Annual Report  |  August 31, 2022
Vanguard ESG U.S. Corporate Bond ETF

 

Contents
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Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

Table of Contents
Your Fund’s Performance at a Glance
• The 12 months ended August 31, 2022, were a very challenging period for financial markets. Vanguard ESG U.S. Corporate Bond ETF returned –14.54% (based on net asset value), roughly in line with the expense-free –14.47% return of its benchmark.
• Early on, pent-up demand helped spur global growth and push unemployment rates down. The economic backdrop deteriorated, however, as inflation soared to multidecade highs, fueled in part by higher energy and food prices in the wake of Russia’s invasion of Ukraine. The Federal Reserve reacted by raising interest rates, which weighed on bond prices and sparked fears of recession.
• The yield of the bellwether 10-year U.S. Treasury bond rose significantly over the period, from 1.31% to 3.19%. As yield spreads widened for corporate bonds, they underperformed both Treasuries and mortgage-backed securities.
• By sector, bonds issued by industrial companies and utilities weighed more on returns than those of financial institutions.
• By maturity, longer-term corporates suffered more than their shorter-term counterparts. By credit quality, results were mixed.
Market Barometer
  Average Annual Total Returns
Periods Ended August 31, 2022
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) -12.96% 12.14% 11.61%
Russell 2000 Index (Small-caps) -17.88 8.59 6.95
Russell 3000 Index (Broad U.S. market) -13.28 11.90 11.29
FTSE All-World ex US Index (International) -19.00 3.48 2.12
Bonds      
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market) 		-11.65% -2.01% 0.54%
Bloomberg Municipal Bond Index
(Broad tax-exempt market) 		-8.63 -0.83 1.28
FTSE Three-Month U.S. Treasury Bill Index 0.44 0.56 1.10
CPI      
Consumer Price Index 8.26% 4.90% 3.82%
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Table of Contents
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund‘s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Table of Contents
Six Months Ended August 31, 2022      
ESG U.S. Corporate Bond ETF Beginning
Account Value
2/28/2022 		Ending
Account Value
8/31/2022 		Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $909.40 $0.58
Based on Hypothetical 5% Yearly Return 1,000.00 1,024.60 0.61
The calculations are based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratio for that period is 0.12%. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).
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Table of Contents
ESG U.S. Corporate Bond ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 22, 2020, Through August 31, 2022
Initial Investment of $10,000
      Average Annual Total Returns
Periods Ended August 31, 2022
    One
Year 		Since
Inception
(9/22/2020) 		Final Value
of a $10,000
Investment
ESG U.S. Corporate Bond ETF Net Asset Value -14.54% -7.22% $8,648
  ESG U.S. Corporate Bond ETF
Market Price 		-14.81 -7.34 8,626
Bloomberg MSCI US Corporate SRI Select Index -14.47 -7.13 8,663
Bloomberg U.S. Corporate Bond Index -14.91 -6.98 8,690
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
See Financial Highlights for dividend and capital gains information.
