UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-02368

Name of Registrant:	Vanguard Fixed Income Securities Funds
Address of Registrant:	P.O. Box 2600
	Valley Forge, PA 19482
Name and address of agent for service:	Anne E. Robinson, Esquire
	P.O. Box 876
	Valley Forge, PA 19482

Registrant’s telephone number, including area code: (610) 669-1000

Date of fiscal year end: January 31

Date of reporting period: February 1, 2019—January 31, 2020

Item 1: Reports to Shareholders

 

Annual Report | January 31, 2020

Vanguard U.S. Government Bond Funds

Vanguard Short-Term Treasury Fund

Vanguard Short-Term Federal Fund

Vanguard Intermediate-Term Treasury Fund

Vanguard Long-Term Treasury Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. 

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
Advisor’s Report	3
About Your Fund’s Expenses	6
Short-Term Treasury Fund	8
Short-Term Federal Fund	25
Intermediate-Term Treasury Fund	45
Long-Term Treasury Fund	63

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.

A Note From Our Chairman

 

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

March 3, 2020

1

Your Fund’s Performance at a Glance

·     For the 12 months ended January 31, 2020, the returns of the funds in this report ranged from 3.91% for Vanguard Short-Term Treasury Fund to 21.84% for Vanguard Long-Term Treasury Fund. (Returns cited are for Investor Shares.) Although Admiral Shares of the Long-Term Treasury Fund outperformed that fund’s index slightly, Investor Shares of each fund underperformed their benchmarks.

·    The Federal Reserve cut interest rates three times during the funds’ fiscal year. Its target rate now stands at 1.5%–1.75%, 75 basis points lower than it was at the beginning of the period. (A basis point is one-hundredth of a percentage point.) U.S. economic growth and labor market gains remained healthy, and inflation remained in check. In this environment, global bond yields generally fell and prices rose.

·    Relative performance was hindered primarily by the funds’ structurally shorter durations—that is, their lower levels of interest rate sensitivity—compared with their benchmarks. Out-of-benchmark allocations to agency mortgage-backed securities, on the other hand, helped the funds.

Market Barometer

	Average Annual Total Returns
	Periods Ended January 31, 2020
	One Year		Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)		21.39%	14.33%	12.13%
Russell 2000 Index (Small-caps)		9.21	7.28	8.23
Russell 3000 Index (Broad U.S. market)		20.53	13.82	11.85
FTSE All-World ex US Index (International)		10.28	7.74	5.24
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)		9.64%	4.62%	3.01%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)		8.65	5.12	3.53
FTSE Three-Month U.S. Treasury Bill Index		2.18	1.68	1.07
CPI
Consumer Price Index		2.49%	2.04%	2.00%

2

Advisor’s Report

Falling interest rates and tame inflation helped boost the returns of U.S. bonds for the 12 months ended January 31, 2020. The returns of the four funds in this report ranged from 3.91% for Vanguard Short-Term Treasury Fund to 21.84% for Vanguard Long-Term Treasury Fund. (The returns and yields cited in this report are for Investor Shares.) Our duration and yield curve positions held back relative performance, and Investor Shares of each fund underperformed their benchmarks. (Admiral Shares of the Long-Term Treasury Fund slightly outperformed that fund’s benchmark.)

Investment environment

The financial markets during the period were driven largely by shifts in the outlook for global growth and monetary policy.

Gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3%, after adjusting for inflation, in the first quarter of 2019. Its pace of growth then slowed amid weaker business confidence, trade disputes, and fading effects of tax cuts. The unemployment rate edged downward to finish the period at a half-century low of 3.6%. Although the trend helped keep consumers spending, the pace of job gains slowed. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) remained at or a little above 2%.

After raising rates four times in 2018, the Federal Reserve began to reverse gears in March with an announcement that it would end its balance-sheet drawdown. It then lowered the federal funds rate in August, September, and October. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to cushion the effects of trade policies and prolong an economic expansion in its 11th year.

Rate cuts and slowing growth contributed to declines in yields across the maturity spectrum. The Treasury yield curve was inverted for part of the period—that is, yields of shorter-term bonds were higher than those of longer-term bonds—but finished the year displaying a more typical upward slope.

Yields of U.S. Treasury Securities 

	January 31,	January 31,
Maturity	2019	2020
2 years	2.46%	1.31%
3 years	2.43	1.33
5 years	2.44	1.31
10 years	2.63	1.51
30 years	3.00	2.00

Source: Vanguard. 

3

Fed action pushed shorter-term Treasury yields significantly lower. The yield of the 2-year Treasury note fell 115 basis points over the period to 1.31%. (A basis point is one-hundredth of a percentage point. Changes in yields may reflect rounding.)

Demand for longer-term Treasury bonds was supported by escalating trade tensions, geopolitical flare-ups, and political uncertainties in Europe early in the period. While some of those concerns lessened later on, yields on these securities finished the period significantly lower. The yield of the 30-year Treasury note ended down 100 basis points at 2.00%.

Management of the funds

The funds’ relative performance was held back primarily by structurally shorter durations—that is, their levels of interest rate sensitivity—compared with their benchmarks. In general, bonds with shorter durations don’t perform as well on a relative basis when interest rates are falling.

Our yield curve positions also did not perform as expected because geopolitical uncertainties led to a flight to quality during the summer that caused the yield curve to invert.

In response to this challenging environment, we looked to boost returns by adding higher-yielding asset classes to our portfolios. Strong selection in mortgage-backed securities helped returns. So did our positions in agency debt, which we overweighted in Vanguard Short-Term Federal Fund, and an out-of-benchmark allocation in the three Treasury Funds.

Our Treasury Funds also benefited from exposure to Treasury Inflation-Protected Securities, particularly earlier in the period when valuations were more attractive. Those funds’ performance also was helped by tactical plays with cash and futures contracts.

These positions in higher-yielding instruments helped offset much of the drag from our duration and yield curve positions. As a result, the returns of Investor Shares of our funds narrowly trailed those of their benchmarks for the period.

Outlook

Global growth is likely to keep softening, with trade tensions and policy uncertainty unlikely to ease substantially. The U.S. economy may fall below 2% trend growth in 2020, according to Vanguard economists.

Other major economies are likely to see a deceleration as well in 2020. China, the world’s second-largest economy, may see growth of around 5.8%. The coronavirus outbreak will weigh on its economy in the near term, but we see the potential for a rebound in the second half of the year amid anticipated government stimulus. In the euro area, growth may stay weak, at about 1%.

4

This backdrop, along with modest wage gains and structural factors such as technology advancements and globalization, is unlikely to support a sustained rebound in inflation.

In the United States, inflation may trend closer to the Fed’s 2% target, but—given the structural forces still in play—not much higher.

We may see bouts of volatility related to growth, inflation, and interest rate expectations, but investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a low-yield bond environment, bonds can play a useful role as ballast in a portfolio, helping to provide downside protection alongside riskier assets such as equities.

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek out opportunities to add to the fund’s performance.

John Hollyer, CFA, Principal and Global Head of Fixed Income Group

Gemma Wright-Casparius, Principal and Portfolio Manager

Brian Quigley, Portfolio Manager

Vanguard Fixed Income Group

February 19, 2020

5

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.

6

Six Months Ended January 31, 2020

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
	7/31/2019	1/31/2020	Period
Based on Actual Fund Return
Short-Term Treasury Fund
Investor Shares	$1,000.00	$1,016.68	$1.02
Admiral™ Shares	1,000.00	1,017.19	0.51
Short-Term Federal Fund
Investor Shares	$1,000.00	$1,019.73	$1.02
Admiral Shares	1,000.00	1,020.24	0.51
Intermediate-Term Treasury Fund
Investor Shares	$1,000.00	$1,034.01	$1.03
Admiral Shares	1,000.00	1,034.53	0.51
Long-Term Treasury Fund
Investor Shares	$1,000.00	$1,104.97	$1.06
Admiral Shares	1,000.00	1,105.52	0.53
Based on Hypothetical 5% Yearly Return
Short-Term Treasury Fund
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51
Short-Term Federal Fund
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51
Intermediate-Term Treasury Fund
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51
Long-Term Treasury Fund
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term Federal Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

7

Short-Term Treasury Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020
Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Short-Term Treasury Fund Investor Shares	3.91%	1.35%	1.26%	$11,330
	Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index	4.85	1.65	1.71	11,851
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	14,501

				Final Value
	One	Five	Ten	of a $50,000
	Year	Years	Years	Investment
Short-Term Treasury Fund Admiral Shares	4.01%	1.45%	1.36%	$57,228
Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index	4.85	1.65	1.71	59,254
Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	72,507

See Financial Highlights for dividend and capital gains information.

8

Short-Term Treasury Fund

Sector Diversification

As of January 31, 2020

Asset-Backed	0.3	%
Government Mortgage-Backed	19.2
Treasury/Agency	80.5

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage- backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

9

Short-Term Treasury Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (92.2%)
U.S. Government Securities (84.7%)
	United States Treasury Inflation Indexed Bonds	0.125%	4/15/21	600,000		649,614
	United States Treasury Note/Bond	1.750%	12/31/20	350,000		350,658
	United States Treasury Note/Bond	2.500%	12/31/20	194,000		195,697
	United States Treasury Note/Bond	1.375%	1/31/21	110,000		109,862
1	United States Treasury Note/Bond	2.125%	1/31/21	254,000		255,509
	United States Treasury Note/Bond	2.500%	1/31/21	78,000		78,756
	United States Treasury Note/Bond	2.250%	2/15/21	245,000		246,877
	United States Treasury Note/Bond	3.625%	2/15/21	82,000		83,768
	United States Treasury Note/Bond	1.125%	2/28/21	360,000		358,592
	United States Treasury Note/Bond	2.000%	2/28/21	300,000		301,593
	United States Treasury Note/Bond	2.250%	3/31/21	156,000		157,390
	United States Treasury Note/Bond	2.375%	4/15/21	75,000		75,796
	United States Treasury Note/Bond	1.375%	4/30/21	135,000		134,853
	United States Treasury Note/Bond	2.250%	4/30/21	182,000		183,764
	United States Treasury Note/Bond	2.125%	5/31/21	93,000		93,843
	United States Treasury Note/Bond	1.625%	6/30/21	43,000		43,121
	United States Treasury Note/Bond	2.750%	9/15/21	3,600		3,678
	United States Treasury Note/Bond	1.125%	9/30/21	45,000		44,810
	United States Treasury Note/Bond	1.500%	9/30/21	180,000		180,338
	United States Treasury Note/Bond	2.125%	9/30/21	75,000		75,914
	United States Treasury Note/Bond	2.500%	2/15/22	75,000		76,734
	United States Treasury Note/Bond	1.750%	5/15/22	25,000		25,242
	United States Treasury Note/Bond	2.125%	5/15/22	138,000		140,458
	United States Treasury Note/Bond	1.750%	7/15/22	92,000		92,949
	United States Treasury Note/Bond	1.875%	7/31/22	120,000		121,631
	United States Treasury Note/Bond	1.875%	8/31/22	85,000		86,209
	United States Treasury Note/Bond	1.375%	10/15/22	235,000		235,367
	United States Treasury Note/Bond	1.875%	10/31/22	50,000		50,758
	United States Treasury Note/Bond	1.625%	11/15/22	170,000		171,435
	United States Treasury Note/Bond	2.000%	11/30/22	316,000		322,023
	United States Treasury Note/Bond	2.125%	12/31/22	140,000		143,259
	United States Treasury Note/Bond	1.750%	1/31/23	103,000		104,336
	United States Treasury Note/Bond	1.500%	2/28/23	17,000		17,101
	United States Treasury Note/Bond	1.625%	4/30/23	140,000		141,422
2	United States Treasury Note/Bond	2.750%	4/30/23	450,000		470,529
	United States Treasury Note/Bond	2.750%	5/31/23	116,000		121,420
	United States Treasury Note/Bond	1.375%	6/30/23	26,000		26,057
	United States Treasury Note/Bond	2.750%	7/31/23	133,300		139,840
	United States Treasury Note/Bond	2.750%	8/31/23	78,000		81,912
	United States Treasury Note/Bond	1.375%	9/30/23	75,000		75,199

10

Short-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	United States Treasury Note/Bond	2.875%	9/30/23	65,000		68,626
	United States Treasury Note/Bond	2.875%	10/31/23	22,000		23,251
	United States Treasury Note/Bond	2.125%	11/30/23	20,000		20,609
	United States Treasury Note/Bond	2.875%	11/30/23	130,000		137,556
	United States Treasury Note/Bond	2.625%	12/31/23	130,000		136,479
	United States Treasury Note/Bond	2.250%	1/31/24	98,000		101,568
	United States Treasury Note/Bond	2.500%	1/31/24	122,000		127,605
	United States Treasury Note/Bond	2.750%	2/15/24	45,000		47,538
2	United States Treasury Note/Bond	2.125%	3/31/24	51,000		52,658
	United States Treasury Note/Bond	2.000%	4/30/24	107,000		110,009
	United States Treasury Note/Bond	2.250%	4/30/24	122,000		126,690
	United States Treasury Note/Bond	2.500%	5/15/24	84,000		88,108
	United States Treasury Note/Bond	2.000%	5/31/24	50,000		51,422
	United States Treasury Note/Bond	1.500%	9/30/24	110,000		110,859
	United States Treasury Note/Bond	2.250%	11/15/24	66,000		68,825
						7,540,117
Agency Bonds and Notes (1.0%)
	Government Trust Certificate	0.000%	10/1/20	12,119		11,977
	Private Export Funding Corp.	2.250%	3/15/20	5,800		5,805
	Resolution Funding Corp. Principal Strip	0.000%	10/15/20	72,620		71,825
						89,607
Conventional Mortgage-Backed Securities (5.9%)
3,4	Fannie Mae Pool	3.000%	9/1/49–1/1/50	154,042		157,815
3,4	Fannie Mae Pool	3.500%	10/1/44–1/1/50	6,554		6,313
3,4	Fannie Mae Pool	4.500%	7/1/47–7/1/49	91,603		98,669
3,4	Freddie Mac Gold Pool	6.000%	10/1/27–4/1/28	51		58
3	Ginnie Mae II Pool	3.000%	9/20/49–2/1/50	10,613		10,721
3	Ginnie Mae II Pool	5.000%	3/20/49–3/1/50	141		211
3,4	UMBS Pool	3.500%	2/1/49–2/1/50	77,818		81,232
3,4	UMBS Pool	4.000%	2/1/47–2/1/50	141,651		148,238
3,4	UMBS Pool	4.500%	8/1/49	23,537		25,299
						528,556
Nonconventional Mortgage-Backed Securities (0.6%)
3,4	Fannie Mae REMICS	3.000%	9/25/44	3,695,656		3,787
3,4	Freddie Mac REMICS	2.500%	10/25/49	5,897,323		5,996
3	Ginnie Mae REMICS	2.000%	11/20/42	4,808		4,836
3	Ginnie Mae REMICS	2.500%	11/20/47	1,964		2,003
3	Ginnie Mae REMICS	3.000%	8/20/44	29,724		30,429
3	Ginnie Mae REMICS	4.000%	10/20/47	2,879		3,030
						50,081
Total U.S. Government and Agency Obligations (Cost $8,146,897)						8,208,361
Asset-Backed/Commercial Mortgage-Backed Securities (1.3%)
3,4	Fannie Mae-Aces 2012-124E	1.500%	11/25/42	2,236		2,175
3,4	Fannie Mae-Aces 2013-104A	3.000%	10/25/33	12,576		13,219
3,4	Fannie Mae-Aces 2013-20E	1.500%	3/25/43	2,597		2,525
3,4	Fannie Mae-Aces 2017-67D	3.000%	2/25/44	5,594		5,806
3,4	Fannie Mae-Aces 2018-91A	4.000%	12/25/46	15,149		16,016
3,4	Fannie Mae-Aces 2019-68G	2.500%	5/25/48	2,652,868		2,689
3,4	Fannie Mae-Aces 2019-83A	2.500%	12/25/49	2,464,947		2,493
3,4	FHLMC Multifamily Structured Pass Through Certificates 4122K	1.500%	10/15/42	1,638		1,593
3,4	FHLMC Multifamily Structured Pass Through Certificates 4194A	1.700%	4/15/43	2,355		2,336

11

Short-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
3,4	FHLMC Multifamily Structured Pass Through Certificates 4852D	4.000%	10/15/46	31,897		33,170
3,4	FHLMC Multifamily Structured Pass Through Certificates 4927F	2.250%	9/25/49	1,968		1,981
3,4	FHLMC Multifamily Structured Pass Through Certificates 4950A	2.500%	12/25/49	1,750		1,778
3	Small Business Administration Participation Certs 2002-20L	5.100%	12/1/22	398		411
3	Small Business Administration Participation Certs 2004-20G	5.190%	7/1/24	270		284
3	Small Business Administration Participation Certs 2005-20J	5.090%	10/1/25	871		908
3	Small Business Administration Participation Certs 2006-20D	5.640%	4/1/26	1,113		1,187
3	Small Business Administration Participation Certs 2006-20L	5.120%	12/1/26	1,843		1,954
3	Small Business Administration Participation Certs 2007-20D	5.320%	4/1/27	1,334		1,413
3	Small Business Administration Participation Certs 2007-20G	5.820%	7/1/27	963		1,049
3	Small Business Administration Participation Certs 2007-20I	5.560%	9/1/27	5,247		5,621
3	Small Business Administration Participation Certs 2009-20I	4.200%	9/1/29	2,329		2,454
3	Small Business Administration Participation Certs 2009-20J	3.920%	10/1/29	3,724		3,880
3	Small Business Administration Participation Certs 2009-20K	4.090%	11/1/29	1,833		1,920
3	Small Business Administration Participation Certs 2018-20C	5.230%	3/1/27	1,603		1,700
3	Small Business Administration Participation Certs 2018-20E	5.310%	5/1/27	2,645		2,817
3	Small Business Administration Participation Certs 2019-25L	5.520%	6/1/24	566		596
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $111,020)						111,975

			Shares
Temporary Cash Investment (0.5%)
Money Market Fund (0.5%)
5	Vanguard Market Liquidity Fund (Cost $46,444)	1.730%	464,361	46,445

					Notional
	Expiration			Exercise	Amount
	Date		Contracts	Price	($000	)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	537	$127.00	68,199		—
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,615	$130.00	209,950		177
Total Options Purchased (Cost $361)							177
Total Investments (94.0%) (Cost $8,304,722)							8,366,958

12

Short-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)
3,4,6	Fannie Mae Pool	4.000%	12/1/46–3/1/50	(118,458	)	(124,170	)
3,4,6	UMBS Pool	3.000%	2/1/49–2/1/50	(112,600	)	(115,151	)
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $239,005)						(239,321	)
Other Assets and Liabilities (8.7%)
Other Assets						1,425,305
Other Liabilities7						(654,579	)
						770,726
Net Assets (100%)						8,898,363

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	8,320,336
Affiliated Issuers	46,445
Options Purchased	177
Total Investments in Securities	8,366,958
Investment in Vanguard	388
Receivables for Investment Securities Sold	1,358,430
Receivables for Accrued Income	36,142
Receivables for Capital Shares Issued	27,459
Variation Margin Receivable—Futures Contracts	2,259
Other Assets	627
Total Assets	9,792,263
Liabilities
Payables for Investment Securities Purchased	638,510
Payables for Capital Shares Redeemed	9,901
Payables for Distributions	2,537
Payables to Vanguard	1,959
Liability for Sale Commitments	239,321
Options Written, at Value7	853
Variation Margin Payable—Futures Contracts	819
Total Liabilities	893,900
Net Assets	8,898,363

13

Short-Term Treasury Fund

At January 31, 2020, net assets consisted of:

	Amount
	($000	)
Paid-in Capital	8,927,425
Total Distributable Earnings (Loss)	(29,062	)
Net Assets	8,898,363
Investor Shares—Net Assets
Applicable to 61,537,173 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	654,886
Net Asset Value Per Share—Investor Shares	$10.64
Admiral Shares—Net Assets
Applicable to 774,605,563 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	8,243,477
Net Asset Value Per Share—Admiral Shares	$10.64

· See Note A in Notes to Financial Statements.

1 Securities with a value of $4,719,000 have been segregated as initial margin for open futures contracts.

2 Securities with a value of $2,719,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

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 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.

5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

7	Includes premiums received of $403,000.
	REMICS—Real Estate Mortgage Investment Conduits.
	UMBS—Uniform Mortgage-Backed Securities.

14

Short-Term Treasury Fund

Derivative Financial Instruments Outstanding as of Period End
Options Written
				Notional	Market
	Expiration		Exercise	Amount	Value
	Date	Contracts	Price	($000)	($000)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	114	$130.75	14,906	(134)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	537	131.00	70,347	(537)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	541	133.50	72,224	(85)
					(756)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	2,148	$129.00	277,092	(67)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	114	130.75	14,906	(30)
					(97)
Total Options Written (Premiums Received $403)					(853)
Futures Contracts
					($000)
					Value and
			Number of		Unrealized
			Long (Short)	Notional	Appreciation
	Expiration		Contracts	Amount	(Depreciation)
Long Futures Contracts
2-Year U.S. Treasury Note	March 2020		9,264	2,004,353	8,540
5-Year U.S. Treasury Note	March 2020		478	57,513	2
10-Year U.S. Treasury Note	March 2020		283	37,259	180
					8,722
Short Futures Contracts
30-Year U.S. Treasury Bond	March 2020		(463)	(75,715)	(2,988)
Ultra Long U.S. Treasury Bond	March 2020		(253)	(49,003)	(370)
Ultra 10-Year U.S. Treasury Note	March 2020		(190)	(27,675)	(701)
					(4,059)
					4,663

See accompanying Notes, which are an integral part of the Financial Statements.

15

Short-Term Treasury Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Interest1	214,643
Total Income	214,643
Expenses
The Vanguard Group—Note B
Investment Advisory Services	1,173
Management and Administrative—Investor Shares	1,152
Management and Administrative—Admiral Shares	6,110
Marketing and Distribution—Investor Shares	99
Marketing and Distribution—Admiral Shares	514
Custodian Fees	40
Auditing Fees	37
Shareholders’ Reports—Investor Shares	21
Shareholders’ Reports—Admiral Shares	106
Trustees’ Fees and Expenses	5
Total Expenses	9,257
Net Investment Income	205,386
Realized Net Gain (Loss)
Investment Securities Sold1	77,712
Futures Contracts	9,314
Options Purchased	(557)
Options Written	1,422
Realized Net Gain (Loss)	87,891
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	42,880
Futures Contracts	4,139
Options Purchased	(175)
Options Written	(404)
Change in Unrealized Appreciation (Depreciation)	46,440
Net Increase (Decrease) in Net Assets Resulting from Operations	339,717

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $7,741,000, ($4,000), and $9,000, respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

16

Short-Term Treasury Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	205,386	171,682
Realized Net Gain (Loss)	87,891	(97,804)
Change in Unrealized Appreciation (Depreciation)	46,440	85,373
Net Increase (Decrease) in Net Assets Resulting from Operations	339,717	159,251
Distributions
Net Investment Income
Investor Shares	(15,949)	(14,540)
Admiral Shares	(189,824)	(157,171)
Realized Capital Gain
Investor Shares	—	—
Admiral Shares	—	—
Total Distributions	(205,773)	(171,711)
Capital Share Transactions
Investor Shares	(27,066)	(64,568)
Admiral Shares	735,111	352,852
Net Increase (Decrease) from Capital Share Transactions	708,045	288,284
Total Increase (Decrease)	841,989	275,824
Net Assets
Beginning of Period	8,056,374	7,780,550
End of Period	8,898,363	8,056,374

See accompanying Notes, which are an integral part of the Financial Statements.

17

Short-Term Treasury Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.48	$10.49	$10.65	$10.73	$10.75
Investment Operations
Net Investment Income	.2451	.2271	.1271	.094	.074
Net Realized and Unrealized Gain (Loss) on Investments	.160	(.009)	(.160)	(.048)	(.004)
Total from Investment Operations	.405	.218	(.033)	.046	.070
Distributions
Dividends from Net Investment Income	(.245)	(.228)	(.127)	(.094)	(.074)
Distributions from Realized Capital Gains	—	—	—	(.032)	(.016)
Total Distributions	(.245)	(.228)	(.127)	(.126)	(.090)
Net Asset Value, End of Period	$10.64	$10.48	$10.49	$10.65	$10.73
Total Return2	3.91%	2.11%	-0.31%	0.43%	0.66%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$655	$671	$737	$900	$1,005
Ratio of Total Expenses to Average Net Assets	0.20%	0.20%	0.20%	0.20%	0.20%
Ratio of Net Investment Income to Average Net Assets	2.30%	2.18%	1.20%	0.87%	0.69%
Portfolio Turnover Rate3	340%	282%	280%	249%	211%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 5%, 37%, 7%, 3%, and 35% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

18

Short-Term Treasury Fund

Financial Highlights

Admiral Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.48	$10.49	$10.65	$10.73	$10.75
Investment Operations
Net Investment Income	.2541	.2381	.1381	.105	.085
Net Realized and Unrealized Gain (Loss) on Investments	.162	(.010)	(.160)	(.048)	(.004)
Total from Investment Operations	.416	.228	(.022)	.057	.081
Distributions
Dividends from Net Investment Income	(.256)	(.238)	(.138)	(.105)	(.085)
Distributions from Realized Capital Gains	—	—	—	(.032)	(.016)
Total Distributions	(.256)	(.238)	(.138)	(.137)	(.101)
Net Asset Value, End of Period	$10.64	$10.48	$10.49	$10.65	$10.73
Total Return2	4.01%	2.21%	-0.21%	0.53%	0.76%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$8,243	$7,385	$7,044	$6,805	$6,271
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%	0.10%	0.10%	0.10%
Ratio of Net Investment Income to Average Net Assets	2.40%	2.28%	1.30%	0.97%	0.79%
Portfolio Turnover Rate3	340%	282%	280%	249%	211%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 5%, 37%, 7%, 3%, and 35% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

19

Short-Term Treasury Fund

Notes to Financial Statements

Vanguard Short-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.       The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

20

Short-Term Treasury Fund

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 21% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

3. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

4. 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

21

Short-Term Treasury Fund

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 or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.       In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of

22

Short-Term Treasury Fund

operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $388,000, representing less than 0.01% of the fund’s net assets and 0.16% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.       Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments		($000	)		($000	)		($000	)
U.S. Government and Agency Obligations		—			8,208,361			—
Asset-Backed/Commercial Mortgage-Backed Securities		—			111,975			—
Temporary Cash Investments		46,445			—			—
Options Purchased		177			—			—
Conventional Mortgage-Backed Securities—Liability for Sale Commitments		—			(239,321	)		—
Options Written		(853	)		—			—
Futures Contracts—Assets1		2,259			—			—
Futures Contracts—Liabilities1		(819	)		—			—
Total		47,209			8,081,015			—

1 Represents variation margin on the last day of the reporting period.

D.       Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the

23

Short-Term Treasury Fund

realization of unrealized gains or losses on certain futures contracts and options; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
		($000	)
Undistributed Ordinary Income		3,550
Undistributed Long-Term Gains		—
Capital Loss Carryforwards (Non-expiring)*		(88,155	)
Net Unrealized Gains (Losses)		59,570

* The fund used capital loss carryforwards of $92,927,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:

	Amount
		($000	)
Tax Cost		8,307,211
Gross Unrealized Appreciation		63,008
Gross Unrealized Depreciation		(3,438	)
Net Unrealized Appreciation (Depreciation)		59,570

E.       During the year ended January 31, 2020, the fund purchased $26,005,884,000 of investment securities and sold $24,886,520,000 of investment securities, other than temporary cash investments.

F.       Capital share transactions for each class of shares were:

	Year Ended January 31,
	2020						2019
	Amount			Shares			Amount			Shares
		($000	)		(000	)		($000	)		(000	)
Investor Shares
Issued		276,043			26,184			224,749			21,543
Issued in Lieu of Cash Distributions		13,877			1,313			12,859			1,232
Redeemed		(316,986	)		(30,037	)		(302,176	)		(28,954	)
Net Increase (Decrease)—Investor Shares		(27,066	)		(2,540	)		(64,568	)		(6,179	)
Admiral Shares
Issued		2,554,837			241,901			2,652,005			254,299
Issued in Lieu of Cash Distributions		150,526			14,242			126,894			12,159
Redeemed		(1,970,252	)		(186,524	)		(2,426,047	)		(233,016	)
Net Increase (Decrease)—Admiral Shares		735,111			69,619			352,852			33,442

G.       Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

24

Short-Term Federal Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

		Average Annual Total Returns
		Periods Ended January 31, 2020
								Final Value
		One Year		Five Years		Ten Years		of a $10,000 Investment
	Short-Term Federal Fund Investor Shares	4.46	%	1.60	%	1.59	%	$11,710
	Bloomberg Barclays U.S. 1–5 Year Government Bond Index	4.83		1.66		1.70		11,837
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64		3.01		3.79		14,501

							Final Value
	One		Five		Ten		of a $50,000
	Year		Years		Years		Investment
Short-Term Federal Fund Admiral Shares	4.56	%	1.70	%	1.69	%	$59,150
Bloomberg Barclays U.S. 1–5 Year Government Bond Index	4.83		1.66		1.70		59,186
Bloomberg Barclays U.S. Aggregate Bond Index	9.64		3.01		3.79		72,507

See Financial Highlights for dividend and capital gains information.

25

Short-Term Federal Fund

Sector Diversification

As of January 31, 2020

Asset-Backed	4.9	%
Government Mortgage-Backed	72.8
Treasury/Agency	21.7
Other	0.6

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

26

Short-Term Federal Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (60.8%)
U.S. Government Securities (8.2%)
1	United States Treasury Note/Bond	1.500%	1/31/22	155,000		155,484
	United States Treasury Note/Bond	2.250%	4/15/22	43,000		43,860
2	United States Treasury Note/Bond	1.750%	6/15/22	46,400		46,871
	United States Treasury Note/Bond	1.375%	10/15/22	69,300		69,408
	United States Treasury Note/Bond	1.625%	12/15/22	67,500		68,111
1	United States Treasury Note/Bond	1.750%	12/31/24	8,400		8,571
	United States Treasury Note/Bond	1.375%	1/31/25	18,100		18,148
						410,453
Agency Bonds and Notes (19.8%)
3	AID-Israel	0.000%	11/1/24	6,905		6,371
4	Fannie Mae Principal Strip	0.000%	1/15/30	5,100		4,196
4,5	Fannie Mae Strip 405-1	0.000%	10/25/40	6,325		5,712
	Federal Home Loan Banks	1.625%	12/20/21	180,000		180,866
	Federal Home Loan Banks	1.500%	8/15/24	55,700		55,993
	Federal Home Loan Banks	3.250%	11/16/28	21,500		24,246
4	Federal National Mortgage Assn.	1.625%	1/7/25	300,000		302,994
4	Freddie Mac Strips	0.000%	7/15/32	37,300		28,763
	Government Trust Certificate	0.000%	4/1/20	10,419		10,388
	Government Trust Certificate	0.000%	10/1/20	7,711		7,621
	Private Export Funding Corp.	2.250%	3/15/20	12,393		12,403
	Private Export Funding Corp.	4.300%	12/15/21	4,430		4,658
	Private Export Funding Corp.	3.550%	1/15/24	15,500		16,686
	Private Export Funding Corp.	2.450%	7/15/24	5,300		5,501
	Resolution Funding Corp.	0.000%	1/15/28	6,400		5,533
	Resolution Funding Corp. Interest Strip	0.000%	1/15/27	11,864		10,482
	Resolution Funding Corp. Interest Strip	0.000%	10/15/27	9,894		8,599
	Resolution Funding Corp. Interest Strip	0.000%	4/15/28	4,590		3,947
	Resolution Funding Corp. Principal Strip	0.000%	7/15/20	69,270		68,773
	Resolution Funding Corp. Principal Strip	0.000%	10/15/20	213,717		211,379
	Tennessee Valley Authority Principal Strip	0.000%	11/1/25	17,342		15,686
						990,797
Conventional Mortgage-Backed Securities (21.3%)
4,5	Fannie Mae Pool	2.000%	10/1/27–7/1/28	4,817		4,868
4,5	Fannie Mae Pool	2.500%	2/1/28–8/1/34	93,014		94,742
4,5	Fannie Mae Pool	3.000%	12/1/20–1/1/50	219,471		224,916
4,5	Fannie Mae Pool	4.000%	3/1/20–3/1/50	118,791		127,556
4,5	Fannie Mae Pool	4.500%	3/1/20–7/1/49	49,579		53,385
4,5	Fannie Mae Pool	5.000%	8/1/20–9/1/49	63,082		69,254

27

Short-Term Federal Fund

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
4,5	Fannie Mae Pool	5.500%	2/1/20–1/1/25	104		106
4,5	Freddie Mac Gold Pool	2.000%	9/1/28–6/1/30	5,559		5,559
4,5	Freddie Mac Gold Pool	2.500%	6/1/22–10/1/31	16,453		16,792
4,5	Freddie Mac Gold Pool	3.000%	11/1/29–3/1/31	25,757		26,616
4,5	Freddie Mac Gold Pool	3.500%	3/1/21–8/1/29	9,863		10,332
4,5	Freddie Mac Gold Pool	4.000%	6/1/20–6/1/46	19,677		21,029
4,5	Freddie Mac Gold Pool	4.500%	8/1/20–9/1/26	3,043		3,149
4,5	Freddie Mac Gold Pool	5.000%	2/1/20–6/1/25	933		982
4,5	Freddie Mac Pool	3.000%	10/1/49	7,467		7,598
5	Ginnie Mae II Pool	3.000%	9/20/49–2/1/50	26,835		27,084
5	Ginnie Mae II Pool	5.000%	3/20/49–3/1/50	297		401
4,5	UMBS Pool	2.500%	9/1/34–2/1/35	78,879		80,274
4,5	UMBS Pool	3.500%	8/1/29–2/1/50	225,295		233,327
4,5	UMBS Pool	4.000%	2/1/47–2/1/50	39,091		40,980
4,5	UMBS Pool	4.500%	8/1/49	12,634		13,580
						1,062,530
Nonconventional Mortgage-Backed Securities (11.5%)
4,5	Fannie Mae REMICS	2.500%	6/25/40–9/25/45	12,465		12,701
4,5	Fannie Mae REMICS	3.000%	9/25/44–3/25/48	50,707		51,683
4,5	Fannie Mae REMICS	3.500%	10/25/44–10/25/48	34,621		35,727
4,5	Freddie Mac REMICS	2.500%	10/15/41–10/25/49	88,865		90,195
4,5	Freddie Mac REMICS	3.000%	11/25/47–10/25/48	20,828		21,366
4,5	Freddie Mac REMICS	3.500%	5/15/40	3,574		3,674
4,5	Freddie Mac REMICS	4.000%	8/15/48	20,286		21,192
4,5	Freddie Mac REMICS	6.500%	5/15/24	5,087		5,444
5	Ginnie Mae REMICS	1.500%	10/20/45–11/20/45	131,029		128,812
5	Ginnie Mae REMICS	1.993%	12/20/42	6,052		6,046
5	Ginnie Mae REMICS	2.000%	11/20/42	25,204		25,351
5	Ginnie Mae REMICS	2.500%	9/20/43–11/20/47	7,462		7,574
5	Ginnie Mae REMICS	3.000%	3/20/41–3/20/48	131,136		133,811
5	Ginnie Mae REMICS	3.500%	4/20/48–5/20/49	9,400		9,988
5	Ginnie Mae REMICS	4.000%	10/20/47–9/20/48	20,550		21,620
						575,184
Total U.S. Government and Agency Obligations (Cost $3,002,605)						3,038,964
Asset-Backed/Commercial Mortgage-Backed Securities (20.4%)
4,5	Fannie Mae-Aces 2011-48D	3.000%	9/25/49	9,163		9,514
4,5	Fannie Mae-Aces 2011-50F	3.000%	9/25/49	14,541		15,075
4,5	Fannie Mae-Aces 2011-77A	3.000%	4/25/44	36,131		36,859
4,5	Fannie Mae-Aces 2011-84A	5.250%	9/25/41	4,971		5,741
4,5	Fannie Mae-Aces 2011-90A	3.500%	12/25/45	3,834		4,015
4,5	Fannie Mae-Aces 2012-123F	1.500%	11/25/42	18,123		17,885
4,5	Fannie Mae-Aces 2012-124E	1.500%	11/25/42	3,064		2,981
4,5	Fannie Mae-Aces 2013-104A	3.000%	10/25/33	6,730		7,074
4,5	Fannie Mae-Aces 2013-111B	2.125%	10/25/42	8,410		8,398
4,5	Fannie Mae-Aces 2013-114D	2.250%	7/25/43	2,814		2,824
4,5	Fannie Mae-Aces 2013-115A	2.000%	11/25/43	8,335		8,315
4,5	Fannie Mae-Aces 2013-115B	2.100%	4/25/43	6,784		6,764
4,5	Fannie Mae-Aces 2013-115B	2.250%	10/25/43	11,962		12,010
4,5	Fannie Mae-Aces 2013-19A	3.500%	3/25/43	2,539		2,799
4,5	Fannie Mae-Aces 2013-20E	1.500%	3/25/43	3,617		3,517
4,5	Fannie Mae-Aces 2013-46B	1.700%	5/25/43	13,553		13,342

28

Short-Term Federal Fund

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
4,5	Fannie Mae-Aces 2013-46C	1.700%	5/25/43	6,876		6,765
4,5	Fannie Mae-Aces 2013-46D	1.500%	5/25/43	13,375		13,115
4,5	Fannie Mae-Aces 2013-49B	1.650%	12/25/42	20,592		20,410
4,5	Fannie Mae-Aces 2013-53G	1.500%	12/25/41	29,337		28,998
4,5	Fannie Mae-Aces 2013-57G	1.750%	6/25/41	11,700		11,629
4,5	Fannie Mae-Aces 2014-60E	2.000%	9/25/44	23,461		23,379
4,5	Fannie Mae-Aces 2014-86A	2.000%	12/25/44	9,532		9,481
4,5	Fannie Mae-Aces 2015-18E	1.750%	4/25/44	10,244		10,133
4,5	Fannie Mae-Aces 2015-19	2.000%	12/25/44	19,685		19,614
4,5	Fannie Mae-Aces 2015-73	1.600%	10/25/45	13,031		12,869
4,5	Fannie Mae-Aces 2016-60B	2.500%	9/25/46	3,547		3,608
4,5	Fannie Mae-Aces 2017-67D	3.000%	2/25/44	3,010		3,124
4,5	Fannie Mae-Aces 2017-74C	3.000%	8/25/46	12,142		12,572
4,5	Fannie Mae-Aces 2018-18D	3.500%	4/25/43	37,494		38,659
4,5	Fannie Mae-Aces 2018-49E	3.500%	7/25/48	2,280		2,399
4,5	Fannie Mae-Aces 2018-73E	4.000%	10/25/48	999		1,085
4,5	Fannie Mae-Aces 2018-76E	3.500%	7/25/43	16,633		17,203
4,5	Fannie Mae-Aces 2018-91A	4.000%	12/25/46	8,020		8,479
4,5	Fannie Mae-Aces 2019-68G	2.500%	5/25/48	14,123		14,180
4,5	Fannie Mae-Aces 2019-83A	2.500%	12/25/49	12,464		12,513
4,5	FHLMC Multifamily Structured Pass Through Certificates 4122C	1.500%	10/15/42	25,963		25,713
4,5	FHLMC Multifamily Structured Pass Through Certificates 4122H	1.500%	10/15/42	14,993		14,850
4,5	FHLMC Multifamily Structured Pass Through Certificates 4122K	1.500%	10/15/42	2,294		2,229
4,5	FHLMC Multifamily Structured Pass Through Certificates 4194A	1.700%	4/15/43	3,298		3,270
4,5	FHLMC Multifamily Structured Pass Through Certificates 4213D	1.750%	11/15/41	21,977		21,853
4,5	FHLMC Multifamily Structured Pass Through Certificates 4259B	2.250%	4/15/43	2,749		2,752
4,5	FHLMC Multifamily Structured Pass Through Certificates 4259B	2.250%	6/15/43	5,165		5,181
4,5	FHLMC Multifamily Structured Pass Through Certificates 4395E	2.500%	4/15/37	22,721		23,185
4,5	FHLMC Multifamily Structured Pass Through Certificates 4395E	1.750%	7/15/45	39,867		39,594
4,5	FHLMC Multifamily Structured Pass Through Certificates 4460A	1.750%	4/15/41	39,447		39,127
4,5	FHLMC Multifamily Structured Pass Through Certificates 4468F	1.600%	4/15/41	25,727		25,371
4,5	FHLMC Multifamily Structured Pass Through Certificates 4604E	2.750%	1/15/46	2,211		2,270
4,5	FHLMC Multifamily Structured Pass Through Certificates 4763C	4.000%	8/15/47	5,937		6,632
4,5	FHLMC Multifamily Structured Pass Through Certificates 4764B	3.000%	10/15/45	9,198		9,395
4,5	FHLMC Multifamily Structured Pass Through Certificates 4818J	4.000%	8/15/48	265		288
4,5	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	849		914
4,5	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	956		1,042

29

Short-Term Federal Fund

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
4,5	FHLMC Multifamily Structured Pass Through Certificates 4823E	4.000%	9/15/48	3,439		3,754
4,5	FHLMC Multifamily Structured Pass Through Certificates 4826A	4.000%	9/15/48	11,587		12,435
4,5	FHLMC Multifamily Structured Pass Through Certificates 4852D	4.000%	5/15/46	4,233		4,714
4,5	FHLMC Multifamily Structured Pass Through Certificates 4852D	4.000%	10/15/46	17,097		17,779
4,5	FHLMC Multifamily Structured Pass Through Certificates 4883A	4.000%	5/15/49	515		565
4,5	FHLMC Multifamily Structured Pass Through Certificates 4883A	4.000%	5/15/49	515		559
4,5	FHLMC Multifamily Structured Pass Through Certificates 4927F	2.250%	9/25/49	2,952		2,971
4,5	FHLMC Multifamily Structured Pass Through Certificates 4935A	2.750%	10/25/49	3,420		3,536
4,5	FHLMC Multifamily Structured Pass Through Certificates 4935A	2.500%	12/25/49	4,643		4,678
4,5	FHLMC Multifamily Structured Pass Through Certificates 4950A	2.500%	12/25/49	7,500		7,621
5	Small Business Administration Participation Certs 2002-20L	5.100%	12/1/22	245		254
5	Small Business Administration Participation Certs 2004-20G	5.190%	7/1/24	165		174
5	Small Business Administration Participation Certs 2005-20A	4.860%	1/1/25	171		180
5	Small Business Administration Participation Certs 2005-20B	4.625%	2/1/25	87		91
5	Small Business Administration Participation Certs 2005-20C	4.950%	3/1/25	62		65
5	Small Business Administration Participation Certs 2005-20G	4.750%	7/1/25	42		44
5	Small Business Administration Participation Certs 2005-20J	5.090%	10/1/25	537		560
5	Small Business Administration Participation Certs 2006-20D	5.640%	4/1/26	685		731
5	Small Business Administration Participation Certs 2006-20H	5.700%	8/1/26	961		1,040
5	Small Business Administration Participation Certs 2006-20J	5.370%	10/1/26	2,493		2,648
5	Small Business Administration Participation Certs 2006-20K	5.360%	11/1/26	4,029		4,289
5	Small Business Administration Participation Certs 2006-20L	5.120%	12/1/26	1,143		1,212
5	Small Business Administration Participation Certs 2007-20D	5.320%	4/1/27	830		879
5	Small Business Administration Participation Certs 2007-20G	5.820%	7/1/27	591		643
5	Small Business Administration Participation Certs 2007-20I	5.560%	9/1/27	3,234		3,465
5	Small Business Administration Participation Certs 2007-20L	5.290%	12/1/27	41		44
5	Small Business Administration Participation Certs 2008-20B	5.160%	2/1/28	110		118

30

Short-Term Federal Fund

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
5	Small Business Administration Participation Certs 2008-20C	5.490%	3/1/28	90		96
5	Small Business Administration Participation Certs 2008-20D	5.370%	4/1/28	226		243
5	Small Business Administration Participation Certs 2008-20F	5.680%	6/1/28	72		78
5	Small Business Administration Participation Certs 2008-20H	6.020%	8/1/28	71		78
5	Small Business Administration Participation Certs 2008-20J	5.630%	10/1/28	92		99
5	Small Business Administration Participation Certs 2009-20A	5.720%	1/1/29	55		60
5	Small Business Administration Participation Certs 2009-20D	4.310%	4/1/29	55		59
5	Small Business Administration Participation Certs 2009-20I	4.200%	9/1/29	1,272		1,341
5	Small Business Administration Participation Certs 2009-20J	3.920%	10/1/29	2,023		2,108
5	Small Business Administration Participation Certs 2009-20K	4.090%	11/1/29	987		1,034
5	Small Business Administration Participation Certs 2010-20H	3.520%	8/1/30	160		167
5	Small Business Administration Participation Certs 2011-20B	4.220%	2/1/31	343		366
5	Small Business Administration Participation Certs 2011-20H	3.290%	8/1/31	71		74
5	Small Business Administration Participation Certs 2012-20I	2.200%	9/1/32	52		53
5	Small Business Administration Participation Certs 2013-20G	3.150%	7/1/33	77		80
5	Small Business Administration Participation Certs 2013-20K	3.380%	11/1/33	92		96
5	Small Business Administration Participation Certs 2017-20	2.780%	12/1/37	2,355		2,457
5	Small Business Administration Participation Certs 2017-20	3.310%	4/1/38	28,136		29,971
5	Small Business Administration Participation Certs 2017-20	3.600%	6/1/38	14,790		16,010
5	Small Business Administration Participation Certs 2017-20	3.370%	1/1/39	8,982		9,621
5	Small Business Administration Participation Certs 2018-20	2.920%	1/1/38	11,893		12,474
5	Small Business Administration Participation Certs 2018-20	3.220%	2/1/38	19,306		20,516
5	Small Business Administration Participation Certs 2018-20C	5.230%	3/1/27	992		1,052
5	Small Business Administration Participation Certs 2018-20C	3.200%	3/1/38	39,902		42,584
5	Small Business Administration Participation Certs 2018-20E	5.310%	5/1/27	1,638		1,744
5	Small Business Administration Participation Certs 2018-20E	3.500%	5/1/38	8,169		8,821
5	Small Business Administration Participation Certs 2018-20J	3.770%	10/1/38	26,010		28,346

31

Short-Term Federal Fund

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
5	Small Business Administration Participation Certs 2018-20J	2.690%	7/1/44	10,832		11,266
5	Small Business Administration Participation Certs 2018-20K	3.870%	11/1/38	16,634		18,226
5	Small Business Administration Participation Certs 2018-20L	3.540%	12/1/38	20,901		22,582
5	Small Business Administration Participation Certs 2018-25F	3.670%	12/1/43	2,206		2,396
5	Small Business Administration Participation Certs 2019-20C	3.200%	3/1/39	8,806		9,347
5	Small Business Administration Participation Certs 2019-25E	3.070%	5/1/44	6,307		6,702
5	Small Business Administration Participation Certs 2019-25F	2.770%	6/1/44	10,062		10,513
5	Small Business Administration Participation Certs 2019-25H	2.310%	8/1/44	12,000		12,212
5	Small Business Administration Participation Certs 2019-25K	2.480%	11/1/44	8,700		8,919
5	Small Business Administration Participation Certs 2019-25L	5.520%	6/1/24	520		547
5	Small Business Administration Participation Certs 2019-25L	2.380%	12/1/44	6,900		7,036
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $990,036)						1,015,417

			Shares
Temporary Cash Investment (2.3%)
Money Market Fund (2.3%)
6	Vanguard Market Liquidity Fund (Cost $117,310)	1.730%	1,172,900	117,314

					Notional
	Expiration			Exercise	Amount
	Date		Contracts	Price	($000	)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Call Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,000	$131.50	131,500		719
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,000	$128.75	128,750		31
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,000	129.75	129,750		78
							109
Total Options Purchased (Cost $506)							828
Total Investments (83.5%) (Cost $4,110,457)							4,172,523

32

Short-Term Federal Fund

			Maturity	Face Amount		Market Value·
		Coupon	Date	($000	)	($000	)
Conventional Mortgage-Backed Securities-Liability for Sale Commitments (-2.4%)
4,5,7	Fannie Mae Pool	3.500%	8/1/20–1/1/50	(74,902	)	(74,764	)
4,5,7	UMBS Pool	3.000%	9/1/34–2/1/50	(42,139	)	(42,634	)
Total Conventional Mortgage-Backed Securities-Liability for Sale Commitments (Proceeds $117,793)						(117,398	)
Other Assets and Liabilities (18.9%)
Other Assets						2,150,016
Other Liabilities8						(1,211,065	)
						938,951
Net Assets (100%)						4,994,076

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	4,054,381
Affiliated Issuers	117,314
Options Purchased	828
Total Investments in Securities	4,172,523
Investment in Vanguard	216
Receivables for Investment Securities Sold	2,127,222
Receivables for Accrued Income	14,565
Receivables for Capital Shares Issued	5,685
Variation Margin Receivable—Futures Contracts	1,267
Other Assets	1,061
Total Assets	6,322,539
Liabilities
Payables for Investment Securities Purchased	1,202,840
Payables for Capital Shares Redeemed	3,699
Payables for Distributions	927
Payables to Vanguard	1,733
Liability for Sale Commitments	117,398
Options Written, at Value8	186
Variation Margin Payable—Futures Contracts	1,680
Total Liabilities	1,328,463
Net Assets	4,994,076

33

Short-Term Federal Fund

At January 31, 2020, net assets consisted of:

	Amount
	($000)
Paid-in Capital	5,000,012
Total Distributable Earnings (Loss)	(5,936)
Net Assets	4,994,076
Investor Shares — Net Assets
Applicable to 57,745,064 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	622,919
Net Asset Value Per Share—Investor Shares	$10.79
Admiral Shares—Net Assets
Applicable to 405,209,071 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	4,371,157
Net Asset Value Per Share—Admiral Shares	$10.79

• See Note A in Notes to Financial Statements.

1 Securities with a value of $2,916,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

2 Securities with a value of $4,142,000 have been segregated as initial margin for open futures contracts.

3 U.S. government-guaranteed.

4 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.

5 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.

6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

7 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

8 Includes premiums received of $320,000.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

34

Short-Term Federal Fund

Derivative Financial Instruments Outstanding as of Period End

Options Written
				Notional	Market
	Expiration		Exercise	Amount	Value
	Date	Contracts	Price	($000)	($000)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	64	$130.75	8,368	(75)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	2,000	$129.25	258,500	(94)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	64	130.75	8,368	(17)
					(111)
Total Options Written (Premiums Received $320)					(186)

Futures Contracts
					($000)
					Value and
		Number of			Unrealized
		Long (Short)		Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation)
Long Futures Contracts
2-Year U.S. Treasury Note	March 2020	3,663		792,524	2,621
5-Year U.S. Treasury Note	March 2020	2,239		269,397	2,273
					4,894
Short Futures Contracts
Ultra 10-Year U.S. Treasury Note	March 2020	(2,172)		(316,365)	(7,135)
10-Year U.S. Treasury Note	March 2020	(1,470)		(193,535)	(2,568)
30-Year U.S. Treasury Bond	March 2020		(159)	(26,001)	(717)
Ultra Long U.S. Treasury Bond	March 2020		(36)	(6,973)	(213)
					(10,633)
					(5,739)

See accompanying Notes, which are an integral part of the Financial Statements.

35

Short-Term Federal Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Interest1	117,803
Total Income	117,803
Expenses
The Vanguard Group—Note B
Investment Advisory Services	646
Management and Administrative—Investor Shares	1,008
Management and Administrative—Admiral Shares	3,157
Marketing and Distribution—Investor Shares	79
Marketing and Distribution—Admiral Shares	269
Custodian Fees	23
Auditing Fees	38
Shareholders’ Reports—Investor Shares	20
Shareholders’ Reports—Admiral Shares	63
Trustees’ Fees and Expenses	2
Total Expenses	5,305
Net Investment Income	112,498
Realized Net Gain (Loss)
Investment Securities Sold1	33,278
Futures Contracts	(6,614)
Options Purchased	(253)
Options Written	1,303
Realized Net Gain (Loss)	27,714
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	74,700
Futures Contracts	(5,199)
Options Purchased	327
Options Written	161
Change in Unrealized Appreciation (Depreciation)	69,989
Net Increase (Decrease) in Net Assets Resulting from Operations	210,201

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,837,000, ($40,000), and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

36

Short-Term Federal Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	112,498	99,235
Realized Net Gain (Loss)	27,714	(55,447)
Change in Unrealized Appreciation (Depreciation)	69,989	57,336
Net Increase (Decrease) in Net Assets Resulting from Operations	210,201	101,124
Distributions
Net Investment Income
Investor Shares	(13,781)	(13,574)
Admiral Shares	(98,841)	(85,703)
Realized Capital Gain
Investor Shares	—	—
Admiral Shares	—	—
Total Distributions	(112,622)	(99,277)
Capital Share Transactions
Investor Shares	(11,719)	(97,313)
Admiral Shares	323,046	(277,358)
Net Increase (Decrease) from Capital Share Transactions	311,327	(374,671)
Total Increase (Decrease)	408,906	(372,824)
Net Assets
Beginning of Period	4,585,170	4,957,994
End of Period	4,994,076	4,585,170

See accompanying Notes, which are an integral part of the Financial Statements.

37

Short-Term Federal Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.57	$10.55	$10.70	$10.79	$10.82
Investment Operations
Net Investment Income	.2461	.2081	.1421	.116	.095
Net Realized and Unrealized Gain (Loss) on Investments	.221	.021	(.144)	(.063)	.005
Total from Investment Operations	.467	.229	(.002)	.053	.100
Distributions
Dividends from Net Investment Income	(.247)	(.209)	(.142)	(.116)	(.095)
Distributions from Realized Capital Gains	—	—	(.006)	(.027)	(.035)
Total Distributions	(.247)	(.209)	(.148)	(.143)	(.130)
Net Asset Value, End of Period	$10.79	$10.57	$10.55	$10.70	$10.79
Total Return2	4.46%	2.20%	-0.02%	0.49%	0.93%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$623	$622	$719	$827	$817
Ratio of Total Expenses to Average Net Assets	0.20%	0.20%	0.20%	0.20%	0.20%
Ratio of Net Investment Income to Average Net Assets	2.30%	1.98%	1.33%	1.07%	0.88%
Portfolio Turnover Rate3	499%	327%	211%	304%	314%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 32%, 90%, 30%, 38%, and 75% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

38

Short-Term Federal Fund

Financial Highlights

Admiral Shares 

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.57	$10.55	$10.70	$10.79	$10.82
Investment Operations
Net Investment Income	.2571	.2191	.1531	.127	.105
Net Realized and Unrealized Gain (Loss) on Investments	.220	.020	(.144)	(.063)	.005
Total from Investment Operations	.477	.239	.009	.064	.110
Distributions
Dividends from Net Investment Income	(.257)	(.219)	(.153)	(.127)	(.105)
Distributions from Realized Capital Gains	—	—	(.006)	(.027)	(.035)
Total Distributions	(.257)	(.219)	(.159)	(.154)	(.140)
Net Asset Value, End of Period	$10.79	$10.57	$10.55	$10.70	$10.79
Total Return2	4.56%	2.30%	0.08%	0.59%	1.03%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,371	$3,963	$4,239	$4,819	$4,342
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%	0.10%	0.10%	0.10%
Ratio of Net Investment Income to Average Net Assets	2.40%	2.08%	1.43%	1.17%	0.98%
Portfolio Turnover Rate3	499%	327%	211%	304%	314%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 32%, 90%, 30%, 38%, and 75% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

39

Short-Term Federal Fund

Notes to Financial Statements

Vanguard Short-Term Federal Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

40

Short-Term Federal Fund

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 19% and 7% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

3. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

4. 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

41

Short-Term Federal Fund

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 or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of

42

Short-Term Federal Fund

operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $216,000, representing less than 0.01% of the fund’s net assets and 0.09% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	3,038,964	—
Asset-Backed/Commercial Mortgage-Backed Securities	—	1,015,417	—
Temporary Cash Investments	117,314	—	—
Options Purchased	828	—	—
Conventional Mortgage-Backed Securities–Liability for Sale Commitments	—	(117,398)	—
Options Written	(186)	—	—
Futures Contracts—Assets1	1,267	—	—
Futures Contracts—Liabilities1	(1,680)	—	—
Total	117,543	3,936,983	—

1 Represents variation margin on the last day of the reporting period.

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the

43

Short-Term Federal Fund

realization of unrealized gains or losses on certain futures contracts and options; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	1,671
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(66,304)
Net Unrealized Gains (Losses)	61,084

* The fund used capital loss carryforwards of $23,836,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	4,111,006
Gross Unrealized Appreciation	66,551
Gross Unrealized Depreciation	(5,467)
Net Unrealized Appreciation (Depreciation)	61,084

E.  During the year ended January 31, 2020, the fund purchased $18,533,028,000 of investment securities and sold $18,506,929,000 of investment securities, other than temporary cash investments.

F.  Capital share transactions for each class of shares were:

			Year Ended January 31,
		2020		2019
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	210,669	19,720	152,102	14,484
Issued in Lieu of Cash Distributions	12,178	1,138	12,316	1,172
Redeemed	(234,566)	(22,019)	(261,731)	(24,884)
Net Increase (Decrease)—Investor Shares	(11,719)	(1,161)	(97,313)	(9,228)
Admiral Shares
Issued	1,620,521	151,597	1,380,847	131,440
Issued in Lieu of Cash Distributions	86,596	8,093	75,143	7,150
Redeemed	(1,384,071)	(129,514)	(1,733,348)	(165,176)
Net Increase (Decrease)—Admiral Shares	323,046	30,176	(277,358)	(26,586)

G.  Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

44

Intermediate-Term Treasury Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Intermediate-Term Treasury Fund Investor Shares	7.98%	2.19%	3.22%	$13,732
	Bloomberg Barclays U.S. 5–10 Year Treasury Bond Index	9.59	2.62	4.06	14,889
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	14,501

				Final Value
	One	Five	Ten	of a $50,000
	Year	Years	Years	Investment
Intermediate-Term Treasury Fund Admiral Shares	8.09%	2.29%	3.33%	$69,362
Bloomberg Barclays U.S. 5–10 Year Treasury Bond Index	9.59	2.62	4.06	74,443
Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	72,507

See Financial Highlights for dividend and capital gains information.

45

Intermediate-Term Treasury Fund

Sector Diversification

As of January 31, 2020

Asset-Backed	5.3	%
Government Mortgage-Backed	11.0
Treasury/Agency	83.7

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

46

Intermediate-Term Treasury Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (90.4%)
U.S. Government Securities (84.7%)
	United States Treasury Note/Bond	2.750%	4/30/23	24,200		25,304
	United States Treasury Note/Bond	1.750%	5/15/23	56,000		56,787
	United States Treasury Note/Bond	2.750%	5/31/23	128,000		133,980
	United States Treasury Note/Bond	2.750%	7/31/23	9,100		9,546
	United States Treasury Note/Bond	2.750%	8/31/23	72,000		75,612
	United States Treasury Note/Bond	2.875%	9/30/23	110,000		116,136
1	United States Treasury Note/Bond	2.875%	10/31/23	228,000		240,969
	United States Treasury Note/Bond	2.750%	11/15/23	50,000		52,648
	United States Treasury Note/Bond	2.875%	11/30/23	97,300		102,955
	United States Treasury Note/Bond	2.250%	12/31/23	53,000		54,896
	United States Treasury Note/Bond	2.625%	12/31/23	82,000		86,087
	United States Treasury Note/Bond	2.250%	1/31/24	133,000		137,843
	United States Treasury Note/Bond	2.500%	1/31/24	81,800		85,558
	United States Treasury Note/Bond	2.750%	2/15/24	81,000		85,569
	United States Treasury Note/Bond	2.125%	2/29/24	87,000		89,787
	United States Treasury Note/Bond	2.375%	2/29/24	49,000		51,052
	United States Treasury Note/Bond	2.000%	4/30/24	37,000		38,040
	United States Treasury Note/Bond	2.500%	5/15/24	108,000		113,282
	United States Treasury Note/Bond	2.000%	5/31/24	51,500		52,965
	United States Treasury Note/Bond	1.750%	6/30/24	118,600		120,768
	United States Treasury Note/Bond	2.000%	6/30/24	30,000		30,872
	United States Treasury Note/Bond	1.875%	8/31/24	60,000		61,463
	United States Treasury Note/Bond	1.375%	1/31/25	20,700		20,755
	United States Treasury Note/Bond	2.500%	1/31/25	48,000		50,708
	United States Treasury Note/Bond	2.125%	5/15/25	91,800		95,444
	United States Treasury Note/Bond	2.875%	5/31/25	129,300		139,422
	United States Treasury Note/Bond	2.750%	6/30/25	89,000		95,467
	United States Treasury Note/Bond	2.875%	7/31/25	45,300		48,924
	United States Treasury Note/Bond	2.000%	8/15/25	139,250		143,993
	United States Treasury Note/Bond	3.000%	9/30/25	145,900		158,825
	United States Treasury Note/Bond	3.000%	10/31/25	83,000		90,431
	United States Treasury Note/Bond	2.250%	11/15/25	169,500		177,711
	United States Treasury Note/Bond	2.875%	11/30/25	73,000		79,114
	United States Treasury Note/Bond	2.625%	12/31/25	94,000		100,624
	United States Treasury Note/Bond	2.625%	1/31/26	89,000		95,314
	United States Treasury Note/Bond	1.625%	2/15/26	82,884		84,010
	United States Treasury Note/Bond	6.000%	2/15/26	17,000		21,558
	United States Treasury Note/Bond	2.500%	2/28/26	85,000		90,485

47

Intermediate-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
	United States Treasury Note/Bond	2.250%	3/31/26	163,700		171,986
	United States Treasury Note/Bond	2.375%	4/30/26	47,400		50,170
	United States Treasury Note/Bond	1.625%	5/15/26	183,000		185,487
	United States Treasury Note/Bond	2.125%	5/31/26	155,300		162,119
	United States Treasury Note/Bond	1.875%	6/30/26	50,000		51,437
	United States Treasury Note/Bond	1.500%	8/15/26	203,000		204,141
	United States Treasury Note/Bond	1.375%	8/31/26	33,000		32,928
	United States Treasury Note/Bond	1.625%	10/31/26	102,000		103,355
	United States Treasury Note/Bond	6.500%	11/15/26	5,000		6,655
	United States Treasury Note/Bond	1.625%	11/30/26	82,000		83,089
	United States Treasury Note/Bond	1.750%	12/31/26	73,000		74,574
	United States Treasury Note/Bond	6.625%	2/15/27	7,000		9,454
2	United States Treasury Note/Bond	6.125%	11/15/27	14,000		18,856
	United States Treasury Note/Bond	2.750%	2/15/28	75,000		82,359
	United States Treasury Note/Bond	2.875%	8/15/28	135,500		150,680
	United States Treasury Note/Bond	5.500%	8/15/28	10,000		13,236
1	United States Treasury Note/Bond	3.125%	11/15/28	263,500		299,030
	United States Treasury Note/Bond	5.250%	11/15/28	19,500		25,582
	United States Treasury Note/Bond	2.625%	2/15/29	107,000		117,231
	United States Treasury Note/Bond	5.250%	2/15/29	10,000		13,183
	United States Treasury Note/Bond	2.375%	5/15/29	149,000		160,291
	United States Treasury Note/Bond	1.625%	8/15/29	55,000		55,584
	United States Treasury Note/Bond	1.750%	11/15/29	8,000		8,174
						5,394,505
Agency Bonds and Notes (2.0%)
3	AID-Israel	0.000%	11/1/24	50,000		46,134
3	AID-Israel	0.000%	8/15/25	15,929		14,462
	Private Export Funding Corp.	4.300%	12/15/21	4,150		4,364
	Private Export Funding Corp.	3.550%	1/15/24	18,500		19,915
	Private Export Funding Corp.	2.450%	7/15/24	6,085		6,316
	Resolution Funding Corp.	0.000%	1/15/28	7,800		6,743
	Resolution Funding Corp. Interest Strip	0.000%	1/15/27	14,588		12,888
	Resolution Funding Corp. Interest Strip	0.000%	10/15/27	12,004		10,433
	Resolution Funding Corp. Interest Strip	0.000%	4/15/28	5,560		4,781
						126,036
Conventional Mortgage-Backed Securities (2.8%)
4,5	Fannie Mae Pool	3.000%	9/1/49–1/1/50	105,977		108,604
4,5	Fannie Mae Pool	4.000%	1/1/49–3/1/50	36,767		38,098
4	Ginnie Mae II Pool	3.000%	9/20/49–2/1/50	5,656		5,723
4	Ginnie Mae II Pool	4.500%	2/1/50	—		—
4	Ginnie Mae II Pool	5.000%	3/20/49–3/1/50	469		571
4,5	UMBS Pool	3.500%	4/1/49–2/1/50	23,237		24,020
						177,016
Nonconventional Mortgage-Backed Securities (0.9%)
4,5	Fannie Mae REMICS	1.750%	3/25/46	12,292		12,170
4,5	Fannie Mae REMICS	2.500%	9/25/49–12/25/49	21,868		22,449
4,5	Freddie Mac REMICS	4.000%	5/15/48–7/15/48	14,677		15,940
4	Ginnie Mae REMICS	3.000%	11/20/45–8/20/46	2,126		2,260
4	Ginnie Mae REMICS	3.500%	6/20/48–5/20/49	4,550		4,884
						57,703
Total U.S. Government and Agency Obligations (Cost $5,561,112)						5,755,260

48

Intermediate-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
Asset-Backed/Commercial Mortgage-Backed Securities (5.8%)
4,5	Fannie Mae-Aces 2013-19A	3.500%	3/25/43	2,159		2,380
4,5	Fannie Mae-Aces 2016-53KA	1.850%	8/25/46	5,646		5,612
4,5	Fannie Mae-Aces 2018-49E	3.500%	7/25/48	528		556
4,5	Fannie Mae-Aces 2018-73E	4.000%	10/25/48	841		914
4,5	Federal Home Loan Mortgage Corp 2017-357A	2.500%	9/15/47	9,004		9,196
4,5	FHLMC Multifamily Structured Pass Through Certificates 4818J	4.000%	8/15/48	212		230
4,5	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	796		869
4,5	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	690		743
4,5	FHLMC Multifamily Structured Pass Through Certificates 4823E	4.000%	9/15/48	2,910		3,177
4,5	FHLMC Multifamily Structured Pass Through Certificates 4826A	4.000%	9/15/48	741		795
4,5	FHLMC Multifamily Structured Pass Through Certificates 4883A	4.000%	5/15/49	515		559
4,5	FHLMC Multifamily Structured Pass Through Certificates 4883A	4.000%	5/15/49	515		565
4	Small Business Administration Participation Certs 2017-20	2.780%	12/1/37	2,879		3,003
4	Small Business Administration Participation Certs 2017-20	3.310%	4/1/38	34,788		37,056
4	Small Business Administration Participation Certs 2017-20	3.600%	6/1/38	17,564		19,012
4	Small Business Administration Participation Certs 2017-20	3.370%	1/1/39	11,181		11,977
4	Small Business Administration Participation Certs 2018-20	2.920%	1/1/38	14,733		15,452
4	Small Business Administration Participation Certs 2018-20	3.220%	2/1/38	23,907		25,405
4	Small Business Administration Participation Certs 2018-20C	3.200%	3/1/38	49,720		53,062
4	Small Business Administration Participation Certs 2018-20E	3.500%	5/1/38	9,985		10,782
4	Small Business Administration Participation Certs 2018-20J	3.770%	10/1/38	30,645		33,397
4	Small Business Administration Participation Certs 2018-20J	2.690%	7/1/44	13,786		14,339
4	Small Business Administration Participation Certs 2018-20k	3.870%	11/1/38	21,154		23,177
4	Small Business Administration Participation Certs 2018-20L	3.540%	12/1/38	26,792		28,946
4	Small Business Administration Participation Certs 2018-25F	3.670%	12/1/43	2,590		2,812
4	Small Business Administration Participation Certs 2019-20C	3.200%	3/1/39	10,861		11,528
4	Small Business Administration Participation Certs 2019-25E	3.070%	5/1/44	8,102		8,610
4	Small Business Administration Participation Certs 2019-25F	2.770%	6/1/44	13,159		13,748

49

Intermediate-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
4	Small Business Administration Participation Certs 2019-25H	2.310%	8/1/44	15,000		15,264
4	Small Business Administration Participation Certs 2019-25K	2.480%	11/1/44	10,300		10,560
4	Small Business Administration Participation Certs 2019-25L	2.380%	12/1/44	8,100		8,259
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $350,486)						371,985

			Shares
Temporary Cash Investment (0.7%)
Money Market Fund (0.7%)
6	Vanguard Market Liquidity Fund (Cost $44,321)	1.730%	443,150	44,324

					Notional
		Expiration		Exercise	Amount
		Date	Contracts	Price	($000	)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	375	$127.00	47,625		—
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,136	$130.00	147,680		124
Total Options Purchased (Cost $254)							124
Total Investments (96.9%) (Cost $5,956,173)							6,171,693
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.6%)
4,5	Fannie Mae Pool		3.500%	1/1/49–1/1/50	(13,957)		(14,572)
4,5	UMBS Pool		3.000%	2/1/49–2/1/50	(63,900)		(65,348)
4,5	UMBS Pool		4.000%	3/1/49–2/1/50	(19,903)		(20,771)
Total Conventional Mortgage-Backed Securities – Liability for Sale Commitments (Proceeds $100,335)							(100,691)
Other Assets and Liabilities (4.7%)
Other Assets							673,061
Other Liabilities7							(375,910	)
							297,151
Net Assets (100%)							6,368,153

50

Intermediate-Term Treasury Fund

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	6,127,245
Affiliated Issuers	44,324
Options Purchased	124
Total Investments in Securities	6,171,693
Investment in Vanguard	271
Receivables for Investment Securities Sold	625,787
Receivables for Accrued Income	36,550
Receivables for Capital Shares Issued	8,578
Variation Margin Receivable—Futures Contracts	1,737
Other Assets	138
Total Assets	6,844,754
Liabilities
Payables for Investment Securities Purchased	367,295
Liability for Sale Commitments	100,691
Payables for Capital Shares Redeemed	3,364
Payables for Distributions	1,582
Payables to Vanguard	1,983
Options Written, at Value7	598
Variation Margin Payable—Futures Contracts	1,088
Total Liabilities	476,601
Net Assets	6,368,153
At January 31, 2020, net assets consisted of:
	Amount
	($000	)
Paid-in Capital	6,246,164
Total Distributable Earnings (Loss)	121,989
Net Assets	6,368,153
Investor Shares—Net Assets
Applicable to 79,225,217 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	916,630
Net Asset Value Per Share—Investor Shares	$11.57

51

Intermediate-Term Treasury Fund

	Amount
	($000)
Admiral Shares—Net Assets
Applicable to 471,182,910 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	5,451,523
Net Asset Value Per Share—Admiral Shares	$11.57

· See Note A in Notes to Financial Statements.

1 Securities with a value of $817,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

2 Securities with a value of $2,734,000 have been segregated as initial margin for open futures contracts.

3 U.S. government-guaranteed.

4 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.

5 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.

6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

7 Includes premiums received of $284,000.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

52

Intermediate-Term Treasury Fund

Derivative Financial Instruments Outstanding as of Period End
Options Written
					Notional		Market
	Expiration			Exercise	Amount		Value
	Date	Contracts		Price	($000	)	($000	)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	81		$130.75	10,591		(95	)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	375		131.00	49,125		(375	)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	376		133.50	50,196		(59	)
							(529	)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,520		$129.00	196,080		(47	)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	81		130.75	10,591		(22	)
							(69	)
Total Options Written (Premiums Received $284)							(598	)
Futures Contracts
							($000	)
							Value and
		Number of					Unrealized
		Long (Short	)		Notional		Appreciation
	Expiration	Contracts			Amount		(Depreciation	)
Long Futures Contracts
5-Year U.S. Treasury Note	March 2020	6,630			797,724		3,391
Ultra 10-Year U.S. Treasury Note	March 2020	187			27,238		806
2-Year U.S. Treasury Note	March 2020	50			10,818		45
							4,242
Short Futures Contracts
10-Year U.S. Treasury Note	March 2020	(1,746	)		(229,872	)	(4,007	)
30-Year U.S. Treasury Bond	March 2020	(324	)		(52,984	)	(2,091	)
Ultra Long U.S. Treasury Bond	March 2020	(179	)		(34,670	)	(261	)
							(6,359	)
							(2,117	)

See accompanying Notes, which are an integral part of the Financial Statements.

