Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
28 Février 2013 - 8:05PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number:
811-01776
Name of Registrant:
Vanguard
Wellesley Income Fund
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Date of fiscal year end: September
30,
2012
Date of reporting period: December
31,
2012
Item 1:
Schedule of Investments
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Vanguard Wellesley Income Fund
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Schedule of Investments
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As of December 31, 2012
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Face
|
Market
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Maturity
|
Amount
|
Value
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Coupon
|
Date
|
($000)
|
($000)
|
U.S. Government and Agency Obligations (12.0%)
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|
|
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|
U.S. Government Securities (6.9%)
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|
|
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United States Treasury Note/Bond
|
0.250%
|
9/30/14
|
80,000
|
80,013
|
|
United States Treasury Note/Bond
|
0.250%
|
10/31/14
|
1,130,025
|
1,130,206
|
|
United States Treasury Note/Bond
|
0.250%
|
11/30/14
|
278,000
|
278,000
|
|
United States Treasury Note/Bond
|
1.500%
|
6/30/16
|
341,500
|
353,934
|
|
United States Treasury Note/Bond
|
0.875%
|
1/31/17
|
44,979
|
45,570
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|
United States Treasury Note/Bond
|
0.750%
|
10/31/17
|
120,000
|
120,337
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|
United States Treasury Note/Bond
|
1.625%
|
8/15/22
|
111,450
|
110,597
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|
United States Treasury Note/Bond
|
1.625%
|
11/15/22
|
115,000
|
113,598
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2,232,255
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Agency Bonds and Notes (0.5%)
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|
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|
|
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Egypt Government AID Bonds
|
4.450%
|
9/15/15
|
22,500
|
24,912
|
|
Private Export Funding Corp.
|
2.250%
|
12/15/17
|
57,055
|
60,729
|
1
|
Tennessee Valley Authority
|
4.375%
|
6/15/15
|
35,000
|
38,491
|
1
|
Tennessee Valley Authority
|
4.625%
|
9/15/60
|
19,800
|
23,630
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|
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|
|
147,762
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Conventional Mortgage-Backed Securities (4.3%)
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|
|
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|
2,3
Freddie Mac Gold Pool
|
4.000%
|
6/1/18–1/1/42
|
12
|
13
|
2,3
Freddie Mac Gold Pool
|
5.000%
|
5/1/30–8/1/41
|
553,942
|
597,552
|
2,3
Freddie Mac Gold Pool
|
5.500%
|
2/1/19–9/1/40
|
729,326
|
787,935
|
3
|
Ginnie Mae I Pool
|
6.000%
|
6/15/31–7/15/35
|
130
|
145
|
3
|
Ginnie Mae I Pool
|
6.500%
|
4/15/32–9/15/38
|
11,433
|
13,015
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|
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|
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1,398,660
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Nonconventional Mortgage-Backed Securities (0.3%)
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|
|
|
|
2,3
Fannie Mae REMICS
|
3.500%
|
4/25/31
|
6,910
|
7,211
|
2,3
Fannie Mae REMICS
|
4.000%
|
9/25/29–5/25/31
|
13,201
|
14,496
|
2,3
Freddie Mac REMICS
|
3.500%
|
3/15/31
|
4,095
|
4,276
|
2,3
Freddie Mac REMICS
|
4.000%
|
12/15/30–4/15/31
|
77,206
|
84,501
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|
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|
110,484
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Total U.S. Government and Agency Obligations (Cost $3,851,906)
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|
3,889,161
|
Asset-Backed/Commercial Mortgage-Backed Securities (2.0%)
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3
|
Ally Auto Receivables Trust 2010-4
|
1.350%
|
12/15/15
|
8,860
|
8,933
|
3,4
Ally Master Owner Trust
|
2.880%
|
4/15/15
|
38,668
|
38,931
|
3
|
Ally Master Owner Trust
|
2.150%
|
1/15/16
|
63,305
|
63,653
|
3
|
Ally Master Owner Trust
|
1.720%
|
7/15/19
|
25,000
|
25,325
|
3
|
Ally Master Owner Trust
|
1.540%
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9/15/19
|
95,780
|
96,134
|
3
|
AmeriCredit Automobile Receivables Trust
|
|
|
|
|
|
2010-3
|
2.040%
|
9/8/15
|
7,450
|
7,601
|
3
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AmeriCredit Automobile Receivables Trust
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|
|
|
|
|
2010-3
|
3.340%
|
4/8/16
|
6,050
|
6,379
|
3
|
AmeriCredit Automobile Receivables Trust
|
|
|
|
|
|
2011-1
|
2.190%
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2/8/16
|
4,760
|
4,844
|
3
|
AmeriCredit Automobile Receivables Trust
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|
|
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2011-3
|
1.170%
|
1/8/16
|
6,520
|
6,551
|
3
|
AmeriCredit Automobile Receivables Trust
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|
|
|
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2011-3
|
2.280%
|
6/8/16
|
10,000
|
10,236
|
3,4
Avis Budget Rental Car Funding AESOP LLC
|
2.090%
|
4/20/15
|
39,465
|
39,355
|
3,4
Avis Budget Rental Car Funding AESOP LLC
|
3.150%
|
3/20/17
|
8,000
|
8,362
|
|
|
|
|
|
|
3,4
Citibank Omni Master Trust
|
4.900%
|
11/15/18
|
38,000
|
40,940
|
3
|
COMM 2012-CCRE2 Mortgage Trust
|
3.147%
|
8/15/45
|
16,040
|
16,880
|
3,4
Ford Credit Floorplan Master Owner Trust
|
4.200%
|
2/15/17
|
7,000
|
7,500
|
3
|
Ford Credit Floorplan Master Owner Trust
|
1.920%
|
1/15/19
|
27,005
|
27,776
|
3,4
GE Equipment Small Ticket LLC Series 2011-
|
|
|
|
|
|
1
|
1.450%
|
1/21/18
|
12,312
|
12,387
|
3,4
Hertz Vehicle Financing LLC
|
2.600%
|
2/25/15
|
13,500
|
13,675
|
3,4
Hertz Vehicle Financing LLC
|
2.200%
|
3/25/16
|
28,910
|
29,671
|
3,4
Hertz Vehicle Financing LLC 2010-1A
|
3.740%
|
2/25/17
|
28,680
|
30,905
|
3,4
Huntington Auto Trust 2011-1
|
1.010%
|
1/15/16
|
17,325
|
17,429
|
3,4
Hyundai Auto Lease Securitization Trust
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|
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2011-A
|
1.020%
|
8/15/14
|
15,658
|
15,697
|
3
|
Morgan Stanley Dean Witter Capital I
|
5.080%
|
9/15/37
|
2,004
|
2,003
|
3
|
Nissan Auto Lease Trust 2011-A
|
1.040%
|
8/15/14
|
39,900
|
40,163
|
3,4
OBP Depositor LLC Trust
|
4.646%
|
7/15/45
|
23,260
|
26,943
|
3,4
Santander Drive Auto Receivables Trust
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|
|
|
|
|
2010-A
|
2.390%
|
6/15/17
|
5,470
|
5,504
|
3
|
Santander Drive Auto Receivables Trust
|
|
|
|
|
|
2012-5
|
0.830%
|
12/15/16
|
6,365
|
6,389
|
3
|
World Omni Automobile Lease Securitization
|
|
|
|
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Trust
|
1.490%
|
10/15/14
|
18,870
|
18,989
|
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $618,716)
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|
629,155
|
Corporate Bonds (42.6%)
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Finance (17.2%)
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Banking (13.0%)
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American Express Co.
|
7.250%
|
5/20/14
|
17,000
|
18,497
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|
American Express Co.
|
5.500%
|
9/12/16
|
25,000
|
28,476
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|
American Express Co.
|
6.150%
|
8/28/17
|
35,000
|
42,260
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|
American Express Credit Corp.
|
2.750%
|
9/15/15
|
56,365
|
59,095
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|
American Express Credit Corp.
|
2.800%
|
9/19/16
|
13,635
|
14,427
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American Express Credit Corp.
|
2.375%
|
3/24/17
|
35,650
|
37,365
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Bank of America Corp.
|
4.875%
|
1/15/13
|
6,700
|
6,694
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|
Bank of America Corp.
|
7.375%
|
5/15/14
|
12,590
|
13,620
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|
Bank of America Corp.
|
5.375%
|
6/15/14
|
25,525
|
27,072
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|
Bank of America Corp.
|
3.625%
|
3/17/16
|
10,000
|
10,564
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|
Bank of America Corp.
|
3.750%
|
7/12/16
|
28,940
|
30,824
|
|
Bank of America Corp.
|
5.625%
|
10/14/16
|
22,500
|
25,293
|
|
Bank of America Corp.
|
5.650%
|
5/1/18
|
60,090
|
69,721
|
|
Bank of America Corp.
|
5.625%
|
7/1/20
|
25,000
|
29,539
|
|
Bank of America Corp.
|
5.875%
|
1/5/21
|
10,285
|
12,302
|
|
Bank of America Corp.
|
5.000%
|
5/13/21
|
35,910
|
40,729
|
|
Bank of America Corp.
|
5.700%
|
1/24/22
|
26,000
|
31,188
|
|
Bank of America Corp.
|
5.875%
|
2/7/42
|
8,770
|
10,926
|
|
Bank of Montreal
|
2.500%
|
1/11/17
|
71,580
|
75,129
|
|
Bank of New York Mellon Corp.
|
2.950%
|
6/18/15
|
14,750
|
15,517
|
|
Bank of New York Mellon Corp.
|
5.450%
|
5/15/19
|
49,465
|
58,800
|
|
Bank of Nova Scotia
|
3.400%
|
1/22/15
|
47,000
|
49,515
|
|
Bank of Nova Scotia
|
2.550%
|
1/12/17
|
31,000
|
32,661
|
|
Bank One Corp.
|
7.750%
|
7/15/25
|
25,000
|
32,915
|
|
Barclays Bank plc
|
2.375%
|
1/13/14
|
27,000
|
27,461
|
|
Barclays Bank plc
|
5.000%
|
9/22/16
|
12,865
|
14,440
|
|
Barclays Bank plc
|
6.750%
|
5/22/19
|
18,605
|
22,739
|
|
Barclays Bank plc
|
5.125%
|
1/8/20
|
20,000
|
22,791
|
|
BB&T Corp.
|
1.600%
|
8/15/17
|
19,775
|
20,002
|
|
BB&T Corp.
|
5.250%
|
11/1/19
|
19,000
|
21,924
|
|
Bear Stearns Cos. LLC
|
7.250%
|
2/1/18
|
14,860
|
18,637
|
|
BNP Paribas SA
|
3.250%
|
3/11/15
|
34,770
|
36,305
|
|
|
|
|
|
Canadian Imperial Bank of Commerce
|
2.350%
|
12/11/15
|
41,000
|
43,091
|
Capital One Financial Corp.
|
7.375%
|
5/23/14
|
18,335
|
19,942
|
Capital One Financial Corp.
|
2.150%
|
3/23/15
|
24,030
|
24,498
|
Capital One Financial Corp.