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Table of Contents
ESG U.S. Corporate Bond ETF
Cumulative Returns of ETF Shares: September 22, 2020, Through August 31, 2022
  One
Year 		Since
Inception
(9/22/2020)
ESG U.S. Corporate Bond ETF Market Price -14.81% -13.74%
ESG U.S. Corporate Bond ETF Net Asset Value -14.54 -13.52
Bloomberg MSCI US Corporate SRI Select Index -14.47 -13.37
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
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Table of Contents
ESG U.S. Corporate Bond ETF
Fund Allocation
As of August 31, 2022
Corporate Bonds – Communications 13.4%
Corporate Bonds – Consumer Discretionary 6.8
Corporate Bonds – Consumer Staples 3.6
Corporate Bonds – Financials 44.1
Corporate Bonds – Health Care 14.1
Corporate Bonds – Industrials 1.6
Corporate Bonds – Materials 1.4
Corporate Bonds – Real Estate 2.0
Corporate Bonds – Technology 12.9
Corporate Bonds – Utilities 0.1
The table reflects the fund's investments, except for short-term investments and derivatives.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
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Table of Contents
ESG U.S. Corporate Bond ETF
Financial Statements
Schedule of Investments
As of August 31, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Corporate Bonds (98.6%)
Communications (13.2%)
  Activision Blizzard Inc. 3.400%  9/15/26  85      83
  Activision Blizzard Inc. 2.500%  9/15/50 190     127
  Alphabet Inc. 3.375%  2/25/24  80      80
  Alphabet Inc. 0.450%  8/15/25 100      91
  Alphabet Inc. 1.998%  8/15/26 190     179
  Alphabet Inc. 0.800%  8/15/27  95      83
  Alphabet Inc. 1.100%  8/15/30 250     204
  Alphabet Inc. 1.900%  8/15/40 120      85
  Alphabet Inc. 2.050%  8/15/50 236     156
  Alphabet Inc. 2.250%  8/15/60 150      96
  America Movil SAB de CV 3.625%  4/22/29 225     213
  America Movil SAB de CV 2.875%   5/7/30 125     111
  America Movil SAB de CV 4.700%  7/21/32  40      40
  America Movil SAB de CV 6.375%   3/1/35  75      85
  America Movil SAB de CV 6.125%  3/30/40 160     175
  America Movil SAB de CV 4.375%  7/16/42  55      49
  America Movil SAB de CV 4.375%  4/22/49 145     133
  AT&T Inc. 0.900%  3/25/24 170     163
  AT&T Inc. 1.700%  3/25/26 300     275
  AT&T Inc. 3.800%  2/15/27  70      68
  AT&T Inc. 4.250%   3/1/27 210     208
  AT&T Inc. 2.300%   6/1/27 340     309
  AT&T Inc. 1.650%   2/1/28 125     107
1 AT&T Inc. 4.100%  2/15/28 130     127
  AT&T Inc. 4.350%   3/1/29 380     370
1 AT&T Inc. 4.300%  2/15/30 300     289
  AT&T Inc. 2.750%   6/1/31 195     167
  AT&T Inc. 2.250%   2/1/32 290     235
  AT&T Inc. 2.550%  12/1/33 500     399
  AT&T Inc. 4.500%  5/15/35 130     122
  AT&T Inc. 4.850%   3/1/39 104      98
  AT&T Inc. 3.500%   6/1/41 230     181
  AT&T Inc. 4.300% 12/15/42 170     147
  AT&T Inc. 4.350%  6/15/45 155     133
  AT&T Inc. 4.750%  5/15/46 250     230
  AT&T Inc. 4.500%   3/9/48 200     174
  AT&T Inc. 4.550%   3/9/49 115     103
  AT&T Inc. 3.650%   6/1/51 370     283
  AT&T Inc. 3.500%  9/15/53 780     579
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Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  AT&T Inc. 3.550%  9/15/55 750     548
  AT&T Inc. 3.800%  12/1/57 492     372
  AT&T Inc. 3.650%  9/15/59 600     435
  AT&T Inc. 3.850%   6/1/60 220     165