53

Intermediate-Term Treasury Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Interest1	148,841
Total Income	148,841
Expenses
The Vanguard Group—Note B
Investment Advisory Services	825
Management and Administrative—Investor Shares	1,472
Management and Administrative—Admiral Shares	4,017
Marketing and Distribution—Investor Shares	103
Marketing and Distribution—Admiral Shares	335
Custodian Fees	29
Auditing Fees	38
Shareholders’ Reports—Investor Shares	30
Shareholders’ Reports—Admiral Shares	44
Trustees’ Fees and Expenses	3
Total Expenses	6,896
Net Investment Income	141,945
Realized Net Gain (Loss)
Investment Securities Sold1	171,180
Futures Contracts	(3,245)
Options Purchased	(392)
Options Written	1,028
Realized Net Gain (Loss)	168,571
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	158,292
Futures Contracts	(1,165)
Options Purchased	(123)
Options Written	(281)
Change in Unrealized Appreciation (Depreciation)	156,723
Net Increase (Decrease) in Net Assets Resulting from Operations	467,239

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,097,000, ($14,000), and $3,000, respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

54

Intermediate-Term Treasury Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	141,945	147,133
Realized Net Gain (Loss)	168,571	(157,952)
Change in Unrealized Appreciation (Depreciation)	156,723	195,785
Net Increase (Decrease) in Net Assets Resulting from Operations	467,239	184,966
Distributions
Net Investment Income
Investor Shares	(19,628)	(21,125)
Admiral Shares	(122,275)	(126,005)
Realized Capital Gain
Investor Shares	—	—
Admiral Shares	—	—
Total Distributions	(141,903)	(147,130)
Capital Share Transactions
Investor Shares	33,277	(134,125)
Admiral Shares	196,463	(158,042)
Net Increase (Decrease) from Capital Share Transactions	229,740	(292,167)
Total Increase (Decrease)	555,076	(254,331)
Net Assets
Beginning of Period	5,813,077	6,067,408
End of Period	6,368,153	5,813,077

See accompanying Notes, which are an integral part of the Financial Statements.

55

Intermediate-Term Treasury Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.96	$10.88	$11.11	$11.51	$11.66
Investment Operations
Net Investment Income	.2551	.2601	.1981	.177	.188
Net Realized and Unrealized Gain (Loss) on Investments	.611	.081	(.230)	(.271)	(.057)
Total from Investment Operations	.866	.341	(.032)	(.094)	.131
Distributions
Dividends from Net Investment Income	(.256)	(.261)	(.198)	(.177)	(.188)
Distributions from Realized Capital Gains	—	—	—	(.129)	(.093)
Total Distributions	(.256)	(.261)	(.198)	(.306)	(.281)
Net Asset Value, End of Period	$11.57	$10.96	$10.88	$11.11	$11.51
Total Return2	7.98%	3.20%	-0.31%	-0.84%	1.17%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$917	$837	$967	$1,185	$1,326
Ratio of Total Expenses to Average Net Assets	0.20%	0.20%	0.20%	0.20%	0.20%
Ratio of Net Investment Income to Average Net Assets	2.27%	2.42%	1.78%	1.53%	1.64%
Portfolio Turnover Rate3	214%	231%	181%	152%	142%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	Includes 5%, 35%, 6%, 3%, and 34% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

56

Intermediate-Term Treasury Fund

Financial Highlights

Admiral Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.96	$10.88	$11.11	$11.51	$11.66
Investment Operations
Net Investment Income	.2671	.2721	.2101	.188	.199
Net Realized and Unrealized Gain (Loss) on Investments	.610	.080	(.230)	(.271)	(.057)
Total from Investment Operations	.877	.352	(.020)	(.083)	.142
Distributions
Dividends from Net Investment Income	(.267)	(.272)	(.210)	(.188)	(.199)
Distributions from Realized Capital Gains	—	—	—	(.129)	(.093)
Total Distributions	(.267)	(.272)	(.210)	(.317)	(.292)
Net Asset Value, End of Period	$11.57	$10.96	$10.88	$11.11	$11.51
Total Return2	8.09%	3.30%	-0.21%	-0.74%	1.27%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$5,452	$4,976	$5,100	$5,190	$4,849
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%	0.10%	0.10%	0.10%
Ratio of Net Investment Income to Average Net Assets	2.37%	2.52%	1.88%	1.63%	1.74%
Portfolio Turnover Rate3	214%	231%	181%	152%	142%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	Includes 5%, 35%, 6%, 3%, and 34% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

57

Intermediate-Term Treasury Fund

Notes to Financial Statements

Vanguard Intermediate-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

58

Intermediate-Term Treasury Fund

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 11% and 7% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

3. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

4. 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 or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

59

Intermediate-Term Treasury Fund

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

60

Intermediate-Term Treasury Fund

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $271,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments		($000	)		($000	)		($000	)
U.S. Government and Agency Obligations		—			5,755,260			—
Asset-Backed/Commercial Mortgage-Backed Securities		—			371,985			—
Temporary Cash Investments		44,324			—			—
Options Purchased		124			—			—
Conventional Mortgage-Backed Securities—Liability for Sale Commitments		—			(100,691	)		—
Options Written		(598	)		—			—
Futures Contracts—Assets1		1,737			—			—
Futures Contracts—Liabilities1		(1,088	)		—			—
Total		44,499			6,026,554			—

1 Represents variation margin on the last day of the reporting period.

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the

61

Intermediate-Term Treasury Fund

realization of unrealized gains or losses on certain futures contracts and options; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	3,296
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(89,173	)
Net Unrealized Gains (Losses)	211,080

* The fund used capital loss carryforwards of $168,829,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives and sale commitments based on cost for U.S. federal income tax purposes were as follows:

	Amount
		($000	)
Tax Cost		5,960,133
Gross Unrealized Appreciation		212,733
Gross Unrealized Depreciation		(1,653	)
Net Unrealized Appreciation (Depreciation)		211,080

E.  During the year ended January 31, 2020, the fund purchased $12,616,283,000 of investment securities and sold $12,832,621,000 of investment securities, other than temporary cash investments.

F.  Capital share transactions for each class of shares were:

	Year Ended January 31,
	2020					2019
	Amount		Shares			Amount		Shares
	($000	)	(000	)	($000		)	(000	)
Investor Shares
Issued	232,837		20,585		187,620			17,368
Issued in Lieu of Cash Distributions	17,969		1,591		19,184			1,777
Redeemed	(217,529	)	(19,329	)	(340,929		)	(31,640	)
Net Increase (Decrease)—Investor Shares	33,277		2,847		(134,125		)	(12,495	)
Admiral Shares
Issued	1,426,848		126,322		1,151,931			106,887
Issued in Lieu of Cash Distributions	102,003		9,033		105,249			9,749
Redeemed	(1,332,388	)	(118,220	)	(1,415,222		)	(131,219	)
Net Increase (Decrease)—Admiral Shares	196,463		17,135		(158,042		)	(14,583	)

G.  Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

62

Long-Term Treasury Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
								Final Value
		One		Five		Ten		of a $10,000
		Year		Years		Years		Investment
	Long-Term Treasury Fund Investor Shares	21.84	%	3.59	%	7.23	%	$20,097
	Bloomberg Barclays U.S. Long Treasury Bond Index	21.87		3.80		7.44		20,499
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64		3.01		3.79		14,501

							Final Value
	One		Five		Ten		of a $50,000
	Year		Years		Years		Investment
Long-Term Treasury Fund Admiral Shares	21.96	%	3.69	%	7.34	%	$101,508
Bloomberg Barclays U.S. Long Treasury Bond Index	21.87		3.80		7.44		102,494
Bloomberg Barclays U.S. Aggregate Bond Index	9.64		3.01		3.79		72,507

See Financial Highlights for dividend and capital gains information.

63

Long-Term Treasury Fund

Sector Diversification

As of January 31, 2020

Government Mortgage-Backed	10.9	%
Treasury/Agency	89.1

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

64

Long-Term Treasury Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (95.7%)
U.S. Government Securities (89.0%)
	United States Treasury Note/Bond	4.375%	2/15/38	2,122		2,982
	United States Treasury Note/Bond	4.500%	8/15/39	20,467		29,494
	United States Treasury Note/Bond	4.625%	2/15/40	36,700		53,869
	United States Treasury Note/Bond	4.375%	5/15/40	57,111		81,454
	United States Treasury Note/Bond	3.875%	8/15/40	27,191		36,478
	United States Treasury Note/Bond	4.250%	11/15/40	62,748		88,299
	United States Treasury Note/Bond	4.750%	2/15/41	51,417		77,062
	United States Treasury Note/Bond	4.375%	5/15/41	39,963		57,284
	United States Treasury Note/Bond	3.750%	8/15/41	48,771		64,529
	United States Treasury Note/Bond	3.125%	11/15/41	26,608		32,246
	United States Treasury Note/Bond	3.125%	2/15/42	17,290		20,963
	United States Treasury Note/Bond	3.000%	5/15/42	10,149		12,067
	United States Treasury Note/Bond	2.750%	8/15/42	24,898		28,446
	United States Treasury Note/Bond	2.750%	11/15/42	67,652		77,272
	United States Treasury Note/Bond	3.125%	2/15/43	69,711		84,426
	United States Treasury Note/Bond	2.875%	5/15/43	98,046		114,254
	United States Treasury Note/Bond	3.625%	8/15/43	91,164		119,283
	United States Treasury Note/Bond	3.750%	11/15/43	111,157		148,307
	United States Treasury Note/Bond	3.625%	2/15/44	108,048		141,695
	United States Treasury Note/Bond	3.375%	5/15/44	58,925		74,503
	United States Treasury Note/Bond	3.125%	8/15/44	102,849		125,106
	United States Treasury Note/Bond	3.000%	11/15/44	77,901		92,934
	United States Treasury Note/Bond	2.500%	2/15/45	8,000		8,759
	United States Treasury Note/Bond	3.000%	5/15/45	111,005		132,720
	United States Treasury Note/Bond	2.875%	8/15/45	100,839		118,171
	United States Treasury Note/Bond	3.000%	11/15/45	77,619		93,058
	United States Treasury Note/Bond	2.500%	2/15/46	68,795		75,524
	United States Treasury Note/Bond	2.500%	5/15/46	82,510		90,658
	United States Treasury Note/Bond	2.250%	8/15/46	75,940		79,560
	United States Treasury Note/Bond	2.875%	11/15/46	66,969		79,012
	United States Treasury Note/Bond	3.000%	2/15/47	106,998		129,351
	United States Treasury Note/Bond	3.000%	5/15/47	54,137		65,472
1	United States Treasury Note/Bond	2.750%	8/15/47	84,117		97,339
	United States Treasury Note/Bond	2.750%	11/15/47	88,490		102,482
	United States Treasury Note/Bond	3.000%	2/15/48	91,304		110,763
	United States Treasury Note/Bond	3.125%	5/15/48	74,462		92,507
	United States Treasury Note/Bond	3.000%	8/15/48	91,833		111,720
	United States Treasury Note/Bond	3.375%	11/15/48	123,361		160,658
	United States Treasury Note/Bond	3.000%	2/15/49	92,640		113,079

65

Long-Term Treasury Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
2	United States Treasury Note/Bond	2.875%	5/15/49	190,861		227,930
	United States Treasury Note/Bond	2.250%	8/15/49	70,300		74,210
	United States Treasury Note/Bond	2.375%	11/15/49	66,900		72,534
						3,598,460
Agency Bonds and Notes (2.1%)
3	Fannie Mae Interest Strip	0.000%	5/15/29	4,592		3,842
3	Fannie Mae Principal Strip	0.000%	5/15/30	25,912		21,159
3	Federal Home Loan Mortgage Corp.	0.000%	12/14/29	20,000		16,516
3	Freddie Mac Coupon Strips	0.000%	3/15/28	1,771		1,522
3	Freddie Mac Coupon Strips	0.000%	9/15/28	1,000		849
3	Freddie Mac Coupon Strips	0.000%	1/15/30	15,658		12,870
3	Freddie Mac Coupon Strips	0.000%	3/15/30	12,896		10,565
	Resolution Funding Corp. Interest Strip	0.000%	4/15/28	21,802		18,747
						86,070
Conventional Mortgage-Backed Securities (4.4%)
3,4	Fannie Mae Pool	3.000%	9/1/49–1/1/50	36,260		37,117
3,4	Fannie Mae Pool	3.500%	1/1/45–1/1/50	4,575		4,681
3,4	Fannie Mae Pool	4.000%	12/1/46–3/1/50	32,171		33,408
3,4	Fannie Mae Pool	4.500%	7/1/47–7/1/49	42,213		45,469
3,4	Fannie Mae Pool	6.000%	2/1/26–11/1/28	7		9
4	Ginnie Mae II Pool	3.000%	9/20/49–2/1/50	8,636		8,727
4	Ginnie Mae II Pool	5.000%	3/20/49–3/1/50	198		267
3,4	UMBS Pool	3.500%	2/1/49–2/1/50	34,937		36,477
3,4	UMBS Pool	4.500%	8/1/49	10,799		11,608
						177,763
Nonconventional Mortgage-Backed Securities (0.2%)
4	Ginnie Mae REMICS	3.000%	11/20/45–8/20/46	1,730		1,839
4	Ginnie Mae REMICS	3.500%	6/20/48–5/20/49	3,700		3,972
4	Ginnie Mae REMICS	4.000%	10/20/47	1,329		1,398
						7,209
Total U.S. Government and Agency Obligations (Cost $3,317,778)						3,869,502
Asset-Backed/Commercial Mortgage-Backed Securities (0.8%)
3,4	Fannie Mae-Aces 2013-104A	3.000%	10/25/33	5,694		5,985
3,4	Fannie Mae-Aces 2013-19A	3.500%	3/25/43	1,778		1,960
3,4	Fannie Mae-Aces 2017-67D	3.000%	2/25/44	2,608		2,707
3,4	Fannie Mae-Aces 2018-49E	3.500%	7/25/48	527		554
3,4	Fannie Mae-Aces 2018-73E	4.000%	10/25/48	683		742
3,4	FHLMC Multifamily Structured Pass Through Certificates 4818J	4.000%	8/15/48	212		230
3,4	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	584		629
3,4	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	637		695
3,4	FHLMC Multifamily Structured Pass Through Certificates 4823E	4.000%	9/15/48	2,381		2,599
3,4	FHLMC Multifamily Structured Pass Through Certificates 4826A	4.000%	9/15/48	582		625
3,4	FHLMC Multifamily Structured Pass Through Certificates 4852D	4.000%	10/15/46	14,925		15,521
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $32,040)						32,247

66

Long-Term Treasury Fund

							Market
							Value·
			Coupon		Shares		($000)
Temporary Cash Investment (1.2%)
Money Market Fund (1.2%)
5	Vanguard Market Liquidity Fund
	(Cost $47,111)		1.730%		471,030		47,112
					Notional
		Expiration		Exercise	Amount
		Date	Contracts	Price	($000	)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	229	$127.00	29,083		—
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	702	130.00	91,260		77
Total Options Purchased (Cost $158)							77
Total Investments (97.7%) (Cost $3,397,087)							3,948,938
					Face
				Maturity	Amount
			Coupon	Date	($000	)
Conventional Mortgage-Backed Securities-Liability for Sale Commitments (-1.4%)
3,4,6	UMBS Pool		3.000%	2/1/49–2/1/50	(31,450	)	(32,163	)
3,4,6	UMBS Pool		4.000%	3/1/49–2/1/50	(24,432	)	(25,508	)
Total Conventional Mortgage-Backed Securities-Liability for Sale Commitments (proceeds $57,243)							(57,671)
Other Assets and Liabilities (3.7%)
Other Assets							364,242
Other Liabilities7							(213,307	)
							150,935
Net Assets (100%)							4,042,202

67

Long-Term Treasury Fund

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	3,901,749
Affiliated Issuers	47,112
Options Purchased	77
Total Investments in Securities	3,948,938
Investment in Vanguard	164
Receivables for Investment Securities Sold	319,687
Receivables for Accrued Income	31,929
Receivables for Capital Shares Issued	10,826
Variation Margin Receivable—Futures Contracts	1,573
Other Assets	63
Total Assets	4,313,180
Liabilities
Payables for Investment Securities Purchased	202,375
Payables for Capital Shares Redeemed	7,600
Payables for Distributions	940
Payables to Vanguard	1,798
Liability for Sale Commitments	57,671
Options Written, at Value7	367
Variation Margin Payable—Futures Contracts	223
Other Liabilities	4
Total Liabilities	270,978
Net Assets	4,042,202

68

Long-Term Treasury Fund

At January 31, 2020, net assets consisted of:

	Amount
	($000	)
Paid-in Capital	3,453,086
Total Distributable Earnings (Loss)	589,116
Net Assets	4,042,202
Investor Shares—Net Assets
Applicable to 69,146,236 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	971,208
Net Asset Value Per Share—Investor Shares	$14.05
Admiral Shares—Net Assets
Applicable to 218,641,691 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,070,994
Net Asset Value Per Share—Admiral Shares	$14.05

• See Note A in Notes to Financial Statements.

1 Securities with a value of $8,436,000 have been segregated as initial margin for open futures contracts.

2 Securities with a value of $303,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

3 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.

4 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.

5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

7 Includes premiums received of $176,000.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

69

Long-Term Treasury Fund

Derivative Financial Instruments Outstanding as of Period End
Options Written
				Notional	Market
	Expiration		Exercise	Amount	Value
	Date	Contracts	Price	($000)	($000)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	51	$130.75	6,668	(60)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	229	131.00	29,999	(228)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	228	133.50	30,438	(36)
					(324)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	948	$129.00	122,292	(30)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	51	130.75	6,668	(13)
					(43)
Total Options Written (Premiums Received $176)					(367)
Futures Contracts
					($000)

				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Long Futures Contracts
Ultra Long U.S. Treasury Bond	March 2020	1,012	196,012	6,374
30-Year U.S. Treasury Bond	March 2020	551	90,106	2,450
5-Year U.S. Treasury Note	March 2020	533	64,131	206
2-Year U.S. Treasury Note	March 2020	171	36,997	153
10-Year U.S. Treasury Note	March 2020	246	32,387	186
				9,369
Short Futures Contracts
Ultra 10-Year U.S. Treasury Note	March 2020	(181)	(26,364)	(593)
				8,776

See accompanying Notes, which are an integral part of the Financial Statements.

70

Long-Term Treasury Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Interest1	101,663
Total Income	101,663
Expenses
The Vanguard Group—Note B
Investment Advisory Services	507
Management and Administrative—Investor Shares	1,482
Management and Administrative—Admiral Shares	2,156
Marketing and Distribution—Investor Shares	98
Marketing and Distribution—Admiral Shares	182
Custodian Fees	18
Auditing Fees	35
Shareholders’ Reports—Investor Shares	53
Shareholders’ Reports—Admiral Shares	40
Trustees’ Fees and Expenses	2
Total Expenses	4,573
Net Investment Income	97,090
Realized Net Gain (Loss)
Investment Securities Sold1,2	144,165
Futures Contracts	5,310
Options Purchased	(242)
Options Written	620
Realized Net Gain (Loss)	149,853
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	482,373
Futures Contracts	8,752
Options Purchased	(77)
Options Written	(172)
Change in Unrealized Appreciation (Depreciation)	490,876
Net Increase (Decrease) in Net Assets Resulting from Operations	737,819

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $843,000, ($4,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $32,271,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Treasury Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	97,090	97,542
Realized Net Gain (Loss)	149,853	(74,918)
Change in Unrealized Appreciation (Depreciation)	490,876	38,286
Net Increase (Decrease) in Net Assets Resulting from Operations	737,819	60,910
Distributions
Net Investment Income
Investor Shares	(22,594)	(22,930)
Admiral Shares	(74,640)	(74,609)
Realized Capital Gain1
Investor Shares	(2,497)	—
Admiral Shares	(7,810)	—
Total Distributions	(107,541)	(97,539)
Capital Share Transactions
Investor Shares	29,041	(78,880)
Admiral Shares	56,913	(28,926)
Net Increase (Decrease) from Capital Share Transactions	85,954	(107,806)
Total Increase (Decrease)	716,232	(144,435)
Net Assets
Beginning of Period	3,325,970	3,470,405
End of Period	4,042,202	3,325,970

1 Includes fiscal 2020 and 2019 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Treasury Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$11.86	$11.96	$11.79	$12.80	$14.19
Investment Operations
Net Investment Income	.3311	.3341	.3281	.332	.351
Net Realized and Unrealized Gain (Loss) on Investments	2.226	(.100)	.170	(.725)	(1.070)
Total from Investment Operations	2.557	.234	.498	(.393)	(.719)
Distributions
Dividends from Net Investment Income	(.331)	(.334)	(.328)	(.332)	(.351)
Distributions from Realized Capital Gains	(.036)	—	—	(.285)	(.320)
Total Distributions	(.367)	(.334)	(.328)	(.617)	(.671)
Net Asset Value, End of Period	$14.05	$11.86	$11.96	$11.79	$12.80
Total Return2	21.84%	2.05%	4.21%	-3.21%	-4.91%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$971	$794	$882	$995	$1,148
Ratio of Total Expenses to Average Net Assets	0.20%	0.20%	0.20%	0.20%	0.20%
Ratio of Net Investment Income to Average Net Assets	2.55%	2.89%	2.70%	2.53%	2.76%
Portfolio Turnover Rate3	96%4	122%	103%4	94%	117%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	Includes 4%, 34%, 6%, 3%, and 36% attributable to mortgage-dollar-roll activity.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Treasury Fund

Financial Highlights

Admiral Shares

For a Share Outstanding		Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$11.86	$11.96	$11.79	$12.80	$14.19
Investment Operations
Net Investment Income	.3441	.3461	.3401	.345	.363
Net Realized and Unrealized Gain (Loss) on Investments	2.226	(.100)	.170	(.725)	(1.070)
Total from Investment Operations	2.570	.246	.510	(.380)	(.707)
Distributions
Dividends from Net Investment Income	(.344)	(.346)	(.340)	(.345)	(.363)
Distributions from Realized Capital Gains	(.036)	—	—	(.285)	(.320)
Total Distributions	(.380)	(.346)	(.340)	(.630)	(.683)
Net Asset Value, End of Period	$14.05	$11.86	$11.96	$11.79	$12.80
Total Return2	21.96%	2.16%	4.32%	-3.12%	-4.81%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,071	$2,532	$2,588	$2,509	$2,400
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%	0.10%	0.10%	0.10%
Ratio of Net Investment Income to Average Net Assets	2.65%	2.99%	2.80%	2.63%	2.86%
Portfolio Turnover Rate3	96%4	122%	103%4	94%	117%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	Includes 4%, 34%, 6%, 3%, and 36% attributable to mortgage-dollar-roll activity.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Treasury Fund

Notes to Financial Statements

Vanguard Long-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

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Long-Term Treasury Fund

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 10% and 5% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

3. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

4. 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

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Long-Term Treasury Fund

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 or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

6. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of

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Long-Term Treasury Fund

operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $164,000, representing less than 0.01% of the fund’s net assets and 0.07% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
U.S. Government and Agency Obligations	—		3,869,502		—
Asset-Backed/Commercial Mortgage-Backed Securities	—		32,247		—
Temporary Cash Investments	47,112		—		—
Options Purchased	77		—		—
Conventional Mortgage-Backed Securities—Liability for Sale Commitments	—		(57,671	)	—
Options Written	(367	)	—		—
Futures Contracts—Assets1	1,573		—		—
Futures Contracts—Liabilities1	(223	)	—		—
Total	48,172		3,844,078		—

1 Represents variation margin on the last day of the reporting period.

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Long-Term Treasury Fund

D.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and distributions in connection with fund share redemptions were reclassified between the following accounts:

	Amount
	($000	)
Paid-in Capital	33,944
Total Distributable Earnings (Loss)	(33,944	)

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the realization of unrealized gains or losses on certain futures contracts and options; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	13,201
Undistributed Long-Term Gains	27,327
Capital Loss Carryforwards (Non-expiring)*	—
Net Unrealized Gains (Losses)	551,090

* The fund used capital loss carryforwards of $75,693,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, sale commitments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	3,397,343
Gross Unrealized Appreciation	552,358
Gross Unrealized Depreciation	(1,268	)
Net Unrealized Appreciation (Depreciation)	551,090

E.  During the year ended January 31, 2020, the fund purchased $3,483,358,000 of investment securities and sold $3,632,551,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $175,996,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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Long-Term Treasury Fund

F.  Capital share transactions for each class of shares were:

					Year Ended January 31,
			2020				2019
	Amount		Shares		Amount		Shares
	($000	)	(000	)	($000	)	(000	)
Investor Shares
Issued	260,097		19,936		144,259		12,425
Issued in Lieu of Cash Distributions	23,396		1,791		21,523		1,850
Redeemed	(254,452	)	(19,530	)	(244,662	)	(21,087	)
Net Increase (Decrease)—Investor Shares	29,041		2,197		(78,880	)	(6,812	)
Admiral Shares
Issued	902,904		69,193		656,780		56,574
Issued in Lieu of Cash Distributions	71,329		5,465		64,936		5,585
Redeemed	(917,320	)	(69,588	)	(750,642	)	(64,939	)
Net Increase (Decrease)—Admiral Shares	56,913		5,070		(28,926	)	(2,780	)

G.  Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund and Vanguard Long-Term Treasury Fund

Opinions on the Financial Statements

We have audited the accompanying statements of net assets and statements of assets and liabilities of Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund and Vanguard Long-Term Treasury Fund (four of the funds constituting Vanguard Fixed Income Securities Funds, hereafter collectively referred to as the “Funds”) as of January 31, 2020, the related statements of operations for the year ended January 31, 2020, the statements of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended January 31, 2020 and each of the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

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Special 2019 tax information (unaudited) for Vanguard Short-Term Treasury Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 98.8% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Short-Term Federal Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 97.7% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Intermediate-Term Treasury Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 99.6% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Long-Term Treasury Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $11,623,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For nonresident alien shareholders, 99.7% of income dividends are interest-related dividends.

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BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index, Bloomberg Barclays U.S. 1–5 Year Government Bond Index, Bloomberg Barclays U.S. 5–10 Year Treasury Bond Index, and Bloomberg Barclays U.S. Long Treasury Bond Index (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the U.S. Government Bond Funds and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the U.S. Government Bond Funds. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the U.S. Government Bond Funds. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the U.S. Government Bond Funds or the owners of the U.S. Government Bond Funds.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the U.S. Government Bond Funds. Investors acquire the U.S. Government Bond Funds from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the U.S. Government Bond Funds. The U.S. Government Bond Funds are not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the U.S. Government Bond Funds or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the U.S. Government Bond Funds with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the U.S. Government Bond Funds to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the U.S. Government Bond Funds or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the U.S. Government Bond Funds.

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The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the U.S. Government Bond Funds, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the U.S. Government Bond Funds, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USEOF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE U.S. GOVERNMENT BOND FUNDS.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork- Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

 

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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

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© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q320 032020

Annual Report | January 31, 2020

Vanguard Corporate Bond Funds

Vanguard Short-Term Investment-Grade Fund

Vanguard Intermediate-Term Investment-Grade Fund

Vanguard Long-Term Investment-Grade Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. 

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
Advisors’ Report	3
About Your Fund’s Expenses	8
Short-Term Investment-Grade Fund	10
Intermediate-Term Investment-Grade Fund	51
Long-Term Investment-Grade Fund	88

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.

A Note From Our Chairman

 

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

Mortimer J. Buckley

Chairman and Chief Executive Officer

March 3, 2020

1

Your Fund’s Performance at a Glance

•     The 12 months ended January 31, 2020, were marked by concerns about global growth, trade disputes, geopolitical tensions, and uncertainty surrounding the United Kingdom’s exit from the European Union. This challenging outlook prompted the U.S. Federal Reserve to cut rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, which contributed to a narrower average yield spread for corporate bonds versus Treasuries.

•     Returns of the funds in this report ranged from 5.79% for Investor Shares of Vanguard Short-Term Investment-Grade Fund to 23.43% for Admiral Shares of Vanguard Long-Term Investment-Grade Fund. The funds’ results compared with those of their benchmarks were mixed.

•     Shorter-than-benchmark durations hurt the Short-Term Fund and even more so Vanguard Intermediate-Term Investment-Grade Fund as interest rates declined meaningfully during the 12 months. A tilt toward higher-quality bonds also detracted as credit spreads compressed.

•     Although the Long-Term Fund’s duration profile hurt relative performance, its allocation to BBB-rated bonds and security selection helped it outperform its benchmark.

Market Barometer
		Average Annual Total Returns
		Periods Ended January 31, 2020
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	21.39%	14.33%	12.13%
Russell 2000 Index (Small-caps)	9.21	7.28	8.23
Russell 3000 Index (Broad U.S. market)	20.53	13.82	11.85
FTSE All-World ex US Index (International)	10.28	7.74	5.24
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	9.64%	4.62%	3.01%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	8.65	5.12	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.18	1.68	1.07
CPI
Consumer Price Index	2.49%	2.04%	2.00%

2

Advisors’ Report

Vanguard Fixed Income Group

For the Short-, Intermediate-, and Long-Term Investment-Grade Funds

For the 12 months ended January 31, 2020, falling bond yields and rising prices led to strong returns across the fixed income market. Vanguard Short-Term Investment-Grade Fund returned almost 6%, and Vanguard Intermediate-Term Investment-Grade Fund returned close to 11%. (All returns and yields cited are for the funds’ Investor Shares.) The funds’ results lagged those of their benchmark indexes.

We also manage about 10% of the assets of Vanguard Long-Term Investment-Grade Fund. The fund returned more than 23%, outpacing its benchmark index.

The 30-day SEC yields of the Short-Term Fund and Intermediate-Term Fund were slightly above 2% on January 31. For the Long-Term Fund, it was nearly 3%. The three funds’ yields ended the fiscal year more than a percentage point lower than a year earlier. The 30-day SEC yield is a proxy for a portfolio’s potential annualized rate of income.

Investment environment

The financial markets were driven largely by shifts in the outlook for global growth and monetary policy during the fiscal year.

In the first quarter of 2019, gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3% after adjusting for inflation. Its pace of growth then slowed amid weaker business confidence, trade disputes, and lessening effects from tax cuts. The unemployment rate edged downward, hitting a half-century low during the 12 months. The strong labor market helped keep consumers spending, even as the pace of job gains softened. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) remained not far from 2%.

After raising the federal funds rate four times in 2018, the Federal Reserve reversed gears in March with an announcement that it would end its balance-sheet drawdown. It then lowered rates by a quarter percentage point in August, September, and October. The cuts—the first in more than a decade—

Yields of U.S. Treasury Securities
	January 31,	January 31,
Maturity	2019	2020
2 years	2.46%	1.31%
3 years	2.43	1.33
5 years	2.44	1.31
10 years	2.63	1.51
30 years	3.00	2.00
Source: Vanguard.

3

were justified by policymakers as insurance to cushion the effects of trade policies and prolong an economic expansion already in its 11th year.

Rate cuts and slowing growth contributed to declining yields across the maturity spectrum. The U.S. Treasury yield curve was inverted for part of the fiscal year—yields of shorter-term bonds were higher than those of longer-term bonds—but finished with a more typical upward slope.

Fed action pushed shorter-term Treasury yields significantly lower. The yield of the 2-year Treasury note fell to 1.31%.from 2.46% at the end of January 2019.

Escalating trade tensions, geopolitical flare-ups, and political uncertainties in Europe supported demand for longer-term Treasury bonds early in the fiscal year. Although some of those concerns eventually eased, yields of these securities finished the period lower. The yield of the bellwether 10-year Treasury note fell 112 basis points to 1.51%. (A basis point is one-hundredth of a percentage point.)

Management of the funds

The conservative and broadly diversified positioning of the Short-Term Fund and the Intermediate-Term Fund dampened their performance relative to their benchmarks.

Both funds have durations that are shorter than those of their benchmarks. (Duration is a measure of the price sensitivity of holdings to changes in interest rates.) Although that positioning can provide some cushion in an environment of rising interest rates, it was a detractor, especially for the Intermediate-Term Fund, during a period when interest rates declined significantly.

The funds’ bias toward higher-quality bonds didn’t play out well, as credit spreads compressed amid liquidity support from the Fed and still-healthy corporate fundamentals. Specifically, we were underweighted in bonds on the bottom rung of the investment-grade ladder. This was partly because of signs that the economy was slowing, which stood to affect the prices of these securities more than those of their higher-rated counterparts and potentially result in their being downgraded to junk-bond status.

For diversification purposes, we held out-of-benchmark allocations to high-quality sectors, including Treasuries, non-U.S. sovereigns, commercial mortgage-backed securities, and asset-backed securities (typically made up of pooled auto loans, credit card debt, and student loans), which we thought would do well given U.S. consumer strength. These sectors, however, didn’t perform as well as corporate bonds.

For the Long-Term Fund, our curve positioning was a positive. Given the sell-off we had seen in the fourth quarter of 2018 and the steepening of the corporate bond curve, holding some very long-dated maturities worked out well.

For all three funds, security selection was generally positive. Our relatively small allocation to higher-quality sovereign emerging-market debt added value.

4

Outlook

Global growth is set to keep softening, with trade tensions and policy uncertainty unlikely to lessen substantially. Vanguard economists expect the U.S. economy to fall below 2% trend growth in 2020.

Other major economies are likely to see a deceleration as well in 2020. Growth in China, the world’s second-largest economy, is set to slow. The coronavirus will weigh on the country’s economy in the near term, but we foresee the potential for a rebound in the second half of the year amid anticipated government stimulus. In the euro area, growth is expected to stay weak, around 1%.

This backdrop, along with modest wage gains and structural factors such as technology advancements and globalization, is unlikely to support a sustained rebound in inflation.

In the United States, inflation may trend closer to the Fed’s 2% target but—given the structural forces still in play—not much higher.

We may see bouts of volatility related to growth, inflation, and interest-rate expectations, but it’s worth restating that investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a low-yield environment, bonds can play a useful role as ballast in a portfolio, helping to provide downside protection from riskier assets such as equities.

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek opportunities to add to the funds’ performance.

John Hollyer, CFA, Principal and Global Head of Fixed Income Group

Daniel Shaykevich, Principal and Portfolio Manager

Samuel C. Martinez, CFA, Portfolio Manager

Arvind Narayanan, CFA Portfolio Manager

February 21, 2020

Wellington Management Company LLP

For the Long-Term Investment-Grade Fund

Vanguard Long-Term Investment-Grade Fund returned 23.31% for Investor Shares and 23.43% for Admiral Shares for the 12 months ended January 31, 2020. It out-performed its benchmark, the Bloomberg Barclays U.S. Long Credit A or Better Bond Index, which returned 22.70%.

The portion of the Long-Term Investment-Grade Fund that we manage (the “portfolio”) invests primarily in corporate bonds with 10 to 30 years until maturity. The portfolio’s returns are influenced by the direction of interest rates and by economic conditions that affect the creditworthiness of corporate bond issuers.

5

Investment environment

Global fixed income markets generated positive total returns, driven by a decline in sovereign yields across most markets— particularly in the first three quarters of the year. By the end of the 12 months, yields increased across most markets despite continued accommodative global central bank policies aimed at stabilizing economic activity. Geopolitical uncertainty remained elevated amid U.S.-China trade talks, Brexit negotiations, and U.S. presidential impeachment proceedings. Despite these concerns, corporate bond spreads tightened on optimism that monetary accommodation could offset the drag on global growth from restrictive trade policies.

Global monetary policies continued along a more dovish path in aggregate. The U.S. Federal Reserve cut rates three times before deciding to take a more patient approach on future adjustments. The European Central Bank launched a package of stimulus measures that included a rate cut, resumption of asset purchases to continue “as long as necessary,” and the introduction of tiered deposit rates to exempt banks from negative interest rates.

Most major spread sectors posted positive returns against a backdrop of dovish global central bank policies and progress in the U.S.-China talks. Higher-yielding sectors outperformed investment-grade credit, benefiting from continued demand for yield-producing assets.

The portfolio’s successes

In aggregate, sector positioning contributed favorably to relative results, most notably in energy and capital goods. Security selection in consumer noncyclicals also helped relative returns. We continued to hold a modest allocation to structured finance for its diversification benefits and attractive risk/ reward profile. Overall, this exposure had a small positive impact on relative results.

The portfolio’s shortfalls

An underweight to real estate investment trusts and consumer noncyclicals detracted from relative performance. Selection in the basic industry sector also hurt relative performance.

Outlook

Our base case is that the U.S. economy’s above-trend pace will continue to slow closer to trend because of fading fiscal stimulus, policy uncertainty stemming from the upcoming election, and global trade concerns. The labor market remains strong, and household balance sheets are in good shape.

Leverage has stabilized in the last year and is not moving lower as it had from 2016 to 2018. Debt pay-down in the levered BBB bucket is occurring but at a very modest pace. Profit margins remain at historically elevated levels for the broad investment-grade corporate universe. Although we believe that BBB-rated issuers are sufficiently capitalized and well-positioned to service current debt levels, valuations appear tight and could widen materially following any company missteps on their deleveraging

6

paths. Fundamentals are weaker in more cyclical, globally exposed sectors, while more domestic and service-oriented industries remain steady.

Fewer large-scale M&A transactions and a shift in issuance to the euro market because of lower borrowing costs should keep supply at flat-to-lower levels in 2020. All-in yield valuations are historically low, which makes us cautious on total return expectations. Given low yield levels, we do not expect pension demand to materialize for long-duration assets. We intend to reduce risk further if spreads continue to tighten closer to record levels.

Scott I. St. John, CFA

Senior Managing Director

and Fixed Income Portfolio Manager

February 21, 2020

7

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.

8

Six Months Ended January 31, 2020
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
	7/31/2019	1/31/2020	Period
Based on Actual Fund Return
Short-Term Investment-Grade Fund
Investor Shares	$1,000.00	$1,023.20	$1.02
Admiral™ Shares	1,000.00	1,023.71	0.51
Institutional Shares	1,000.00	1,023.87	0.36
Intermediate-Term Investment-Grade Fund
Investor Shares	$1,000.00	$1,044.04	$1.03
Admiral Shares	1,000.00	1,044.57	0.52
Long-Term Investment-Grade Fund
Investor Shares	$1,000.00	$1,099.17	$1.16
Admiral Shares	1,000.00	1,091.72	0.63
Based on Hypothetical 5% Yearly Return
Short-Term Investment-Grade Fund
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51
Institutional Shares	1,000.00	1,024.85	0.36
Intermediate-Term Investment-Grade Fund
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51
Long-Term Investment-Grade Fund
Investor Shares	$1,000.00	$1,024.10	$1.12
Admiral Shares	1,000.00	1,024.60	0.61

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Investment-Grade Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Long-Term Investment-Grade Fund, 0.22% for Investor Shares and 0.12% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

9

Short-Term Investment-Grade Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Short-Term Investment-Grade Fund Investor Shares	5.79%	2.47%	2.61%	$12,945
	Bloomberg Barclays U.S. 1–5 Year Credit Bond Index	6.46	2.69	3.03	13,473
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	14,501

				Final Value
	One	Five	Ten	of a $50,000
	Year	Years	Years	Investment
Short-Term Investment-Grade Fund Admiral Shares	5.90%	2.57%	2.72%	$65,371
Bloomberg Barclays U.S. 1–5 Year Credit Bond Index	6.46	2.69	3.03	67,365
Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	72,507

See Financial Highlights for dividend and capital gains information.

10

Short-Term Investment-Grade Fund

	Average Annual Total Returns
	Periods Ended January 31, 2020
				Final Value
	One	Five	Ten	of a $5,000,000
	Year	Years	Years	Investment
Short-Term Investment-Grade Fund Institutional Shares	5.93%	2.60%	2.75%	$6,557,989
Bloomberg Barclays U.S. 1–5 Year Credit Bond Index	6.46	2.69	3.03	6,736,466
Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	7,250,665

11

Short-Term Investment-Grade Fund

Sector Diversification

As of January 31, 2020

Asset-Backed/Commercial Mortgage-Backed	20.8%
Finance	27.2
Foreign	4.4
Government Mortgage-Backed	3.3
Industrial	33.9
Treasury/Agency	5.8
Utilities	4.4
Other	0.2

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

12

Short-Term Investment-Grade Fund

Financial Statements

Statement of Net Assets — Investments Summary

As of January 31, 2020

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
U.S. Government and Agency Obligations
U.S. Government Securities
	United States Treasury Note/Bond	1.750%	12/31/20	500,000	500,940	0.8%
	United States Treasury Note/Bond	1.375%	1/31/22	500,000	500,470	0.8%
	United States Treasury Note/Bond	1.625%	12/31/21	400,000	402,124	0.6%
	United States Treasury Note/Bond	1.500%	11/30/21	400,000	401,064	0.6%
	United States Treasury Note/Bond	1.750%	12/31/24	350,000	357,108	0.6%
	United States Treasury Note/Bond	1.375%	1/31/25	325,000	325,865	0.5%
1	United States Treasury Note/Bond	1.875%	4/30/22	300,000	303,609	0.5%
	United States Treasury Note/Bond	2.375%	4/15/21	275,000	277,921	0.4%
1	United States Treasury Note/Bond	1.750%	11/15/29	200,000	204,344	0.3%
‡,2	United States Treasury Note/Bond	1.750%–2.875%	12/31/20–8/15/28	335,300	341,226	0.6%
					3,614,671	5.7%
Nonconventional Mortgage-Backed Securities
3,4,5	Fannie Mae Pool, 12M USD LIBOR + 1.704%	4.829%	2/1/37	449	476	0.0%
3,4,5	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.000%	9/1/32	184	194	0.0%
3,4,5	Fannie Mae Pool, 12M USD LIBOR + 1.760%	4.373%	8/1/37	374	379	0.0%
3,4,5	Fannie Mae Pool, 12M USD LIBOR + 1.785%	4.035%–4.410%	8/1/33	1,597	1,660	0.0%
3,4,5	Fannie Mae Pool, 12M USD LIBOR + 1.800%	4.486%	7/1/33	1,477	1,524	0.0%
3,4,5	Fannie Mae Pool, 12M USD LIBOR + 1.960%	4.585%	5/1/33	81	86	0.0%
3,4,5	Fannie Mae Pool, 1Y CMT + 2.000%	3.700%	12/1/32	188	193	0.0%
3,4,5	Fannie Mae Pool, 1Y CMT + 2.125%	4.602%	6/1/33	849	884	0.0%

13

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3,4,5	Fannie Mae Pool, 1Y CMT + 2.185%	4.560%	7/1/32	132	140	0.0%
3,4,5	Fannie Mae Pool, 1Y CMT + 2.210%	4.733%	5/1/33	1,017	1,075	0.0%
3,4	Fannie Mae REMICS	2.500%–3.500%	6/25/40–10/25/48	154,508	158,177	0.2%
3	Ginnie Mae REMICS	1.500%	10/20/45	166,484	163,306	0.3%
	Nonconventional Mortgage-Backed Securities—Other †				482,724	0.8%
					810,818	1.3%
Total U.S. Government and Agency Obligations (Cost $4,408,169)					4,425,489	7.0%
Asset-Backed/Commercial Mortgage-Backed Securities
3,6	ARL Second LLC 2014-1A	2.920%	6/15/44	10,097	10,154	0.0%
3	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%–4.506%	9/15/48	19,420	20,733	0.0%
3	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50	4,760	5,224	0.0%
3	Banc of America Funding 2006-H Trust	4.157%	9/20/46	7,250	6,520	0.0%
3	Bank of America Mortgage Trust 2002-J	4.553%	9/25/32	16	16	0.0%
3,6	Chrysler Capital Auto Receivables Trust 2016-AA	4.220%	2/15/23	26,030	26,129	0.0%
3	COMM 2012-CCRE2 Mortgage Trust	3.147%–3.791%	8/15/45	7,025	7,237	0.0%
3,6	COMM 2012-CCRE3 Mortgage Trust	2.822%–3.416%	10/15/45	35,214	35,898	0.1%
3	COMM 2012-CCRE4 Mortgage Trust	2.853%–3.251%	10/15/45	12,894	13,135	0.0%
3	COMM 2012-CCRE5 Mortgage Trust	2.771%	12/10/45	2,640	2,698	0.0%
3	COMM 2013-CCRE10 Mortgage Trust	3.795%	8/10/46	7,055	7,311	0.0%
3	COMM 2013-CCRE11 Mortgage Trust	3.983%–4.258%	8/10/50	57,291	61,700	0.1%
3	COMM 2013-CCRE12 Mortgage Trust	3.623%–4.046%	10/10/46	60,784	64,410	0.1%
3	COMM 2013-CCRE13 Mortgage Trust	4.194%–5.052%	11/10/46	45,447	48,979	0.1%
3,6	COMM 2013-CCRE6 Mortgage Trust	3.147%–3.397%	3/10/46	19,740	20,333	0.0%
3	COMM 2013-CCRE8 Mortgage Trust	3.334%–3.612%	6/10/46	41,979	44,031	0.1%
3,6	COMM 2013-CCRE9 Mortgage Trust	4.363%–4.387%	7/10/45	36,856	37,772	0.1%
3,6	COMM 2013-LC13 Mortgage Trust	3.774%–4.557%	8/10/46	40,156	43,023	0.1%
3	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46	4,100	4,214	0.0%
3,6	COMM 2013-SFS Mortgage Trust	3.086%	4/12/35	5,490	5,662	0.0%
3,6	COMM 2014-277P Mortgage Trust	3.732%	8/10/49	33,245	35,698	0.1%
3	COMM 2014-CCRE14 Mortgage Trust	3.955%–4.236%	2/10/47	20,910	22,637	0.0%

14

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3	COMM 2014-CCRE15 Mortgage Trust	2.928%–4.426%	2/10/47	38,656	41,313	0.1%
3	COMM 2014-CCRE17 Mortgage Trust	3.700%–4.946%	5/10/47	87,171	93,918	0.2%
3	COMM 2014-CCRE18 Mortgage Trust	3.550%–3.828%	7/15/47	40,234	43,059	0.1%
3	COMM 2014-CCRE20 Mortgage Trust	3.326%–3.590%	11/10/47	58,205	62,107	0.1%
3	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47	34,680	36,846	0.1%
3	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47	11,922	12,905	0.0%
3	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48	36,015	38,320	0.1%
3	COMM 2015-CCRE24 Mortgage Trust	3.696%	8/10/48	11,921	12,959	0.0%
3	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48	39,667	43,213	0.1%
3	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48	22,007	23,884	0.0%
3	COMM 2015-CCRE27 Mortgage Trust	3.612%–4.620%	10/10/48	20,092	21,709	0.0%
3	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48	9,930	10,506	0.0%
3	COMM 2019-G44 Mortgage Trust	2.950%	8/15/57	18,400	19,502	0.0%
3,6	Drive Auto Receivables Trust 2016-BA	4.530%	8/15/23	14,408	14,551	0.0%
3,6	Drive Auto Receivables Trust 2016-C	4.180%	3/15/24	20,682	20,928	0.0%
3	Drive Auto Receivables Trust 2017-1	3.840%	3/15/23	2,314	2,338	0.0%
3	Drive Auto Receivables Trust 2018-2	3.630%–4.140%	8/15/24	45,142	45,844	0.1%
3	Drive Auto Receivables Trust 2018-3	3.370%–4.300%	9/15/22–9/16/24	50,268	51,037	0.1%
3	Drive Auto Receivables Trust 2018-5	3.680%–4.300%	7/15/23–4/15/26	65,920	67,585	0.1%
3	Drive Auto Receivables Trust 2019-2	3.040%–3.690%	3/15/23–8/17/26	23,350	23,932	0.0%
3	Drive Auto Receivables Trust 2020-1	2.020%	11/15/23	13,810	13,858	0.0%
3,4	Fannie Mae-Aces 2011-48D	3.000%	9/25/49	21,341	22,159	0.0%
3,4	Fannie Mae-Aces 2011-50F	3.000%	9/25/49	36,031	37,355	0.1%
3,4	Fannie Mae-Aces 2011-77A	3.000%	4/25/44	95,088	97,005	0.2%
3,4	Fannie Mae-Aces 2011-90A	3.500%	12/25/45	8,763	9,177	0.0%
3,4	Fannie Mae-Aces 2012-124E	1.500%	11/25/42	28,525	27,751	0.0%
3,4	Fannie Mae-Aces 2013-111B	2.125%	10/25/42	21,570	21,537	0.0%
3,4	Fannie Mae-Aces 2013-114D	2.250%	7/25/43	7,217	7,243	0.0%
3,4	Fannie Mae-Aces 2013-115A	2.000%	11/25/43	21,376	21,324	0.0%
3,4	Fannie Mae-Aces 2013-115B	2.100%–2.250%	4/25/43–10/25/43	48,078	48,149	0.1%
3,4	Fannie Mae-Aces 2013-20E	1.500%	3/25/43	33,336	32,416	0.1%
3,4	Fannie Mae-Aces 2013-46B	1.700%	5/25/43	34,538	34,000	0.1%
3,4	Fannie Mae-Aces 2013-46C	1.700%	5/25/43	17,523	17,239	0.0%

15

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3,4	Fannie Mae-Aces 2013-46D	1.500%	5/25/43	34,084	33,422	0.1%
3,4	Fannie Mae-Aces 2014-60E	2.000%	9/25/44	60,169	59,959	0.1%
3,4	Fannie Mae-Aces 2014-86A	2.000%	12/25/44	24,447	24,315	0.0%
3,4	Fannie Mae-Aces 2015-18E	1.750%	4/25/44	26,106	25,823	0.0%
3,4	Fannie Mae-Aces 2015-19	2.000%	12/25/44	50,486	50,303	0.1%
3,4	Fannie Mae-Aces 2015-73	1.600%	10/25/45	33,207	32,796	0.1%
3,4	Fannie Mae-Aces 2016-60B	2.500%	9/25/46	46,527	47,336	0.1%
3,4	Fannie Mae-Aces 2019-68G	2.500%	5/25/48	32,319	32,762	0.1%
3,4	Fannie Mae-Aces 2019-83A	2.500%	12/25/49	29,086	29,414	0.1%
3	Ford Credit Auto Lease Trust 2018-A	3.170%	9/15/21	11,780	11,861	0.0%
3	Ford Credit Auto Lease Trust 2019-A	2.900%–3.250%	5/15/22–7/15/22	56,200	56,883	0.1%
3	Ford Credit Auto Lease Trust 2020-A	1.850%	3/15/23	34,430	34,525	0.1%
3,6	Ford Credit Auto Owner Trust 2016-REV1	2.310%	8/15/27	10,240	10,304	0.0%
3,6	Ford Credit Auto Owner Trust 2016-REV2	2.030%	12/15/27	48,890	49,013	0.1%
3,6	Ford Credit Auto Owner Trust 2017-1	2.620%	8/15/28	14,055	14,335	0.0%
3,6	Ford Credit Auto Owner Trust 2017-2	2.360%–2.750%	3/15/29	52,637	53,477	0.1%
3,6	Ford Credit Auto Owner Trust 2018-2	3.760%	1/15/30	7,305	7,613	0.0%
3,6	Ford Credit Auto Owner Trust 2018-REV1	3.190%–3.340%	7/15/31	119,750	126,216	0.2%
3,6	Ford Credit Auto Owner Trust 2018-REV2	3.470%–3.610%	1/15/30	35,895	37,685	0.1%
3	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23	83,210	84,474	0.1%
3	Ford Credit Floorplan Master Owner Trust A Series 2018-3	3.520%	10/15/23	52,330	53,954	0.1%
3	Ford Credit Floorplan Master Owner Trust A Series 2019-1	2.840%	3/15/24	45,500	46,628	0.1%
3	Ford Credit Floorplan Master Owner Trust A Series 2019-2	3.250%	4/15/26	7,753	8,039	0.0%
3,6	GS Mortgage Securities Corporation Trust 2012-ALOHA	3.551%	4/10/34	32,716	33,942	0.1%
3,6	GS Mortgage Securities Trust 2010-C2	5.352%	12/10/43	3,530	3,608	0.0%
3,6	GS Mortgage Securities Trust 2011-GC3	5.824%	3/10/44	2,280	2,347	0.0%
3,6	GS Mortgage Securities Trust 2012-BWTR	2.954%	11/5/34	36,047	36,925	0.1%
3,6	GS Mortgage Securities Trust 2012-GC6	4.948%	1/10/45	1,000	1,047	0.0%
3	GS Mortgage Securities Trust 2012-GCJ7	5.875%	5/10/45	7,150	7,518	0.0%

15

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3,6	GS Mortgage Securities Trust 2013-GC13	4.186%–4.219%	7/10/46	28,584	30,534	0.1%
3	GS Mortgage Securities Trust 2013-GCJ12	3.135%–3.777%	6/10/46	21,310	22,107	0.0%
3	GS Mortgage Securities Trust 2013-GCJ14	3.817%–4.243%	8/10/46	77,234	82,139	0.1%
3	GS Mortgage Securities Trust 2014-GC20	3.998%–4.258%	4/10/47	45,283	48,757	0.1%
3	GS Mortgage Securities Trust 2014-GC24	3.931%–4.665%	9/10/47	86,227	91,107	0.1%
3	GS Mortgage Securities Trust 2014-GC26	3.364%–3.629%	11/10/47	66,660	71,247	0.1%
3	GS Mortgage Securities Trust 2015-GC28	3.136%–3.396%	2/10/48	75,389	79,737	0.1%
3	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	12,225	13,077	0.0%
3	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	4,636	5,058	0.0%
3	GS Mortgage Securities Trust 2015-GC34	3.244%–4.807%	10/10/48	48,952	52,515	0.1%
3	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	11,930	12,495	0.0%
3	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	13,006	14,100	0.0%
3	GS Mortgage Securities Trust 2018-GS10	4.155%	7/10/51	8,565	9,790	0.0%
3	GS Mortgage Securities Trust 2018-GS9	3.992%	3/10/51	4,990	5,623	0.0%
3	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	3,920	4,223	0.0%
3	GS Mortgage Securities Trust 2019-GC42	3.001%	9/1/52	14,800	15,759	0.0%
3	GS Mortgage Securities Trust 2020-GC45	2.911%	2/13/53	10,525	11,131	0.0%
3	Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2	3.409%	2/25/33	534	516	0.0%
3	Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A4	4.818%	7/25/33	288	281	0.0%
3,6	Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV	3.277%	10/15/30	37,985	38,554	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%–3.792%	8/15/45	23,548	24,233	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45	4,827	4,933	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.217%	7/15/46	31,865	33,990	0.1%

16

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	3.960%–4.298%	8/15/46	32,309	34,446	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	3.824%–4.259%	10/15/46	9,451	9,944	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46	8,300	8,938	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%–3.214%	2/15/46	9,340	9,592	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	27,425	28,446	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%–4.384%	2/15/47	34,100	36,824	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	3.773%–5.073%	4/15/47	61,824	66,427	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%–4.929%	6/15/47	84,737	90,871	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	3.741%–4.011%	8/15/47	39,638	42,482	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47	13,400	14,521	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%–3.526%	12/15/47	40,299	42,450	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%–3.249%	2/15/48	59,739	62,549	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.451%–3.719%	7/15/50	27,998	30,182	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.479%–3.732%	5/15/48	48,384	52,182	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	8,498	9,218	0.0%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.058%–4.907%	5/15/49	35,859	38,318	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49	62,449	68,753	0.1%
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	19,660	21,539	0.0%

17

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3	Morgan Stanley Capital I Trust 2012-C4	3.244%–3.773%	3/15/45	18,552	18,956	0.0%
3,6	Morgan Stanley Capital I Trust 2012-STAR	3.201%	8/5/34	17,287	17,748	0.0%
3,6	Morgan Stanley Capital I Trust 2014-150E	3.912%	9/9/32	27,955	30,040	0.1%
3,6	Morgan Stanley Capital I Trust 2014-CPT	3.350%	7/13/29	24,440	24,888	0.0%
3,6	Morgan Stanley Capital I Trust 2015-420	3.727%	10/12/50	28,674	30,432	0.1%
3	Morgan Stanley Capital I Trust 2015-UBS8	3.809%–4.738%	12/15/48	53,382	58,092	0.1%
3	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	11,960	12,710	0.0%
3	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	34,680	36,119	0.1%
3	Morgan Stanley Capital I Trust 2016-UBS9	3.594%	3/15/49	20,170	21,821	0.0%
3	Morgan Stanley Capital I Trust 2017-HR2	3.509%–3.587%	12/15/50	12,185	13,265	0.0%
3	Morgan Stanley Capital I Trust 2018-H4	4.247%	12/15/51	4,440	4,967	0.0%
3	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/52	14,740	15,849	0.0%
3	Santander Drive Auto Receivables Trust 2016-2	3.390%	4/15/22	4,120	4,148	0.0%
3	Santander Drive Auto Receivables Trust 2017-3	2.760%	12/15/22	5,460	5,477	0.0%
3	Santander Drive Auto Receivables Trust 2018-1	2.960%–3.320%	3/15/24	50,500	50,889	0.1%
3	Santander Drive Auto Receivables Trust 2018-3	4.070%	8/15/24	40,900	42,006	0.1%
3	Santander Drive Auto Receivables Trust 2018-4	3.980%	12/15/25	21,750	22,445	0.0%
3	Santander Drive Auto Receivables Trust 2018-5	4.190%	12/16/24	35,530	36,642	0.1%
3	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%–3.539%	10/15/45	28,088	28,803	0.0%
3	Wells Fargo Commercial Mortgage Trust 2013-LC12	3.928%–4.420%	7/15/46	46,692	49,845	0.1%
3	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%–4.458%	8/15/50	69,280	74,037	0.1%
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	31,300	33,429	0.1%
3	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	29,810	31,522	0.1%
3	Wells Fargo Commercial Mortgage Trust 2015-C27	3.190%–3.451%	2/15/48	81,716	86,805	0.1%

19

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%–4.363%	6/15/48	67,632	73,015	0.1%
3	Wells Fargo Commercial Mortgage Trust 2015-C30	3.411%–4.646%	9/15/58	71,324	76,902	0.1%
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%–4.685%	9/15/58	46,062	50,187	0.1%
3	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	34,490	37,548	0.1%
3	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	23,085	23,894	0.0%
3	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	35,600	38,635	0.1%
3	Wells Fargo Commercial Mortgage Trust 2016-C37	3.525%–3.794%	12/15/49	21,557	23,571	0.0%
3	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	15,680	17,093	0.0%
3	Wells Fargo Commercial Mortgage Trust 2017-C39	3.157%–3.418%	9/15/50	71,030	77,023	0.1%
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50	45,250	49,708	0.1%
3	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	39,807	43,418	0.1%
3	Wells Fargo Commercial Mortgage Trust 2017-C42	3.589%	12/15/50	12,935	14,254	0.0%
3	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60	7,660	8,417	0.0%
3	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%–4.514%	3/15/51	49,263	55,141	0.1%
3	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	14,035	16,027	0.0%
3	Wells Fargo Commercial Mortgage Trust 2018-C47	4.365%–4.442%	9/15/61	43,350	49,834	0.1%
3	Wells Fargo Commercial Mortgage Trust 2018-C48	4.245%	1/15/52	6,553	7,379	0.0%
3	Wells Fargo Commercial Mortgage Trust 2019-C49	3.933%–4.023%	3/15/52	14,214	15,995	0.0%
3	Wells Fargo Commercial Mortgage Trust 2019-C50	3.635%	5/15/52	10,300	11,298	0.0%
3	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	17,648	18,571	0.0%
3	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	18,770	20,178	0.0%
§,6	Asset-Backed/Commercial Mortgage-Backed Securities—Other †				9,294,373	14.7%
Total Asset-Backed/Commercial Mortgage-Backed Securities
(Cost $14,270,458)					14,728,691	23.3%

20

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
Corporate Bonds
Finance
	Banking
	American Express Co.	3.700%	8/3/23	159,598	169,453	0.3%
6	Banco Santander Chile	2.500%	12/15/20	82,290	82,404	0.1%
	Banco Santander SA	2.706%–3.125%	2/23/23–6/27/24	54,800	56,313	0.1%
3	Bank of America Corp.	2.328%	10/1/21	162,270	162,614	0.3%
3,7	Bank of America Corp.	0.736%–4.125%	4/19/21–10/22/25	584,556	603,413	1.0%
3	Canadian Imperial Bank of Commerce	2.606%	7/22/23	153,868	156,415	0.2%
	Canadian Imperial Bank of Commerce	3.500%	9/13/23	141,180	149,784	0.2%
	Citibank NA	2.850%	2/12/21	262,150	264,779	0.4%
	Goldman Sachs Group Inc.	2.600%	12/27/20	210,375	210,903	0.3%
	Goldman Sachs Group Inc.	2.875%	2/25/21	158,874	160,455	0.3%
3,7	Goldman Sachs Group Inc.	1.375%–5.750%	9/15/20–1/23/25	488,543	507,168	0.8%
5,8	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%	2.080%–2.102%	8/26/20–5/16/23	24,570	16,468	0.0%
5,8	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370%	2.261%	9/8/21	19,280	13,025	0.0%
3,7	JPMorgan Chase & Co.	2.295%–4.500%	3/1/21–10/15/25	732,046	759,614	1.2%
3	JPMorgan Chase Bank NA	3.086%	4/26/21	34,025	34,131	0.1%
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22	152,118	155,189	0.2%
	Mitsubishi UFJ Financial Group Inc.	2.190%–3.761%	3/1/21–7/18/24	532,158	552,448	0.9%
6	Mitsubishi UFJ Trust & Banking Corp.	2.650%	10/19/20	18,345	18,471	0.0%
	Morgan Stanley	2.625%	11/17/21	242,879	246,503	0.4%
	Morgan Stanley	3.125%	1/23/23	155,676	161,500	0.3%
3	Morgan Stanley	2.500%–5.500%	4/21/21–7/22/25	179,105	184,450	0.3%
	MUFG Americas Holdings Corp.	3.500%	6/18/22	21,000	21,806	0.0%
6	MUFG Bank Ltd.	2.750%–2.850%	9/14/20–9/8/21	109,951	110,831	0.2%
	MUFG Union Bank NA	2.100%–3.150%	4/1/22–12/9/22	152,775	156,302	0.2%
	Santander Holdings USA Inc.	3.400%–3.700%	3/28/22–6/7/24	149,290	154,273	0.2%
3	Santander UK Group Holdings plc	3.373%–4.796%	1/5/24–11/15/24	93,994	98,548	0.2%
6	Santander UK plc	2.100%–5.000%	11/15/21–3/13/24	132,856	138,191	0.2%
	Sumitomo Mitsui Banking Corp.	2.450%	10/20/20	6,400	6,422	0.0%
	Sumitomo Mitsui Financial Group Inc.	2.348%–3.936%	10/19/21–1/15/25	571,002	586,550	0.9%
5,8	Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270%	2.190%	3/29/22	41,051	27,699	0.0%
	Toronto-Dominion Bank	3.250%	6/11/21	175,910	179,741	0.3%
	Toronto-Dominion Bank	3.500%	7/19/23	164,890	174,808	0.3%
	Truist Bank	2.800%	5/17/22	155,900	159,585	0.3%
3	Truist Bank	2.150%–3.689%	10/26/21–12/6/24	450,134	461,472	0.7%
	Truist Financial Corp.	2.050%–3.950%	5/10/21–8/1/24	171,735	177,246	0.3%

21

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
3	Wells Fargo & Co.	2.100%–4.600%	4/1/21–10/30/25	406,077	418,072	0.7%
5,8	Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100%	1.984%	4/27/22	21,453	14,463	0.0%
5,8	Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.320%	2.204%	7/27/21	66,905	45,203	0.1%
3	Wells Fargo Bank NA	3.325%	7/23/21	341,595	344,420	0.5%
	Wells Fargo Bank NA	3.550%	8/14/23	137,290	145,181	0.2%
3,9	Wells Fargo Bank NA	2.082%–5.250%	10/22/21–8/1/23	254,095	265,394	0.4%
	Westpac Banking Corp.	2.750%	1/11/23	157,175	161,963	0.3%
§,6	Banking—Other †				6,238,312	9.9%
§,6	Brokerage †				230,832	0.4%
6	Finance Companies †				122,000	0.2%
	Insurance
	Coventry Health Care Inc.	5.450%	6/15/21	8,200	8,539	0.0%
6	Insurance—Other †				900,741	1.5%
6	Real Estate Investment Trusts †				840,605	1.3%
					16,854,699	26.7%
Industrial
6	Basic Industry †				557,497	0.9%
	Capital Goods
	United Technologies Corp.	3.650%	8/16/23	299,495	318,729	0.5%
6	Capital Goods—Other †				1,541,141	2.4%
	Communication
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22	166,415	175,887	0.3%
	ViacomCBS Inc.	4.250%	9/1/23	136,705	147,130	0.2%
6	Communication—Other †				2,116,036	3.4%
	Consumer Cyclical
8	Ford Motor Credit Co. LLC	2.979%–5.584%	6/2/20–3/18/24	170,214	165,863	0.3%
6	Consumer Cyclical—Other †				1,770,188	2.8%
	Consumer Noncyclical
6	AbbVie Inc.	2.300%	11/21/22	272,000	275,101	0.4%
6	AbbVie Inc.	2.600%	11/21/24	158,300	161,648	0.3%
6	AbbVie Inc.	2.150%–3.750%	5/14/21–11/14/23	391,588	399,941	0.6%
	Altria Group Inc.	3.490%	2/14/22	145,750	150,426	0.2%
	BAT Capital Corp.	2.764%	8/15/22	144,300	147,187	0.2%
6	Bristol-Myers Squibb Co.	2.600%	5/16/22	186,865	190,709	0.3%
	CVS Health Corp.	3.700%	3/9/23	309,400	324,443	0.5%
	CVS Health Corp.	2.125%–4.000%	3/9/21–8/15/24	348,824	357,813	0.6%
	GlaxoSmithKline Capital plc	2.875%	6/1/22	239,600	245,985	0.4%
	Keurig Dr Pepper Inc.	3.551%	5/25/21	150,087	153,572	0.2%
6	Reckitt Benckiser Treasury Services plc	2.375%	6/24/22	176,448	178,590	0.3%
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21	255,895	257,942	0.4%
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21	174,970	181,454	0.3%
6	Consumer Noncyclical—Other †				3,572,954	5.7%

22

Short-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
	Energy
	Energy Transfer Operating LP	3.600%–5.875%	10/1/20–4/15/24	301,089	317,519	0.5%
6	Midwest Connector Capital Co. LLC	3.625%–3.900%	4/1/22–4/1/24	93,951	98,079	0.1%
	Occidental Petroleum Corp.	2.700%	8/15/22	148,054	150,248	0.2%
	Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%–5.875%	3/1/22–11/1/23	220,179	234,253	0.4%
	Sunoco Logistics Partners Operations LP	3.450%–4.400%	4/1/214/1/24	114,020	118,577	0.2%
6	Energy—Other †				3,411,115	5.4%
6	Other Industrial †				95,297	0.2%
	Technology
	Fiserv Inc.	2.750%	7/1/24	162,965	168,045	0.3%
	International Business Machines Corp.	2.850%	5/13/22	215,910	221,573	0.4%
	Oracle Corp.	2.400%	9/15/23	140,318	143,792	0.2%
6	Technology—Other †				1,668,684	2.6%
6	Transportation †				1,041,064	1.6%
					21,058,482	33.3%
Utilities
	Electric
5,6	Dominion Energy Inc.,3M USD LIBOR + 0.400%	2.307%	12/1/20	195,160	195,408	0.3%
	Duke Energy Corp.	3.227%	3/11/22	290,625	298,082	0.5%
	NextEra Energy Capital Holdings Inc.	3.300%	8/15/22	280,890	290,581	0.5%
6	Electric—Other †				1,867,573	2.9%
6	Natural Gas †				99,935	0.1%
					2,751,579	4.3%
Total Corporate Bonds (Cost $39,847,427)					40,664,760	64.3%
Sovereign Bonds
6	Emirate of Abu Dhabi	2.125%	9/30/24	189,450	190,581	0.3%
6	Province of Alberta	1.750%	8/26/20	149,451	149,503	0.2%
	Republic of Lithuania	7.375%	2/11/20	144,433	144,610	0.2%
6	Sovereign Bonds—Other †				2,594,725	4.1%
Total Sovereign Bonds (Cost $3,020,966)					3,079,419	4.8%
Taxable Municipal Bonds (Cost $31,891) †					32,408	0.1%
				Shares
Temporary Cash Investment
Money Market Fund
10	Vanguard Market Liquidity Fund (Cost $158,244)	1.730%		1,582,252	158,257	0.3%

23

Short-Term Investment-Grade Fund

					Notional	Market	Percentage
	Expiration			Exercise	Amount	Value•	of Net
		Date	Contracts	Price	($000)	($000)	Assets
Options Purchased
Exchange-Traded Options
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,514	$130.00	196,820	166	0.0%
					Notional
					Amount on
					Underlying
			Expiration	Exercise	Swap
	Counterparty		Date	Rate	($000)
Over-the-Counter Swaptions
Call Swaptions
	1-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.608% Semiannually	MSCS	3/4/20	1.608%	923,120	1,077	0.0%
	10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually	BNPSW	9/21/20	1.130%	92,111	824	0.0%
						1,901	0.0%
Put Swaptions
	1-Year Interest Rate Swap, Receives 3M LIBOR Quarterly, Pays 1.608% Semiannually	MSCS	3/4/20	1.608%	923,120	108	0.0%
	2-Year Interest Rate Swap, Receives 3M LIBOR Quarterly, Pays 1.538% Semiannually	BNPSW	4/29/20	1.538%	460,393	329	0.0%
	5-Year CDX-NA-HY-S33-V2, Credit Protection Sold, Receives 5.000% Quarterly	BNPSW	3/18/20	1.060%	60,855	235	0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.600%	183,272	59	0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	3/18/20	0.550%	121,731	158	0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.525%	122,178	104	0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.550%	183,272	238	0.0%
						1,231	0.0%
Total Options Purchased (Cost $4,112)						3,298	0.0%
Total Investments (Cost $61,741,267)						63,092,322	99.8%

24

Short-Term Investment-Grade Fund

		Percentage
	Amount	of Net
	($000)	Assets
Other Assets and Liabilities
Other Assets
Investment in Vanguard	2,728
Receivables for Investment Securities Sold	2,334,206
Receivables for Accrued Income	409,433
Receivables for Capital Shares Issued	71,888
Variation Margin Receivable—Futures Contracts	174
Variation Margin Receivable—CC Swap Contracts	456
Unrealized Appreciation—Forward Currency Contracts	33,058
Unrealized Appreciation—OTC Swap Contracts	2,184
Other Assets	25,178
Total Other Assets	2,879,305	4.6%
Liabilities
Payables for Investment Securities Purchased	(2,610,655)
Payables for Capital Shares Redeemed	(73,982)
Payables for Distributions	(21,862)
Payables to Vanguard	(16,467)
Variation Margin Payable—Futures Contracts	(5,114)
Variation Margin Payable—CC Swap Contracts	(2,954)
Unrealized Depreciation—Forward Currency Contracts	(1,144)
Unrealized Depreciation—OTC Swap Contracts	(11,407)
Options Written, at Value11	(7,354)
Other Liabilities	(8)
Total Liabilities	(2,750,947)	(4.4%)
Net Assets	63,220,680	100.0%
At January 31, 2020, net assets consisted of:
		Amount
		($000)
Paid-in Capital		62,532,425
Total Distributable Earnings (Loss)		688,255
Net Assets		63,220,680
Investor Shares—Net Assets
Applicable to 757,077,433 outstanding $.001 par value shares of beneficial interest (unlimited authorization)		8,179,227
Net Asset Value Per Share—Investor Shares		$10.80
Admiral Shares—Net Assets
Applicable to 4,092,236,566 outstanding $.001 par value shares of beneficial interest (unlimited authorization)		44,211,217
Net Asset Value Per Share—Admiral Shares		$10.80

25

Short-Term Investment-Grade Fund

	Amount
	($000)
Institutional Shares—Net Assets
Applicable to 1,002,455,973 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	10,830,236
Net Asset Value Per Share—Institutional Shares	$10.80

•	See Note A in Notes to Financial Statements.
§	Security value determined using significant unobservable inputs.
†	Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
†	Securities with a value of $54,084.000 have been segregated as initial margin for open centrally cleared swap contracts.
1	Securities with a value of $2,781,000 have been segregated as collateral for open forward currency contracts and open over-the-counter swap contracts.
2	Securities with a value of $39,733,000 have been segregated as initial margin for open futures contracts.
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	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.
5	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
6	Certain of the fund’s securities are 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 January 31, 2020, the aggregate value of these securities was $11,590,543,000, representing 18.3% of net assets.
7	Face amount denominated in euro.
8	Face amount denominated in Australian dollars.
9	Face amount denominated in British pounds.
10	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
11	Includes premiums received of $6,958,000.