|
3.150%
|
7/15/16
|
6,787
|
7,211
|
Capital One Financial Corp.
|
4.750%
|
7/15/21
|
36,165
|
41,840
|
Citigroup Inc.
|
6.010%
|
1/15/15
|
15,000
|
16,378
|
Citigroup Inc.
|
4.750%
|
5/19/15
|
14,725
|
15,857
|
Citigroup Inc.
|
4.587%
|
12/15/15
|
15,410
|
16,797
|
Citigroup Inc.
|
3.953%
|
6/15/16
|
41,322
|
44,393
|
Citigroup Inc.
|
4.450%
|
1/10/17
|
7,075
|
7,841
|
Citigroup Inc.
|
6.125%
|
11/21/17
|
18,000
|
21,433
|
Citigroup Inc.
|
6.125%
|
5/15/18
|
8,500
|
10,187
|
Citigroup Inc.
|
8.500%
|
5/22/19
|
28,000
|
37,540
|
Citigroup Inc.
|
5.375%
|
8/9/20
|
72,645
|
85,800
|
Citigroup Inc.
|
4.500%
|
1/14/22
|
21,965
|
24,352
|
Citigroup Inc.
|
6.625%
|
6/15/32
|
9,000
|
10,361
|
Citigroup Inc.
|
6.000%
|
10/31/33
|
15,000
|
16,130
|
Citigroup Inc.
|
5.850%
|
12/11/34
|
15,000
|
17,474
|
Citigroup Inc.
|
6.125%
|
8/25/36
|
50,000
|
54,572
|
Citigroup Inc.
|
8.125%
|
7/15/39
|
3,380
|
5,047
|
Citigroup Inc.
|
5.875%
|
1/30/42
|
7,460
|
9,124
|
Comerica Inc.
|
3.000%
|
9/16/15
|
3,065
|
3,231
|
4 Cooperatieve Centrale Raiffeisen-
|
|
|
|
|
Boerenleenbank BA
|
3.200%
|
3/11/15
|
28,000
|
29,299
|
4 Credit Agricole SA
|
3.500%
|
4/13/15
|
28,000
|
28,867
|
Credit Suisse
|
2.200%
|
1/14/14
|
32,000
|
32,487
|
Credit Suisse
|
3.500%
|
3/23/15
|
22,970
|
24,229
|
Credit Suisse
|
5.300%
|
8/13/19
|
9,000
|
10,671
|
Credit Suisse
|
4.375%
|
8/5/20
|
25,000
|
28,480
|
Credit Suisse USA Inc.
|
5.125%
|
1/15/14
|
23,825
|
24,906
|
Credit Suisse USA Inc.
|
4.875%
|
1/15/15
|
5,430
|
5,859
|
Deutsche Bank AG
|
4.875%
|
5/20/13
|
30,000
|
30,520
|
Deutsche Bank AG
|
3.450%
|
3/30/15
|
44,000
|
46,483
|
Goldman Sachs Group Inc.
|
3.625%
|
2/7/16
|
13,275
|
14,048
|
Goldman Sachs Group Inc.
|
6.250%
|
9/1/17
|
64,073
|
75,120
|
Goldman Sachs Group Inc.
|
5.950%
|
1/18/18
|
24,190
|
28,239
|
Goldman Sachs Group Inc.
|
7.500%
|
2/15/19
|
20,790
|
26,099
|
Goldman Sachs Group Inc.
|
6.000%
|
6/15/20
|
20,000
|
23,713
|
Goldman Sachs Group Inc.
|
5.250%
|
7/27/21
|
52,165
|
59,407
|
Goldman Sachs Group Inc.
|
5.750%
|
1/24/22
|
67,095
|
78,837
|
Goldman Sachs Group Inc.
|
6.125%
|
2/15/33
|
20,000
|
23,271
|
Goldman Sachs Group Inc.
|
6.450%
|
5/1/36
|
25,000
|
27,254
|
Goldman Sachs Group Inc.
|
6.250%
|
2/1/41
|
35,790
|
43,348
|
4 HSBC Bank plc
|
2.000%
|
1/19/14
|
11,000
|
11,085
|
4 HSBC Bank plc
|
3.500%
|
6/28/15
|
30,000
|
31,831
|
4 HSBC Bank plc
|
4.750%
|
1/19/21
|
42,960
|
49,254
|
HSBC Bank USA NA
|
4.625%
|
4/1/14
|
13,100
|
13,658
|
HSBC Bank USA NA
|
5.875%
|
11/1/34
|
21,000
|
24,589
|
HSBC Holdings plc
|
4.000%
|
3/30/22
|
10,870
|
11,842
|
HSBC Holdings plc
|
7.625%
|
5/17/32
|
15,800
|
20,411
|
HSBC Holdings plc
|
6.500%
|
5/2/36
|
22,000
|
27,238
|
HSBC Holdings plc
|
6.100%
|
1/14/42
|
58,000
|
76,259
|
HSBC USA Inc.
|
1.625%
|
1/16/18
|
35,910
|
35,862
|
4 ING Bank NV
|
2.650%
|
1/14/13
|
22,000
|
22,006
|
4 ING Bank NV
|
2.000%
|
10/18/13
|
34,000
|
34,210
|
4 ING Bank NV
|
3.750%
|
3/7/17
|
35,000
|
37,004
|
JPMorgan Chase & Co.
|
5.125%
|
9/15/14
|
5,625
|
5,977
|
|
|
|
|
|
JPMorgan Chase & Co.
|
3.450%
|
3/1/16
|
13,000
|
13,832
|
JPMorgan Chase & Co.
|
3.150%
|
7/5/16
|
22,000
|
23,263
|
JPMorgan Chase & Co.
|
2.000%
|
8/15/17
|
35,000
|
35,663
|
JPMorgan Chase & Co.
|
6.300%
|
4/23/19
|
68,310
|
84,073
|
JPMorgan Chase & Co.
|
4.625%
|
5/10/21
|
14,000
|
15,924
|
JPMorgan Chase & Co.
|
4.350%
|
8/15/21
|
33,285
|
37,182
|
JPMorgan Chase & Co.
|
4.500%
|
1/24/22
|
10,000
|
11,334
|
JPMorgan Chase & Co.
|
3.250%
|
9/23/22
|
22,380
|
23,020
|
JPMorgan Chase & Co.
|
5.600%
|
7/15/41
|
70,000
|
86,977
|
JPMorgan Chase & Co.
|
5.400%
|
1/6/42
|
16,235
|
19,506
|
4 Lloyds TSB Bank plc
|
4.375%
|
1/12/15
|
14,665
|
15,528
|
Mellon Funding Corp.
|
5.000%
|
12/1/14
|
12,000
|
12,919
|
Merrill Lynch & Co. Inc.
|
5.000%
|
2/3/14
|
15,000
|
15,610
|
Merrill Lynch & Co. Inc.
|
6.875%
|
4/25/18
|
32,000
|
38,718
|
Merrill Lynch & Co. Inc.
|
6.110%
|
1/29/37
|
30,000
|
32,794
|
Morgan Stanley
|
6.000%
|
5/13/14
|
20,894
|
22,118
|
Morgan Stanley
|
4.000%
|
7/24/15
|
32,000
|
33,483
|
Morgan Stanley
|
3.800%
|
4/29/16
|
9,470
|
9,924
|
Morgan Stanley
|
5.450%
|
1/9/17
|
15,000
|
16,600
|
Morgan Stanley
|
5.950%
|
12/28/17
|
10,000
|
11,305
|
Morgan Stanley
|
6.625%
|
4/1/18
|
15,000
|
17,632
|
Morgan Stanley
|
7.300%
|
5/13/19
|
53,955
|
65,343
|
Morgan Stanley
|
5.500%
|
7/24/20
|
15,000
|
16,839
|
Morgan Stanley
|
5.750%
|
1/25/21
|
13,900
|
15,704
|
Morgan Stanley
|
7.250%
|
4/1/32
|
51,100
|
63,789
|
National City Bank
|
5.800%
|
6/7/17
|
50,000
|
59,047
|
4 Nordea Bank AB
|
2.125%
|
1/14/14
|
33,000
|
33,398
|
4 Nordea Bank AB
|
3.700%
|
11/13/14
|
12,155
|
12,756
|
Northern Trust Co.
|
4.600%
|
2/1/13
|
10,000
|
10,031
|
Northern Trust Corp.
|
3.450%
|
11/4/20
|
10,285
|
11,044
|
PNC Bank NA
|
5.250%
|
1/15/17
|
16,000
|
18,235
|
3 PNC Financial Services Group Inc.
|
8.250%
|
5/29/49
|
12,000
|
12,210
|
PNC Funding Corp.
|
4.250%
|
9/21/15
|
5,765
|
6,284
|
4 Societe Generale SA
|
5.200%
|
4/15/21
|
13,795
|
15,248
|
4 Standard Chartered plc
|
3.850%
|
4/27/15
|
8,525
|
8,969
|
State Street Corp.
|
5.375%
|
4/30/17
|
55,500
|
65,095
|
4 Svenska Handelsbanken AB
|
4.875%
|
6/10/14
|
29,000
|
30,446
|
Svenska Handelsbanken AB
|
2.875%
|
4/4/17
|
57,000
|
60,280
|
Toronto-Dominion Bank
|
2.375%
|
10/19/16
|
15,000
|
15,770
|
UBS AG
|
2.750%
|
1/8/13
|
30,000
|
30,007
|
UBS AG
|
3.875%
|
1/15/15
|
26,000
|
27,414
|
UBS AG
|
4.875%
|
8/4/20
|
45,000
|
52,071
|
US Bancorp
|
2.875%
|
11/20/14
|
17,000
|
17,701
|
US Bancorp
|
2.200%
|
11/15/16
|
30,010
|
31,252
|
US Bancorp
|
1.650%
|
5/15/17
|
25,000
|
25,485
|
US Bank NA
|
4.950%
|
10/30/14
|
12,400
|
13,355
|
Wachovia Bank NA
|
4.800%
|
11/1/14
|
19,640
|
21,060
|
Wachovia Corp.
|
4.875%
|
2/15/14
|
19,250
|
20,035
|
Wachovia Corp.
|
5.250%
|
8/1/14
|
14,495
|
15,432
|
Wachovia Corp.
|
5.750%
|
2/1/18
|
9,500
|
11,397
|
Wachovia Corp.
|
6.605%
|
10/1/25
|
15,000
|
18,767
|
Wells Fargo & Co.
|
3.750%
|
10/1/14
|
20,000
|
21,086
|
Wells Fargo & Co.
|
3.625%
|
4/15/15
|
11,400
|
12,101
|
Wells Fargo & Co.
|
3.676%
|
6/15/16
|
17,000
|
18,338
|
Wells Fargo & Co.
|
2.625%
|
12/15/16
|
20,000
|
21,046
|
Wells Fargo & Co.
|
5.625%
|
12/11/17
|
47,000
|
55,937
|
Wells Fargo & Co.
|
4.600%
|
4/1/21
|
40,000
|
45,803
|
|
|
|
|
|
Wells Fargo & Co.