  Bell Telephone Co. of Canada or Bell Canada 4.464%   4/1/48 105      96
  Bell Telephone Co. of Canada or Bell Canada 3.650%  8/15/52  10       8
  Booking Holdings Inc. 3.600%   6/1/26 120     118
  Booking Holdings Inc. 4.625%  4/13/30 165     166
  British Telecommunications plc 9.625% 12/15/30 165     203
1 Charter Communications Operating LLC 4.500%   2/1/24 110     110
  Charter Communications Operating LLC 4.908%  7/23/25 275     274
  Charter Communications Operating LLC 3.750%  2/15/28 115     106
  Charter Communications Operating LLC 4.200%  3/15/28 125     118
  Charter Communications Operating LLC 2.250%  1/15/29 140     115
  Charter Communications Operating LLC 5.050%  3/30/29 235     226
  Charter Communications Operating LLC 2.800%   4/1/31 305     247
  Charter Communications Operating LLC 2.300%   2/1/32 155     118
  Charter Communications Operating LLC 4.400%   4/1/33 120     106
  Charter Communications Operating LLC 6.384% 10/23/35 215     214
  Charter Communications Operating LLC 5.375%   4/1/38 135     118
  Charter Communications Operating LLC 3.500%   6/1/41 175     121
  Charter Communications Operating LLC 3.500%   3/1/42 190     132
  Charter Communications Operating LLC 6.484% 10/23/45 360     343
  Charter Communications Operating LLC 5.375%   5/1/47 205     175
  Charter Communications Operating LLC 5.750%   4/1/48 228     202
  Charter Communications Operating LLC 5.125%   7/1/49  60      49
  Charter Communications Operating LLC 4.800%   3/1/50 160     126
  Charter Communications Operating LLC 3.700%   4/1/51 185     123
  Charter Communications Operating LLC 3.900%   6/1/52 280     190
  Charter Communications Operating LLC 3.850%   4/1/61 220     143
  Charter Communications Operating LLC 4.400%  12/1/61 180     127
  Charter Communications Operating LLC 3.950%  6/30/62 140      93
  Charter Communications Operating LLC 5.500%   4/1/63 120     100
  Comcast Corp. 3.700%  4/15/24 275     274
  Comcast Corp. 3.375%  2/15/25  65      64
  Comcast Corp. 3.375%  8/15/25 160     157
  Comcast Corp. 3.950% 10/15/25 330     329
  Comcast Corp. 3.150%   3/1/26 150     146
  Comcast Corp. 2.350%  1/15/27 175     163
  Comcast Corp. 3.300%   2/1/27 245     236
  Comcast Corp. 3.150%  2/15/28  45      43
  Comcast Corp. 3.550%   5/1/28 215     207
  Comcast Corp. 4.150% 10/15/28 310     307
  Comcast Corp. 2.650%   2/1/30 250     221
  Comcast Corp. 3.400%   4/1/30 140     131
  Comcast Corp. 4.250% 10/15/30 140     138
  Comcast Corp. 1.950%  1/15/31 125     104
  Comcast Corp. 1.500%  2/15/31  55      44
  Comcast Corp. 4.250%  1/15/33 175     170
  Comcast Corp. 7.050%  3/15/33  75      89
  Comcast Corp. 4.200%  8/15/34 175     167
  Comcast Corp. 5.650%  6/15/35 110     119
  Comcast Corp. 4.400%  8/15/35  85      82
  Comcast Corp. 3.200%  7/15/36  90      76
  Comcast Corp. 3.900%   3/1/38 190     171
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Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Comcast Corp. 4.600% 10/15/38  60      58
  Comcast Corp. 3.250%  11/1/39  70      57
  Comcast Corp. 3.750%   4/1/40 185     160
  Comcast Corp. 3.400%  7/15/46 140     109
  Comcast Corp. 4.000%  8/15/47 135     117
  Comcast Corp. 3.969%  11/1/47 210     180
  Comcast Corp. 4.000%   3/1/48 145     124
  Comcast Corp. 4.700% 10/15/48 108     103
  Comcast Corp. 3.999%  11/1/49 340     291