CC—Centrally Cleared.

CMT—Constant Maturing Treasury Rate.

BNPSW—BNP Paribas.

GSI—Goldman Sachs International.

JPMC—JPMorgan Chase Bank, N.A.

LIBOR—London Interbank Offered Rate.

MSCS—Morgan Stanley Capital Services LLC.

OTC—Over-the-Counter.

REMICS—Real Estate Mortgage Investment Conduits.

26

Short-Term Investment-Grade Fund

Derivative Financial Instruments Outstanding as of Period End
Options Written
				Notional	Market
	Expiration		Exercise	Amount	Value
	Date	Contracts	Price	($000)	($000)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	810	$130.75	105,908	(949)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,514	$133.50	202,119	(237)
					(1,186)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	810	$130.75	105,908	(215)
					(1,401)
				Notional
				Amount on
				Underlying	Market
		Expiration	Exercise	Swap	Value
	Counterparty	Date	Rate	($000)	($000)
Over-the-Counter Swaptions
Call Swaptions
2-Year Interest Rate Swap, Receives 3M USD LIBOR Quarterly, Pays 1.528% Semiannually	MSCS	3/4/20	1.528%	461,560	(1,681)
10-Year Interest Rate Swap, Receives 3M USD LIBOR Quarterly, Pays 1.836% Semiannually	GSCM	4/9/20	1.836%	60,899	(2,267)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.525%	183,272	(330)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.475%	122,178	(56)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.500%	183,272	(258)
					(4,592)
Put Swaptions
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.638% Semiannually	BNPSW	4/29/20	1.638%	920,786	(322)
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.528% Semiannually	MSCS	3/4/20	1.528%	461,560	(156)

27

Short-Term Investment-Grade Fund

Options Written (continued)
				Notional
				Amount on
				Underlying	Market
		Expiration	Exercise	Swap	Value
	Counterparty	Date	Rate	($000)	($000)
10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.836% Semiannually	GSCM	4/9/20	1.836%	60,899	(126)
5-Year CDX-NA-IG-S33-V1 Credit Protection Purchased, Pays 1.000% Quarterly	GSI	2/19/20	0.525%	183,272	(155)
5-Year CDX-NA-IG-S33-V1 Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	2/19/20	0.475%	122,178	(228)
5-Year CDX-NA-IG-S33-V1 Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	3/18/20	0.500%	183,272	(374)
					(1,361)
					(5,953)
Total Options Written (Premiums Received $6,958)					(7,354)

BNPSW—BNP Paribas.

GSI—Goldman Sachs International.

GSCM—Goldman Sachs Bank USA.

MSCS—Morgan Stanley Capital Services LLC.

Futures Contracts
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Long Futures Contracts
10-Year U.S. Treasury Note	March 2020	357	47,001	13
5-Year U.S. Treasury Note	March 2020	300	36,096	34
				47
Short Futures Contracts
2-Year U.S. Treasury Note	March 2020	(4,106)	(888,372)	(926)
Euro-Schatz	March 2020	(5,135)	(638,323)	(782)
Euro-Bobl	March 2020	(1,724)	(258,045)	(1,800)
Ultra 10-Year U.S. Treasury Note	March 2020	(1,493)	(217,465)	(2,413)
Ultra Long U.S. Treasury Bond	March 2020	(716)	(138,680)	(1,047)
Euro-Bund	March 2020	(706)	(137,055)	(2,539)
AUD 3-Year Treasury Bond	March 2020	(836)	(64,906)	(119)
Long Gilt	March 2020	(295)	(52,566)	(588)
AUD 10-Year Treasury Bond	March 2020	(174)	(17,225)	(253)

28

Short-Term Investment-Grade Fund

Futures Contracts (continued)
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Euro-BTP	March 2020	(92)	(15,104)	(627)
Euro-Buxl	March 2020	(16)	(3,742)	(146)
				(11,240)
				(11,193)

Forward Currency Contracts
	Contract					Unrealized	Unrealized
	Settlement		Contract Amount (000)			Appreciation	(Depreciation)
Counterparty	Date		Receive		Deliver	($000)	($000)
Royal Bank of Canada	3/18/20	EUR	60,211	USD	67,244	—	(272)
BNP Paribas	3/18/20	EUR	57,646	USD	64,139	—	(20)
J.P. Morgan Securities LLC	3/18/20	GBP	9,208	USD	12,110	64	—
HSBC Bank USA, N.A.	3/18/20	USD	587,394	EUR	521,653	7,162	—
Toronto-Dominion Bank	3/18/20	USD	578,833	AUD	838,274	17,211	—
Morgan Stanley Capital Services LLC	3/18/20	USD	277,993	EUR	247,260	2,968	—
Royal Bank of Canada	3/18/20	USD	216,376	EUR	194,035	552	—
Royal Bank of Canada	3/18/20	USD	210,458	GBP	157,473	2,249	—
UBS AG	3/18/20	USD	118,072	EUR	106,077	82	—
Goldman Sachs Bank USA	3/18/20	USD	66,336	EUR	59,450	210	—
BNP Paribas	3/18/20	USD	64,645	AUD	94,222	1,520	—
Morgan Stanley Capital Services LLC	3/18/20	USD	54,706	EUR	49,233	—	(57)
Bank of America, N.A.	3/18/20	USD	52,965	EUR	47,894	—	(308)
Deutsche Bank AG	3/18/20	USD	38,508	EUR	34,813	—	(214)
Morgan Stanley Capital Services LLC	3/18/20	USD	26,895	AUD	39,081	712	—
Bank of America, N.A.	3/18/20	USD	19,746	GBP	15,000	—	(87)
BNP Paribas	3/18/20	USD	19,293	EUR	17,475	—	(144)
Bank of America, N.A.	3/18/20	USD	13,490	EUR	12,030	109	—
Citigroup Global Markets Inc.	3/18/20	USD	4,266	GBP	3,257	—	(41)
Bank of America, N.A.	3/18/20	USD	3,918	AUD	5,662	125	—
Citigroup Global Markets Inc.	3/18/20	USD	3,036	AUD	4,390	94	—
HSBC Bank USA, N.A.	3/18/20	USD	154	JPY	16,803	—	(1)
						33,058	(1,144)

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

USD—U.S. dollar.

29

Short-Term Investment-Grade Fund

Centrally Cleared Credit Default Swaps
				Periodic
				Premium				Unrealized
				Received				Appreciation
	Termination	Notional Amount		(Paid	)1	Value		(Depreciation	)
Reference Entity	Date		(000)	(%	)	($000	)	($000	)
Credit Protection Sold
CDX-NA-IG-S33-V1	12/20/29	USD	64,218	1.000		58		649
Credit Protection Purchased
CDX-NA-HY-S33-V2	12/20/24	USD	30,125	(5.000	)	(2,502	)	342
CDX-NA-IG-S33-V1	12/20/22	USD	183,467	(1.000	)	(3,895	)	(104	)
CDX-NA-IG-S33-V1	12/20/24	USD	12,608	(1.000	)	(297	)	16
iTraxx Europe-S32-V1	12/20/24	EUR	126,550	(1.000	)	(3,715	)	(235	)
								19
								668

1 Periodic premium received/paid quarterly.

EUR—euro.

USD—U.S. dollar.

Over-the-Counter Credit Default Swaps
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)2	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Credit Protection Sold/Moody’s Rating
Berkshire Hathaway Inc./Aa2	6/20/22	BARC	32,955		1.000		632		(268	)	364		—
Berkshire Hathaway Inc./Aa2	12/20/22	BARC	16,580		1.000		372		(164	)	208		—
Boeing Co./A2	6/20/24	GSI	24,365		1.000		360		(519	)	—		(159	)
Metlife Inc./A3	12/20/20	GSCM	14,025		1.000		110		—		110		—
Metlife Inc./A3	12/20/21	BARC	6,575		1.000		100		(4	)	96		—
People’s Republic of China/A3	6/20/22	BNPSW	26,335		1.000		501		(109	)	392		—
People’s Republic of China/A3	6/20/24	GSI	20,715		1.000		542		(418	)	124		—
Republic of Turkey/Ba2	12/20/24	HSBCC	6,790		1.000		(430	)	896		466		—
Verizon Communications Inc./Baa1	12/20/22	GSI	33,580		1.000		697		(335	)	362		—
							2,884		(921	)	2,122		(159	)

30

Short-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)2	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Credit Protection Purchased
American International Group Inc.	6/20/20	BOANA	11,720		(1.000	)	(44	)	17		—		(27	)
American International Group Inc.	6/20/20	BOANA	11,720		(1.000	)	(44	)	17		—		(27	)
American International Group Inc.	12/20/20	GSCM	14,025		(1.000	)	(119	)	56		—		(63	)
American International Group Inc.	12/20/20	GSCM	6,990		(1.000	)	(60	)	(19	)	—		(79	)
Autozone Inc.	12/20/20	GSCM	9,760		(1.000	)	(84	)	62		—		(22	)
Bank of America Corp.	3/20/20	GSCM	21,610		(1.000	)	(27	)	9		—		(18	)
Bank of China Ltd.	12/20/21	BNPSW	13,100		(1.000	)	(215	)	(17	)	—		(232	)
Bank of China Ltd.	6/20/22	BNPSW	26,335		(1.000	)	(522	)	2		—		(520	)
Bank of China Ltd.	6/20/23	BNPSW	19,485		(1.000	)	(486	)	213		—		(273	)
Commerzbank AG	6/20/21	BOANA	24,410		(1.000	)	(258	)	(80	)	—		(338	)
CVS Health Corp.	12/20/20	BOANA	9,760		(1.000	)	(80	)	60		—		(20	)
CVS Health Corp.	12/20/20	BOANA	9,760		(1.000	)	(81	)	61		—		(20	)
CVS Health Corp.	12/20/20	BOANA	4,880		(1.000	)	(40	)	30		—		(10	)
CVS Health Corp.	12/20/20	BOANA	4,880		(1.000	)	(40	)	23		—		(17	)
CVS Health Corp.	12/20/21	BARC	19,535		(1.000	)	(304	)	246		—		(58	)
CVS Health Corp.	12/20/21	BARC	6,620		(1.000	)	(103	)	81		—		(22	)
CVS Health Corp.	12/20/21	JPMC	29,300		(1.000	)	(455	)	321		—		(134	)
Deutsche Bank AG	12/20/22	JPMC	33,535		(1.000	)	(185	)	93		—		(92	)
Deutsche Bank AG	12/20/24	GSI	7,950	1	(1.000	)	62		(209	)	—		(147	)
Dominion Energy Inc.	12/20/20	JPMC	97,580		(1.000	)	(858	)	589		—		(269	)

31

Short-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)2	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Dominion Energy Inc.	12/20/20	JPMC	97,580		(1.000	)	(858	)	615		—		(243	)
Federation of Malaysia	12/20/24	BNPSW	13,595		(1.000	)	(379	)	317		—		(62	)
Federative Republic of Brazil	12/20/24	GSI	17,664		(1.000	)	23		(165	)	—		(142	)
Federative Republic of Brazil	12/20/24	MSCS	9,300		(1.000	)	12		(87	)	—		(75	)
Federative Republic of Brazil	12/20/25	BOANA	23,222		(1.000	)	257		(3,927	)	—		(3,670	)
Federative Republic of Brazil	12/20/25	GSCM	10,925		(1.000	)	121		(1,724	)	—		(1,603	)
Lincoln National Corp.	6/20/21	BARC	3,340		(1.000	)	(41	)	(26	)	—		(67	)
Lincoln National Corp.	6/20/21	BARC	3,335		(1.000	)	(41	)	25		—		(16	)
Lincoln National Corp.	12/20/21	BARC	6,575		(1.000	)	(105	)	(6	)	—		(111	)
McDonald’s Corp.	6/20/22	GSI	26,675		(1.000	)	(588	)	408		—		(180	)
Raytheon Co.	12/20/21	GSI	24,420		(1.000	)	(445	)	339		—		(106	)
Raytheon Co.	12/20/21	GSI	24,415		(1.000	)	(445	)	336		—		(109	)
Republic of Chile	12/20/24	GSI	9,710		(1.000	)	(230	)	280		50		—
Republic of Colombia	12/20/24	GSI	9,157		(1.000	)	(85	)	97		12		—
Republic of Colombia	12/20/24	MSCS	29,205		(1.000	)	(272	)	108		—		(164	)
Republic of South Africa	12/20/24	JPMC	18,875		(1.000	)	723		(729	)	—		(6	)
Republic of South Africa	12/20/24	MSCS	4,600		(1.000	)	176		(180	)	—		(4	)
Republic of Turkey	12/20/22	HSBCC	9,630		(1.000	)	204		(687	)	—		(483	)
Republic of Turkey	12/20/24	MSCS	16,070		(1.000	)	997		(1,925	)	—		(928	)
Societe Generale SA	12/20/21	JPMC	9,765		(1.000	)	(171	)	23		—		(148	)
Standard Chartered Bank	12/20/21	JPMC	16,475		(1.000	)	(284	)	(14	)	—		(298	)

32

Short-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)2	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
State of Qatar	6/20/22	BOANA	1,500		(1.000	)	(29	)	(9	)	—		(38	)
State of Qatar	6/20/22	CITNA	3,450		(1.000	)	(67	)	(19	)	—		(86	)
United Mexican States	12/20/24	CITNA	8,785		(1.000	)	(75	)	(61	)	—		(136	)
United Mexican States	12/20/24	GSI	15,180		(1.000	)	(129	)	70		—		(59	)
United Mexican States	12/20/24	GSI	7,275		(1.000	)	(62	)	33		—		(29	)
UnitedHealth Group Inc.	6/20/20	CSFBI	19,530		(1.000	)	(73	)	57		—		(16	)
Wells Fargo & Co.	9/20/20	BOANA	25,940		(1.000	)	(149	)	68		—		(81	)
							(5,958	)	(5,228	)	62		(11,248	)
							(3,074	)	(6,149	)	2,184		(11,407	)

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.

1 Notional amount denominated in euro.

2 Periodic premium received/paid quarterly.

BARC—Barclays Bank plc.

BNPSW—BNP Paribas.

BOANA—Bank of America, N.A.

CITNA—Citibank, N.A.

CSFBI—Credit Suisse First Boston International.

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

HSBCC—HSBC Bank USA, N.A.

JPMC—JPMorgan Chase Bank, N.A.

MSCS—Morgan Stanley Capital Services LLC.

At January 31, 2020, the counterparties had deposited in segregated accounts securities with a value of $18,191,000 and cash of $20,210,000 in connection with open forward currency contracts and open over-the-counter swap contracts.

33

Short-Term Investment-Grade Fund

Centrally Cleared Interest Rate Swaps
				Fixed		Floating
				Interest		Interest
				Rate		Rate				Unrealized
	Future	Notional		Received		Received				Appreciation
	Effective	Amount		(Paid	)2	(Paid	)3	Value		(Depreciation	)
Termination Date	Date	($000	)	(%	)	(%	)	($000	)	($000	)
3/18/21	3/18/201	240,570		1.750		(0.000	)	627		399
3/7/22	3/6/201	63,324		(1.584	)	0.000		(279	)	(280	)
3/18/22	3/18/201	245,586		(1.750	)	0.000		(1,925	)	(1,214	)
3/20/23	3/18/201	331,628		(1.750	)	0.000		(4,308	)	(2,732	)
3/18/24	3/18/201	201,832		(1.750	)	0.000		(3,503	)	(2,335	)
3/18/25	3/18/201	291,954		(1.750	)	0.000		(6,117	)	(4,400	)
3/18/27	3/18/201	112,154		(2.000	)	0.000		(4,738	)	(2,365	)
1/23/30	N/A	11,767		(1.737	)	1.806		(351	)	(351	)
1/29/30	N/A	19,488		1.550		(1.775	)	155		154
1/29/30	N/A	17,530		1.550		(1.775	)	138		138
2/4/30	2/4/201	6,721		1.448		(0.000	)	(12	)	(12	)
								(20,313	)	(12,998	)

1	Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date.
2	Fixed interest payment received/paid semiannually.
3	Based on 3-month LIBOR as of the most recent payment date. Floating interest payment received/paid quarterly.

See accompanying Notes, which are an integral part of the Financial Statements.

34

Short-Term Investment-Grade Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000	)
Investment Income
Income
Interest1	1,800,419
Total Income	1,800,419
Expenses
The Vanguard Group—Note B
Investment Advisory Services	8,269
Management and Administrative—Investor Shares	13,865
Management and Administrative—Admiral Shares	33,000
Management and Administrative—Institutional Shares	5,307
Marketing and Distribution—Investor Shares	850
Marketing and Distribution—Admiral Shares	2,514
Marketing and Distribution—Institutional Shares	413
Custodian Fees	317
Auditing Fees	49
Shareholders’ Reports—Investor Shares	162
Shareholders’ Reports—Admiral Shares	433
Shareholders’ Reports—Institutional Shares	21
Trustees’ Fees and Expenses	32
Total Expenses	65,232
Net Investment Income	1,735,187
Realized Net Gain (Loss)
Investment Securities Sold1	288,392
Futures Contracts	(183,741	)
Options Purchased	672
Options Written	24,650
Swap Contracts	(87,506	)
Forward Currency Contracts	42,139
Foreign Currencies	(7,167	)
Realized Net Gain (Loss)	77,439
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	1,581,851
Futures Contracts	15,380
Options Purchased	(1,113	)
Options Written	208
Swap Contracts	(4,987	)

35

Short-Term Investment-Grade Fund

Statement of Operations (continued)
	Year Ended
	January 31, 2020
	($000)
Forward Currency Contracts	48,917
Foreign Currencies	161
Change in Unrealized Appreciation (Depreciation)	1,640,417
Net Increase (Decrease) in Net Assets Resulting from Operations	3,453,043

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $23,100,000, $434,000, and ($42,000), respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

36

Short-Term Investment-Grade Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020		2019
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	1,735,187		1,684,700
Realized Net Gain (Loss)	77,439		(577,386	)
Change in Unrealized Appreciation (Depreciation)	1,640,417		172,421
Net Increase (Decrease) in Net Assets Resulting from Operations	3,453,043		1,279,735
Distributions
Net Investment Income
Investor Shares	(225,153	)	(229,139	)
Admiral Shares	(1,227,964	)	(1,151,441	)
Institutional Shares	(305,277	)	(303,737	)
Realized Capital Gain
Investor Shares	—		—
Admiral Shares	—		—
Institutional Shares	—		—
Total Distributions	(1,758,394	)	(1,684,317	)
Capital Share Transactions
Investor Shares	108,286		(1,424,483	)
Admiral Shares	2,814,824		(1,672,327	)
Institutional Shares	438,767		(1,389,223	)
Net Increase (Decrease) from Capital Share Transactions	3,361,877		(4,486,033	)
Total Increase (Decrease)	5,056,526		(4,890,615	)
Net Assets
Beginning of Period	58,164,154		63,054,769
End of Period	63,220,680		58,164,154

See accompanying Notes, which are an integral part of the Financial Statements.

37

Short-Term Investment-Grade Fund

Financial Highlights

Investor Shares
For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.50	$10.57	$10.65	$10.60	$10.73
Investment Operations
Net Investment Income	.2971	.2831	.2241	.213	.204
Net Realized and Unrealized Gain (Loss) on Investments	.304	(.069)	(.087)	.053	(.123)
Total from Investment Operations	.601	.214	.137	.266	.081
Distributions
Dividends from Net Investment Income	(.301)	(.284)	(.215)	(.205)	(.209)
Distributions from Realized Capital Gains	—	—	(.002)	(.011)	(.002)
Total Distributions	(.301)	(.284)	(.217)	(.216)	(.211)
Net Asset Value, End of Period	$10.80	$10.50	$10.57	$10.65	$10.60
Total Return2	5.79%	2.07%	1.29%	2.52%	0.77%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$8,179	$7,846	$9,333	$9,558	$9,840
Ratio of Total Expenses to Average Net Assets	0.20%	0.20%	0.20%	0.20%	0.20%
Ratio of Net Investment Income to Average Net Assets	2.78%	2.71%	2.11%	2.00%	1.91%
Portfolio Turnover Rate	76%3	71%3	86%	68%	75%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 1% and 1% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

38

Short-Term Investment-Grade Fund

Financial Highlights

Admiral Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.50	$10.57	$10.65	$10.60	$10.73
Investment Operations
Net Investment Income	.3081	.2941	.2361	.224	.215
Net Realized and Unrealized Gain (Loss) on Investments	.304	(.070)	(.088)	.053	(.123)
Total from Investment Operations	.612	.224	.148	.277	.092
Distributions
Dividends from Net Investment Income	(.312)	(.294)	(.226)	(.216)	(.220)
Distributions from Realized Capital Gains	—	—	(.002)	(.011)	(.002)
Total Distributions	(.312)	(.294)	(.228)	(.227)	(.222)
Net Asset Value, End of Period	$10.80	$10.50	$10.57	$10.65	$10.60
Total Return2	5.90%	2.17%	1.39%	2.62%	0.87%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$44,211	$40,218	$42,156	$38,564	$33,857
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%	0.10%	0.10%	0.10%
Ratio of Net Investment Income to Average Net Assets	2.88%	2.81%	2.21%	2.10%	2.01%
Portfolio Turnover Rate	76%3	71%3	86%	68%	75%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 1% and 1% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

39

Short-Term Investment-Grade Fund

Financial Highlights

Institutional Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.50	$10.57	$10.65	$10.60	$10.73
Investment Operations
Net Investment Income	.3111	.2971	.2401	.227	.218
Net Realized and Unrealized Gain (Loss) on Investments	.304	(.070)	(.089)	.053	(.123)
Total from Investment Operations	.615	.227	.151	.280	.095
Distributions
Dividends from Net Investment Income	(.315)	(.297)	(.229)	(.219)	(.223)
Distributions from Realized Capital Gains	—	—	(.002)	(.011)	(.002)
Total Distributions	(.315)	(.297)	(.231)	(.230)	(.225)
Net Asset Value, End of Period	$10.80	$10.50	$10.57	$10.65	$10.60
Total Return	5.93%	2.20%	1.42%	2.65%	0.90%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$10,830	$10,100	$11,566	$9,949	$9,205
Ratio of Total Expenses to Average Net Assets	0.07%	0.07%	0.07%	0.07%	0.07%
Ratio of Net Investment Income to Average Net Assets	2.91%	2.84%	2.24%	2.13%	2.04%
Portfolio Turnover Rate	76%2	71%2	86%	68%	75%

1 Calculated based on average shares outstanding.

2 Includes 1% and 1% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

40

Short-Term Investment-Grade Fund

Notes to Financial Statements

Vanguard Short-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Futures Contracts: The fund uses 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

41

Short-Term Investment-Grade Fund

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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 8% and 4% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).

During the year ended January 31, 2020, the fund’s average investment in forward currency contracts represented 3% of net assets, based on the average of notional amounts at each quarter-end during the period.

42

Short-Term Investment-Grade Fund

5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell 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. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. 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 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 fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations 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 associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the

43

Short-Term Investment-Grade Fund

fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended January 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 2% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented 3% of net assets, based on the average of notional amounts at each quarter-end during the period.

6. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may

44

Short-Term Investment-Grade Fund

default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

7. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

8. 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 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 or Payables for Investment Securities Purchased in the Statement of Net Assets.

45

Short-Term Investment-Grade Fund

9. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

10. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

11. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

12. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

46

Short-Term Investment-Grade Fund

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $2,728,000, representing less than 0.01% of the fund’s net assets and 1.09% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	4,425,489	—
Asset-Backed/Commercial Mortgage-Backed Securities	—	14,693,709	34,982
Corporate Bonds	—	40,664,757	3
Sovereign Bonds	—	3,079,419	—
Taxable Municipal Bonds	—	32,408	—
Temporary Cash Investments	158,257	—	—
Options Purchased	166	3,132	—
Options Written	(1,401)	(5,953)	—
Futures Contracts—Assets1	174	—	—
Futures Contracts—Liabilities1	(5,114)	—	—
Forward Currency Contracts—Assets	—	33,058	—
Forward Currency Contracts—Liabilities	—	(1,144)	—
Swap Contracts—Assets	4561	2,184	—
Swap Contracts—Liabilities	(2,954)1	(11,407)	—
Total	149,584	62,915,652	34,985

1 Represents variation margin on the last day of the reporting period.

47

Short-Term Investment-Grade Fund

D.  At January 31, 2020, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

Interest Rate		Currency	Credit
	Contracts	Contracts	Contracts	Total
Statement of Net Assets Caption	($000)	($000)	($000)	($000)
Options Purchased	2,504	—	794	3,298
Variation Margin Receivable—Futures Contracts	174	—	—	174
Variation Margin Receivable—CC Swap Contracts	265	—	191	456
Unrealized Appreciation—Forward Currency Contracts	—	33,058	—	33,058
Unrealized Appreciation—OTC Swap Contracts	—	—	2,184	2,184
Total Assets	2,943	33,058	3,169	39,170
Options Written	(5,953)	—	(1,401)	(7,354)
Variation Margin Payable—Futures Contracts	(5,114)	—	—	(5,114)
Variation Margin Payable—CC Swap Contracts	(2,737)	—	(217)	(2,954)
Unrealized Depreciation—Forward Currency Contracts	—	(1,144)	—	(1,144)
Unrealized Depreciation—OTC Swap Contracts	—	—	(11,407)	(11,407)
Total Liabilities	(13,804)	(1,144)	(13,025)	(27,973)

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2020, were:

	Interest Rate	Currency	Credit
	Contracts	Contracts	Contracts	Total
Realized Net Gain (Loss) on Derivatives	($000)	($000)	($000)	($000)
Futures Contracts	(183,741)	—	—	(183,741)
Options Purchased	2,640	—	(1,968)	672
Options Written	15,852	—	8,798	24,650
Swap Contracts	(71,375)	—	(16,131)	(87,506)
Forward Currency Contracts	—	42,139	—	42,139
Realized Net Gain (Loss) on Derivatives	(236,624)	42,139	(9,301)	(203,786)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts	15,380	—	—	15,380
Options Purchased	(1,146)	—	33	(1,113)
Options Written	(765)	—	973	208
Swap Contracts	(2,467)	—	(2,520)	(4,987)
Forward Currency Contracts	—	48,917	—	48,917
Change in Unrealized Appreciation (Depreciation) on Derivatives	11,002	48,917	(1,514)	58,405

48

Short-Term Investment-Grade Fund

E.       Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and swap agreements were reclassified between the individual components of total distributable earnings (loss).

	Amount
	($000	)
Paid-in Capital	—
Total Distributable Earnings (Loss)	—

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the realization of unrealized gains or losses on certain futures contracts, forward currency contracts and options, payables for distributions; and the tax recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	36,586
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(647,892	)
Net Unrealized Gains (Losses)	1,334,563

^* The fund used capital loss carryforwards of $109,930,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	61,736,452
Gross Unrealized Appreciation	1,467,481
Gross Unrealized Depreciation	(133,134	)
Net Unrealized Appreciation (Depreciation)	1,334,347

49

Short-Term Investment-Grade Fund

F.       During the year ended January 31, 2020, the fund purchased $36,595,813,000 of investment securities and sold $29,484,775,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $13,935,265,000 and $14,565,399,000, respectively.

G.       Capital share transactions for each class of shares were:

		Year Ended January 31,
		2020		2019
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	1,636,784	153,429	1,325,422	126,687
Issued in Lieu of Cash Distributions	209,166	19,568	206,614	19,752
Redeemed	(1,737,664)	(162,876)	(2,956,519)	(282,593)
Net Increase (Decrease)—Investor Shares	108,286	10,121	(1,424,483)	(136,154)
Admiral Shares
Issued	11,770,080	1,102,886	11,332,613	1,083,427
Issued in Lieu of Cash Distributions	981,607	91,821	920,232	87,968
Redeemed	(9,936,863)	(931,111)	(13,925,172)	(1,331,637)
Net Increase (Decrease)—Admiral Shares	2,814,824	263,596	(1,672,327)	(160,242)
Institutional Shares
Issued	2,677,282	250,889	3,255,614	311,004
Issued in Lieu of Cash Distributions	282,087	26,388	271,951	25,995
Redeemed	(2,520,602)	(236,348)	(4,916,788)	(469,832)
Net Increase (Decrease)—Institutional Shares	438,767	40,929	(1,389,223)	(132,833)

H.       Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

50

Intermediate-Term Investment-Grade Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Intermediate-Term Investment-Grade Fund Investor Shares	10.76%	3.68%	4.97%	$16,244
	Bloomberg Barclays U.S. 5–10 Year Credit Bond Index	13.55	4.48	5.82	17,606
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	14,501
					Final Value
		One	Five	Ten	of a $50,000
		Year	Years	Years	Investment
Intermediate-Term Investment-Grade Fund Admiral Shares		10.87%	3.79%	5.08%	$82,050
Bloomberg Barclays U.S. 5–10 Year Credit Bond Index		13.55	4.48	5.82	88,029
Bloomberg Barclays U.S. Aggregate Bond Index		9.64	3.01	3.79	72,507

See Financial Highlights for dividend and capital gains information.

51

Intermediate-Term Investment-Grade Fund

Sector Diversification

As of January 31, 2020

Asset-Backed	6.4%
Commercial Mortgage-Backed	10.0
Finance	28.4
Foreign	5.4
Government Mortgage-Backed	8.0
Industrial	32.2
Treasury/Agency	5.3
Utilities	4.1
Other	0.2

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

52

Intermediate-Term Investment-Grade Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of January 31, 2020

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
U.S.	Government and Agency Obligations
U.S.	Government Securities
1	United States Treasury Note/Bond	1.500%	11/30/24	350,000	353,006	1.1%
	United States Treasury Note/Bond	1.500%	10/31/24	250,000	252,030	0.8%
	United States Treasury Note/Bond	2.875%	4/30/25	200,000	215,438	0.6%
1	United States Treasury Note/Bond	1.875%	6/30/26	200,000	205,750	0.6%
	United States Treasury Note/Bond	1.750%	11/15/29	200,000	204,344	0.6%
	United States Treasury Note/Bond	1.625%	8/15/29	175,000	176,858	0.5%
2,3,4	United States Treasury Note/Bond	2.875%	5/15/28	140,000	155,357	0.5%
	United States Treasury Note/Bond	2.875%	5/31/25	135,000	145,568	0.4%
	United States Treasury Note/Bond	1.625%	10/31/26	50,000	50,664	0.2%
					1,759,015	5.3%
Agency Notes †					6,871	0.0%
Conventional Mortgage-Backed Securities
5,6	Fannie Mae Pool	3.000%	12/1/49	232,119	235,698	0.7%
5,6	Fannie Mae Pool	3.000%–5.000%	11/1/42–3/1/50	193,403	208,066	0.6%
	Conventional Mortgage-Backed Securities—Other †				57,073	0.2%
					500,837	1.5%
	Nonconventional Mortgage-Backed Securities
5,6	Fannie Mae REMICS	1.750%	3/25/46	82,530	81,706	0.2%
5,6	Fannie Mae REMICS	2.500%	9/25/49	25,600	26,304	0.1%
	Nonconventional Mortgage-Backed Securities—Other †				161,360	0.5%
					269,370	0.8%
Total U.S. Government and Agency Obligations (Cost $2,483,549)					2,536,093	7.6%

53

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
Asset-Backed/Commercial Mortgage-Backed Securities
5,7	ARL Second LLC 2014-1A	2.920%	6/15/44	3,855	3,877	0.0%
5	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%–4.506%	9/15/48	7,626	8,143	0.0%
5	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50	1,540	1,690	0.0%
5,7	Chrysler Capital Auto Receivables Trust 2016-AA	4.220%	2/15/23	8,530	8,562	0.0%
5,7	Citigroup Commercial Mortgage Trust 2012-GC8	3.683%	9/10/45	2,017	2,083	0.0%
5	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46	6,015	6,220	0.0%
5	Citigroup Commercial Mortgage Trust 2013-GC15	3.942%–4.371%	9/10/46	2,564	2,740	0.0%
5	Citigroup Commercial Mortgage Trust 2014-GC19	3.753%–4.023%	3/10/47	16,764	18,043	0.1%
5	Citigroup Commercial Mortgage Trust 2014-GC21	3.575%–3.855%	5/10/47	23,288	24,798	0.1%
5	Citigroup Commercial Mortgage Trust 2014-GC23	3.356%–4.586%	7/10/47	17,385	18,522	0.1%
5	Citigroup Commercial Mortgage Trust 2014-GC25	3.372%–4.676%	10/10/47	23,444	25,042	0.1%
5	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48	6,418	6,769	0.0%
5	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48	38,770	42,230	0.1%
5	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%–4.725%	9/10/58	25,499	27,851	0.1%
5	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49	9,545	10,210	0.0%
5	Citigroup Commercial Mortgage Trust 2016-C2	2.575%	8/10/49	7,470	7,683	0.0%
5	Citigroup Commercial Mortgage Trust 2016-GC37	3.050%	4/10/49	22,200	23,413	0.1%
5	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49	19,310	20,311	0.1%
5	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50	6,425	7,016	0.0%
5	Citigroup Commercial Mortgage Trust 2017-P8	3.465%–4.411%	9/15/50	19,670	21,350	0.1%
5	Citigroup Commercial Mortgage Trust 2018-C5	4.228%	6/10/51	900	1,035	0.0%
5	Citigroup Commercial Mortgage Trust 2018-C6	4.343%–4.412%	11/10/51	18,880	21,761	0.1%
5	Citigroup Commercial Mortgage Trust 2019-C7	2.860%–3.102%	12/15/72	51,268	54,484	0.2%
5,7	Drive Auto Receivables Trust 2016-BA	4.530%	8/15/23	7,357	7,429	0.0%
5,7	Drive Auto Receivables Trust 2016-C	4.180%	3/15/24	9,441	9,553	0.0%
5	Drive Auto Receivables Trust 2017-1	3.840%	3/15/23	1,581	1,598	0.0%
5	Drive Auto Receivables Trust 2018-2	3.630%–4.140%	8/15/24	18,913	19,208	0.1%

54

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
5	Drive Auto Receivables Trust 2018-3	3.370%–4.300%	9/15/22–9/16/24	25,128	25,512	0.1%
5	Drive Auto Receivables Trust 2018-5	3.680%–4.300%	7/15/23–4/15/26	33,460	34,305	0.1%
5	Drive Auto Receivables Trust 2019-2	3.690%	8/17/26	5,630	5,821	0.0%
5,6	Fannie Mae-Aces 2011-84A	5.250%	9/25/41	14,376	16,603	0.1%
5,6	Fannie Mae-Aces 2013-19A	3.500%	3/25/43	20,189	22,256	0.1%
5,6	Fannie Mae-Aces 2016-53KA	1.850%	8/25/46	37,910	37,680	0.1%
5,6	Fannie Mae-Aces 2018-49E	3.500%	7/25/48	2,108	2,217	0.0%
5,6	Fannie Mae-Aces 2018-73E	4.000%	10/25/48	7,779	8,453	0.0%
5,6	FHLMC Multifamily Structured Pass Through Certificates 4945F	2.500%	9/25/49	77,652	79,471	0.2%
5,7	GS Mortgage Securities Corporation Trust 2012-ALOHA	3.551%	4/10/34	5,430	5,634	0.0%
5,7	GS Mortgage Securities Trust 2010-C2	5.352%	12/10/43	1,370	1,400	0.0%
5,7	GS Mortgage Securities Trust 2011-GC3	5.824%	3/10/44	2,650	2,728	0.0%
5,7	GS Mortgage Securities Trust 2012-BWTR	2.954%	11/5/34	7,625	7,811	0.0%
5,7	GS Mortgage Securities Trust 2012-GC6	4.948%	1/10/45	1,025	1,073	0.0%
5	GS Mortgage Securities Trust 2012-GCJ7	5.875%	5/10/45	2,140	2,250	0.0%
5,7	GS Mortgage Securities Trust 2013-GC13	4.186%–4.219%	7/10/46	1,395	1,464	0.0%
5	GS Mortgage Securities Trust 2013-GCJ12	3.135%–3.777%	6/10/46	5,678	5,890	0.0%
5	GS Mortgage Securities Trust 2013-GCJ14	3.817%–4.243%	8/10/46	6,677	6,995	0.0%
5	GS Mortgage Securities Trust 2014-GC20	3.998%–4.258%	4/10/47	11,859	12,767	0.0%
5	GS Mortgage Securities Trust 2014-GC24	3.931%–4.665%	9/10/47	27,220	28,878	0.1%
5	GS Mortgage Securities Trust 2014-GC26	3.364%–3.629%	11/10/47	25,550	27,304	0.1%
5	GS Mortgage Securities Trust 2015-GC28	3.136%	2/10/48	9,286	9,739	0.0%
5	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	2,398	2,565	0.0%
5	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	4,615	5,035	0.0%
5	GS Mortgage Securities Trust 2015-GC34	3.244%–4.807%	10/10/48	24,930	26,703	0.1%
5	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	2,220	2,325	0.0%
5	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	10,220	11,079	0.0%
5	GS Mortgage Securities Trust 2018-GS10	4.155%	7/10/51	5,335	6,098	0.0%
5	GS Mortgage Securities Trust 2019-GC38	3.968%	2/10/52	3,080	3,506	0.0%

55

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
5	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	6,528	7,033	0.0%
5	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52	13,130	13,981	0.1%
5	GS Mortgage Securities Trust 2020-GC45	2.843%–2.911%	2/13/53	48,696	51,455	0.1%
5,7	Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV	3.277%	10/15/30	11,190	11,358	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%–3.792%	8/15/45	24,502	25,388	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45	5,277	5,393	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.217%	7/15/46	3,074	3,215	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	3.960%–4.298%	8/15/46	14,888	15,778	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	3.824%–4.259%	10/15/46	2,639	2,817	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46	400	431	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%–3.214%	2/15/46	4,470	4,590	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	12,980	13,463	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%–4.384%	2/15/47	3,900	4,211	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	3.773%–5.073%	4/15/47	32,837	35,393	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%–4.929%	6/15/47	19,323	20,728	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	3.741%–4.011%	8/15/47	30,076	32,256	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47	5,430	5,884	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%–3.526%	12/15/47	10,713	11,203	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%–3.249%	2/15/48	19,092	19,941	0.1%

56

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.451%–3.719%	7/15/50	9,400	10,082	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.479%–3.732%	5/15/48	38,730	42,036	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	8,263	8,963	0.0%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.058%–4.907%	5/15/49	25,849	27,616	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49	30,527	33,609	0.1%
5	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	6,550	7,176	0.0%
5	Morgan Stanley Capital I Trust 2012-C4	3.244%–3.773%	3/15/45	4,700	4,820	0.0%
5,7	Morgan Stanley Capital I Trust 2012-STAR	3.201%	8/5/34	6,407	6,578	0.0%
5,7	Morgan Stanley Capital I Trust 2014-150E	3.912%	9/9/32	6,370	6,845	0.0%
5,7	Morgan Stanley Capital I Trust 2014-CPT	3.350%	7/13/29	2,795	2,846	0.0%
5,7	Morgan Stanley Capital I Trust 2015-420	3.727%	10/12/50	4,398	4,668	0.0%
5	Morgan Stanley Capital I Trust 2015-UBS8	3.809%–4.738%	12/15/48	54,215	59,212	0.2%
5	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	5,260	5,590	0.0%
5	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	32,178	33,513	0.1%
5	Morgan Stanley Capital I Trust 2016-UBS9	3.594%	3/15/49	10,920	11,814	0.0%
5	Morgan Stanley Capital I Trust 2017-HR2	3.509%–3.587%	12/15/50	6,306	6,865	0.0%
5	Morgan Stanley Capital I Trust 2018-H4	4.247%	12/15/51	6,730	7,529	0.0%
5	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/52	23,310	25,064	0.1%
5	Morgan Stanley Captial I Trust 2016-BNK2	2.791%	11/15/49	8,300	8,594	0.0%
5	Santander Drive Auto Receivables Trust 2016-2	3.390%	4/15/22	1,440	1,450	0.0%
5	Santander Drive Auto Receivables Trust 2017-3	2.760%	12/15/22	3,773	3,785	0.0%
5	Santander Drive Auto Receivables Trust 2018-1	2.960%–3.320%	3/15/24	13,520	13,624	0.1%
5	Santander Drive Auto Receivables Trust 2018-3	4.070%	8/15/24	21,950	22,544	0.1%
5	Santander Drive Auto Receivables Trust 2018-4	3.980%	12/15/25	11,000	11,351	0.0%

57

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
5	Santander Drive Auto Receivables Trust 2018-5	4.190%	12/16/24	17,580	18,130	0.1%
5	Wells Fargo Commercial Mortgage Trust 2012- LC5	2.918%–3.539%	10/15/45	12,847	13,257	0.1%
5	Wells Fargo Commercial Mortgage Trust 2013-LC12	3.928%–4.218%	7/15/46	8,696	9,304	0.0%
5	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.548%–4.458%	8/15/50	30,410	32,437	0.1%
5	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	13,210	14,109	0.1%
5	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	30,685	32,447	0.1%
5	Wells Fargo Commercial Mortgage Trust 2015-C27	3.451%	2/15/48	15,822	16,949	0.1%
5	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%–4.363%	6/15/48	19,003	20,542	0.1%
5	Wells Fargo Commercial Mortgage Trust 2015-C30	3.411%–4.646%	9/15/58	16,600	17,852	0.1%
5	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%–4.685%	9/15/58	18,104	19,740	0.1%
5	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	23,664	25,762	0.1%
5	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	12,670	13,114	0.0%
5	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	9,166	9,947	0.0%
5	Wells Fargo Commercial Mortgage Trust 2016-C37	3.525%–3.794%	12/15/49	21,880	24,148	0.1%
5	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	6,905	7,527	0.0%
5	Wells Fargo Commercial Mortgage Trust 2017-C39	3.157%–3.418%	9/15/50	22,830	24,768	0.1%
5	Wells Fargo Commercial Mortgage Trust 2017- C40	3.581%	10/15/50	15,380	16,895	0.1%
5	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	12,360	13,481	0.1%

58

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
5	Wells Fargo Commercial Mortgage Trust 2017-C42	3.589%	12/15/50	6,745	7,433	0.0%
5	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60	2,712	2,980	0.0%
5	Wells Fargo Commercial Mortgage Trust 2018-C43	4.514%	3/15/51	12,380	13,195	0.0%
5	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	4,315	4,927	0.0%
5	Wells Fargo Commercial Mortgage Trust 2018-C47	4.365%–4.442%	9/15/61	13,290	15,315	0.1%
5	Wells Fargo Commercial Mortgage Trust 2018-C48	4.245%	1/15/52	11,180	12,589	0.0%
5	Wells Fargo Commercial Mortgage Trust 2019-C49	3.933%–4.023%	3/15/52	6,050	6,810	0.0%
5	Wells Fargo Commercial Mortgage Trust 2019-C50	3.635%	5/15/52	3,710	4,069	0.0%
5	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	7,970	8,387	0.0%
5	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	7,390	7,944	0.0%
§,7	Asset-Backed/Commercial Mortgage-Backed Securities—Other †				4,138,615	12.3%
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $5,814,784)					6,008,548	17.9%
Corporate Bonds
Finance
	Banking
	Banco Santander SA	2.706%–4.379%	6/27/24–6/27/29	138,315	147,016	0.4%
5	Bank of America Corp.	2.884%–4.271%	3/15/25–10/22/30	412,130	444,444	1.3%
	Bank of Montreal	3.300%	2/5/24	76,000	80,120	0.2%
	Credit Suisse AG	3.625%	9/9/24	67,150	71,959	0.2%
	Goldman Sachs Group Inc.	3.750%	5/22/25	86,497	93,186	0.3%
5	Goldman Sachs Group Inc.	3.272%–4.223%	7/8/24–5/1/29	187,418	201,608	0.6%
8,9	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550%	2.477%	5/2/24	30,700	20,841	0.1%
5	HSBC Holdings plc	4.041%	3/13/28	75,599	82,643	0.3%
5	HSBC Holdings plc	2.633%–4.583%	5/18/24–5/22/30	238,458	258,789	0.8%
8,9	HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%	2.002%	2/16/24	28,200	18,855	0.1%
5	JPMorgan Chase & Co.	1.090%–4.005%	3/1/24–7/24/38	440,145	470,948	1.4%

59

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value·	of Net
		Coupon	Date	($000)	($000)	Assets
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25	91,027	98,321	0.3%
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29	72,000	76,251	0.2%
	Morgan Stanley	3.875%	1/27/26	85,427	93,196	0.3%
	Morgan Stanley	3.625%	1/20/27	69,180	75,170	0.2%
5	Morgan Stanley	2.699%–4.000%	4/29/25–1/22/31	158,701	168,148	0.5%
	Royal Bank of Canada	2.250%	11/1/24	90,679	92,263	0.3%
	Santander Holdings USA Inc.	3.500%–4.400%	6/7/24–7/13/27	41,222	43,314	0.1%
7	Santander UK Group Holdings plc	4.750%	9/15/25	17,061	18,599	0.1%
	Santander UK plc	2.875%–4.000%	3/13/24–6/18/24	46,110	48,896	0.2%
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29	114,000	119,642	0.4%
	Sumitomo Mitsui Financial Group Inc.	2.632%–4.306%	7/16/24–1/15/30	230,912	242,370	0.7%
	Truist Bank	3.200%	4/1/24	102,525	107,771	0.3%
	Wells Fargo & Co.	3.000%	4/22/26	77,841	81,236	0.2%
5	Wells Fargo & Co.	2.406%–4.150%	9/9/24–10/30/30	283,756	298,413	0.9%
10	Wells Fargo Bank NA	5.250%	8/1/23	6,500	9,709	0.0%
§,7	Banking—Other †				3,315,021	9.8%
7	Brokerage †				507,812	1.5%
7	Finance Companies †				68,471	0.2%
7	Insurance †				876,619	2.6%
	Other Finance †				8,929	0.0%
7	Real Estate Investment Trusts †				1,132,010	3.4%
					9,372,570	27.9%
Industrial
7	Basic Industry †				322,170	0.9%
	Capital Goods
	Lockheed Martin Corp.	3.550%	1/15/26	65,444	71,447	0.2%
	United Technologies Corp.	3.125%	5/4/27	75,965	81,485	0.3%
7	Capital Goods—Other †				599,534	1.7%
	Communication
	Comcast Corp.	3.375%	8/15/25	84,848	91,144	0.3%
	Comcast Corp.	2.350%–4.150%	2/15/25–2/1/30	232,074	249,202	0.7%
7	Sky Ltd.	3.750%	9/16/24	20,000	21,500	0.1%
7	Communication—Other †				810,201	2.4%
	Consumer Cyclical
	Visa Inc.	3.150%	12/14/25	120,737	129,732	0.4%
7	Consumer Cyclical—Other †				1,072,758	3.2%
	Consumer Noncyclical
7	AbbVie Inc.	2.150%	11/19/21	75,000	75,427	0.2%
7,8	AbbVie Inc.	2.950%	11/21/26	70,225	72,456	0.2%
7	Bristol-Myers Squibb Co.	2.900%	7/26/24	85,000	88,725	0.3%
7	Bristol-Myers Squibb Co.	3.200%	6/15/26	81,124	86,649	0.2%
	Gilead Sciences Inc.	3.500%	2/1/25	81,507	87,335	0.3%
	Medtronic Inc.	3.500%	3/15/25	69,286	75,038	0.2%
	Reynolds American Inc.	4.450%	6/12/25	72,408	79,219	0.2%
7	Consumer Noncyclical—Other †				2,223,386	6.7%

60

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
	Energy
	BP Capital Markets America Inc.	3.017%–4.234%	4/14/24–11/6/28	210,647	226,443	0.7%
	BP Capital Markets plc	3.279%–3.814%	2/10/24–9/19/27	106,158	113,704	0.3%
	ConocoPhillips Co.	4.950%	3/15/26	67,877	79,270	0.2%
	Exxon Mobil Corp.	2.275%	8/16/26	70,000	71,551	0.2%
	Shell International Finance BV	3.250%	5/11/25	85,903	91,884	0.3%
7	Energy—Other †				1,368,425	4.1%
	Other Industrial †				11,373	0.0%
	Technology
	Apple Inc.	2.750%	1/13/25	68,358	71,572	0.2%
	Apple Inc.	3.250%	2/23/26	88,151	94,985	0.3%
	Apple Inc.	2.450%	8/4/26	69,739	71,997	0.2%
	Apple Inc.	0.500%–3.450%	2/9/24–11/15/31	309,085	327,486	1.0%
	Fiserv Inc.	3.200%	7/1/26	92,520	97,721	0.3%
	International Business Machines Corp.	3.300%	5/15/26	108,665	116,966	0.4%
	International Business
	Machines Corp.	3.500%	5/15/29	73,015	80,222	0.2%
	Microsoft Corp.	2.400%	8/8/26	97,672	101,235	0.3%
	QUALCOMM Inc.	3.250%	5/20/27	85,553	91,827	0.3%
7	Technology—Other †				923,702	2.7%
7	Transportation †				389,997	1.2%
					10,567,768	31.4%
Utilities
7	Electric †				1,239,302	3.7%
7	Natural Gas †				74,097	0.2%
	Other Utility †				22,802	0.1%
					1,336,201	4.0%
Total Corporate Bonds (Cost $20,209,861)					21,276,539	63.3%
Sovereign Bonds
7	Emirate of Abu Dhabi	2.125%	9/30/24	91,000	91,543	0.3%
	Kingdom of Saudi Arabia	2.375%	10/26/21	131,077	132,166	0.4%
	Republic of Indonesia	3.750%	4/25/22	88,508	91,555	0.3%
	State of Qatar	3.375%	3/14/24	75,402	79,549	0.2%
7	Sovereign Bonds—Other †				1,662,841	4.9%
Total Sovereign Bonds (Cost $1,980,351)					2,057,654	6.1%
Taxable Municipal Bonds (Cost $59,185) †					62,345	0.2%
Common Stocks (Cost $48,288) †					50,142	0.2%
				Shares
Temporary Cash Investment
Money Market Fund
11	Vanguard Market Liquidity Fund (Cost $1,127,549)	1.730%		11,273,586	1,127,584	3.3%

61

Intermediate-Term Investment-Grade Fund

					Notional	Market	Percentage
		Expiration		Exercise	Amount	Value•	of Net
		Date	Contracts	Price	($000)	($000)	Assets
Options Purchased
Exchange-Traded Options (0.0%)
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	797	$130.00	103,610	87	0.0%
					Notional
					Amount on
					Underlying
			Expiration	Exercise	Swap
		Counterparty	Date	Rate	($000)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
	10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually	BNPSW	9/21/20	1.130%	47,725	427	0.0%
	Put Swaptions
	5-Year CDX-NA-HY-33-V2, Credit Protection Sold, Receives 5.000% Quarterly	BNPSW	3/18/20	1.060%	31,980	124	0.0%
	5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.525%	63,590	54	0.0%
	5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	3/18/20	0.550%	63,960	83	0.0%
	5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.600%	95,380	31	0.0%
	5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.550%	95,380	124	0.0%
	5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	BOANA	3/18/20	0.475%	200,000	532	0.0%
	5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.475%	470,000	1,251	0.0%
						2,626	0.0%
Total Options Purchased (Cost $1,939)						2,713	0.0%
Total Investments (Cost $31,725,506)						33,121,618	98.6%

62

Intermediate-Term Investment-Grade Fund

				Face	Market	Percentage
			Maturity	Amount	Value•	of Net
		Coupon	Date	($000)	($000)	Assets
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.7%)
5,6,12	UMBS Pool	3.000%	2/1/49–2/1/50	(238,350)	(243,751)	-0.7%
5,6,12	UMBS Pool	4.000%	1/1/50–2/1/50	(3,600)	(3,760)	-0.0%
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $244,695)					(247,511)	-0.7%
					Amount
					($000)
Other Assets and Liabilities
Other Assets					2,669,375	7.9%
Other Liabilities					(1,938,668)	(5.8%)
					730,707	2.1%
Net Assets					33,604,814	100%
						Amount
						($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers						31,991,321
Affiliated Issuers						1,127,584
Options Purchased						2,713
Total Investments in Securities						33,121,618
Investment in Vanguard						1,433
Receivables for Investment Securities Sold						2,375,988
Receivables for Accrued Income						221,672
Receivables for Capital Shares Issued						30,344
Variation Margin Receivable—Futures Contracts						9,344
Variation Margin Receivable—CC Swap Contracts						220
Unrealized Appreciation—Forwards Contracts						9,713
Unrealized Appreciation—OTC Swap Contracts						2,502
Other Assets						18,159
Total Assets						35,790,993
Liabilities
Payables for Investment Securities Purchased						(1,879,222)
Payables for Capital Shares Redeemed						(24,808)
Payables for Distributions						(11,198)
Payables to Vanguard						(9,937)
Liability for Sale Commitments						(247,511)
Options Written, at Value						(2,732)
Variation Margin Payable—Futures Contracts						(3,656)
Variation Margin Payable—CC Swap Contracts						(1,367)
Unrealized Depreciation—Forwards Contracts						(368)
Unrealized Depreciation—OTC Swap Contracts						(5,323)
Other Liabilities						(57)
Total Liabilities						(2,186,179)
Net Assets						33,604,814

63

Intermediate-Term Investment-Grade Fund

At January 31, 2020, net assets consisted of:

	Amount
	($000)
Paid-in Capital	32,007,496
Total Distributable Earnings (Loss)	1,597,318
Net Assets	33,604,814
Investor Shares—Net Assets
Applicable to 240,295,743 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,458,630
Net Asset Value Per Share—Investor Shares	$10.23
Admiral Shares—Net Assets
Applicable to 3,044,094,306 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	31,146,184
Net Asset Value Per Share—Admiral Shares	$10.23

•	See Note A in Notes to Financial Statements.
§	Security value determined using significant unobservable inputs.
†	Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1	Securities with a value of $3,176,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2	Securities with a value of $9,543,000 have been segregated as initial margin for open centrally cleared swap contracts.
3	Securities with a value of $30,311,000 have been segregated as initial margin for open futures contracts.
4	Securities with a value of $1,548,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
5	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.
6	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.
7	Certain of the fund’s securities are 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 January 31, 2020, the aggregate value of these securities was $4,314,719,000, representing 12.8% of net assets.
8	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
9	Face amount denominated in Australian dollars.
10	Face amount denominated in British pounds.
11	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12	Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

BNPSW—BNP Paribas.

BOANA—Bank of America, N.A.

CC—Centrally Cleared.

GSI—Goldman Sachs International.

JPMC—JP Morgan Chase Bank.

MSCS—Morgan Stanley Capital Services LLC.

OTC—Over-the-Counter.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

64

Intermediate-Term Investment-Grade Fund

Derivative Financial Instruments Outstanding as of Period End
Options Written
				Notional	Market
	Expiration		Exercise	Amount	Value
	Date	Contracts	Price	($000)	($000)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	797	$133.50	106,400	(125)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	429	130.75	56,092	(503)
					(628)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	429	$130.75	56,092	(114)
					(742)
				Notional
				Amount on
				Underlying	Market
		Expiration	Exercise	Swap	Value
	Counterparty	Date	Rate	($000)	($000)
Over-the-Counter Swaptions
Call Swaptions
10-Year Interest Rate Swap, Receives 3M USD LIBOR Quarterly, Pays 1.836% Semiannually	GSCM	4/9/20	1.836%	32,117	(1,195)
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.525%	95,380	(172)
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.500%	95,380	(134)
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.475%	63,590	(29)
					(1,530)

65

Intermediate-Term Investment-Grade Fund

Options Written (continued)
				Notional
				Amount on
				Underlying	Market
		Expiration	Exercise	Swap	Value
	Counterparty	Date	Rate	($000)	($000)
Put Swaptions
10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.836% Semiannually	GSCM	4/9/20	1.836%	32,117	(66)
5-Year CDX-NA-IG-33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	GSI	2/19/20	0.525%	95,380	(81)
5-Year CDX-NA-IG-33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	3/18/20	0.500%	95,380	(194)
5-Year CDX-NA-IG-33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	2/19/20	0.475%	63,590	(119)
					(460)
					(1,990)
Total Options Written (Premiums Received $2,286)					(2,732)

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

MSCS—Morgan Stanley Capital Services LLC.

66

Intermediate-Term Investment-Grade Fund

Futures Contracts
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Long Futures Contracts
10-Year U.S. Treasury Note	March 2020	15,037	1,979,715	31,707
5-Year U.S. Treasury Note	March 2020	14,561	1,751,984	18,541
				50,248
Short Futures Contracts
2-Year U.S. Treasury Note	March 2020	(3,752)	(811,780)	(1,890)
Ultra Long U.S. Treasury Bond	March 2020	(945)	(183,035)	(5,100)
Euro-Bund	March 2020	(674)	(130,843)	(2,789)
30-Year U.S. Treasury Bond	March 2020	(520)	(85,036)	(2,403)
Ultra 10-Year U.S. Treasury Note	March 2020	(540)	(78,654)	(1,137)
AUD 3-Year Treasury Bond	March 2020	(652)	(50,621)	(93)
Euro-Buxl	March 2020	(208)	(48,651)	(1,973)
Long Gilt	March 2020	(160)	(28,510)	(288)
Euro-Bobl	March 2020	(156)	(23,350)	(183)
Euro-Schatz	March 2020	(187)	(23,246)	(31)
AUD 10-Year Treasury Bond	March 2020	(169)	(16,730)	(246)
Euro-BTP	March 2020	(48)	(7,880)	(327)
				(16,460)
				33,788

67

Intermediate-Term Investment-Grade Fund

Forward Currency Contracts
	Contract					Unrealized	Unrealized
	Settlement		Contract Amount (000)			Appreciation	(Depreciation)
Counterparty	Date		Receive		Deliver	($000)	($000)
Goldman Sachs Bank USA	3/18/20	EUR	24,887	USD	27,770	—	(88)
BNP Paribas	3/18/20	EUR	24,235	USD	26,965	—	(9)
BNP Paribas	3/18/20	EUR	8,764	USD	9,702	46	—
BNP Paribas	3/18/20	GBP	2,310	USD	3,024	30	—
Toronto-Dominion Bank	3/18/20	GBP	2,068	USD	2,693	42	—
Bank of America, N.A.	3/18/20	GBP	1,342	USD	1,764	10	—
HSBC Bank USA, N.A.	3/18/20	USD	243,626	EUR	216,359	2,971	—
Toronto-Dominion Bank	3/18/20	USD	155,756	AUD	225,569	4,631	—
Royal Bank of Canada	3/18/20	USD	45,293	GBP	33,890	484	—
Bank of America, N.A.	3/18/20	USD	37,203	ZAR	541,276	1,364	—
Bank of America, N.A.	3/18/20	USD	32,278	EUR	29,188	—	(187)
Deutsche Bank AG	3/18/20	USD	21,102	EUR	18,968	5	—
State Street Bank & Trust Co.	3/18/20	USD	9,301	EUR	8,326	40	—
Morgan Stanley Capital Services LLC	3/18/20	USD	9,148	GBP	6,974	—	(73)
Bank of America, N.A.	3/18/20	USD	5,550	EUR	4,967	24	—
Bank of America, N.A.	3/18/20	USD	2,421	AUD	3,529	57	—
HSBC Bank USA, N.A.	3/18/20	USD	1,293	EUR	1,171	—	(9)
Morgan Stanley Capital Services LLC	3/18/20	USD	754	EUR	670	9	—
Barclays Bank plc	3/18/20	USD	191	EUR	173	—	(1)
HSBC Bank USA, N.A.	3/18/20	USD	76	JPY	8,326	—	(1)
						9,713	(368)

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

USD—U.S. dollar.

ZAR—South African rand.

68

Intermediate-Term Investment-Grade Fund

Centrally Cleared Credit Default Swaps
					Periodic
					Premium						Unrealized
					Received						Appreciation
	Termination	Notional Amount			(Paid		)1	Value			(Depreciation		)
Reference Entity	Date		(000	)		(%	)		($000	)		($000	)
Credit Protection Sold
CDX-NA-IG-S33-V1	12/20/24	USD	125,736			1.000			2,938			(134	)
CDX-NA-IG-S33-V1	12/20/29	USD	33,275			1.000			30			336
									2,968			202
Credit Protection Purchased
CDX-NA-HY-S33-V2	12/20/24	USD	15,830			(5.000	)		(1,315	)		180
CDX-NA-IG-S33-V1	12/20/22	USD	95,065			(1.000	)		(2,018	)		(54	)
iTraxx Europe-S32-V1	12/20/24	EUR	63,375			(1.000	)		(1,861	)		(117	)
									(5,194	)		9
									(2,226	)		211

1 Periodic premium received/paid quarterly.

EUR—euro.

USD—U.S. dollar.

Over-the-Counter Credit Default Swaps
												Remaining
						Periodic						Up-Front
						Premium						Premium
			Notional			Received						Received			Unrealized			Unrealized
Reference	Termination		Amount			(Paid		)1	Value			(Paid		)	Appreciation			(Depreciation		)
Entity	Date	Counterparty		($000	)		(%	)		($000	)		($000	)		($000	)		($000	)
Credit Protection Sold/Moody’s Rating
America Movil /A3	12/20/22	BARC		15,000			1.000			135			84			219			—
Berkshire Hathaway Inc./Aa2	6/20/22	BARC		15,760			1.000			302			(128	)		174			—
Berkshire Hathaway Inc./Aa2	12/20/22	BARC		7,605			1.000			171			(75	)		96			—
Berkshire Hathaway Inc./Aa2	12/20/24	BARC		19,400			1.000			607			(561	)		46			—
Berkshire Hathaway Inc./Aa2	12/20/24	JPMC		9,400			1.000			294			(263	)		31			—
Metlife Inc./A3	12/20/20	GSCM		5,625			1.000			44			—			44			—
Metlife Inc./A3	12/20/21	BARC		3,165			1.000			48			(2	)		46			—
Metlife Inc./A3	6/20/24	BARC		24,300			1.000			612			(19	)		593			—
People’s Republic of China/A3	6/20/22	BNPSW		22,800			1.000			434			(94	)		340			—

69

Intermediate-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)1	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Republic of Turkey/Ba2	12/20/24	HSBCC	9,650		1.000		(611	)	1,273		662		—
Verizon Communications Inc./Baa1	12/20/22	GSI	15,585		1.000		325		(157	)	168		—
							2,361		58		2,419		—
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)2	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Credit Protection Purchased
American International Group Inc.	12/20/20	GSCM	5,625		(1.000	)	(48	)	23		—		(25	)
American International Group Inc.	12/20/20	GSCM	2,835		(1.000	)	(24	)	(8	)	—		(32	)
Bank of America Corp.	3/20/20	GSCM	7,870		(1.000	)	(10	)	4		—		(6	)
Bank of China Ltd.	12/20/21	BNPSW	6,200		(1.000	)	(102	)	(8	)	—		(110	)
Bank of China Ltd.	6/20/22	BNPSW	22,800		(1.000	)	(452	)	2		—		(450	)
Commerzbank AG	6/20/21	BOANA	24,495		(1.000	)	(259	)	(128	)	—		(387	)
CVS Health Corp.	12/20/21	BARC	3,220		(1.000	)	(50	)	39		—		(11	)
CVS Health Corp.	12/20/21	BOANA	15,000		(1.000	)	(233	)	186		—		(47	)
Deutsche Bank AG	12/20/22	JPMC	15,195		(1.000	)	(84	)	42		—		(42	)
Deutsche Bank AG	12/20/24	GSI	4,050		(1.000	)	32		(107	)	—		(75	)
Federative Republic of Brazil	12/20/24	BARC	20,000		(1.000	)	25		(173	)	—		(148	)
Federative Republic of Brazil	12/20/24	BOANA	20,000		(1.000	)	26		(155	)	—		(129	)

70

Intermediate-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)
									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)2	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Federative Republic of Brazil	12/20/24	GSI	17,664		(1.000	)	23		(165	)	—		(142	)
Federative Republic of Brazil	12/20/24	JPMC	16,900		(1.000	)	21		(278	)	—		(257	)
Federative Republic of Brazil	12/20/24	MSCS	9,800		(1.000	)	12		(161	)	—		(149	)
Federative Republic of Brazil	12/20/24	MSCS	9,300		(1.000	)	12		(87	)	—		(75	)
Federative Republic of Brazil	12/20/25	BOANA	3,885		(1.000	)	43		(657	)	—		(614	)
Federative Republic of Brazil	12/20/25	GSCM	2,485		(1.000	)	28		(391	)	—		(363	)
JPMorgan Chase Bank N.A.	12/20/20	MSCS	25,000		(1.000	)	(196	)	28		—		(168	)
Lincoln National Corp.	6/20/21	BARC	10,000		(1.000	)	(124	)	(61	)	—		(185	)
Lincoln National Corp.	6/20/21	BARC	1,555		(1.000	)	(19	)	(12	)	—		(31	)
Lincoln National Corp.	6/20/21	BARC	1,550		(1.000	)	(19	)	12		—		(7	)
Lincoln National Corp.	12/20/21	BARC	3,165		(1.000	)	(50	)	(3	)	—		(53	)
McDonald’s Corp.	6/20/22	GSI	12,325		(1.000	)	(272	)	188		—		(84	)
Republic of Colombia	12/20/24	BARC	15,000		(1.000	)	(130	)	126		—		(4	)
Republic of Colombia	12/20/24	BOANA	25,000		(1.000	)	(215	)	221		6		—
Republic of Colombia	12/20/24	GSI	24,700		(1.000	)	(230	)	274		44		—
Republic of Colombia	12/20/24	MSCS	5,470		(1.000	)	(51	)	20		—		(31	)
Republic of South Africa	12/20/24	JPMC	11,520		(1.000	)	441		(445	)	—		(4	)
Republic of South Africa	12/20/24	MSCS	23,775		(1.000	)	910		(877	)	33		—
Republic of South Africa	12/20/24	MSCS	4,800		(1.000	)	184		(188	)	—		(4	)

71

Intermediate-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)
												Remaining
						Periodic						Up-Front
						Premium						Premium
			Notional			Received						Received			Unrealized			Unrealized
Reference	Termination		Amount			(Paid		)2	Value			(Paid		)	Appreciation			(Depreciation		)
Entity	Date	Counterparty		($000	)		(%	)		($000	)		($000	)		($000	)		($000	)
Republic of Turkey	12/20/22	HSBCC		13,700			(1.000	)		290			(978	)		—			(688	)
Societe Generale SA	12/20/21	JPMC		14,675			(1.000	)		(257	)		34			—			(223	)
Standard Chartered Bank	12/20/21	JPMC		7,945			(1.000	)		(137	)		(7	)		—			(144	)
State of Qatar	6/20/22	BOANA		1,360			(1.000	)		(26	)		(8	)		—			(34	)
State of Qatar	6/20/22	CITNA		2,640			(1.000	)		(51	)		(15	)		—			(66	)
United Mexican States	12/20/24	BARC		640			(1.000	)		(5	)		(4	)		—			(9	)
United Mexican States	12/20/24	BNPSW		25,445			(1.000	)		(216	)		(202	)		—			(418	)
United Mexican States	12/20/24	GSI		17,500			(1.000	)		(149	)		81			—			(68	)
Wells Fargo & Co.	9/20/20	BOANA		9,700			(1.000	)		(56	)		16			—			(40	)
										(1,418	)		(3,822	)		83			(5,323	)
										943			(3,764	)		2,502			(5,323	)

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.

1 Notional amount denominated in euro.

2 Periodic premium received/paid quarterly.

BARC—Barclays Bank plc.

BNPSW—BNP Paribas.

BOANA—Bank of America, N.A.

CITNA—Citibank N.A.

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

HSBCC—HSBC Bank USA, N.A.

JPMC—JP Morgan Chase Bank.

MSCS—Morgan Stanley Capital Services LLC.

At January 31, 2020, the counterparties had deposited in segregated accounts securities with a value of $7,991,000 and cash of $5,790,000 in connection with open forward currency contracts and open over-the-counter swap contracts.

72

Intermediate-Term Investment-Grade Fund

Centrally Cleared Interest Rate Swaps
					Fixed			Floating
					Interest			Interest
					Rate			Rate						Unrealized
	Future	Notional			Received			Received						Appreciation
	Effective	Amount			(Paid		)2	(Paid		)3	Value			(Depreciation		)
Termination Date	Date		($000	)		(%	)		(%	)		($000	)		($000	)
3/18/21	3/18/201		103,128			1.750			0.000			269			171
3/18/22	3/18/201		143,046			(1.750	)		0.000			(1,121	)		(692	)
3/20/23	3/18/201		127,092			(1.750	)		0.000			(1,651	)		(1,047	)
3/18/24	3/18/201		77,907			(1.750	)		0.000			(1,352	)		(901	)
3/18/25	3/18/201		113,509			(1.750	)		0.000			(2,378	)		(1,709	)
3/18/27	3/18/201		43,732			(2.000	)		0.000			(1,848	)		(922	)
1/23/30	N/A		6,097			(1.737	)		1.806			(182	)		(182	)
1/29/30	N/A		10,278			1.550			(1.775	)		81			81
1/29/30	N/A		9,245			1.550			(1.775	)		73			73
2/4/30	2/4/201		3,544			1.448			0.000			(6	)		(6	)
												(8,115	)		(5,134	)

1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date.

2 Fixed interest payment received/paid semiannually.

3 Based on 3M LIBOR as of the most recent payment date. Floating interest payment received/paid quarterly.

See accompanying Notes, which are an integral part of the Financial Statements.

73

Intermediate-Term Investment-Grade Fund

Statement of Operations

	Year Ended
	January 31, 2020
		($000	)
Investment Income
Income
Dividends		680
Interest1		992,453
Total Income		993,133
Expenses
The Vanguard Group—Note B
Investment Advisory Services		4,225
Management and Administrative—Investor Shares		3,888
Management and Administrative—Admiral Shares		22,132
Marketing and Distribution—Investor Shares		258
Marketing and Distribution—Admiral Shares		1,664
Custodian Fees		270
Auditing Fees		44
Shareholders’ Reports—Investor Shares		62
Shareholders’ Reports—Admiral Shares		475
Trustees’ Fees and Expenses		16
Total Expenses		33,034
Net Investment Income		960,099
Realized Net Gain (Loss)
Investment Securities Sold1		545,679
Futures Contracts		221,640
Options Purchased		(314	)
Options Written		12,453
Swap Contracts		(42,374	)
Forward Currency Contracts		15,376
Foreign Currencies		(1,422	)
Realized Net Gain (Loss)		751,038
Change in Unrealized Appreciation (Depreciation)
Investment Securities1		1,510,612
Futures Contracts		(54,363	)
Options Purchased		774
Options Written		(66	)
Swap Contracts		(3,172	)
Forward Currency Contracts		20,059
Foreign Currencies		(98	)
Change in Unrealized Appreciation (Depreciation)		1,473,746
Net Increase (Decrease) in Net Assets Resulting from Operations		3,184,883

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $15,277,000, ($14,000), and $23,000, respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

74

Intermediate-Term Investment-Grade Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020			2019
		($000	)		($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		960,099			956,302
Realized Net Gain (Loss)		751,038			(500,407	)
Change in Unrealized Appreciation (Depreciation)		1,473,746			217,239
Net Increase (Decrease) in Net Assets Resulting from Operations		3,184,883			673,134
Distributions
Net Investment Income
Investor Shares		(68,732	)		(70,981	)
Admiral Shares		(894,326	)		(894,900	)
Realized Capital Gain
Investor Shares		—			—
Admiral Shares		—			—
Total Distributions		(963,058	)		(965,881	)
Capital Share Transactions
Investor Shares		179,825			(329,408	)
Admiral Shares		2,077,386			275,334
Net Increase (Decrease) from Capital Share Transactions		2,257,211			(54,074	)
Total Increase (Decrease)		4,479,036			(346,821	)
Net Assets
Beginning of Period		29,125,778			29,472,599
End of Period		33,604,814			29,125,778

See accompanying Notes, which are an integral part of the Financial Statements.

