) | (1.244) | (1.243) |
| Net Asset Value, End of Period | $51.14 | $47.36 | $43.98 | $37.20 | $44.83 |
| Total Return | 11.49% | 10.29% | 22.08% | -14.47% | 26.44% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $110,103 | $87,578 | $78,752 | $65,139 | $68,406 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.69% | 2.43% | 3.13% | 3.00% | 2.81% |
| Portfolio Turnover Rate2 | 3% | 3% | 2% | 3% | 3% |
| 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.
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Developed Markets Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $15.23 | $14.14 | $11.96 | $14.41 | $11.74 |
| Investment Operations | |||||
| Net Investment Income1 | .438 | .313 | .410 | .412 | .375 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.287 | 1.085 | 2.198 | (2.464) | 2.695 |
| Total from Investment Operations | 1.725 | 1.398 | 2.608 | (2.052) | 3.070 |
| Distributions | |||||
| Dividends from Net Investment Income | (.515) | (.308) | (.428) | (.398) | (.400) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.515) | (.308) | (.428) | (.398) | (.400) |
| Net Asset Value, End of Period | $16.44 | $15.23 | $14.14 | $11.96 | $14.41 |
| Total Return2 | 11.43% | 10.26% | 22.05% | -14.46% | 26.40% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $24,782 | $21,207 | $20,143 | $15,209 | $15,180 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.68% | 2.41% | 3.10% | 2.98% | 2.81% |
| Portfolio Turnover Rate3 | 3% | 3% | 2% | 3% | 3% |
| 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.
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Developed Markets Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $15.25 | $14.16 | $11.97 | $14.43 | $11.75 |
| Investment Operations | |||||
| Net Investment Income1 | .442 | .315 | .417 | .416 | .379 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.287 | 1.086 | 2.205 | (2.475) | 2.701 |
| Total from Investment Operations | 1.729 | 1.401 | 2.622 | (2.059) | 3.080 |
| Distributions | |||||
| Dividends from Net Investment Income | (.519) | (.311) | (.432) | (.401) | (.400) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.519) | (.311) | (.432) | (.401) | (.400) |
| Net Asset Value, End of Period | $16.46 | $15.25 | $14.16 | $11.97 | $14.43 |
| Total Return | 11.44% | 10.27% | 22.14% | -14.49% | 26.46% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $15,219 | $14,020 | $12,449 | $10,361 | $11,998 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 2.70% | 2.42% | 3.15% | 3.00% | 2.82% |
| Portfolio Turnover Rate2 | 3% | 3% | 2% | 3% | 3% |
| 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.
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Developed Markets Index Fund
Financial Highlights
| Institutional Plus Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2021 | 2020 | 2019 | 2018 | 2017 | |
| Net Asset Value, Beginning of Period | $23.83 | $22.13 | $18.72 | $22.56 | $18.37 |
| Investment Operations | |||||
| Net Investment Income1 | .693 | .495 | .647 | .643 | .597 |
| Net Realized and Unrealized Gain (Loss) on Investments | 2.022 | 1.693 | 3.439 | (3.855) | 4.223 |
| Total from Investment Operations | 2.715 | 2.188 | 4.086 | (3.212) | 4.820 |
| Distributions | |||||
| Dividends from Net Investment Income | (.815) | (.488) | (.676) | (.628) | (.630) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.815) | (.488) | (.676) | (.628) | (.630) |
| Net Asset Value, End of Period | $25.73 | $23.83 | $22.13 | $18.72 | $22.56 |
| Total Return | 11.49% | 10.27% | 22.07% | -14.45% | 26.49% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $16,866 | $15,531 | $13,790 | $9,265 | $10,102 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 2.71% | 2.43% | 3.12% | 3.01% | 2.83% |
| Portfolio Turnover Rate2 | 3% | 3% | 2% | 3% | 3% |
| 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.
65
Developed Markets Index Fund
Notes to Financial Statements
Vanguard Developed Markets
Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional
Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares, known as Vanguard FTSE
Developed Markets ETF Shares, are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
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. 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 affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at
their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market-
or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the
fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
Investments in Vanguard Market Liquidity Fund
are valued at that fund's net asset value.
Temporary cash investments 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. 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 index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of
66
Developed Markets Index Fund
stocks held by the fund and the prices of
futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate
counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The
clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. 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 December
31, 2021, the fund’s average investments in long and short futures contracts represented 1% and 0% 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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Developed Markets Index Fund
During the year ended December
31, 2021, the fund’s average investment in forward currency contracts represented 2% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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.
