Vanguard Long-Term Treasury Index Fund
Schedule of Investments (unaudited)
As of November 30, 2019
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (99.5%) | ||||
U.S. Government Securities (99.5%) | ||||
United States Treasury Note/Bond | 6.125% | 8/15/29 | 2 | 2 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 15,913 | 22,673 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 30,380 | 41,364 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 28,657 | 38,821 |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 14,395 | 20,259 |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 11,142 | 16,130 |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 11,947 | 16,251 |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 13,735 | 18,993 |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 39,980 | 49,100 |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 22,267 | 30,033 |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 25,144 | 34,997 |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 25,904 | 35,561 |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 42,679 | 60,498 |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 33,025 | 45,477 |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 41,342 | 53,499 |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 33,087 | 44,967 |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 36,773 | 53,257 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 28,543 | 39,506 |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 33,997 | 43,383 |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 28,549 | 33,322 |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 35,302 | 41,231 |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 31,168 | 35,707 |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 46,283 | 50,969 |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 69,747 | 76,830 |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 58,067 | 67,957 |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 97,638 | 109,813 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 68,074 | 86,135 |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 91,396 | 117,957 |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 92,780 | 117,714 |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 82,818 | 101,271 |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 93,591 | 110,072 |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 88,040 | 101,521 |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 85,415 | 90,246 |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 80,569 | 93,132 |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 94,257 | 106,657 |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 82,213 | 95,251 |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 80,767 | 85,423 |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 77,127 | 81,610 |
United States Treasury Note/Bond | 2.250% | 8/15/46 | 87,641 | 88,284 |
United States Treasury Note/Bond | 2.875% | 11/15/46 | 73,314 | 83,337 |
United States Treasury Note/Bond | 3.000% | 2/15/47 | 75,274 | 87,647 |
United States Treasury Note/Bond | 3.000% | 5/15/47 | 89,034 | 103,669 |
United States Treasury Note/Bond | 2.750% | 8/15/47 | 75,510 | 84,005 |
United States Treasury Note/Bond | 2.750% | 11/15/47 | 87,190 | 97,040 |
United States Treasury Note/Bond | 3.000% | 2/15/48 | 81,967 | 95,619 |
United States Treasury Note/Bond | 3.125% | 5/15/48 | 100,798 | 120,407 |
United States Treasury Note/Bond | 3.000% | 8/15/48 | 96,242 | 112,467 |
United States Treasury Note/Bond | 3.375% | 11/15/48 | 102,392 | 128,150 |
United States Treasury Note/Bond | 3.000% | 2/15/49 | 110,569 | 129,504 |
United States Treasury Note/Bond | 2.875% | 5/15/49 | 111,469 | 127,632 |
United States Treasury Note/Bond | 2.250% | 8/15/49 | 111,985 | 113,105 |
United States Treasury Note/Bond | 2.375% | 11/15/49 | 35,935 | 37,311 |
Total U.S. Government and Agency Obligations (Cost $3,398,850) | 3,675,766 | |||
Shares | ||||
Temporary Cash Investment (0.7%) | ||||
Money Market Fund (0.7%) | ||||
1 Vanguard Market Liquidity Fund (Cost | ||||
$25,631) | 1.841% | 256,257 | 25,631 | |
Total Investments (100.2%) (Cost $3,424,481) | 3,701,397 | |||
Other Assets and Liabilities-Net (-0.2%) | (7,906) | |||
Net Assets (100%) | 3,693,491 |
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
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. Bonds and temporary cash investments are valued using the
latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and
ratings), both as furnished by independent pricing services. Investments in
Vanguard Market Liquidity Fund are valued at that fund's net asset value.
Securities for which market quotations are not readily available, or whose
values have been affected by events occurring before the fund's pricing
time but after the close of the securities’ primary markets, are valued by
methods deemed by the board of trustees to represent fair value.
B. Futures Contracts: The fund uses futures contracts to invest in fixed
income asset classes with greater efficiency and lower cost than is
possible through direct investment, to add value when these instruments are
attractively priced, or to adjust sensitivity to changes in interest rates.
The primary risks associated with the use of futures contracts are
imperfect correlation between changes in market values of bonds held by the
fund and the prices of futures contracts, and the possibility of an
illiquid market. Counterparty risk involving futures is mitigated because a
regulated clearinghouse is the counterparty instead of the clearing broker.
To further mitigate counterparty risk, the fund trades futures contracts on
an exchange, monitors the financial strength of its clearing brokers and
clearinghouse, and has entered into clearing agreements with its clearing
brokers. The clearinghouse imposes initial margin requirements to secure
the fund’s performance and requires daily settlement of variation margin
representing changes in the market value of each contract. Any assets
pledged as initial margin for open contracts are noted in the Schedule of
Investments.
Futures contracts are valued at their quoted daily settlement prices. The
notional amounts of the contracts are not recorded in the Schedule of
Investments. Fluctuations in the value of the contracts are recorded as an
asset (liability).
The fund had no open futures contracts at November 30, 2019.
Long-Term Treasury Index Fund
C. Various inputs may be used to determine the value of the fund's
investments. These inputs are summarized in three broad levels for
financial statement purposes. The inputs or methodologies used to value
securities are not necessarily an indication of the risk associated with
investing in those securities.
Level 1Quoted prices in active markets for identical securities.
Level 2Other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3Significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments). Any
investments valued with significant unobservable inputs are noted on the
Schedule of Investments.
The following table summarizes the market value of the fund's investments
as of November 30, 2019, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | | 3,675,766 | |
Temporary Cash Investments | 25,631 | | |
Total | 25,631 | 3,675,766 | |