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

 

Vanguard Wellesley Income Fund        
 
 
 
Schedule of Investments        
As of December 31, 2012        
 
        Face Market
      Maturity Amount Value
    Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (12.0%)        
U.S. Government Securities (6.9%)        
  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
  United States Treasury Note/Bond 0.750% 10/31/17 120,000 120,337
  United States Treasury Note/Bond 1.625% 8/15/22 111,450 110,597
  United States Treasury Note/Bond 1.625% 11/15/22 115,000 113,598
          2,232,255
Agency Bonds and Notes (0.5%)        
  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
          147,762
Conventional Mortgage-Backed Securities (4.3%)        
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
          1,398,660
Nonconventional Mortgage-Backed Securities (0.3%)        
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
          110,484
Total U.S. Government and Agency Obligations (Cost $3,851,906)   3,889,161
Asset-Backed/Commercial Mortgage-Backed Securities (2.0%)      
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% 9/15/19 95,780 96,134
3 AmeriCredit Automobile Receivables Trust        
  2010-3 2.040% 9/8/15 7,450 7,601
3 AmeriCredit Automobile Receivables Trust        
  2010-3 3.340% 4/8/16 6,050 6,379
3 AmeriCredit Automobile Receivables Trust        
  2011-1 2.190% 2/8/16 4,760 4,844
3 AmeriCredit Automobile Receivables Trust        
  2011-3 1.170% 1/8/16 6,520 6,551
3 AmeriCredit Automobile Receivables Trust        
  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        
  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        
  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        
  Trust 1.490% 10/15/14 18,870 18,989
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $618,716)   629,155
Corporate Bonds (42.6%)        
Finance (17.2%)        
  Banking (13.0%)        
  American Express Co. 7.250% 5/20/14 17,000 18,497
  American Express Co. 5.500% 9/12/16 25,000 28,476
  American Express Co. 6.150% 8/28/17 35,000 42,260
  American Express Credit Corp. 2.750% 9/15/15 56,365 59,095
  American Express Credit Corp. 2.800% 9/19/16 13,635 14,427
  American Express Credit Corp. 2.375% 3/24/17 35,650 37,365
  Bank of America Corp. 4.875% 1/15/13 6,700 6,694
  Bank of America Corp. 7.375% 5/15/14 12,590 13,620
  Bank of America Corp. 5.375% 6/15/14 25,525 27,072
  Bank of America Corp. 3.625% 3/17/16 10,000 10,564
  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.

Credit Default Swaps            
        Remaining    
        Up-Front    
        Premium Periodic Unrealized
      Notional Received Premium Appreciation
  Termination   Amount (Paid) Received (Paid) (Depreciation)
Reference Entity Date Counterparty 1 ($000) ($000) (%) ($000)
Credit Protection Sold/            
Moody’s Rating            
MetLife Inc./ A3 9/20/17 DBAG 9,200 737 1.000 512

 

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

  VANGUARD WELLESLEY INCOME FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: February 14, 2013

 

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 WELLESLEY INCOME FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: February 14, 2013

 

  VANGUARD WELLESLEY INCOME FUND
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: February 14, 2013

 

* 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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