75

Intermediate-Term Investment-Grade Fund

Financial Highlights

Investor Shares
For a Share Outstanding	Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$9.52		$9.61		$9.66		$9.72		$10.06
Investment Operations
Net Investment Income	.300	1	.300	1	.277	1	.278		.288
Net Realized and Unrealized Gain (Loss) on Investments	.711		(.087	)	(.034	)	.030		(.288	)
Total from Investment Operations	1.011		.213		.243		.308		.000
Distributions
Dividends from Net Investment Income	(.301	)	(.303	)	(.274	)	(.276	)	(.296	)
Distributions from Realized Capital Gains	—		—		(.016	)	(.092	)	(.044	)
Total Distributions	(.301	)	(.303	)	(.290	)	(.368	)	(.340	)
Net Asset Value, End of Period	$10.23		$9.52		$9.61		$9.66		$9.72
Total Return2	10.76%		2.31%		2.47%		3.16%		0.03%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,459		$2,115		$2,472		$2,671		$2,701
Ratio of Total Expenses to Average Net Assets	0.20%		0.20%		0.20%		0.20%		0.20%
Ratio of Net Investment Income to Average Net Assets	3.03%		3.20%		2.84%		2.80%		2.94%
Portfolio Turnover Rate	114%3		73%3		63%		68%		70%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 1% and 1% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

76

Intermediate-Term Investment-Grade Fund

Financial Highlights

Admiral Shares
For a Share Outstanding							Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$9.52		$9.61		$9.66		$9.72		$10.06
Investment Operations
Net Investment Income	.309	1	.310	1	.288	1	.288		.298
Net Realized and Unrealized Gain (Loss) on Investments	.712		(.087	)	(.039	)	.030		(.288	)
Total from Investment Operations	1.021		.223		.249		.318		.010
Distributions
Dividends from Net Investment Income	(.311	)	(.313	)	(.283	)	(.286	)	(.306	)
Distributions from Realized Capital Gains	—		—		(.016	)	(.092	)	(.044	)
Total Distributions	(.311	)	(.313	)	(.299	)	(.378	)	(.350	)
Net Asset Value, End of Period	$10.23		$9.52		$9.61		$9.66		$9.72
Total Return2	10.87%		2.41%		2.58%		3.27%		0.13%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$31,146		$27,011		$27,000		$25,145		$18,764
Ratio of Total Expenses to Average Net Assets	0.10%		0.10%		0.10%		0.10%		0.10%
Ratio of Net Investment Income to Average Net Assets	3.13%		3.30%		2.94%		2.90%		3.04%
Portfolio Turnover Rate	114%3		73%3		63%		68%		70%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 1% and 1% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

77

Intermediate-Term Investment-Grade Fund

Notes to Financial Statements

Vanguard Intermediate-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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. 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 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.

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Futures Contracts: The fund uses 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

78

Intermediate-Term Investment-Grade Fund

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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 15% and 6% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).

During the year ended January 31, 2020, the fund’s average investment in forward currency contracts represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

79

Intermediate-Term Investment-Grade Fund

5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell 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. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. 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 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 fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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 associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The 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

80

Intermediate-Term Investment-Grade Fund

at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended January 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 2% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

6. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

81

Intermediate-Term Investment-Grade Fund

Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.

7. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

8. 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 or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

82

Intermediate-Term Investment-Grade Fund

9. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

10. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

11. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

12. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

83

Intermediate-Term Investment-Grade Fund

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $1,433,000, representing less than 0.01% of the fund’s net assets and 0.57% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments		($000	)		($000	)		($000	)
U.S. Government and Agency Obligations		—			2,536,093			—
Asset-Backed/Commercial Mortgage-Backed Securities		—			5,995,056			13,492
Corporate Bonds		—			21,276,536			3
Sovereign Bonds		—			2,057,654			—
Taxable Municipal Bonds		—			62,345			—
Common Stocks		50,142			—			—
Temporary Cash Investments		1,127,584			—			—
Option Purchased		87			2,626			—
Conventional Mortgage-Backed Securities—Liability for Sale Commitments		—			(247,511	)		—
Option Written		(742	)		(1,990	)		—
Futures Contracts—Assets1		9,344			—			—
Futures Contracts—Liabilities1		(3,656	)		—			—
Forward Currency Contracts—Assets		—			9,713			—
Forward Currency Contracts—Liabilities		—			(368	)		—
Swap Contracts—Assets		2201			2,502			—
Swap Contracts—Liabilities		(1,367	)1		(5,323	)		—
Total		1,181,612			31,687,333			13,495
1 Represents variation margin on the last day of the reporting period.

84

Intermediate-Term Investment-Grade Fund

D.  At January 31, 2020, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

	Interest Rate			Currency			Credit
	Contracts			Contracts			Contracts			Total
Statement of Net Assets Caption		($000	)		($000	)		($000	)		($000	)
Options Purchased		514			—			2,199			2,713
Variation Margin Receivable—Futures Contracts		9,344			—			—			9,344
Variation Margin Receivable—CC Swap Contracts		127			—			93			220
Unrealized Appreciation—Forward Currency Contracts		—			9,713			—			9,713
Unrealized Appreciation—OTC Swap Contracts		—			—			2,502			2,502
Total Assets		9,985			9,713			4,794			24,492
Options Written		(2,003	)		—			(729	)		(2,732	)
Variation Margin Payable—Futures Contracts		(3,656	)		—			—			(3,656	)
Variation Margin Payable—CC Swap Contracts		(1,108	)		—			(259	)		(1,367	)
Unrealized Depreciation—Forward Currency Contracts		—			(368	)		—			(368	)
Unrealized Depreciation—OTC Swap Contracts		—			—			(5,323	)		(5,323	)
Total Liabilities		(6,767	)		(368	)		(6,311	)		(13,446	)

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2020, were:

	Interest Rate			Currency			Credit
	Contracts			Contracts			Contracts			Total
Realized Net Gain (Loss) on Derivatives		($000	)		($000	)		($000	)		($000	)
Futures Contracts		221,640			—			—			221,640
Options Purchased		1,113			—			(1,427	)		(314	)
Options Written		7,014			—			5,439			12,453
Forward Currency Contracts		—			15,376			—			15,376
Swap Contracts		(34,384	)		—			(7,990	)		(42,374	)
Realized Net Gain (Loss) on Derivatives		195,383			15,376			(3,978	)		206,781
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts		(54,363	)		—			—			(54,363	)
Options Purchased		(32	)		—			806			774
Options Written		(562	)		—			496			(66	)
Forward Currency Contracts		—			20,059			—			20,059
Swap Contracts		(691	)		—			(2,481	)		(3,172	)
Change in Unrealized Appreciation (Depreciation) on Derivatives		(55,648	)		20,059			(1,179	)		(36,768	)

85

Intermediate-Term Investment-Grade Fund

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions, distributions in connection with fund share redemptions, and swap agreements were reclassified between the following accounts:

	Amount
		($000	)
Paid-in Capital		8,001
Total Distributable Earnings (Loss)		(8,001	)

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales; the realization of unrealized gains or losses on certain futures contracts, forward currency contracts and options; payables for distributions; and the tax recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
		($000	)
Undistributed Ordinary Income		180,770
Undistributed Long-Term Gains		38,857
Capital Loss Carryforwards*		—
Net Unrealized Gains (Losses)		1,397,078

* The fund used capital loss carryforwards of $485,416,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives and sale commitments based on cost for U.S. federal income tax purposes were as follows:

	Amount
		($000	)
Tax Cost		31,715,654
Gross Unrealized Appreciation		1,451,037
Gross Unrealized Depreciation		(53,949	)
Net Unrealized Appreciation (Depreciation)		1,397,088

86

Intermediate-Term Investment-Grade Fund

F.  During the year ended January 31, 2020, the fund purchased $24,507,928,000 of investment securities and sold $23,510,516,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $10,317,062,000 and $10,309,732,000, respectively.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended January 31, 2020, such purchases and sales were $490,948,000 and $4,835,085,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

G. Capital share transactions for each class of shares were:
							Year Ended January 31,
				2020						2019
	Amount			Shares			Amount			Shares
		($000	)		(000	)		($000	)		(000	)
Investor Shares
Issued		694,995			70,141			409,991			43,707
Issued in Lieu of Cash Distributions		61,073			6,151			62,607			6,654
Redeemed		(576,243	)		(58,273	)		(802,006	)		(85,353	)
Net Increase (Decrease)—Investor Shares		179,825			18,019			(329,408	)		(34,992	)
Admiral Shares
Issued		7,117,223			718,767			6,514,554			693,184
Issued in Lieu of Cash Distributions		755,605			76,093			764,312			81,254
Redeemed		(5,795,442	)		(589,254	)		(7,003,532	)		(745,703	)
Net Increase (Decrease)—Admiral Shares		2,077,386			205,606			275,334			28,735

H.  Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

87

Long-Term Investment-Grade Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	Long-Term Investment-Grade Fund Investor Shares	23.31%	5.83%	8.32%	$22,233
	Bloomberg Barclays U.S. Long Credit A or Better Bond Index	22.70	5.67	8.09	21,765
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	14,501

				Final Value
	One	Five	Ten	of a $50,000
	Year	Years	Years	Investment
Long-Term Investment-Grade Fund Admiral Shares	23.43%	5.93%	8.43%	$112,294
Bloomberg Barclays U.S. Long Credit A or Better Bond Index	22.70	5.67	8.09	108,827
Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	72,507

See Financial Highlights for dividend and capital gains information.

88

Long-Term Investment-Grade Fund

Sector Diversification

As of January 31, 2020

Asset-Backed	0.1%
Commercial Mortgage-Backed	0.6
Finance	21.5
Foreign	1.3
Government Mortgage-Backed	1.6
Industrial	41.4
Treasury/Agency	9.1
Utilities	15.3
Other	9.1

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

89

Long-Term Investment-Grade Fund

Financial Statements

Statement of Net Assets—Investments Summary

As of January 31, 2020

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face		Market		Percentage
			Maturity	Amount		Value•		of Net
		Coupon	Date	($000	)	($000	)	Assets
U.S. Government and Agency Obligations
U.S. Government Securities
1,2,3	United States Treasury Note/Bond	4.500%	2/15/36	172,000		239,563		1.2%
	United States Treasury Note/Bond	4.750%	2/15/37	109,059		157,830		0.8%
	United States Treasury Note/Bond	4.750%	2/15/41	100,000		149,875		0.7%
	United States Treasury Note/Bond	3.750%	8/15/41	90,000		119,081		0.6%
	United States Treasury Note/Bond	3.000%	11/15/44	64,210		76,601		0.4%
	United States Treasury Note/Bond	2.875%	8/15/45	65,055		76,237		0.4%
	United States Treasury Note/Bond	5.000%	5/15/37	50,000		74,469		0.4%
3	United States Treasury Note/Bond	3.000%	11/15/45	59,882		71,793		0.4%
	United States Treasury Note/Bond	2.375%	5/15/29	65,000		69,926		0.3%
3	United States Treasury Note/Bond	1.375%–4.375%	8/15/22–11/15/49	524,212		613,810		3.0%
	U.S. Government Securities—Other †					26,896		0.1%
						1,676,081		8.3%
Agency Notes †						62,871		0.3%

Conventional Mortgage-Backed Securities (1.6%)
4,5	Fannie Mae Pool	2.980%–4.180%	8/1/30–9/1/34	285,491	328,179	1.6%
Nonconventional Mortgage-Backed Securities
4,5	Fannie Mae REMICS	3.000%–3.500%	7/25/47–4/25/59	46,317	52,537	0.2%
	Nonconventional Mortgage-Backed Securities—Other †				53,535	0.3%
					106,072	0.5%
Total U.S. Government and Agency Obligations (Cost $1,966,363)					2,173,203	10.7%
Asset-Backed/Commercial Mortgage-Backed Securities (Cost $113,148) †					123,468	0.6%

90

Long-Term Investment-Grade Fund

				Face		Market		Percentage
			Maturity	Amount		Value•		of Net
		Coupon	Date	($000	)	($000	)	Assets
Corporate Bonds
Finance
	Banking
5	Bank of America Corp.	4.244%	4/24/38	80,255		95,789		0.5%
5	Bank of America Corp.	3.946%	1/23/49	62,960		73,915		0.4%
5	Bank of America Corp.	2.884%–5.875%	4/24/28–3/15/50	175,885		210,453		1.0%
	Bank of America NA	6.000%	10/15/36	20,450		29,123		0.1%
	Bank One Corp.	8.000%	4/29/27	7,080		9,619		0.0%
5	Citigroup Inc.	3.878%	1/24/39	69,980		80,180		0.4%
5	Citigroup Inc.	2.666%–4.650%	11/5/30–7/23/48	133,559		157,151		0.8%
5	Goldman Sachs Group Inc.	4.017%	10/31/38	139,440		157,468		0.8%
5	Goldman Sachs Group Inc.	4.223%–6.250%	5/1/29–10/21/45	111,411		135,683		0.7%
	HSBC Holdings plc	6.800%	6/1/38	48,749		71,055		0.3%
5	JPMorgan Chase & Co.	3.964%	11/15/48	101,246		120,613		0.6%
5	JPMorgan Chase & Co.	3.882%	7/24/38	72,532		82,755		0.4%
	JPMorgan Chase & Co.	6.400%	5/15/38	54,099		80,148		0.4%
5	JPMorgan Chase & Co.	2.739%–5.600%	7/23/29–1/23/49	250,813		296,268		1.4%
5	Morgan Stanley	3.971%	7/22/38	103,500		118,354		0.6%
5	Morgan Stanley	2.699%–7.250%	1/22/31–1/22/47	159,736		199,309		1.0%
	Wachovia Corp.	5.500%	8/1/35	2,322		3,085		0.0%
	Wells Fargo & Co.	5.606%	1/15/44	130,765		177,606		0.9%
	Wells Fargo & Co.	5.375%	11/2/43	55,167		73,272		0.4%
5	Wells Fargo & Co.	2.879%–4.900%	10/30/30–12/7/46	138,665		162,231		0.8%
	Wells Fargo Bank NA	6.600%	1/15/38	500		743		0.0%
6	Banking—Other †					117,916		0.6%
6	Brokerage †					39,772		0.2%
	Insurance
	Berkshire Hathaway Finance Corp.	4.250%	1/15/49	67,922		83,087		0.4%
	Berkshire Hathaway Finance Corp.	4.200%–4.400%	5/15/42–8/15/48	34,195		41,503		0.2%
	Berkshire Hathaway Inc.	4.500%	2/11/43	47,747		60,435		0.3%
	MetLife Inc.	4.125%	8/13/42	56,081		67,061		0.3%
	Prudential Financial Inc.	3.700%	3/13/51	67,884		73,024		0.4%
	UnitedHealth Group Inc.	4.750%	7/15/45	53,920		67,356		0.3%
	UnitedHealth Group Inc.	3.500%–6.875%	3/15/36–8/15/59	231,602		273,415		1.4%
6	Insurance—Other †					434,547		2.1%
	Other Finance †					949		0.0%
6	Real Estate Investment Trusts †					76,098		0.4%
						3,669,983		18.1%
Industrial
6	Basic Industry †					96,072		0.5%
6	Capital Goods †					475,237		2.3%
	Communication
	Comcast Corp.	4.950%	10/15/58	95,256		129,996		0.6%
	Comcast Corp.	3.969%	11/1/47	83,688		95,501		0.5%
	Comcast Corp.	4.750%	3/1/44	60,670		77,840		0.4%
	Comcast Corp.	4.600%	10/15/38	54,153		66,773		0.3%
	Comcast Corp.	3.200%–6.500%	10/15/30–11/1/52	317,612		379,916		1.9%
	NBCUniversal Media LLC	4.450%–5.950%	4/1/41–1/15/43	39,597		51,763		0.2%
6	Communication—Other †					319,795		1.6%

91

Long-Term Investment-Grade Fund

				Face		Market		Percentage
			Maturity	Amount		Value•		of Net
		Coupon	Date	($000	)	($000	)	Assets
	Consumer Cyclical
	Amazon.com Inc.	4.050%	8/22/47	98,575		121,650		0.6%
3	Amazon.com Inc.	3.875%–4.950%	12/5/34–8/22/57	105,973		131,281		0.6%
	Home Depot Inc.	4.875%	2/15/44	60,115		77,799		0.4%
	Home Depot Inc.	3.125%–5.950%	12/16/36–9/15/56	148,959		192,743		1.0%
	Walmart Inc.	3.950%	6/28/38	96,757		115,376		0.6%
	Walmart Inc.	3.625%	12/15/47	70,485		80,459		0.4%
	Walmart Inc.	2.950%–5.625%	4/1/40–9/24/49	55,178		67,406		0.3%
6	Consumer Cyclical—Other †					401,359		2.0%
	Consumer Noncyclical
	Johnson & Johnson	3.400%–3.750%	3/1/36–3/3/47	190,272		217,626		1.1%
	Merck & Co. Inc.	3.700%	2/10/45	75,455		87,122		0.4%
	Pfizer Inc.	3.900%–7.200%	9/15/38–3/15/49	162,393		210,990		1.0%
	Wyeth LLC	5.950%	4/1/37	53,438		75,433		0.4%
	Wyeth LLC	6.500%	2/1/34	1,240		1,817		0.0%
6	Consumer Noncyclical—Other †					1,626,764		8.0%
	Energy
	Shell International Finance BV	3.125%–6.375%	5/11/35–11/7/49	195,049		234,730		1.2%
6	Energy—Other †					228,592		1.1%
6	Other Industrial †					114,493		0.6%
	Technology
	Apple Inc.	0.500%–4.650%	11/15/31–9/11/49	328,692		390,668		1.9%
	International Business Machines Corp.	4.150%	5/15/39	104,215		122,245		0.6%
	International Business Machines Corp.	4.250%	5/15/49	82,845		99,592		0.5%
	International Business Machines Corp.	4.000%	6/20/42	10,633		12,367		0.1%
	Microsoft Corp.	3.700%	8/8/46	85,523		100,896		0.5%
	Microsoft Corp.	4.450%	11/3/45	70,491		91,896		0.5%
	Microsoft Corp.	3.750%	2/12/45	77,054		90,784		0.4%
	Microsoft Corp.	4.250%	2/6/47	66,314		84,660		0.4%
	Microsoft Corp.	3.450%–5.300%	2/12/35–2/6/57	209,338		259,782		1.3%
	Oracle Corp.	4.000%	7/15/46	87,046		101,062		0.5%
	Oracle Corp.	6.500%	4/15/38	47,155		71,584		0.4%
	Oracle Corp.	3.800%–6.125%	7/8/34–5/15/55	201,132		248,330		1.2%
	QUALCOMM Inc.	4.300%	5/20/47	56,906		67,805		0.3%
6	Technology—Other †					271,216		1.3%
	Transportation
	Burlington Northern Santa Fe LLC	3.550%–7.950%	8/15/30–2/15/50	231,276		284,071		1.4%
6	Transportation—Other †					136,482		0.7%
						8,111,973		40.0%
Utilities
	Electric
	Baltimore Gas & Electric Co.	3.200%–6.350%	10/1/36–9/15/49	29,584		35,928		0.2%
	Berkshire Hathaway Energy Co.	4.500%–6.125%	4/1/36–2/1/45	85,128		108,677		0.5%
	Commonwealth Edison Co.	3.650%–5.900%	3/15/36–3/1/49	119,011		141,566		0.7%
	Consolidated Edison Co. of New York Inc.	3.700%–6.750%	6/15/33–11/15/59	185,914		231,763		1.1%

92

Long-Term Investment-Grade Fund

				Face		Market		Percentage
			Maturity	Amount		Value•		of Net
		Coupon	Date	($000	)	($000	)	Assets
	Dominion Energy South Carolina Inc.	4.600%–6.625%	2/1/32–6/15/43	51,415		71,417		0.4%
	Duke Energy Carolinas LLC	6.100%	6/1/37	50,843		70,846		0.3%
	Duke Energy Carolinas LLC	3.200%–6.450%	10/15/32–8/15/49	91,100		106,583		0.5%
	Duke Energy Florida LLC	4.200%–6.350%	9/15/37–7/15/48	2,958		4,011		0.0%
	Duke Energy Indiana LLC	3.250%–6.450%	10/15/35–10/1/49	59,958		78,616		0.4%
	Duke Energy Ohio Inc.	3.700%–4.300%	6/15/46–2/1/49	28,609		34,201		0.2%
	Duke Energy Progress LLC	3.700%–4.200%	5/15/42–10/15/46	104,486		122,013		0.6%
	MidAmerican Energy Co.	3.150%–5.800%	10/15/36–4/15/50	74,229		92,690		0.5%
	Nevada Power Co.	3.125%–6.650%	4/1/36–8/1/50	45,750		60,019		0.3%
	PacifiCorp	4.100%–6.350%	6/15/35–2/15/50	161,113		215,931		1.1%
	PECO Energy Co.	3.700%–4.800%	10/15/43–3/1/48	53,502		62,828		0.3%
	Potomac Electric Power Co.	4.150%–7.900%	11/15/37–3/15/43	16,821		20,200		0.1%
	Virginia Electric & Power Co.	6.000%	5/15/37	57,203		80,321		0.4%
	Virginia Electric & Power Co.	3.300%–6.350%	11/30/37–12/1/49	66,437		79,086		0.4%
6	Electric—Other †					1,365,301		6.7%
6	Natural Gas †					112,534		0.6%
						3,094,531		15.3%
Total Corporate Bonds (Cost $12,359,442)						14,876,487		73.4%
6Sovereign Bonds (Cost $238,727) †						253,943		1.3%
Taxable Municipal Bonds
	California GO	7.600%	11/1/40	64,585		112,378		0.6%
	California GO	7.300%	10/1/39	69,661		111,376		0.6%
	California GO	4.500%–7.625%	4/1/33–3/1/40	114,236		165,776		0.8%
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41	42,407		68,181		0.3%
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39	54,854		89,730		0.4%
	Taxable Municipal Bonds—Other †					1,506,231		7.4%
Total Taxable Municipal Bonds (Cost $1,589,429)						2,053,672		10.1%
				Shares
Temporary Cash Investments
Money Market Fund
7	Vanguard Market Liquidity Fund	1.730%		718,627		71,877		0.3%

93

Long-Term Investment-Grade Fund

				Face		Market		Percentage
			Maturity	Amount		Value•		of Net
		Coupon	Date	($000	)	($000	)	Assets
Repurchase Agreements
	Bank of America Securities, LLC (Dated 1/31/20, Repurchase Value $40,005,000, collateralized by Government National Mortgage Assn. 3.000%–4.000%, 5/15/43–1/20/50, with a value of $40,800,000)	1.590%	2/3/20	40,000		40,000		0.2%
	Barclays Capital Inc. (Dated 1/31/20, Repurchase Value $16,302,000, collateralized by U.S. Treasury Note/Bond 1.875%, 7/31/26, with a value of $16,626,000)	1.570%	2/3/20	16,300		16,300		0.1%
	Citigroup Global Markets Inc. (Dated 1/31/20, Repurchase Value $148,519,000, collateralized by U.S. Treasury Bill 0.000%, 12/31/20–1/28/21, and U.S. Treasury Note/Bond 1.375%–1.690%, 1/31/22–1/31/27, with a value of $151,470,000)	1.560%	2/3/20	148,500		148,500		0.7%
	RBC Capital Markets LLC (Dated 1/31/20, Repurchase Value $82,411,000, collateralized by Federal Home Loan Mortgage Corp. 3.000%, 10/1/49, and Federal National Mortgage Assn. 3.500%–4.500%, 2/1/41–12/1/49, with a value of $84,048,000)	1.580%	2/3/20	82,400		82,400		0.4%
	Wells Fargo & Co. (Dated 1/31/20, Repurchase Value $301,840,000, collateralized by Federal Home Loan Mortgage Corp. 2.000%–5.500%, 6/1/30–2/1/49, and Federal National Mortgage Assn. 2.500%–4.500%, 12/1/24– 6/1/57, with a value of $307,836,000)	1.590%	2/3/20	301,800		301,800		1.5%
						589,000		2.9%
Total Temporary Cash Investments (Cost $660,864)						660,877		3.2%

94

Long-Term Investment-Grade Fund

					Notional		Market		Percentage
	Expiration			Exercise	Amount		Value•		of Net
		Date	Contracts	Price	($000	)	($000	)	Assets
Options Purchased
Exchange-Traded Options (0.0%)
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	44	$130.00	5,720		5		0.0%
					Notional
					Amount on
					Underlying
			Expiration	Exercise	Swap
	Counterparty		Date	Rate	($000	)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
	10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually	BNPSW	9/21/20	1.130%	2,786		25		0.0%
Put Swaptions
	5-Year CDX-NA-HY-S33-V2, Credit Protection Sold, Receives 1.000% Quarterly	BNPSW	3/18/20	1.060%	2,700		10		0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.600%	8,125		2		0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	3/18/20	0.550%	5,395		7		0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.525%	5,415		5		0.0%
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.550%	8,125		11		0.0%
							60		0.0%
Total Options Purchased (Cost $65)							65		0.0%
Total Investments (Cost $16,928,038)							20,141,715		99.3%

95

Long-Term Investment-Grade Fund

				Percentage
	Amount			of Net
		($000	)		Assets
Other Assets and Liabilities
Other Assets
Investment in Vanguard		849
Receivables for Investment Securities Sold		22,681
Receivables for Accrued Income		191,491
Receivables for Capital Shares Issued		12,678
Variation Margin Receivable—Futures Contracts		2,753
Variation Margin Receivable—CC Swap Contracts		12
Unrealized Appreciation—Forward Currency Contracts		386
Unrealized Appreciation—OTC Swap Contracts		161
Other Assets		2,859
Total Other Assets		233,870			1.2%
Liabilities
Payables for Investment Securities Purchased		(51,931	)
Payables to Investment Advisor		(727	)
Payables for Capital Shares Redeemed		(22,495	)
Payables for Distributions		(8,247	)
Payables to Vanguard		(9,161	)
Options Written, at Value8		(174	)
Variation Margin Payable—Futures Contracts		(1,072	)
Variation Margin Payable—CC Swap Contracts		(4,692	)
Unrealized Depreciation—Forward Currency Contracts		(22	)
Unrealized Depreciation—OTC Swap Contracts		(233	)
Other Liabilities		(196	)
Total Liabilities		(98,950	)		(0.5%	)
Net Assets		20,276,635			100.0%
At January 31, 2020, net assets consisted of:
					Amount
					($000	)
Paid-in Capital					16,943,848
Total Distributable Earnings (Loss)					3,332,787
Net Assets					20,276,635

96

Long-Term Investment-Grade Fund

	Amount
	($000	)
Investor Shares—Net Assets
Applicable to 430,571,299 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	4,941,949
Net Asset Value Per Share—Investor Shares	$11.48
Admiral Shares—Net Assets
Applicable to 1,336,039,824 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	15,334,686
Net Asset Value Per Share—Admiral Shares	$11.48

• See Note A in Notes to Financial Statements.

^† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 Securities with a value of $453,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.

2 Securities with a value of $132,596,000 have been segregated as initial margin for open centrally cleared swap contracts.

3 Securities with a value of $13,481,000 have been segregated as initial margin for open futures contracts.

4 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.

5 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.

6 Certain of the fund’s securities are 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 January 31, 2020, the aggregate value of these securities was $722,609,000, representing 3.6% of net assets.

7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

8 Includes premiums received of $154,000.

BNPSW—BNP Paribas.

CC—Centrally Cleared.

GO—General Obligation Bond.

GSI—Goldman Sachs International.

JPMC—JPMorgan Chase Bank, N.A.

MSCS—Morgan Stanley Capital Services LLC.

OTC—Over-the-Counter.

REMICS—Real Estate Mortgage Investment Conduits.

97

Long-Term Investment-Grade Fund

Derivative Financial Instruments Outstanding as of Period End
Options Written
				Notional		Market
	Expiration		Exercise	Amount		Value
	Date	Contracts	Price	($000	)	($000	)
Exchange-Traded Options
Call Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	24	$130.75	3,138		(28	)
10-Year U.S. Treasury Note Futures Contracts	2/21/20	44	133.50	5,874		(7	)
						(35	)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	24	$130.75	3,138		(6	)
						(41	)
				Notional
				Amount on
				Underlying		Market
		Expiration	Exercise	Swap		Value
	Counterparty	Date	Rate	($000	)	($000	)
Over-the-Counter Swaptions
Call Swaptions
10-Year Interest Rate Swap, Receives 3M USD LIBOR Quarterly, Pays 1.836% Semiannually	GSCM	4/9/20	1.836%	1,790		(67	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.525%	8,125		(15	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.475%	5,415		(2	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.500%	8,125		(11	)
						(95	)

98

Long-Term Investment-Grade Fund

Options Written (continued)

					Notional
					Amount on
					Underlying		Market
		Expiration	Exercise		Swap		Value
	Counterparty	Date	Rate		($000	)	($000	)
Put Swaptions
10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.836% Semiannually	GSCM	4/9/20	1.836	%	1,790		(4	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	GSI	2/19/20	0.525	%	8,125		(7	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	2/19/20	0.475	%	5,415		(10	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	3/18/20	0.500	%	8,125		(17	)
							(38	)
							(133	)
Total Options Written (Premiums Received $154)							(174	)

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

MSCS—Morgan Stanley Capital Services LLC.

Futures Contracts

						($000	)
						Value and
		Number of				Unrealized
		Long (Short	)	Notional		Appreciation
	Expiration	Contracts		Amount		(Depreciation	)
Long Futures Contracts
30-Year U.S. Treasury Bond	March 2020	3,756		614,224		16,817
5-Year U.S. Treasury Note	March 2020	717		86,270		678
Ultra Long U.S. Treasury Bond	March 2020	188		36,413		1,108
Ultra 10-Year U.S. Treasury Note	March 2020	38		5,535		2
Euro-Schatz	March 2020	12		1,492		2
						18,607
Short Futures Contracts
10-Year U.S. Treasury Note	March 2020	(1,613	)	(212,362	)	(3,388	)
2-Year U.S. Treasury Note	March 2020	(278	)	(60,148	)	(197	)
Euro-Bund	March 2020	(47	)	(9,124	)	(162	)
Euro-Buxl	March 2020	(34	)	(7,953	)	(309	)
Long Gilt	March 2020	(44	)	(7,840	)	(85	)
Ultra Long U.S. Treasury Bond	March 2020	(30	)	(5,811	)	(24	)
Euro-Bobl	March 2020	(6	)	(898	)	(5	)
Euro-BTP	March 2020	(3	)	(493	)	(20	)
						(4,190	)
						14,417

99

Long-Term Investment-Grade Fund

Forward Currency Contracts

	Contract					Unrealized		Unrealized
	Settlement	Contract Amount (000)				Appreciation		(Depreciation	)
Counterparty	Date		Receive		Deliver	($000	)	($000	)
BNP Paribas	3/18/20	EUR	4,501	USD	5,008	—		(2	)
Bank of America, N.A.	3/18/20	GBP	1,393	USD	1,821	21		—
BNP Paribas	3/18/20	GBP	619	USD	810	8		—
HSBC Bank USA, N.A.	3/18/20	EUR	149	USD	166	—		—
HSBC Bank USA, N.A.	3/18/20	USD	20,215	EUR	17,952	246		—
Royal Bank of Canada	3/18/20	USD	9,881	GBP	7,394	106		—
Bank of America, N.A.	3/18/20	USD	3,085	EUR	2,790	—		(18	)
Deutsche Bank AG	3/18/20	USD	250	EUR	224	—		—
Toronto-Dominion Bank	3/18/20	USD	131	AUD	189	4		—
Morgan Stanley Capital Services LLC	3/18/20	USD	128	EUR	114	1		—
HSBC Bank USA, N.A.	3/18/20	USD	95	EUR	86	—		(1	)
Bank of America, N.A.	3/18/20	USD	92	EUR	83	—		—
Citigroup Global Markets Inc.	3/18/20	USD	70	GBP	53	—		(1	)
State Street Bank & Trust Co.	3/18/20	USD	69	EUR	62	—		—
Barclays Bank plc	3/18/20	USD	65	EUR	59	—		—
Royal Bank of Canada	3/18/20	USD	10	EUR	9	—		—
HSBC Bank USA, N.A.	3/18/20	USD	4	JPY	447	—		—
						386		(22	)

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

USD—U.S. dollar.

100

Long-Term Investment-Grade Fund

Centrally Cleared Credit Default Swaps

					Periodic
					Premium				Unrealized
					Received				Appreciation
	Termination	Notional Amount			(Paid	)1	Value		(Depreciation	)
Reference Entity	Date		(000	)	(%	)	($000	)	($000	)
Credit Protection Sold
CDX-NA-IG-S33-V1	12/20/24	USD	1,694		1.000		40		—
CDX-NA-IG-S33-V1	12/20/24	USD	4,008,812		1.000		93,680		7,201
CDX-NA-IG-S33-V1	12/20/29	USD	2,965		1.000		3		30
							93,723		7,231
Credit Protection Purchased
CDX-NA-HY-S33-V2	12/20/24	USD	1,337		(5.000	)	(111	)	15
CDX-NA-IG-S33-V1	12/20/22	USD	8,480		(1.000	)	(180	)	(5	)
iTraxx Europe-S32-V1	12/20/24	EUR	3,610		(1.000	)	(106	)	(7	)
							(397	)	3
							93,326		7,234

1 Periodic premium received/paid quarterly.

EUR— euro.

USD—U.S. dollar.

Over-the-Counter Credit Default Swaps

									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)1	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Credit Protection Sold/Moody’s Rating
Metlife Inc./A3	12/20/21	GSI	10,000		1.000		152		(12	)	140		—
Credit Protection Purchased
Bank of China Ltd.	12/20/21	BNPSW	300		(1.000	)	(5	)	—		—		(5	)
Federation of Malaysia	12/20/24	BNPSW	3,500		(1.000	)	(98	)	82		—		(16	)
Federative Republic of Brazil	12/20/24	GSI	1,536		(1.000	)	2		(14	)	—		(12	)
Federative Republic of Brazil	12/20/24	MSCS	3,680		(1.000	)	5		(61	)	—		(56	)
Federative Republic of Brazil	12/20/25	BOANA	315		(1.000	)	3		(53	)	—		(50	)
Federative Republic of Brazil	12/20/25	GSCM	315		(1.000	)	3		(50	)	—		(47	)

101

Long-Term Investment-Grade Fund

Over-the-Counter Credit Default Swaps (continued)

									Remaining
					Periodic				Up-Front
					Premium				Premium
			Notional		Received				Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)1	Value		(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)	($000	)	($000	)
Republic of Chile	12/20/24	GSI	3,000		(1.000	)	(71	)	87		16		—
Republic of Colombia	12/20/24	GSI	3,000		(1.000	)	(28	)	33		5		—
Republic of Colombia	12/20/24	JPMC	6,000		(1.000	)	(56	)	23		—		(33	)
Republic of Peru	12/20/24	CITNA	4,650		(1.000	)	(119	)	108		—		(10	)
United Mexican States	12/20/24	GSI	1,000		(1.000	)	(8	)	5		—		(4	)
							(371	)	159		21		(233	)
							(219	)	147		161		(233	)

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.

1 Periodic premium received/paid quarterly.

BNPSW—BNP Paribas.

BOANA—Bank of America, N.A.

CITNA—Citibank N.A.

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

JPMC—JP Morgan Chase Bank.

MSCS—Morgan Stanley Capital Services LLC.

Centrally Cleared Interest Rate Swaps

				Fixed		Floating
				Interest		Interest
				Rate		Rate				Unrealized
	Future	Notional		Received		Received				Appreciation
	Effective	Amount		(Paid	)2	(Paid	)3	Value		(Depreciation	)
Termination Date	Date	($000	)	(%	)	(%	)	($000	)	($000	)
1/23/30	N/A	356		(1.737	)	1.806		(11	)	(11	)
1/29/30	N/A	573		1.550		(1.775	)	5		5
1/29/30	N/A	515		1.550		(1.775	)	4		4
2/4/30	2/4/201	198		1.448		(0.000	)	—		—
								(2	)	(2	)

1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date.

2 Fixed interest payment received/paid semiannually.

3 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/ paid quarterly.

See accompanying Notes, which are an integral part of the Financial Statements.

102

Long-Term Investment-Grade Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000	)
Investment Income
Income
Interest1	704,550
Total Income	704,550
Expenses
Investment Advisory Fees—Note B	3,059
The Vanguard Group—Note C
Management and Administrative—Investor Shares	8,390
Management and Administrative—Admiral Shares	12,951
Marketing and Distribution—Investor Shares	432
Marketing and Distribution—Admiral Shares	774
Custodian Fees	144
Auditing Fees	24
Shareholders’ Reports—Investor Shares	106
Shareholders’ Reports—Admiral Shares	36
Trustees’ Fees and Expenses	20
Total Expenses	25,936
Net Investment Income	678,614
Realized Net Gain (Loss)
Investment Securities Sold1,2	493,882
Futures Contracts	88,296
Options Purchased	(33	)
Options Written	789
Swap Contracts	55,465
Forward Currency Contracts	488
Foreign Currencies	67
Realized Net Gain (Loss)	638,954
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	2,623,925
Futures Contracts	(693	)
Options Purchased	2
Options Written	(3	)
Swap Contracts	(3,824	)
Forward Currency Contracts	464
Foreign Currencies	52
Change in Unrealized Appreciation (Depreciation)	2,619,923
Net Increase (Decrease) in Net Assets Resulting from Operations	3,937,491

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from affiliated companies of the fund were $8,699,000, $75,000, and $13,000, respectively.

2 Includes $102,022,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Investment-Grade Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020		2019
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	678,614		673,555
Realized Net Gain (Loss)	638,954		(103,190	)
Change in Unrealized Appreciation (Depreciation)	2,619,923		(780,572	)
Net Increase (Decrease) in Net Assets Resulting from Operations	3,937,491		(210,207	)
Distributions
Net Investment Income
Investor Shares	(168,843	)	(179,674	)
Admiral Shares	(539,881	)	(520,769	)
Realized Capital Gain1
Investor Shares	(62,338	)	(15,039	)
Admiral Shares	(191,528	)	(40,061	)
Total Distributions	(962,590	)	(755,543	)
Capital Share Transactions
Investor Shares	116,420		(200,780	)
Admiral Shares	266,731		1,589,227
Net Increase (Decrease) from Capital Share Transactions	383,151		1,388,447
Total Increase (Decrease)	3,358,052		422,697
Net Assets
Beginning of Period	16,918,583		16,495,886
End of Period	20,276,635		16,918,583

1 Includes fiscal 2020 and 2019 short-term gain distributions totaling $125,194,000 and $3,058,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Investment-Grade Fund

Financial Highlights

Investor Shares

For a Share Outstanding					Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$9.79		$10.40		$10.06		$10.00		$11.34
Investment Operations
Net Investment Income	.381	1	.397	1	.405	1	.416		.430
Net Realized and Unrealized Gain (Loss) on Investments	1.854		(.560	)	.520		.260		(1.148	)
Total from Investment Operations	2.235		(.163	)	.925		.676		(.718	)
Distributions
Dividends from Net Investment Income	(.399	)	(.413	)	(.421	)	(.435	)	(.446	)
Distributions from Realized Capital Gains	(.146	)	(.034	)	(.164	)	(.181	)	(.176	)
Total Distributions	(.545	)	(.447	)	(.585	)	(.616	)	(.622	)
Net Asset Value, End of Period	$11.48		$9.79		$10.40		$10.06		$10.00
Total Return2	23.31%		-1.45%		9.28%		6.71%		-6.33%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,942		$4,098		$4,570		$4,069		$3,860
Ratio of Total Expenses to Average Net Assets	0.22%		0.22%		0.22%		0.22%		0.21%
Ratio of Net Investment Income to Average Net Assets	3.57%		4.08%		3.87%		3.92%		4.18%
Portfolio Turnover Rate	34%3		32%3		27%		24%		35%4

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 1% and 0% attributable to mortgage-dollar-roll activity.

4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

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Long-Term Investment-Grade Fund

Financial Highlights

Admiral Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$9.79		$10.40		$10.06		$10.00		$11.34
Investment Operations
Net Investment Income	.392	1	.407	1	.415	1	.426		.440
Net Realized and Unrealized Gain (Loss) on Investments	1.853		(.560	)	.520		.260		(1.148	)
Total from Investment Operations	2.245		(.153	)	.935		.686		(.708	)
Distributions
Dividends from Net Investment Income	(.409	)	(.423	)	(.431	)	(.445	)	(.456	)
Distributions from Realized Capital Gains	(.146	)	(.034	)	(.164	)	(.181	)	(.176	)
Total Distributions	(.555	)	(.457	)	(.595	)	(.626	)	(.632	)
Net Asset Value, End of Period	$11.48		$9.79		$10.40		$10.06		$10.00
Total Return2	23.43%		-1.35%		9.39%		6.82%		-6.23%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$15,335		$12,820		$11,925		$10,336		$9,946
Ratio of Total Expenses to Average Net Assets	0.12%		0.12%		0.12%		0.11%		0.12%
Ratio of Net Investment Income to Average Net Assets	3.67%		4.18%		3.97%		4.03%		4.27%
Portfolio Turnover Rate	34%3		32%3		27%		24%		35%4

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 1% and 0% attributable to mortgage-dollar-roll activity.

4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.

See accompanying Notes, which are an integral part of the Financial Statements.

106

Long-Term Investment-Grade Fund

Notes to Financial Statements

Vanguard Long-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.   The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Futures Contracts: The fund uses 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

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Long-Term Investment-Grade Fund

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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 4% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).

During the year ended January 31, 2020, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

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Long-Term Investment-Grade Fund

5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell 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. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. 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 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 fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations 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 associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The 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

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Long-Term Investment-Grade Fund

at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended January 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 18% and less than 1% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

6. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.

The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

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Long-Term Investment-Grade Fund

Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended January 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.

7. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

8. 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 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 or Payables for Investment Securities Purchased in the Statement of Net Assets.

9. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified

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Long-Term Investment-Grade Fund

counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

10. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

11. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

12. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

13. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

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Long-Term Investment-Grade Fund

B.   Wellington Management Company LLP provides investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor.

Vanguard provides investment advisory services to a portion of the fund as described below; the fund paid Vanguard advisory fees of $239,000 for the year ended January 31, 2020.

For the year ended January 31, 2020, the aggregate investment advisory fee paid to all advisors represented an effective annual rate of 0.02% of the fund’s average net assets.

C.   In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $849,000, representing less than 0.01% of the fund’s net assets and 0.34% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.   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 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

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Long-Term Investment-Grade Fund

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	2,173,203	—
Asset-Backed/Commercial Mortgage-Backed Securities	—	123,468	—
Corporate Bonds	—	14,876,487	—
Sovereign Bonds	—	253,943	—
Taxable Municipal Bonds	—	2,053,672	—
Temporary Cash Investments	71,877	589,000	—
Option Purchased	5	60	—
Option Written	(41)	(133)	—
Futures Contracts—Assets1	2,753	—	—
Futures Contracts—Liabilities1	(1,072)	—	—
Forward Currency Contracts—Assets	—	386	—
Forward Currency Contracts—Liabilities	—	(22)	—
Swap Contracts—Assets	121	161	—
Swap Contracts—Liabilities	(4,692)1	(233)	—
Total	68,842	20,069,992	—
1 Represents variation margin on the last day of the reporting period.

E.   At January 31, 2020, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

		Interest Rate	Currency	Credit
		Contracts	Contracts	Contracts	Total
Statement of Net Assets Caption		($000)	($000)	($000)	($000)
Options Purchased		30	—	35	65
Variation Margin Receivable—Futures Contracts		2,753	—	—	2,753
Variation Margin Receivable—CC Swap Contracts		4	—	8	12
Unrealized Appreciation—Forward Currency Contracts		—	386	—	386
Unrealized Appreciation—OTC Swap Contracts		—	—	161	161
Total Assets		2,787	386	204	3,377
Options Written		(112)	—	(62)	(174)
Variation Margin Payable—Futures Contracts		(1,072)	—	—	(1,072)
Variation Margin Payable—CC Swap Contracts		(3)	—	(4,689)	(4,692)
Unrealized Depreciation—Forward Currency Contracts		—	(22)	—	(22)
Unrealized Depreciation—OTC Swap Contracts	—		—	(233)	(233)
Total Liabilities	(1,187)		(22)	(4,984)	(6,193)

114

Long-Term Investment-Grade Fund

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2020, were:

	Interest Rate		Currency	Credit
	Contracts		Contracts	Contracts	Total
Realized Net Gain (Loss) on Derivatives	($000)		($000)	($000)	($000)
Futures Contracts	88,296		—	—	88,296
Options Purchased	63		—	(96)	(33)
Options Written	436		—	353	789
Swap Contracts	(6,854)		—	62,319	55,465
Forward Currency Contracts	—		488	—	488
Realized Net Gain (Loss) on Derivatives	81,941		488	62,576	145,005
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts		(693)	—	—	(693)
Options Purchased		—	—	2	2
Options Written		(35)	—	32	(3)
Swap Contracts		(79)	—	(3,745)	(3,824)
Forward Currency Contracts		—	464	—	464
Change in Unrealized Appreciation (Depreciation) on Derivatives		(807)	464	(3,711)	(4,054)

F.   Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions, foreign currency transactions, distributions in connection with fund share redemptions, and swap agreements were reclassified between the following accounts:

	Amount
	($000)
Paid-in Capital	128,631
Total Distributable Earnings (Loss)	(128,631)

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the realization of unrealized gains or losses on certain futures contracts, forward currency contracts and options; payables

115

Long-Term Investment-Grade Fund

for distributions; and the tax recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	48,248
Undistributed Long-Term Gains	85,827
Capital Loss Carryforwards (Non-expiring)*	-
Net Unrealized Gains (Losses)	3,214,906

* The fund used capital loss carryforwards of $103,547,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	16,933,854
Gross Unrealized Appreciation	3,216,222
Gross Unrealized Depreciation	(1,311)
Net Unrealized Appreciation (Depreciation)	3,214,911

G.   During the year ended January 31, 2020, the fund purchased $4,696,594,000 of investment securities and sold $5,183,666,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,991,144,000 and $1,402,475,000, respectively. Total purchases and sales include $0 and $619,972,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

H.   Capital share transactions for each class of shares were:

			Year Ended January 31,
		2020		2019
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	735,547	69,079	602,780	61,987
Issued in Lieu of Cash Distributions	222,754	20,587	180,741	18,566
Redeemed	(841,881)	(77,813)	(984,301)	(101,375)
Net Increase (Decrease)—Investor Shares	116,420	11,853	(200,780)	(20,822)
Admiral Shares
Issued	2,992,646	277,964	2,988,931	307,348
Issued in Lieu of Cash Distributions	605,130	55,918	452,831	46,505
Redeemed	(3,331,045)	(307,633)	(1,852,535)	(190,934)
Net Increase (Decrease)—Admiral Shares	266,731	26,249	1,589,227	162,919

I.   Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

116

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund and Vanguard Long-Term Investment-Grade Fund

Opinions on the Financial Statements

We have audited the accompanying statements of net assets—investments summary of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund and Vanguard Long-Term Investment-Grade Fund and statement of assets and liabilities of Vanguard Intermediate-Term Investment-Grade Fund (three of the funds constituting Vanguard Fixed Income Securities Funds, hereafter collectively referred to as the “Funds”) as of January 31, 2020, the related statements of operations for the year ended January 31, 2020, the statements of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended January 31, 2020 and each of the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

117

Special 2019 tax information (unaudited) for Vanguard Short-Term Investment-Grade Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 76.3% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Intermediate-Term Investment-Grade Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $1,554,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For nonresident alien shareholders, 75.8% of income dividends are interest-related dividends.

Special 2019 tax information (unaudited) for Vanguard Long-Term Investment-Grade Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $143,965,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.

For nonresident alien shareholders, 76.0% of income dividends are interest-related dividends.

118

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NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE CORPORATE BOND FUNDS.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

119

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

 

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All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

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All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q390 032020

 

Annual Report | January 31, 2020

Vanguard Ultra-Short-Term Bond Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. 

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents

A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
Advisor’s Report	3
About Your Fund’s Expenses	6
Performance Summary	8
Financial Statements	10

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.

A Note From Our Chairman

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

March 3, 2020

1

Your Fund’s Performance at a Glance

 •  The fiscal year ended January 31, 2020, was marked by concerns about global growth, trade disputes, geopolitical tensions, and uncertainty surrounding the United Kingdom’s exit from the European Union. The more challenging outlook prompted the U.S. Federal Reserve to cut short-term interest rates three times in 2019 after raising them four times in 2018. Other major central banks adopted more accommodative monetary policies as well.

•  Fed action contributed to short-term yields falling; longer-term yields fell amid lower growth and inflation expectations. The average yield spread for corporate bonds versus Treasuries narrowed.

•  Vanguard Ultra-Short-Term Bond Fund returned 3.21% for Investor Shares and 3.31% for Admiral Shares. These results were above the 2.91% return of the benchmark index.

•  That index consists of a single bond (the most recently issued 1-year Treasury). The fund, however, maintains exposure to investment-grade credit, securitized issues, and money market securities.

•  Over the period, the relative performance of the fund was driven primarily by its allocations to corporate bonds and asset-backed securities.

Market Barometer

	Average Annual Total Returns
	Periods Ended January 31, 2020
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	21.39%	14.33%	12.13%
Russell 2000 Index (Small-caps)	9.21	7.28	8.23
Russell 3000 Index (Broad U.S. market)	20.53	13.82	11.85
FTSE All-World ex US Index (International)	10.28	7.74	5.24
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index
(Broad taxable market)	9.64%	4.62%	3.01%
Bloomberg Barclays Municipal Bond Index
(Broad tax-exempt market)	8.65	5.12	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.18	1.68	1.07
CPI
Consumer Price Index	2.49%	2.04%	2.00%

2

Advisor’s Report

For the 12 months ended January 31, 2020, Vanguard Ultra-Short-Term Bond Fund returned 3.21% for Investor Shares and 3.31% for Admiral Shares. Its benchmark, the Bloomberg Barclays U.S. Treasury Bellwethers: 1 Year Index, which consists of a single 1-year Treasury note, returned 2.91%.

The fund’s 30-day SEC yield declined from close to 3% to about 2%. This yield is a proxy for a portfolio’s potential annualized rate of income.

Investment environment

The financial markets were driven largely by shifts in the outlook for global growth and monetary policy during the fiscal year.

Gross domestic product—the broadest measure of economic activity—expanded at an annual rate of about 3% after adjusting for inflation in the first quarter of 2019. Its pace of growth then slowed amid weaker business confidence, trade disputes, and lessening effects from tax cuts.

The unemployment rate hit a half-century low during the period, which helped keep consumers spending, but the pace of job gains softened. Inflation remained tame. The annualized core consumer price index (which excludes the volatile food and energy segments) stayed at or a little above 2%.

After raising rates four times in 2018, the Federal Reserve began to reverse gears in March 2019 with an announcement that it would end its balance-sheet drawdown. It went on to lower the federal funds rate in August, September, and October. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to cushion the effects of trade policies and prolong an economic expansion already in its 11th year.

Rate cuts and slowing growth contributed to declines in yields across the maturity spectrum. The U.S. Treasury yield curve was inverted for part of the period—yields of shorter-term bonds were higher than those of longer-term bonds. But it finished the year displaying a more typical upward slope.

Yields of U.S. Treasury Securities

	January 31,	January 31,
Maturity	2019	2020
2 years	2.46%	1.31%
3 years	2.43	1.33
5 years	2.44	1.31
10 years	2.63	1.51
30 years	3.00	2.00

Source: Vanguard.

3

Fed action pushed shorter-term U.S. Treasury yields significantly lower. The yield of the 2-year Treasury note fell to 1.31% from 2.46% at the end of January 2019.

Demand for longer-term Treasury bonds was supported by escalating trade tensions, geopolitical flare-ups, and political uncertainties in Europe early in the year. While some of those concerns lessened later on, yields on these securities finished lower. The yield of the bellwether 10-year Treasury note ended down 112 basis points at 1.51%. (A basis point is one-hundredth of a percentage point.)

Management of the fund

The fund’s mandate is to generate income for investors without taking on meaningful interest rate risk. We look for diversified sources to generate that income. The challenge during this fiscal year was that the yield curve inverted at times; this compressed risk premia in all the traditional spread sectors we consider investing in.

Because we remained positive on the very front end of spread curves, we still had significant allocations to corporate paper and asset-backed securities maturing in 1 year or less. These were mostly high-quality securities made up of pooled auto loans, credit-card debt, and student loans. Fears of a recession arose in the first part of the period, but market sentiment improved later on and credit spreads tightened, which helped the fund outperform its benchmark.

As we don’t take directional interest rate bets, we maintained the fund’s duration (a measure of the sensitivity of bond and bond mutual fund prices to changes in interest rates) at close to one year, in line with that of its benchmark.

Outlook

Global growth is set to keep softening, with trade tensions and policy uncertainty unlikely to lessen substantially. The U.S. economy may fall below 2% trend growth in 2020, according to our economists in Vanguard Investment Strategy Group.

Other major regions are likely to see a deceleration as well in 2020. China, the world’s second-largest economy, is set to slow. The coronavirus will weigh on it in the near term, but we foresee the potential for a rebound in the second half of the year amid anticipated government stimulus. In the euro area, growth may stay weak at about 1%.

This backdrop, along with modest wage gains and structural factors such as technological advancements and globalization, is unlikely to support a sustained rebound in inflation. In the United States, inflation may trend closer to the Fed’s target, but—given the structural forces still in play—not much higher.

Going forward, we may see bouts of volatility related to growth, inflation, and interest rate expectations. But it’s worth restating that investors should look beyond short-term market movements and adhere to a long-term investment plan. Even in a

4

low-yield environment, bonds can play a useful role as ballast in a portfolio, helping to provide downside protection from riskier assets such as equities.

Whatever the markets may bring, our experienced team of credit analysts, traders, quantitative analysts, and risk managers will continue to seek out opportunities to add to the fund’s performance.

Samuel C. Martinez, CFA,

Portfolio Manager

Daniel Shaykevich, Principal

and Portfolio Manager

Arvind Narayanan, CFA,

Portfolio Manager

Vanguard Fixed Income Group

February 21, 2020

5

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.

6

Six Months Ended January 31, 2020

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Ultra-Short-Term Bond Fund	7/31/2019	1/31/2020	Period
Based on Actual Fund Return
Investor Shares	$1,000.00	$1,014.36	$1.02
Admiral™ Shares	1,000.00	1,014.36	0.51
Based on Hypothetical 5% Yearly Return
Investor Shares	$1,000.00	$1,024.20	$1.02
Admiral Shares	1,000.00	1,024.70	0.51

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

7

Ultra-Short-Term Bond Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: February 24, 2015, Through January 31, 2020

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
			Since	Final Value
		One	Inception	of a $10,000
		Year	(2/24/2015)	Investment
	Ultra-Short-Term Bond Fund Investor Shares	3.21%	1.67%	$10,854
	Bloomberg Barclays U.S. Treasury Bellwethers: 1 Year Index	2.91	1.38	10,701
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.25	11,707

"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standard(s).

		Since	Final Value
	One	Inception	of a $50,000
	Year	(2/24/2015)	Investment
Ultra-Short-Term Bond Fund Admiral Shares	3.31%	1.77%	$54,510
Bloomberg Barclays U.S. Treasury Bellwethers: 1 Year Index	2.91	1.38	53,503
Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.25	58,537

"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).

See Financial Highlights for dividend and capital gains information.

8

Ultra-Short-Term Bond Fund

Sector Diversification

As of January 31, 2020

Asset-Backed/Commercial Mortgage-Backed	41.6%
Finance	21.8
Foreign	7.9
Industrial	15.7
Utilities	1.8
Short-Term Reserves	11.2

The table reflects the fund’s market exposure. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

9

Ultra-Short-Term Bond Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
Asset-Backed/Commercial Mortgage-Backed Securities (41.7%)
1	Ally Auto Receivables Trust 2017-5	2.220%	10/17/22	1,600		1,607
1	Ally Master Owner Trust Series 2017-3	2.040%	6/15/22	55,000		55,051
1	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23	10,640		10,851
1	American Express Credit Account Master Trust 2017-1	2.100%	9/15/22	8,586		8,586
1	AmeriCredit Automobile Receivables Trust 2016-2	3.650%	5/9/22	195		197
1	AmeriCredit Automobile Receivables Trust 2016-4	2.410%	7/8/22	34,000		34,098
1	AmeriCredit Automobile Receivables Trust 2017-4	2.040%	7/18/22	6,305		6,307
1	AmeriCredit Automobile Receivables Trust 2019-3	2.170%	1/18/23	11,000		11,020
1,2	ARI Fleet Lease Trust 2017-A	1.910%	4/15/26	1,218		1,217
1,2	ARI Fleet Lease Trust 2018-B	3.220%	8/16/27	5,518		5,570
1,2	ARL Second LLC 2014-1A	2.920%	6/15/44	169		170
1,2	Avis Budget Rental Car Funding AESOP LLC 2014-2A	2.500%	2/20/21	7,039		7,040
1,2	Avis Budget Rental Car Funding AESOP LLC 2015-1A	2.500%	7/20/21	15,748		15,761
1,2	Avis Budget Rental Car Funding AESOP LLC 2015-2A	2.630%	12/20/21	20,930		21,007
1,2	Avis Budget Rental Car Funding AESOP LLC 2016-1A	2.990%	6/20/22	11,830		11,985
1,2	Avis Budget Rental Car Funding AESOP LLC 2016-2A	2.720%	11/20/22	5,245		5,306
1	BMW Vehicle Lease Trust 2019-1	2.840%	11/22/21	21,000		21,203
1	BMW Vehicle Lease Trust 2019-1	2.920%	8/22/22	6,500		6,606
1,3	Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800%	2.710%	2/25/30	96		96
1	California Republic Auto Receivables Trust 2016-2	2.520%	5/16/22	210		211
1	California Republic Auto Receivables Trust 2018-1	3.140%	8/15/22	14,382		14,463
1	California Republic Auto Receivables Trust 2018-1	3.560%	3/15/23	5,000		5,099
1,2	Canadian Pacer Auto Receivables Trust A Series 2018	3.000%	6/21/21	3,563		3,570
1,2	Canadian Pacer Auto Receivables Trust A Series 2019	2.780%	3/21/22	21,821		21,928

10

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
1,2	Canadian Pacer Auto Receivable Trust A Series 2020	1.770%	11/21/22	32,500		32,498
1	Capital Auto Receivables Asset Trust 2016-3	2.650%	1/20/24	40		40
1,2	Capital Auto Receivables Asset Trust 2018-1	2.930%	6/20/22	4,025		4,057
1,2	Capital Auto Receivables Asset Trust 2018-2	3.270%	6/20/23	15,000		15,097
1	CarMax Auto Owner Trust 2016-2	2.160%	12/15/21	90		90
1	CarMax Auto Owner Trust 2016-3	1.390%	5/17/21	292		292
1	CarMax Auto Owner Trust 2016-4	2.910%	4/17/23	6,520		6,551
1	CarMax Auto Owner Trust 2018-1	2.480%	11/15/22	24,083		24,224
1	CarMax Auto Owner Trust 2019-1	3.050%	3/15/24	1,850		1,888
1	CarMax Auto Owner Trust 2019-4	2.010%	3/15/23	23,000		23,073
1,2	Chesapeake Funding II LLC 2017-2A	1.990%	5/15/29	2,503		2,504
1,2	Chesapeake Funding II LLC 2017-3A	1.910%	8/15/29	7,102		7,100
1,2	Chesapeake Funding II LLC 2017-4A	2.120%	11/15/29	17,070		17,085
1,2	Chesapeake Funding II LLC 2018-1	3.040%	4/15/30	9,721		9,820
1,2	Chesapeake Funding II LLC 2018-2A	3.230%	8/15/30	54,640		55,628
1,2	Chesapeake Funding II LLC 2019-1	2.940%	4/15/31	21,505		21,801
1,2	Chesapeake Funding II LLC 2019-2	1.950%	9/15/31	28,762		28,709
1,2	Chrysler Capital Auto Receivables Trust 2016-AA	4.220%	2/15/23	570		572
1,2	Chrysler Capital Auto Receivables Trust 2016-BA	1.870%	2/15/22	11,351		11,354
1	CNH Equipment Trust 2019-A	2.960%	5/16/22	3,605		3,624
1	COMM 2014-CCRE14 Mortgage Trust	3.147%	2/10/47	31		31
1,2	Dell Equipment Finance Trust 2018-1	3.180%	6/22/23	3,990		4,026
1,2	Dell Equipment Finance Trust 2019-1	2.780%	8/23/21	17,496		17,568
1,2	DLL Securitization Trust Series 2018-A2	3.140%	10/20/20	2,844		2,845
1,2	DLL Securitization Trust Series 2018-A3	3.460%	1/20/22	18,980		19,175
1,2	DLL Securitization Trust Series 2018-A4	3.590%	6/20/24	180		185
1,2	DLL Securitization Trust Series 2019-DA1	2.790%	11/22/21	21,606		21,686
1,2	DLL Securitization Trust Series 2019-MA2	2.270%	5/20/22	50,000		50,085
1,2	DLL Securitization Trust Series 2019-MT3	2.130%	1/20/22	50,000		50,069
1,2	Drive Auto Receivables Trust 2016-BA	4.530%	8/15/23	1,429		1,443
1,2	Drive Auto Receivables Trust 2016-C	4.180%	3/15/24	1,111		1,124
1	Drive Auto Receivables Trust 2017-1	3.840%	3/15/23	5,357		5,411
1	Drive Auto Receivables Trust 2018-1	3.810%	5/15/24	15,825		16,096
1	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24	4,031		4,054
1	Drive Auto Receivables Trust 2018-3	3.370%	9/15/22	979		979
1	Drive Auto Receivables Trust 2018-5	3.340%	10/15/22	21,462		21,500
1	Drive Auto Receivables Trust 2018-5	3.680%	7/15/23	5,550		5,599
1	Drive Auto Receivables Trust 2018-5	3.990%	1/15/25	4,488		4,603
1	Drive Auto Receivables Trust 2019-2	3.040%	3/15/23	5,890		5,924
1	Drive Auto Receivables Trust 2019-2	3.170%	11/15/23	18,000		18,194
1	Drive Auto Receivables Trust 2019-3	2.630%	9/15/22	7,495		7,511
1	Drive Auto Receivables Trust 2019-4	2.230%	1/16/24	13,400		13,419
1	Drive Auto Receivables Trust 2020-1	1.990%	12/15/22	13,000		13,018
1,2	Drive Auto Receivables Trust 2020-1	1.940%	9/15/23	15,000		15,000
1	Drive Auto Receivables Trust 2020-1	2.020%	11/15/23	3,310		3,321
1,2	DT Auto Owner Trust 2018-3	3.020%	2/15/22	6,320		6,330
1,2	DT Auto Owner Trust 2019-2A	2.850%	9/15/22	8,012		8,039
1,2	DT Auto Owner Trust 2019-3	2.550%	8/15/22	8,699		8,719
1,2	Enterprise Fleet Financing LLC Series 2017-1	2.130%	7/20/22	191		191
1,2	Enterprise Fleet Financing LLC Series 2017-2	1.970%	1/20/23	5,344		5,346
1,2	Enterprise Fleet Financing LLC Series 2017-3	2.130%	5/22/23	4,097		4,103

11

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
1,2	Enterprise Fleet Financing LLC Series 2018-1	2.870%	10/20/23	7,892		7,937
1,2	Enterprise Fleet Financing LLC Series 2018-3	3.380%	5/20/24	10,597		10,748
1,2	Enterprise Fleet Financing LLC Series 2019-1	2.980%	10/20/24	10,666		10,782
1,2	Enterprise Fleet Financing LLC Series 2019-3	2.060%	5/20/25	22,010		22,185
1,2	Evergreen Credit Card Trust 2018-1	2.950%	3/15/23	3,750		3,796
1,2,3,4	Fannie Mae Connecticut Avenue Securities 2019-R03, 1M USD LIBOR + 0.750%	2.411%	9/25/31	924		924
1,2,3,4	Fannie Mae Connecticut Avenue Securities 2019-R04, 1M USD LIBOR + 0.750%	2.411%	6/25/39	11,285		11,289
1,2,3,4	Fannie Mae Connecticut Avenue Securities 2019-R05, 1M USD LIBOR + 0.750%	2.411%	7/25/39	4,610		4,612
1,2,3,4	Fannie Mae Connecticut Avenue Securities 2019-R06, 1M USD LIBOR + 0.750%	2.411%	9/25/39	22,288		22,301
1,2,3,4	Fannie Mae Connecticut Avenue Securities 2019-R07, 1M USD LIBOR + 0.770%	2.431%	10/25/39	34,007		34,017
1	Fifth Third Auto Trust 2019-1	2.660%	5/16/22	16,818		16,884
1,2	Flagship Credit Auto Trust 2017-1	2.830%	3/15/23	608		609
1,2	Flagship Credit Auto Trust 2017-4	2.070%	4/15/22	2,578		2,578
1,2	Flagship Credit Auto Trust 2018-1	2.590%	6/15/22	4,829		4,834
1,2	Flagship Credit Auto Trust 2018-3	3.070%	2/15/23	6,929		6,970
1	Ford Credit Auto Lease Trust 2018-A	3.050%	8/15/21	18,750		18,864
1	Ford Credit Auto Lease Trust 2018-A	3.170%	9/15/21	220		222
1	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22	16,490		16,673
1	Ford Credit Auto Lease Trust 2020-A	1.800%	7/15/22	19,000		19,025
1	Ford Credit Auto Lease Trust 2020-A	1.850%	3/15/23	13,200		13,237
1,2	Ford Credit Auto Owner Trust 2015-REV2	2.440%	1/15/27	50,000		50,126
1	Ford Credit Auto Owner Trust 2016-B	1.520%	8/15/21	274		274
1,2	Ford Credit Auto Owner Trust 2016-REV2	2.030%	12/15/27	16,724		16,766
1	Ford Credit Floorplan Master Owner Trust A Series 2017-2	2.340%	9/15/22	3,000		3,009
1	Ford Credit Floorplan Master Owner Trust A Series 2018-3	3.520%	10/15/23	12,726		13,121
1,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA3, 1M USD LIBOR + 2.000%	3.661%	12/25/28	20		20
1,2,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1	3.734%	2/25/48	953		959
1,2,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI2	3.813%	5/25/48	886		892
1,2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA3, 1M USD LIBOR + 0.730%	2.391%	7/25/49	2,125		2,125
1,2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4, 1M USD LIBOR + 0.700%	2.361%	10/25/49	3,807		3,808
1,2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2, 1M USD LIBOR + 0.700%	2.361%	4/25/49	1,401		1,401
1,2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA3, 1M USD LIBOR + 0.750%	2.411%	9/25/49	3,011		3,012
1,2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA1, 1M USD LIBOR + 0.700%	2.359%	1/25/50	10,200		10,200

12

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
§,1,2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA1, 1M USD LIBOR + 0.750%	2.399%	1/25/50	3,800		3,800
1	GM Financial Automobile Leasing Trust 2017-3	2.730%	9/20/21	450		450
1	GM Financial Automobile Leasing Trust 2019-2	2.670%	6/21/21	17,633		17,701
1	GM Financial Automobile Leasing Trust 2019-3	2.030%	6/20/22	14,570		14,595
1,2	GM Financial Consumer Automobile 2017-3	2.130%	3/16/23	1,500		1,509
1,2	GM Financial Consumer Automobile 2017-3	2.330%	3/16/23	40		40
1	GM Financial Consumer Automobile 2020-1	1.830%	1/17/23	10,000		10,021
1,2	GMF Floorplan Owner Revolving Trust 2017-2	2.130%	7/15/22	55,000		55,046
1,2	GMF Floorplan Owner Revolving Trust 2018-1	3.060%	3/15/22	3,250		3,254
1,2	GMF Floorplan Owner Revolving Trust 2018-1	3.250%	3/15/22	3,000		3,002
1,2	GMF Floorplan Owner Revolving Trust 2018-1	3.500%	3/15/22	4,624		4,629
1,2	GMF Floorplan Owner Revolving Trust 2018-3	3.680%	9/15/22	1,430		1,442
1,2	GMF Floorplan Owner Revolving Trust 2018-4	3.440%	3/15/23	1,144		1,159
1,2	GMF Floorplan Owner Revolving Trust 2018-4	3.500%	9/15/23	40,025		41,149
1,2	Golden Credit Card Trust 2018-1A	2.620%	1/15/23	370		373
1,2,3	Gosforth Funding 2017-1A plc, 3M USD LIBOR + 0.470%	2.373%	12/19/59	6,301		6,301
1,2,3	Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450%	2.360%	8/25/60	8,251		8,243
1,2	GreatAmerica Leasing Receivables Funding LLC Series 2019-1	2.970%	6/15/21	18,283		18,346
2	GTP Acquisition Partners I LLC	2.350%	6/15/20	1,070		1,070
1	Harley-Davidson Motorcycle Trust 2019-A	2.370%	5/15/22	13,798		13,823
1	Harley-Davidson Motorcycles 2020-A	1.830%	1/17/23	17,000		17,021
1,2	Hertz Fleet Lease Funding LP 2018-1	3.230%	5/10/32	25,417		25,631
1,2	Hertz Fleet Lease Funding LP 2019-1	2.700%	1/10/33	43,500		43,950
1,2	Hertz Vehicle Financing II LP 2015-1A	2.730%	3/25/21	34,664		34,693
1,2	Hertz Vehicle Financing II LP 2015-2A	2.960%	10/25/21	40,000		40,250
1,2	Hertz Vehicle Financing II LP 2015-3A	2.670%	9/25/21	21,102		21,178
1,2	Hertz Vehicle Financing II LP 2016-2A	2.950%	3/25/22	1,743		1,763
1,2,3	Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360%	2.191%	10/15/54	6,480		6,479
1,2,3	Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.251%	10/15/54	8,181		8,178
1	Honda Auto Receivables 2017-4 Owner Trust	2.210%	3/21/24	800		805
1,2	HPEFS Equipment Trust 2019-1	2.190%	9/20/29	10,600		10,623
1,2	HPEFS Equipment Trust 2019-1	2.210%	9/20/29	2,100		2,108
1,2	Hyundai Auto Lease Securitization Trust 2019-A	2.980%	7/15/22	15,000		15,203
1,2	Hyundai Auto Lease Securitization Trust 2019-B	2.040%	8/15/22	16,130		16,210