|
3.500%
|
3/8/22
|
61,300
|
65,005
|
Wells Fargo Bank NA
|
5.950%
|
8/26/36
|
25,000
|
31,812
|
|
Brokerage (0.0%)
|
|
|
|
|
Ameriprise Financial Inc.
|
5.300%
|
3/15/20
|
6,625
|
7,835
|
|
Finance Companies (1.3%)
|
|
|
|
|
General Electric Capital Corp.
|
5.375%
|
10/20/16
|
5,700
|
6,522
|
General Electric Capital Corp.
|
5.625%
|
5/1/18
|
10,000
|
11,860
|
General Electric Capital Corp.
|
5.300%
|
2/11/21
|
6,305
|
7,312
|
General Electric Capital Corp.
|
4.650%
|
10/17/21
|
65,000
|
73,818
|
General Electric Capital Corp.
|
3.150%
|
9/7/22
|
43,246
|
44,188
|
General Electric Capital Corp.
|
6.750%
|
3/15/32
|
75,000
|
97,186
|
General Electric Capital Corp.
|
5.875%
|
1/14/38
|
85,695
|
104,120
|
General Electric Capital Corp.
|
6.875%
|
1/10/39
|
33,000
|
44,738
|
HSBC Finance Corp.
|
4.750%
|
7/15/13
|
12,225
|
12,495
|
|
Insurance (2.3%)
|
|
|
|
|
ACE INA Holdings Inc.
|
2.600%
|
11/23/15
|
24,000
|
25,232
|
ACE INA Holdings Inc.
|
5.700%
|
2/15/17
|
15,000
|
17,607
|
ACE INA Holdings Inc.
|
5.900%
|
6/15/19
|
15,000
|
18,563
|
Aetna Inc.
|
1.750%
|
5/15/17
|
2,966
|
3,013
|
Aetna Inc.
|
6.500%
|
9/15/18
|
5,395
|
6,692
|
Allstate Corp.
|
7.500%
|
6/15/13
|
20,000
|
20,634
|
Allstate Corp.
|
6.200%
|
5/16/14
|
7,000
|
7,516
|
Allstate Corp.
|
7.450%
|
5/16/19
|
10,000
|
13,061
|
4 ASIF Global Financing XIX
|
4.900%
|
1/17/13
|
25,000
|
25,028
|
Berkshire Hathaway Finance Corp.
|
5.400%
|
5/15/18
|
32,000
|
38,495
|
Cigna Corp.
|
2.750%
|
11/15/16
|
13,365
|
14,055
|
Genworth Global Funding Trusts
|
5.750%
|
5/15/13
|
10,000
|
10,162
|
4 Genworth Life Institutional Funding Trust
|
5.875%
|
5/3/13
|
12,000
|
12,172
|
Hartford Financial Services Group Inc.
|
5.500%
|
10/15/16
|
16,665
|
18,686
|
4 Liberty Mutual Insurance Co.
|
8.500%
|
5/15/25
|
21,665
|
28,451
|
4 MassMutual Global Funding II
|
2.875%
|
4/21/14
|
3,878
|
3,983
|
MetLife Inc.
|
4.125%
|
8/13/42
|
5,300
|
5,293
|
4 Metropolitan Life Global Funding I
|
5.125%
|
4/10/13
|
25,000
|
25,310
|
4 Metropolitan Life Global Funding I
|
5.125%
|
6/10/14
|
15,000
|
15,934
|
4 Metropolitan Life Global Funding I
|
2.000%
|
1/9/15
|
37,000
|
37,925
|
4 Metropolitan Life Insurance Co.
|
7.800%
|
11/1/25
|
25,000
|
33,086
|
4 New York Life Global Funding
|
1.650%
|
5/15/17
|
53,000
|
54,073
|
4 New York Life Insurance Co.
|
5.875%
|
5/15/33
|
44,785
|
53,995
|
Prudential Financial Inc.
|
5.100%
|
9/20/14
|
12,000
|
12,843
|
Prudential Financial Inc.
|
4.750%
|
6/13/15
|
21,000
|
22,658
|
Prudential Financial Inc.
|
3.000%
|
5/12/16
|
3,550
|
3,747
|
Prudential Financial Inc.
|
4.500%
|
11/15/20
|
24,055
|
26,833
|
Travelers Cos. Inc.
|
5.800%
|
5/15/18
|
8,690
|
10,572
|
Travelers Cos. Inc.
|
5.900%
|
6/2/19
|
9,400
|
11,653
|
UnitedHealth Group Inc.
|
6.000%
|
2/15/18
|
22,000
|
26,660
|
UnitedHealth Group Inc.
|
3.875%
|
10/15/20
|
6,786
|
7,527
|
UnitedHealth Group Inc.
|
2.875%
|
3/15/22
|
1,665
|
1,707
|
UnitedHealth Group Inc.
|
6.625%
|
11/15/37
|
20,000
|
26,602
|
UnitedHealth Group Inc.
|
4.625%
|
11/15/41
|
36,010
|
38,475
|
WellPoint Inc.
|
4.350%
|
8/15/20
|
25,635
|
28,286
|
WellPoint Inc.
|
3.125%
|
5/15/22
|
30,450
|
30,584
|
WellPoint Inc.
|
3.300%
|
1/15/23
|
8,096
|
8,296
|
|
|
|
|
|
Real Estate Investment Trusts (0.6%)
|
|
|
|
|
Duke Realty LP
|
6.500%
|
1/15/18
|
5,170
|
6,139
|
HCP Inc.
|
6.000%
|
1/30/17
|
20,000
|
23,044
|
Liberty Property LP
|
6.625%
|
10/1/17
|
10,096
|
12,106
|
Realty Income Corp.
|
5.950%
|
9/15/16
|
9,940
|
11,431
|
Realty Income Corp.
|
5.750%
|
1/15/21
|
8,675
|
10,156
|
Simon Property Group LP
|
5.100%
|
6/15/15
|
16,000
|
17,604
|
Simon Property Group LP
|
5.250%
|
12/1/16
|
5,000
|
5,717
|
Simon Property Group LP
|
5.875%
|
3/1/17
|
15,000
|
17,687
|
Simon Property Group LP
|
6.125%
|
5/30/18
|
6,625
|
8,037
|
Simon Property Group LP
|
4.375%
|
3/1/21
|
22,000
|
24,679
|
Simon Property Group LP
|
4.125%
|
12/1/21
|
12,946
|
14,385
|
4 WEA Finance LLC
|
7.125%
|
4/15/18
|
21,425
|
26,413
|
4 WEA Finance LLC / WT Finance Aust Pty Ltd.
|
7.500%
|
6/2/14
|
25,000
|
27,247
|
|
|
|
|
5,566,015
|
Industrial (21.8%)
|
|
|
|
|
Basic Industry (0.5%)
|
|
|
|
|
Agrium Inc.
|
6.125%
|
1/15/41
|
6,055
|
7,292
|
EI du Pont de Nemours & Co.
|
2.750%
|
4/1/16
|
23,000
|
24,317
|
Monsanto Finance Canada Co.
|
5.500%
|
7/30/35
|
15,000
|
18,807
|
Rio Tinto Alcan Inc.
|
4.500%
|
5/15/13
|
22,300
|
22,639
|
Rio Tinto Finance USA plc
|
2.000%
|
3/22/17
|
18,285
|
18,768
|
Rio Tinto Finance USA plc
|
1.625%
|
8/21/17
|
38,000
|
38,464
|
Rio Tinto Finance USA plc
|
3.500%
|
3/22/22
|
34,000
|
35,723
|
Rio Tinto Finance USA plc
|
4.750%
|
3/22/42
|
10,000
|
11,095
|
|
Capital Goods (1.7%)
|
|
|
|
|
3M Co.
|
6.375%
|
2/15/28
|
25,000
|
33,580
|
Boeing Co.
|
3.750%
|
11/20/16
|
23,500
|
25,969
|
Caterpillar Financial Services Corp.
|
1.375%
|
5/20/14
|
19,745
|
19,982
|
Caterpillar Financial Services Corp.
|
2.750%
|
6/24/15
|
7,500
|
7,863
|
Caterpillar Inc.
|
3.900%
|
5/27/21
|
32,880
|
36,872
|
Caterpillar Inc.
|
2.600%
|
6/26/22
|
9,575
|
9,654
|
Caterpillar Inc.
|
3.803%
|
8/15/42
|
20,469
|
20,326
|
Deere & Co.
|
4.375%
|
10/16/19
|
13,090
|
15,177
|
Dover Corp.
|
4.875%
|
10/15/15
|
10,000
|
11,134
|
Eaton Corp. plc
|
5.300%
|
3/15/17
|
20,000
|
23,071
|
Eaton Corp. plc
|
6.500%
|
6/1/25
|
10,000
|
12,835
|
General Dynamics Corp.
|
3.875%
|
7/15/21
|
9,950
|
11,164
|
General Electric Co.
|
4.125%
|
10/9/42
|
7,940
|
8,149
|
Honeywell International Inc.
|
4.250%
|
3/1/21
|
29,484
|
34,430
|
Ingersoll-Rand Global Holding Co. Ltd.
|
6.000%
|
8/15/13
|
7,000
|
7,227
|
John Deere Capital Corp.
|
2.950%
|
3/9/15
|
6,595
|
6,903
|
John Deere Capital Corp.
|
2.000%
|
1/13/17
|
53,000
|
54,910
|
John Deere Capital Corp.
|
1.700%
|
1/15/20
|
7,545
|
7,485
|
John Deere Capital Corp.
|
3.150%
|
10/15/21
|
21,251
|
22,402
|
Lockheed Martin Corp.
|
2.125%
|
9/15/16
|
6,700
|
6,950
|
Raytheon Co.
|
3.125%
|
10/15/20
|
10,000
|
10,628
|
4 Siemens Financieringsmaatschappij NV
|
5.750%
|
10/17/16
|
45,820
|
53,508
|
United Technologies Corp.
|
4.875%
|
5/1/15
|
10,105
|
11,102
|
United Technologies Corp.
|
1.800%
|
6/1/17
|
13,070
|
13,405
|
United Technologies Corp.
|
4.500%
|
4/15/20
|
24,170
|
28,385
|
United Technologies Corp.
|
3.100%
|
6/1/22
|
10,095
|
10,677
|
United Technologies Corp.
|
4.500%
|
6/1/42
|
38,885
|
43,071
|
|
Communication (4.9%)
|
|
|
|
|
America Movil SAB de CV
|
3.125%
|
7/16/22
|
49,185
|
50,126
|
|
|
|
|
|
America Movil SAB de CV
|
6.125%
|
3/30/40
|
10,000
|
13,234
|
America Movil SAB de CV
|
4.375%
|
7/16/42
|
17,680
|
17,957
|
AT&T Inc.
|
2.500%
|
8/15/15
|
21,000
|
21,908
|
AT&T Inc.
|
2.950%
|
5/15/16
|
48,790
|
51,560
|
AT&T Inc.