  Comcast Corp. 3.450%   2/1/50  65      51
  Comcast Corp. 2.800%  1/15/51 217     150
  Comcast Corp. 2.887%  11/1/51 379     267
  Comcast Corp. 2.450%  8/15/52 225     146
  Comcast Corp. 4.049%  11/1/52 140     120
  Comcast Corp. 2.937%  11/1/56 472     322
  Comcast Corp. 4.950% 10/15/58 140     137
  Comcast Corp. 2.650%  8/15/62 120      76
  Comcast Corp. 2.987%  11/1/63 398     267
  Deutsche Telekom International Finance BV 8.750%  6/15/30 350     431
  Discovery Communications LLC 3.950%  3/20/28 210     193
  Discovery Communications LLC 4.125%  5/15/29 220     201
  Discovery Communications LLC 3.625%  5/15/30  45      39
  Discovery Communications LLC 5.200%  9/20/47 185     151
  Discovery Communications LLC 5.300%  5/15/49  75      62
  Discovery Communications LLC 4.650%  5/15/50  50      38
  Discovery Communications LLC 4.000%  9/15/55 100      66
  Electronic Arts Inc. 1.850%  2/15/31 120      98
  Electronic Arts Inc. 2.950%  2/15/51  75      55
  Expedia Group Inc. 3.800%  2/15/28 120     112
  Expedia Group Inc. 3.250%  2/15/30 120     104
  Expedia Group Inc. 2.950%  3/15/31  90      74
  Fox Corp. 4.030%  1/25/24  60      60
  Fox Corp. 4.709%  1/25/29 225     223
  Fox Corp. 5.476%  1/25/39 165     161
  Fox Corp. 5.576%  1/25/49 148     144
  Grupo Televisa SAB 5.000%  5/13/45  30      28
  Grupo Televisa SAB 6.125%  1/31/46  50      55
  Grupo Televisa SAB 5.250%  5/24/49 100      98
2 Magallanes Inc. 3.428%  3/15/24 210     205
2 Magallanes Inc. 3.638%  3/15/25 155     150
2 Magallanes Inc. 3.755%  3/15/27 370     346
2 Magallanes Inc. 4.054%  3/15/29 140     127
2 Magallanes Inc. 4.279%  3/15/32 445     387
2 Magallanes Inc. 5.050%  3/15/42 430     351
2 Magallanes Inc. 5.141%  3/15/52 710     572
2 Magallanes Inc. 5.391%  3/15/62 345     277
2 Meta Platforms Inc. 3.500%  8/15/27 270     262
2 Meta Platforms Inc. 3.850%  8/15/32 295     277
2 Meta Platforms Inc. 4.450%  8/15/52 270     246
2 Meta Platforms Inc. 4.650%  8/15/62 150     135
  Omnicom Group Inc. 3.650%  11/1/24 110     109
  Omnicom Group Inc. 3.600%  4/15/26  75      73
  Omnicom Group Inc. 2.600%   8/1/31  85      71
  Orange SA 9.000%   3/1/31 244     312
  Orange SA 5.375%  1/13/42 125     129
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Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Orange SA 5.500%   2/6/44  65      69
  Paramount Global 4.000%  1/15/26  85      84
  Paramount Global 7.875%  7/30/30 140     157
  Paramount Global 4.950%  1/15/31 275     261
  Paramount Global 4.200%  5/19/32 200     176
  Paramount Global 6.875%  4/30/36 100     103
  Paramount Global 4.375%  3/15/43  70      52
  Paramount Global 5.850%   9/1/43  40      36
  Paramount Global 4.950%  5/19/50 110      90
  Rogers Communications Inc. 4.100%  10/1/23 135     135
2 Rogers Communications Inc. 2.950%  3/15/25  50      48
2 Rogers Communications Inc. 3.200%  3/15/27 115     109
2 Rogers Communications Inc. 3.800%  3/15/32 245     223
2 Rogers Communications Inc. 4.500%  3/15/42  65      57
  Rogers Communications Inc. 5.000%  3/15/44  95      87
  Rogers Communications Inc. 4.300%  2/15/48  75      62
  Rogers Communications Inc. 4.350%   5/1/49 120     101
  Rogers Communications Inc. 3.700% 11/15/49 105      80
2 Rogers Communications Inc. 4.550%  3/15/52 220     194
  Take-Two Interactive Software Inc. 3.300%  3/28/24 185     182