6. 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.
7. 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.
8. 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
68
Developed Markets Index Fund
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 alternate 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 December
31, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
9. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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.
Taxes on foreign dividends and
capital gains have been provided for in accordance with the fund's understanding of the applicable countries' tax rules and rates. Deferred foreign capital gains tax, if any, is accrued daily based upon net unrealized
gains. The fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these
countries. Such tax reclaims received during the year, if any, are included in dividend income. No other amounts for additional tax reclaims are reflected in the financial statements due to the uncertainty as to the
ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.
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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Developed Markets Index Fund
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2021, the fund had contributed to Vanguard capital in the amount of $5,234,000, representing less than 0.01% of the
fund’s net assets and 2.09% 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 December 31, 2021, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 15,721,535 | 149,787,629 | 79,343 | 165,588,507 |
| Temporary Cash Investments | 3,334,323 | — | — | 3,334,323 |
| Total | 19,055,858 | 149,787,629 | 79,343 | 168,922,830 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 24,470 | — | — | 24,470 |
| Forward Currency Contracts | — | 19,238 | — | 19,238 |
| Total | 24,470 | 19,238 | — | 43,708 |
| Liabilities | ||||
| Forward Currency Contracts | — | 14,777 | — | 14,777 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
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Developed Markets Index Fund
| D. | At December 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows: |
| Statement of Assets and Liabilities | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
| Unrealized Appreciation—Futures Contracts1 | 24,470 | — | 24,470 |
| Unrealized Appreciation—Forward Currency Contracts | — | 19,238 | 19,238 |
| Total Assets | 24,470 | 19,238 | 43,708 |
| Unrealized Depreciation—Forward Currency Contracts | — | 14,777 | 14,777 |
| Total Liabilities | — | 14,777 | 14,777 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized net gain (loss) and
the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2021, were:
| Realized Net Gain (Loss) on Derivatives | Equity Contracts ($000) | Foreign Exchange Contracts ($000) | Total ($000) |
| Futures Contracts | 276,855 | — | 276,855 |
| Forward Currency Contracts | — | (59,906) | (59,906) |
| Realized Net Gain (Loss) on Derivatives | 276,855 | (59,906) | 216,949 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
| Futures Contracts | 14,015 | — | 14,015 |
| Forward Currency Contracts | — | (34,634) | (34,634) |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | 14,015 | (34,634) | (20,619) |
| 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 in-kind redemptions, foreign currency transactions, and passive foreign investment companies were reclassified between the following accounts: |
| Amount ($000) | |
| Paid-in Capital | 1,081,677 |
| Total Distributable Earnings (Loss) | (1,081,677) |
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 recognition of unrealized gains
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Developed Markets Index Fund
from passive foreign investment companies;
and the classification of securities for tax purposes. 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 | 75,980 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards | (3,577,062) |
| Qualified Late-Year Losses | — |
| Net Unrealized Gains (Losses) | 36,952,973 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2021 Amount ($000) | 2020 Amount ($000) | |
| Ordinary Income* | 5,050,261 | 2,803,682 |
| Long-Term Capital Gains | — | — |
| Total | 5,050,261 | 2,803,682 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2021, 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 | 131,982,062 |
| Gross Unrealized Appreciation | 51,711,005 |
| Gross Unrealized Depreciation | (14,763,075) |
| Net Unrealized Appreciation (Depreciation) | 36,947,930 |
| F. | During the year ended December 31, 2021, the fund purchased $23,874,328,000 of investment securities and sold $6,725,083,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,353,721,000 and $1,968,896,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
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Developed Markets Index Fund
| G. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2021 | 2020 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 8,102 | 645 | 8,465 | 868 | |
| Issued in Lieu of Cash Distributions | 1,404 | 112 | 1,037 | 103 | |
| Redeemed | (26,172) | (2,048) | (22,756) | (2,213) | |
| Net Increase (Decrease)—Investor Shares | (16,666) | (1,291) | (13,254) | (1,242) | |
| ETF Shares | |||||
| Issued | 15,456,013 | 303,914 | 5,546,171 | 128,480 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | — | — | (2,522,601) | (70,000) | |
| Net Increase (Decrease)—ETF Shares | 15,456,013 | 303,914 | 3,023,570 | 58,480 | |
| Admiral Shares | |||||
| Issued | 5,398,666 | 330,877 | 5,693,782 | 462,836 | |
| Issued in Lieu of Cash Distributions | 592,710 | 36,704 | 338,012 | 25,835 | |
| Redeemed | (4,127,332) | (252,978) | (6,387,459) | (520,543) | |