|
1.600%
|
2/15/17
|
20,000
|
20,270
|
AT&T Inc.
|
1.400%
|
12/1/17
|
20,000
|
20,045
|
AT&T Inc.
|
3.875%
|
8/15/21
|
40,000
|
44,495
|
AT&T Inc.
|
3.000%
|
2/15/22
|
10,000
|
10,437
|
AT&T Inc.
|
6.500%
|
9/1/37
|
50,000
|
64,867
|
AT&T Inc.
|
6.300%
|
1/15/38
|
2,863
|
3,651
|
AT&T Inc.
|
6.400%
|
5/15/38
|
5,000
|
6,471
|
AT&T Inc.
|
6.550%
|
2/15/39
|
19,580
|
25,699
|
AT&T Inc.
|
5.350%
|
9/1/40
|
33,257
|
38,559
|
AT&T Inc.
|
5.550%
|
8/15/41
|
12,137
|
14,479
|
BellSouth Corp.
|
6.000%
|
11/15/34
|
34,000
|
38,328
|
CBS Corp.
|
5.750%
|
4/15/20
|
3,995
|
4,781
|
CBS Corp.
|
4.300%
|
2/15/21
|
36,710
|
40,373
|
CBS Corp.
|
3.375%
|
3/1/22
|
6,930
|
7,199
|
Cellco Partnership / Verizon Wireless Capital
|
|
|
|
|
LLC
|
5.550%
|
2/1/14
|
18,000
|
18,903
|
Cellco Partnership / Verizon Wireless Capital
|
|
|
|
|
LLC
|
8.500%
|
11/15/18
|
12,500
|
17,198
|
Comcast Corp.
|
6.450%
|
3/15/37
|
20,000
|
25,563
|
Comcast Corp.
|
6.950%
|
8/15/37
|
45,000
|
60,867
|
4 COX Communications Inc.
|
5.875%
|
12/1/16
|
40,000
|
46,816
|
4 COX Communications Inc.
|
4.700%
|
12/15/42
|
5,250
|
5,375
|
4 Deutsche Telekom International Finance BV
|
2.250%
|
3/6/17
|
14,240
|
14,591
|
Deutsche Telekom International Finance BV
|
8.750%
|
6/15/30
|
30,000
|
44,857
|
DIRECTV Holdings LLC / DIRECTV Financing
|
|
|
|
|
Co. Inc.
|
3.125%
|
2/15/16
|
11,000
|
11,507
|
DIRECTV Holdings LLC / DIRECTV Financing
|
|
|
|
|
Co. Inc.
|
5.200%
|
3/15/20
|
20,000
|
22,676
|
DIRECTV Holdings LLC / DIRECTV Financing
|
|
|
|
|
Co. Inc.
|
5.000%
|
3/1/21
|
10,000
|
11,207
|
DIRECTV Holdings LLC / DIRECTV Financing
|
|
|
|
|
Co. Inc.
|
3.800%
|
3/15/22
|
11,000
|
11,336
|
DIRECTV Holdings LLC / DIRECTV Financing
|
|
|
|
|
Co. Inc.
|
6.000%
|
8/15/40
|
8,000
|
8,816
|
DIRECTV Holdings LLC / DIRECTV Financing
|
|
|
|
|
Co. Inc.
|
6.375%
|
3/1/41
|
24,895
|
29,099
|
Discovery Communications LLC
|
5.625%
|
8/15/19
|
7,635
|
9,127
|
Discovery Communications LLC
|
5.050%
|
6/1/20
|
13,365
|
15,539
|
Discovery Communications LLC
|
4.950%
|
5/15/42
|
3,205
|
3,426
|
France Telecom SA
|
8.500%
|
3/1/31
|
40,000
|
59,426
|
Grupo Televisa SAB
|
6.625%
|
1/15/40
|
13,805
|
17,571
|
Michigan Bell Telephone Co.
|
7.850%
|
1/15/22
|
25,000
|
34,074
|
NBCUniversal Media LLC
|
4.375%
|
4/1/21
|
26,000
|
29,300
|
News America Inc.
|
4.500%
|
2/15/21
|
4,650
|
5,307
|
News America Inc.
|
6.200%
|
12/15/34
|
11,000
|
13,256
|
News America Inc.
|
6.150%
|
3/1/37
|
12,668
|
15,465
|
News America Inc.
|
6.650%
|
11/15/37
|
5,320
|
6,847
|
News America Inc.
|
6.150%
|
2/15/41
|
7,985
|
10,055
|
4 SBA Tower Trust
|
4.254%
|
4/15/15
|
16,640
|
17,485
|
4 SBA Tower Trust
|
2.933%
|
12/15/17
|
28,850
|
29,971
|
Telefonica Emisiones SAU
|
3.992%
|
2/16/16
|
24,850
|
25,952
|
Time Warner Cable Inc.
|
5.850%
|
5/1/17
|
70,000
|
82,540
|
Time Warner Cable Inc.
|
4.500%
|
9/15/42
|
8,725
|
8,442
|
|
|
|
|
|
|
|
Verizon Communications Inc.
|
3.000%
|
4/1/16
|
10,000
|
10,675
|
|
Verizon Communications Inc.
|
5.500%
|
4/1/17
|
35,000
|
41,250
|
|
Verizon Communications Inc.
|
6.100%
|
4/15/18
|
11,000
|
13,527
|
|
Verizon Communications Inc.
|
3.500%
|
11/1/21
|
78,905
|
86,417
|
|
Verizon Communications Inc.
|
6.400%
|
2/15/38
|
23,000
|
31,145
|
|
Verizon Communications Inc.
|
4.750%
|
11/1/41
|
28,730
|
32,488
|
|
Verizon New Jersey Inc.
|
8.000%
|
6/1/22
|
14,585
|
19,749
|
|
Verizon Virginia Inc.
|
7.875%
|
1/15/22
|
16,000
|
21,407
|
|
Vodafone Group plc
|
2.875%
|
3/16/16
|
34,000
|
35,956
|
|
Vodafone Group plc
|
1.250%
|
9/26/17
|
37,000
|
37,098
|
|
Vodafone Group plc
|
5.450%
|
6/10/19
|
26,000
|
31,632
|
|
Vodafone Group plc
|
2.500%
|
9/26/22
|
23,185
|
23,122
|
|
|
Consumer Cyclical (3.8%)
|
|
|
|
|
|
Amazon.com Inc.
|
2.500%
|
11/29/22
|
31,600
|
30,996
|
4
|
American Honda Finance Corp.
|
6.700%
|
10/1/13
|
25,000
|
26,136
|
4
|
American Honda Finance Corp.
|
2.500%
|
9/21/15
|
25,000
|
26,052
|
4
|
American Honda Finance Corp.
|
1.500%
|
9/11/17
|
15,750
|
15,747
|
|
AutoZone Inc.
|
4.000%
|
11/15/20
|
25,000
|
27,177
|
|
AutoZone Inc.
|
3.700%
|
4/15/22
|
12,752
|
13,396
|
|
CVS Caremark Corp.
|
5.750%
|
6/1/17
|
12,176
|
14,501
|
|
CVS Caremark Corp.
|
2.750%
|
12/1/22
|
20,000
|
20,138
|
3,4
CVS Pass-Through Trust
|
5.926%
|
1/10/34
|
16,157
|
19,440
|
|
Daimler Finance North America LLC
|
6.500%
|
11/15/13
|
11,845
|
12,429
|
4
|
Daimler Finance North America LLC
|
3.000%
|
3/28/16
|
6,500
|
6,808
|
4
|
Daimler Finance North America LLC
|
2.625%
|
9/15/16
|
44,000
|
45,753
|
4
|
Daimler Finance North America LLC
|
2.250%
|
7/31/19
|
55,275
|
55,441
|
|
eBay Inc.
|
1.350%
|
7/15/17
|
10,960
|
11,070
|
|
eBay Inc.
|
2.600%
|
7/15/22
|
17,530
|
17,720
|
4
|
Harley-Davidson Financial Services Inc.
|
2.700%
|
3/15/17
|
12,122
|
12,560
|
|
Home Depot Inc.
|
5.400%
|
3/1/16
|
5,000
|
5,714
|
|
Home Depot Inc.
|
3.950%
|
9/15/20
|
5,500
|
6,261
|
|
Home Depot Inc.
|
4.400%
|
4/1/21
|
12,300
|
14,410
|
4
|
Hyundai Capital America
|
1.625%
|
10/2/15
|
13,520
|
13,566
|
|
Johnson Controls Inc.
|
5.000%
|
3/30/20
|
29,000
|
32,848
|
|
Johnson Controls Inc.
|
3.750%
|
12/1/21
|
25,000
|
26,678
|
|
Lowe's Cos. Inc.
|
5.000%
|
10/15/15
|
20,000
|
22,371
|
|
Lowe's Cos. Inc.
|
2.125%
|
4/15/16
|
26,665
|
27,727
|
|
Lowe's Cos. Inc.
|
6.650%
|
9/15/37
|
5,000
|
6,831
|
|
Lowe's Cos. Inc.
|
5.800%
|
4/15/40
|
10,280
|
13,068
|
|
McDonald's Corp.
|
1.875%
|
5/29/19
|
6,180
|
6,279
|
|
McDonald's Corp.
|
3.500%
|
7/15/20
|
21,760
|
24,093
|
|
McDonald's Corp.
|
2.625%
|
1/15/22
|
10,175
|
10,450
|
4
|
Nissan Motor Acceptance Corp.
|
1.950%
|
9/12/17
|
42,355
|
42,805
|
|
PACCAR Financial Corp.
|
1.600%
|
3/15/17
|
34,687
|
35,364
|
|
Target Corp.
|
5.375%
|
5/1/17
|
5,000
|
5,889
|
|
Target Corp.
|
6.000%
|
1/15/18
|
16,500
|
20,318
|
|
Target Corp.
|
2.900%
|
1/15/22
|
24,000
|
25,268
|
|
Target Corp.
|
7.000%
|
1/15/38
|
17,500
|
25,672
|
|
Time Warner Inc.
|
5.875%
|
11/15/16
|
39,000
|
45,637
|
|
Time Warner Inc.
|
4.750%
|
3/29/21
|
13,000
|
14,863
|
|
Time Warner Inc.
|
6.250%
|
3/29/41
|
8,000
|
9,894
|
|
Toyota Motor Credit Corp.
|
2.800%
|
1/11/16
|
29,762
|
31,349
|
|
Toyota Motor Credit Corp.
|
2.050%
|
1/12/17
|
26,000
|
26,810
|
|
Toyota Motor Credit Corp.
|
1.750%
|
5/22/17
|
22,000
|
22,541
|
|
Toyota Motor Credit Corp.
|
1.250%
|
10/5/17
|
34,150
|
34,224
|
|
Viacom Inc.
|
6.250%
|
4/30/16
|
20,000
|
23,208
|
|
|
|
|
|
Viacom Inc.
|
5.625%
|
9/15/19
|
10,000
|
11,916
|
Viacom Inc.