  Telefonica Emisiones SA 4.103%   3/8/27 120     116
  Telefonica Emisiones SA 7.045%  6/20/36 150     164
  Telefonica Emisiones SA 4.665%   3/6/38  90      78
  Telefonica Emisiones SA 5.213%   3/8/47 270     233
  Telefonica Emisiones SA 4.895%   3/6/48  85      71
  Telefonica Emisiones SA 5.520%   3/1/49 165     148
  Telefonica Europe BV 8.250%  9/15/30 150     175
  TELUS Corp. 3.400%  5/13/32  60      53
  Time Warner Cable LLC 6.550%   5/1/37 145     143
  Time Warner Cable LLC 7.300%   7/1/38  55      57
  Time Warner Cable LLC 6.750%  6/15/39  80      78
  Time Warner Cable LLC 5.875% 11/15/40 145     130
  Time Warner Cable LLC 5.500%   9/1/41 250     216
  Time Warner Cable LLC 4.500%  9/15/42 235     178
  Time Warner Entertainment Co. LP 8.375%  7/15/33  80      92
  T-Mobile USA Inc. 3.500%  4/15/25 365     357
  T-Mobile USA Inc. 1.500%  2/15/26 140     126
  T-Mobile USA Inc. 2.250%  2/15/26 170     156
  T-Mobile USA Inc. 2.625%  4/15/26 115     107
  T-Mobile USA Inc. 3.750%  4/15/27 405     388
  T-Mobile USA Inc. 4.750%   2/1/28 150     147
  T-Mobile USA Inc. 2.050%  2/15/28 185     161
  T-Mobile USA Inc. 3.375%  4/15/29 220     198
  T-Mobile USA Inc. 3.875%  4/15/30 710     656
  T-Mobile USA Inc. 2.550%  2/15/31 300     250
  T-Mobile USA Inc. 3.500%  4/15/31 230     204
  T-Mobile USA Inc. 2.250% 11/15/31 150     121
  T-Mobile USA Inc. 2.700%  3/15/32  80      67
  T-Mobile USA Inc. 4.375%  4/15/40 150     132
  T-Mobile USA Inc. 3.000%  2/15/41 245     178
  T-Mobile USA Inc. 4.500%  4/15/50 345     301
  T-Mobile USA Inc. 3.300%  2/15/51 425     304
  T-Mobile USA Inc. 3.400% 10/15/52 155     112
  T-Mobile USA Inc. 3.600% 11/15/60 190     137
1 TWDC Enterprises 18 Corp. 3.150%  9/17/25  70      68
10

 

Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  TWDC Enterprises 18 Corp. 3.000%  2/13/26  74      72
1 TWDC Enterprises 18 Corp. 1.850%  7/30/26 120     111
1 TWDC Enterprises 18 Corp. 2.950%  6/15/27  70      67
1 TWDC Enterprises 18 Corp. 4.125%   6/1/44 125     115
  VeriSign Inc. 2.700%  6/15/31  90      74
  Verizon Communications Inc. 0.750%  3/22/24  40      38
  Verizon Communications Inc. 3.500%  11/1/24  60      59
  Verizon Communications Inc. 3.376%  2/15/25 155     153
  Verizon Communications Inc. 0.850% 11/20/25 220     198
  Verizon Communications Inc. 1.450%  3/20/26 280     255
  Verizon Communications Inc. 2.625%  8/15/26 245     231
  Verizon Communications Inc. 4.125%  3/16/27 370     368
  Verizon Communications Inc. 3.000%  3/22/27 145     137
  Verizon Communications Inc. 2.100%  3/22/28 345     305
  Verizon Communications Inc. 4.329%  9/21/28 420     414
  Verizon Communications Inc. 3.875%   2/8/29  65      62
  Verizon Communications Inc. 4.016%  12/3/29 375     360
  Verizon Communications Inc. 3.150%  3/22/30 155     139
  Verizon Communications Inc. 1.500%  9/18/30 130     103
  Verizon Communications Inc. 1.680% 10/30/30 250     199
  Verizon Communications Inc. 1.750%  1/20/31 225     179
  Verizon Communications Inc. 2.550%  3/21/31 370     313
  Verizon Communications Inc. 2.355%  3/15/32 252     207
  Verizon Communications Inc. 4.500%  8/10/33 260     251
  Verizon Communications Inc. 4.400%  11/1/34 152     144
  Verizon Communications Inc. 4.272%  1/15/36  92      85
  Verizon Communications Inc. 5.250%  3/16/37 205     209