| Net Increase (Decrease)—Admiral Shares | 1,864,044 | 114,603 | (355,665) | (31,872) | |
| Institutional Shares | |||||
| Issued | 3,635,178 | 223,000 | 3,233,752 | 253,662 | |
| Issued in Lieu of Cash Distributions | 436,044 | 26,962 | 257,784 | 19,654 | |
| Redeemed | (4,023,560) | (245,046) | (3,017,473) | (233,104) | |
| Net Increase (Decrease)—Institutional Shares | 47,662 | 4,916 | 474,063 | 40,212 | |
| Institutional Plus Shares | |||||
| Issued | 4,068,197 | 157,723 | 2,646,526 | 131,406 | |
| Issued in Lieu of Cash Distributions | 498,151 | 19,715 | 301,006 | 14,700 | |
| Redeemed | (4,460,166) | (173,701) | (2,476,788) | (117,555) | |
| Net Increase (Decrease)—Institutional Plus Shares | 106,182 | 3,737 | 470,744 | 28,551 | |
| H. | Management has determined that no events or transactions occurred subsequent to December 31, 2021, that would require recognition or disclosure in these financial statements. |
73
Report of Independent Registered Public Accounting
Firm
To the Board of Trustees of Vanguard
Tax-Managed Funds and Shareholders of Vanguard Developed Markets Index Fund
Opinion on the Financial
Statements
We have audited the accompanying statement of
assets and liabilities, including the schedule of investments of Vanguard Developed Markets Index Fund (one of the funds constituting Vanguard Tax-Managed Funds, referred to hereafter as the "Fund") as of December 31,
2021, the related statement of operations for the year ended December 31, 2021, the statement of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and
the financial highlights for each of the five years in the period ended December 31, 2021 (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 December 31, 2021, 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
December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 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 December 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies
were not received from the transfer agent or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers
LLP
Philadelphia, Pennsylvania
February 17, 2022
Philadelphia, Pennsylvania
February 17, 2022
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
74
Special 2021 tax information
(unaudited) for Vanguard Developed Markets Index Fund
This information for the
fiscal year ended December 31, 2021, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed
$3,628,613,000 of qualified dividend income to shareholders during the fiscal year.
The fund designates to
shareholders foreign source income of $4,621,918,000 and foreign taxes paid of $321,261,000. Shareholders will receive more detailed information with their Form 1099-DIV in January 2022 to determine the calendar-year
amounts to be included on their 2021 tax returns.
75
London Stock Exchange Group
companies include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital Markets Inc. (“FTSE
TMX”). All rights reserved. “FTSE®”, “Russell®”, “MTS®”, “FTSE TMX®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the
London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license. All information is provided for information purposes only. Every effort is made to ensure that all information given
in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither
the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of
the Indices or the fitness or suitability of the Indices for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document
should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such
asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general
information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a
retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of
the London Stock Exchange Group companies’ index values and the use of their indexes to create financial products require a license with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors.
76
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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 217 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.
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.
Connect with
Vanguard®>vanguard.com
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 December 31, 2021: $155,000
Fiscal Year Ended December 31, 2020: $154,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2021: $11,244,694
Fiscal Year Ended December 31, 2020: $10,761,407
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 December 31, 2021: $2,955,181
Fiscal Year Ended December 31, 2020: $2,915,863
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 December 31, 2021: $2,047,574
Fiscal Year Ended December 31, 2020: $247,168
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 December 31, 2021: $280,000
Fiscal Year Ended December 31, 2020: $115,000
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 December 31, 2021: $2,327,574
Fiscal Year Ended December 31, 2020: $362,168
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. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
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)(1) | Code of Ethics filed herewith. |
| (a)(2) | Certifications filed herewith. |
| (b) | Certifications field herewith. |
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 TAX-MANAGED FUNDS | ||
| BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY CHIEF EXECUTIVE OFFICER |
||
Date: February 18, 2022
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 TAX-MANAGED FUNDS |
||
| BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY CHIEF EXECUTIVE OFFICER |
Date: February 18, 2022
VANGUARD TAX-MANAGED FUNDS |
||
| BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN CHIEF FINANCIAL OFFICER |
Date: February 18, 2022
| * By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.