|
3.875%
|
12/15/21
|
9,815
|
10,661
|
4 Volkswagen International Finance NV
|
1.625%
|
8/12/13
|
24,220
|
24,362
|
4 Volkswagen International Finance NV
|
1.625%
|
3/22/15
|
50,000
|
50,686
|
Wal-Mart Stores Inc.
|
3.625%
|
7/8/20
|
75,000
|
83,507
|
Wal-Mart Stores Inc.
|
3.250%
|
10/25/20
|
6,290
|
6,831
|
Wal-Mart Stores Inc.
|
4.250%
|
4/15/21
|
15,000
|
17,524
|
Wal-Mart Stores Inc.
|
5.625%
|
4/15/41
|
52,780
|
68,262
|
Walt Disney Co.
|
5.625%
|
9/15/16
|
20,000
|
23,292
|
Western Union Co.
|
5.930%
|
10/1/16
|
12,750
|
13,981
|
|
Consumer Noncyclical (6.9%)
|
|
|
|
|
4 AbbVie Inc.
|
1.750%
|
11/6/17
|
28,485
|
28,747
|
4 AbbVie Inc.
|
2.000%
|
11/6/18
|
34,395
|
34,732
|
Altria Group Inc.
|
4.750%
|
5/5/21
|
40,806
|
46,192
|
Altria Group Inc.
|
2.850%
|
8/9/22
|
13,000
|
12,847
|
Amgen Inc.
|
2.300%
|
6/15/16
|
11,460
|
11,923
|
Amgen Inc.
|
5.150%
|
11/15/41
|
31,000
|
34,818
|
Anheuser-Busch InBev Worldwide Inc.
|
7.750%
|
1/15/19
|
8,700
|
11,592
|
Anheuser-Busch InBev Worldwide Inc.
|
6.875%
|
11/15/19
|
8,300
|
10,907
|
Anheuser-Busch InBev Worldwide Inc.
|
5.375%
|
1/15/20
|
75,000
|
91,460
|
Anheuser-Busch InBev Worldwide Inc.
|
4.375%
|
2/15/21
|
7,000
|
8,164
|
Anheuser-Busch InBev Worldwide Inc.
|
2.500%
|
7/15/22
|
35,200
|
35,374
|
Anheuser-Busch InBev Worldwide Inc.
|
3.750%
|
7/15/42
|
6,610
|
6,619
|
Archer-Daniels-Midland Co.
|
4.479%
|
3/1/21
|
12,000
|
13,561
|
AstraZeneca plc
|
5.900%
|
9/15/17
|
50,000
|
60,771
|
AstraZeneca plc
|
1.950%
|
9/18/19
|
40,325
|
40,781
|
4 BAT International Finance plc
|
3.250%
|
6/7/22
|
50,880
|
52,636
|
Baxter International Inc.
|
2.400%
|
8/15/22
|
34,155
|
33,889
|
Becton Dickinson & Co.
|
1.750%
|
11/8/16
|
19,145
|
19,676
|
Bestfoods
|
6.625%
|
4/15/28
|
25,000
|
34,390
|
Cardinal Health Inc.
|
5.850%
|
12/15/17
|
4,000
|
4,689
|
4 Cargill Inc.
|
6.000%
|
11/27/17
|
7,000
|
8,401
|
4 Cargill Inc.
|
6.125%
|
9/15/36
|
22,000
|
27,202
|
4 Cargill Inc.
|
6.625%
|
9/15/37
|
42,830
|
56,292
|
Catholic Health Initiatives Colorado GO
|
1.600%
|
11/1/17
|
1,935
|
1,953
|
Catholic Health Initiatives Colorado GO
|
2.950%
|
11/1/22
|
5,450
|
5,500
|
3 Catholic Health Initiatives Colorado GO
|
4.350%
|
11/1/42
|
23,410
|
23,982
|
Coca-Cola Co.
|
1.800%
|
9/1/16
|
8,098
|
8,362
|
Coca-Cola Co.
|
5.350%
|
11/15/17
|
50,000
|
59,691
|
Coca-Cola Enterprises Inc.
|
2.125%
|
9/15/15
|
5,000
|
5,161
|
Coca-Cola Enterprises Inc.
|
2.000%
|
8/19/16
|
13,955
|
14,314
|
Coca-Cola Enterprises Inc.
|
3.500%
|
9/15/20
|
4,600
|
4,890
|
Coca-Cola Enterprises Inc.
|
4.500%
|
9/1/21
|
14,785
|
16,850
|
Colgate-Palmolive Co.
|
2.950%
|
11/1/20
|
25,000
|
26,859
|
Diageo Capital plc
|
5.500%
|
9/30/16
|
11,066
|
12,843
|
Diageo Investment Corp.
|
2.875%
|
5/11/22
|
17,245
|
17,839
|
Dr Pepper Snapple Group Inc.
|
2.900%
|
1/15/16
|
7,406
|
7,818
|
Dr Pepper Snapple Group Inc.
|
2.000%
|
1/15/20
|
6,850
|
6,787
|
Dr Pepper Snapple Group Inc.
|
2.700%
|
11/15/22
|
6,900
|
6,887
|
Eli Lilly & Co.
|
5.500%
|
3/15/27
|
20,000
|
25,289
|
Express Scripts Holding Co.
|
6.250%
|
6/15/14
|
9,065
|
9,762
|
4 Express Scripts Holding Co.
|
3.500%
|
11/15/16
|
46,000
|
49,312
|
4 Express Scripts Holding Co.
|
2.650%
|
2/15/17
|
12,371
|
12,860
|
General Mills Inc.
|
5.650%
|
2/15/19
|
6,850
|
8,352
|
GlaxoSmithKline Capital Inc.
|
5.650%
|
5/15/18
|
20,000
|
24,316
|
GlaxoSmithKline Capital Inc.
|
5.375%
|
4/15/34
|
16,055
|
19,476
|
|
|
|
|
|
GlaxoSmithKline Capital plc
|
1.500%
|
5/8/17
|
20,770
|
21,110
|
GlaxoSmithKline Capital plc
|
2.850%
|
5/8/22
|
43,395
|
45,094
|
4 Heineken NV
|
1.400%
|
10/1/17
|
7,495
|
7,477
|
4 Heineken NV
|
2.750%
|
4/1/23
|
5,835
|
5,737
|
4 Heineken NV
|
4.000%
|
10/1/42
|
1,260
|
1,202
|
Johnson & Johnson
|
2.150%
|
5/15/16
|
5,820
|
6,100
|
Johnson & Johnson
|
6.730%
|
11/15/23
|
15,000
|
21,228
|
Kaiser Foundation Hospitals
|
3.500%
|
4/1/22
|
6,525
|
6,861
|
Kaiser Foundation Hospitals
|
4.875%
|
4/1/42
|
11,840
|
13,388
|
Kellogg Co.
|
4.000%
|
12/15/20
|
41,000
|
45,715
|
Kimberly-Clark Corp.
|
6.250%
|
7/15/18
|
25,000
|
31,383
|
4 Kraft Foods Group Inc.
|
2.250%
|
6/5/17
|
10,085
|
10,446
|
4 Kraft Foods Group Inc.
|
3.500%
|
6/6/22
|
18,735
|
20,020
|
4 Kraft Foods Group Inc.
|
5.000%
|
6/4/42
|
11,075
|
12,457
|
Kroger Co.
|
2.200%
|
1/15/17
|
22,780
|
23,509
|
McKesson Corp.
|
3.250%
|
3/1/16
|
4,910
|
5,257
|
McKesson Corp.
|
2.700%
|
12/15/22
|
7,010
|
6,985
|
Memorial Sloan-Kettering Cancer Center New
|
|
|
|
|
York GO
|
5.000%
|
7/1/42
|
11,505
|
13,262
|
Memorial Sloan-Kettering Cancer Center New
|
|
|
|
|
York GO
|
4.125%
|
7/1/52
|
6,535
|
6,351
|
Merck & Co. Inc.
|
5.000%
|
6/30/19
|
18,000
|
21,645
|
Merck & Co. Inc.
|
3.875%
|
1/15/21
|
30,000
|
33,443
|
Molson Coors Brewing Co.
|
2.000%
|
5/1/17
|
1,036
|
1,063
|
Molson Coors Brewing Co.
|
3.500%
|
5/1/22
|
4,905
|
5,168
|
Molson Coors Brewing Co.
|
5.000%
|
5/1/42
|
13,220
|
14,747
|
Mondelez International Inc.
|
4.125%
|
2/9/16
|
15,000
|
16,334
|
Mondelez International Inc.
|
5.375%
|
2/10/20
|
15,000
|
18,156
|
Mondelez International Inc.
|
6.875%
|
1/26/39
|
7,000
|
9,640
|
Mondelez International Inc.
|
6.500%
|
2/9/40
|
12,000
|
16,100
|
PepsiCo Inc.
|
3.100%
|
1/15/15
|
26,000
|
27,329
|
PepsiCo Inc.
|
3.125%
|
11/1/20
|
53,000
|
56,973
|
PepsiCo Inc.
|
2.750%
|
3/5/22
|
10,000
|
10,318
|
PepsiCo Inc.
|
4.000%
|
3/5/42
|
35,200
|
36,354
|
4 Pernod-Ricard SA
|
4.450%
|
1/15/22
|
31,465
|
34,762
|
Pfizer Inc.
|
5.350%
|
3/15/15
|
19,610
|
21,611
|
Pfizer Inc.
|
6.200%
|
3/15/19
|
28,600
|
36,194
|
Philip Morris International Inc.
|
4.500%
|
3/26/20
|
25,000
|
29,186
|
Philip Morris International Inc.
|
4.125%
|
5/17/21
|
15,705
|
17,722
|
Philip Morris International Inc.
|
2.500%
|
8/22/22
|
13,250
|
13,272
|
Philip Morris International Inc.
|
3.875%
|
8/21/42
|
22,785
|
22,594
|
3 Procter & Gamble - Esop
|
9.360%
|
1/1/21
|
18,245
|
24,257
|
Procter & Gamble Co.
|
6.450%
|
1/15/26
|
25,000
|
34,601
|
Procter & Gamble Co.
|
5.550%
|
3/5/37
|
25,000
|
33,496
|
4 Roche Holdings Inc.
|
6.000%
|
3/1/19
|
37,000
|
46,113
|
4 SABMiller Holdings Inc.
|
2.450%
|
1/15/17
|
15,100
|
15,779
|
4 SABMiller Holdings Inc.
|
3.750%
|
1/15/22
|
4,310
|
4,652
|
4 SABMiller Holdings Inc.
|
4.950%
|
1/15/42
|
5,700
|
6,494
|
4 SABMiller plc
|
6.500%
|
7/15/18
|
30,000
|
37,270
|
Sanofi
|
4.000%
|
3/29/21
|
36,275
|
41,193
|
St. Jude Medical Inc.
|
2.500%
|
1/15/16
|
18,175
|
18,869
|
4 Tesco plc
|
5.500%
|
11/15/17
|
10,000
|
11,816
|
Thermo Fisher Scientific Inc.
|
2.050%
|
2/21/14
|
5,216
|
5,295
|
Thermo Fisher Scientific Inc.