13

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
1,2	Hyundai Auto Lease Securitization Trust 2020-A	1.950%	7/17/23	14,730		14,802
1,2	Kubota Credit Owner Trust 2018-1A	2.800%	2/16/21	3,490		3,492
1,2,3	Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420%	2.319%	12/22/69	3,968		3,959
1,3	Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.319%	12/22/69	15,320		15,327
1	Mercedes-Benz Auto Lease Trust 2019-A	2.000%	10/17/22	5,820		5,837
1	Mercedes-Benz Auto Lease Trust 2020-A	1.840%	12/15/22	16,870		16,900
1,2	MMAF Equipment Finance LLC 2018-A	2.920%	7/12/21	2,790		2,796
1,2	MMAF Equipment Finance LLC 2019-A	2.840%	1/10/22	17,362		17,450
1,2	MMAF Equipment Finance LLC 2019-B	2.070%	10/12/22	16,250		16,278
1,2,3	Motor plc 2017-1A, 1M USD LIBOR + 0.530%	2.191%	9/25/24	3,275		3,274
1,2	Navient Student Loan Trust 2018-A	2.530%	2/18/42	7,361		7,369
1,2	Navient Student Loan Trust 2019-A	3.030%	1/15/43	3,151		3,160
1,2,3	Navient Student Loan Trust 2019-A, 1M USD LIBOR + 0.400%	2.076%	12/15/59	15,130		15,131
1,2	Navient Student Loan Trust 2019-CA	2.820%	2/15/68	21,976		22,061
1,2	Navient Student Loan Trust 2019-E	2.390%	5/15/68	43,339		43,574
1,2	Navient Student Loan Trust 2019-F	2.180%	8/15/68	19,302		19,352
1,3	New Mexico Educational Assistance Foundation 2013-1, 1M USD LIBOR + 0.700%	2.481%	1/2/25	44		44
1	Nissan Auto Lease Trust 2019-A	2.710%	7/15/21	30,850		30,958
1	Nissan Auto Lease Trust 2019-B	2.270%	7/15/22	27,000		27,221
1	Nissan Auto Lease Trust 2020-A	1.800%	5/16/22	36,000		36,058
1	Nissan Auto Lease Trust 2020-A	1.840%	1/17/23	17,600		17,665
1	Nissan Auto Receivables 2017-C Owner Trust	2.280%	2/15/24	320		322
1,2,3	Pepper Residential Securities Trust 2018-A, 1M USD LIBOR + 0.950%	2.634%	3/12/47	2,756		2,757
1,2,3	Pepper Residential Securities Trust 2019-1, 1M USD LIBOR + 0.480%	2.164%	10/13/20	30,000		30,028
1,2,3	Pepper Residential Securities Trust 2019-1A, 1M USD LIBOR + 0.350%	2.027%	4/14/20	24,000		23,998
1,2,3	Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880%	2.550%	1/16/60	9,329		9,323
1,2,3	Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000%	2.654%	6/20/60	17,208		17,201
1,2,3	Pepper Residential Securities Trust 2024-A1U, 1M USD LIBOR + 0.900%	2.554%	11/18/60	13,154		13,161
1,2,3	Permanent Master Issuer plc 2018-1A, 3M USD LIBOR + 0.380%	2.211%	7/15/58	14,963		14,961
1,2	PFS Financing Corp 2017-B	2.220%	7/15/22	340		341
1,2	PFS Financing Corp. 2017-D	2.400%	10/17/22	430		432
1,2	PFS Financing Corp. 2018-D	3.190%	4/17/23	250		254
1,2,3	Resimac Premier Series 2017-1A, 1M USD LIBOR + 0.950%	2.634%	9/11/48	6,793		6,799
1,2,3	Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850%	2.584%	12/5/59	10,540		10,547
1	Santander Drive Auto Receivables Trust 2016-3	2.800%	8/15/22	5,500		5,541
1	Santander Drive Auto Receivables Trust 2017-2	3.490%	7/17/23	10,000		10,138

14

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
1	Santander Drive Auto Receivables Trust 2017-3	2.760%	12/15/22	104		105
1	Santander Drive Auto Receivables Trust 2018-2	3.030%	9/15/22	13,183		13,207
1	Santander Drive Auto Receivables Trust 2018-3	3.290%	10/17/22	17,517		17,559
1	Santander Drive Auto Receivables Trust 2018-3	3.510%	8/15/23	16,000		16,172
1	Santander Drive Auto Receivables Trust 2018-5	3.190%	3/15/22	7,579		7,582
1,2	Santander Retail Auto Lease Trust 2018-A	2.930%	5/20/21	52,378		52,537
1,2	Santander Retail Auto Lease Trust 2019-B	2.290%	4/20/22	41,717		41,958
1,2	Santander Retail Auto Lease Trust 2019-C	1.890%	9/20/22	40,000		40,091
1,2	SBA Tower Trust	3.156%	10/8/20	50,000		50,043
1,2	Securitized Term Auto Receivables Trust 2018-1A	2.807%	12/29/20	1,452		1,451
1,2	Securitized Term Auto Receivables Trust 2018-1A	3.068%	1/25/22	21,760		21,880
1,2	Securitized Term Auto Receivables Trust 2018-1A	3.298%	11/25/22	2,147		2,192
1,2,3	SMB Private Education Loan Trust 2019-B,
	1M USD LIBOR + 0.350%	2.026%	7/15/26	10,641		10,640
1,2	SoFi Professional Loan Program 2018-A LLC	2.390%	2/25/42	16,586		16,614
1,2	SoFi Professional Loan Program 2018-B LLC	2.640%	8/25/47	11,406		11,424
1,2	SoFi Professional Loan Program 2018-C LLC	3.080%	1/25/48	18,471		18,552
1,2	SoFi Professional Loan Program 2018-D LLC	3.120%	2/25/48	12,784		12,861
1,2	SoFi Professional Loan Program 2019-A LLC	3.180%	6/15/48	13,349		13,434
1,2	SoFi Professional Loan Program 2019-B LLC	2.780%	8/17/48	27,502		27,648
1,2	SoFi Professional Loan Program 2019-C LLC	2.130%	11/16/48	19,574		19,624
1,2	SoFi Professional Loan Program 2020-A LLC	2.060%	5/15/46	12,000		12,027
1	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24	12,225		12,564
1,2	TCF Auto Receivables Owner Trust 2016-PT1	1.930%	6/15/22	4,811		4,808
1,2	Tesla Auto Lease Trust 2018-A	2.970%	4/20/20	77		77
1,2	Tesla Auto Lease Trust 2018-A	3.300%	5/20/20	290		290
1,2	Tesla Auto Lease Trust 2018-A	2.130%	4/20/22	29,000		29,052
1,2	Tesla Auto Lease Trust 2018-B	3.710%	8/20/21	15,418		15,660
1,2	Tidewater Auto Receivables Trust 2018-AA	3.120%	7/15/22	665		666
1	Toyota Auto Receivables 2019-B Owner Trust	2.570%	8/15/23	55,751		56,682
1,2	Transportation Finance Equipment Trust 2019-1	1.900%	1/24/22	18,000		17,991
1,2	Trillium Credit Card Trust II 2019-2A	3.038%	1/26/24	48,980		49,550
1,2	Trip Rail Master Funding LLC 2017-1A	2.709%	8/15/47	504		505
1	USAA Auto Owner Trust 2019-1	2.160%	7/17/23	6,890		6,931
1,2	Verizon Owner Trust 2017-2	2.380%	12/20/21	3,260		3,270
1,2	Verizon Owner Trust 2017-3	2.380%	4/20/22	340		341
1,2	Verizon Owner Trust 2017-3	2.530%	4/20/22	9,030		9,068
1,2	Verizon Owner Trust 2018-1	3.050%	9/20/22	350		353
1,2	Verizon Owner Trust 2018-1	3.200%	9/20/22	1,850		1,873
1	Verizon Owner Trust 2019-A	2.930%	9/20/23	49,303		50,346
1,2	VNDO 2013-PENN Mortgage Trust	4.079%	12/13/29	8,910		9,007
1,2	Volvo Financial Equipment LLC Series 2017-1A	1.920%	3/15/21	1,158		1,158
1	Wells Fargo Commercial Mortgage Trust 2013-LC12	1.676%	7/15/46	27		26
1	WFRBS Commercial Mortgage Trust 2013-C18	3.027%	12/15/46	1		1

15

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
1,2	Wheels SPV 2 LLC 2017-1A	1.880%	4/20/26	1,675		1,673
1	World Omni Auto Receivables Trust 2016-B	1.730%	7/15/23	2,510		2,507
1	World Omni Auto Receivables Trust 2018-A	2.500%	4/17/23	6,574		6,616
1	World Omni Auto Receivables Trust 2018-D	3.010%	4/15/22	15,037		15,098
1	World Omni Auto Receivables Trust 2019-B	2.630%	6/15/22	21,140		21,215
1	World Omni Automobile Lease Securitization Trust 2018-B	3.190%	12/15/21	679		688
1	World Omni Automobile Lease Securitization Trust 2019-A	2.890%	11/15/21	14,841		14,918
1	World Omni Automobile Lease Securitization Trust 2019-A	2.940%	5/16/22	17,500		17,778
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,871,643)						2,881,619
Corporate Bonds (39.3%)
Finance (21.8%)
	Banking (18.0%)
2	ABN AMRO Bank NV	2.650%	1/19/21	1,784		1,800
	American Express Co.	2.200%	10/30/20	28,605		28,660
2	ANZ New Zealand Int’l Ltd.	2.200%	7/17/20	4,095		4,102
2	ANZ New Zealand Int’l Ltd.	2.125%	7/28/21	30,000		30,169
2	Australia & New Zealand Banking Group Ltd.	4.875%	1/12/21	2,418		2,488
1	Bank of America Corp.	2.369%	7/21/21	65,000		65,159
3	Bank of Montreal, 3M USD LIBOR + 0.340%	2.188%	7/13/20	40,000		40,050
	Bank of New York Mellon Corp.	4.150%	2/1/21	17,664		18,083
	Bank of New York Mellon Corp.	2.050%	5/3/21	10,780		10,833
	Bank of New York Mellon Corp.	3.550%	9/23/21	16,040		16,501
2	Banque Federative du Credit Mutuel SA	2.200%	7/20/20	46,854		46,951
2	Banque Federative du Credit Mutuel SA	2.500%	4/13/21	3,000		3,027
	BPCE SA	2.650%	2/3/21	3,907		3,947
	BPCE SA	2.750%	12/2/21	1,950		1,986
	Capital One NA	2.250%	9/13/21	1,505		1,516
	Citibank NA	2.125%	10/20/20	17,095		17,138
1	Citibank NA	2.844%	5/20/22	3,000		3,041
	Citizens Bank NA	2.250%	10/30/20	3,500		3,509
	Citizens Bank NA	2.550%	5/13/21	13,725		13,845
	Commonwealth Bank of Australia	2.300%	3/12/20	27,090		27,107
	Commonwealth Bank of Australia	2.400%	11/2/20	21,615		21,719
2	Commonwealth Bank of Australia	2.000%	9/6/21	11,329		11,377
	Credit Suisse Group Funding Guernsey Ltd.	2.750%	3/26/20	25,000		25,032
	Credit Suisse Group Funding Guernsey Ltd.	3.450%	4/16/21	2,340		2,385
2	Danske Bank A/S	2.750%	9/17/20	49,155		49,360
	Discover Bank	7.000%	4/15/20	3,665		3,698
	Discover Bank	3.200%	8/9/21	4,017		4,097
2	DNB Bank ASA	2.125%	10/2/20	20,000		20,025
	Goldman Sachs Group Inc.	2.750%	9/15/20	63,100		63,351
3,5	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%	2.080%	8/26/20	3,450		2,317
	HSBC Bank USA NA	4.875%	8/24/20	10,000		10,169
	HSBC Holdings plc	3.400%	3/8/21	10,000		10,172
	HSBC Holdings plc	5.100%	4/5/21	780		809
	HSBC Holdings plc	2.950%	5/25/21	17,620		17,875
	HSBC USA Inc.	5.000%	9/27/20	15,000		15,300
	Huntington National Bank	2.375%	3/10/20	13,755		13,755
	Huntington National Bank	2.875%	8/20/20	16,561		16,644

16

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	ICICI Bank Ltd./Hong Kong	5.750%	11/16/20	2,800		2,872
2	ING Bank NV	2.050%	8/15/21	7,000		7,030
	JPMorgan Chase & Co.	2.295%	8/15/21	6,500		6,516
1	JPMorgan Chase Bank NA	3.086%	4/26/21	17,229		17,283
	Lloyds Bank plc	2.700%	8/17/20	9,013		9,060
2	Macquarie Bank Ltd.	2.850%	7/29/20	5,000		5,025
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21	11,513		11,660
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21	20,155		20,268
2	Mitsubishi UFJ Trust & Banking Corp.	2.650%	10/19/20	20,000		20,138
2	Mizuho Financial Group Inc.	2.632%	4/12/21	9,850		9,951
	Mizuho Financial Group Inc.	2.273%	9/13/21	6,545		6,589
	Morgan Stanley	2.800%	6/16/20	13,387		13,437
	Morgan Stanley	5.500%	7/24/20	9,900		10,073
	Morgan Stanley	5.750%	1/25/21	21,650		22,462
3	Morgan Stanley, SOFR + 0.700%	2.272%	1/20/23	20,000		20,041
2	MUFG Bank Ltd.	2.300%	3/5/20	11,830		11,836
	National Australia Bank Ltd.	2.500%	1/12/21	10,000		10,078
	National Australia Bank Ltd.	2.625%	1/14/21	20,000		20,175
	National Bank of Canada	2.150%	6/12/20	7,000		7,007
2	Nordea Bank AB	2.125%	5/29/20	4,370		4,375
	PNC Bank NA	2.600%	7/21/20	44,145		44,270
	PNC Bank NA	2.150%	4/29/21	14,856		14,912
	PNC Funding Corp.	5.125%	2/8/20	3,840		3,841
	Royal Bank of Canada	2.150%	10/26/20	53,790		53,963
	Santander Holdings USA Inc.	2.650%	4/17/20	19,205		19,218
	Santander UK Group Holdings plc	2.875%	10/16/20	6,078		6,123
	Santander UK Group Holdings plc	3.125%	1/8/21	5,000		5,058
	Santander UK plc	2.125%	11/3/20	1,500		1,504
	Santander UK plc	2.500%	1/5/21	5,194		5,231
	Sumitomo Mitsui Banking Corp.	2.650%	7/23/20	2,520		2,531
	Sumitomo Mitsui Banking Corp.	2.450%	10/20/20	2,290		2,298
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21	4,080		4,129
	Svenska Handelsbanken AB	3.350%	5/24/21	2,098		2,143
	Svenska Handelsbanken AB	1.875%	9/7/21	12,230		12,268
3	Toronto-Dominion Bank, 3M USD LIBOR + 0.280%	2.168%	6/11/20	20,000		20,025
	Truist Financial Corp.	2.625%	6/29/20	8,000		8,020
	Truist Financial Corp.	2.050%	5/10/21	10,000		10,038
2	UBS AG	2.450%	12/1/20	15,635		15,713
2	UBS Group Funding Jersey Ltd.	2.950%	9/24/20	30,142		30,361
2	UBS Group Funding Jersey Ltd.	3.000%	4/15/21	13,330		13,528
	US Bancorp	2.350%	1/29/21	4,250		4,271
	US Bancorp	4.125%	5/24/21	19,555		20,141
	Wells Fargo & Co.	4.600%	4/1/21	35,000		36,110
	Wells Fargo Bank NA	2.600%	1/15/21	5,000		5,044
	Westpac Banking Corp.	2.600%	11/23/20	11,200		11,279
3	Westpac Banking Corp., 3M USD LIBOR + 0.280%	2.190%	5/15/20	10,000		10,010
	Zions Bancorp NA	3.500%	8/27/21	15,360		15,692

17

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Brokerage (0.2%)
	Ameriprise Financial Inc.	5.300%	3/15/20	11,570		11,616
	Finance Companies (0.3%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.625%	10/30/20	21,492		21,868
	Insurance (3.2%)
2	AIG Global Funding	2.700%	12/15/21	3,910		3,972
	Anthem Inc.	2.500%	11/21/20	25,000		25,137
	Aon plc	2.800%	3/15/21	4,001		4,048
	AXIS Specialty Finance LLC	5.875%	6/1/20	4,600		4,657
	Chubb INA Holdings Inc.	2.300%	11/3/20	20,888		20,952
	Manulife Financial Corp.	4.900%	9/17/20	24,150		24,607
2	Metropolitan Life Global Funding I	1.950%	9/15/21	20,000		20,105
2	Metropolitan Life Global Funding I	3.450%	10/9/21	30,000		30,882
2	Pricoa Global Funding I	2.200%	6/3/21	12,000		12,068
2	Protective Life Global Funding	2.700%	11/25/20	50,840		51,230
	Prudential Financial Inc.	4.500%	11/15/20	1,423		1,453
2	Reliance Standard Life Global Funding II	3.050%	1/20/21	15,000		15,185
	WR Berkley Corp.	5.375%	9/15/20	6,618		6,738
	Real Estate Investment Trusts (0.1%)
	Federal Realty Investment Trust	2.550%	1/15/21	2,700		2,719
	Simon Property Group LP	2.500%	9/1/20	8,510		8,532
						1,507,363
Industrial (15.7%)
	Basic Industry (1.5%)
2	Air Liquide Finance SA	1.750%	9/27/21	15,965		15,978
	DuPont de Nemours Inc.	3.766%	11/15/20	13,000		13,193
	Eastman Chemical Co.	3.500%	12/1/21	18,332		18,869
	International Flavors & Fragrances Inc.	3.400%	9/25/20	24,000		24,200
	Newmont Corp.	3.625%	6/9/21	20,748		21,168
	Nutrien Ltd.	4.875%	3/30/20	12,850		12,915
	Capital Goods (0.6%)
	Caterpillar Financial Services Corp.	1.850%	9/4/20	5,091		5,094
	CNH Industrial Capital LLC	4.375%	11/6/20	6,060		6,166
	United Technologies Corp.	4.500%	4/15/20	29,000		29,164
	Communication (1.1%)
	America Movil SAB de CV	5.000%	3/30/20	1,909		1,918
	Charter Communications Operating LLC / Charter Communications Operating Capital	3.579%	7/23/20	20,848		20,968
2	Fox Corp.	3.666%	1/25/22	30,000		31,079
	Interpublic Group of Cos. Inc.	3.500%	10/1/20	24,000		24,251
	Consumer Cyclical (2.4%)
6	American Honda Finance Corp.	3.150%	1/8/21	15,000		15,207
3	American Honda Finance Corp., 3M USD LIBOR + 0.260%	2.154%	6/16/20	35,000		35,026
2	BMW US Capital LLC	2.150%	4/6/20	3,000		3,000
2	BMW US Capital LLC	3.250%	8/14/20	18,000		18,138
	General Motors Financial Co. Inc.	3.700%	11/24/20	9,000		9,118

18

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
2	Harley-Davidson Financial Services Inc.	2.150%	2/26/20	15,731		15,730
2	Harley-Davidson Financial Services Inc.	2.400%	6/15/20	6,650		6,649
2	Nissan Motor Acceptance Corp.	2.550%	3/8/21	16,540		16,599
	Toyota Motor Credit Corp.	3.050%	1/8/21	10,000		10,125
2	Volkswagen Group of America Finance LLC	3.875%	11/13/20	32,000		32,489
	Consumer Noncyclical (3.3%)
	AbbVie Inc.	2.300%	5/14/21	33,000		33,207
	AstraZeneca plc	2.375%	11/16/20	3,289		3,307
	Baxter International Inc.	1.700%	8/15/21	2,500		2,501
2	Bayer US Finance LLC	3.000%	10/8/21	6,220		6,343
2	Bristol-Myers Squibb Co.	2.550%	5/14/21	20,000		20,225
3	Cigna Corp., 3M USD LIBOR + 0.350%	2.250%	3/17/20	15,000		15,003
	CVS Health Corp.	2.800%	7/20/20	22,000		22,076
	CVS Health Corp.	2.125%	6/1/21	5,000		5,023
	Express Scripts Holding Co.	2.600%	11/30/20	15,000		15,082
	Mead Johnson Nutrition Co.	3.000%	11/15/20	11,770		11,885
2	Pernod Ricard SA	4.450%	1/15/22	25,000		26,235
	Reynolds American Inc.	6.875%	5/1/20	8,304		8,405
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21	30,000		30,240
	Zimmer Biomet Holdings Inc.	2.700%	4/1/20	32,000		32,020
	Energy (5.0%)
	Apache Corp.	3.625%	2/1/21	16,096		16,273
	BP Capital Markets America Inc.	4.500%	10/1/20	30,000		30,527
	BP Capital Markets plc	2.315%	2/13/20	19,000		19,002
	BP Capital Markets plc	3.561%	11/1/21	6,018		6,216
	Energy Transfer Operating LP	4.150%	10/1/20	20,000		20,300
	Enterprise Products Operating LLC	3.500%	2/1/22	25,000		25,828
	EOG Resources Inc.	4.100%	2/1/21	20,986		21,452
	Kinder Morgan Energy Partners LP	6.500%	4/1/20	4,000		4,030
	Kinder Morgan Energy Partners LP	5.300%	9/15/20	12,050		12,300
	Kinder Morgan Energy Partners LP	3.500%	3/1/21	5,000		5,086
	Kinder Morgan Energy Partners LP	5.000%	10/1/21	700		731
	Kinder Morgan Inc.	6.500%	9/15/20	5,551		5,710
2	Kinder Morgan Inc.	5.000%	2/15/21	1,790		1,843
	Marathon Petroleum Corp.	3.400%	12/15/20	11,733		11,870
	Marathon Petroleum Corp.	5.125%	3/1/21	17,535		18,147
2	Midwest Connector Capital Co. LLC	3.625%	4/1/22	5,835		6,019
	Pioneer Natural Resources Co.	3.450%	1/15/21	1,000		1,013
	Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21	2,035		2,079
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22	3,515		3,742
	Sabine Pass Liquefaction LLC	5.625%	2/1/21	23,168		23,747
	Shell International Finance BV	1.875%	5/10/21	31,700		31,816
	Sunoco Logistics Partners Operations LP	4.400%	4/1/21	2,000		2,048
	Total Capital International SA	2.218%	7/12/21	15,000		15,118
	TransCanada PipeLines Ltd.	3.800%	10/1/20	5,710		5,775
3	Western Midstream Operating LP, 3M USD LIBOR + 0.850%	2.698%	1/13/23	20,000		19,997
	Williams Cos. Inc.	5.250%	3/15/20	31,675		31,784

19

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Technology (0.6%)
	International Business Machines Corp.	2.800%	5/13/21	40,000		40,610
	Transportation (1.2%)
1	Burlington Northern and Santa Fe Railway Co. 1999-2 Pass Through Trust	7.570%	1/2/21	99		103
1	Continental Airlines 2001-1 Class A-1 Pass Through Trust	6.703%	6/15/21	1,841		1,925
1	Continental Airlines 2010-1 Class A Pass Through Trust	4.750%	7/12/22	2,915		2,979
1	Delta Air Lines 2007-1 Class B Pass Through Trust	8.021%	8/10/22	5,562		6,099
	Delta Air Lines Inc.	2.875%	3/13/20	18,000		18,019
	FedEx Corp.	3.400%	1/14/22	15,000		15,450
2	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.650%	7/29/21	25,000		25,631
1	Southwest Airlines Co. 2007-1 Pass Through Trust	6.650%	8/1/22	3,735		3,954
1	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24	8,278		8,800
1	US Airways 2001-1C Pass Through Trust	7.346%	9/20/23	2,488		2,673
						1,087,292
Utilities (1.8%)
	Electric (1.8%)
	Alabama Power Co.	3.375%	10/1/20	21,785		21,986
	Ameren Corp.	2.700%	11/15/20	5,000		5,025
	CenterPoint Energy Inc.	3.600%	11/1/21	25,000		25,660
	Dominion Energy Inc.	2.000%	8/15/21	6,793		6,811
2	EDP Finance BV	5.250%	1/14/21	1,600		1,650
	Exelon Corp.	2.850%	6/15/20	5,000		5,012
	Exelon Corp.	5.150%	12/1/20	7,358		7,504
	LG&E & KU Energy LLC	3.750%	11/15/20	13,807		13,928
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22	1,810		1,853
	NextEra Energy Capital Holdings Inc.	3.300%	8/15/22	15,190		15,714
	Pinnacle West Capital Corp.	2.250%	11/30/20	12,000		12,053
	Puget Energy Inc.	6.000%	9/1/21	7,829		8,320
						125,516
Total Corporate Bonds (Cost $2,699,521)						2,720,171
Sovereign Bonds (7.9%)
	Banco Latinoamericano de Comercio Exterior SA	3.250%	5/7/20	8,758		8,779
	Corp. Nacional del Cobre de Chile	3.750%	11/4/20	1,000		1,012
	Corp. Financiera de Desarrollo SA	4.750%	2/8/22	4,000		4,194
2	Corp. Nacional del Cobre de Chile	3.750%	11/4/20	53,022		53,638
	Empresa Nacional del Petroleo	4.750%	12/6/21	15,038		15,656
	Export-Import Bank of India	3.125%	7/20/21	3,235		3,275
	ICBCIL Finance Co. Ltd.	3.000%	4/5/20	10,000		10,009
7	Japan	2.500%	3/20/20	10,000,000		92,592
7	Japan Treasury Discount Bill	0.000%	2/10/20	6,000,000		55,375
7	Japan Treasury Discount Bill	0.000%	3/16/20	6,000,000		55,382
7	Japan Treasury Discount Bill	0.000%	4/13/20	6,500,000		60,007
3	Korea Development Bank, 3M USD LIBOR + 0.550%	2.437%	3/12/21	10,000		10,025

20

Ultra-Short-Term Bond Fund

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Korea Development Bank, 3M USD
	LIBOR + 0.675%	2.577%	9/19/20	10,325		10,346
	Pertamina Persero PT	5.250%	5/23/21	33,000		34,182
	Perusahaan Penerbit SBSN Indonesia III	3.400%	3/29/21	3,400		3,453
	Republic of Colombia	11.750%	2/25/20	3,264		3,283
	Republic of Croatia	6.625%	7/14/20	27,310		27,838
	Republic of Croatia	6.375%	3/24/21	7,000		7,342
	Republic of Honduras	8.750%	12/16/20	762		801
	Republic of Hungary	6.375%	3/29/21	26,000		27,400
	Republic of Latvia	5.250%	6/16/21	1,500		1,567
	Republic of Lithuania	7.375%	2/11/20	18,100		18,122
	Republic of Romania	6.750%	2/7/22	14,040		15,323
	Sinopec Group Overseas Development
	2015 Ltd.	2.500%	4/28/20	7,110		7,121
	Sinopec Group Overseas Development
	2017 Ltd.	2.375%	4/12/20	10,000		10,006
	State Grid Overseas Investment 2016 Ltd.	2.250%	5/4/20	7,400		7,404
2	State Grid Overseas Investment 2016 Ltd.	2.125%	5/18/21	3,880		3,881
Total Sovereign Bonds (Cost $549,376)						548,013
				Shares
Temporary Cash Investments (11.2%)
Money Market Fund (7.6%)
8	Vanguard Market Liquidity Fund	1.730%		5,250,720		525,177
				Face
				Amount
				($000	)
U.S. Government and Agency Obligations (3.6%)
9	United States Treasury Bill	1.516%	12/31/20	250,000		246,692
Total Temporary Cash Investments (Cost $771,661)						771,869
Total Investments (100.1%) (Cost $6,892,201)						6,921,672
						Amount
						($000	)
Other Assets and Liabilities (-0.1%)
Other Assets						65,830
Liabilities						(73,382	)
						(7,552	)
Net Assets (100%)						6,914,120

21

Ultra-Short-Term Bond Fund

	Amount
	($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	6,396,495
Affiliated Issuers	525,177
Total Investments in Securities	6,921,672
Investment in Vanguard	296
Receivables for Accrued Income	30,430
Receivables for Capital Shares Issued	27,424
Variation Margin Receivable—Futures Contracts	1,030
Unrealized Appreciation—Forward Currency Contracts	1,875
Unrealized Appreciation—OTC Swap Contracts	44
Other Assets	4,731
Total Assets	6,987,502
Liabilities
Payables for Investment Securities Purchased	59,392
Payables for Capital Shares Redeemed	9,165
Payables for Distributions	2,403
Payables to Vanguard	470
Variation Margin Payable—Futures Contracts	703
Unrealized Depreciation—Forward Currency Contracts	1,249
Total Liabilities	73,382
Net Assets	6,914,120

At January 31, 2020, net assets consisted of:

	Amount
	($000)
Paid-in Capital	6,885,236
Total Distributable Earnings (Loss)	28,884
Net Assets	6,914,120
Investor Shares—Net Assets
Applicable to 46,949,676 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	471,316
Net Asset Value Per Share—Investor Shares	$10.04

22

Ultra-Short-Term Bond Fund

	Amount
	($000)
Admiral Shares—Net Assets
Applicable to 320,862,511 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	6,442,804
Net Asset Value Per Share—Admiral Shares	$20.08

•	See Note A in Notes to Financial Statements.
§	Security value determined using significant unobservable inputs.
1	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.
2	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2020, the aggregate value of these securities was $2,630,856,000, representing 38.1% of net assets.
3	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
4	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.
5	Face amount denominated in Australian dollars.
6	Securities with a value of $2,433,000 have been segregated as initial margin for open futures contracts.
7	Face amount denominated in Japanese yen.
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	Securities with a value of $335,000 have been segregated as collateral for open forward currency contracts.
	LIBOR—London Interbank Offered Rate.
	OTC— Over-the-Counter.
	SOFR—Secured Overnight Financing Rate.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
					($000)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation)
Long Futures Contracts
2-Year U.S. Treasury Note	March 2020	6,835		1,478,816	3,337
Short Futures Contracts
5-Year U.S. Treasury Note	March 2020	(2,725	)	(327,873)	(3,673)
					(336)

23

Ultra-Short-Term Bond Fund

Forward Currency Contracts
	Contract					Unrealized	Unrealized
	Settlement		Contract Amount (000)			Appreciation	(Depreciation)
Counterparty	Date		Receive		Deliver	($000)	($000)
State Street Bank & Trust Co.	2/4/20	JPY	125,000	USD	1,167	—	(13)
Citigroup Global Markets Inc.	3/23/20	USD	94,445	JPY	10,270,450	—	(614)
Citigroup Global Markets Inc.	4/13/20	USD	59,632	JPY	6,500,000	—	(601)
State Street Bank & Trust Co.	2/4/20	USD	57,174	JPY	6,000,000	1,789	—
State Street Bank & Trust Co.	3/16/20	USD	55,566	JPY	6,002,220	36	—
Standard Chartered Bank	4/13/20	USD	54,421	JPY	5,875,000	—	(21)
Toronto-Dominion Bank	3/18/20	USD	1,695	AUD	2,454	50	—
						1,875	(1,249)

AUD—Australian dollar.

JPY—Japanese yen.

USD—U.S. dollar.

At January 31, 2020, a counterparty had deposited in a segregated account securities with a value of $13,653,000 in connection with open forward currency contracts.

Over-the-Counter Credit Default Swaps
								Remaining
					Periodic			Up-Front
					Premium			Premium
			Notional		Received			Received		Unrealized		Unrealized
Reference	Termination		Amount		(Paid	)1	Value	(Paid	)	Appreciation		(Depreciation	)
Entity	Date	Counterparty	($000	)	(%	)	($000)	($000	)	($000	)	($000	)
Credit Protection Sold/Moody’s Rating
Oriental Republic of Uruguay/Baa2	9/20/20	BOANA	21,650		1.000		106	(62	)	44		—

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.

1 Periodic premium received/paid quarterly.

BOANA—Bank of America, N.A.

See accompanying Notes, which are an integral part of the Financial Statements.

24

Ultra-Short-Term Bond Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Dividends	814
Interest1	168,191
Total Income	169,005
Expenses
The Vanguard Group—Note B
Investment Advisory Services	852
Management and Administrative—Investor Shares	659
Management and Administrative—Admiral Shares	4,544
Marketing and Distribution—Investor Shares	59
Marketing and Distribution—Admiral Shares	382
Custodian Fees	54
Auditing Fees	40
Shareholders’ Reports—Investor Shares	8
Shareholders’ Reports—Admiral Shares	21
Trustees’ Fees and Expenses	3
Total Expenses	6,622
Expenses Paid Indirectly	(30)
Net Expenses	6,592
Net Investment Income	162,413
Realized Net Gain (Loss)
Investment Securities Sold1	454
Futures Contracts	(3,228)
Swap Contracts	170
Forward Currency Contracts	8,310
Foreign Currencies	(606)
Realized Net Gain (Loss)	5,100
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	31,829
Futures Contracts	(2,856)
Swap Contracts	(10)
Forward Currency Contracts	3,678
Foreign Currencies	(31)
Change in Unrealized Appreciation (Depreciation)	32,610
Net Increase (Decrease) in Net Assets Resulting from Operations	200,123

1	Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,022,000, $28,000, and $8,000, respectively. Purchases and sales are for temporary cash investment purposes.
	See accompanying Notes, which are an integral part of the Financial Statements.

25

Ultra-Short-Term Bond Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	162,413	108,104
Realized Net Gain (Loss)	5,100	(1,478)
Change in Unrealized Appreciation (Depreciation)	32,610	7,373
Net Increase (Decrease) in Net Assets Resulting from Operations	200,123	113,999
Distributions
Net Investment Income
Investor Shares	(10,116)	(5,404)
Admiral Shares	(154,654)	(102,561)
Realized Capital Gain
Investor Shares	—	—
Admiral Shares	—	—
Total Distributions	(164,770)	(107,965)
Capital Share Transactions
Investor Shares	160,119	130,361
Admiral Shares	1,165,013	1,764,475
Net Increase (Decrease) from Capital Share Transactions	1,325,132	1,894,836
Total Increase (Decrease)	1,360,485	1,900,870
Net Assets
Beginning of Period	5,553,635	3,652,765
End of Period	6,914,120	5,553,635

See accompanying Notes, which are an integral part of the Financial Statements.

26

Ultra-Short-Term Bond Fund

Financial Highlights

Investor Shares

									Feb. 10,
									20151 to
For a Share Outstanding			Year Ended January 31,						Jan. 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$9.98		$9.97		$10.00		$9.99		$10.00
Investment Operations
Net Investment Income	.252	2	.227	2	.154	2	.106		.054
Net Realized and Unrealized Gain (Loss) on Investments	.065		.003		(.037	)	.006		(.010	)
Total from Investment Operations	.317		.230		.117		.112		.044
Distributions
Dividends from Net Investment Income	(.257	)	(.220	)	(.145	)	(.102	)	(.054	)
Distributions from Realized Capital Gains	—		—		(.002	)	—		—
Total Distributions	(.257	)	(.220	)	(.147	)	(.102	)	(.054	)
Net Asset Value, End of Period	$10.04		$9.98		$9.97		$10.00		$9.99
Total Return3	3.21%		2.34%		1.17%		1.13%		0.44%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$471		$309		$179		$131		$47
Ratio of Total Expenses to Average Net Assets	0.20%		0.20%		0.20%		0.20%		0.20%4
Ratio of Net Investment Income to Average Net Assets	2.53%		2.28%		1.54%		1.11%		0.66%4
Portfolio Turnover Rate	70%		61%		70%		81%		24%

1	Subscription period for the fund was February 10, 2015, to February 23, 2015, during which time all assets were held in money market instruments. Performance measurement began February 24, 2015, at a net asset value of $10.00.
2	Calculated based on average shares outstanding.
3	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4	Annualized.

See accompanying Notes, which are an integral part of the Financial Statements.

27

Ultra-Short-Term Bond Fund

Financial Highlights

Admiral Shares

									Feb. 10,
									20151 to
For a Share Outstanding			Year Ended January 31,						Jan. 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$19.96		$19.94		$20.00		$19.98		$20.00
Investment Operations
Net Investment Income	.527	2	.473	2	.328	2	.228		.122
Net Realized and Unrealized Gain (Loss) on Investments	.126		.008		(.077	)	.015		(.021	)
Total from Investment Operations	.653		.481		.251		.243		.101
Distributions
Dividends from Net Investment Income	(.533	)	(.461	)	(.307	)	(.223	)	(.121	)
Distributions from Realized Capital Gains	—		—		(.004	)	—		—
Total Distributions	(.533	)	(.461	)	(.311	)	(.223	)	(.121	)
Net Asset Value, End of Period	$20.08		$19.96		$19.94		$20.00		$19.98
Total Return3	3.31%		2.44%		1.26%		1.22%		0.51%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$6,443		$5,244		$3,474		$2,024		$465
Ratio of Total Expenses to Average Net Assets	0.10%		0.10%		0.10%		0.12%		0.12%4
Ratio of Net Investment Income to Average Net Assets	2.63%		2.38%		1.64%		1.19%		0.74%4
Portfolio Turnover Rate	70%		61%		70%		81%		24%

1	Subscription period for the fund was February 10, 2015, to February 23, 2015, during which time all assets were held in money market instruments. Performance measurement began February 24, 2015, at a net asset value of $20.00.
2	Calculated based on average shares outstanding.
3	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
4	Annualized.

 

See accompanying Notes, which are an integral part of the Financial Statements.

28

Ultra-Short-Term Bond Fund

Notes to Financial Statements

Vanguard Ultra-Short-Term Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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. 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 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.

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Futures Contracts: The fund uses 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

29

Ultra-Short-Term Bond Fund

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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 19% and 5% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).

During the year ended January 31, 2020, the fund’s average investment in forward currency contracts represented 3% of net assets, based on the average of notional amounts at each quarter-end during the period.

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Ultra-Short-Term Bond Fund

5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell 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. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. 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 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 Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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 associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The 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 pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

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Ultra-Short-Term Bond Fund

During the year ended January 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented less than 1% and 0% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period.

6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

7. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

8. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

9. Other: Dividend Income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs);

32

Ultra-Short-Term Bond Fund

the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $296,000, representing less than 0.01% of the fund’s net assets and 0.12% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest bearing custody account. For the year ended January 31, 2020, custodian fee offset arrangements reduced the fund’s expenses by $30,000 (an annual rate of less than 0.01% of average net assets).

D. 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 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Asset-Backed/Commercial Mortgage-Backed Securities	—	2,877,819	3,800
Corporate Bonds	—	2,720,171	—
Sovereign Bonds	—	548,013	—
Temporary Cash Investments	525,177	246,692	—
Futures Contracts—Assets1	1,030	—	—
Futures Contracts—Liabilities1	(703)	—	—
Forward Currency Contracts—Assets	—	1,875	—
Forward Currency Contracts—Liabilities	—	(1,249)	—
Swap Contracts—Assets	—	44	—
Total	525,504	6,393,365	3,800

1 Represents variation margin on the last day of the reporting period.

33

Ultra-Short-Term Bond Fund

E. At January 31, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:

	Interest Rate		Currency		Credit
	Contracts		Contracts		Contracts		Total
Statement of Assets and Liabilities Caption	($000	)	($000	)	($000	)	($000	)
Variation Margin Receivable—Futures Contracts	1,030		—		—		1,030
Unrealized Appreciation—Forward Currency Contracts	—		1,875		—		1,875
Unrealized Appreciation—OTC Swap Contracts	—		—		44		44
Total Assets	1,030		1,875		44		2,949
Variation Margin Payable—Futures Contracts	(703	)	—		—		(703	)
Unrealized Depreciation—Forward Currency Contracts	—		(1,249	)	—		(1,249	)
Total Liabilities	(703	)	(1,249	)	—		(1,952	)

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2020, were:

	Interest Rate		Currency		Credit
	Contracts		Contracts		Contracts		Total
Realized Net Gain (Loss) on Derivatives	($000	)	($000	)	($000	)	($000	)
Futures Contracts	(3,228	)	—		—		(3,228	)
Swap Contracts	—		—		170		170
Forward Currency Contracts	—		8,310		—		8,310
Realized Net Gain (Loss) on Derivatives	(3,228	)	8,310		170		5,252
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts	(2,856	)	—		—		(2,856	)
Swap Contracts	—		—		(10	)	(10	)
Forward Currency Contracts	—		3,678		—		3,678
Change in Unrealized Appreciation (Depreciation) on Derivatives	(2,856	)	3,678		(10	)	812

34

Ultra-Short-Term Bond Fund

F. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and swap agreements were reclassified between the individual components of total distributable earnings (loss).

	Amount
	($000	)
Paid-in Capital	—
Total Distributable Earnings (Loss)	—

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the realization of unrealized gains or losses on certain futures contracts and forward currency contracts; payables for distributions; and the tax recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	4,010
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(4,142	)
Net Unrealized Gains (Losses)	31,530

* The fund used capital loss carryforwards of $957,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	6,890,250
Gross Unrealized Appreciation	35,402
Gross Unrealized Depreciation	(3,874	)
Net Unrealized Appreciation (Depreciation)	31,528

35

Ultra-Short-Term Bond Fund

G. During the year ended January 31, 2020, the fund purchased $3,994,502,000 of investment securities and sold $3,203,200,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $0 and $78,981,000, respectively.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended January 31, 2020, such purchases and sales were $1,747,787,000 and $343,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

H. Capital share transactions for each class of shares were:

	Year Ended January 31,
			2020				2019
	Amount		Shares		Amount		Shares
	($000	)	(000	)	($000	)	(000	)
Investor Shares
Issued	356,647		35,565		377,693		37,908
Issued in Lieu of Cash Distributions	9,370		935		4,931		495
Redeemed	(205,898	)	(20,539	)	(252,263	)	(25,323	)
Net Increase (Decrease)—Investor Shares	160,119		15,961		130,361		13,080
Admiral Shares
Issued	3,625,221		180,754		3,986,367		200,028
Issued in Lieu of Cash Distributions	129,020		6,437		85,418		4,289
Redeemed	(2,589,228	)	(129,098	)	(2,307,310	)	(115,769	)
Net Increase (Decrease)—Admiral Shares	1,165,013		58,093		1,764,475		88,548

I. Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

36

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Ultra-Short-Term Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Vanguard Ultra-Short-Term Bond Fund (one of the funds constituting Vanguard Fixed Income Securities Funds, referred to hereafter as the “Fund”) as of January 31, 2020, the related statement of operations for the year ended January 31, 2020, the statement of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of January 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended January 31, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

37

Special 2019 tax information (unaudited) for Vanguard Ultra-Short-Term Bond Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 70.3% of income dividends are interest-related dividends.

38

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Treasury Bellwethers: 1 Year Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Ultra-Short-Term Bond Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Ultra-Short-Term Bond Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Ultra-Short-Term Bond Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Ultra-Short-Term Bond Fund or the owners of the Ultra-Short-Term Bond Fund.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Ultra-Short-Term Bond Fund. Investors acquire the Ultra-Short-Term Bond Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Ultra-Short-Term Bond Fund. The Ultra-Short-Term Bond Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Ultra-Short-Term Bond Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Ultra-Short-Term Bond Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Ultra-Short-Term Bond Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Ultra-Short-Term Bond Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Ultra-Short-Term Bond Fund.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Ultra-Short-Term Bond Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Ultra-Short-Term Bond Fund, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX.NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE ULTRA-SHORT-TERM BOND FUND.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited.Copyright 2020, Bloomberg.All rights reserved.

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018– present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

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Q14920 032020

Annual Report | January 31, 2020

Vanguard High-Yield Corporate Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
Advisor’s Report	3
About Your Fund’s Expenses	5
Performance Summary	7
Financial Statements	9

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.

A Note From Our Chairman

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

Mortimer J. Buckley

Chairman and Chief Executive Officer

March 3, 2020

1

Your Fund’s Performance at a Glance

•    For the 12 months ended January 31, 2020, Vanguard High-Yield Corporate Fund returned 10.45% for Investor Shares and 10.55% for Admiral Shares. The results surpassed the 10.18% return of the fund’s benchmark, the High-Yield Corporate Composite Index.

•    Stocks and bonds recorded strong results for the fiscal year. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. With the U.S.-China trade conflict fueling economic growth concerns, investors were also drawn to assets, such as bonds, that are generally considered less risky.

•    U.S. Treasuries returned about 9%, mortgage-backed securities returned about 6%, and corporate bonds returned more than 14%. By credit quality, lower-rated investment-grade bonds generally outperformed higher-rated ones; by maturity, longer-dated bonds significantly outperformed shorter-dated ones.

•    Within the high-yield market, however, higher-quality bonds generally outperformed those of lower quality, with BB- and B-rated bonds posting higher returns than their CCC-rated counterparts.

•    For the ten years ended January 31, 2020, the fund posted an average annual return of 7.02% for Investor Shares and 7.12% for Admiral Shares. Its benchmark index had an average annual return of 7.03%.

Market Barometer

		Average Annual Total Returns
		Periods Ended January 31, 2020
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	21.39%	14.33%	12.13%
Russell 2000 Index (Small-caps)	9.21	7.28	8.23
Russell 3000 Index (Broad U.S. market)	20.53	13.82	11.85
FTSE All-World ex US Index (International)	10.28	7.74	5.24
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	9.64%	4.62%	3.01%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	8.65	5.12	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.18	1.68	1.07
CPI
Consumer Price Index	2.49%	2.04%	2.00%

2

Advisor’s Report

For the 12 months ended January 31, 2020, Vanguard High-Yield Corporate Fund returned 10.45% for Investor Shares and 10.55% for Admiral Shares, compared with the 10.18% return of the custom index. The High-Yield Corporate Composite Index consists of 95% Bloomberg Barclays U.S. High-Yield Ba/B 2% Issuer Capped Index and 5% Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index.

The investment environment

High-yield markets benefited from both decreasing interest rates and tighter credit spreads. Sovereign yields declined across most markets following the injection of monetary stimulus by the U.S. Federal Reserve and the European Central Bank. Geopolitical uncertainty remained elevated over the period amid an elusive U.S.-China trade agreement, the Brexit saga, and U.S. presidential impeachment proceedings.

Despite these concerns, high-yield bond spreads tightened because of optimism that monetary accommodation could offset the drag on global growth from restrictive trade policies. The Fed cut interest rates three times in 2019 but later adopted a wait-and-see stance to assess economic data and track trade negotiation developments.

The 10-year U.S. Treasury yield decreased to 1.51% at the end of January 2020 from 2.63% at the end of January 2019. Major central banks deployed more accommodative policies amid trade headwinds, geopolitical tensions, and weaker global growth data, contributing to the decline in Treasury yields.

This dynamic lifted bond prices—bond yields and prices move in opposite directions. The spread of the high-yield market tightened to 390 basis points over Treasuries as of January 31, 2020, from 423 basis points at the end of January 2019. (A basis point is one-hundredth of a percentage point.) The average price of high-yield bonds increased $5, to $101, during the period.

There was notable dispersion in performance by credit quality during the year as the high-yield market generally rewarded higher-quality credits. BB-rated bonds led, returning 11.22%, according to Bloomberg Barclays High Yield Index data, while CCC-rated bonds lagged, with a 3.68% return. B-rated bonds returned 9.56%.

We acknowledge that the risk of recession has increased as a result of the coronavirus outbreak, but our base case is that it will result in a short-term supply shock.

High-yield fundamentals and technicals remain supportive, and while we expect defaults to increase over the next 12 months, we do not believe we are on the verge of the next default cycle. Although high-yield spreads are within historical median ranges, there is a bifurcation in higher- and lower-quality spreads and we are finding attractive idiosyncratic opportunities.

We also expect bouts of spread-widening as the U.S. presidential campaign unfolds that may present attractive total-return opportunities.

3

Overall, we forecast a below-coupon, but still positive, total return for high-yield securities in 2020, with security selection the key driver of benchmark-relative outperformance. While high-yield spreads appear tight by historical standards, the asset class may generate attractive income, in our view, and technicals remain supportive as the demand for income persists around much of the globe.

Moody’s trailing 12-month global issuer-weighted speculative-grade default rate ended December 2019 at 3.0%, below the long-term average of 4.2%. While instances of volatility may persist, we continue to take a long-term, issuer-specific approach to finding opportunities in this market.

Global political uncertainty and elevated trade tensions may contribute to market volatility. However, most of the high-yield companies in our opportunity set operate in domestically focused industries. While we are more uncertain about the long-term U.S. macroeconomic outlook, we continue to favor higher-quality issuers that are expected to benefit from a supportive U.S. consumer.

Global trade represents a key source of uncertainty. Global growth prospects likely hinge on whether trade-policy developments lead to stability or instead pull manufacturing down further and, with it, the consumer. However, we assign a low probability to U.S. and euro-area recession over the next year.

Our shortfalls

Positioning and security selection in the wirelines segment detracted from relative returns. Credit selection in utilities also hurt relative performance.

Our successes

The fund benefited from positioning and positive credit selection in financial institutions and energy, as well as credit selection in media and entertainment.

The fund’s positioning

The fund remains consistent in its investment objective and strategy and maintains meaningful exposure to relatively higher-quality names in the high-yield market. We believe these companies have more stable credit profiles and greater predictability of cash flows than those at the lower end of the quality spectrum.

We prefer higher-quality credits in an effort to minimize defaults and provide stable income. We continue to diversify the fund’s holdings by issuer and industry. We also continue to deemphasize non-cash-paying securities, preferred stocks, and equity-linked securities, such as convertibles, because of their potential for volatility.

Michael L. Hong, CFA, Senior Managing

Director and Fixed Income Portfolio

Manager

Wellington Management Company LLP

February 24, 2020

4

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.

5

Six Months Ended January 31, 2020
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
High-Yield Corporate Fund	7/31/2019	1/31/2020	Period
Based on Actual Fund Return
Investor Shares	$1,000.00	$1,040.08	$1.18
Admiral™ Shares	1,000.00	1,040.60	0.67
Based on Hypothetical 5% Yearly Return
Investor Shares	$1,000.00	$1,024.05	$1.17
Admiral Shares	1,000.00	1,024.55	0.66

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.23% for Investor Shares and 0.13% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

6

High-Yield Corporate Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	High-Yield Corporate Fund Investor Shares	10.45%	5.57%	7.02%	$19,701
	High-Yield Corporate Composite Index	10.18	5.67	7.03	19,727
	Bloomberg Barclays U.S. Corporate High Yield Bond Index	9.40	6.00	7.44	20,493

High-Yield Corporate Composite Index: Consists of 95% Bloomberg Barclays U.S. High-Yield Ba/B 2% Issuer Capped Index and 5% Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index.

				Final Value
	One	Five	Ten	of a $50,000
	Year	Years	Years	Investment
High-Yield Corporate Fund Admiral Shares	10.55%	5.67%	7.12%	$99,509
High-Yield Corporate Composite Index	10.18	5.67	7.03	98,635
Bloomberg Barclays U.S. Corporate High Yield Bond Index	9.40	6.00	7.44	102,467

See Financial Highlights for dividend and capital gains information.

7

High-Yield Corporate Fund

Sector Diversification

As of January 31, 2020

Basic Industry	3.3%
Capital Goods	12.7
Communication	19.3
Consumer Cyclical	13.8
Consumer Noncyclical	12.3
Energy	8.6
Finance	12.4
Other Industrial	0.8
Technology	10.3
Transportation	0.2
Treasury/Agency	4.0
Utilities	1.6
Other	0.7

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

8

High-Yield Corporate Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
U.S. Government and Agency Obligations (3.7%)
U.S. Government Securities (3.7%)
	United States Treasury Note/Bond	1.500%	4/15/20	250,000	249,923
1	United States Treasury Note/Bond	1.500%	7/15/20	250,000	249,960
	United States Treasury Note/Bond	1.625%	10/15/20	250,000	250,118
	United States Treasury Note/Bond	2.000%	1/15/21	250,000	251,132
Total U.S. Government and Agency Obligations (Cost $1,000,001)					1,001,133
Corporate Bonds (88.9%)
Finance (11.2%)
	Banking (3.1%)
	Ally Financial Inc.	5.125%	9/30/24	56,315	62,721
	Ally Financial Inc.	5.750%	11/20/25	56,528	64,309
	Ally Financial Inc.	8.000%	11/1/31	7,355	10,372
	Barclays plc	4.375%	9/11/24	26,785	28,810
	Barclays plc	5.200%	5/12/26	15,000	16,923
2	BNP Paribas SA	6.750%	3/14/66	57,750	61,582
	CIT Group Inc.	5.250%	3/7/25	8,436	9,311
2	Credit Suisse AG	6.250%	12/31/50	163,170	180,091
2	ING Groep NV	6.875%	4/16/66	71,510	76,591
3	Intesa Sanpaolo SPA	5.017%	6/26/24	21,570	22,891
3	Intesa Sanpaolo SPA	5.710%	1/15/26	110,000	122,238
	Royal Bank of Scotland Group plc	6.125%	12/15/22	52,705	57,773
2	UBS Group AG	6.875%	3/22/66	114,390	118,892
	Finance Companies (5.2%)
2,3	AerCap Global Aviation Trust	6.500%	6/15/45	125,050	139,587
	Aircastle Ltd.	5.000%	4/1/23	33,700	36,455
	Aircastle Ltd.	4.125%	5/1/24	53,980	57,066
3	Avolon Holdings Funding Ltd.	5.250%	5/15/24	50,695	55,511
	CIT Group Inc.	5.000%	8/15/22	78,781	83,606
	CIT Group Inc.	5.000%	8/1/23	67,070	72,184
	CIT Group Inc.	4.750%	2/16/24	27,340	29,254
3	Freedom Mortgage Corp.	8.250%	4/15/25	24,260	23,835
	Navient Corp.	7.250%	1/25/22	43,900	47,302
	Navient Corp.	6.500%	6/15/22	144,669	154,796
	Navient Corp.	5.500%	1/25/23	48,120	50,406
	Navient Corp.	7.250%	9/25/23	24,615	27,323
	Navient Corp.	6.750%	6/25/25	138,585	150,884
	Navient Corp.	5.625%	8/1/33	24,926	22,683
3	Park Aerospace Holdings Ltd.	5.500%	2/15/24	20,000	22,157
	Springleaf Finance Corp.	8.250%	12/15/20	36,210	37,930

9

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	Springleaf Finance Corp.	7.750%	10/1/21	69,567	74,958
	Springleaf Finance Corp.	6.125%	5/15/22	13,610	14,546
	Springleaf Finance Corp.	8.250%	10/1/23	17,136	19,985
	Springleaf Finance Corp.	6.125%	3/15/24	53,330	57,996
	Springleaf Finance Corp.	6.875%	3/15/25	23,455	26,533
	Springleaf Finance Corp.	7.125%	3/15/26	142,691	163,560
	Springleaf Finance Corp.	6.625%	1/15/28	25,345	28,577
	Insurance (2.4%)
4,5	Asurion LLC. Bank Loan, 1M USD LIBOR + 3.000%	4.645%	11/3/24	99,820	99,945
	Centene Corp.	4.750%	1/15/25	20,000	20,700
3	Centene Corp.	5.375%	6/1/26	10,000	10,625
3	Centene Corp.	4.250%	12/15/27	27,685	28,862
3	Centene Corp.	4.625%	12/15/29	40,570	43,663
	CNO Financial Group Inc.	5.250%	5/30/25	57,853	64,940
	CNO Financial Group Inc.	5.250%	5/30/29	54,320	61,246
	Genworth Holdings Inc.	7.200%	2/15/21	28,015	28,996
	Genworth Holdings Inc.	7.625%	9/24/21	25,505	26,908
	Genworth Holdings Inc.	4.900%	8/15/23	49,580	49,332
	Genworth Holdings Inc.	4.800%	2/15/24	15,900	15,502
	MGIC Investment Corp.	5.750%	8/15/23	24,695	27,134
	Radian Group Inc.	4.500%	10/1/24	73,175	77,840
	Radian Group Inc.	4.875%	3/15/27	36,000	37,980
3	WellCare Health Plans Inc.	5.250%	4/1/25	41,580	43,087
3	WellCare Health Plans Inc.	5.375%	8/15/26	5,000	5,312
	Real Estate Investment Trusts (0.5%)
	Felcor Lodging LP	6.000%	6/1/25	46,060	47,787
3	VICI Properties LP / VICI Note Co. Inc.	4.250%	12/1/26	42,250	43,306
3	VICI Properties LP / VICI Note Co. Inc.	4.625%	12/1/29	28,225	29,460
					2,992,263
Industrial (76.2%)
	Basic Industry (3.1%)
3	Alliance Resource Operating Partners LP / Alliance Resource Finance Corp.	7.500%	5/1/25	20,177	17,453
	Chemours Co.	6.625%	5/15/23	44,094	43,378
	Chemours Co.	7.000%	5/15/25	93,595	89,383
	Chemours Co.	5.375%	5/15/27	31,740	27,534
	Commercial Metals Co.	4.875%	5/15/23	6,540	6,834
	Commercial Metals Co.	5.750%	4/15/26	45,720	48,120
	Commercial Metals Co.	5.375%	7/15/27	19,735	20,648
3	Constellium NV	5.750%	5/15/24	34,862	35,821
3	Constellium NV	6.625%	3/1/25	68,600	70,830
3	Constellium NV	5.875%	2/15/26	10,195	10,577
3,6	CTC BondCo GmbH	5.250%	12/15/25	13,800	15,855
	Graphic Packaging International Inc.	4.125%	8/15/24	23,920	25,056
3	Graphic Packaging International LLC	4.750%	7/15/27	7,870	8,421
3	Novelis Corp.	5.875%	9/30/26	63,010	66,948
3	Novelis Corp.	4.750%	1/30/30	27,465	27,602
3,6	OCI NV	3.125%	11/1/24	31,590	35,645
3	OCI NV	5.250%	11/1/24	41,765	43,070
	Olin Corp.	5.125%	9/15/27	61,215	63,587
	Olin Corp.	5.625%	8/1/29	43,495	45,833
	Olin Corp.	5.000%	2/1/30	10,215	10,381

10

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	PolyOne Corp.	5.250%	3/15/23	6,310	6,768
4,5	Starfruit Finco B.V. Bank Loan, 1M USD LIBOR + 3.000%	4.949%	10/1/25	17,028	17,011
4,5	Starfruit Finco B.V. Bank Loan, 1M USD LIBOR + 3.000%	4.949%	10/1/25	3,311	3,308
3	Tronox Finance plc	5.750%	10/1/25	9,105	8,991
3	Tronox Inc.	6.500%	4/15/26	90,895	90,213
	Capital Goods (11.9%)
3	American Builders & Contractors Supply Co. Inc.	5.875%	5/15/26	59,970	62,819
3	American Builders & Contractors Supply Co. Inc.	4.000%	1/15/28	33,107	33,272
3	ARD Finance SA	6.500%	6/30/27	18,990	19,560
3	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	6.000%	2/15/25	126,361	131,889
3	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	4.125%	8/15/26	51,660	53,210
3,7	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	4.750%	7/15/27	5,520	7,568
3	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	5.250%	8/15/27	24,300	25,454
3	Ashtead Capital Inc.	4.125%	8/15/25	46,175	47,387
3	Ashtead Capital Inc.	5.250%	8/1/26	17,715	18,911
3	Ashtead Capital Inc.	4.375%	8/15/27	46,175	48,022
	Ball Corp.	5.000%	3/15/22	8,535	9,015
	Ball Corp.	4.000%	11/15/23	15,403	16,231
6	Ball Corp.	4.375%	12/15/23	17,385	21,875
	Ball Corp.	5.250%	7/1/25	4,690	5,241
	Ball Corp.	4.875%	3/15/26	86,335	94,537
6	Ball Corp.	1.500%	3/15/27	44,040	48,783
3	BBA US Holdings Inc.	4.000%	3/1/28	65,710	64,642
3	Beacon Escrow Corp.	4.875%	11/1/25	86,460	85,920
3	Beacon Roofing Supply Inc.	4.500%	11/15/26	11,215	11,523
3	Berry Global Escrow Corp.	5.625%	7/15/27	7,055	7,514
3	Berry Global Inc.	4.500%	2/15/26	57,898	58,766
3	Berry Global Inc.	4.875%	7/15/26	53,380	55,945
3	Bombardier Inc.	5.750%	3/15/22	21,545	21,437
3	Bombardier Inc.	6.125%	1/15/23	76,319	75,174
3	Bombardier Inc.	7.500%	12/1/24	14,540	14,140
3	Bombardier Inc.	7.500%	3/15/25	47,116	45,349
3	Bombardier Inc.	7.875%	4/15/27	72,285	68,490
3	CD&R Waterworks Merger Sub LLC	6.125%	8/15/25	5,535	5,680
3	Cemex SAB de CV	6.125%	5/5/25	101,200	104,489
3	Cemex SAB de CV	7.750%	4/16/26	24,265	26,449
3	Clean Harbors Inc.	4.875%	7/15/27	32,416	34,077
3	Clean Harbors Inc.	5.125%	7/15/29	25,851	27,531
	Crown Americas LLC / Crown Americas Capital Corp. IV	4.500%	1/15/23	61,200	64,183
	Crown Americas LLC / Crown Americas Capital Corp. V	4.250%	9/30/26	6,000	6,240
	Crown Americas LLC / Crown Americas Capital Corp. VI	4.750%	2/1/26	23,465	24,345
3,6	Crown European Holdings SA	2.875%	2/1/26	51,200	60,985
3	Flex Acquisition Co. Inc.	6.875%	1/15/25	127,475	127,475

11

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
3	HD Supply Inc.	5.375%	10/15/26	38,211	40,456
3	Herc Holdings Inc.	5.500%	7/15/27	141,788	147,814
3	Jeld-Wen Inc.	4.625%	12/15/25	11,180	11,432
3	Jeld-Wen Inc.	4.875%	12/15/27	6,320	6,533
3	LANXESS AG	6.000%	4/1/24	13,801	14,146
3,6	Loxam SAS	4.250%	4/15/24	5,520	6,256
3	OI European Group BV	4.000%	3/15/23	22,215	22,493
3	Owens-Brockway Glass Container Inc.	5.000%	1/15/22	6,120	6,334
3	Owens-Brockway Glass Container Inc.	5.875%	8/15/23	70,800	75,756
3	Owens-Brockway Glass Container Inc.	6.375%	8/15/25	39,585	44,187
	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	5.750%	10/15/20	20,676	20,702
3	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	5.125%	7/15/23	63,805	65,241
3	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	7.000%	7/15/24	14,670	15,092
3	Standard Industries Inc.	5.500%	2/15/23	4,269	4,333
3	Standard Industries Inc.	5.375%	11/15/24	65,655	67,132
3	Standard Industries Inc.	6.000%	10/15/25	143,050	148,772
3	Standard Industries Inc.	5.000%	2/15/27	16,990	17,755
3	Standard Industries Inc.	4.750%	1/15/28	31,995	32,755
	TransDigm Inc.	6.500%	7/15/24	144,895	149,423
	TransDigm Inc.	6.500%	5/15/25	44,030	45,791
3	TransDigm Inc.	6.250%	3/15/26	20,000	21,600
	TransDigm Inc.	6.375%	6/15/26	41,650	43,941
3	TransDigm Inc.	5.500%	11/15/27	97,190	97,676
	TransDigm UK Holdings plc	6.875%	5/15/26	5,000	5,337
3,6	Trivium Packaging Finance BV	3.750%	8/15/26	6,095	7,073
3	Trivium Packaging Finance BV	5.500%	8/15/26	11,810	12,489
	United Rentals North America Inc.	5.500%	7/15/25	48,115	49,799
	United Rentals North America Inc.	4.625%	10/15/25	52,360	53,473
	United Rentals North America Inc.	5.875%	9/15/26	62,210	66,254
	United Rentals North America Inc.	6.500%	12/15/26	55,080	59,899
	United Rentals North America Inc.	5.500%	5/15/27	76,330	81,196
	United Rentals North America Inc.	3.875%	11/15/27	30,420	30,724
	United Rentals North America Inc.	4.875%	1/15/28	60,445	62,863
	United Rentals North America Inc.	5.250%	1/15/30	24,410	26,180
	Communication (18.1%)
3	Altice Financing SA	6.625%	2/15/23	58,671	59,698
3,6	Altice Financing SA	2.250%	1/15/25	17,140	18,624
3	Altice Financing SA	7.500%	5/15/26	25,000	26,656
3,6	Altice Financing SA	3.000%	1/15/28	42,930	46,605
3	Altice Financing SA	5.000%	1/15/28	50,615	49,476
3,†	Altice France SA	2.125%	2/15/25	11,415	12,411
3	Altice France SA	7.375%	5/1/26	154,734	164,405
3	Altice Luxembourg SA	7.625%	2/15/25	7,600	7,885
	Belo Corp.	7.750%	6/1/27	29,475	34,191
	Belo Corp.	7.250%	9/15/27	24,707	28,537
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.250%	9/30/22	12,635	12,761
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.125%	2/15/23	33,021	33,392
3	CCO Holdings LLC / CCO Holdings Capital Corp.	5.125%	5/1/23	99,510	101,003

12

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.750%	9/1/23	33,450	33,826
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.750%	1/15/24	2,184	2,225
3	CCO Holdings LLC / CCO Holdings Capital Corp.	5.375%	5/1/25	82,205	84,774
3	CCO Holdings LLC / CCO Holdings Capital Corp.	5.750%	2/15/26	47,140	49,497
3	CCO Holdings LLC / CCO Holdings Capital Corp.	5.500%	5/1/26	46,840	49,065
3	CCO Holdings LLC / CCO Holdings Capital Corp.	5.875%	5/1/27	14,255	15,003
3	CCO Holdings LLC / CCO Holdings Capital Corp.	5.000%	2/1/28	25,000	26,125
	CenturyLink Inc.	5.625%	4/1/20	2,500	2,509
	CenturyLink Inc.	5.800%	3/15/22	10,107	10,625
	CenturyLink Inc.	6.750%	12/1/23	23,920	26,581
	CenturyLink Inc.	7.500%	4/1/24	17,708	19,988
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45	4,215	5,484
	CSC Holdings LLC	6.750%	11/15/21	74,262	79,924
3	CSC Holdings LLC	5.375%	7/15/23	26,366	26,959
3	CSC Holdings LLC	10.875%	10/15/25	5,000	5,538
3	CSC Holdings LLC	5.500%	5/15/26	142,685	149,284
3	CSC Holdings LLC	5.500%	4/15/27	78,015	82,793
	DISH DBS Corp.	6.750%	6/1/21	152,345	159,962
	DISH DBS Corp.	5.875%	7/15/22	105,934	110,966
	DISH DBS Corp.	5.000%	3/15/23	43,776	44,433
	DISH DBS Corp.	5.875%	11/15/24	87,950	88,830
	DISH DBS Corp.	7.750%	7/1/26	107,230	112,591
	Embarq Corp.	7.995%	6/1/36	23,035	25,482
	Gannett Co. Inc.	6.375%	10/15/23	22,021	22,494
3	Gray Escrow Inc.	7.000%	5/15/27	27,142	29,517
3	Gray Television Inc.	5.125%	10/15/24	77,032	79,536
3	Gray Television Inc.	5.875%	7/15/26	60,725	63,534
3	iHeartCommunications Inc.	4.750%	1/15/28	45,020	45,583
3	Lamar Media Corp.	3.750%	2/15/28	32,860	33,065
3	Lamar Media Corp.	4.000%	2/15/30	21,415	21,576
	Level 3 Financing Inc.	5.375%	8/15/22	55,038	55,244
	Level 3 Financing Inc.	5.625%	2/1/23	26,620	26,620
	Level 3 Financing Inc.	5.125%	5/1/23	36,380	36,516
	Netflix Inc.	5.375%	2/1/21	4,500	4,618
	Nokia Oyj	4.375%	6/12/27	51,270	54,223
3	Outfront Media Capital LLC / Outfront Media Capital Corp.	4.625%	3/15/30	56,004	57,684
	Quebecor Media Inc.	5.750%	1/15/23	103,907	112,220
3	Sinclair Television Group Inc.	5.625%	8/1/24	15,715	16,147
3	Sinclair Television Group Inc.	5.875%	3/15/26	90,410	94,930
3	Sinclair Television Group Inc.	5.125%	2/15/27	57,340	58,702
3	Sirius XM Radio Inc.	3.875%	8/1/22	43,500	44,044
3	Sirius XM Radio Inc.	4.625%	7/15/24	55,185	57,254
	Sprint Capital Corp.	6.875%	11/15/28	99,215	100,455
	Sprint Capital Corp.	8.750%	3/15/32	63,969	70,846
3	Sprint Communications Inc.	7.000%	3/1/20	73,700	73,884
	Sprint Corp.	7.875%	9/15/23	280,264	297,080

13

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	Sprint Corp.	7.125%	6/15/24	70,886	73,101
	Sprint Corp.	7.625%	2/15/25	53,661	56,009
	T-Mobile USA Inc.	6.000%	4/15/24	17,553	18,080
	T-Mobile USA Inc.	5.125%	4/15/25	22,338	22,952
	T-Mobile USA Inc.	5.375%	4/15/27	102,055	109,199
	Telecom Italia Capital SA	6.375%	11/15/33	12,326	14,329
	Telecom Italia Capital SA	6.000%	9/30/34	33,530	37,554
	Telecom Italia Capital SA	7.721%	6/4/38	42,725	54,955
3	Telecom Italia SPA/Milano	5.303%	5/30/24	6,555	7,154
3	Telenet Finance Luxembourg Notes Sarl	5.500%	3/1/28	110,200	117,246
	Time Warner Cable LLC	5.875%	11/15/40	2,050	2,482
	Time Warner Cable LLC	5.500%	9/1/41	40,846	46,715
3	UPC Holding BV	5.500%	1/15/28	20,000	20,825
3	UPCB Finance IV Ltd.	5.375%	1/15/25	80,000	81,900
2	Viacom Inc.	5.875%	2/28/57	82,651	86,990
2	Viacom Inc.	6.250%	2/28/57	33,146	37,248
	Videotron Ltd.	5.000%	7/15/22	118,974	124,625
3	Videotron Ltd.	5.375%	6/15/24	12,673	13,750
3	Videotron Ltd.	5.125%	4/15/27	5,000	5,250
3	Virgin Media Finance plc	6.000%	10/15/24	58,255	60,003
3	Virgin Media Secured Finance plc	5.500%	8/15/26	32,522	34,067
3	Virgin Media Secured Finance plc	5.500%	5/15/29	27,780	29,238
3	VTR Finance BV	6.875%	1/15/24	79,760	81,555
3	WMG Acquisition Corp.	5.000%	8/1/23	26,706	27,307
3	WMG Acquisition Corp.	4.875%	11/1/24	72,596	74,955
3	WMG Acquisition Corp.	5.500%	4/15/26	90,226	94,963
3,6	WMG Acquisition Corp.	3.625%	10/15/26	7,030	8,190
	Zayo Group LLC / Zayo Capital Inc.	6.000%	4/1/23	107,300	109,580
3	Ziggo BV	5.500%	1/15/27	67,005	70,607
3	Ziggo BV	4.875%	1/15/30	59,000	60,662
	Consumer Cyclical (12.9%)
3	1011778 BC ULC / New Red Finance Inc.	4.250%	5/15/24	136,714	139,619
3	1011778 BC ULC / New Red Finance Inc.	5.000%	10/15/25	115,010	118,460
3	1011778 BC ULC / New Red Finance Inc.	3.875%	1/15/28	28,645	28,752
3	Adient Global Holdings Ltd.	4.875%	8/15/26	119,917	113,022
3	Adient US LLC	7.000%	5/15/26	17,845	19,540
3	APX Group Inc.	8.875%	12/1/22	134,375	134,543
4,5	Bass Pro Group, LLC. Bank Loan, 3M USD LIBOR + 5.000%	6.645%	12/15/23	62,897	62,688
3	Boyd Gaming Corp.	4.750%	12/1/27	100,425	101,931
3	Cedar Fair LP	5.250%	7/15/29	31,623	33,362
	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op	5.375%	4/15/27	27,005	28,592
	Cedar Fair LP / Canada’s Wonderland Co. / MagnumManagement Corp.	5.375%	6/1/24	15,675	16,067
3	CRC Escrow Issuer LLC / CRC Finco Inc.	5.250%	10/15/25	203,306	206,356
	Dana Holding Corp.	5.500%	12/15/24	34,460	35,451
	Delta Merger Sub Inc.	6.000%	9/15/26	58,115	63,636
3	FirstCash Inc.	5.375%	6/1/24	31,093	32,065
	GLP Capital LP / GLP Financing II Inc.	5.250%	6/1/25	14,310	15,993
	GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26	60,235	68,425
	GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29	41,865	48,328
	Goodyear Tire & Rubber Co.	5.125%	11/15/23	8,000	8,120
	Goodyear Tire & Rubber Co.	5.000%	5/31/26	52,202	54,290