  Verizon Communications Inc. 2.650% 11/20/40 250     181
  Verizon Communications Inc. 3.400%  3/22/41 300     242
  Verizon Communications Inc. 2.850%   9/3/41 155     115
  Verizon Communications Inc. 4.125%  8/15/46 240     212
  Verizon Communications Inc. 4.862%  8/21/46 140     137
  Verizon Communications Inc. 4.522%  9/15/48 120     112
  Verizon Communications Inc. 4.000%  3/22/50 250     213
  Verizon Communications Inc. 2.875% 11/20/50 325     223
  Verizon Communications Inc. 3.550%  3/22/51 610     479
  Verizon Communications Inc. 3.875%   3/1/52 100      83
  Verizon Communications Inc. 2.987% 10/30/56 325     219
  Verizon Communications Inc. 3.000% 11/20/60 320     213
  Verizon Communications Inc. 3.700%  3/22/61 350     270
  Vodafone Group plc 3.750%  1/16/24 178     178
  Vodafone Group plc 4.125%  5/30/25 225     224
  Vodafone Group plc 4.375%  5/30/28  75      74
  Vodafone Group plc 6.150%  2/27/37 190     199
  Vodafone Group plc 5.000%  5/30/38  75      71
  Vodafone Group plc 4.375%  2/19/43 125     107
  Vodafone Group plc 5.250%  5/30/48 310     290
  Vodafone Group plc 4.875%  6/19/49 160     142
  Vodafone Group plc 4.250%  9/17/50 205     167
  Walt Disney Co. 1.750%  8/30/24 140     134
  Walt Disney Co. 3.350%  3/24/25  85      84
  Walt Disney Co. 1.750%  1/13/26 170     158
  Walt Disney Co. 2.200%  1/13/28 105      96
  Walt Disney Co. 2.000%   9/1/29 205     177
  Walt Disney Co. 3.800%  3/22/30 115     111
11

 

Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Walt Disney Co. 2.650%  1/13/31 210     186
  Walt Disney Co. 6.200% 12/15/34 115     130
  Walt Disney Co. 6.400% 12/15/35 110     127
  Walt Disney Co. 6.650% 11/15/37 110     131
  Walt Disney Co. 4.625%  3/23/40  75      74
  Walt Disney Co. 3.500%  5/13/40 155     133
  Walt Disney Co. 2.750%   9/1/49  90      65
  Walt Disney Co. 4.700%  3/23/50 175     175
  Walt Disney Co. 3.600%  1/13/51 260     218
  Walt Disney Co. 3.800%  5/13/60 130     109
  Weibo Corp. 3.500%   7/5/24  75      72
  Weibo Corp. 3.375%   7/8/30  10       8
  WPP Finance 2010 3.750%  9/19/24 105     103
                           44,837
Consumer Discretionary (6.7%)
  Alibaba Group Holding Ltd. 3.600% 11/28/24 210     207
  Alibaba Group Holding Ltd. 3.400%  12/6/27 155     146
  Alibaba Group Holding Ltd. 2.125%   2/9/31 180     150
  Alibaba Group Holding Ltd. 4.000%  12/6/37 185     155
  Alibaba Group Holding Ltd. 2.700%   2/9/41 220     149
  Alibaba Group Holding Ltd. 4.200%  12/6/47 100      80
  Alibaba Group Holding Ltd. 3.150%   2/9/51  65      43
  Alibaba Group Holding Ltd. 4.400%  12/6/57 105      84
  Alibaba Group Holding Ltd. 3.250%   2/9/61  60      39
  Amazon.com Inc. 2.730%  4/13/24 135     133
  Amazon.com Inc. 0.450%  5/12/24 170     161
  Amazon.com Inc. 2.800%  8/22/24 255     252
  Amazon.com Inc. 3.800%  12/5/24 150     151
  Amazon.com Inc. 3.000%  4/13/25 100      98
  Amazon.com Inc. 0.800%   6/3/25 190     176
  Amazon.com Inc. 5.200%  12/3/25  20      21
  Amazon.com Inc. 1.000%  5/12/26 445     403
  Amazon.com Inc. 3.300%  4/13/27 125     122
  Amazon.com Inc. 1.200%   6/3/27 165     147
  Amazon.com Inc. 3.150%  8/22/27 330     319
  Amazon.com Inc. 1.650%  5/12/28 130     115
  Amazon.com Inc. 3.450%  4/13/29 165     160
  Amazon.com Inc. 1.500%   6/3/30 225     187
  Amazon.com Inc. 2.100%  5/12/31 185     159