|
3.250%
|
11/20/14
|
5,160
|
5,396
|
Thermo Fisher Scientific Inc.
|
3.200%
|
5/1/15
|
6,020
|
6,347
|
Thermo Fisher Scientific Inc.
|
3.200%
|
3/1/16
|
9,330
|
9,900
|
Thermo Fisher Scientific Inc.
|
1.850%
|
1/15/18
|
18,975
|
19,267
|
|
|
|
|
|
Unilever Capital Corp.
|
4.250%
|
2/10/21
|
78,185
|
90,141
|
Wyeth LLC
|
5.950%
|
4/1/37
|
15,000
|
19,927
|
|
Energy (1.7%)
|
|
|
|
|
Apache Corp.
|
6.900%
|
9/15/18
|
5,000
|
6,362
|
4 BG Energy Capital plc
|
2.875%
|
10/15/16
|
26,655
|
28,145
|
BP Capital Markets plc
|
3.125%
|
10/1/15
|
11,000
|
11,677
|
BP Capital Markets plc
|
3.200%
|
3/11/16
|
24,000
|
25,587
|
BP Capital Markets plc
|
2.248%
|
11/1/16
|
34,545
|
35,943
|
BP Capital Markets plc
|
4.750%
|
3/10/19
|
18,140
|
20,993
|
BP Capital Markets plc
|
4.500%
|
10/1/20
|
28,000
|
32,259
|
BP Capital Markets plc
|
4.742%
|
3/11/21
|
10,000
|
11,690
|
BP Capital Markets plc
|
3.245%
|
5/6/22
|
10,000
|
10,498
|
ConocoPhillips
|
7.000%
|
3/30/29
|
11,500
|
15,355
|
ConocoPhillips Canada Funding Co. I
|
5.625%
|
10/15/16
|
15,000
|
17,596
|
Encana Corp.
|
6.500%
|
8/15/34
|
15,000
|
18,353
|
EOG Resources Inc.
|
5.625%
|
6/1/19
|
8,285
|
10,156
|
4 Motiva Enterprises LLC
|
5.750%
|
1/15/20
|
2,535
|
3,058
|
Occidental Petroleum Corp.
|
4.100%
|
2/1/21
|
27,466
|
31,329
|
Occidental Petroleum Corp.
|
2.700%
|
2/15/23
|
18,000
|
18,384
|
4 Schlumberger Investment SA
|
2.400%
|
8/1/22
|
20,765
|
20,502
|
Shell International Finance BV
|
3.100%
|
6/28/15
|
10,000
|
10,603
|
Shell International Finance BV
|
3.250%
|
9/22/15
|
14,785
|
15,819
|
Shell International Finance BV
|
4.375%
|
3/25/20
|
24,000
|
27,816
|
Shell International Finance BV
|
2.250%
|
1/6/23
|
46,000
|
45,147
|
Suncor Energy Inc.
|
5.950%
|
12/1/34
|
13,000
|
15,684
|
Texaco Capital Inc.
|
8.625%
|
4/1/32
|
25,000
|
40,215
|
Total Capital International SA
|
1.550%
|
6/28/17
|
38,435
|
39,016
|
Total Capital International SA
|
2.700%
|
1/25/23
|
30,390
|
30,900
|
|
Other Industrial (0.2%)
|
|
|
|
|
4 Hutchison Whampoa International 09/16 Ltd.
|
4.625%
|
9/11/15
|
12,000
|
12,981
|
4 Hutchison Whampoa International 09/19 Ltd.
|
5.750%
|
9/11/19
|
12,000
|
14,257
|
4 Hutchison Whampoa International 11 Ltd.
|
3.500%
|
1/13/17
|
19,660
|
20,831
|
|
Technology (1.5%)
|
|
|
|
|
Cisco Systems Inc.
|
4.450%
|
1/15/20
|
41,500
|
48,162
|
Dell Inc.
|
5.875%
|
6/15/19
|
18,250
|
21,233
|
Google Inc.
|
2.125%
|
5/19/16
|
14,050
|
14,673
|
Hewlett-Packard Co.
|
2.650%
|
6/1/16
|
45,000
|
44,968
|
Hewlett-Packard Co.
|
3.750%
|
12/1/20
|
42,000
|
40,706
|
Hewlett-Packard Co.
|
4.300%
|
6/1/21
|
45,000
|
44,524
|
Intel Corp.
|
3.300%
|
10/1/21
|
10,000
|
10,560
|
International Business Machines Corp.
|
2.000%
|
1/5/16
|
35,000
|
36,263
|
International Business Machines Corp.
|
1.250%
|
2/6/17
|
8,395
|
8,485
|
International Business Machines Corp.
|
5.700%
|
9/14/17
|
41,710
|
50,311
|
International Business Machines Corp.
|
7.000%
|
10/30/25
|
25,000
|
36,038
|
Microsoft Corp.
|
3.000%
|
10/1/20
|
10,000
|
10,795
|
Microsoft Corp.
|
4.000%
|
2/8/21
|
13,500
|
15,485
|
Microsoft Corp.
|
4.500%
|
10/1/40
|
18,210
|
20,307
|
Oracle Corp.
|
5.000%
|
7/8/19
|
35,000
|
42,039
|
Oracle Corp.
|
6.125%
|
7/8/39
|
8,000
|
10,647
|
Pitney Bowes Inc.
|
4.750%
|
5/15/18
|
3,000
|
3,119
|
Xerox Corp.
|
8.250%
|
5/15/14
|
10,335
|
11,258
|
Xerox Corp.
|
6.750%
|
2/1/17
|
3,525
|
4,103
|
Xerox Corp.
|
6.350%
|
5/15/18
|
2,395
|
2,772
|
|
|
|
|
|
Xerox Corp.
|
5.625%
|
12/15/19
|
1,245
|
1,391
|
|
Transportation (0.6%)
|
|
|
|
|
Burlington Northern Santa Fe LLC
|
3.050%
|
3/15/22
|
7,235
|
7,452
|
4 ERAC USA Finance LLC
|
2.250%
|
1/10/14
|
3,075
|
3,115
|
4 ERAC USA Finance LLC
|
6.375%
|
10/15/17
|
36,290
|
43,819
|
4 ERAC USA Finance LLC
|
4.500%
|
8/16/21
|
10,270
|
11,262
|
4 ERAC USA Finance LLC
|
3.300%
|
10/15/22
|
745
|
747
|
4 ERAC USA Finance LLC
|
5.625%
|
3/15/42
|
31,000
|
33,992
|
FedEx Corp.
|
2.625%
|
8/1/22
|
14,760
|
14,630
|
FedEx Corp.
|
3.875%
|
8/1/42
|
4,505
|
4,390
|
Ryder System Inc.
|
2.500%
|
3/1/18
|
32,000
|
32,541
|
United Parcel Service Inc.
|
1.125%
|
10/1/17
|
4,055
|
4,058
|
United Parcel Service Inc.
|
2.450%
|
10/1/22
|
17,095
|
17,051
|
United Parcel Service Inc.
|
4.875%
|
11/15/40
|
14,810
|
17,186
|
|
|
|
|
7,046,997
|
Utilities (3.6%)
|
|
|
|
|
Electric (3.2%)
|
|
|
|
|
Alabama Power Co.
|
5.550%
|
2/1/17
|
11,765
|
13,742
|
Ameren Illinois Co.
|
2.700%
|
9/1/22
|
58,000
|
57,950
|
Baltimore Gas & Electric Co.
|
5.900%
|
10/1/16
|
15,000
|
17,385
|
Baltimore Gas & Electric Co.
|
2.800%
|
8/15/22
|
26,250
|
26,671
|
Carolina Power & Light Co.
|
2.800%
|
5/15/22
|
20,140
|
20,743
|
Carolina Power & Light Co.
|
6.300%
|
4/1/38
|
1,625
|
2,202
|
Consolidated Edison Co. of New York Inc.
|
6.300%
|
8/15/37
|
50,000
|
67,489
|
Duke Energy Carolinas LLC
|
5.250%
|
1/15/18
|
29,190
|
34,893
|
Duke Energy Carolinas LLC
|
3.900%
|
6/15/21
|
11,045
|
12,367
|
Duke Energy Corp.
|
2.150%
|
11/15/16
|
35,000
|
36,275
|
Duke Energy Corp.
|
1.625%
|
8/15/17
|
34,840
|
35,060
|
4 Enel Finance International NV
|
6.800%
|
9/15/37
|
8,935
|
9,317
|
Florida Power & Light Co.
|
6.200%
|
6/1/36
|
22,452
|
29,943
|
Florida Power & Light Co.
|
5.250%
|
2/1/41
|
23,745
|
29,078
|
Florida Power & Light Co.
|
4.125%
|
2/1/42
|
20,000
|
20,839
|
Georgia Power Co.
|
5.700%
|
6/1/17
|
50,000
|
59,625
|
Georgia Power Co.
|
4.300%
|
3/15/42
|
25,835
|
27,103
|
MidAmerican Energy Holdings Co.
|
6.500%
|
9/15/37
|
35,000
|
46,366
|
Mississippi Power Co.
|
4.250%
|
3/15/42
|
20,000
|
20,532
|
National Rural Utilities Cooperative Finance
|
|
|
|
|
Corp.
|
3.050%
|
2/15/22
|
13,800
|
14,426
|
4 Niagara Mohawk Power Corp.
|
3.553%
|
10/1/14
|
16,500
|
17,240
|
NSTAR LLC
|
4.500%
|
11/15/19
|
1,880
|
2,130
|
Oklahoma Gas & Electric Co.
|
6.500%
|
4/15/28
|
10,000
|
12,365
|
Oncor Electric Delivery Co. LLC
|
5.250%
|
9/30/40
|
10,415
|
11,481
|
Pacific Gas & Electric Co.
|
4.250%
|
5/15/21
|
8,335
|
9,572
|
Pacific Gas & Electric Co.
|
2.450%
|
8/15/22
|
45,000
|
44,770
|
Pacific Gas & Electric Co.
|
3.750%
|
8/15/42
|
35,460
|
33,675
|
Potomac Electric Power Co.
|
6.500%
|
11/15/37
|
8,000
|
11,384
|
PPL Electric Utilities Corp.
|
2.500%
|
9/1/22
|
12,830
|
12,929
|
PPL Electric Utilities Corp.
|
6.250%
|
5/15/39
|
2,675
|
3,627
|
Progress Energy Inc.
|
3.150%
|
4/1/22
|
20,800
|
21,117
|
PSEG Power LLC
|
5.125%
|
4/15/20
|
15,000
|
17,112
|
Public Service Co. of Colorado
|
3.200%
|
11/15/20
|
13,650
|
14,878
|
Public Service Electric & Gas Co.
|
2.700%
|
5/1/15
|
7,970
|
8,319
|
Public Service Electric & Gas Co.
|
3.500%
|
8/15/20
|
10,000
|
11,047
|
Puget Sound Energy Inc.
|
4.434%
|
11/15/41
|
19,880
|
21,734
|
South Carolina Electric & Gas Co.