14

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	Goodyear Tire & Rubber Co.	4.875%	3/15/27	112,833	116,218
3	Hanesbrands Inc.	4.625%	5/15/24	26,770	28,108
3	Hanesbrands Inc.	4.875%	5/15/26	24,510	25,827
	Hilton Domestic Operating Co. Inc.	4.250%	9/1/24	67,921	68,940
	Hilton Domestic Operating Co. Inc.	5.125%	5/1/26	81,320	84,979
	Hilton Domestic Operating Co. Inc.	4.875%	1/15/30	8,740	9,243
	Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.	4.625%	4/1/25	105,130	107,101
	Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.	4.875%	4/1/27	64,885	67,886
3	Jacobs Entertainment Inc.	7.875%	2/1/24	26,555	28,016
	KB Home	7.000%	12/15/21	7,810	8,347
	KB Home	7.500%	9/15/22	6,935	7,811
	KB Home	7.625%	5/15/23	41,775	47,101
	KB Home	4.800%	11/15/29	12,085	12,568
3	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC	5.000%	6/1/24	64,095	65,938
3	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC	5.250%	6/1/26	29,156	30,541
3	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC	4.750%	6/1/27	24,810	26,144
	L Brands Inc.	6.694%	1/15/27	12,466	12,871
	L Brands Inc.	5.250%	2/1/28	42,804	42,483
	Lennar Corp.	4.125%	1/15/22	40,495	41,558
	Lennar Corp.	4.875%	12/15/23	21,825	23,407
	Lennar Corp.	4.500%	4/30/24	112,404	119,851
	Lennar Corp.	5.875%	11/15/24	4,860	5,461
	Lennar Corp.	5.250%	6/1/26	9,460	10,477
	Lennar Corp.	5.000%	6/15/27	42,955	47,358
	Lennar Corp.	4.750%	11/29/27	44,610	49,182
3,6	LHMC Finco Sarl	6.250%	12/20/23	46,210	53,717
3	LHMC Finco Sarl	7.875%	12/20/23	66,800	70,474
3	Lithia Motors Inc.	5.250%	8/1/25	5,708	5,893
3	Lithia Motors Inc.	4.625%	12/15/27	66,275	67,766
	Meritage Homes Corp.	5.125%	6/6/27	17,560	18,877
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	5.625%	5/1/24	5,000	5,444
	MGM Resorts International	6.000%	3/15/23	12,554	13,747
	MGM Resorts International	5.750%	6/15/25	50,000	55,625
	MGM Resorts International	5.500%	4/15/27	45,055	49,504
3	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	6.250%	5/15/26	20,000	21,475
3	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	8.500%	5/15/27	17,505	18,818
4,5	Panther BF Aggregator Bank Loan, 3M USD LIBOR + 3.500%	5.159%	4/30/26	25,810	25,950
3	Party City Holdings Inc.	6.125%	8/15/23	6,000	5,145
3	PetSmart Inc.	5.875%	6/1/25	41,731	42,774
	PulteGroup Inc.	5.500%	3/1/26	66,505	74,319
	PulteGroup Inc.	5.000%	1/15/27	4,315	4,768
	Service Corp. International	4.625%	12/15/27	33,435	34,940
	Service Corp. International	5.125%	6/1/29	50,495	53,714
3	Speedway Motorsports LLC / Speedway Funding II Inc.	4.875%	11/1/27	20,000	20,150
	Toll Brothers Finance Corp.	5.875%	2/15/22	4,000	4,225

15

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	Toll Brothers Finance Corp.	4.375%	4/15/23	10,000	10,475
	Toll Brothers Finance Corp.	4.875%	11/15/25	9,595	10,483
	Toll Brothers Finance Corp.	4.875%	3/15/27	68,200	74,849
	Toll Brothers Finance Corp.	3.800%	11/1/29	25,000	25,097
3	VICI Properties LP / VICI Note Co. Inc.	3.750%	2/15/27	12,625	12,657
	William Lyon Homes Inc.	7.000%	8/15/22	2,972	2,978
	William Lyon Homes Inc.	5.875%	1/31/25	48,230	49,617
3	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.	5.500%	3/1/25	117,416	122,406
3	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.	5.250%	5/15/27	54,650	56,699
3	Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.	5.125%	10/1/29	20,550	21,218
3	Yum Brands Inc.	4.750%	1/15/30	14,455	15,449
	Consumer Noncyclical (11.6%)
3	Aramark Services Inc.	5.000%	4/1/25	54,020	56,046
	Aramark Services Inc.	4.750%	6/1/26	48,420	50,357
3	Aramark Services Inc.	5.000%	2/1/28	47,085	49,145
3	Avantor Inc.	6.000%	10/1/24	30,000	31,875
	B&G Foods Inc.	5.250%	4/1/25	38,900	39,678
	B&G Foods Inc.	5.250%	9/15/27	70,975	70,798
3	Bausch Health Americas Inc.	9.250%	4/1/26	17,325	19,729
3	Bausch Health Cos Inc.	6.500%	3/15/22	21,490	21,947
3	Bausch Health Cos. Inc.	5.500%	3/1/23	2,066	2,071
3	Bausch Health Cos. Inc.	5.875%	5/15/23	1,873	1,889
3	Bausch Health Cos. Inc.	7.000%	3/15/24	38,315	39,800
3	Bausch Health Cos. Inc.	5.500%	11/1/25	71,675	74,363
3	Bausch Health Cos. Inc.	7.000%	1/15/28	18,060	19,595
3	Bausch Health Cos. Inc.	7.250%	5/30/29	1,940	2,175
3	Catalent Pharma Solutions Inc.	5.000%	7/15/27	21,270	22,307
3	Change Healthcare Holdings LLC / Change Healthcare Finance Inc.	5.750%	3/1/25	69,800	70,672
3	Charles River Laboratories International Inc.	5.500%	4/1/26	21,738	23,151
3	Charles River Laboratories International Inc.	4.250%	5/1/28	12,490	12,646
	CHS/Community Health Systems Inc.	5.125%	8/1/21	15,235	15,235
	CHS/Community Health Systems Inc.	6.250%	3/31/23	120,190	122,444
3	CHS/Community Health Systems Inc.	8.125%	6/30/24	22,553	20,185
3,6	Darling Global Finance BV	3.625%	5/15/26	12,945	14,938
3	Darling Ingredients Inc.	5.250%	4/15/27	25,305	26,697
3,6	Diamond BC BV	5.625%	8/15/25	101,750	110,572
3	Endo Dac / Endo Finance LLC / Endo Finco Inc.	6.000%	2/1/25	64,855	44,750
3	Endo Finance LLC / Endo Ltd. / Endo Finco Inc.	6.000%	7/15/23	91,343	68,736
4,5	Froneri International plc Bank Loan, 1M USD LIBOR + 2.250%	3.895%	1/29/27	30,915	30,992
4,5	Froneri International plc Bank Loan, 1M USD LIBOR + 5.750%	7.395%	1/31/28	2,125	2,157
3,6	Grifols SA	1.625%	2/15/25	27,965	31,353
3,6	Grifols SA	2.250%	11/15/27	31,375	35,551
	HCA Inc.	6.250%	2/15/21	36,347	37,710
	HCA Inc.	7.500%	2/15/22	21,845	24,002
	HCA Inc.	5.875%	5/1/23	68,728	75,687
	HCA Inc.	5.375%	2/1/25	66,825	74,677
	HCA Inc.	7.690%	6/15/25	4,510	5,525

16

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	HCA Inc.	5.875%	2/15/26	110,595	127,046
	HCA Inc.	5.250%	6/15/26	31,895	36,281
	HCA Inc.	5.625%	9/1/28	12,585	14,583
	HCA Inc.	5.875%	2/1/29	13,700	16,166
3	Hologic Inc.	4.375%	10/15/25	5,000	5,100
3	Hologic Inc.	4.625%	2/1/28	18,855	19,821
3	IQVIA Inc.	5.000%	5/15/27	74,182	78,262
3,6	IQVIA Inc.	2.250%	1/15/28	41,670	46,917
4,5	Lands’ End, Inc. Bank Loan, 3M USD LIBOR + 3.250%	4.895%	3/12/21	61,857	60,728
3	MPH Acquisition Holdings LLC	7.125%	6/1/24	53,485	51,947
3	Performance Food Group Inc.	5.500%	10/15/27	72,071	75,855
3	Polaris Intermediate Corp.	8.500%	12/1/22	82,880	77,286
3	Post Holdings Inc.	5.500%	3/1/25	56,995	59,061
3	Post Holdings Inc.	5.000%	8/15/26	117,433	121,837
3	Post Holdings Inc.	5.750%	3/1/27	37,091	39,131
3	Post Holdings Inc.	5.625%	1/15/28	90,650	96,202
3	Post Holdings Inc.	5.500%	12/15/29	16,000	16,920
3	Quintiles IMS Inc.	5.000%	10/15/26	66,310	69,543
	Revlon Consumer Products Corp.	5.750%	2/15/21	19,165	16,865
	Revlon Consumer Products Corp.	6.250%	8/1/24	67,860	30,876
4,5	Revlon Consumer Products Corp. Bank Loan, 1M USD LIBOR + 3.500%	5.409%	9/7/23	19,858	15,411
4,5	Revlon Consumer Products Corp. Bank Loan, 1M USD LIBOR + 3.500%	5.409%	9/7/23	5,921	4,595
4,5	Reynolds Consumer Products Inc. Bank Loan, 1M USD LIBOR + 1.750%	3.416%	1/29/27	24,735	24,828
	Tenet Healthcare Corp.	4.625%	7/15/24	9,660	9,914
	Teva Pharmaceutical Finance Co. BV	2.950%	12/18/22	13,080	12,540
	Teva Pharmaceutical Finance Netherlands III BV	2.200%	7/21/21	10,000	9,850
	Teva Pharmaceutical Finance Netherlands III BV	3.150%	10/1/26	87,800	75,069
	Teva Pharmaceutical Finance Netherlands III BV	6.750%	3/1/28	87,505	91,333
	Teva Pharmaceutical Finance Netherlands III BV	4.100%	10/1/46	10,000	7,650
3	TreeHouse Foods Inc.	6.000%	2/15/24	70,000	72,187
3	Valeant Pharmaceuticals International Inc.	9.000%	12/15/25	26,760	30,172
3	Valeant Pharmaceuticals International Inc.	8.500%	1/31/27	48,400	54,632
3	VRX Escrow Corp.	6.125%	4/15/25	154,710	159,351
3	West Street Merger Sub Inc.	6.375%	9/1/25	122,161	120,329
	Energy (8.1%)
	AmeriGas Finance LLC / AmeriGas Finance Corp.	5.625%	5/20/24	46,910	49,959
	AmeriGas Finance LLC / AmeriGas Finance Corp.	5.875%	8/20/26	46,910	51,249
	AmeriGas Partners LP / AmeriGas Finance Corp.	5.500%	5/20/25	21,659	23,067
	AmeriGas Partners LP / AmeriGas Finance Corp.	5.750%	5/20/27	59,170	64,347
3	Blue Racer Midstream LLC / Blue Racer Finance Corp.	6.125%	11/15/22	44,736	43,506

17

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
3	Blue Racer Midstream LLC / Blue Racer Finance Corp.	6.625%	7/15/26	24,310	22,122
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24	26,612	30,837
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25	39,084	44,263
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27	43,385	48,374
3	Cheniere Energy Partners LP	4.500%	10/1/29	53,654	54,459
3	Chesapeake Energy Corp.	11.500%	1/1/25	89,775	71,820
3	DCP Midstream Operating LP	4.750%	9/30/21	26,924	27,563
	DCP Midstream Operating LP	4.950%	4/1/22	38,299	39,639
	DCP Midstream Operating LP	3.875%	3/15/23	31,988	32,628
	DCP Midstream Operating LP	5.600%	4/1/44	26,895	26,155
	EnLink Midstream Partners LP	5.050%	4/1/45	9,295	7,064
	Ferrellgas LP / Ferrellgas Finance Corp.	6.500%	5/1/21	82,009	71,348
	Ferrellgas LP / Ferrellgas Finance Corp.	6.750%	1/15/22	16,317	13,869
	Ferrellgas LP / Ferrellgas Finance Corp.	6.750%	6/15/23	26,720	22,645
	Matador Resources Co.	5.875%	9/15/26	67,580	65,891
3	MEG Energy Corp.	6.375%	1/30/23	30,650	30,995
3	MEG Energy Corp.	7.000%	3/31/24	22,410	22,578
3	MEG Energy Corp.	6.500%	1/15/25	81,311	84,868
3	Noble Holding International Ltd.	7.875%	2/1/26	15,185	10,895
3	Parsley Energy LLC / Parsley Finance Corp.	5.375%	1/15/25	47,585	49,013
3	Parsley Energy LLC / Parsley Finance Corp.	5.250%	8/15/25	6,810	6,963
	QEP Resources Inc.	5.375%	10/1/22	42,485	42,485
	QEP Resources Inc.	5.250%	5/1/23	42,925	41,047
3	Rockies Express Pipeline LLC	7.500%	7/15/38	38,048	41,187
3	Rockies Express Pipeline LLC	6.875%	4/15/40	13,880	14,713
	SM Energy Co.	6.125%	11/15/22	30,015	29,640
	SM Energy Co.	5.000%	1/15/24	69,110	62,717
	SM Energy Co.	5.625%	6/1/25	54,040	48,501
	SM Energy Co.	6.750%	9/15/26	17,855	16,203
	SM Energy Co.	6.625%	1/15/27	9,500	8,574
	Sunoco LP / Sunoco Finance Corp.	4.875%	1/15/23	57,680	58,978
	Sunoco LP / Sunoco Finance Corp.	5.500%	2/15/26	82,984	85,474
	Sunoco LP / Sunoco Finance Corp.	6.000%	4/15/27	80,255	84,268
	Sunoco LP / Sunoco Finance Corp.	5.875%	3/15/28	18,335	19,252
3	Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.	4.750%	10/1/23	66,577	66,743
3	Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.	5.500%	9/15/24	24,498	24,743
3	Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.	5.500%	1/15/28	84,770	84,770
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	5.125%	2/1/25	10,000	10,275
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.875%	1/15/29	37,470	41,358
2,3	Transocean Guardian Ltd.	5.875%	1/15/24	48,825	49,862
2,3	Transocean Phoenix 2 Ltd.	7.750%	10/15/24	21,021	22,177
2,3	Transocean Pontus Ltd.	6.125%	8/1/25	41,993	43,253
2,3	Transocean Proteus Ltd.	6.250%	12/1/24	24,214	25,001
3	Vine Oil & Gas LP / Vine Oil & Gas Finance Corp.	8.750%	4/15/23	62,530	32,203
	Whiting Petroleum Corp.	6.625%	1/15/26	106,234	58,960
	WPX Energy Inc.	5.250%	9/15/24	112,100	117,144
	WPX Energy Inc.	5.750%	6/1/26	11,975	12,574

18

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
	Other Industrial (0.7%)
3	Brand Energy & Infrastructure Services Inc.	8.500%	7/15/25	104,430	105,213
4,5	Core & Main LP Bank Loan, 3M USD LIBOR + 3.000%	4.512%	8/1/24	1,641	1,639
4,5	Core & Main LP Bank Loan, 3M USD LIBOR + 3.000%	4.512%	8/1/24	4,004	3,999
4,5	Core & Main LP Bank Loan, 3M USD LIBOR + 3.000%	4.664%	8/1/24	3,646	3,642
3	KAR Auction Services Inc.	5.125%	6/1/25	79,923	82,121
	Technology (9.6%)
	Alcatel-Lucent USA Inc.	6.500%	1/15/28	56,315	58,497
	Alcatel-Lucent USA Inc.	6.450%	3/15/29	88,747	93,295
	CDK Global Inc.	5.000%	10/15/24	6,015	6,541
	CDK Global Inc.	5.875%	6/15/26	29,700	31,556
	CDK Global Inc.	4.875%	6/1/27	22,545	23,729
3	CDK Global Inc.	5.250%	5/15/29	25,050	26,803
	CDW LLC / CDW Finance Corp.	5.500%	12/1/24	20,655	22,979
	CDW LLC / CDW Finance Corp.	5.000%	9/1/25	31,255	32,466
	CDW LLC / CDW Finance Corp.	4.250%	4/1/28	92,250	95,363
3	Dun & Bradstreet Corp.	6.875%	8/15/26	32,229	35,331
4,5	Dun & Bradstreet Corp. Bank Loan, 3M USD LIBOR + 5.000%	6.661%	2/8/26	103,345	103,765
3	Entegris Inc.	4.625%	2/10/26	5,000	5,150
6	Equinix Inc.	2.875%	2/1/26	102,180	117,128
	Equinix Inc.	5.375%	5/15/27	47,030	51,028
4,5	Grizzly Acquisitions Inc. Bank Loan, 3M USD LIBOR + 3.250%	5.159%	10/1/25	23,404	23,287
	Infor US Inc.	6.500%	5/15/22	97,200	97,686
3	Iron Mountain Inc.	4.375%	6/1/21	14,300	14,336
	Iron Mountain Inc.	5.750%	8/15/24	28,364	28,612
3	Iron Mountain Inc.	4.875%	9/15/27	28,670	29,387
3	Iron Mountain Inc.	4.875%	9/15/29	68,270	69,635
3	MSCI Inc.	5.250%	11/15/24	8,991	9,227
3	MSCI Inc.	5.750%	8/15/25	62,816	65,486
3	MSCI Inc.	4.750%	8/1/26	10,330	10,834
3	MSCI Inc.	5.375%	5/15/27	28,181	30,576
3	MSCI Inc.	4.000%	11/15/29	89,580	91,596
	Nokia Oyj	3.375%	6/12/22	41,636	42,313
	Nokia Oyj	6.625%	5/15/39	124,674	149,453
3	Open Text Corp.	5.625%	1/15/23	57,998	58,795
3	Open Text Corp.	5.875%	6/1/26	81,555	85,939
	Pitney Bowes Inc.	4.625%	5/15/22	44,145	44,697
	Pitney Bowes Inc.	5.200%	4/1/23	76,725	76,725
	Pitney Bowes Inc.	4.625%	3/15/24	37,215	35,447
3,†	PTC Inc.	3.625%	2/15/25	11,460	11,546
3,†	PTC Inc.	4.000%	2/15/28	12,605	12,731
	Qorvo Inc.	5.500%	7/15/26	65,125	68,870
3	Qorvo Inc.	4.375%	10/15/29	81,508	84,768
3	Sensata Technologies BV	4.875%	10/15/23	10,000	10,675
3	Sensata Technologies BV	5.625%	11/1/24	19,290	21,291
3	Sensata Technologies BV	5.000%	10/1/25	52,750	57,102
3	Sensata Technologies Inc.	4.375%	2/15/30	12,638	12,701
3	Sensata Technologies UK Financing Co. plc	6.250%	2/15/26	49,705	52,190

19

High-Yield Corporate Fund

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
4,5	SS&C Technologies Holdings Inc. Bank Loan, 1M USD LIBOR + 1.750%	3.395%	4/16/25	19,615	19,624
4,5	SS&C Technologies Holdings Inc. Bank Loan, 1M USD LIBOR + 1.750%	3.395%	4/16/25	28,290	28,255
4,5	SS&C Technologies Holdings Inc. Bank Loan, 1M USD LIBOR + 1.750%	3.395%	4/16/25	18,785	18,802
3	SS&C Technologies Inc.	5.500%	9/30/27	130,305	137,798
	Symantec Corp.	3.950%	6/15/22	11,455	11,713
3	Symantec Corp.	5.000%	4/15/25	138,816	141,592
	Western Digital Corp.	4.750%	2/15/26	78,703	83,819
	Xerox Corp.	2.800%	5/15/20	11,685	11,669
	Xerox Corp.	2.750%	9/1/20	7,000	6,977
	Xerox Corp.	4.125%	3/15/23	71,975	74,485
	Xerox Corp.	4.800%	3/1/35	29,269	27,732
	Xerox Corp.	6.750%	12/15/39	22,139	24,159
	Transportation (0.2%)
	Avis Budget Car Rental LLC / Avis Budget Finance Inc.	5.500%	4/1/23	17,496	17,715
3	Avis Budget Car Rental LLC / Avis Budget Finance Inc.	6.375%	4/1/24	32,663	33,847
					20,435,881
Utilities (1.5%)
	Electric (1.5%)
	AES Corp.	4.500%	3/15/23	59,805	61,001
	AES Corp.	4.875%	5/15/23	21,494	21,763
	AES Corp.	5.500%	4/15/25	5,475	5,646
	AES Corp.	6.000%	5/15/26	5,920	6,260
	AES Corp.	5.125%	9/1/27	58,610	61,687
	AES Corp.	4.000%	3/15/21	20,000	20,250
3	NextEra Energy Operating Partners LP	4.250%	7/15/24	39,739	41,378
3	NextEra Energy Operating Partners LP	4.250%	9/15/24	38,850	40,550
3	NextEra Energy Operating Partners LP	3.875%	10/15/26	104,720	105,732
3	NextEra Energy Operating Partners LP	4.500%	9/15/27	24,185	25,152
					389,419
Total Corporate Bonds (Cost $23,234,936)					23,817,563
Sovereign Bonds (0.6%)
3	DAE Funding LLC	4.000%	8/1/20	7,170	7,215
3	DAE Funding LLC	5.250%	11/15/21	26,185	27,199
3	DAE Funding LLC	4.500%	8/1/22	52,168	53,081
3	DAE Funding LLC	5.750%	11/15/23	2,500	2,625
3	DAE Funding LLC	5.000%	8/1/24	80,610	84,540
Total Sovereign Bonds (Cost $172,019)					174,660

20

High-Yield Corporate Fund

					Market
					Value•
				Shares	($000)
Preferred Stocks (0.5%)
	GMAC Capital Trust I Pfd. (Cost $123,777)			4,743,200	124,272
Common Stocks (0.1%)
Utilities (0.1%)
§	Homer City Generation LP (Cost $41,520)			2,020,431	14,446
				Face
			Maturity	Amount
		Coupon	Date	($000)
Temporary Cash Investments (5.5%)
Repurchase Agreements (5.5%)
	Bank of America Securities, LLC (Dated 1/31/2020, Repurchase Value $267,735,000, Federal Home Loan Mortgage Assn., 2.000%–5.000%, 8/1/30–1/1/50, and Federal National Mortgage Assn., 2.500%–5.000%, 7/1/28–2/1/50, with a value of $273,054,000)	1.590%	2/3/20	267,700	267,700
	Credit Agricole Sec (Dated 1/31/2020, Repurchase Value $505,966,000, collateralized by U.S. Treasury Note/Bond, 1.750%–3.000%, 5/31/22–9/30/25, with a value of $516,018,000)	1.570%	2/3/20	505,900	505,900
	JP Morgan Securities LLC (Dated 1/31/2020, Repurchase Value $186,324,000, collateralized by U.S. Treasury Note/Bond, 1.500%, 10/31/24, with a value of $190,026,000)	1.570%	2/3/20	186,300	186,300
	RBC Capital Markets LLC (Dated 1/31/2020, Repurchase Value $242,232,000, Federal Home Loan Mortgage Assn., 3.000%–4.500%, 11/1/28–9/1/49, and Federal National Mortgage Assn., 3.000%–4.500%, 12/1/33–1/1/50, with a value of $247,044,000)	1.580%	2/3/20	242,200	242,200
	TD Securities (USA) LLC (Dated 1/31/2020, Repurchase Value $282,938,000, collateralized by Federal National Mortgage Assn. 3.500%–4.500%, 10/1/48–5/1/49, with a value of $288,558,000)	1.590%	2/3/20	282,900	282,900
Total Temporary Cash Investments (Cost $1,485,000)					1,485,000
Total Investments (99.3%) (Cost $26,057,253)					26,617,074

21

High-Yield Corporate Fund

	Amount
	($000)
Other Assets and Liabilities (0.7%)
Other Assets
Investment in Vanguard	1,169
Receivables for Investment Securities Sold	75,320
Receivables for Accrued Income	338,355
Receivables for Capital Shares Issued	40,250
Other Assets	3,478
Total Other Assets	458,572
Liabilities
Payables for Investment Securities Purchased	(163,938)
Payables for Capital Shares Redeemed	(58,651)
Payables to Investment Advisor	(1,928)
Payables for Distributions	(29,303)
Payables to Vanguard	(13,010)
Variation Margin Payable—CC Swaps Contracts	(1,082)
Unrealized Depreciation—Forward Currency Contracts	(4,449)
Total Liabilities	(272,361)
Net Assets (100%)	26,803,285
At January 31, 2020, net assets consisted of:
	Amount
	($000)
Paid-in Capital	26,515,739
Total Distributable Earnings (Loss)	287,546
Net Assets	26,803,285
Investor Shares—Net Assets
Applicable to 690,339,980 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	4,102,027
Net Asset Value Per Share—Investor Shares	$5.94

22

High-Yield Corporate Fund

	Amount
	($000)
Admiral Shares—Net Assets
Applicable to 3,820,446,471 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	22,701,258
Net Asset Value Per Share—Admiral Shares	$5.94

• See Note A in Notes to Financial Statements.

§ Security value determined using significant unobservable inputs.

† Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

1 Securities with a value of $16,947,000 have been segregated as initial margin for open centrally cleared swap contracts.

2 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.

3 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 January 31, 2020, the aggregate value of these securities was $11,845,079,000, representing 44.2% of net assets.

4 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At January 31, 2020, the aggregate value of these securities was $550,626,000, representing 2.1% of net assets.

5 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

6 Face amount denominated in euro.

7 Face amount denominated in British pounds.

CC—Centrally Cleared.

LIBOR—London Interbank Offered Rate.

23

High-Yield Corporate Fund

Derivative Financial Instruments Outstanding as of Period End
Forward Currency Contracts
	Contract					Unrealized	Unrealized
	Settlement		Contract Amount (000)			Appreciation	(Depreciation)
Counterparty	Date		Receive		Deliver	($000)	($000)
Citibank, N.A.	2/28/20	USD	669,992	EUR	606,986	—	(4,298)
Toronto-Dominion Bank	2/28/20	USD	12,520	EUR	11,347	—	(85)
Goldman Sachs International	2/28/20	USD	4,499	GBP	3,455	—	(66)
						—	(4,449)

EUR—euro.

GBP—British pound.

USD—U.S. dollar.

Centrally Cleared Credit Default Swaps
					Periodic
					Premium		Unrealized
					Received		Appreciation
	Termination	Notional Amount			(Paid)1	Value	(Depreciation)
Reference Entity	Date		(000)		(%)	($000)	($000)
Credit Protection Sold
CDX-NA-HY-S33-V1	12/20/24		USD	307,242	5.000	25,753	4,730

1 Periodic premium received/paid quarterly.

USD—U.S. dollar.

At January 31, 2020, counterparties had deposited in a segregated account securities with a value of $547,000 and cash of $7,000,000 in connection with open forward currency contracts and open centrally cleared swap contracts.

See accompanying Notes, which are an integral part of the Financial Statements.

24

High-Yield Corporate Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Dividends	9,952
Interest	1,345,385
Total Income	1,355,337
Expenses
Investment Advisory Fees—Note B	7,379
The Vanguard Group—Note C
Management and Administrative—Investor Shares	7,146
Management and Administrative—Admiral Shares	19,575
Marketing and Distribution—Investor Shares	476
Marketing and Distribution—Admiral Shares	1,294
Custodian Fees	117
Auditing Fees	40
Shareholders’ Reports—Investor Shares	110
Shareholders’ Reports—Admiral Shares	199
Trustees’ Fees and Expenses	28
Total Expenses	36,364
Net Investment Income	1,318,973
Realized Net Gain (Loss)
Investment Securities Sold	(20,852)
Swap Contracts	11,588
Forward Currency Contracts	31,405
Foreign Currencies	(145)
Realized Net Gain (Loss)	21,996
Change in Unrealized Appreciation (Depreciation)
Investment Securities	1,151,576
Swap Contracts	5,032
Forward Currency Contracts	(330)
Foreign Currencies	10
Change in Unrealized Appreciation (Depreciation)	1,156,288
Net Increase (Decrease) in Net Assets Resulting from Operations	2,497,257

See accompanying Notes, which are an integral part of the Financial Statements.

25

High-Yield Corporate Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	1,318,973	1,322,249
Realized Net Gain (Loss)	21,996	151,778
Change in Unrealized Appreciation (Depreciation)	1,156,288	(1,137,081)
Net Increase (Decrease) in Net Assets Resulting from Operations	2,497,257	336,946
Distributions
Net Investment Income
Investor Shares	(204,765)	(215,874)
Admiral Shares	(1,145,812)	(1,147,877)
Realized Capital Gain
Investor Shares	—	—
Admiral Shares	—	—
Total Distributions	(1,350,577)	(1,363,751)
Capital Share Transactions
Investor Shares	367,892	(421,201)
Admiral Shares	2,446,481	(576,699)
Net Increase (Decrease) from Capital Share Transactions	2,814,373	(997,900)
Total Increase (Decrease)	3,961,053	(2,024,705)
Net Assets
Beginning of Period	22,842,232	24,866,937
End of Period	26,803,285	22,842,232

See accompanying Notes, which are an integral part of the Financial Statements.

26

High-Yield Corporate Fund

Financial Highlights

Investor Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$5.67	$5.91	$5.86	$5.46	$5.98
Investment Operations
Net Investment Income	.3021	.3171	.3091	.315	.327
Net Realized and Unrealized Gain (Loss) on Investments	.278	(.230)	.048	.404	(.495)
Total from Investment Operations	.580	.087	.357	.719	(.168)
Distributions
Dividends from Net Investment Income	(.310)	(.327)	(.307)	(.317)	(.323)
Distributions from Realized Capital Gains	—	—	—	(.002)	(.029)
Total Distributions	(.310)	(.327)	(.307)	(.319)	(.352)
Net Asset Value, End of Period	$5.94	$5.67	$5.91	$5.86	$5.46
Total Return2	10.45%	1.61%	6.19%	13.43%	-2.99%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,102	$3,557	$4,146	$4,064	$3,604
Ratio of Total Expenses to Average Net Assets	0.23%	0.23%	0.23%	0.23%	0.23%
Ratio of Net Investment Income to Average Net Assets	5.16%	5.55%	5.20%	5.48%	5.61%
Portfolio Turnover Rate	28%	21%	27%	26%	34%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

See accompanying Notes, which are an integral part of the Financial Statements.

27

High-Yield Corporate Fund

Financial Highlights

Admiral Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$5.67	$5.91	$5.86	$5.46	$5.98
Investment Operations
Net Investment Income	.3081	.3231	.3141	.320	.333
Net Realized and Unrealized Gain (Loss) on Investments	.278	(.230)	.049	.404	(.495)
Total from Investment Operations	.586	.093	.363	.724	(.162)
Distributions
Dividends from Net Investment Income	(.316)	(.333)	(.313)	(.322)	(.329)
Distributions from Realized Capital Gains	—	—	—	(.002)	(.029)
Total Distributions	(.316)	(.333)	(.313)	(.324)	(.358)
Net Asset Value, End of Period	$5.94	$5.67	$5.91	$5.86	$5.46
Total Return2	10.55%	1.71%	6.29%	13.54%	-2.90%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$22,701	$19,285	$20,721	$17,718	$13,183
Ratio of Total Expenses to Average Net Assets	0.13%	0.13%	0.13%	0.13%	0.13%
Ratio of Net Investment Income to Average Net Assets	5.26%	5.65%	5.30%	5.58%	5.71%
Portfolio Turnover Rate	28%	21%	27%	26%	34%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

See accompanying Notes, which are an integral part of the Financial Statements.

28

High-Yield Corporate Fund

Notes to Financial Statements

Vanguard High-Yield Corporate Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investting in securities of U.S. corporations. To minimize the currency risk associated with investment in securities denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Securities for which market quotations are not readily available, or whose values have been 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.

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or

29

High-Yield Corporate Fund

received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).

During the year ended January 31, 2020, the fund’s average investment in forward currency contracts represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell 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. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. 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 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 Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations 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.

30

High-Yield Corporate Fund

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 associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The 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 pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended January 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 0% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period.

5. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

31

High-Yield Corporate Fund

6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

8. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

9. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the year ended January 31, 2020, the investment advisory fee represented an effective annual rate of 0.03% of the fund’s average net assets.

C.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of

32

High-Yield Corporate Fund

operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $1,169,000, representing less than 0.01% of the fund’s net assets and 0.47% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.  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 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	1,001,133	—
Corporate Bonds	—	23,817,563	—
Sovereign Bonds	—	174,660	—
Preferred Stocks	—	124,272	—
Common Stocks	—	—	14,446
Temporary Cash Investments	—	1,485,000	—
Forward Currency Contracts—Liabilities	—	(4,449)	—
Swap Contracts—Liabilities1	(1,082)	—	—
Total	(1,082)	26,598,179	14,446

1 Represents variation margin on the last day of the reporting period.

E.  At January 31, 2020, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

	Currency	Credit
	Contracts	Contracts	Total
Statement of Net Assets Caption	($000)	($000)	($000)
Variation Margin Payable—CC Swap Contracts	—	(1,082)	(1,082)
Unrealized Depreciation—Forward Currency Contracts	(4,449)	—	(4,449)
Total Liabilities	(4,449)	(1,082)	(5,531)

33

High-Yield Corporate Fund

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended January 31, 2020, were:

	Currency	Credit
	Contracts	Contracts	Total
Realized Net Gain (Loss) on Derivatives	($000)	($000)	($000)
Swap Contracts	—	11,588	11,588
Forward Currency Contracts	31,405	—	31,405
Realized Net Gain (Loss) on Derivatives	31,405	11,588	42,993
Change in Unrealized Appreciation (Depreciation) on Derivatives
Swap Contracts	—	5,032	5,032
Forward Currency Contracts	(330)	—	(330)
Change in Unrealized Appreciation (Depreciation) on Derivatives	(330)	5,032	4,702

F.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and swap agreements were reclassified between the individual components of total distributable earnings (loss).

	Amount
	($000)
Paid-in Capital	—
Total Distributable Earnings (Loss)	—

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales; the realization of unrealized gains or losses on certain forward currency contracts; payables for distributions; amortization of premiums on certain callable debt securities; the tax recognition of gain or loss from foreign currency hedges; and the difference in the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	73,095
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)	(318,989)
Net Unrealized Gains (Losses)	574,234

34

High-Yield Corporate Fund

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	26,047,571
Gross Unrealized Appreciation	962,375
Gross Unrealized Depreciation	(388,142)
Net Unrealized Appreciation (Depreciation)	574,233

G.  During the year ended January 31, 2020, the fund purchased $7,163,563,000 of investment securities and sold $6,099,716,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $247,686,000 and $250,000,000, respectively.

H.  Capital share transactions for each class of shares were:

			Year Ended January 31,
		2020		2019
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	1,219,185	208,300	679,181	118,997
Issued in Lieu of Cash Distributions	172,894	29,534	181,417	31,875
Redeemed	(1,024,187)	(174,962)	(1,281,799)	(224,647)
Net Increase (Decrease)—Investor Shares	367,892	62,872	(421,201)	(73,775)
Admiral Shares
Issued	5,813,176	993,716	3,993,184	701,012
Issued in Lieu of Cash Distributions	830,168	141,810	857,979	150,769
Redeemed	(4,196,863)	(717,300)	(5,427,862)	(954,321)
Net Increase (Decrease)—Admiral Shares	2,446,481	418,226	(576,699)	(102,540)

I.   Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

35

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard High-Yield Corporate Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Vanguard High-Yield Corporate Fund (one of the funds constituting Vanguard Fixed Income Securities Funds, referred to hereafter as the “Fund”) as of January 31, 2020, the related statement of operations for the year ended January 31, 2020, the statement of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of January 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended January 31, 2020 and the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

36

Special 2019 tax information (unaudited) for Vanguard High-Yield Corporate Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 80.6% of income dividends are interest-related dividends.

37

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Corporate High Yield Bond Index, Bloomberg Barclays U.S. High Yield Ba/B 2% Issuer Capped Index, and Bloomberg Barclays U.S. 1–5 Year Treasury Bond Index (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the High-Yield Corporate Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the High-Yield Corporate Fund. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the High-Yield Corporate Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect to the Indices is the licensing of the Indices, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the High-Yield Corporate Fund or the owners of the High-Yield Corporate Fund.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the High-Yield Corporate Fund. Investors acquire the High-Yield Corporate Fund from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the High-Yield Corporate Fund. The High-Yield Corporate Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the High-Yield Corporate Fund or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the High-Yield Corporate Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the High Yield Corporate Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the High-Yield Corporate Fund or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the High-Yield Corporate Fund.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the High-Yield Corporate Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the High-Yield Corporate Fund, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE HIGH-YIELD CORPORATE FUND.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

38

The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018– present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team
Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

Connect with Vanguard^® > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

CFA^® is a registered trademark owned by CFA Institute.

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q290 032020

 

Annual Report | January 31, 2020

Vanguard GNMA Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
Advisor’s Report	3
About Your Fund’s Expenses	7
Performance Summary	9
Financial Statements	11

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.

A Note From Our Chairman

 

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

March 3, 2020

1 

Your Fund’s Performance at a Glance

·For the 12 months ended January 31, 2020, Vanguard GNMA Fund returned 5.46% for Investor Shares and 5.57% for Admiral Shares. The results were in line with the 5.50% return of the fund’s benchmark, the Bloomberg Barclays U.S. GNMA Bond Index.

· Stocks and bonds recorded strong results over the fiscal year. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. As the U.S.-China trade conflict fueled economic growth concerns, investors were also drawn to assets such as bonds, which are generally considered safer.

· U.S. Treasuries returned about 9%, mortgage-backed securities (MBS) about 6%, and corporate bonds more than 14%. Within the MBS sector, GNMA issues trailed the broader agency bond market.

·    The advisor’s security selection boosted the GNMA Fund’s relative performance for the period, but its duration positioning (its sensitivity to interest rate changes) detracted as yields declined.

· For the ten years ended January 31, 2020, Vanguard GNMA Fund returned an annualized average of 3.18% for Investor Shares and 3.29% for Admiral Shares. Its benchmark recorded an average annual return of 3.13%.

Market Barometer
	Average Annual Total Returns
	Periods Ended January 31, 2020
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	21.39%	14.33%	12.13%
Russell 2000 Index (Small-caps)	9.21	7.28	8.23
Russell 3000 Index (Broad U.S. market)	20.53	13.82	11.85
FTSE All-World ex US Index (International)	10.28	7.74	5.24
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	9.64%	4.62%	3.01%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	8.65	5.12	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.18	1.68	1.07
CPI
Consumer Price Index	2.49%	2.04%	2.00%

2 

Advisor’s Report

For the 12 months ended January 31, 2020, Investor Shares of Vanguard GNMA Fund returned 5.46% and Admiral Shares returned 5.57%. The fund’s benchmark, the Bloomberg Barclays U.S. GNMA Bond Index, returned 5.50%.

The investment environment

U.S. fixed income markets generated positive total returns for the fiscal year, driven by a substantial decline in yields across the Treasury curve. Geopolitical uncertainty was elevated amid ongoing trade talks between the U.S. and China, Brexit negotiations, and U.S. presidential impeachment proceedings.

Despite these concerns, U.S. corporate bond spreads tightened over optimism that monetary accommodation could offset restrictive trade policies’ drag on global growth. The Federal Reserve cut rates three times in the second half of 2019 before deciding to take a more patient approach to future adjustments.

By the end of 2019, yields had increased in most markets as global activity indicators stabilized and trade talks progressed. However, rising political tensions in the Middle East and an outbreak of the coronavirus in China reignited global growth fears at the start of 2020.

Early in 2019, U.S. Treasury yields declined sharply after a dovish shift in Federal Reserve policy and guidance and signs of a global growth slowdown. Geopolitical uncertainty rose as a U.S.-China trade agreement remained elusive despite ongoing negotiations.

Yields declined further in the second quarter as the Fed left rates unchanged but set the stage for cuts later in the year, indicating that it saw additional risks to its outlook from trade policy, investment intentions, and manufacturing. It cut rates as expected in the third quarter and also conducted short-term operations to alleviate funding pressures. Political uncertainty remained high, although corporate bond markets appeared to shrug it off.

Fixed income returns were mixed in the fourth quarter. Intermediate- and longer-term Treasury yields rose as economic data showed some improvement. And corporate bond spreads tightened over optimism that a phase one trade deal between the U.S. and China would help ease global growth concerns. However, in January, worries over the global spread of the coronavirus triggered a flight-to-safety in government bonds, and spreads in many fixed income sectors widened.

U.S. consumer confidence weakened during the fiscal year as a result of the economic uncertainty. Manufacturing activity contracted, though the housing market remained resilient as lower rates boosted activity.

Absolute returns rose for U.S. fixed income, led by the significant decline in Treasury yields prompted by safe-haven flows early in 2019 and 2020 and the accommodative Fed policy. Excess returns were also positive as spreads tightened in most fixed income sectors.

3 

The agency mortgage-backed securities (MBS) market returned 6.25% as measured by the Bloomberg Barclays MBS Fixed Rate Index. It outperformed duration-equivalent Treasuries by 132 basis points (as measured by Wellington). The Bloomberg Barclays GNMA Index, part of the broader MBS Fixed Rate Index, returned 5.50%, beating duration-equivalent Treasuries by 0.71% (as measured by Wellington).

Mortgages began the fiscal year on a strong note, thanks to a plunge in volatility and the Fed’s dovish pivot early on when it effectively took rate hikes off the table. As the Fed later eased policy amid heightened trade/global growth concerns, interest rates staged a significant rally, triggering fears of rising mortgage prepayments in the third quarter.

Agency MBS spreads widened, particularly when prepayments spiked more than the market anticipated. However, investor anxiety subsided later in the year when rates moved higher and prepayment speeds came down off their peaks. Optimism that the worst had passed caused mortgages to outperform heading into year end.

The sector faced some pressure in January as rates dropped again and interest rate volatility increased because of coronavirus concerns. This was not enough to offset strong performance over much of the 12-month period. Within the MBS sector, conventionals (Federal Home Loan Mortgage Company [FHLMC] loans and Federal National Mortgage Association [FNMA] loans) outperformed GNMA pass-throughs, 30-year MBS surpassed 15-year MBS, and higher coupons generally performed better than lower coupons.

Our successes

Security selection in GNMA pass-throughs drove positive relative returns. The fund maintained an underweight to GNMAs while favoring agency collateralized mortgage obligations (CMO), Fannie Mae Delegated Underwriting and Servicing bonds (FNMA DUS), 30-year conventional pass-throughs, and high-quality securitized credit.

This positioning only modestly benefited results. Although excess returns were positive in the agency CMO, DUS, and securitized credit sectors, they were partially offset by the underweight to GNMA pass-throughs, which also performed well.

Our shortfalls

The fund’s tactical duration positioning detracted from relative performance. A modest short-duration posture in March and January hurt results as interest rates rallied.

The fund’s positioning

We maintain an underweight to GNMA MBS pass-throughs, focused on replacing their income with less prepayment-sensitive sectors of the agency MBS market. We continue to have a bias toward assets that can generate income and provide more stable cash flows, such as agency CMOs.

The substantial rally in interest rates during 2019 reintroduced prepayment risk to the agency MBS market; however, the uncertainty is primarily concentrated in

4 

MBS issued since mid-2018. We believe current spreads compensate investors for the increased risk, and we maintain our constructive outlook on longer-term MBS fundamentals.

The Fed’s wait-and-see approach should keep interest rate volatility relatively contained in the near-term, which is a good environment for mortgages to earn income. However, our outlook for mortgages is tempered by looming political risks.

Brexit and U.S.-China trade relations have moderated for now. Any flare-up on the political front or big surprises in economic data could push rates outside of their recent ranges, pressuring agency MBS. In more recent developments, fears of an extended negative economic impact from the spread of the coronavirus may keep rates lower, and prepayment risk could pose a challenge.

Prepayment risk in agency MBS increased in 2019, especially for newer production, which exhibited higher prepay sensitivity to changes in interest rates. Originators and servicers have increased their use of technology in the origination process, contributing to more efficient refinancings.

GNMA and the Department of Veterans Affairs’ efforts to reduce the aggressive refinancing of recently issued loans have had limited success so far. Various policy and rule changes have concentrated the prepay risk in a more targeted set of borrowers, hurting the quality of mortgage to-be-announced securities (TBAs).

Within conventionals, the launch of uniform MBS also contributed to a worsening profile for TBAs. By allowing either FNMA or FHLMC collateral to be deliverable into a single TBA contract, the volume of highly prepayment-sensitive bonds (cheapest to deliver) increased dramatically, weighing on TBA valuations. An increase in gross weighted average coupons in conventional pools originated over the past year further heightened prepayment risk.

This was further exacerbated by the drift higher in the average loan size over the last several years. In aggregate, refinancing is still more challenging for borrowers than it was pre-crisis. As a result, peak prepayment speeds on in-the-money loans are likely to remain below historical refinancing booms. Even though the risk has risen, the backup in interest rates suggests that the worst of it may have passed.

The technical picture in 2020 appears more balanced. The Fed is still allowing its agency MBS balance sheet holdings to run off gradually, bringing extra supply to the market. This should be offset by positive demand. We believe low loan growth and better deposit growth at banks will support their demand for agency MBS. And the sector should continue to attract global demand because of its yield advantage in light of the still large amount of negative yields on global sovereign debt.

Agency MBS have also drawn interest as a liquid alternative to high-quality credit for investors wishing to de-risk their portfolios

5 

because of the late stage of the credit cycle and the risk found in many sectors of the corporate credit market. We believe these trends will likely continue in 2020, benefiting agency MBS.

Longer term, agency MBS spreads are likely to be supported by growth in the Federal budget deficit as the supply of Treasuries is set to rise relative to agency MBS. Additionally, a more stable buyer base of long-term investors and limited participation of levered players should result in spreads that are more stable than they were pre-crisis.

Michael F. Garrett

Senior Managing Director and

Fixed Income Portfolio Manager

Joseph F. Marvan, CFA

Senior Managing Director and

Fixed Income Portfolio Manager

Brian Conroy, CFA

Managing Director and

Fixed Income Portfolio Manager

Wellington Management Company LLP

February 24, 2020

6 

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.

7 

Six Months Ended January 31, 2020
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
GNMA Fund	7/31/2019	1/31/2020	Period
Based on Actual Fund Return
Investor Shares	$1,000.00	$1,020.20	$1.07
Admiral™ Shares	1,000.00	1,020.71	0.56
Based on Hypothetical 5% Yearly Return
Investor Shares	$1,000.00	$1,024.15	$1.07
Admiral Shares	1,000.00	1,024.65	0.56

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.21% for Investor Shares and 0.11% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

8 

GNMA Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended January 31, 2020
					Final Value
		One	Five	Ten	of a $10,000
		Year	Years	Years	Investment
	GNMA Fund Investor Shares	5.46%	2.28%	3.18%	$13,676
	Bloomberg Barclays U.S. GNMA Bond Index	5.50	2.33	3.13	13,610
	Bloomberg Barclays U.S. Aggregate Bond Index	9.64	3.01	3.79	14,501
					Final Value
		One	Five	Ten	of a $50,000
		Year	Years	Years	Investment
GNMA Fund Admiral Shares		5.57%	2.38%	3.29%	$69,081
Bloomberg Barclays U.S. GNMA Bond Index		5.50	2.33	3.13	68,052
Bloomberg Barclays U.S. Aggregate Bond Index		9.64	3.01	3.79	72,507

See Financial Highlights for dividend and capital gains information.

9

GNMA Fund

Sector Diversification

As of January 31, 2020

Asset-Backed/Commercial Mortgage-Backed	1.7%
Government Mortgage-Backed	98.2
Treasury/Agency	0.1

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

10

GNMA Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (98.5%)
U.S. Government Securities (0.1%)
1,2, 3 ,4	United States Treasury Floating Rate Note, US Treasury 3 Month Bill Money Market Yield + 0.033%	1.569%	4/30/20	17,000		17,000
Conventional Mortgage-Backed Securities (89.6%)
5,6	Fannie Mae Pool	2.500%	7/1/27–8/1/46	84,228		85,654
5,6	Fannie Mae Pool	2.950%	6/1/31	1,925		2,092
5,6	Fannie Mae Pool	2.960%	6/1/31	2,479		2,694
5,6	Fannie Mae Pool	3.000%	11/1/22–11/1/49	151,720		155,481
5,6	Fannie Mae Pool	3.010%	8/1/34	2,045		2,231
5,6	Fannie Mae Pool	3.050%	7/1/31	2,000		2,190
5,6	Fannie Mae Pool	3.110%	11/1/27–2/1/28	22,919		24,952
5,6	Fannie Mae Pool	3.190%	9/1/29	3,725		4,109
5,6	Fannie Mae Pool	3.240%	3/1/28	6,197		6,785
5,6	Fannie Mae Pool	3.250%	5/1/32	16,500		18,304
5,6	Fannie Mae Pool	3.330%	4/1/32	10,818		12,145
5,6	Fannie Mae Pool	3.350%	1/1/30	5,052		5,640
5,6	Fannie Mae Pool	3.410%	5/1/32	4,100		4,640
5,6	Fannie Mae Pool	3.420%	4/1/31	1,445		1,623
5,6	Fannie Mae Pool	3.460%	9/1/29	6,639		7,428
5,6	Fannie Mae Pool	3.550%	2/1/30	8,875		10,034
5,6	Fannie Mae Pool	3.570%	10/1/29	1,001		1,129
5,6	Fannie Mae Pool	4.000%	5/1/46–6/1/46	6,398		6,825
5,6	Fannie Mae Pool	4.180%	11/1/30	28,836		33,623
5,6	Fannie Mae Pool	4.500%	12/1/40–3/1/44	2,437		2,651
5,6	Fannie Mae Pool	5.000%	6/1/23–8/1/49	108,597		116,967
5,6	Fannie Mae Pool	6.000%	7/1/22	1		2
5,6	Fannie Mae Pool	6.500%	2/1/29–5/1/40	1,898		2,174
5,6	Freddie Mac Gold Pool	3.000%	6/1/43–1/1/47	31,960		33,022
5,6	Freddie Mac Gold Pool	3.500%	11/1/47–9/1/48	87,209		90,752
5,6	Freddie Mac Gold Pool	4.000%	9/1/30–4/1/44	5,895		6,287
5,6	Freddie Mac Gold Pool	4.500%	4/1/34–2/1/46	54,868		59,467
5,6	Freddie Mac Gold Pool	5.000%	12/1/27–8/1/44	35,697		38,778
5	Ginnie Mae I Pool	2.500%	11/15/42–9/15/43	78,157		79,794
5	Ginnie Mae I Pool	3.000%	1/15/26–2/1/50	1,010,453		1,041,719
4,5	Ginnie Mae I Pool	3.500%	7/15/39–6/15/48	804,439		839,926
5	Ginnie Mae I Pool	3.750%	7/15/42	2,432		2,545
5	Ginnie Mae I Pool	3.875%	5/15/42–6/15/42	4,960		5,251
5	Ginnie Mae I Pool	4.000%	8/15/24–7/15/46	959,337		1,022,618

11

GNMA Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
5	Ginnie Mae I Pool	4.500%	4/15/33–1/15/45	510,607		554,497
5	Ginnie Mae I Pool	5.000%	1/15/30–2/1/50	450,199		500,494
5	Ginnie Mae I Pool	5.500%	9/15/23–9/15/45	341,923		377,201
5	Ginnie Mae I Pool	6.000%	2/15/24–2/1/50	170,147		188,044
5	Ginnie Mae I Pool	6.500%	4/15/23–7/15/40	124,090		136,800
5	Ginnie Mae I Pool	7.000%	11/15/31–11/15/36	35,019		39,544
5	Ginnie Mae I Pool	7.250%	1/15/27–2/15/27	18		18
2,5	Ginnie Mae I Pool	7.500%	10/15/31	13,448		15,570
5	Ginnie Mae I Pool	8.000%	8/15/31	4,664		5,392
5	Ginnie Mae I Pool	8.500%	3/15/21–6/15/28	373		411
5	Ginnie Mae I Pool	9.000%	5/15/21	1		1
5	Ginnie Mae I Pool	9.500%	6/15/20–8/15/21	17		20
5	Ginnie Mae II Pool	1.500%	4/20/44–6/20/47	1,049		991
5	Ginnie Mae II Pool	2.000%	10/20/43–2/20/47	852		841
5,7	Ginnie Mae II Pool	2.500%	11/20/42–2/1/50	705,788		719,087
5	Ginnie Mae II Pool	3.000%	4/20/31–3/1/50	3,074,744		3,180,125
§,4,5,7	Ginnie Mae II Pool	3.500%	10/20/40–3/1/50	7,083,058		7,339,125
5,7	Ginnie Mae II Pool	4.000%	4/20/39–2/1/50	3,566,859		3,717,108
5,7	Ginnie Mae II Pool	4.500%	12/20/32–2/1/50	992,165		1,060,417
5,7	Ginnie Mae II Pool	5.000%	10/20/32–2/1/50	429,102		461,237
5	Ginnie Mae II Pool	5.500%	1/20/34–7/20/40	25,715		28,967
5	Ginnie Mae II Pool	6.000%	4/20/28–8/20/40	33,460		38,087
5	Ginnie Mae II Pool	6.500%	4/20/37–3/20/41	920		1,072
5	Ginnie Mae II Pool	7.500%	6/20/25–8/20/25	77		88
5,6,7	UMBS Pool	2.500%	9/1/34–9/1/46	47,439		48,284
						22,142,953
Nonconventional Mortgage-Backed Securities (8.8%)
5,6	Fannie Mae Pool	2.338%	8/1/43	8,724		8,722
5,6	Fannie Mae Pool	2.800%	9/1/44	10,461		10,523
5,6	Fannie Mae REMICS	2.000%	9/25/42	8,982		8,892
5,6	Fannie Mae REMICS	2.500%	10/25/42	10,480		10,713
5,6	Fannie Mae REMICS	3.000%	6/25/43–10/25/48	109,697		115,466
5,6	Fannie Mae REMICS	3.500%	7/25/44–12/25/58	108,579		118,593
5,6	Fannie Mae REMICS	6.000%	10/25/28–9/25/32	3,359		3,751
5,6	Freddie Mac Non Gold Pool	2.195%	9/1/43	6,922		6,906
5,6	Freddie Mac Non Gold Pool	2.517%	8/1/43	12,110		12,093
5,6	Freddie Mac Non Gold Pool	2.659%	10/1/44	18,474		18,555
5,6	Freddie Mac Non Gold Pool	2.741%	7/1/44	4,417		4,427
5,6	Freddie Mac Non Gold Pool	2.838%	10/1/44	9,171		9,238
5,6	Freddie Mac Non Gold Pool	2.868%	4/1/44	8,585		9,114
5,6	Freddie Mac Non Gold Pool	2.959%	9/1/44	5,487		5,818
5,6	Freddie Mac Non Gold Pool	3.075%	10/1/44	13,305		14,150
5,6	Freddie Mac REMICS	2.000%	4/15/42	9,301		9,241
5,6	Freddie Mac REMICS	3.000%	8/15/42–3/15/48	99,825		106,222
5,6	Freddie Mac REMICS	4.000%	11/15/40	10,382		11,602
5,6	Freddie Mac REMICS	6.000%	4/15/28–11/15/32	9,143		10,299
5	Ginnie Mae REMICS	2.000%	7/20/42	46,953		46,548
5	Ginnie Mae REMICS	2.350%	5/17/46	33,921		34,183
5	Ginnie Mae REMICS	2.375%	4/20/44	6,188		6,297
5	Ginnie Mae REMICS	2.500%	12/16/39–11/20/45	65,774		66,431
5	Ginnie Mae REMICS	2.650%	11/17/48	15,713		15,901
5	Ginnie Mae REMICS	3.000%	3/20/40–6/20/47	135,150		141,986
5	Ginnie Mae REMICS	3.250%	8/20/44	8,509		9,415
5	Ginnie Mae REMICS	3.500%	7/20/43–9/20/44	32,582		34,707

12

GNMA Fund

				Face		Market
			Maturity	Amount		Value·
		Coupon	Date	($000	)	($000	)
5	Ginnie Mae REMICS	4.500%	6/20/39	3,259		3,682
5	Ginnie Mae REMICS	5.000%	6/16/37	11,406		13,012
5	Ginnie Mae REMICS	5.500%	8/16/36	10,199		11,567
1,5	Ginnie Mae REMICS, 1M USD LIBOR + 0.200%	1.858%	2/20/37	2,518		2,451
5	Government National Mortgage Assn.	1.650%	11/20/45	121,063		119,133
5	Government National Mortgage Assn.	1.750%	10/20/42–7/20/44	22,976		21,425
5	Government National Mortgage Assn.	2.000%	1/20/42–10/20/44	9,348		9,319
5	Government National Mortgage Assn.	2.250%	3/16/45	15,869		16,058
5	Government National Mortgage Assn.	2.500%	5/20/41–1/20/48	161,437		163,464
5	Government National Mortgage Assn.	2.750%	6/16/43	19,855		20,206
5	Government National Mortgage Assn.	3.000%	6/20/39–6/20/49	843,089		876,190
5	Government National Mortgage Assn.	3.250%	2/20/49	2,892		3,230
5	Government National Mortgage Assn.	3.500%	8/16/44–2/20/49	50,026		55,258
5	Government National Mortgage Assn.	3.688%	10/20/48	17,901		19,824
5	Government National Mortgage Assn.	3.750%	12/16/39	1,993		2,240
						2,186,852
Total U.S. Government and Agency Obligations (Cost $23,957,224)						24,346,805
Asset-Backed/Commercial Mortgage-Backed Securities (1.7%)
5,6	Fannie Mae-Aces	2.885%	5/25/29	70,000		75,322
5,6	Seasoned Credit Risk Transfer Trust Series 2018-4	3.500%	3/25/58	52,375		54,289
5,6	Seasoned Credit Risk Transfer Trust Series 2019-1	3.500%	7/25/58	82,187		85,693
5,6	Seasoned Credit Risk Transfer Trust Series 2019-3	3.500%	10/25/58	193,063		204,015
5,6	Seasoned Credit Risk Transfer Trust Series 2019-3	3.500%	10/25/58	12,049		13,091
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $427,289)						432,410
Temporary Cash Investments (6.8%)
Repurchase Agreements (4.4%)
	Bank of America Securities, LLC (Dated 1/31/20, Repurchase Value $29,004,000, collateralized by Government National Mortgage Assn. 3.500%–4.500%, 6/15/42–1/20/50, with a value of $29,580,000)	1.590%	2/3/20	29,000		29,000
	Barclays Capital Inc. (Dated 1/31/20, Repurchase Value $62,908,000, collateralized by U.S. Treasury Note/Bond 3.125%, 11/15/28, with a value of $64,158,000)	1.570%	2/3/20	62,900		62,900
	Citigroup Global Markets Inc. (Dated 1/31/20, Repurchase Value $58,608,000, collateralized by U.S. Treasury Bill 0.000%, 1/28/21, and U.S. Treasury Note/Bond 1.375%–1.690%, 1/31/22–1/31/27, with a value of $59,772,000)	1.560%	2/3/20	58,600		58,600

13

GNMA Fund

			Face	Market
		Maturity	Amount	Value·
	Coupon	Date	($000)	($000	)
Credit Agricole Securities (USA) Inc. (Dated 1/31/20, Repurchase Value $2,100,000, collateralized by U.S. Treasury Note/Bond 2.875%, 5/31/25, with a value of $2,142,000)	1.570%	2/3/20	2,100	2,100
HSBC Bank USA (Dated 1/31/20, Repurchase Value $70,409,000, collateralized by Federal National Mortgage Assn. 4.000%–4.500%, 8/1/48–1/1/50, with a value of $71,808,000)	1.590%	2/3/20	70,400	70,400
HSBC Bank USA (Dated 1/31/20, Repurchase Value $183,424,000, collateralized by U.S. Treasury Bill 0.000%, 2/18/20–1/28/21, and U.S. Treasury Note/Bond 0.625%–4.500%, 4/30/20–2/15/48, with a value of $187,068,000)	1.570%	2/3/20	183,400	183,400
Natixis SA (Dated 1/31/20, Repurchase Value $205,527,000, collateralized by U.S. Treasury Note/Bond 1.125%–5.375%, 8/15/21–5/15/48, with a value of $209,610,000)	1.570%	2/3/20	205,500	205,500
Societe Generale (Dated 1/31/20, Repurchase Value $296,539,000, collateralized by Federal Home Loan Mortgage Corp. 1.750%–4.000%, 9/30/21–1/1/50, Federal National Mortgage Assn. 2.500%–4.500%, 1/1/28–1/1/50, Government National Mortgage Assn. 3.000%–4.000%, 7/20/44–9/15/59, U.S. Treasury Bill 0.000%, 2/6/20–10/8/20, and U.S. Treasury Note/Bond 1.125%–5.500%, 11/30/20–8/15/28, with a value of $302,430,000)	1.560%	2/3/20	296,500	296,500
TD Securities (USA) LLC (Dated 1/31/20, Repurchase Value $73,110,000, collateralized by Federal National Mortgage Assn. 3.500%–4.000%, 3/1/49–8/1/49, with a value of $74,562,000)	1.590%	2/3/20	73,100	73,100
Wells Fargo & Co. (Dated 1/31/20, Repurchase Value $98,413,000, collateralized by Federal National Mortgage Assn. 3.500%, 6/1/49, with a value of $100,368,000)	1.590%	2/3/20	98,400	98,400
				1,079,900

14

GNMA Fund

				Market
				Value·
		Coupon	Shares	($000	)
Money Market Fund (2.4%)
8	Vanguard Market Liquidity Fund	1.730%	6,053,108	605,432
Total Temporary Cash Investments (Cost $1,685,268)				1,685,332
Total Investments (107.0%) (Cost $26,069,781)				26,464,547

			Face
		Maturity	Amount
	Coupon	Date	($000)
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.7%)
5,6,7 UMBS Pool	3.000%	12/1/25–2/1/50	(116,508)	(118,880	)
5,6,7 UMBS Pool	5.000%	3/1/24–2/1/50	(60,393)	(64,647	)
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $182,577)				(183,527	)
Other Assets and Liabilities (-6.3%)
Other Assets				6,371,049
Other Liabilities				(7,930,311	)
				(1,559,262	)
Net Assets (100%)				24,721,758

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	25,859,115
Affiliated Issuers	605,432
Total Investments in Securities	26,464,547
Investment in Vanguard	1,073
Receivables for Investment Securities Sold	6,268,382
Receivables for Accrued Income	80,349
Receivables for Capital Shares Issued	18,929
Variation Margin Receivable—Futures Contracts	1,124
Other Assets	1,192
Total Assets	32,835,596
Liabilities
Payables for Investment Securities Purchased	7,877,622
Payables to Investment Advisor	593
Payables for Capital Shares Redeemed	17,772
Payables for Distributions	8,307
Payables to Vanguard	20,981
Liability for Sale Commitments	183,527
Variation Margin Payable—Futures Contracts	2,345
Variation Margin Payable—CC Swap Contracts	704
Other Liabilities	1,987
Total Liabilities	8,113,838
Net Assets	24,721,758

15

GNMA Fund

At January 31, 2020, net assets consisted of:
	Amount
	($000	)
Paid-in Capital	24,728,692
Total Distributable Earnings (Loss)	(6,934	)
Net Assets	24,721,758
Investor Shares—Net Assets
Applicable to 696,176,792 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	7,365,471
Net Asset Value Per Share—Investor Shares	$10.58
Admiral Shares—Net Assets
Applicable to 1,640,498,758 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	17,356,287
Net Asset Value Per Share—Admiral Shares	$10.58

• See Note A in Notes to Financial Statements.

§ Certain of the fund’s securities are valued using significant unobservable inputs.

1 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

2 Securities with a value of $14,295,000 have been segregated as initial margin for open futures contracts.

3 Securities with a value of $10,200,000 have been segregated as initial margin for open centrally cleared swap contracts.

4 Securities with a value of $15,819,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.

5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.

6 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.

7 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.

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.

CC—Centrally Cleared.

LIBOR—London Interbank Offered Rate.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

16

GNMA Fund

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
				($000	)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation	)
Long Futures Contracts
10-Year U.S. Treasury Note	March 2020	2,871	377,985	1,979
5-Year U.S. Treasury Note	March 2020	1,148	138,128	1,125
				3,104
Short Futures Contracts
Ultra 10-Year U.S. Treasury Note	March 2020	(4,393)	(639,868)	(14,327	)
30-Year U.S. Treasury Bond	March 2020	(335)	(54,783)	(1,749	)
2-Year U.S. Treasury Note	March 2020	(31)	(6,707)	(25	)
				(16,101	)
				(12,997	)

Centrally Cleared Interest Rate Swaps
			Fixed	Floating
			Interest	Interest
			Rate	Rate			Unrealized
	Future	Notional	Received	Received			Appreciation
	Effective	Amount	(Paid)1	(Paid)	2	Value	(Depreciation	)
Termination Date	Date	($000)	(%)	(%)		($000)	($000	)
4/30/25	N/A	288,840	(3.000)	1.770		(24,444)	(24,441	)

1 Fixed interest payment received/paid semiannually.

2 Based on 3M USD LIBOR as of the most recent payment date. Floating interest payment received/paid quarterly.

See accompanying Notes, which are an integral part of the Financial Statements.

17

GNMA Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000	)
Investment Income
Income
Interest1	674,550
Total Income	674,550
Expenses
Investment Advisory Fees—Note B	2,265
The Vanguard Group—Note C
Management and Administrative—Investor Shares	13,018
Management and Administrative—Admiral Shares	14,750
Marketing and Distribution—Investor Shares	659
Marketing and Distribution—Admiral Shares	827
Custodian Fees	378
Auditing Fees	41
Shareholders’ Reports—Investor Shares	190
Shareholders’ Reports—Admiral Shares	174
Trustees’ Fees and Expenses	28
Total Expenses	32,330
Net Investment Income	642,220
Realized Net Gain (Loss)
Investment Securities Sold1	168,177
Futures Contracts	8,185
Swap Contracts	(74,917	)
Realized Net Gain (Loss)	101,445
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	528,301
Futures Contracts	(21,452	)
Swap Contracts	(13,968	)
Change in Unrealized Appreciation (Depreciation)	492,881
Net Increase (Decrease) in Net Assets Resulting from Operations	1,236,546

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $18,146,000, ($1,000), and $64,000, respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

18

GNMA Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020		2019
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	642,220		669,601
Realized Net Gain (Loss)	101,445		(183,268	)
Change in Unrealized Appreciation (Depreciation)	492,881		106,760
Net Increase (Decrease) in Net Assets Resulting from Operations	1,236,546		593,093
Distributions
Net Investment Income
Investor Shares	(191,365	)	(205,195	)
Admiral Shares	(453,286	)	(461,404	)
Realized Capital Gain
Investor Shares	—		—
Admiral Shares	—		—
Total Distributions	(644,651	)	(666,599	)
Capital Share Transactions
Investor Shares	468,661		(859,525	)
Admiral Shares	2,240,579		(1,735,093	)
Net Increase (Decrease) from Capital Share Transactions	2,709,240		(2,594,618	)
Total Increase (Decrease)	3,301,135		(2,668,124	)
Net Assets
Beginning of Period	21,420,623		24,088,747
End of Period	24,721,758		21,420,623

See accompanying Notes, which are an integral part of the Financial Statements.

19

GNMA Fund

Financial Highlights

Investor Shares
For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.31	$10.32	$10.51	$10.77	$10.88
Investment Operations
Net Investment Income	.2851	.2981	.2841	.236	.249
Net Realized and Unrealized Gain (Loss) on Investments	.272	(.011)	(.193)	(.183)	(.055)
Total from Investment Operations	.557	.287	.091	.053	.194
Distributions
Dividends from Net Investment Income	(.287)	(.297)	(.281)	(.237)	(.250)
Distributions from Realized Capital Gains	—	—	—	(.076)	(.054)
Total Distributions	(.287)	(.297)	(.281)	(.313)	(.304)
Net Asset Value, End of Period	$10.58	$10.31	$10.32	$10.51	$10.77
Total Return2	5.46%	2.85%	0.85%	0.49%	1.83%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$7,365	$6,715	$7,598	$7,993	$8,483
Ratio of Total Expenses to Average Net Assets	0.21%	0.21%	0.21%	0.21%	0.21%
Ratio of Net Investment Income to Average Net Assets	2.71%	2.93%	2.70%	2.19%	2.33%
Portfolio Turnover Rate3	616%	415%	620%	926%	706%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 198%, 200%, 156%, 300%, and 219% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

20

GNMA Fund

Financial Highlights

Admiral Shares
For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$10.31	$10.32	$10.51	$10.77	$10.88
Investment Operations
Net Investment Income	.2951	.3091	.2941	.247	.260
Net Realized and Unrealized Gain (Loss) on Investments	.272	(.012)	(.192)	(.183)	(.055)
Total from Investment Operations	.567	.297	.102	.064	.205
Distributions
Dividends from Net Investment Income	(.297)	(.307)	(.292)	(.248)	(.261)
Distributions from Realized Capital Gains	—	—	—	(.076)	(.054)
Total Distributions	(.297)	(.307)	(.292)	(.324)	(.315)
Net Asset Value, End of Period	$10.58	$10.31	$10.32	$10.51	$10.77
Total Return2	5.57%	2.95%	0.95%	0.59%	1.93%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$17,356	$14,706	$16,491	$17,613	$17,419
Ratio of Total Expenses to Average Net Assets	0.11%	0.11%	0.11%	0.11%	0.11%
Ratio of Net Investment Income to Average Net Assets	2.81%	3.03%	2.80%	2.29%	2.43%
Portfolio Turnover Rate3	616%	415%	620%	926%	706%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Includes 198%, 200%, 156%, 300%, and 219% attributable to mortgage-dollar-roll activity.

See accompanying Notes, which are an integral part of the Financial Statements.

21

GNMA Fund

Notes to Financial Statements

Vanguard GNMA Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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. 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. 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.

2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The 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 Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented 5% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Swap Contracts: The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

22

GNMA Fund

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations 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.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The 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 pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended January 31, 2020, the average amount of investments in interest rate swaps represented 4% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. 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 be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on

23

GNMA Fund

its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.

5. 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 or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.

6. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

7. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

8. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

24

GNMA Fund

9. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

10. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the year ended January 31, 2020, the investment advisory fee represented an effective annual rate of 0.01% of the fund’s average net assets.

C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $1,073,000, representing less than 0.01% of the fund’s net assets and 0.43% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

25

GNMA Fund

D. 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 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
U.S. Government and Agency Obligations	—	24,316,534	30,271
Asset-Backed/Commercial Mortgage-Backed Securities	—	432,410	—
Temporary Cash Investments	605,432	1,079,900	—
Conventional Mortgage-Backed Securities—Liability for Sale Commitments	—	(183,527)	—
Futures Contracts—Assets1	1,124	—	—
Futures Contracts—Liabilities1	(2,345)	—	—
Swap Contracts—Liabilities1	(704)	—	—
Total	603,507	25,645,317	30,271

1 Represents variation margin on the last day of the reporting period.

E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for swap agreements were reclassified between the following accounts:

	Amount
	($000)
Paid-in Capital	(604)
Total Distributable Earnings (Loss)	604

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the

26

GNMA Fund

realization of unrealized gains or losses on certain futures contracts; and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	24,238
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(371,581)
Net Unrealized Gains (Losses)	368,128

^* The fund used capital loss carryforwards of $81,833,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, derivatives, and sale commitments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	26,071,028
Gross Unrealized Appreciation	462,318
Gross Unrealized Depreciation	(94,190)
Net Unrealized Appreciation (Depreciation)	368,128

F. During the year ended January 31, 2020, the fund purchased $140,847,888,000 of investment securities and sold $138,091,841,000 of investment securities, other than temporary cash investments.

G. Capital share transactions for each class of shares were:

			Year Ended January 31,
		2020		2019
	Amount	Shares	Amount	Shares
	($000)	(000)	($000)	(000)
Investor Shares
Issued	1,385,931	132,246	647,412	63,535
Issued in Lieu of Cash Distributions	179,799	17,154	187,345	18,362
Redeemed	(1,097,069)	(104,806)	(1,694,282)	(166,309)
Net Increase (Decrease)—Investor Shares	468,661	44,594	(859,525)	(84,412)
Admiral Shares
Issued	4,178,456	398,611	1,687,263	165,487
Issued in Lieu of Cash Distributions	357,545	34,102	364,477	35,717
Redeemed	(2,295,422)	(219,202)	(3,786,833)	(371,649)
Net Increase (Decrease)—Admiral Shares	2,240,579	213,511	(1,735,093)	(170,445)

H. Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

27

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard GNMA Fund

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Vanguard GNMA Fund (one of the funds constituting Vanguard Fixed Income Securities Funds, referred to hereafter as the “Fund”) as of January 31, 2020, the related statement of operations for the year ended January 31, 2020, the statement of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of January 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended January 31, 2020 and the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

28

Special 2019 tax information (unaudited) for Vanguard GNMA Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

For nonresident alien shareholders, 99.0% of income dividends are interest-related dividends.