  Amazon.com Inc. 3.600%  4/13/32 240     231
  Amazon.com Inc. 4.800%  12/5/34 130     137
  Amazon.com Inc. 3.875%  8/22/37 290     272
  Amazon.com Inc. 2.875%  5/12/41 130     104
  Amazon.com Inc. 4.950%  12/5/44 175     183
  Amazon.com Inc. 4.050%  8/22/47 310     287
  Amazon.com Inc. 2.500%   6/3/50 170     118
  Amazon.com Inc. 3.100%  5/12/51 335     262
  Amazon.com Inc. 3.950%  4/13/52 255     232
  Amazon.com Inc. 4.250%  8/22/57 230     217
  Amazon.com Inc. 2.700%   6/3/60 278     186
  Amazon.com Inc. 3.250%  5/12/61 160     122
  Amazon.com Inc. 4.100%  4/13/62  75      68
1 American Honda Finance Corp. 0.650%   9/8/23  75      73
1 American Honda Finance Corp. 0.750%   8/9/24 100      94
1 American Honda Finance Corp. 1.500%  1/13/25 100      95
12

 

Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 American Honda Finance Corp. 1.200%   7/8/25 150     139
1 American Honda Finance Corp. 1.000%  9/10/25  10       9
1 American Honda Finance Corp. 2.000%  3/24/28  55      49
  Aptiv plc 3.250%   3/1/32  10       8
  Aptiv plc 3.100%  12/1/51 250     156
  Aptiv plc 4.150%   5/1/52  55      41
  AutoZone Inc. 4.000%  4/15/30 100      95
  AutoZone Inc. 4.750%   8/1/32 130     129
  BorgWarner Inc. 2.650%   7/1/27 140     127
  eBay Inc. 3.450%   8/1/24  65      64
  eBay Inc. 1.900%  3/11/25  85      80
  eBay Inc. 1.400%  5/10/26  95      86
  eBay Inc. 3.600%   6/5/27  80      77
  eBay Inc. 2.700%  3/11/30  90      78
  eBay Inc. 2.600%  5/10/31  85      71
  eBay Inc. 4.000%  7/15/42  62      51
  eBay Inc. 3.650%  5/10/51 105      79
  General Motors Co. 4.875%  10/2/23 200     201
  General Motors Co. 5.400%  10/2/23  95      96
  General Motors Co. 6.125%  10/1/25 165     170
  General Motors Co. 4.200%  10/1/27 165     159
  General Motors Co. 6.800%  10/1/27 200     212
  General Motors Co. 5.000%  10/1/28 110     107
  General Motors Co. 5.400% 10/15/29  50      49
  General Motors Co. 5.600% 10/15/32  95      91
  General Motors Co. 5.000%   4/1/35 115     103
  General Motors Co. 6.600%   4/1/36 115     116
  General Motors Co. 5.150%   4/1/38  80      70
  General Motors Co. 6.250%  10/2/43 160     153
  General Motors Co. 5.200%   4/1/45 165     140
  General Motors Co. 6.750%   4/1/46 110     110
  General Motors Co. 5.400%   4/1/48  85      75
  General Motors Co. 5.950%   4/1/49  80      74
  General Motors Financial Co. Inc. 5.100%  1/17/24  95      96
  General Motors Financial Co. Inc. 1.050%   3/8/24 160     152
  General Motors Financial Co. Inc. 3.950%  4/13/24  67      67
  General Motors Financial Co. Inc. 1.200% 10/15/24 185     173
  General Motors Financial Co. Inc. 3.500%  11/7/24  75      73
  General Motors Financial Co. Inc. 4.000%  1/15/25 100      99
  General Motors Financial Co. Inc. 2.900%  2/26/25 140     134
  General Motors Financial Co. Inc. 4.350%   4/9/25  80      79
  General Motors Financial Co. Inc. 2.750%  6/20/25  25      24
  General Motors Financial Co. Inc. 4.300%  7/13/25  85      84
  General Motors Financial Co. Inc. 1.250%   1/8/26 110      97
  General Motors Financial Co. Inc. 5.250%   3/1/26 165     166
  General Motors Financial Co. Inc. 1.500%  6/10/26 210     185
  General Motors Financial Co. Inc. 4.000%  10/6/26 155     149
  General Motors Financial Co. Inc. 4.350%  1/17/27 105     101