|
4.350%
|
2/1/42
|
29,880
|
31,546
|
Southern California Edison Co.
|
5.500%
|
8/15/18
|
31,730
|
38,763
|
|
|
|
|
|
Southern California Edison Co.
|
3.875%
|
6/1/21
|
24,860
|
28,060
|
Virginia Electric & Power Co.
|
4.750%
|
3/1/13
|
16,350
|
16,466
|
Virginia Electric & Power Co.
|
5.950%
|
9/15/17
|
50,000
|
60,986
|
Wisconsin Electric Power Co.
|
5.700%
|
12/1/36
|
13,825
|
17,438
|
|
Natural Gas (0.4%)
|
|
|
|
|
4 DCP Midstream LLC
|
6.450%
|
11/3/36
|
9,375
|
10,722
|
Nisource Finance Corp.
|
6.400%
|
3/15/18
|
50,000
|
60,578
|
TransCanada PipeLines Ltd.
|
3.800%
|
10/1/20
|
30,875
|
34,486
|
TransCanada PipeLines Ltd.
|
2.500%
|
8/1/22
|
21,165
|
21,180
|
|
|
|
|
|
1,155,611
|
Total Corporate Bonds (Cost $12,402,083)
|
|
|
|
13,768,623
|
Sovereign Bonds (U.S. Dollar-Denominated) (1.0%)
|
|
|
|
|
4 Abu Dhabi National Energy Co.
|
5.875%
|
10/27/16
|
10,000
|
11,300
|
4 CDP Financial Inc.
|
4.400%
|
11/25/19
|
22,000
|
25,350
|
4 Electricite de France SA
|
4.600%
|
1/27/20
|
27,000
|
30,316
|
4 Gazprom Neft OAO Via GPN Capital SA
|
4.375%
|
9/19/22
|
20,000
|
20,420
|
Oesterreichische Kontrollbank AG
|
4.500%
|
3/9/15
|
17,000
|
18,396
|
Province of New Brunswick
|
5.200%
|
2/21/17
|
30,000
|
35,310
|
Province of Ontario
|
4.500%
|
2/3/15
|
14,025
|
15,202
|
Province of Ontario
|
4.400%
|
4/14/20
|
48,000
|
56,578
|
Quebec
|
5.125%
|
11/14/16
|
10,000
|
11,669
|
4 Ras Laffan Liquefied Natural Gas Co. Ltd. III
|
5.500%
|
9/30/14
|
7,855
|
8,448
|
Statoil ASA
|
3.125%
|
8/17/17
|
33,000
|
35,919
|
Statoil ASA
|
5.250%
|
4/15/19
|
8,895
|
10,581
|
4 Temasek Financial I Ltd.
|
2.375%
|
1/23/23
|
39,070
|
38,566
|
Total Sovereign Bonds (Cost $286,520)
|
|
|
|
318,055
|
Taxable Municipal Bonds (3.2%)
|
|
|
|
|
Bay Area Toll Authority California Toll Bridge
|
|
|
|
|
Revenue (San Francisco Bay Area)
|
6.263%
|
4/1/49
|
24,560
|
33,644
|
California GO
|
5.700%
|
11/1/21
|
15,655
|
18,187
|
California GO
|
7.550%
|
4/1/39
|
39,955
|
57,335
|
California GO
|
7.300%
|
10/1/39
|
3,465
|
4,802
|
California GO
|
7.600%
|
11/1/40
|
17,685
|
25,855
|
Chicago IL Metropolitan Water Reclamation
|
|
|
|
|
District GO
|
5.720%
|
12/1/38
|
4,445
|
5,748
|
Chicago IL O'Hare International Airport
|
|
|
|
|
Revenue
|
6.845%
|
1/1/38
|
12,090
|
14,068
|
Chicago IL O'Hare International Airport
|
|
|
|
|
Revenue
|
6.395%
|
1/1/40
|
13,390
|
17,333
|
Dallas TX Area Rapid Transit Revenue
|
5.999%
|
12/1/44
|
22,485
|
30,245
|
District of Columbia Income Tax Revenue
|
5.591%
|
12/1/34
|
6,480
|
8,048
|
Duke University North Carolina Revenue
|
5.850%
|
4/1/37
|
62,165
|
83,435
|
Georgia Municipal Electric Power Authority
|
|
|
|
|
Revenue
|
6.637%
|
4/1/57
|
9,986
|
11,837
|
Houston TX GO
|
6.290%
|
3/1/32
|
23,000
|
28,658
|
Illinois GO
|
5.100%
|
6/1/33
|
2,535
|
2,501
|
Illinois Toll Highway Authority Revenue
|
6.184%
|
1/1/34
|
16,525
|
20,487
|
Los Angeles CA Department of Water &
|
|
|
|
|
Power Revenue
|
6.008%
|
7/1/39
|
13,130
|
16,730
|
Los Angeles CA Department of Water &
|
|
|
|
|
Power Revenue
|
6.574%
|
7/1/45
|
28,590
|
39,788
|
Los Angeles CA Unified School District GO
|
5.750%
|
7/1/34
|
30,000
|
35,783
|
Louisville & Jefferson County KY Metropolitan
|
|
|
|
|
Sewer District Revenue
|
6.250%
|
5/15/43
|
11,000
|
14,330
|
|
|
|
|
|
Maryland Transportation Authority Facilities
|
|
|
|
|
Projects Revenue
|
5.888%
|
7/1/43
|
12,005
|
16,004
|
Massachusetts School Building Authority
|
|
|
|
|
Dedicated Sales Tax Revenue
|
5.715%
|
8/15/39
|
15,000
|
19,161
|
5 New Jersey Economic Development Authority
|
|
|
|
|
Revenue (State Pension Funding)
|
7.425%
|
2/15/29
|
46,080
|
58,918
|
New Jersey Turnpike Authority Revenue
|
7.414%
|
1/1/40
|
28,975
|
42,453
|
New Jersey Turnpike Authority Revenue
|
7.102%
|
1/1/41
|
2,000
|
2,836
|
New York City NY Municipal Water Finance
|
|
|
|
|
Authority Water & Sewer System Revenue
|
5.882%
|
6/15/44
|
11,965
|
16,080
|
New York Metropolitan Transportation
|
|
|
|
|
Authority Revenue (Dedicated Tax Fund)
|
7.336%
|
11/15/39
|
2,430
|
3,513
|
New York Metropolitan Transportation
|
|
|
|
|
Authority Revenue (Dedicated Tax Fund)
|
6.089%
|
11/15/40
|
8,070
|
10,310
|
New York State Thruway Authority Revenue
|
5.883%
|
4/1/30
|
29,670
|
36,539
|
North Texas Tollway Authority System
|
|
|
|
|
Revenue
|
6.718%
|
1/1/49
|
31,790
|
42,394
|
Oregon Department of Transportation
|
|
|
|
|
Highway User Tax Revenue
|
5.834%
|
11/15/34
|
14,510
|
18,816
|
6 Oregon School Boards Association GO
|
4.759%
|
6/30/28
|
15,000
|
17,018
|
Port Authority of New York & New Jersey
|
|
|
|
|
Revenue
|
5.859%
|
12/1/24
|
9,605
|
12,195
|
Port Authority of New York & New Jersey
|
|
|
|
|
Revenue
|
6.040%
|
12/1/29
|
5,665
|
7,060
|
Port Authority of New York & New Jersey
|
|
|
|
|
Revenue
|
4.458%
|
10/1/62
|
58,000
|
56,911
|
President & Fellows of Harvard College
|
|
|
|
|
Massachusetts GO
|
6.300%
|
10/1/37
|
68,000
|
78,940
|
Princeton University New Jersey GO
|
5.700%
|
3/1/39
|
13,020
|
17,566
|
San Antonio TX Electric & Gas Systems
|
|
|
|
|
Revenue
|
5.985%
|
2/1/39
|
6,175
|
7,970
|
Texas Transportation Commission Revenue
|
5.178%
|
4/1/30
|
12,275
|
14,800
|
University of California Regents Medical
|
|
|
|
|
Center Revenue
|
6.548%
|
5/15/48
|
11,330
|
14,770
|
University of California Regents Medical
|
|
|
|
|
Center Revenue
|
6.583%
|
5/15/49
|
13,855
|
17,899
|
University of California Revenue
|
5.770%
|
5/15/43
|
23,675
|
28,977
|
Utah GO
|
3.289%
|
7/1/20
|
22,900
|
24,930
|
7 Wisconsin GO
|
5.700%
|
5/1/26
|
9,000
|
10,955
|
Total Taxable Municipal Bonds (Cost $867,816)
|
|
|
|
1,045,829
|
|
|
|
|
Market
|
|
|
|
|
Value
|
|
|
|
Shares
|
($000)
|
Common Stocks (37.7%)
|
|
|
|
|
Consumer Discretionary (1.5%)
|
|
|
|
|
Mattel Inc.
|
|
|
3,926,930
|
143,804
|
WPP plc
|
|
|
9,184,508
|
133,518
|
Thomson Reuters Corp.
|
|
|
3,953,610
|
114,892
|
McDonald's Corp.
|
|
|
957,530
|
84,464
|
|
|
|
|
476,678
|
Consumer Staples (6.1%)
|
|
|
|
|
Philip Morris International Inc.
|
|
|
3,827,540
|
320,135
|
Kimberly-Clark Corp.
|
|
|
2,892,630
|
244,225
|
Sysco Corp.
|
|
|
7,391,220
|
234,006
|
Unilever NV
|
|
|
5,959,210
|
228,238
|
Kraft Foods Group Inc.
|
|
|
4,818,686
|
219,106
|
|
|
|
Imperial Tobacco Group plc
|
3,482,655
|
134,483
|
Procter & Gamble Co.
|
1,866,390
|
126,709
|
General Mills Inc.
|
3,096,700
|
125,137
|
Altria Group Inc.
|
3,953,260
|
124,211
|
PepsiCo Inc.
|
1,386,640
|
94,888
|
HJ Heinz Co.
|
1,561,670
|
90,077
|
British American Tobacco plc
|
683,889
|
34,653
|
|
|
1,975,868
|
Energy (5.0%)
|
|
|
Chevron Corp.
|
4,978,080
|
538,330
|
Royal Dutch Shell plc Class B
|
13,054,243
|
462,022
|
Exxon Mobil Corp.
|
3,492,700
|
302,293
|
ConocoPhillips
|
3,276,670
|
190,014
|
BP plc ADR
|
2,826,100
|
117,679
|
|
|
1,610,338
|
Financials (5.0%)
|
|
|
Marsh & McLennan Cos. Inc.
|
12,752,190
|
439,568
|
JPMorgan Chase & Co.
|
8,359,700
|
367,576
|
BlackRock Inc.
|
1,030,190
|
212,951
|
M&T Bank Corp.
|
2,117,340
|
208,494
|
^ National Bank of Canada
|
1,828,410
|
141,979
|
Wells Fargo & Co.