29 

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. GNMA Bond Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the GNMA Fund and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the GNMA Fund. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the GNMA Fund. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the GNMA Fund or the owners of the GNMA Fund.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the GNMA Fund. Investors acquire the GNMA Fund from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the GNMA Fund. The GNMA Fund is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the GNMA Fund or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the GNMA Fund with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the GNMA Fund to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the GNMA Fund or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the GNMA Fund.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the GNMA Fund, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the GNMA Fund, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE GNMA FUND.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018– present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

 

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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

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© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q360 032020

Annual Report | January 31, 2020

Vanguard Real Estate Index Funds

Vanguard Real Estate Index Fund

Vanguard Real Estate II Index Fund

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents

A Note From Our Chairman	1
Your Fund’s Performance at a Glance	2
About Your Fund’s Expenses	3
Real Estate Index Fund	5
Real Estate II Index Fund	28

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.

A Note From Our Chairman

 

Tim Buckley

Chairman and Chief Executive Officer

Dear Shareholder,

These are challenging times. The markets plummet one day and bounce back the next as investors process the uncertainty surrounding the coronavirus outbreak.

At Vanguard, we tell investors to “stay the course” in good times and bad. This means focusing on your investment goals, keeping a long-term perspective, being balanced across and diversified within asset classes, and limiting cost.

Vanguard investors have proven time and again that they know how to stay calm in a market downturn—an attribute that has served them well. But for those who are weathering their first bout of market volatility or could just use a friendly reminder, let me offer three points.

First, we stand by our counsel—“stay the course.”

Don’t be tempted to time the markets. It’s a losing strategy. An investment plan established during calmer times should not be abandoned in the midst of a market downturn. Although having exposure to different asset classes does not eliminate the risk of loss, we believe investors should let the potential benefits of diversification play out.

Second, whether you’re new to investing or a seasoned financial advisor, don’t feel that you need to go it alone. Our mission is to help you succeed, so reach out if we can be of help.

Our websites are constantly refreshed with our latest thinking on the markets and economy. And our experts offer practical advice on how to put this perspective to work in your portfolios.

And, finally, thank you.

Thank you for entrusting us with your financial success. It’s a tremendous responsibility that we take very seriously. No matter the market conditions, we look forward to partnering with you and helping you reach your investment goals.

Sincerely,

 

Mortimer J. Buckley

Chairman and Chief Executive Officer

March 3, 2020

1

Your Fund’s Performance at a Glance

·   For the 12 months ended January 31, 2020, Vanguard Real Estate Index Fund returned 16.59% for Investor Shares. Returns were a bit higher for Institutional, Admiral, and ETF Shares as well as for Vanguard Real Estate II Index Fund. The results were in line with those of the funds’ benchmark index but more than 3 percentage points behind the broad U.S. stock market.

·   The Federal Reserve reduced its target for short-term interest rates three times in 2019. Real estate investment trusts (REITs), which are particularly sensitive to rate changes, attracted investors searching for more solid sources of income in the low-rate environment.

·   Specialized REITs, the funds’ largest holding, contributed most to their returns. Residential, industrial, office, diversified, and health care REITs noticeably boosted results, as did real estate services. Retail REITs and hotel and resort REITs were the main detractors.

·   For the ten years ended January 31, 2020, the Real Estate Index Fund posted an average annual return of 12.56% for Investor Shares, in line with its benchmark index. The Real Estate Index II Fund launched in 2017 and doesn’t yet have a ten-year record.

Market Barometer

	Average Annual Total Returns
	Periods Ended January 31, 2020
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	21.39%	14.33%	12.13%
Russell 2000 Index (Small-caps)	9.21	7.28	8.23
Russell 3000 Index (Broad U.S. market)	20.53	13.82	11.85
FTSE All-World ex US Index (International)	10.28	7.74	5.24
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	9.64%	4.62%	3.01%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	8.65	5.12	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.18	1.68	1.07
CPI
Consumer Price Index	2.49%	2.04%	2.00%

2

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.

3

Six Months Ended January 31, 2020

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
	7/31/2019	1/31/2020	Period
Based on Actual Fund Return
Real Estate Index Fund
Investor Shares	$1,000.00	$1,075.70	$1.31
ETF Shares	1,000.00	1,076.11	0.63
Admiral™ Shares	1,000.00	1,076.14	0.63
Institutional Shares	1,000.00	1,075.86	0.52
Real Estate II Index Fund	$1,000.00	$1,076.11	$0.42
Based on Hypothetical 5% Yearly Return
Real Estate Index Fund
Investor Shares	$1,000.00	$1,023.95	$1.28
ETF Shares	1,000.00	1,024.60	0.61
Admiral Shares	1,000.00	1,024.60	0.61
Institutional Shares	1,000.00	1,024.70	0.51
Real Estate II Index Fund	$1,000.00	$1,024.80	$0.41

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Real Estate Index Fund, 0.25% for Investor Shares, 0.12% for ETF Shares, 0.12% for Admiral Shares, and 0.10% for Institutional Shares; and for the Real Estate II Index Fund, 0.08%. 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).

4

Real Estate Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: January 31, 2010, Through January 31, 2020

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended January 31, 2020
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
	Real Estate Index Fund Investor Shares	16.59%	5.88%	12.56%	$32,660
	Real Estate Spliced Index	16.82	6.13	12.80	33,364
	Dow Jones U.S. Total Stock Market Float Adjusted Index	20.37	11.79	13.80	36,436

Real Estate Spliced Index: MSCI US REIT Index adjusted to include a 2% cash position (Lipper Money Market Average) through April 30, 2009; MSCI US REIT Index through February 1, 2018; MSCI US Investable Market Real Estate 25/50 Transition Index through July 24, 2018; MSCI US Investable Market Real Estate 25/50 Index thereafter.

				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Real Estate Index Fund ETF Shares Net Asset Value	16.70%	6.03%	12.71%	$33,099
Real Estate Index Fund ETF Shares Market Price	16.61	6.01	12.72	33,124
Real Estate Spliced Index	16.82	6.13	12.80	33,364
Dow Jones U.S. Total Stock Market Float Adjusted Index	20.37	11.79	13.80	36,436

See Financial Highlights for dividend and capital gains information.

5

Real Estate Index Fund

	Average Annual Total Returns Periods Ended January 31, 2020
				Final Value
	One	Five	Ten	of a $10,000
	Year	Years	Years	Investment
Real Estate Index Fund Admiral Shares	16.73%	6.03%	12.72%	$33,119
Real Estate Spliced Index	16.82	6.13	12.80	33,364
Dow Jones U.S. Total Stock Market Float Adjusted Index	20.37	11.79	13.80	36,436

	One	Five	Ten	Final Value of a $5,000,000
	Year	Years	Years	Investment
Real Estate Index Fund Institutional Shares	16.77%	6.05%	12.74%	$16,593,174
Real Estate Spliced Index	16.82	6.13	12.80	16,682,097
Dow Jones U.S. Total Stock Market Float Adjusted Index	20.37	11.79	13.80	18,217,755

Cumulative Returns of ETF Shares: January 31, 2010, Through January 31, 2020

	One Year	Five Years	Ten Years
Real Estate Index Fund ETF Shares Market Price	16.61%	33.89%	231.24%
Real Estate Index Fund ETF Shares Net Asset Value	16.70	33.98	230.99
Real Estate Spliced Index	16.82	34.65	233.64

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

6

Real Estate Index Fund

Sector Diversification

As of January 31, 2020

Diversified Real Estate Activities	0.2	%
Diversified REITs	4.9
Health Care REITs	9.8
Hotel & Resort REITs	3.7
Industrial REITs	8.6
Office REITs	9.5
Real Estate Development	0.4
Real Estate Operating Companies	0.2
Real Estate Services	2.9
Residential REITs	15.0
Retail REITs	11.3
Specialized REITs	33.5

The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

7

Real Estate Index Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

			Market
			Value•
		Shares	($000)
Equity Real Estate Investment Trusts (REITs) (96.4%)1
Diversified REITs (4.4%)
	WP Carey Inc.	8,396,869	706,344
	Liberty Property Trust	7,690,817	481,830
	VEREIT Inc.	47,491,709	463,519
	STORE Capital Corp.	10,788,044	423,431
	PS Business Parks Inc.	1,011,572	169,499
	Washington REIT	3,936,264	119,820
	American Assets Trust Inc.	2,494,598	113,654
	Colony Capital Inc.	22,736,642	106,180
	Essential Properties Realty Trust Inc.	3,750,730	103,558
	Empire State Realty Trust Inc.	7,432,377	100,783
	Global Net Lease Inc.	4,152,743	86,086
	Alexander & Baldwin Inc.	3,373,369	73,742
	Armada Hoffler Properties Inc.	2,606,873	47,810
	iStar Inc.	3,057,834	44,522
	Gladstone Commercial Corp.	1,526,251	32,540
	One Liberty Properties Inc.	732,234	20,019
§,*,2	Winthrop Realty Trust	1,892,511	—
			3,093,337
Health Care REITs (8.7%)
	Welltower Inc.	19,923,625	1,691,715
	Ventas Inc.	18,318,016	1,059,880
	Healthpeak Properties Inc.	24,145,203	868,986
	Medical Properties Trust Inc.	25,071,978	555,344
^	Omega Healthcare Investors Inc.	10,731,271	450,177
	Healthcare Trust of America Inc.	10,087,688	323,109
	Healthcare Realty Trust Inc.	6,353,875	229,121
	Sabra Health Care REIT Inc.	9,319,268	200,364
	National Health Investors Inc.	2,132,039	179,901
	Physicians Realty Trust	9,112,120	176,320
	CareTrust REIT Inc.	4,696,506	104,168
	Diversified Healthcare Trust	11,694,167	90,279
	LTC Properties Inc.	1,954,178	90,205
	Universal Health Realty Income Trust	642,248	79,221
	Community Healthcare Trust Inc.	907,172	42,791
	New Senior Investment Group Inc.	4,082,909	31,112
	Global Medical REIT Inc.	2,001,972	29,229
			6,201,922
Hotel & Resort REITs (3.3%)
2	Host Hotels & Resorts Inc.	35,887,078	586,395
	Park Hotels & Resorts Inc.	11,787,567	258,619
	Ryman Hospitality Properties Inc.	2,402,643	204,297
	MGM Growth Properties LLC	5,594,172	178,678
	Service Properties Trust	8,087,091	174,519
	Apple Hospitality REIT Inc.	10,454,218	157,022
	Pebblebrook Hotel Trust	6,421,319	152,314
	Sunstone Hotel Investors Inc.	11,054,466	140,171
	RLJ Lodging Trust	8,462,772	131,681
	Xenia Hotels & Resorts Inc.	5,537,181	103,490
	DiamondRock Hospitality Co.	9,843,048	95,182
	Summit Hotel Properties Inc.	5,171,452	57,351
	Chatham Lodging Trust	2,304,535	37,679
	Hersha Hospitality Trust Class A	1,836,015	23,813

8

Real Estate Index Fund

			Market
			Value·
		Shares	($000)
	CorePoint Lodging Inc.	1,986,855	18,180
	Ashford Hospitality Trust Inc.	4,764,644	11,721
	Braemar Hotels & Resorts Inc.	1,376,279	10,983
			2,342,095
Industrial REITs (7.6%)
	Prologis Inc.	31,029,133	2,881,986
	Duke Realty Corp.	17,770,014	645,229
	Americold Realty Trust	8,944,275	308,309
	First Industrial Realty Trust Inc.	6,217,404	265,483
	Rexford Industrial Realty Inc.	5,394,998	259,985
	EastGroup Properties Inc.	1,846,398	251,239
	STAG Industrial Inc.	6,249,799	201,494
	Terreno Realty Corp.	3,222,593	184,526
	Lexington Realty Trust Class B	10,387,528	114,990
	Hannon Armstrong Sustainable Infrastructure Capital Inc.	3,228,363	110,055
	Industrial Logistics Properties Trust	3,199,430	73,235
^	Innovative Industrial Properties Inc.	815,274	72,967
	Monmouth Real Estate Investment Corp.	4,458,462	65,227
			5,434,725
Office REITs (8.4%)
	Boston Properties Inc.	7,599,362	1,089,369
	Alexandria Real Estate Equities Inc.	5,576,140	910,026
	Vornado Realty Trust	8,443,345	555,319
	Kilroy Realty Corp.	4,964,327	409,905
	SL Green Realty Corp.	4,052,234	372,968
	Douglas Emmett Inc.	8,184,615	339,662
	Cousins Properties Inc.	7,145,693	292,473
	Hudson Pacific Properties Inc.	7,590,140	275,826
	Highwoods Properties Inc.	5,099,509	255,536
	JBG SMITH Properties	6,263,717	253,994
	Equity Commonwealth	5,995,435	196,590
	Corporate Office Properties Trust	5,503,451	163,838
	Piedmont Office Realty Trust Inc.	6,184,088	143,409
	Brandywine Realty Trust	8,663,015	135,316
	Paramount Group Inc.	9,205,345	129,427
	Columbia Property Trust Inc.	5,748,488	121,293
	Mack-Cali Realty Corp.	4,451,557	97,756
	Easterly Government Properties Inc.	3,501,335	84,767
	Office Properties Income Trust	2,364,599	80,467
	Franklin Street Properties Corp.	5,268,341	40,039
	City Office REIT Inc.	2,681,237	36,250
§	New York REIT Liquidating LLC	1,208	16
			5,984,246
Other (11.0%)3
4,5	Vanguard Real Estate II Index Fund	346,574,081	7,847,621
Residential REITs (13.3%)
	Equity Residential	18,232,144	1,514,727
	AvalonBay Communities Inc.	6,866,058	1,487,806
	Essex Property Trust Inc.	3,231,440	1,000,971
	Invitation Homes Inc.	26,435,080	831,912
	Mid-America Apartment Communities Inc.	5,606,759	769,303
	Sun Communities Inc.	4,457,735	722,911
	UDR Inc.	14,397,229	689,771
	Equity LifeStyle Properties Inc.	8,504,105	618,674
	Camden Property Trust	4,760,679	535,243
	Apartment Investment & Management Co.	7,318,976	385,783
	American Homes 4 Rent	13,267,509	362,601
	American Campus Communities Inc.	6,756,262	309,910
	Independence Realty Trust Inc.	4,433,719	65,043
	NexPoint Residential Trust Inc.	940,589	45,901
	Investors Real Estate Trust	570,721	42,062
	UMH Properties Inc.	1,786,776	28,231
	Front Yard Residential Corp.	2,511,323	26,946
	Preferred Apartment Communities Inc.	2,183,851	25,726
			9,463,521
Retail REITs (10.0%)
	Simon Property Group Inc.	15,143,494	2,016,356
	Realty Income Corp.	15,645,528	1,226,766
	Regency Centers Corp.	7,818,290	485,047
	National Retail Properties Inc.	8,038,349	450,148

9

Real Estate Index Fund

			Market
			Value•
		Shares	($000)
	Federal Realty Investment Trust	3,425,464	428,251
	Kimco Realty Corp.	20,753,165	395,348
	Brixmor Property Group Inc.	14,645,681	292,328
	Spirit Realty Capital Inc.	4,429,808	233,805
	Weingarten Realty Investors	6,010,466	174,905
	Agree Realty Corp.	2,063,532	156,684
	Retail Properties of America Inc.	10,503,617	127,619
^	Macerich Co.	5,555,588	123,945
	Urban Edge Properties	5,954,974	109,512
	Acadia Realty Trust	4,151,250	103,034
	SITE Centers Corp.	7,101,747	90,263
	Retail Opportunity Investments Corp.	5,090,196	84,345
	Taubman Centers Inc.	3,010,815	79,546
	Kite Realty Group Trust	4,129,613	71,029
^	American Finance Trust Inc.	5,225,102	67,770
^	Tanger Factory Outlet Centers Inc.	4,598,167	67,271
	RPT Realty	3,947,000	55,061
	Getty Realty Corp.	1,718,852	54,178
^	Seritage Growth Properties	1,420,676	52,167
	Alexander’s Inc.	112,933	36,441
	Saul Centers Inc.	679,162	33,537
	Urstadt Biddle Properties Inc. Class A	1,469,778	33,320
^	Washington Prime Group Inc.	9,171,898	27,607
	Retail Value Inc.	783,684	25,760
	Whitestone REIT	1,776,868	23,277
^	Pennsylvania REIT	3,616,615	14,249
	Cedar Realty Trust Inc.	4,374,363	11,373
§	Spirit MTA REIT	2,071,263	1,590
	Urstadt Biddle Properties Inc.	20,899	366
			7,152,898
Specialized REITs (29.7%)
	American Tower Corp.	21,764,202	5,043,636
	Crown Castle International Corp.	20,440,318	3,062,777
	Equinix Inc.	4,170,071	2,459,216
	Public Storage	7,725,412	1,728,638
	SBA Communications Corp.	5,560,758	1,387,743
^	Digital Realty Trust Inc.	10,009,156	1,231,026
	Weyerhaeuser Co.	36,625,089	1,060,296
	Extra Space Storage Inc.	6,318,295	699,309
	VICI Properties Inc.	19,665,350	527,031
	Gaming and Leisure Properties Inc.	10,027,548	473,852
	Iron Mountain Inc.	14,115,925	446,204
	Lamar Advertising Co.	4,226,119	392,226
	CyrusOne Inc.	5,565,209	338,643
	CUBESMART	9,463,079	299,696
	EPR Properties	3,812,764	272,117
	Life Storage Inc.	2,293,211	259,546
	CoreSite Realty Corp.	1,813,609	213,008
	Outfront Media Inc.	7,046,974	209,577
	Rayonier Inc.	6,372,943	193,610
	QTS Realty Trust Inc.	2,719,248	154,671
	PotlatchDeltic Corp.	3,303,958	142,070
	Four Corners Property Trust Inc.	3,362,599	101,853
	National Storage Affiliates Trust	2,914,477	99,530
	GEO Group Inc.	5,962,460	94,207
	CoreCivic Inc.	5,854,253	93,375
^	Uniti Group Inc.	9,496,104	60,110
	CorEnergy Infrastructure Trust Inc.	665,562	30,350
	CatchMark Timber Trust Inc.	2,407,704	24,703
^	Safehold Inc.	497,860	22,384
	Jernigan Capital Inc.	1,090,687	21,803
			21,143,207
Total Equity Real Estate Investment Trusts (REITs) (Cost $56,490,070)			68,663,572
Real Estate Management & Development (3.3%)1
Diversified Real Estate Activities (0.2%)
*	St. Joe Co.	1,774,598	37,284
	RMR Group Inc.	750,135	34,559
*	Five Point Holdings LLC	2,535,556	20,563
*	Tejon Ranch Co.	1,083,413	17,443
			109,849
Real Estate Development (0.4%)
*	Howard Hughes Corp.	2,014,856	245,168
*	Forestar Group Inc.	810,918	16,437
			261,605
Real Estate Operating Companies (0.2%)
	Kennedy-Wilson Holdings Inc.	6,308,380	136,009
*	FRP Holdings Inc.	338,898	16,043
			152,052
Real Estate Services (2.5%)
*	CBRE Group Inc.	15,709,840	959,086
	Jones Lang LaSalle Inc.	2,533,397	430,222
	Cushman & Wakefield plc	4,800,530	92,266
*,^	Redfin Corp.	3,611,601	87,870
	Newmark Group Inc.	7,301,467	85,938

10

Real Estate Index Fund

			Market
			Value•
		Shares	($000)
^	Realogy Holdings Corp.	5,619,905	59,515
*	Marcus & Millichap Inc.	1,152,522	40,799
	RE/MAX Holdings Inc.	876,557	33,555
^	eXp World Holdings Inc.	1,072,458	11,840
*,^	Altisource Portfolio Solutions SA	318,938	5,932
			1,807,023
Total Real Estate Management & Development (Cost $2,210,826)			2,330,529
Temporary Cash Investment (0.8%)1
Money Market Fund (0.8%)
6,7	Vanguard Market Liquidity Fund, 1.730% (Cost $561,225)	5,611,811	561,293
Total Investments (100.5%) (Cost $59,262,121)			71,555,394
Other Assets and Liabilities (-0.5%)
Other Assets			77,402
Liabilities7			(406,517)
			(329,115)
Net Assets (100%)			71,226,279
			Amount
			($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers			62,560,085
Affiliated Issuers			1,147,688
Vanguard Real Estate II Index Fund			7,847,621
Total Investments in Securities			71,555,394
Investment in Vanguard			2,738
Receivables for Accrued Income			37,704
Receivables for Capital Shares Issued			34,134
Other Assets			2,826
Total Assets			71,632,796
Liabilities
Payables for Investment Securities Purchased			11,509
Collateral for Securities on Loan			335,671
Payables for Capital Shares Redeemed			26,934
Payables to Vanguard			17,817
Unrealized Depreciation—OTC Swap Contracts			1,451
Other Liabilities			13,135
Total Liabilities			406,517
Net Assets (100%)			71,226,279

11

Real Estate Index Fund

At January 31, 2020, net assets consisted of:

	Amount
	($000)
Paid-in Capital	60,358,012
Total Distributable Earnings (Loss)	10,868,267
Net Assets	71,226,279
Investor Shares–Net Assets
Applicable to 7,793,923 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	243,222
Net Asset Value Per Share–Investor Shares	$31.21
ETF Shares–Net Assets
Applicable to 401,174,872 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	37,681,748
Net Asset Value Per Share–ETF Shares	$93.93
Admiral Shares–Net Assets
Applicable to 174,831,681 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	23,274,094
Net Asset Value Per Share–Admiral Shares	$133.12
Institutional Shares–Net Assets
Applicable to 486,657,445 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	10,027,215
Net Asset Value Per Share–Institutional Shares	$20.60

· See Note A in Notes to Financial Statements.

§ Security value determined using significant unobservable inputs.

* Non-income-producing security.

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $308,329,000.

1 The fund invests a portion of its assets in investment securities through the use of swap contracts. After giving effect to swap investments, the fund’s effective investment securities and temporary cash investment positions represent 100.0% and 0.5%, respectively, of net assets.

2 Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. The total value of affiliated companies is $586,395,000.

3 “Other” represents securities that are not classified by the fund’s benchmark index.

4 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.

5 Represents a wholly owned subsidiary of the fund. See accompanying financial statements for Vanguard Real Estate II Index Fund’s Statement of Net Assets.

6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

7 Collateral of $335,671,000 was received for securities on loan.

REIT—Real Estate Investment Trust.

OTC—Over-the-Counter.

12

Real Estate Index Fund

Derivative Financial Instruments Outstanding as of Period End

Over-the-Counter Total Return Swaps

					Floating
					Interest
					Rate		Value and		Value and
			Notional		Received		Unrealized		Unrealized
	Termination		Amount		(Paid)	1	Appreciation		(Depreciation	)
Reference Entity	Date	Counterparty	($000	)	(%	)	($000	)	($000	)
Digital Realty Trust Inc.	2/2/21	GSI	29,423		(1.655	)	—		(644	)
Federal Realty Investment Trust	2/2/21	GSI	32,614		(1.655	)	—		(109	)
Regency Centers Corp.	2/2/21	GSI	26,204		(1.655	)	—		(147	)
Retail Opportunity Investments Corp.	2/2/21	GSI	8,819		(1.655	)	—		(37	)
Seritage Growth Properties	2/2/21	GSI	11,352		(1.655	)	—		(336	)
VEREIT Inc.	2/2/21	GSI	43,032		(1.655	)	—		(88	)
VICI Properties Inc.	2/2/21	GSI	80,490		(1.655	)	—		(90	)
							—		(1,451	)

1 Payment received/paid monthly.

GSI—Goldman Sachs International.

At January 31, 2020, a counterparty had deposited in a segregated account securities with a value of $3,153,000 in connection with open over-the-counter swap contracts.

See accompanying Notes, which are an integral part of the Financial Statements.

13

Real Estate Index Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000	)
Investment Income
Income
Dividends—Unaffiliated Issuers	1,541,260
Dividends—Affiliated Issuers	51,302
Dividends—Vanguard Real Estate II Index Fund	199,690
Interest—Unaffiliated Issuers	4
Interest—Affiliated Issuers	5,704
Securities Lending—Net	4,165
Total Income	1,802,125
Expenses
The Vanguard Group—Note B
Investment Advisory Services	4,147
Management and Administrative—Investor Shares	2,296
Management and Administrative—ETF Shares	35,158
Management and Administrative—Admiral Shares	21,415
Management and Administrative—Institutional Shares	7,776
Marketing and Distribution—Investor Shares	85
Marketing and Distribution—ETF Shares	1,802
Marketing and Distribution—Admiral Shares	1,126
Marketing and Distribution—Institutional Shares	317
Custodian Fees	107
Auditing Fees	38
Shareholders’ Reports—Investor Shares	13
Shareholders’ Reports—ETF Shares	1,190
Shareholders’ Reports—Admiral Shares	292
Shareholders’ Reports—Institutional Shares	77
Trustees’ Fees and Expenses	29
Total Expenses	75,868
Expenses Paid Indirectly	(134	)
Net Expenses	75,734
Net Investment Income	1,726,391
Realized Net Gain (Loss)
Capital Gain Distributions Received—Unaffiliated Issuers	283,714
Capital Gain Distributions Received—Affiliated Issuers	2,665
Capital Gain Distributions Received—Vanguard Real Estate II Index Fund	—
Investment Securities Sold—Unaffiliated Issuers1	2,130,323
Investment Securities Sold—Affiliated Issuers1	14,533
Investment Securities Sold—Vanguard Real Estate II Index Fund	—

14

Real Estate Index Fund

Statement of Operations (continued)

	Year Ended
	January 31, 2020
	($000	)
Futures Contracts	340
Swap Contracts	26,816
Realized Net Gain (Loss)	2,458,391
Change in Unrealized Appreciation (Depreciation)
Investment Securities—Unaffiliated Issuers	5,005,277
Investment Securities—Affiliated Issuers	(20,621	)
Investment Securities—Vanguard Real Estate II Index Fund	928,467
Swap Contracts	(1,451	)
Change in Unrealized Appreciation (Depreciation)	5,911,672
Net Increase (Decrease) in Net Assets Resulting from Operations	10,096,454

1 Includes $2,366,459,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund.

See accompanying Notes, which are an integral part of the Financial Statements.

15

Real Estate Index Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020		2019
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	1,726,391		1,817,544
Realized Net Gain (Loss)	2,458,391		924,880
Change in Unrealized Appreciation (Depreciation)	5,911,672		2,345,988
Net Increase (Decrease) in Net Assets Resulting from Operations	10,096,454		5,088,412
Distributions
Net Investment Income
Investor Shares	(22,650	)	(62,454	)
ETF Shares	(921,879	)	(1,028,975	)
Admiral Shares	(554,006	)	(579,344	)
Institutional Shares	(244,373	)	(269,632	)
Realized Capital Gain
Investor Shares	—		—
ETF Shares	—		—
Admiral Shares	—		—
Institutional Shares	—		—
Return of Capital
Investor Shares	(7,475	)	(20,882	)
ETF Shares	(304,249	)	(344,053	)
Admiral Shares	(182,839	)	(193,713	)
Institutional Shares	(80,651	)	(90,156	)
Total Distributions	(2,318,122	)	(2,589,209	)
Capital Share Transactions
Investor Shares	(1,748,144	)	(355,274	)
ETF Shares	2,721,882		(2,701,593	)
Admiral Shares	2,583,346		(367,595	)
Institutional Shares	734,197		(371,447	)
Net Increase (Decrease) from Capital Share Transactions	4,291,281		(3,795,909	)
Total Increase (Decrease)	12,069,613		(1,296,706	)
Net Assets
Beginning of Period	59,156,666		60,453,372
End of Period	71,226,279		59,156,666

See accompanying Notes, which are an integral part of the Financial Statements.

16

Real Estate Index Fund

Financial Highlights

Investor Shares

For a Share Outstanding	Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$27.69		$26.40		$27.38		$25.59		$28.73
Investment Operations
Net Investment Income	.719	1	.787	1	.761	1	.746		.711
Net Realized and Unrealized Gain (Loss) on Investments	3.801		1.639		(.614	)	2.324		(2.851	)
Total from Investment Operations	4.520		2.426		.147		3.070		(2.140	)
Distributions
Dividends from Net Investment Income	(.752	)	(.851	)	(.788	)	(.752	)	(.695	)
Distributions from Realized Capital Gains	—		—		(.011	)	(.187	)	—
Return of Capital	(.248	)	(.285	)	(.328	)	(.341	)	(.305	)
Total Distributions	(1.000	)	(1.136	)	(1.127	)	(1.280	)	(1.000	)
Net Asset Value, End of Period	$31.21		$27.69		$26.40		$27.38		$25.59
Total Return2	16.59%		9.53%		0.45%		12.07%		-7.44%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$243		$1,871		$2,143		$2,603		$2,621
Ratio of Total Expenses to Average Net Assets	0.26%		0.25%		0.26%		0.26%		0.26%
Ratio of Net Investment Income to Average Net Assets	2.48%		3.02%		2.87%		2.60%		2.66%
Portfolio Turnover Rate3	6%		24%		6%		7%		11%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

17

Real Estate Index Fund

Financial Highlights

ETF Shares

For a Share Outstanding			Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$83.36		$79.47		$82.43		$77.05		$86.49
Investment Operations
Net Investment Income	2.335	1	2.487	1	2.499	1	2.334		2.217
Net Realized and Unrealized Gain (Loss) on Investments	11.379		4.934		(1.945	)	7.022		(8.533	)
Total from Investment Operations	13.714		7.421		.554		9.356		(6.316	)
Distributions
Dividends from Net Investment Income	(2.364	)	(2.646	)	(2.458	)	(2.353	)	(2.170	)
Distributions from Realized Capital Gains	—		—		(.034	)	(.563	)	—
Return of Capital	(.780	)	(.885	)	(1.022	)	(1.060	)	(.954	)
Total Distributions	(3.144	)	(3.531	)	(3.514	)	(3.976	)	(3.124	)
Net Asset Value, End of Period	$93.93		$83.36		$79.47		$82.43		$77.05
Total Return	16.70%		9.70%		0.59%		12.25%		-7.31%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$37,682		$30,857		$32,377		$33,527		$27,007
Ratio of Total Expenses to Average Net Assets	0.12%		0.12%		0.12%		0.12%		0.12%
Ratio of Net Investment Income to Average Net Assets	2.60%		3.15%		3.01%		2.74%		2.80%
Portfolio Turnover Rate2	6%		24%		6%		7%		11%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

18

Real Estate Index Fund

Financial Highlights

Admiral Shares

For a Share Outstanding					Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$118.14		$112.63		$116.83		$109.19		$122.58
Investment Operations
Net Investment Income	3.315	1	3.507	1	3.538	1	3.306		3.142
Net Realized and Unrealized Gain (Loss) on Investments	16.121		7.008		(2.761	)	9.966		(12.105	)
Total from Investment Operations	19.436		10.515		.777		13.272		(8.963	)
Distributions
Dividends from Net Investment Income	(3.350	)	(3.751	)	(3.483	)	(3.333	)	(3.076	)
Distributions from Realized Capital Gains	—		—		(.048	)	(.798	)	—
Return of Capital	(1.106	)	(1.254	)	(1.447	)	(1.501	)	(1.351	)
Total Distributions	(4.456	)	(5.005	)	(4.978	)	(5.632	)	(4.427	)
Net Asset Value, End of Period	$133.12		$118.14		$112.63		$116.83		$109.19
Total Return2	16.73%		9.69%		0.58%		12.23%		-7.30%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$23,274		$18,223		$17,757		$18,337		$15,029
Ratio of Total Expenses to Average Net Assets	0.12%		0.11%		0.12%		0.12%		0.12%
Ratio of Net Investment Income to Average Net Assets	2.60%		3.16%		3.01%		2.74%		2.80%
Portfolio Turnover Rate3	6%		24%		6%		7%		11%

1 Calculated based on average shares outstanding.

2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

19

Real Estate Index Fund

Financial Highlights

Institutional Shares

For a Share Outstanding					Year Ended January 31,
Throughout Each Period	2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period	$18.28		$17.43		$18.08		$16.90		$18.97
Investment Operations
Net Investment Income	.518	1	.543	1	.568	1	.515		.489
Net Realized and Unrealized Gain (Loss) on Investments	2.496		1.085		(.444	)	1.540		(1.870	)
Total from Investment Operations	3.014		1.628		.124		2.055		(1.381	)
Distributions
Dividends from Net Investment Income	(.522	)	(.583	)	(.542	)	(.519	)	(.479	)
Distributions from Realized Capital Gains	—		—		(.007	)	(.123	)	—
Return of Capital	(.172	)	(.195	)	(.225	)	(.233	)	(.210	)
Total Distributions	(.694	)	(.778	)	(.774	)	(.875	)	(.689	)
Net Asset Value, End of Period	$20.60		$18.28		$17.43		$18.08		$16.90
Total Return	16.77%		9.70%		0.60%		12.23%		-7.27%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$10,027		$8,206		$8,176		$7,799		$6,785
Ratio of Total Expenses to Average Net Assets	0.10%		0.09%		0.10%		0.10%		0.10%
Ratio of Net Investment Income to Average Net Assets	2.63%		3.18%		3.03%		2.76%		2.82%
Portfolio Turnover Rate2	6%		24%		6%		7%		11%

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

See accompanying Notes, which are an integral part of the Financial Statements.

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Real Estate Index Fund

Notes to Financial Statements

Vanguard Real Estate Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

As a part of its principal investment strategy, the fund attempts to replicate its benchmark index by investing all, or substantially all, of its assets—either directly or indirectly through a wholly owned subsidiary—in the stocks that make up the index. Vanguard Real Estate II Index Fund is the wholly owned subsidiary in which the fund has invested a portion of its assets. For additional financial information about the Real Estate II Index Fund, refer to the accompanying financial statements.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1.  Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in affiliated Vanguard funds are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

2.  Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

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Real Estate Index Fund

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at January 31, 2020.

3.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.

The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

During the year ended January 31, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

4.  Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2017–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

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Real Estate Index Fund

5.  Distributions: Distributions to shareholders are recorded on the ex-dividend date. The portion of distributions that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

6.  Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.

7.  Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Distributions received from investment securities are recorded on the ex-dividend date. Each investment security reports annually the tax character of its distributions. Dividend income, capital gain distributions received, and unrealized appreciation (depreciation) reflect the amounts of taxable income, capital gain, and return of capital reported by the investment securities, and management’s estimates of such amounts for investment security distributions for which actual information has not been reported. Income, capital gain, and return of capital distributions received from affiliated Vanguard funds are recorded on ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the

23

Real Estate Index Fund

lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $2,738,000, representing less than 0.01% of the fund’s net assets and 1.10% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing account. For the year ended January 31, 2020, custodian fee offset arrangements reduced the fund’s expenses by $134,000 (an annual rate of less than 0.01% of average net assets).

D.  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 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

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Real Estate Index Fund

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
Common Stocks	70,992,495		—		1,606
Temporary Cash Investments	561,293		—		—
Swap Contracts—Liabilities	—		(1,451	)	—
Total	71,553,788		(1,451	)	1,606

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and swap agreements were reclassified between the following accounts:

	Amount
	($000	)
Paid-in Capital	2,366,459
Total Distributable Earnings (Loss)	(2,366,459	)

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain swap agreements. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	—
Undistributed Tax-Exempt Income	—
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(1,509,620	)
Net Unrealized Gains (Losses)	12,293,273

* The fund used capital loss carryforwards of $40,084,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	59,262,121
Gross Unrealized Appreciation	15,718,650
Gross Unrealized Depreciation	(3,425,377	)
Net Unrealized Appreciation (Depreciation)	12,293,273

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Real Estate Index Fund

F.  During the year ended January 31, 2020, the fund purchased $16,033,654,000 of investment securities and sold $11,579,557,000 of investment securities, other than temporary cash investments. Purchases and sales include $10,268,399,000 and $7,738,448,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

G.  Capital share transactions for each class of shares were:

					Year Ended January 31,
	2020				2019
	Amount		Shares		Amount		Shares
	($000	)	(000	)	($000	)	(000	)
Investor Shares
Issued	395,906		13,631		202,254		7,803
Issued in Lieu of Cash Distributions	28,280		981		77,560		2,978
Redeemed1	(2,172,330	)	(74,391	)	(635,088	)	(24,392	)
Net Increase (Decrease)—Investor Shares	(1,748,144	)	(59,779	)	(355,274	)	(13,611	)
ETF Shares
Issued	10,501,566		118,494		8,087,624		102,051
Issued in Lieu of Cash Distributions	—		—		—		—
Redeemed	(7,779,684	)	(87,500	)	(10,789,217	)	(139,300	)
Net Increase (Decrease)—ETF Shares	2,721,882		30,994		(2,701,593	)	(37,249	)
Admiral Shares
Issued1	5,327,904		42,120		2,761,716		24,919
Issued in Lieu of Cash Distributions	647,759		5,156		680,270		6,116
Redeemed	(3,392,317	)	(26,697	)	(3,809,581	)	(34,442	)
Net Increase (Decrease)—Admiral Shares	2,583,346		20,579		(367,595	)	(3,407	)
Institutional Shares
Issued	2,004,257		102,367		1,757,587		102,091
Issued in Lieu of Cash Distributions	306,680		15,790		338,704		19,682
Redeemed	(1,576,740	)	(80,293	)	(2,467,738	)	(142,026	)
Net Increase (Decrease)—Institutional Shares	734,197		37,864		(371,447	)	(20,253	)

1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 57,968,000 and 13,589,000 shares, respectively, in the amount of $1,688,895,000 from the conversion during the year ended January 31, 2020.

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Real Estate Index Fund

H.  Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:

			Current Period Transactions
	Jan. 31,				Proceeds		Realized								Jan. 31,
	2019				from		Net		Change in				Capital Gain		2020
	Market		Purchases		Securities		Gain		Unrealized				Distributions		Market
	Value		at Cost		Sold1		(Loss)		App. (Dep.)		Income		Received		Value
	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)
Brookfield Property REIT Inc.	137,387		1,249		149,263		(7,667	)	21,133		—		—		—
Host Hotels & Resorts Inc.	NA2		152,118		140,437		3,615		(66,162	)	29,894		616		586,395
iStar Inc.	NA3		7,960		10,326		497		15,443		64		1,214		NA3
Omega Healthcare Investors Inc.	NA3		203,469		75,247		18,019		10,368		21,344		835		NA3
Vanguard Market Liquidity Fund	801,441		NA4		NA4		69		52		5,704		—		561,293
Vanguard Real Estate II Index Fund	6,719,464		265,125		—		—		928,467		199,690		—		7,847,621
Winthrop Realty Trust	2,061		—		—		—		(1,455	)	—		—		—
Total	7,660,353		629,921		375,273		14,533		907,846		256,696		2,665		8,995,309

1	Does not include adjustments to related return of capital.
2	Not applicable—at January 31, 2019, the issuer was not an affiliated company of the fund.
3	Not applicable—at January 31, 2019, and January 31, 2020, the issuer was not an affiliated company of the fund, but it was affiliated during the year.
4	Not applicable—purchases and sales are for temporary cash investment purposes.

I.  Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

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Real Estate II Index Fund

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: September 26, 2017, Through January 31, 2020

Initial Investment of $100,000,000

 

		Average Annual Total Returns Periods Ended January 31, 2020
		One Year	Since Inception (9/26/2017)	Final Value of a $100,000,000 Investment
	Real Estate II Index Fund	16.78%	9.74%	$124,382,109
	Real Estate Spliced Index	16.82	9.81	124,572,985
	Dow Jones U.S. Total Stock Market Float Adjusted Index	20.37	12.93	133,035,562

Real Estate Spliced Index: MSCI US REIT Index adjusted to include a 2% cash position (Lipper Money Market Average) through April 30, 2009; MSCI US REIT Index through February 1, 2018; MSCI US Investable Market Real Estate 25/50 Transition Index through July 24, 2018; MSCI US Investable Market Real Estate 25/50 Index thereafter.

“Since Inception” performance is calculated from the fund’s inception date for both the fund and its comparative standard(s).

See Financial Highlights for dividend and capital gains information.

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Real Estate II Index Fund

Sector Diversification

As of January 31, 2020

Diversified Real Estate Activities	0.2%
Diversified REITs	4.6
Health Care REITs	9.8
Hotel & Resort REITs	3.7
Industrial REITs	8.6
Office REITs	9.5
Real Estate Development	0.4
Real Estate Operating Companies	0.2
Real Estate Services	2.9
Residential REITs	15.0
Retail REITs	11.4
Specialized REITs	33.7

The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Real Estate II Index Fund

Financial Statements

Statement of Net Assets

As of January 31, 2020

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.

			Market
			Value•
		Shares	($000	)
Equity Real Estate Investment Trusts (REITs) (95.9%)1
Diversified REITs (4.6%)
	WP Carey Inc.	1,039,250	87,422
	Liberty Property Trust	951,956	59,640
	STORE Capital Corp.	1,335,436	52,416
	VEREIT Inc.	3,372,558	32,916
	PS Business Parks Inc.	125,241	20,985
	Washington REIT	487,923	14,852
	American Assets Trust Inc.	308,856	14,072
	Colony Capital Inc.	2,819,083	13,165
	Essential Properties Realty Trust Inc.	464,351	12,821
	Empire State Realty Trust Inc.	920,792	12,486
	Global Net Lease Inc.	515,635	10,689
	Alexander & Baldwin Inc.	417,544	9,128
	Armada Hoffler Properties Inc.	323,727	5,937
	iStar Inc.	378,171	5,506
	Gladstone Commercial Corp.	188,378	4,016
	One Liberty Properties Inc.	90,548	2,476
			358,527
Health Care REITs (9.8%)
	Welltower Inc.	2,466,385	209,421
	Ventas Inc.	2,267,555	131,201
	Healthpeak Properties Inc.	2,988,885	107,570
	Medical Properties Trust Inc.	3,103,093	68,734
	Omega Healthcare Investors Inc.	1,328,425	55,727
	Healthcare Trust of America Inc.	1,248,503	39,990
	Healthcare Realty Trust Inc.	786,337	28,355
	Sabra Health Care REIT Inc.	1,153,097	24,792
	National Health Investors Inc.	263,913	22,269
	Physicians Realty Trust	1,127,576	21,819
	CareTrust REIT Inc.	581,375	12,895
	Diversified Healthcare Trust	1,449,773	11,192
	LTC Properties Inc.	241,711	11,157
	Universal Health Realty Income Trust	79,428	9,797
	Community Healthcare Trust Inc.	112,174	5,291
	New Senior Investment Group Inc.	505,706	3,853
	Global Medical REIT Inc.	248,538	3,629
			767,692
Hotel & Resort REITs (3.7%)
	Host Hotels & Resorts Inc.	4,442,420	72,589
	Park Hotels & Resorts Inc.	1,460,177	32,036
	Ryman Hospitality Properties Inc.	297,395	25,287
	MGM Growth Properties LLC	692,710	22,125
	Service Properties Trust	1,000,632	21,594
	Apple Hospitality REIT Inc.	1,293,947	19,435
	Pebblebrook Hotel Trust	794,503	18,846
	Sunstone Hotel Investors Inc.	1,367,608	17,341
	RLJ Lodging Trust	1,047,702	16,302
	Xenia Hotels & Resorts Inc.	685,474	12,812
	DiamondRock Hospitality Co.	1,219,324	11,791
	Summit Hotel Properties Inc.	639,604	7,093
	Chatham Lodging Trust	285,002	4,660
	Hersha Hospitality Trust Class A	225,730	2,928
	CorePoint Lodging Inc.	244,420	2,236

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Real Estate II Index Fund

			Market
			Value•
		Shares	($000	)
	Ashford Hospitality Trust Inc.	587,373	1,445
	Braemar Hotels & Resorts Inc.	169,658	1,354
			289,874
Industrial REITs (8.6%)
	Prologis Inc.	3,841,171	356,768
	Duke Realty Corp.	2,199,732	79,872
	Americold Realty Trust	1,108,140	38,198
	First Industrial Realty Trust Inc.	769,931	32,876
	Rexford Industrial Realty Inc.	668,005	32,191
	EastGroup Properties Inc.	228,584	31,104
	STAG Industrial Inc.	773,655	24,943
	Terreno Realty Corp.	398,935	22,843
	Lexington Realty Trust Class B	1,288,193	14,260
	Hannon Armstrong Sustainable Infrastructure Capital Inc.	400,335	13,647
	Industrial Logistics Properties Trust	396,036	9,065
^	Innovative Industrial Properties Inc.	100,949	9,035
	Monmouth Real Estate Investment Corp.	553,989	8,105
			672,907
Office REITs (9.4%)
	Boston Properties Inc.	940,666	134,844
	Alexandria Real Estate Equities Inc.	690,279	112,654
	Vornado Realty Trust	1,045,205	68,743
	Kilroy Realty Corp.	614,437	50,734
	SL Green Realty Corp.	501,528	46,161
	Douglas Emmett Inc.	1,013,220	42,049
	Cousins Properties Inc.	884,853	36,217
	Hudson Pacific Properties Inc.	939,578	34,144
	Highwoods Properties Inc.	631,418	31,640
	JBG SMITH Properties	775,330	31,440
	Equity Commonwealth	742,744	24,355
	Corporate Office Properties Trust	681,369	20,284
	Piedmont Office Realty Trust Inc.	766,538	17,776
	Brandywine Realty Trust	1,071,706	16,740
	Paramount Group Inc.	1,140,943	16,042
	Columbia Property Trust Inc.	711,804	15,019
	Mack-Cali Realty Corp.	552,202	12,126
	Easterly Government Properties Inc.	434,339	10,515
	Office Properties Income Trust	292,668	9,959
	Franklin Street Properties Corp.	653,021	4,963
	City Office REIT Inc.	331,630	4,484
			740,889
Residential REITs (14.9%)
	Equity Residential	2,256,977	187,510
	AvalonBay Communities Inc.	849,945	184,174
	Essex Property Trust Inc.	400,019	123,910
	Invitation Homes Inc.	3,272,589	102,988
	Mid-America Apartment Communities Inc.	694,096	95,237
	Sun Communities Inc.	551,857	89,495
	UDR Inc.	1,782,108	85,381
	Equity LifeStyle Properties Inc.	1,052,748	76,587
	Camden Property Trust	589,260	66,250
	Apartment Investment & Management Co.	906,158	47,764
	American Homes 4 Rent	1,642,722	44,896
	American Campus Communities Inc.	836,145	38,354
	Independence Realty Trust Inc.	548,637	8,048
	NexPoint Residential Trust Inc.	116,318	5,676
	Investors Real Estate Trust	70,683	5,209
	UMH Properties Inc.	221,251	3,496
	Front Yard Residential Corp.	311,169	3,339
	Preferred Apartment Communities Inc.	269,596	3,176
			1,171,490
Retail REITs (11.4%)
	Simon Property Group Inc.	1,874,568	249,599
	Realty Income Corp.	1,936,724	151,859
	Regency Centers Corp.	1,019,629	63,258
	Federal Realty Investment Trust	456,143	57,027
	National Retail Properties Inc.	995,022	55,721
	Kimco Realty Corp.	2,568,841	48,936
	Brixmor Property Group Inc.	1,812,773	36,183
	Spirit Realty Capital Inc.	548,308	28,940
	Weingarten Realty Investors	743,347	21,631
	Agree Realty Corp.	255,379	19,391

31

Real Estate II Index Fund

	Market
	Value•
Shares	($000	)

	Retail Properties of America Inc.	1,301,343	15,811
^	Macerich Co.	687,708	15,343
	Urban Edge Properties	737,692	13,566
	Acadia Realty Trust	514,080	12,759
	Retail Opportunity Investments Corp.	695,808	11,530
	SITE Centers Corp.	878,528	11,166
	Taubman Centers Inc.	373,171	9,859
	Kite Realty Group Trust	512,552	8,816
	American Finance Trust Inc.	646,364	8,383
^	Tanger Factory Outlet Centers Inc.	571,081	8,355
^	Seritage Growth Properties	213,305	7,833
	RPT Realty	487,993	6,807
	Getty Realty Corp.	212,341	6,693
	Alexander’s Inc.	14,006	4,519
	Saul Centers Inc.	83,911	4,144
	Urstadt Biddle Properties Inc.	182,306	4,133
^	Washington Prime Group Inc.	1,134,262	3,414
	Retail Value Inc.	97,024	3,189
	Whitestone REIT	219,605	2,877
^	Pennsylvania REIT	445,913	1,757
	Cedar Realty Trust Inc.	539,698	1,403
§	Spirit MTA REIT	257,871	198
			895,100
Specialized REITs (33.5%)
	American Tower Corp.	2,694,308	624,379
	Crown Castle International Corp.	2,530,386	379,153
	Equinix Inc.	516,235	304,439
	Public Storage	956,363	213,996
	SBA Communications Corp.	688,398	171,797
	Digital Realty Trust Inc.	1,267,998	155,951
	Weyerhaeuser Co.	4,533,588	131,247
	Extra Space Storage Inc.	782,162	86,570
	VICI Properties Inc.	2,805,681	75,192
	Gaming and Leisure Properties Inc.	1,241,375	58,661
	Iron Mountain Inc.	1,747,311	55,233
	Lamar Advertising Co.	523,092	48,548
	CyrusOne Inc.	688,905	41,920
	CubeSmart	1,171,255	37,094
	EPR Properties	472,174	33,699
	Life Storage Inc.	283,888	32,130
	CoreSite Realty Corp.	224,506	26,368
	Outfront Media Inc.	872,293	25,942
	Rayonier Inc.	788,861	23,966
	QTS Realty Trust Inc.	336,609	19,146
	PotlatchDeltic Corp.	408,805	17,579
	Four Corners Property Trust Inc.	416,766	12,624
	National Storage Affiliates Trust	361,451	12,344
	GEO Group Inc.	739,245	11,680
	CoreCivic Inc.	725,712	11,575
	Uniti Group Inc.	1,175,312	7,440
	CorEnergy Infrastructure Trust Inc.	82,266	3,751
	CatchMark Timber Trust Inc.	299,263	3,070
	Safehold Inc.	61,569	2,768
	Jernigan Capital Inc.	135,002	2,699
			2,630,961
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,397,555)			7,527,440
Real Estate Management & Development (3.7%)1
Diversified Real Estate Activities (0.2%)
*	St. Joe Co.	219,248	4,606
	RMR Group Inc.	92,590	4,266
*	Five Point Holdings LLC	314,537	2,551
*	Tejon Ranch Co.	133,376	2,147
			13,570
Real Estate Development (0.4%)
*	Howard Hughes Corp.	249,420	30,349
*	Forestar Group Inc.	99,881	2,025
			32,374
Real Estate Operating Companies (0.2%)
	Kennedy-Wilson
	Holdings Inc.	780,944	16,837
*	FRP Holdings Inc.	41,809	1,980
			18,817
Real Estate Services (2.9%)
*	CBRE Group Inc.	1,944,891	118,736
	Jones Lang LaSalle Inc.	313,776	53,285
	Cushman & Wakefield plc	595,294	11,442
*	Redfin Corp.	447,067	10,877
	Newmark Group Inc.	905,452	10,657
	Realogy Holdings Corp.	695,608	7,366
*	Marcus & Millichap Inc.	142,221	5,035
	RE/MAX Holdings Inc.	108,518	4,154
^	eXp World Holdings Inc.	132,165	1,459
*	Altisource Portfolio Solutions SA	39,509	735
			223,746
Total Real Estate Management & Development (Cost $269,070)			288,507

32

Real Estate II Index Fund

	Market
	Value•
Shares	($000	)

Temporary Cash Investment (0.7%)1
Money Market Fund (0.7%)
2,3	Vanguard Market Liquidity Fund, 1.730% (Cost $56,247)	562,423	56,253
Total Investments (100.3%) (Cost $6,722,872)			7,872,200
			Amount ($000	)
Other Assets and Liabilities (-0.3%)
Other Assets
Investment in Vanguard			341
Receivables for Accrued Income			4,669
Other Assets			852
Total Other Assets			5,862
Liabilities
Payables for Investment Securities Purchased			(23)
Collateral for Securities on Loan			(30,045)
Payables to Vanguard			(312)
Unrealized Depreciation—OTC Swap Contracts			(61)
Total Liabilities			(30,441)
Net Assets (100%)
Applicable to 346,574,081 outstanding $.001 par value shares of beneficial interest (unlimited authorization)			7,847,621
Net Asset Value Per Share			$22.64
At January 31, 2020, net assets consisted of:
			Amount ($000	)
Paid-in Capital			6,738,981
Total Distributable Earnings (Loss)			1,108,640
Net Assets			7,847,621

• See Note A in Notes to Financial Statements.

^	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $27,381,000.
§	Security value determined using significant unobservable inputs.
*	Non-income-producing security.

1 The fund invests a portion of its assets in investment securities through the use of swap contracts. After giving effect to swap investments, the fund’s effective investment securities and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Collateral of $30,045,000 was received for securities on loan. REIT—Real Estate Investment Trust.

OTC—Over-the-Counter.

33

Real Estate II Index Fund

Derivative Financial Instruments Outstanding as of Period End

Over-the-Counter Total Return Swaps

				Floating
				Interest
				Rate	Value and	Value and
			Notional	Received	Unrealized	Unrealized
	Termination		Amount	(Paid)1	Appreciation	(Depreciation)
Reference Entity	Date	Counterparty	($000)	(%)	($000)	($000)
VEREIT Inc.	2/2/21	GSI	29,829	(1.655)	—	(61)

1 Payment received/paid monthly.

GSI—Goldman Sachs International.

At January 31, 2020, a counterparty had deposited in a segregated account securities with a value of $802,000 in connection with open over-the-counter swap contracts.

See accompanying Notes, which are an integral part of the Financial Statements.

34

Real Estate II Index Fund

Statement of Operations

	Year Ended
	January 31, 2020
	($000)
Investment Income
Income
Dividends	198,805
Interest1	400
Securities Lending—Net	417
Total Income	199,622
Expenses
The Vanguard Group—Note B
Investment Advisory Services	1,100
Management and Administrative	4,733
Custodian Fees	25
Auditing Fees	42
Trustees’ Fees and Expenses	3
Total Expenses	5,903
Expenses Paid Indirectly	(22)
Net Expenses	5,881
Net Investment Income	193,741
Realized Net Gain (Loss)
Capital Gain Distributions Received	35,733
Investment Securities Sold1	(10,562)
Futures Contracts	29
Swap Contracts	6,255
Realized Net Gain (Loss)	31,455
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	903,022
Swap Contracts	(61)
Change in Unrealized Appreciation (Depreciation)	902,961
Net Increase (Decrease) in Net Assets Resulting from Operations	1,128,157

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $400,000, $5,000, and $5,000, respectively. Purchases and sales are for temporary cash investment purposes.

See accompanying Notes, which are an integral part of the Financial Statements.

35

Real Estate II Index Fund

Statement of Changes in Net Assets

	Year Ended January 31,
	2020	2019
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	193,741	199,381
Realized Net Gain (Loss)	31,455	(76,397)
Change in Unrealized Appreciation (Depreciation)	902,961	470,068
Net Increase (Decrease) in Net Assets Resulting from Operations	1,128,157	593,052
Distributions
Net Investment Income	(199,690)	(203,421)
Realized Capital Gain	—	—
Return of Capital	(65,435)	(75,255)
Total Distributions	(265,125)	(278,676)
Capital Share Transactions
Issued	—	—
Issued in Lieu of Cash Distributions	265,125	278,676
Redeemed	—	—
Net Increase (Decrease) from Capital Share Transactions	265,125	278,676
Total Increase (Decrease)	1,128,157	593,052
Net Assets
Beginning of Period	6,719,464	6,126,412
End of Period	7,847,621	6,719,464

See accompanying Notes, which are an integral part of the Financial Statements.

36

Real Estate II Index Fund

Financial Highlights

		Year Ended January 31,	Sept. 26, 20171 to Jan. 31,
For a Share Outstanding Throughout Each Period	2020	2019	2018
Net Asset Value, Beginning of Period	$20.10	$19.17	$20.00
Investment Operations
Net Investment Income2	.571	.611	.268
Net Realized and Unrealized Gain (Loss) on Investments	2.752	1.176	(.834)
Total from Investment Operations	3.323	1.787	(.566)
Distributions
Dividends from Net Investment Income	(.590)	(.626)	(.225)
Distributions from Realized Capital Gains	—	—	(.030)
Return of Capital	(.193)	(.231)	(.009)
Total Distributions	(.783)	(.857)	(.264)
Net Asset Value, End of Period	$22.64	$20.10	$19.17
Total Return	16.78%	9.68%	-2.89%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$7,848	$6,719	$6,126
Ratio of Total Expenses to Average Net Assets	0.08%	0.08%	0.08%3
Ratio of Net Investment Income to Average Net Assets	2.63%	3.22%	3.84%3
Portfolio Turnover Rate	3%	23%	1%

1 Inception.

2 Calculated based on average shares outstanding.

3 Annualized.

See accompanying Notes, which are an integral part of the Financial Statements.

37

Real Estate II Index Fund

Notes to Financial Statements

Vanguard Real Estate II Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund is a wholly owned subsidiary of Vanguard Real Estate Index Fund (“Real Estate Index Fund”), and at January 31, 2020, the Real Estate Index Fund was the record and beneficial owner of 100% of the fund’s net assets. As part of the Real Estate Index Fund’s principal investment strategy, it attempts to replicate the benchmark index by investing all, or substantially all, of its assets—either directly or indirectly through the fund—in the stocks that make up the index.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).

During the year ended January 31, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at January 31, 2020.

3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease

38

Real Estate II Index Fund

in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

During the year ended January 31, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2018–2020), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. The portion of distributions that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or

39

Real Estate II Index Fund

less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The fund had no borrowings outstanding at January 31, 2020, or at any time during the period then ended.

8. Other: Distributions received from investment securities are recorded on the ex-dividend date. Each investment security reports annually the tax character of its distributions. Dividend income, capital gain distributions received, and unrealized appreciation (depreciation) reflect the amounts of taxable income, capital gain, and return of capital reported by the investment securities, and management’s estimates of such amounts for investment security distributions for which actual information has not been reported. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

40

Real Estate II Index Fund

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At January 31, 2020, the fund had contributed to Vanguard capital in the amount of $341,000, representing less than 0.01% of the fund’s net assets and 0.14% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing account. For the year ended January 31, 2020, custodian fee offset arrangements reduced the fund’s expenses by $22,000 (an annual rate of less than 0.01% of average net assets).

D. 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 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the fund’s investments and derivatives as of January 31, 2020, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Common Stocks	7,815,749	—	198
Temporary Cash Investments	56,253	—	—
Swap Contracts—Liabilities	—	(61)	—
Total	7,872,002	(61)	198

E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for swap agreements were reclassified between the individual components of total distributable earnings (loss).

	Amount
	($000)
Paid-in Capital	—
Total Distributable Earnings (Loss)	—

41

Real Estate II Index Fund

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain swap agreements. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	—
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(52,716)
Net Unrealized Gains (Losses)	1,149,328

* The fund used capital loss carryforwards of $25,200,000 to offset taxable capital gains realized during the year ended January 31, 2020.

As of January 31, 2020, gross unrealized appreciation and depreciation for investments, and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	6,722,872
Gross Unrealized Appreciation	1,566,882
Gross Unrealized Depreciation	(417,554)
Net Unrealized Appreciation (Depreciation)	1,149,328

F.  During the year ended January 31, 2020, the fund purchased $498,978,000 of investment securities and sold $233,929,000 of investment securities, other than temporary cash investments.

G.  Capital shares issued and redeemed were:

	Year Ended January 31,
	2020	2019
	Shares	Shares
	(000)	(000)
Issued	—	—
Issued in Lieu of Cash Distributions	12,285	14,725
Redeemed	—	—
Net Increase (Decrease) in Shares Outstanding	12,285	14,725

H.  Management has determined that no events or transactions occurred subsequent to January 31, 2020, that would require recognition or disclosure in these financial statements.

42

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Specialized Funds and Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Real Estate Index Fund and Vanguard Real Estate II Index Fund

Opinions on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Vanguard Real Estate Index Fund (one of the funds constituting Vanguard Specialized Funds) and the statement of net assets of Vanguard Real Estate II Index Fund (one of the funds constituting Vanguard Fixed Income Securities Funds) (hereafter collectively referred to as the “Funds”) as of January 31, 2020, the related statements of operations for the year ended January 31, 2020, the statements of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended January 31, 2020 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

43

Special 2019 tax information (unaudited) for Vanguard Real Estate Index Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $62,570,000 of qualified dividend income to shareholders during the fiscal year.

The fund distributed $1,581,690,000 of qualified business income to shareholders during the fiscal year.

Special 2019 tax information (unaudited) for Vanguard Real Estate II Index Fund

This information for the fiscal year ended January 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $7,029,000 of qualified dividend income to shareholders during the fiscal year.

The fund distributed $179,201,000 of qualified business income to shareholders during the fiscal year.

44

THESE FUNDS ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (“MSCI”), ANY OF ITS AFFILIATES, ANY OF ITS DIRECT OR INDIRECT INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY VANGUARD. NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THESE FUNDS OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FUNDS GENERALLY OR IN THESE FUNDS PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THESE FUNDS OR THE ISSUER OR OWNER OF THESE FUNDS. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THESE FUNDS INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THESE FUNDS TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE CONSIDERATION INTO WHICH THESE FUNDS ARE REDEEMABLE. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF THESE FUNDS IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THESE FUNDS .

ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, LICENSEE’S CUSTOMERS OR COUNTERPARTIES, ISSUERS OF THE FUNDS, OWNERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARTIES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING WITHOUT LIMITATION LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

45

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork-Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

Connect with Vanguard^® > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.

Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

© 2020 The Vanguard Group, Inc.
All rights reserved.

U.S. Patent Nos. 6,879,964; 7,337,138;

7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.
Vanguard Marketing Corporation, Distributor.

Q1230 032020

Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.

Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

Item 4: Principal Accountant Fees and Services.

(a)       Audit Fees.

Audit Fees of the Registrant.

Fiscal Year Ended January 31, 2020: $428,000
Fiscal Year Ended January 31, 2019: $445,000

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

Fiscal Year Ended January 31, 2020: $9,568,215
Fiscal Year Ended January 31, 2019: $9,734,277

Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(b)        Audit-Related Fees.

Fiscal Year Ended January 31, 2020: $3,012,031
Fiscal Year Ended January 31, 2019: $5,581,336

Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(c)       Tax Fees.

Fiscal Year Ended January 31, 2020: $357,238
Fiscal Year Ended January 31, 2019: $347,985

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(d)       All Other Fees.

Fiscal Year Ended January 31, 2020: $0
Fiscal Year Ended January 31, 2019: $0

Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(e)        (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.

(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)       For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.

(g)       Aggregate Non-Audit Fees.

Fiscal Year Ended January 31, 2020: $357,238
Fiscal Year Ended January 31, 2019: $347,985

Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(h)       For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.

Item 5: Audit Committee of Listed Registrants.

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

Item 6: Investments.