  General Motors Financial Co. Inc. 2.700%  8/20/27  55      49
  General Motors Financial Co. Inc. 2.400%  4/10/28 105      89
  General Motors Financial Co. Inc. 2.400% 10/15/28  65      54
  General Motors Financial Co. Inc. 4.300%   4/6/29 135     125
  General Motors Financial Co. Inc. 3.600%  6/21/30  65      56
  General Motors Financial Co. Inc. 2.350%   1/8/31  90      70
  General Motors Financial Co. Inc. 2.700%  6/10/31  90      71
13

 

Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  General Motors Financial Co. Inc. 3.100%  1/12/32 160     129
  Hasbro Inc. 3.900% 11/19/29 115     106
  Home Depot Inc. 3.750%  2/15/24 210     210
  Home Depot Inc. 3.350%  9/15/25  75      74
  Home Depot Inc. 3.000%   4/1/26 160     156
  Home Depot Inc. 2.125%  9/15/26 120     112
  Home Depot Inc. 2.500%  4/15/27  75      71
  Home Depot Inc. 2.875%  4/15/27  90      86
  Home Depot Inc. 2.800%  9/14/27  30      29
  Home Depot Inc. 1.500%  9/15/28  65      57
  Home Depot Inc. 3.900%  12/6/28  90      89
  Home Depot Inc. 2.950%  6/15/29 150     140
  Home Depot Inc. 2.700%  4/15/30 140     126
  Home Depot Inc. 1.375%  3/15/31  70      56
  Home Depot Inc. 1.875%  9/15/31 160     132
  Home Depot Inc. 3.250%  4/15/32 135     125
  Home Depot Inc. 5.875% 12/16/36 269     302
  Home Depot Inc. 3.300%  4/15/40 131     110
  Home Depot Inc. 5.950%   4/1/41 115     130
  Home Depot Inc. 4.200%   4/1/43  40      37
  Home Depot Inc. 4.400%  3/15/45 190     179
  Home Depot Inc. 4.250%   4/1/46 275     255
  Home Depot Inc. 3.900%  6/15/47 105      93
  Home Depot Inc. 4.500%  12/6/48 145     140
  Home Depot Inc. 3.125% 12/15/49 120      92
  Home Depot Inc. 3.350%  4/15/50 160     127
  Home Depot Inc. 2.750%  9/15/51  85      61
  Home Depot Inc. 3.625%  4/15/52 155     130
  Home Depot Inc. 3.500%  9/15/56 240     192
  Honda Motor Co. Ltd. 2.271%  3/10/25 345     331
  Honda Motor Co. Ltd. 2.534%  3/10/27  85      79
  Honda Motor Co. Ltd. 2.967%  3/10/32  95      85
  Hyatt Hotels Corp. 1.800%  10/1/24  80      76
  Lennar Corp. 4.750% 11/29/27  20      20
  Lowe's Cos. Inc. 4.000%  4/15/25  95      95
  Lowe's Cos. Inc. 3.375%  9/15/25  60      59
  Lowe's Cos. Inc. 2.500%  4/15/26 150     143
  Lowe's Cos. Inc. 3.100%   5/3/27 280     266
  Lowe's Cos. Inc. 1.300%  4/15/28  25      21
  Lowe's Cos. Inc. 1.700%  9/15/28  70      60
  Lowe's Cos. Inc. 3.650%   4/5/29 191     181
  Lowe's Cos. Inc. 4.500%  4/15/30 165     163
  Lowe's Cos. Inc. 1.700% 10/15/30 120      96
  Lowe's Cos. Inc. 2.625%   4/1/31 135     116
  Lowe's Cos. Inc. 3.750%   4/1/32 140     129
  Lowe's Cos. Inc. 2.800%  9/15/41  60      43
  Lowe's Cos. Inc. 3.700%  4/15/46 125      99
  Lowe's Cos. Inc. 4.050%   5/3/47 195     162
  Lowe's Cos. Inc. 3.000% 10/15/50 180     123
  Lowe's Cos. Inc. 4.250%   4/1/52 140     119
  Lowe's Cos. Inc. 4.450%   4/1/62 115      97
  Magna International Inc. 3.625%  6/15/24 110     109
  Magna International Inc. 2.450%  6/15/30  55      47
1 Marriott International Inc. 3.125%  6/15/26  65      62
1 Marriott International Inc. 4.625%  6/15/30 155     148
14

 

Table of Contents
ESG U.S. Corporate Bond ETF
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Marriott International Inc. 2.850%  4/15/31  85      71
1 Marriott International Inc. 3.500% 10/15/32  80      69
1 McDonald's Corp. 3.300%   7/1/25  75      74
1