|
3,623,162
|
123,840
|
Swiss Re AG
|
1,482,265
|
108,182
|
|
|
1,602,590
|
Health Care (5.4%)
|
|
|
Johnson & Johnson
|
7,756,490
|
543,730
|
Merck & Co. Inc.
|
12,375,850
|
506,667
|
Pfizer Inc.
|
15,666,950
|
392,927
|
Roche Holding AG
|
1,084,020
|
220,842
|
AstraZeneca plc ADR
|
1,988,350
|
93,990
|
|
|
1,758,156
|
Industrials (5.8%)
|
|
|
General Electric Co.
|
16,312,800
|
342,406
|
Eaton Corp. plc
|
5,937,760
|
321,826
|
3M Co.
|
2,873,160
|
266,773
|
Illinois Tool Works Inc.
|
3,021,870
|
183,760
|
United Technologies Corp.
|
2,162,600
|
177,355
|
United Parcel Service Inc. Class B
|
1,980,700
|
146,037
|
Stanley Black & Decker Inc.
|
1,796,200
|
132,865
|
Waste Management Inc.
|
3,543,380
|
119,553
|
Lockheed Martin Corp.
|
1,011,330
|
93,336
|
Schneider Electric SA
|
1,201,478
|
89,611
|
|
|
1,873,522
|
Information Technology (3.5%)
|
|
|
Analog Devices Inc.
|
7,309,680
|
307,445
|
Intel Corp.
|
12,231,320
|
252,332
|
Cisco Systems Inc.
|
8,479,100
|
166,615
|
Microsoft Corp.
|
5,810,660
|
155,319
|
Maxim Integrated Products Inc.
|
4,733,650
|
139,169
|
Linear Technology Corp.
|
3,649,770
|
125,187
|
|
|
1,146,067
|
Materials (1.7%)
|
|
|
Dow Chemical Co.
|
4,556,700
|
147,273
|
International Paper Co.
|
3,599,330
|
143,397
|
Nucor Corp.
|
2,978,580
|
128,615
|
|
|
|
|
|
EI du Pont de Nemours & Co.
|
|
|
2,857,110
|
128,484
|
|
|
|
|
547,769
|
Telecommunication Services (1.5%)
|
|
|
|
|
AT&T Inc.
|
|
|
10,156,005
|
342,359
|
Vodafone Group plc ADR
|
|
|
5,997,090
|
151,067
|
|
|
|
|
493,426
|
Utilities (2.2%)
|
|
|
|
|
National Grid plc
|
|
|
15,392,031
|
176,308
|
Xcel Energy Inc.
|
|
|
6,575,370
|
175,628
|
NextEra Energy Inc.
|
|
|
2,012,970
|
139,278
|
Northeast Utilities
|
|
|
2,241,790
|
87,609
|
American Electric Power Co. Inc.
|
|
|
1,304,470
|
55,675
|
PG&E Corp.
|
|
|
841,050
|
33,793
|
Dominion Resources Inc.
|
|
|
603,230
|
31,247
|
PPL Corp.
|
|
|
751,490
|
21,515
|
|
|
|
|
721,053
|
Total Common Stocks (Cost $9,839,635)
|
|
|
|
12,205,467
|
|
Coupon
|
|
Shares
|
|
Temporary Cash Investments (1.0%)
|
|
|
|
|
Money Market Fund (0.0%)
|
|
|
|
|
8,9 Vanguard Market Liquidity Fund
|
0.162%
|
|
4,100,000
|
4,100
|
|
|
|
Face
|
Market
|
|
|
Maturity
|
Amount
|
Value
|
|
Coupon
|
Date
|
($000)
|
($000)
|
Repurchase Agreements (1.0%)
|
|
|
|
|
Bank of America Securities, LLC
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$26,200,000, collateralized by Federal
|
|
|
|
|
Home Loan Mortgage Corp. 3.500%,
|
|
|
|
|
9/1/42)
|
0.190%
|
1/2/13
|
26,200
|
26,200
|
Bank of Montreal
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$70,001,000, collateralized by Federal
|
|
|
|
|
Home Loan Mortgage Corp. 3.500%,
|
|
|
|
|
6/1/42)
|
0.230%
|
1/2/13
|
70,000
|
70,000
|
Barclays Capital Inc.
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$21,200,000, collateralized by U. S.
|
|
|
|
|
Treasury Note/Bond 2.625%, 11/15/20)
|
0.200%
|
1/2/13
|
21,200
|
21,200
|
Deutsche Bank Securities, Inc.
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$32,400,000, collateralized by Federal
|
|
|
|
|
National Mortgage Association 2.500%,
|
|
|
|
|
10/1/27)
|
0.250%
|
1/2/13
|
32,400
|
32,400
|
HSBC Bank USA
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$21,600,000, collateralized by U. S.
|
|
|
|
|
Treasury Note/Bond, 0.750%, 12/31/17)
|
0.220%
|
1/2/13
|
21,600
|
21,600
|
RBC Capital Markets LLC
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$98,801,000 collateralized by Federal
|
|
|
|
|
Home Loan Mortgage Corp. 4.000%,
|
|
|
|
|
12/1/40)
|
0.210%
|
1/2/13
|
98,800
|
98,800
|
|
|
|
|
|
RBS Securities, Inc.
|
|
|
|
|
(Dated 12/31/12, Repurchase Value
|
|
|
|
|
$46,401,000, collateralized by U. S.
|
|
|
|
|
Treasury Note/Bond 2.625%, 7/31/14)
|
0.200%
|
1/2/13
|
46,400
|
46,400
|
|
|
|
|
316,600
|
Total Temporary Cash Investments (Cost $320,700)
|
|
|
|
320,700
|
Total Investments (99.5%) (Cost $28,187,376)
|
|
|
|
32,176,990
|
Other Assets and Liabilities-Net (0.5%)
9,10
|
|
|
|
166,030
|
Net Assets (100%)
|
|
|
|
32,343,020
|
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $3,883,000.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
4 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, 2012, the
aggregate value of these securities was $2,346,714,000, representing 7.3% of net assets.
5 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
6 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
7 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
9 Includes $4,100,000 of collateral received for securities on loan.
10 Cash of $597,000 has been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
GO—General Obligation Bond.
A.
Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued 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.
Wellesley Income Fund
B.
Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
C.
To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may enter into TBA sells to reduce its exposure to the mortgage-backed securities market or in order to dispose of mortgage-backed securities it owns under delayed-delivery arrangements. For TBA purchases, the fund maintains cash or short-term investments until settlement date in an amount sufficient to meet the purchase price.
D.
Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold (Other Assets) or Payables for Investment Securities Purchased (Liabilities) in the Schedule of Investments. The primary risk associated with mortgage dollar rolls is that a counterparty will default on its obligations. This risk is mitigated by entering into mortgage dollar rolls only with highly rated counterparties, allocating transactions among numerous counterparties, and monitoring exposure to each counterparty.
E.
Repurchase Agreements: The fund may enter into repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default or bankruptcy by the other party to the agreement, the fund may sell or retain the collateral; however, such action may be subject to legal proceedings.
F.
Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
G.
Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Wellesley Income Fund
Level 1—
Quoted prices in active markets for identical securities.
Level 2—
Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—
Significant unobservable inputs (including the fund's own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund's investments as of December 31, 2012, based on the inputs used to value them:
|
|
|
|
|
Level 1
|
Level 2
|
Level 3
|
Investments
|
($000)
|
($000)
|
($000)
|
U.S. Government and Agency Obligations
|
—
|
3,889,161
|
—
|
Asset-Backed/Commercial Mortgage-Backed Securities
|
—
|
629,155
|
—
|
Corporate Bonds
|
—
|
13,768,623
|
—
|
Sovereign Bonds
|
—
|
318,055
|
—
|
Taxable Municipal Bonds
|
—
|
1,045,829
|
—
|
Common Stocks
|
10,845,848
|
1,359,619
|
—
|
Temporary Cash Investments
|
4,100
|
316,600
|
—
|
Futures Contracts—Assets
1
|
93
|
—
|
—
|
Swap Contracts—Assets
|
—
|
512
|
—
|
Total
|
10,850,041
|
21,327,554
|
—
|
1 Represents variation margin on the last day of the reporting period.
|
H.
Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Schedule of Investments as an asset (liability).
At December 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
|
|
|
|
|
|
|
|
|
($000)
|
|
|
Number of
|
Aggregate
|
Unrealized
|
|
|
Long
(Short)
|
Settlement Value
|
Appreciation
|
Futures Contracts
|
Expiration
|
Contracts
|
Long (Short)
|
(Depreciation)
|
10-Year U.S. Treasury Note
|
March 2013
|
(543)
|
(72,100)
|
322
|
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
Wellesley Income Fund
I.
Swap Contracts: The fund may invest in credit default swaps to adjust the overall credit exposure of the fund or to actively overweight or underweight credit exposure to a specific issuer or group of issuers. The fund has sold credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional principal amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk for all types of swaps is that a counterparty will default on its obligation to pay amounts due to the fund. Upon a counterparty default, a fund's risk of loss, or exposure, is the amount of unrealized appreciation on the swap plus the cost of initiating a new swap with a new counterparty. The fund attempts to mitigate this risk by, among other things, performing a credit analysis of counterparties, monitoring exposure to counterparties, and by requiring counterparties to post collateral to secure such exposure. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has posted. Any securities posted as collateral for open contracts are noted in the Schedule of Investments.
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Credit Default Swaps
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Remaining
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Up-Front
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Premium
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Periodic
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Unrealized
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Notional
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Received
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Premium
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Appreciation
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Termination
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Amount
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(Paid)
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Received (Paid)
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(Depreciation)
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Reference Entity
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Date
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Counterparty
1
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($000)
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($000)
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(%)
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($000)
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Credit Protection Sold/
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Moody’s Rating
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MetLife Inc./ A3
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9/20/17
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DBAG
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9,200
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737
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1.000
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512
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DBAG—Deutsche Bank AG.
1
Wellesley Income Fund
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
J.
At December 31, 2012, the cost of investment securities for tax purposes was $28,280,227,000. Net unrealized appreciation of investment securities for tax purposes was $3,896,763,000, consisting of unrealized gains of $3,962,786,000 on securities that had risen in value since their purchase and $66,023,000 in unrealized losses on securities that had fallen in value since their purchase.
Item 2: Controls and Procedures
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3: Exhibits
(a) Certifications
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VANGUARD WELLESLEY INCOME FUND
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By:
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/s/ F. WILLIAM MCNABB III*
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F. WILLIAM MCNABB III
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CHIEF EXECUTIVE OFFICER
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Date: February 14, 2013
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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.
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VANGUARD WELLESLEY INCOME FUND
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By:
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/s/ F. WILLIAM MCNABB III*
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F. WILLIAM MCNABB III
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CHIEF EXECUTIVE OFFICER
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Date: February 14, 2013
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VANGUARD WELLESLEY INCOME FUND
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By:
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/s/ THOMAS J. HIGGINS*
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THOMAS J. HIGGINS
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CHIEF FINANCIAL OFFICER
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Date: February 14, 2013
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* By:/s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on
March 27, 2012 see file Number 2-11444
, Incorporated by Reference.
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