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (7.0%)
U.S. Government Securities (5.7%)
	United States Treasury Note/Bond	1.750%	12/31/20	500,000		500,940
1	United States Treasury Note/Bond	2.375%	12/31/20	100,000		100,750
1	United States Treasury Note/Bond	2.500%	12/31/20	100,000		100,875
	United States Treasury Note/Bond	2.375%	4/15/21	275,000		277,921
	United States Treasury Note/Bond	1.500%	11/30/21	400,000		401,064
	United States Treasury Note/Bond	1.625%	12/31/21	400,000		402,124
	United States Treasury Note/Bond	1.375%	1/31/22	500,000		500,470
2	United States Treasury Note/Bond	1.875%	4/30/22	300,000		303,609
	United States Treasury Note/Bond	1.750%	12/31/24	350,000		357,108
	United States Treasury Note/Bond	1.375%	1/31/25	325,000		325,865
3	United States Treasury Note/Bond	1.750%	12/31/26	120,000		122,587
	United States Treasury Note/Bond	2.875%	8/15/28	15,300		17,014
2	United States Treasury Note/Bond	1.750%	11/15/29	200,000		204,344
						3,614,671
Nonconventional Mortgage-Backed Securities (1.3%)
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.704%	4.829%	2/1/37	449		476
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.000%	9/1/32	184		194
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.760%	4.373%	8/1/37	374		379
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.785%	4.035%	8/1/33	1,004		1,052
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.785%	4.410%	8/1/33	593		608
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.800%	4.486%	7/1/33	1,477		1,524
4,5,6	Fannie Mae Pool, 12M USD LIBOR + 1.960%	4.585%	5/1/33	81		86
4,5,6	Fannie Mae Pool, 1Y CMT + 2.000%	3.700%	12/1/32	188		193
4,5,6	Fannie Mae Pool, 1Y CMT + 2.125%	4.602%	6/1/33	849		884
4,5,6	Fannie Mae Pool, 1Y CMT + 2.185%	4.560%	7/1/32	132		140
4,5,6	Fannie Mae Pool, 1Y CMT + 2.210%	4.733%	5/1/33	1,017		1,075
4,5	Fannie Mae REMICS	2.500%	6/25/40–9/25/45	28,671		29,214
4,5	Fannie Mae REMICS	3.000%	9/25/44	45,136		46,708
4	Fannie Mae REMICS	3.500%	10/25/48	80,071		82,255
4,5,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.367%	8/1/37	1,113		1,168
4,5,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893%	4.143%	9/1/32	654		671
4,5,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961%	3.896%	10/1/32	241		255
4,5,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961%	4.211%	8/1/33	406		429
4,5,6	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961%	5.086%	2/1/33	111		115
4,5,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.291%	8/1/32	457		473
4,5,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.400%	8/1/32	409		436
4,5,6	Freddie Mac Non Gold Pool, 1Y CMT + 2.254%	4.254%	9/1/32	48		52
4,5	Freddie Mac REMICS	2.500%	10/15/41–10/25/49	218,262		222,012
4,5	Freddie Mac REMICS	3.000%	10/25/48	19,787		20,548
4,5	Freddie Mac REMICS	3.500%	5/15/40	8,294		8,526
4,5	Freddie Mac REMICS	6.500%	5/15/24	11,881		12,716
4	Ginnie Mae REMICS	1.500%	10/20/45–11/20/45	290,803		285,882
4	Ginnie Mae REMICS	2.000%	11/20/42	58,413		58,755
4	Ginnie Mae REMICS	2.500%	11/20/47	26,710		27,241
4	Ginnie Mae REMICS	3.000%	3/20/41	6,600		6,751
						810,818
Total U.S. Government and Agency Obligations (Cost $4,408,169)						4,425,489
Asset-Backed/Commercial Mortgage-Backed Securities (23.3%)
4	Ally Auto Receivables Trust 2017-5	2.220%	10/17/22	17,710		17,784
4	Ally Auto Receivables Trust 2018-1	2.530%	2/15/23	23,100		23,321
4	Ally Auto Receivables Trust 2019-1	3.020%	4/15/24	6,300		6,490
4	Ally Auto Receivables Trust 2019-3	1.930%	5/15/24	18,360		18,445
4	Ally Auto Receivables Trust 2019-4	1.920%	1/15/25	8,150		8,205
4	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23	29,860		30,453
4	Ally Master Owner Trust Series 2018-2	3.300%	7/17/23	36,090		36,879

1 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	American Express Credit Account Master Trust 2019-1	2.870%	10/15/24	28,580		29,372
4,7	American Homes 4 Rent 2014-SFR2	3.786%	10/17/36	12,273		13,046
4,7	American Homes 4 Rent 2014-SFR2	4.290%	10/17/36	3,360		3,572
4,7	American Homes 4 Rent 2014-SFR3	3.678%	12/17/36	16,572		17,309
4,7	American Homes 4 Rent 2015-SFR1	3.467%	4/17/52	14,731		15,420
4,7	American Homes 4 Rent 2015-SFR2	3.732%	10/17/52	6,389		6,766
4,7	American Homes 4 Rent 2015-SFR2	4.295%	10/17/52	2,830		3,053
4,7	Americold 2010 LLC Trust Series 2010-ARTA	4.954%	1/14/29	15,984		16,456
4,7	Americold 2010 LLC Trust Series 2010-ARTA	6.811%	1/14/29	11,185		11,693
4	AmeriCredit Automobile Receivables Trust 2016-2	3.650%	5/9/22	9,390		9,492
4	AmeriCredit Automobile Receivables Trust 2016-3	2.710%	9/8/22	10,170		10,239
4	AmeriCredit Automobile Receivables Trust 2018-2	4.010%	7/18/24	19,450		20,210
4	AmeriCredit Automobile Receivables Trust 2019-1	3.620%	3/18/25	21,420		22,160
4,7	AOA Mortgage Trust 2015-1177	2.957%	12/13/29	13,390		13,530
4,7	Applebee's Funding LLC / IHOP Funding LLC 2019-1	4.194%	6/7/49	5,040		5,169
4,7	ARL Second LLC 2014-1A	2.920%	6/15/44	10,097		10,154
4,7	Aventura Mall Trust 2013-AVM	3.867%	12/5/32	15,105		15,360
4,7	Aventura Mall Trust 2018-AVM	4.249%	7/5/40	1,680		1,928
4,7	Avis Budget Rental Car Funding AESOP LLC 2015-2A	2.630%	12/20/21	43,123		43,283
4,7	Avis Budget Rental Car Funding AESOP LLC 2016-1A	2.990%	6/20/22	3,341		3,385
4,7	Avis Budget Rental Car Funding AESOP LLC 2017-1A	3.070%	9/20/23	7,640		7,857
4,7	Avis Budget Rental Car Funding AESOP LLC 2019-1A	3.450%	3/20/23	15,310		15,779
4,7	BAMLL Commercial Mortgage Securities Trust 2012-PARK	2.959%	12/10/30	4,900		5,066
4,7	BAMLL Commercial Mortgage Securities Trust 2019-BPR	3.287%	11/5/32	13,820		14,381
4	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%	9/15/48	8,360		8,757
4	Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%	9/15/48	9,460		10,267
4	Banc of America Commercial Mortgage Trust 2015-UBS7	4.506%	9/15/48	1,600		1,709
4	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50	4,760		5,224
4	Banc of America Funding 2006-H Trust	4.157%	9/20/46	7,250		6,520
4	BANK 2017 - BNK4	3.625%	5/15/50	3,890		4,285
4	BANK 2017 - BNK5	3.390%	6/15/60	8,150		8,862
4	BANK 2017 - BNK6	3.254%	7/15/60	26,180		27,983
4	BANK 2017 - BNK6	3.518%	7/15/60	13,190		14,456
4	BANK 2017 - BNK6	3.741%	7/15/60	3,080		3,371
4	BANK 2017 - BNK7	3.435%	9/15/60	16,580		18,090
4	BANK 2017 - BNK8	3.488%	11/15/50	33,600		36,778
4	BANK 2017 - BNK9	3.538%	11/15/54	18,130		19,908
4	BANK 2018 - BN10	3.641%	2/15/61	11,860		12,881
4	BANK 2018 - BN10	3.688%	2/15/61	21,140		23,431
4	BANK 2018 - BN12	4.255%	5/15/61	9,940		11,465
4	BANK 2018 - BN14	4.185%	9/15/60	6,680		7,495
4	BANK 2018 - BN15	4.407%	11/15/61	16,914		19,832
4	BANK 2019 - BN17	3.623%	4/15/52	7,533		8,288
4	BANK 2019 - BN17	3.714%	4/15/52	15,650		17,578
4	BANK 2019 - BN18	3.584%	5/15/62	21,080		23,477
4	BANK 2019 - BN19	3.183%	8/15/61	13,050		14,108
4	BANK 2019 - BN21	2.851%	10/17/52	13,110		13,811
4	BANK 2019 - BNK20	3.011%	9/15/61	10,400		11,097
§,4	BANK 2020 - BN25	2.649%	1/15/63	16,780		17,282
4	Bank of America Mortgage Trust 2002-J	4.553%	9/25/32	16		16
4	BBCMS Mortgage Trust 2019-C5	3.063%	11/15/52	21,310		22,807
4,8	BBCMS Mortgage Trust 2020-C6	2.639%	2/15/53	12,685		13,066
4	Bear Stearns ARM Trust 2006-4	3.842%	10/25/36	11,447		10,436
4	Bear Stearns ARM Trust 2007-3	4.331%	5/25/47	8,404		7,824
4	Benchmark 2018-B1 Mortgage Trust	3.602%	1/15/51	3,740		4,042
4	Benchmark 2018-B1 Mortgage Trust	3.666%	1/15/51	8,290		9,179
4	Benchmark 2018-B1 Mortgage Trust	3.878%	1/15/51	5,990		6,624
4	Benchmark 2018-B1 Mortgage Trust	4.059%	1/15/51	2,700		2,968

2 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Benchmark 2018-B1 Mortgage Trust	4.254%	1/15/51	4,200		4,500
4	Benchmark 2018-B3 Mortgage Trust	4.025%	4/10/51	8,770		9,939
4	Benchmark 2018-B5 Mortgage Trust	4.208%	7/15/51	40		46
4	Benchmark 2018-B6 Mortgage Trust	4.170%	10/10/51	9,886		11,060
4	Benchmark 2018-B6 Mortgage Trust	4.261%	10/10/51	11,410		13,196
4	Benchmark 2018-B8 Mortgage Trust	4.232%	1/15/52	16,296		18,850
4	Benchmark 2019-B10 Mortgage Trust	3.615%	3/15/62	8,042		8,800
4	Benchmark 2020-B16 Mortgage Trust	2.732%	12/15/57	17,390		18,210
4	BMW Vehicle Owner Trust 2018-A	1.920%	1/25/24	36,310		36,533
4	BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24	15,840		16,000
4,6	Brazos Higher Education Authority Inc. Series 2005, 3M USD LIBOR + 0.200%	2.147%	6/25/26	4,968		4,951
4,6	Brazos Higher Education Authority Inc. Series 2011, 3M USD LIBOR + 0.800%	2.710%	2/25/30	10,917		10,937
4,7	BX Trust 2019-OC11	3.202%	12/9/41	16,600		17,838
4,7	CAL Funding II Ltd. Series 2012-1A	3.470%	10/25/27	2,558		2,559
4,7	CAL Funding II Ltd. Series 2013-1A	3.350%	3/27/28	5,098		5,100
4,7	CAL Funding II Ltd. Series 2018-2A	4.340%	9/25/43	10,521		10,843
4	California Republic Auto Receivables Trust 2016-2	2.520%	5/16/22	6,520		6,538
4	California Republic Auto Receivables Trust 2016-2	3.510%	3/15/23	3,180		3,193
4,7	Canadian Pacer Auto Receivables Trust A Series 2018	3.220%	9/19/22	7,330		7,454
4,7	Canadian Pacer Auto Receivables Trust A Series 2018	3.270%	12/19/22	4,680		4,709
4,7	Canadian Pacer Auto Receivables Trust A Series 2018	3.440%	8/21/23	2,080		2,138
4,7	Canadian Pacer Auto Receivables Trust A Series 2019	2.960%	6/19/24	4,170		4,303
4,7	Canadian Pacer Auto Receivables Trust A Series 2020	1.830%	7/19/24	31,730		31,723
4,7	Canadian Pacer Auto Receivables Trust A Series 2020	1.890%	3/19/25	6,810		6,809
4	Capital Auto Receivables Asset Trust 2016-2	3.160%	11/20/23	1,630		1,633
4	Capital Auto Receivables Asset Trust 2016-3	2.650%	1/20/24	3,360		3,365
4	Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23	38,950		39,526
4	Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24	13,130		13,413
4	Capital One Auto Receivables Trust 2019-2	1.920%	5/15/24	42,720		43,058
4	Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24	90,670		93,041
4	CarMax Auto Owner Trust 2016-2	2.160%	12/15/21	4,850		4,855
4	CarMax Auto Owner Trust 2016-2	3.250%	11/15/22	5,800		5,813
4	CarMax Auto Owner Trust 2016-3	2.940%	1/17/23	4,050		4,062
4	CarMax Auto Owner Trust 2017-4	2.330%	5/15/23	6,860		6,910
4	CarMax Auto Owner Trust 2017-4	2.460%	8/15/23	3,240		3,263
4	CarMax Auto Owner Trust 2017-4	2.700%	10/16/23	3,240		3,277
4	CarMax Auto Owner Trust 2018-1	2.640%	6/15/23	12,020		12,197
4	CarMax Auto Owner Trust 2018-1	2.830%	9/15/23	19,890		20,230
4	CarMax Auto Owner Trust 2018-1	2.950%	11/15/23	6,170		6,231
4	CarMax Auto Owner Trust 2018-2	3.370%	10/16/23	4,755		4,908
4	CarMax Auto Owner Trust 2018-2	3.570%	12/15/23	6,860		7,084
4	CarMax Auto Owner Trust 2018-2	3.990%	4/15/25	5,300		5,496
4	CarMax Auto Owner Trust 2018-3	3.130%	6/15/23	26,590		27,026
4	CarMax Auto Owner Trust 2018-3	3.270%	3/15/24	13,310		13,791
4	CarMax Auto Owner Trust 2018-4	3.360%	9/15/23	18,390		18,768
4	CarMax Auto Owner Trust 2018-4	3.480%	2/15/24	6,780		7,083
4	CarMax Auto Owner Trust 2018-4	3.670%	5/15/24	5,940		6,199
4	CarMax Auto Owner Trust 2018-4	3.850%	7/15/24	4,030		4,214
4	CarMax Auto Owner Trust 2018-4	4.150%	4/15/25	2,730		2,854
4	CarMax Auto Owner Trust 2019-3	2.180%	8/15/24	41,500		42,005
4	CarMax Auto Owner Trust 2019-3	2.300%	4/15/25	7,570		7,735
4	CarMax Auto Owner Trust 2019-3	2.500%	4/15/25	9,610		9,746
4	CarMax Auto Owner Trust 2019-4	2.020%	11/15/24	49,210		49,668
4	CarMax Auto Owner Trust 2019-4	2.130%	7/15/25	13,790		13,986
4	CarMax Auto Owner Trust 2019-4	2.600%	9/15/25	4,240		4,345
4	CarMax Auto Owner Trust 2020-1	2.030%	6/16/25	12,860		12,993
4	CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49	3,650		3,800
4	CD 2016-CD1 Commercial Mortgage Trust	3.631%	8/10/49	6,299		6,504
4	CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50	22,955		25,250
4	CD 2017-CD4 Commercial Mortgage Trust	3.514%	5/10/50	6,310		6,895
4	CD 2017-CD5 Commercial Mortgage Trust	3.431%	8/15/50	17,147		18,669
4	CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50	6,715		7,326

3 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57	9,900		10,461
4	CenterPoint Energy Transition Bond Co. IV LLC 2012-1	2.161%	10/15/21	3,752		3,754
4,7	CFCRE Commercial Mortgage Trust 2011-C2	5.933%	12/15/47	14,930		15,694
4	CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58	25,764		27,419
4,7	Chesapeake Funding II LLC 2018-1	3.040%	4/15/30	18,176		18,362
4,7	Chesapeake Funding II LLC 2019-1	2.940%	4/15/31	32,331		32,775
4	CHL Mortgage Pass-Through Trust 2006-HYB1	3.549%	3/20/36	5,724		5,428
4	CHL Mortgage Pass-Through Trust 2007-HYB2	3.557%	2/25/47	6,223		5,540
4,7	Chrysler Capital Auto Receivables Trust 2016-AA	4.220%	2/15/23	26,030		26,129
4,7	Citigroup Commercial Mortgage Trust 2012-GC8	3.683%	9/10/45	2,100		2,169
4	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46	6,350		6,567
4	Citigroup Commercial Mortgage Trust 2013-GC15	3.942%	9/10/46	5,414		5,605
4	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46	3,786		4,089
4	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47	19,843		21,363
4	Citigroup Commercial Mortgage Trust 2014-GC21	3.575%	5/10/47	3,429		3,629
4	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47	41,720		44,833
4	Citigroup Commercial Mortgage Trust 2014-GC23	3.356%	7/10/47	11,044		11,682
4	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47	25,685		27,535
4	Citigroup Commercial Mortgage Trust 2014-GC23	3.863%	7/10/47	12,426		13,215
4	Citigroup Commercial Mortgage Trust 2014-GC23	4.175%	7/10/47	5,394		5,630
4	Citigroup Commercial Mortgage Trust 2014-GC23	4.586%	7/10/47	6,380		6,776
4	Citigroup Commercial Mortgage Trust 2014-GC25	3.372%	10/10/47	18,100		19,093
4	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47	41,551		44,540
4	Citigroup Commercial Mortgage Trust 2014-GC25	4.345%	10/10/47	6,146		6,571
4	Citigroup Commercial Mortgage Trust 2014-GC25	4.676%	10/10/47	1,035		1,109
4	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48	38,271		40,368
4	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48	52,677		57,378
4	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58	48,282		52,780
4	Citigroup Commercial Mortgage Trust 2015-GC33	4.725%	9/10/58	4,000		4,270
4	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49	47,800		51,134
4	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49	4,426		4,655
4	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50	19,500		21,294
4	Citigroup Commercial Mortgage Trust 2017-P8	3.465%	9/15/50	41,283		45,031
4	Citigroup Commercial Mortgage Trust 2017-P8	4.192%	9/15/50	9,500		10,300
4	Citigroup Commercial Mortgage Trust 2017-P8	4.411%	9/15/50	9,500		10,107
4	Citigroup Commercial Mortgage Trust 2018-C5	4.228%	6/10/51	8,750		10,062
4	Citigroup Commercial Mortgage Trust 2018-C6	4.343%	11/10/51	10,960		12,354
4	Citigroup Commercial Mortgage Trust 2018-C6	4.412%	11/10/51	17,620		20,592
4	Citigroup Mortgage Loan Trust 2007-AR8	4.473%	7/25/37	468		450
4,7	CLI Funding V LLC 2013-1A	2.830%	3/18/28	8,249		8,216
4	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45	2,925		3,007
4	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45	4,100		4,230
4	COMM 2012-CCRE3 Mortgage Trust	2.822%	10/15/45	22,898		23,284
4,7	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45	12,316		12,614
4	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45	10,904		11,133
4	COMM 2012-CCRE4 Mortgage Trust	3.251%	10/15/45	1,990		2,002
4	COMM 2012-CCRE5 Mortgage Trust	2.771%	12/10/45	2,640		2,698
4	COMM 2013-CCRE10 Mortgage Trust	3.795%	8/10/46	7,055		7,311
4	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50	13,316		14,175
4	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50	43,975		47,525
4	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46	11,317		11,699
4	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46	7,565		7,871
4	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46	41,902		44,840
4	COMM 2013-CCRE13 Mortgage Trust	4.194%	11/10/46	32,690		35,226
4	COMM 2013-CCRE13 Mortgage Trust	5.052%	11/10/46	4,517		4,932
4	COMM 2013-CCRE13 Mortgage Trust	5.052%	11/10/46	8,240		8,821
4,7	COMM 2013-CCRE6 Mortgage Trust	3.147%	3/10/46	17,360		17,887
4,7	COMM 2013-CCRE6 Mortgage Trust	3.397%	3/10/46	2,380		2,446
4	COMM 2013-CCRE8 Mortgage Trust	3.334%	6/10/46	1,580		1,653
4	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46	40,399		42,378
4	COMM 2013-CCRE9 Mortgage Trust	4.363%	7/10/45	12,916		13,790
4,7	COMM 2013-CCRE9 Mortgage Trust	4.387%	7/10/45	11,250		11,768
4,7	COMM 2013-CCRE9 Mortgage Trust	4.387%	7/10/45	12,690		12,214
4,7	COMM 2013-LC13 Mortgage Trust	3.774%	8/10/46	7,986		8,251

4 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46	13,605		14,666
4,7	COMM 2013-LC13 Mortgage Trust	4.557%	8/10/46	18,565		20,106
4	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46	4,100		4,214
4,7	COMM 2013-SFS Mortgage Trust	3.086%	4/12/35	5,490		5,662
4,7	COMM 2014-277P Mortgage Trust	3.732%	8/10/49	33,245		35,698
4	COMM 2014-CCRE14 Mortgage Trust	3.955%	2/10/47	1,915		2,049
4	COMM 2014-CCRE14 Mortgage Trust	4.236%	2/10/47	18,995		20,588
4	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47	4,956		4,964
4	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47	20,250		21,927
4	COMM 2014-CCRE15 Mortgage Trust	4.426%	2/10/47	13,450		14,422
4	COMM 2014-CCRE17 Mortgage Trust	3.700%	5/10/47	1,876		1,986
4	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47	47,740		51,633
4	COMM 2014-CCRE17 Mortgage Trust	4.174%	5/10/47	27,380		29,498
4	COMM 2014-CCRE17 Mortgage Trust	4.946%	5/10/47	10,175		10,801
4	COMM 2014-CCRE18 Mortgage Trust	3.550%	7/15/47	9,663		10,132
4	COMM 2014-CCRE18 Mortgage Trust	3.828%	7/15/47	30,571		32,927
4	COMM 2014-CCRE20 Mortgage Trust	3.326%	11/10/47	21,620		22,875
4	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47	36,585		39,232
4	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47	34,680		36,846
4	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47	11,922		12,905
4	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48	36,015		38,320
4	COMM 2015-CCRE24 Mortgage Trust	3.696%	8/10/48	11,921		12,959
4	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48	39,667		43,213
4	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48	22,007		23,884
4	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48	11,974		12,999
4	COMM 2015-CCRE27 Mortgage Trust	4.620%	10/10/48	8,118		8,710
4	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48	9,930		10,506
4	COMM 2019-G44 Mortgage Trust	2.950%	8/15/57	18,400		19,502
4	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57	42,350		45,353
4	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48	16,636		18,038
4	CSAIL 2015-C3 Commercial Mortgage Trust	4.499%	8/15/48	10,600		10,961
4	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48	41,832		45,711
4	CSAIL 2016-C5 Commercial Mortgage Trust	4.729%	11/15/48	7,660		8,285
4	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49	57,943		62,412
4	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50	15,680		16,931
4	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51	8,580		9,835
4	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52	12,260		13,962
4,7	Daimler Trucks Retail Trust 2019-1	2.790%	5/15/25	12,480		12,680
4	DBGS Mortgage Trust 2018-C1	4.466%	10/15/51	31,390		36,649
4	DBJPM 16-C1 Mortgage Trust	3.501%	5/10/49	2,050		2,076
4	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50	21,940		23,729
4,6,7	DELAM 2018-1, 1M USD LIBOR + 0.700%	2.358%	11/19/25	18,960		18,955
4,7	Dell Equipment Finance Trust 2019-1	2.830%	3/22/24	33,290		33,737
4	Discover Card Execution Note Trust 2019-A1	3.040%	7/15/24	33,870		34,853
4	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24	56,090		56,619
4,7	DLL Securitization Trust Series 2018-A3	3.460%	1/20/22	22,150		22,378
4,7	DLL Securitization Trust Series 2018-A4	3.590%	6/20/24	8,550		8,775
4,7	DLL Securitization Trust Series 2019-DA1	2.890%	4/20/23	33,900		34,261
4,7	DLL Securitization Trust Series 2019-DA1	2.920%	4/20/27	24,750		25,408
4,7	DLL Securitization Trust Series 2019-MA2	2.340%	9/20/23	27,810		28,004
4,7	DLL Securitization Trust Series 2019-MT3	2.080%	2/21/23	25,700		25,722
4,7	DLL Securitization Trust Series 2019-MT3	2.150%	9/21/26	14,700		14,813
4,7	DRB Prime Student Loan Trust 2017-C	2.810%	11/25/42	20,913		21,198
4,7	Drive Auto Receivables Trust 2016-BA	4.530%	8/15/23	14,408		14,551
4,7	Drive Auto Receivables Trust 2016-C	4.180%	3/15/24	20,682		20,928
4	Drive Auto Receivables Trust 2017-1	3.840%	3/15/23	2,314		2,338
4	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24	24,712		24,851
4	Drive Auto Receivables Trust 2018-2	4.140%	8/15/24	20,430		20,993
4	Drive Auto Receivables Trust 2018-3	3.370%	9/15/22	3,778		3,781
4	Drive Auto Receivables Trust 2018-3	3.720%	9/16/24	30,350		30,617
4	Drive Auto Receivables Trust 2018-3	4.300%	9/16/24	16,140		16,639
4	Drive Auto Receivables Trust 2018-5	3.680%	7/15/23	20,200		20,379
4	Drive Auto Receivables Trust 2018-5	3.990%	1/15/25	19,260		19,754
4	Drive Auto Receivables Trust 2018-5	4.300%	4/15/26	26,460		27,452

5 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Drive Auto Receivables Trust 2019-2	3.040%	3/15/23	7,480		7,523
4	Drive Auto Receivables Trust 2019-2	3.690%	8/17/26	15,870		16,409
4	Drive Auto Receivables Trust 2020-1	2.020%	11/15/23	13,810		13,858
4,6,7	Edsouth Indenture No. 9 LLC 2015-1, 1M USD LIBOR + 0.800%	2.461%	10/25/56	13,761		13,700
4,7	EDvestinU Private Education Loan Trust (EDVES) 2019-A	3.580%	11/25/38	8,573		8,914
4,7	ELFI Graduate Loan Program 2018-A LLC	3.430%	8/25/42	19,993		20,542
4,7	Enterprise Fleet Financing LLC Series 2019-1	2.980%	10/20/24	9,352		9,454
4,7	Enterprise Fleet Financing LLC Series 2019-1	3.070%	10/20/24	13,690		14,053
4,5,6,7	Fannie Mae Connecticut Avenue Securities 2019-R03, 1M USD LIBOR + 0.750%	2.411%	9/25/31	1,632		1,632
4,5,6,7	Fannie Mae Connecticut Avenue Securities 2019-R04, 1M USD LIBOR + 0.750%	2.411%	6/25/39	9,223		9,226
4,5,6,7	Fannie Mae Connecticut Avenue Securities 2019-R05, 1M USD LIBOR + 0.750%	2.411%	7/25/39	15,564		15,571
4,5,6,7	Fannie Mae Connecticut Avenue Securities 2019-R06, 1M USD LIBOR + 0.750%	2.411%	9/25/39	29,505		29,523
4,5,6,7	Fannie Mae Connecticut Avenue Securities 2019-R07, 1M USD LIBOR + 0.770%	2.431%	10/25/39	71,750		71,769
4,5	Fannie Mae Grantor Trust 2017-T1	2.898%	6/25/27	19,222		20,272
4,5	Fannie Mae-Aces 2011-48D	3.000%	9/25/49	21,341		22,159
4,5	Fannie Mae-Aces 2011-50F	3.000%	9/25/49	36,031		37,355
4,5	Fannie Mae-Aces 2011-77A	3.000%	4/25/44	95,088		97,005
4,5	Fannie Mae-Aces 2011-90A	3.500%	12/25/45	8,763		9,177
4,5	Fannie Mae-Aces 2012-124E	1.500%	11/25/42	28,525		27,751
4,5	Fannie Mae-Aces 2013-111B	2.125%	10/25/42	21,570		21,537
4,5	Fannie Mae-Aces 2013-114D	2.250%	7/25/43	7,217		7,243
4,5	Fannie Mae-Aces 2013-115A	2.000%	11/25/43	21,376		21,324
4,5	Fannie Mae-Aces 2013-115B	2.100%	4/25/43	17,399		17,347
4,5	Fannie Mae-Aces 2013-115B	2.250%	10/25/43	30,679		30,802
4,5	Fannie Mae-Aces 2013-20E	1.500%	3/25/43	33,336		32,416
4,5	Fannie Mae-Aces 2013-46B	1.700%	5/25/43	34,538		34,000
4,5	Fannie Mae-Aces 2013-46C	1.700%	5/25/43	17,523		17,239
4,5	Fannie Mae-Aces 2013-46D	1.500%	5/25/43	34,084		33,422
4,5	Fannie Mae-Aces 2014-60E	2.000%	9/25/44	60,169		59,959
4,5	Fannie Mae-Aces 2014-86A	2.000%	12/25/44	24,447		24,315
4,5	Fannie Mae-Aces 2015-18E	1.750%	4/25/44	26,106		25,823
4,5	Fannie Mae-Aces 2015-19	2.000%	12/25/44	50,486		50,303
4,5	Fannie Mae-Aces 2015-73	1.600%	10/25/45	33,207		32,796
4,5	Fannie Mae-Aces 2016-60B	2.500%	9/25/46	46,527		47,336
4,5	Fannie Mae-Aces 2019-68G	2.500%	5/25/48	32,319		32,762
4,5	Fannie Mae-Aces 2019-83A	2.500%	12/25/49	29,086		29,414
4,5	FHLMC Multifamily Structured Pass Through Certificates 4122K	1.500%	10/15/42	20,986		20,396
4,5	FHLMC Multifamily Structured Pass Through Certificates 4194A	1.700%	4/15/43	30,698		30,438
4,5	FHLMC Multifamily Structured Pass Through Certificates 4213D	1.750%	11/15/41	56,243		55,925
4,5	FHLMC Multifamily Structured Pass Through Certificates 4259B	2.250%	4/15/43	7,051		7,059
4,5	FHLMC Multifamily Structured Pass Through Certificates 4259B	2.250%	6/15/43	13,247		13,287
4,5	FHLMC Multifamily Structured Pass Through Certificates 4604E	2.750%	1/15/46	28,059		28,817
4,5	FHLMC Multifamily Structured Pass Through Certificates 4764B	3.000%	10/15/45	21,348		21,805
4,5	FHLMC Multifamily Structured Pass Through Certificates 4927F	2.250%	9/25/49	26,251		26,426
4,5	FHLMC Multifamily Structured Pass Through Certificates 4935A	2.750%	10/25/49	8,306		8,588
4,5	FHLMC Multifamily Structured Pass Through Certificates 4935A	2.500%	12/25/49	11,945		12,035

6 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4,5	FHLMC Multifamily Structured Pass Through Certificates 4950A	2.500%	12/25/49	16,799		17,069
4	First Horizon Mortgage Pass-Through Trust 2006-AR3	3.481%	11/25/36	3,388		2,887
	First Horizon Mortgage Pass-Through Trust 2006-AR4	4.023%	1/25/37	6,584		5,395
4	Ford Credit Auto Lease Trust 2018-A	3.170%	9/15/21	11,780		11,861
4	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22	31,050		31,394
4	Ford Credit Auto Lease Trust 2019-A	3.250%	7/15/22	25,150		25,489
4	Ford Credit Auto Lease Trust 2020-A	1.850%	3/15/23	34,430		34,525
4,7	Ford Credit Auto Owner Trust 2016-REV1	2.310%	8/15/27	10,240		10,304
4,7	Ford Credit Auto Owner Trust 2016-REV2	2.030%	12/15/27	48,890		49,013
4,7	Ford Credit Auto Owner Trust 2017-1	2.620%	8/15/28	14,055		14,335
4,7	Ford Credit Auto Owner Trust 2017-2	2.360%	3/15/29	31,835		32,375
4,7	Ford Credit Auto Owner Trust 2017-2	2.600%	3/15/29	6,826		6,907
4,7	Ford Credit Auto Owner Trust 2017-2	2.750%	3/15/29	13,976		14,195
4,7	Ford Credit Auto Owner Trust 2018-2	3.760%	1/15/30	7,305		7,613
4	Ford Credit Auto Owner Trust 2018-B	3.380%	3/15/24	12,840		13,237
4,7	Ford Credit Auto Owner Trust 2018-REV1	3.190%	7/15/31	87,670		92,954
4,7	Ford Credit Auto Owner Trust 2018-REV1	3.340%	7/15/31	32,080		33,262
4,7	Ford Credit Auto Owner Trust 2018-REV2	3.470%	1/15/30	19,600		20,756
4,7	Ford Credit Auto Owner Trust 2018-REV2	3.610%	1/15/30	16,295		16,929
4,7	Ford Credit Auto Owner Trust 2019-1	3.520%	7/15/30	11,266		12,017
4	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24	26,820		27,798
4	Ford Credit Auto Owner Trust 2019-A	3.020%	10/15/24	10,330		10,673
4	Ford Credit Auto Owner Trust 2019-A	3.250%	9/15/25	10,980		11,341
4	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23	83,210		84,474
4	Ford Credit Floorplan Master Owner Trust A Series 2018-3	3.520%	10/15/23	52,330		53,954
4	Ford Credit Floorplan Master Owner Trust A Series 2019-1	2.840%	3/15/24	45,500		46,628
4	Ford Credit Floorplan Master Owner Trust A Series 2019-2	3.250%	4/15/26	7,753		8,039
4,5,6	Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA3, 1M USD LIBOR + 2.000%	3.661%	12/25/28	526		526
4,5,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1	3.734%	2/25/48	8,528		8,585
4,5,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI2	3.813%	5/25/48	5,038		5,074
4,5,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI3	4.151%	8/25/48	2,173		2,210
4,5,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI4	4.460%	11/25/48	89		89
4,5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA3, 1M USD LIBOR + 0.730%	2.391%	7/25/49	1,876		1,876
4,5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4, 1M USD LIBOR + 0.700%	2.361%	10/25/49	6,556		6,559
4,5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2, 1M USD LIBOR + 0.700%	2.361%	4/25/49	4,604		4,604
4,5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA3, 1M USD LIBOR + 0.750%	2.411%	9/25/49	3,751		3,752
4,5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA1, 1M USD LIBOR + 0.700%	2.359%	1/25/50	48,300		48,302
§,4,5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA1, 1M USD LIBOR + 0.750%	2.399%	1/25/50	17,700		17,700
4	GM Financial Automobile Leasing Trust 2017-3	2.730%	9/20/21	5,140		5,145
4	GM Financial Automobile Leasing Trust 2019-3	2.030%	6/20/22	29,170		29,219
4,7	GM Financial Consumer Automobile 2017-3	2.130%	3/16/23	13,250		13,329
4,7	GM Financial Consumer Automobile 2017-3	2.330%	3/16/23	2,650		2,668
4	GM Financial Consumer Automobile 2018-3	3.160%	1/16/24	7,250		7,475
4	GM Financial Consumer Automobile 2018-4	3.320%	6/17/24	6,690		6,961
4	GM Financial Consumer Automobile 2019-1	3.110%	7/16/24	8,770		9,072
4	GM Financial Consumer Automobile 2019-2	2.710%	8/16/24	14,660		15,050
4	GM Financial Consumer Automobile 2019-3	2.180%	4/16/24	28,490		28,782
4	GM Financial Consumer Automobile 2020-1	1.840%	9/16/24	39,270		39,558

7 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	GM Financial Securitized Term Auto Receivables Trust 2019-4	1.760%	1/16/25	5,070		5,073
4	GMACM Mortgage Loan Trust 2005-AR6	3.901%	11/19/35	1,375		1,291
4,7	GMF Floorplan Owner Revolving Trust 2017-2	2.630%	7/15/22	9,380		9,394
4,7	GMF Floorplan Owner Revolving Trust 2018-2	3.130%	3/15/23	53,560		54,349
4,7	GMF Floorplan Owner Revolving Trust 2019-1	2.700%	4/15/24	13,920		14,168
4,7	Golden Credit Card Trust 2018-1A	2.620%	1/15/23	87,288		87,923
4,7	Golden Credit Card Trust 2018-4A	3.440%	10/15/25	77,760		81,861
4,6,7	Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450%	2.360%	8/25/60	8,661		8,652
4,7	GRACE Mortgage Trust 2014-A	3.369%	6/10/28	20,500		20,772
4,7	GreatAmerica Leasing Receivables Funding LLC Series 2018-1	2.830%	6/17/24	5,140		5,211
4,7	GreatAmerica Leasing Receivables Funding LLC Series 2019-1	3.210%	2/18/25	5,260		5,431
4,7	GS Mortgage Securities Corporation Trust 2012-ALOHA	3.551%	4/10/34	32,716		33,942
4,7	GS Mortgage Securities Trust 2010-C2	5.352%	12/10/43	3,530		3,608
4,7	GS Mortgage Securities Trust 2011-GC3	5.824%	3/10/44	2,280		2,347
4,7	GS Mortgage Securities Trust 2012-BWTR	2.954%	11/5/34	36,047		36,925
4,7	GS Mortgage Securities Trust 2012-GC6	4.948%	1/10/45	1,000		1,047
4	GS Mortgage Securities Trust 2012-GCJ7	5.875%	5/10/45	7,150		7,518
4	GS Mortgage Securities Trust 2013-GC13	4.186%	7/10/46	22,934		24,629
4,7	GS Mortgage Securities Trust 2013-GC13	4.219%	7/10/46	5,650		5,905
4	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46	13,060		13,548
4	GS Mortgage Securities Trust 2013-GCJ12	3.777%	6/10/46	8,250		8,559
4	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46	5,809		5,989
4	GS Mortgage Securities Trust 2013-GCJ14	3.955%	8/10/46	22,020		23,091
4	GS Mortgage Securities Trust 2013-GCJ14	4.243%	8/10/46	49,405		53,059
4	GS Mortgage Securities Trust 2014-GC20	3.998%	4/10/47	43,873		47,252
4	GS Mortgage Securities Trust 2014-GC20	4.258%	4/10/47	1,410		1,505
4	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47	44,760		48,475
4	GS Mortgage Securities Trust 2014-GC24	4.162%	9/10/47	13,246		14,311
4	GS Mortgage Securities Trust 2014-GC24	4.644%	9/10/47	10,665		11,273
4	GS Mortgage Securities Trust 2014-GC24	4.665%	9/10/47	17,556		17,048
4	GS Mortgage Securities Trust 2014-GC26	3.364%	11/10/47	19,370		20,464
4	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47	47,290		50,783
4	GS Mortgage Securities Trust 2015-GC28	3.136%	2/10/48	39,656		41,591
4	GS Mortgage Securities Trust 2015-GC28	3.396%	2/10/48	35,733		38,146
4	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	12,225		13,077
4	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	4,636		5,058
4	GS Mortgage Securities Trust 2015-GC34	3.244%	10/10/48	10,140		10,684
4	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48	26,732		28,870
4	GS Mortgage Securities Trust 2015-GC34	4.807%	10/10/48	12,080		12,961
4	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	11,930		12,495
4	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	13,006		14,100
4	GS Mortgage Securities Trust 2018-GS10	4.155%	7/10/51	8,565		9,790
4	GS Mortgage Securities Trust 2018-GS9	3.992%	3/10/51	4,990		5,623
4	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	3,920		4,223
4	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52	14,800		15,759
4	GS Mortgage Securities Trust 2020-GC45	2.911%	2/13/53	10,525		11,131
7	GTP Acquisition Partners I LLC	2.350%	6/15/20	1,540		1,540
4,7	Hardee's Funding HNGRY 2018-1	4.959%	6/20/48	1,980		2,063
4,7	Hardee's Funding HNGRY 2018-1A	5.710%	6/20/48	24,984		26,855
4,7	Harley Marine Financing LLC Barge 2018-1	5.682%	5/15/43	17,794		16,103
4	Harley-Davidson Motorcycle Trust 2019-A	2.340%	2/15/24	40,800		41,008
4	Harley-Davidson Motorcycle Trust 2019-A	2.390%	11/15/26	9,060		9,175
4	Harley-Davidson Motorcycle Trust 2020-A	1.930%	4/15/27	8,270		8,332
4	Harley-Davidson Motorcycles 2020-A	1.870%	10/15/24	25,690		25,804
4,7	Hertz Fleet Lease Funding LP 2018-1	3.230%	5/10/32	28,118		28,354
4,7	Hertz Vehicle Financing II LP 2015-3A	2.670%	9/25/21	6,785		6,810
4,7	Hertz Vehicle Financing II LP 2016-2A	2.950%	3/25/22	10,415		10,530
4,7	Hilton USA Trust 2016-HHV	3.719%	11/5/38	3,950		4,297

8 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4,6,7	Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360%	2.191%	10/15/54	16,992		16,989
4,6,7	Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.251%	10/15/54	14,274		14,268
4	Honda Auto Receivables 2017-4 Owner Trust	2.210%	3/21/24	9,030		9,092
4	Honda Auto Receivables 2018-3 Owner Trust	3.070%	11/21/24	5,460		5,612
4	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23	100,490		102,058
4	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25	20,390		20,822
4	Honda Auto Receivables 2018-4 Owner Trust	3.300%	7/15/25	7,720		7,971
4	Honda Auto Receivables 2019-1 Owner Trust	2.900%	6/18/24	7,470		7,679
4	Honda Auto Receivables 2019-3 Owner Trust	1.850%	8/15/25	12,600		12,613
4,7	Houston Galleria Mall Trust 2015-HGLR	3.087%	3/5/37	40,670		42,387
4,7	HPEFS Equipment Trust 2019-1	2.190%	9/20/29	11,800		11,826
4,7	HPEFS Equipment Trust 2019-1	2.210%	9/20/29	2,300		2,309
4,7	HPEFS Equipment Trust 2019-1	2.320%	9/20/29	4,100		4,122
4,7	HPEFS Equipment Trust 2019-1	2.490%	9/20/29	3,800		3,825
4,7	HPEFS Equipment Trust 2019-1	2.720%	9/20/29	1,700		1,713
4,7	Hudson Yards 2019-30HY	3.228%	7/10/39	11,750		12,693
4,7	Hudsons Bay Simon JV Trust 2015-HB7	3.914%	8/5/34	14,750		15,146
4,7	Hyundai Auto Lease Securitization Trust 2019-A	2.980%	7/15/22	26,560		26,920
4,7	Hyundai Auto Lease Securitization Trust 2019-A	3.050%	12/15/22	4,370		4,447
4,7	Hyundai Auto Lease Securitization Trust 2019-B	2.040%	8/15/22	34,080		34,249
4,7	Hyundai Auto Lease Securitization Trust 2020-A	1.950%	7/17/23	35,900		36,075
4	Hyundai Auto Receivables Trust 2019-A	2.710%	5/15/25	10,660		10,930
4	Hyundai Auto Receivables Trust 2019-A	2.940%	5/15/25	5,655		5,822
4	Hyundai Auto Receivables Trust 2019-B	1.940%	2/15/24	44,700		45,054
4	Hyundai Auto Receivables Trust 2019-B	2.000%	4/15/25	12,600		12,700
4	Hyundai Auto Receivables Trust 2019-B	2.210%	4/15/25	3,600		3,634
4,7	Hyundai Floorplan Master Owner Trust Series 2019-1A	2.680%	4/15/24	17,400		17,767
4,6,7	Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 0.850%	2.519%	12/17/36	27,189		27,151
4,6,7	Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 1.150%	2.819%	12/17/36	9,957		9,934
4,6,7	Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.700%	2.369%	3/17/37	37,870		37,594
4,6,7	Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.950%	2.619%	3/17/37	9,890		9,814
4,7	Irvine Core Office Trust 2013-IRV	3.279%	5/15/48	14,791		15,348
4,7	Jackson Park Trust 2019-LIC	2.766%	10/14/39	17,540		18,063
4	John Deere Owner Trust 2018-B	3.230%	6/16/25	10,350		10,615
4	John Deere Owner Trust 2018-B	3.000%	1/15/26	6,740		6,943
4	John Deere Owner Trust 2019-B	2.320%	5/15/26	9,460		9,571
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	4.070%	11/15/43	1,301		1,307
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	5.786%	11/15/43	6,225		6,313
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	5.786%	11/15/43	7,100		7,237
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3	4.717%	2/15/46	23,367		23,862
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5	5.599%	8/15/46	4,100		4,277
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1	4.717%	3/16/46	2,778		2,838
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45	13,214		13,647
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45	10,136		10,356
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	3.424%	10/15/45	4,030		4,162
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	4.271%	6/15/45	27,000		28,313
4,7	JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC	3.093%	7/5/32	5,503		5,649

9 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9	2.840%	12/15/47	31,910		32,588
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13	3.994%	1/15/46	13,506		14,387
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13	4.201%	1/15/46	9,350		9,828
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.674%	12/15/46	7,079		7,301
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.881%	12/15/46	2,330		2,484
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46	14,880		16,059
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.517%	12/15/46	14,600		15,865
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	5.130%	12/15/46	21,150		23,239
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	5.195%	12/15/46	9,770		10,637
4	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46	28,694		29,616
4	JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20	3.461%	7/15/47	26,474		27,378
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49	18,116		18,997
4	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49	26,580		29,174
4	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.490%	7/15/50	12,517		13,652
4	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45	17,866		18,856
4	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.176%	7/15/45	7,520		7,994
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46	12,289		12,702
4	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46	13,870		14,875
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45	2,967		3,062
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.131%	11/15/45	27,200		29,285
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.927%	11/15/45	17,820		19,474
4	JPMBB Commercial Mortgage Securities Trust 2013-C15	5.371%	11/15/45	13,495		14,747
4	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.199%	1/15/47	22,860		24,745
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47	36,630		39,588
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47	12,950		14,005
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.970%	2/15/47	13,200		14,220
4	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.970%	2/15/47	5,850		6,243
4	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47	1,975		2,132
4	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47	10,982		11,790
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.231%	1/15/48	28,373		29,769
4	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48	48,489		51,801
4	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.179%	2/15/48	17,150		18,094

10 

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.551%	7/15/48	23,680		25,312
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48	51,660		56,420
4	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48	15,901		17,395
4	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48	21,082		23,057
4	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48	12,364		13,385
4	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48	22,187		24,311
4	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50	27,470		30,315
4	JPMCC Commercial Mortgage Securities Trust 2017-JP7	3.454%	9/15/50	10,675		11,633
4	JPMDB Commercial Mortgage Securities Trust 2016-C4	3.141%	12/15/49	6,430		6,864
4	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50	5,693		6,193
4	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51	8,500		9,762
4,7	Kubota Credit Owner Trust 2018-1	3.210%	1/15/25	5,840		6,013
4,6,7	Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420%	2.319%	12/22/69	18,879		18,838
4,6	Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.319%	12/22/69	9,200		9,204
4,7	Lanark Master Issuer plc 2020-1A	2.277%	12/22/69	7,200		7,367
4,7	Laurel Road Prime Student Loan Trust 2018-B	3.540%	5/26/43	27,875		28,952
4,7	LCCM Mortgage Trust 2014-A	3.388%	5/15/31	18,640		18,887
	Louisiana Local Government Environmental Facilities & Community Development Authority Revenue 2010-ELL	3.450%	2/1/22	1,034		1,034
4	M Financial Securitized Term Auto Receivables Trust 2019-4	1.750%	7/16/24	34,980		34,992
4,7	Madison Avenue Trust 2013-650M	3.843%	10/12/32	12,460		12,543
4	MASTR Adjustable Rate Mortgages Trust 2004-3	4.275%	4/25/34	376		366
4	Mercedes-Benz Auto Lease Trust 2019-A	2.000%	10/17/22	29,290		29,377
4	Mercedes-Benz Auto Lease Trust 2020-A	1.840%	12/15/22	43,870		43,947
4	Mercedes-Benz Auto Lease Trust 2020-A	1.880%	9/15/25	16,940		16,994
4	Mercedes-Benz Auto Receivables Trust 2018-1	3.150%	10/15/24	10,430		10,744
4	Mercedes-Benz Auto Receivables Trust 2019-1	2.040%	1/15/26	17,140		17,268
4,7	Mercedes-Benz Master Owner Trust 2019-B	2.610%	5/15/24	63,730		65,087
4	Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2	3.409%	2/25/33	534		516
4	Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A4	4.818%	7/25/33	288		281
4,7	MMAF Equipment Finance LLC 2015-AA	2.490%	2/19/36	27,086		27,264
4,7	MMAF Equipment Finance LLC 2018-A	3.390%	1/10/25	6,680		6,883
4,7	MMAF Equipment Finance LLC 2018-A	3.610%	3/10/42	3,580		3,754
4,7	MMAF Equipment Finance LLC 2019-A	3.080%	11/12/41	6,400		6,673
4,7	Morgan Stanley Bank of America Merrill Lynch Trust - 2012-CKSV	3.277%	10/15/30	37,985		38,554
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45	21,548		22,152
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.792%	8/15/45	2,000		2,081
4	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45	4,827		4,933
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.217%	7/15/46	28,493		30,523
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.217%	7/15/46	3,372		3,467

11 

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	3.960%	8/15/46	8,093		8,550
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.298%	8/15/46	24,216		25,896
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	3.824%	10/15/46	5,621		5,810
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46	3,830		4,134
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46	8,300		8,938
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46	6,400		6,578
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46	2,940		3,014
4	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	27,425		28,446
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47	16,600		17,923
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.384%	2/15/47	17,500		18,901
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	3.773%	4/15/47	37,219		39,815
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	4.051%	4/15/47	22,710		24,554
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	5.073%	4/15/47	1,895		2,058
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47	39,977		43,046
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.094%	6/15/47	9,540		10,190
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.496%	6/15/47	22,920		24,552
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.929%	6/15/47	12,300		13,083
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	3.741%	8/15/47	32,178		34,518
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	4.011%	8/15/47	7,460		7,964
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47	13,400		14,521
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47	17,079		17,633
4	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47	23,220		24,817
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48	21,798		22,418
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48	37,941		40,131
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.451%	7/15/50	9,540		10,143
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50	18,458		20,039
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.479%	5/15/48	20,280		21,609
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.732%	5/15/48	28,104		30,573
4	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	8,498		9,218
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.058%	5/15/49	5,560		5,867
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.325%	5/15/49	28,089		30,069
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	4.907%	5/15/49	2,210		2,382

12

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49	62,449		68,753
4	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	19,660		21,539
4	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45	16,052		16,380
4	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45	2,500		2,576
4,7	Morgan Stanley Capital I Trust 2012-STAR	3.201%	8/5/34	17,287		17,748
4,7	Morgan Stanley Capital I Trust 2014-150E	3.912%	9/9/32	27,955		30,040
4,7	Morgan Stanley Capital I Trust 2014-CPT	3.350%	7/13/29	24,440		24,888
4,7	Morgan Stanley Capital I Trust 2015-420	3.727%	10/12/50	28,674		30,432
4	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48	41,942		45,870
4	Morgan Stanley Capital I Trust 2015-UBS8	4.738%	12/15/48	11,440		12,222
4	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	11,960		12,710
4	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	34,680		36,119
4	Morgan Stanley Capital I Trust 2016-UBS9	3.594%	3/15/49	20,170		21,821
4	Morgan Stanley Capital I Trust 2017-HR2	3.509%	12/15/50	5,420		5,839
4	Morgan Stanley Capital I Trust 2017-HR2	3.587%	12/15/50	6,765		7,426
4	Morgan Stanley Capital I Trust 2018-H4	4.247%	12/15/51	4,440		4,967
4	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/52	14,740		15,849
4	Morgan Stanley Mortgage Loan Trust 2006-8AR	3.949%	6/25/36	3,260		3,239
4,6,7	Motor plc 2017-1A, 1M USD LIBOR + 0.530%	2.191%	9/25/24	10,811		10,808
4,6,7	Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850%	2.511%	6/25/65	2,295		2,300
4,6,7	Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750%	2.411%	3/25/66	21,937		22,035
4,7	Navient Student Loan Trust 2017-A	2.880%	12/16/58	17,257		17,491
4,7	Navient Student Loan Trust 2018-BA	3.430%	12/15/59	32,725		32,844
4,7	Navient Student Loan Trust 2018-BA	3.610%	12/15/59	13,300		13,748
4,7	Navient Student Loan Trust 2018-BA	4.000%	12/15/59	63,650		66,312
4,7	Navient Student Loan Trust 2018-CA	3.520%	6/16/42	54,450		56,110
4,7	Navient Student Loan Trust 2018-DA	4.000%	12/15/59	38,720		40,619
4,7	Navient Student Loan Trust 2019-B	3.390%	12/15/59	17,930		18,798
6	New Mexico Educational Assistance Foundation 2013-1, 1M USD LIBOR + 0.700%	2.481%	1/2/25	8,833		8,821
4	Nissan Auto Lease Trust 2018-B	3.350%	9/15/23	11,020		11,170
4	Nissan Auto Lease Trust 2019-A	2.760%	3/15/22	21,790		22,040
4	Nissan Auto Lease Trust 2019-A	2.780%	7/15/24	10,700		10,843
4	Nissan Auto Lease Trust 2020-A	1.840%	1/17/23	45,910		46,080
4	Nissan Auto Receivables 2017-C Owner Trust	2.280%	2/15/24	22,040		22,170
4	Nissan Auto Receivables 2019-A Owner Trust	3.160%	12/16/24	10,430		10,753
4	Nissan Auto Receivables 2019-A Owner Trust	3.000%	9/15/25	7,290		7,579
4	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23	103,450		105,010
4	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25	20,100		20,572
4,7	One Bryant Park 2019 - OBP A	2.516%	9/15/54	17,640		18,033
4,7	Palisades Center Trust 2016-PLSD	2.713%	4/13/33	8,360		8,408
4,6,7	Pepper Residential Securities Trust 2018-A, 1M USD LIBOR + 0.950%	2.634%	3/12/47	324		324
4,6,7	Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880%	2.550%	1/16/60	19,278		19,265
4,6,7	Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000%	2.654%	6/20/60	10,975		10,971
4,6,7	Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950%	2.604%	8/18/60	7,988		7,970
4,6,7	Permanent Master Issuer plc 2018-1A, 3M USD LIBOR + 0.380%	2.211%	7/15/58	9,150		9,149
4,7	PFS Financing Corp 2017-B	2.220%	7/15/22	20,500		20,531
4,7	PFS Financing Corp. 2017-D	2.400%	10/17/22	34,130		34,261
4,7	PFS Financing Corp. 2018-D	3.190%	4/17/23	12,740		12,937
4,6,7	PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950%	2.611%	11/25/65	22,525		22,432
4,7	Progress Residential 2015-SFR3 Trust	3.067%	11/12/32	24,930		24,924
4,7	Progress Residential 2015-SFR3 Trust	3.733%	11/12/32	9,310		9,315
4,7	Progress Residential 2017-SFR2 Trust	2.897%	12/17/34	15,511		15,537
4,7	Progress Residential 2017-SFR2 Trust	3.196%	12/17/34	4,030		4,047

13

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4,7	Progress Residential 2018-SFR1 Trust	3.255%	3/17/35	17,796		18,070
4,7	Progress Residential 2018-SFR1 Trust	3.484%	3/17/35	2,220		2,240
4,7	Progress Residential 2018-SFR3 Trust	3.880%	10/17/35	23,335		24,067
4	Public Service New Hampshire Funding LLC 2018-1	3.094%	2/1/26	6,218		6,389
4,6,7	Resimac Premier Series 2018-1A, 1M USD LIBOR + 0.800%	2.477%	11/10/49	18,227		18,216
4,6,7	Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850%	2.584%	12/5/59	20,435		20,449
4,6,7	Resimac Premier Series 2018-2, 1M USD LIBOR + 0.850%	2.527%	4/10/50	3,573		3,569
4	RFMSI Series 2006-SA2 Trust	5.106%	8/25/36	9,477		7,875
4	RFMSI Series 2006-SA3 Trust	5.227%	9/25/36	3,642		3,192
4	Santander Drive Auto Receivables Trust 2016-2	3.390%	4/15/22	4,120		4,148
4	Santander Drive Auto Receivables Trust 2017-3	2.760%	12/15/22	5,460		5,477
4	Santander Drive Auto Receivables Trust 2018-1	2.960%	3/15/24	35,160		35,358
4	Santander Drive Auto Receivables Trust 2018-1	3.320%	3/15/24	15,340		15,531
4	Santander Drive Auto Receivables Trust 2018-3	4.070%	8/15/24	40,900		42,006
4	Santander Drive Auto Receivables Trust 2018-4	3.980%	12/15/25	21,750		22,445
4	Santander Drive Auto Receivables Trust 2018-5	4.190%	12/16/24	35,530		36,642
4,7	Santander Retail Auto Lease Trust 2017-A	2.680%	1/20/22	5,760		5,765
4,7	Santander Retail Auto Lease Trust 2018-A	3.200%	4/20/22	9,390		9,453
4,7	Santander Retail Auto Lease Trust 2018-A	3.490%	5/20/22	21,865		22,151
4,7	Santander Retail Auto Lease Trust 2019-A	2.770%	6/20/22	63,500		64,540
7	SBA Tower Trust	3.156%	10/8/20	10,760		10,769
4,7	Securitized Term Auto Receivables Trust 2018-1A	3.298%	11/25/22	5,360		5,473
4,7	Securitized Term Auto Receivables Trust 2018-2A	3.544%	6/26/23	6,450		6,657
4,7	SLM Private Education Loan Trust 2011-C	4.540%	10/17/44	540		540
4,7	SLM Private Education Loan Trust 2013-B	3.000%	5/16/44	9,656		9,665
4,7	SLM Private Education Loan Trust 2014-A	3.500%	11/15/44	4,100		4,164
4	SMART ABS Series 2016-2US Trust	2.050%	12/14/22	4,780		4,775
4,7	SMB Private Education Loan Trust 2016-A	2.700%	5/15/31	8,272		8,388
4,6,7	SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.450%	3.126%	2/17/32	7,690		7,803
4,6,7	SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100%	2.776%	9/15/34	8,861		8,920
4,6,7	SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900%	2.576%	9/15/34	12,060		12,099
4,7	SMB Private Education Loan Trust 2017-B	2.820%	10/15/35	16,978		17,330
4,7	SMB Private Education Loan Trust 2018-A	3.500%	2/15/36	51,170		53,444
4,7	SMB Private Education Loan Trust 2018-B	3.600%	1/15/37	21,900		22,820
4,7	SMB Private Education Loan Trust 2018-C	3.630%	11/15/35	24,940		26,053
4,7	SoFi Professional Loan Program 2016-B LLC	2.740%	10/25/32	4,856		4,911
4,7	SoFi Professional Loan Program 2016-C LLC	2.360%	12/27/32	4,772		4,807
4,7	SoFi Professional Loan Program 2016-D LLC	2.340%	4/25/33	4,112		4,129
4,6,7	SoFi Professional Loan Program 2016-D LLC, 1M USD LIBOR + 0.950%	2.611%	1/25/39	1,549		1,557
4,7	SoFi Professional Loan Program 2017-A LLC	2.400%	3/26/40	1,701		1,712
4,7	SoFi Professional Loan Program 2017-B LLC	2.740%	5/25/40	11,622		11,817
4,6,7	SoFi Professional Loan Program 2017-C LLC, 1M USD LIBOR + 0.600%	2.261%	7/25/40	906		909
4,7	SoFi Professional Loan Program 2017-D LLC	2.650%	9/25/40	6,663		6,755
4,7	SoFi Professional Loan Program 2017-E LLC	2.720%	11/26/40	9,940		10,085
4,7	SoFi Professional Loan Program 2017-F LLC	2.840%	1/25/41	12,320		12,548
4,7	SoFi Professional Loan Program 2018-A LLC	2.390%	2/25/42	10,567		10,584
4,7	SoFi Professional Loan Program 2018-A LLC	2.950%	2/25/42	15,490		15,784
4,7	SoFi Professional Loan Program 2018-B LLC	3.340%	8/25/47	27,178		28,145
4,7	SoFi Professional Loan Program 2018-C LLC	3.590%	1/25/48	34,620		36,209
4,7	SoFi Professional Loan Program 2018-D LLC	3.600%	2/25/48	41,350		42,939
4,7	SoFi Professional Loan Program 2019-B LLC	3.090%	8/17/48	16,050		16,649
4,7	SoFi Professional Loan Program 2020-A	2.060%	5/15/46	57,300		57,429
4,7	Stack Infrastructure Issuer LLC 2019-1A	4.540%	2/25/44	12,696		13,526
4	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24	34,590		35,551
4	Synchrony Card Issuance Trust 2019-2A	2.340%	6/15/25	45,993		46,738
4	Synchrony Credit Card Master Note Trust 2016-2	2.950%	5/15/24	10,715		10,779

14

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25	66,395		67,878
4	Synchrony Credit Card Master Note Trust 2017-2	2.820%	10/15/25	9,688		9,863
4	Synchrony Credit Card Master Note Trust 2017-2	3.010%	10/15/25	13,000		13,239
4,7	Taco Bell Funding LLC 2016-1A	4.377%	5/25/46	8,340		8,493
4,7	Taco Bell Funding LLC 2016-1A	4.970%	5/25/46	5,319		5,729
4,7	Taco Bell Funding LLC 2018-1	4.940%	11/25/48	4,227		4,689
4,7	Tesla Auto Lease Trust 2018-A	2.970%	4/20/20	347		348
4,7	Tesla Auto Lease Trust 2018-A	3.300%	5/20/20	1,330		1,331
4,7	Tesla Auto Lease Trust 2018-A	2.160%	10/20/22	45,600		45,968
4,7	Tesla Auto Lease Trust 2018-A	2.200%	11/21/22	11,600		11,660
4,7	Tesla Auto Lease Trust 2018-B	3.710%	8/20/21	63,788		64,788
4,7	Tesla Auto Lease Trust 2018-B	4.120%	10/20/21	10,750		11,048
4,7	Tesla Auto Lease Trust 2018-B	4.360%	10/20/21	6,850		7,039
4,7	Textainer Marine Containers Limited 2019-A	3.960%	4/20/44	10,453		10,701
4,7	Tidewater Auto Receivables Trust 2018-AA	3.120%	7/15/22	3,218		3,223
4,7	Tidewater Auto Receivables Trust 2018-AA	3.450%	11/15/24	4,346		4,372
4,7	Tidewater Auto Receivables Trust 2018-AA	3.840%	11/15/24	4,873		4,950
4,7	Tidewater Auto Receivables Trust 2018-AA	4.300%	11/15/24	1,449		1,491
4,7	TMSQ 2014-1500 Mortgage Trust	3.680%	10/10/36	24,260		25,750
4	Toyota Auto Receivables 2017-D Owner Trust	2.120%	2/15/23	2,790		2,808
4	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23	7,287		7,404
4	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23	13,640		14,053
4	Toyota Auto Receivables 2018-C Owner Trust	3.020%	12/15/22	23,380		23,771
4	Toyota Auto Receivables 2018-C Owner Trust	3.130%	2/15/24	10,160		10,496
4	Toyota Auto Receivables 2019-A Owner Trust	3.000%	5/15/24	4,880		5,070
4	Toyota Auto Receivables 2019-C Owner Trust	1.910%	9/15/23	43,150		43,326
4	Toyota Auto Receivables 2019-D Owner Trust	1.990%	2/18/25	9,410		9,492
4,7	Trafigura Securitisation Finance plc 2017-1A	2.470%	12/15/20	37,520		37,545
4,7	Trafigura Securitisation Finance plc 2018-1A	3.730%	3/15/22	49,490		50,528
4,7	Trinity Rail Leasing LP 2018-1A	4.620%	6/17/48	21,060		22,312
4,7	Trip Rail Master Funding LLC 2017-1A	2.709%	8/15/47	2,187		2,188
4,7	Triton Container Finance LLC 2018-A2	4.190%	6/22/43	27,278		28,035
4	UBS Commercial Mortgage Trust 2012-C1	4.171%	5/10/45	1,250		1,298
4	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50	13,995		15,473
4	UBS Commercial Mortgage Trust 2019-C16	3.460%	4/15/52	5,849		6,289
4,7	UBS-BAMLL Trust 2012-WRM	3.663%	6/10/30	25,038		25,791
4	UBS-Barclays Commercial Mortgage Trust 2012-C4	2.850%	12/10/45	9,054		9,280
4	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46	7,560		7,853
4	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46	2,304		2,397
4	USAA Auto Owner Trust 2019-1	2.160%	7/17/23	12,220		12,293
4,7	Vantage Data Centers LLC 2018-1A	4.072%	2/16/43	15,414		16,039
4,7	Vantage Data Centers LLC 2019-1A	3.188%	7/15/44	5,975		6,118
4,7	Verizon Owner Trust 2017-3	2.380%	4/20/22	17,380		17,453
4,7	Verizon Owner Trust 2017-3	2.530%	4/20/22	18,650		18,729
4,7	Verizon Owner Trust 2018-1	3.050%	9/20/22	23,660		23,889
4	Verizon Owner Trust 2018-A	3.230%	4/20/23	13,320		13,539
4	Verizon Owner Trust 2019-A	2.930%	9/20/23	23,130		23,619
4	Verizon Owner Trust 2019-A	1.940%	4/22/24	45,810		46,118
4	Verizon Owner Trust 2020-A	1.850%	7/22/24	58,500		58,820
4	Verizon Owner Trust 2020-A	1.980%	7/22/24	16,635		16,773
4,7	VNDO 2012-6AVE Mortgage Trust	2.996%	11/15/30	13,561		13,939
4,7	VNDO 2013-PENN Mortgage Trust	3.808%	12/13/29	11,130		11,249
4,7	VNDO 2013-PENN Mortgage Trust	4.079%	12/13/29	3,270		3,306
4,7	VNDO 2013-PENN Mortgage Trust	4.079%	12/13/29	2,450		2,473
4	Volkswagen Auto Loan Enhanced Trust 2018-1	3.020%	11/21/22	15,280		15,489
4	Volkswagen Auto Loan Enhanced Trust 2018-1	3.150%	7/22/24	6,970		7,157
4	Volkswagen Auto Loan Enhanced Trust 2018-2	3.330%	2/20/25	8,910		9,264
4	WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust	4.100%	1/25/33	97		95
4	WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust	4.443%	8/25/33	387		380
4	WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust	4.331%	9/25/33	659		654
4	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45	26,438		27,091

15

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Wells Fargo Commercial Mortgage Trust 2012-LC5	3.539%	10/15/45	1,650		1,712
4	Wells Fargo Commercial Mortgage Trust 2013-LC12	3.928%	7/15/46	6,124		6,351
4	Wells Fargo Commercial Mortgage Trust 2013-LC12	4.218%	7/15/46	35,662		38,265
4	Wells Fargo Commercial Mortgage Trust 2013-LC12	4.420%	7/15/46	4,906		5,229
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50	43,100		46,411
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.020%	8/15/50	7,100		7,551
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.322%	8/15/50	12,250		13,009
4	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.458%	8/15/50	6,830		7,066
4	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	31,300		33,429
4	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	29,810		31,522
4	Wells Fargo Commercial Mortgage Trust 2015-C27	3.190%	2/15/48	32,256		33,823
4	Wells Fargo Commercial Mortgage Trust 2015-C27	3.451%	2/15/48	49,460		52,982
4	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%	6/15/48	55,212		59,832
4	Wells Fargo Commercial Mortgage Trust 2015-C29	4.363%	6/15/48	12,420		13,183
4	Wells Fargo Commercial Mortgage Trust 2015-C30	3.411%	9/15/58	22,002		23,494
4	Wells Fargo Commercial Mortgage Trust 2015-C30	3.664%	9/15/58	20,610		22,406
4	Wells Fargo Commercial Mortgage Trust 2015-C30	4.067%	9/15/58	17,222		18,765
4	Wells Fargo Commercial Mortgage Trust 2015-C30	4.646%	9/15/58	11,490		12,237
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58	23,212		25,449
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58	8,550		9,325
4	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.685%	9/15/58	14,300		15,413
4	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	34,490		37,548
4	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	23,085		23,894
4	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	35,600		38,635
4	Wells Fargo Commercial Mortgage Trust 2016-C37	3.525%	12/15/49	9,590		10,309
4	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49	11,967		13,262
4	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	15,680		17,093
4	Wells Fargo Commercial Mortgage Trust 2017-C39	3.157%	9/15/50	5,750		6,091
4	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50	65,280		70,932
4	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50	45,250		49,708
4	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	39,807		43,418
4	Wells Fargo Commercial Mortgage Trust 2017-C42	3.589%	12/15/50	12,935		14,254
4	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60	7,660		8,417
4	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%	3/15/51	43,290		48,775
4	Wells Fargo Commercial Mortgage Trust 2018-C43	4.514%	3/15/51	5,973		6,366
4	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	14,035		16,027
4	Wells Fargo Commercial Mortgage Trust 2018-C47	4.365%	9/15/61	22,110		25,074
4	Wells Fargo Commercial Mortgage Trust 2018-C47	4.442%	9/15/61	21,240		24,760
4	Wells Fargo Commercial Mortgage Trust 2018-C48	4.245%	1/15/52	6,553		7,379
4	Wells Fargo Commercial Mortgage Trust 2019-C49	3.933%	3/15/52	7,894		8,796
4	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52	6,320		7,199
4	Wells Fargo Commercial Mortgage Trust 2019-C50	3.635%	5/15/52	10,300		11,298
4	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	17,648		18,571
4	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	18,770		20,178
4	Wells Fargo Mortgage Backed Securities 2006-AR14 Trust	4.547%	10/25/36	4,811		4,617
4,7	Wendys Funding LLC 2015-1A	4.497%	6/15/45	6,214		6,449
4,7	Wendys Funding LLC 2018-1	3.573%	3/15/48	6,360		6,476
4,7	WFLD 2014-MONT Mortgage Trust	3.880%	8/10/31	35,485		37,915
4,7	WFRBS Commercial Mortgage Trust 2011-C3	4.375%	3/15/44	11,381		11,615
4	WFRBS Commercial Mortgage Trust 2012-C10	2.875%	12/15/45	10,955		11,239
4	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45	11,800		12,188
4	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45	5,056		5,254
4	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45	4,491		4,604
4	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45	21,367		21,895
4	WFRBS Commercial Mortgage Trust 2012-C9	3.388%	11/15/45	2,860		2,960
4	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45	2,230		2,313
4	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46	17,137		17,626
4	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46	14,980		16,015
4	WFRBS Commercial Mortgage Trust 2013-C16	4.415%	9/15/46	14,650		15,872
4	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46	2,724		2,811
4	WFRBS Commercial Mortgage Trust 2013-C17	4.023%	12/15/46	9,770		10,496
4	WFRBS Commercial Mortgage Trust 2013-C18	3.676%	12/15/46	5,381		5,559
4	WFRBS Commercial Mortgage Trust 2013-C18	4.162%	12/15/46	27,830		30,136

16

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	WFRBS Commercial Mortgage Trust 2013-C18	4.847%	12/15/46	5,775		6,312
4	WFRBS Commercial Mortgage Trust 2014-C19	3.829%	3/15/47	30,300		32,208
4	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47	23,553		25,543
4	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47	40,481		43,829
4	WFRBS Commercial Mortgage Trust 2014-C20	4.378%	5/15/47	11,110		11,761
4	WFRBS Commercial Mortgage Trust 2014-C20	4.513%	5/15/47	4,500		4,627
4	WFRBS Commercial Mortgage Trust 2014-C21	3.410%	8/15/47	1,706		1,798
4	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47	45,404		48,752
4	WFRBS Commercial Mortgage Trust 2014-C21	3.891%	8/15/47	7,130		7,604
4	WFRBS Commercial Mortgage Trust 2014-C21	4.234%	8/15/47	12,290		12,612
4	WFRBS Commercial Mortgage Trust 2014-C23	3.650%	10/15/57	12,516		13,319
4	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57	10,655		11,581
4	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47	25,912		27,828
4	WFRBS Commercial Mortgage Trust 2014-LC14	3.766%	3/15/47	2,690		2,854
4	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47	47,473		51,230
4	World Omni Auto Receivables Trust 2018-A	2.730%	2/15/24	16,040		16,380
4	World Omni Auto Receivables Trust 2018-A	2.890%	4/15/25	8,670		8,820
4	World Omni Auto Receivables Trust 2018-D	3.440%	12/16/24	3,660		3,827
4	World Omni Auto Receivables Trust 2019-A	3.220%	6/16/25	6,060		6,300
4	World Omni Auto Receivables Trust 2019-B	2.860%	6/16/25	5,210		5,355
4	World Omni Automobile Lease Securitization Trust 2018-B	3.190%	12/15/21	9,270		9,396
4	World Omni Automobile Lease Securitization Trust 2019-B	2.030%	11/15/22	33,750		33,886
4	World Omni Automobile Lease Securitization Trust 2019-B	3.240%	7/15/24	5,750		5,866
4,7	World Omni Select Auto Trust A Series 2018-1 A3	3.460%	3/15/23	11,640		11,726
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $14,270,458)						14,728,691
Corporate Bonds (64.3%)
Finance (26.7%)
	Banking (23.3%)
9	ABN AMRO Bank NV	6.375%	4/27/21	14,550		17,376
7	ABN AMRO Bank NV	3.400%	8/27/21	58,200		59,685
	Ally Financial Inc.	4.125%	3/30/20	832		835
	Ally Financial Inc.	4.125%	2/13/22	8,750		9,067
	Ally Financial Inc.	3.875%	5/21/24	4,860		5,133
	Ally Financial Inc.	5.750%	11/20/25	4,850		5,518
	American Express Co.	3.700%	11/5/21	72,400		74,725
	American Express Co.	2.750%	5/20/22	34,000		34,720
	American Express Co.	3.700%	8/3/23	159,598		169,453
	American Express Co.	2.500%	7/30/24	47,390		48,535
	American Express Credit Corp.	2.250%	5/5/21	10,413		10,476
7	ANZ New Zealand International Ltd.	2.200%	7/17/20	29,275		29,324
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22	37,465		38,397
6,10	Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.700%	3.602%	5/17/26	8,750		5,985
7	Banco Santander Chile	2.500%	12/15/20	82,290		82,404
	Banco Santander SA	3.125%	2/23/23	6,400		6,592
	Banco Santander SA	2.706%	6/27/24	48,400		49,721
	Bank of America Corp.	2.625%	4/19/21	12,146		12,304
4	Bank of America Corp.	2.369%	7/21/21	128,776		129,092
4	Bank of America Corp.	2.328%	10/1/21	162,270		162,614
4	Bank of America Corp.	2.738%	1/23/22	34,000		34,294
4,9	Bank of America Corp.	0.736%	2/7/22	14,550		16,268
4	Bank of America Corp.	3.124%	1/20/23	44,075		45,013
4	Bank of America Corp.	2.816%	7/21/23	19,500		19,939
	Bank of America Corp.	3.004%	12/20/23	113,708		117,114
	Bank of America Corp.	4.125%	1/22/24	48,795		52,939
4	Bank of America Corp.	3.550%	3/5/24	126,756		132,463
4	Bank of America Corp.	3.864%	7/23/24	23,000		24,380
4	Bank of America Corp.	2.456%	10/22/25	19,250		19,607
	Bank of Montreal	2.900%	3/26/22	63,060		64,573

17

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Bank of Montreal	3.300%	2/5/24	89,350		94,194
4	Bank of Montreal	4.338%	10/5/28	12,230		12,964
	Bank of New York Mellon Corp.	2.050%	5/3/21	11,000		11,054
	Bank of New York Mellon Corp.	1.850%	1/27/23	31,320		31,515
	Bank of New York Mellon Corp.	2.950%	1/29/23	6,700		6,942
4	Bank of New York Mellon Corp.	2.661%	5/16/23	4,850		4,956
	Bank of New York Mellon Corp.	3.450%	8/11/23	79,890		84,537
	Bank of Nova Scotia	2.500%	1/8/21	36,955		37,251
	Bank of Nova Scotia	4.375%	1/13/21	7,700		7,896
	Bank of Nova Scotia	1.950%	2/1/23	103,170		103,784
	Bank of Nova Scotia	2.200%	2/3/25	43,440		44,079
9	Banque Federative du Credit Mutuel SA	0.125%	8/30/21	14,500		16,158
11	Banque Federative du Credit Mutuel SA	1.375%	12/20/21	17,600		23,381
7	Banque Federative du Credit Mutuel SA	2.700%	7/20/22	27,015		27,580
7	Banque Federative du Credit Mutuel SA	2.125%	11/21/22	44,250		44,581
7	Banque Federative du Credit Mutuel SA	3.750%	7/20/23	69,105		73,383
11	Barclays Bank plc	10.000%	5/21/21	47,365		69,245
4	Barclays plc	4.610%	2/15/23	11,150		11,674
4	Barclays plc	3.932%	5/7/25	31,400		33,409
4,7	BNP Paribas SA	2.819%	11/19/25	56,000		57,434
10	BPCE SA	3.500%	4/24/20	7,950		5,346
	BPCE SA	2.750%	12/2/21	18,772		19,116
7	BPCE SA	2.375%	1/14/25	25,750		26,008
6,10	BPCE SA, 3M Australian Bank Bill Rate + 1.100%	1.984%	4/26/23	21,540		14,488
6,10	BPCE SA, 3M Australian Bank Bill Rate + 1.300%	2.190%	4/24/20	21,310		14,290
	Canadian Imperial Bank of Commerce	2.550%	6/16/22	29,145		29,806
4	Canadian Imperial Bank of Commerce	2.606%	7/22/23	153,868		156,415
	Canadian Imperial Bank of Commerce	3.500%	9/13/23	141,180		149,784
	Canadian Imperial Bank of Commerce	3.100%	4/2/24	14,280		14,965
4	Capital One Bank USA NA	2.014%	1/27/23	67,900		68,140
	Capital One Financial Corp.	3.050%	3/9/22	38,860		39,803
	Capital One NA	2.250%	9/13/21	15,602		15,717
	Citibank NA	2.850%	2/12/21	262,150		264,779
4	Citibank NA	2.844%	5/20/22	14,500		14,698
6,10	Citibank NA, 3M Australian Bank Bill Rate + 0.750%	1.634%	5/20/22	13,800		9,249
9	Citigroup Inc.	0.500%	1/29/22	9,705		10,891
	Citigroup Inc.	2.750%	4/25/22	63,390		64,499
4	Citigroup Inc.	2.312%	11/4/22	38,850		39,090
4	Citigroup Inc.	2.876%	7/24/23	47,810		48,764
4	Citigroup Inc.	4.044%	6/1/24	35,955		38,420
6,10	Citigroup Inc., 3M Australian Bank Bill Rate + 1.550%	2.477%	5/4/21	37,163		25,144
	Citizens Bank NA	3.250%	2/14/22	38,875		39,940
	Comerica Inc.	3.700%	7/31/23	67,070		71,173
7	Commonwealth Bank of Australia	2.750%	3/10/22	36,895		37,664
7	Commonwealth Bank of Australia	2.500%	9/18/22	74,768		76,155
7	Commonwealth Bank of Australia	3.450%	3/16/23	62,409		65,523
7	Commonwealth Bank of Australia	3.350%	6/4/24	34,000		36,136
6,10	Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 2.650%	3.536%	6/3/26	3,200		2,189
	Cooperatieve Rabobank UA	2.750%	1/10/23	61,060		62,830
7	Cooperatieve Rabobank UA	3.875%	9/26/23	76,820		82,109
	Cooperatieve Rabobank UA	4.625%	12/1/23	76,000		82,569
10	Cooperatieve Rabobank UA	5.000%	7/2/25	10,800		7,326
6,10	Cooperatieve Rabobank UA, 3M Australian Bank Bill Rate + 2.500%	3.427%	7/2/25	39,608		26,703
	Credit Suisse AG	2.100%	11/12/21	90,000		90,666
4,7	Credit Suisse Group AG	4.207%	6/12/24	63,000		67,191
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20	81,590		82,528
9	Credit Suisse Group Funding Guernsey Ltd.	1.250%	4/14/22	9,705		11,067
7	Danske Bank A/S	2.750%	9/17/20	23,273		23,370
9	Danske Bank A/S	0.500%	5/6/21	32,908		36,802
7	Danske Bank A/S	2.000%	9/8/21	25,872		25,853
9	Danske Bank A/S	1.375%	5/24/22	9,705		11,050
4,7	Danske Bank A/S	3.001%	9/20/22	39,000		39,484

18

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
7	Danske Bank A/S	3.875%	9/12/23	34,000		35,746
7	DNB Bank ASA	2.150%	12/2/22	48,500		48,861
	Fifth Third Bancorp	3.650%	1/25/24	29,100		30,877
	Fifth Third Bank	2.250%	6/14/21	28,181		28,345
	Fifth Third Bank	2.875%	10/1/21	17,095		17,414
	Fifth Third Bank	1.800%	1/30/23	27,200		27,267
	First Republic Bank	2.500%	6/6/22	94,470		95,957
	Goldman Sachs Group Inc.	2.750%	9/15/20	26,455		26,560
	Goldman Sachs Group Inc.	2.600%	12/27/20	210,375		210,903
	Goldman Sachs Group Inc.	2.875%	2/25/21	158,874		160,455
	Goldman Sachs Group Inc.	2.625%	4/25/21	98,334		99,192
	Goldman Sachs Group Inc.	2.350%	11/15/21	9,625		9,661
	Goldman Sachs Group Inc.	5.750%	1/24/22	89,948		96,623
	Goldman Sachs Group Inc.	3.000%	4/26/22	60,810		61,646
9	Goldman Sachs Group Inc.	1.375%	7/26/22	9,705		11,159
4	Goldman Sachs Group Inc.	2.876%	10/31/22	34,318		34,917
4	Goldman Sachs Group Inc.	2.908%	6/5/23	48,238		49,259
4	Goldman Sachs Group Inc.	2.905%	7/24/23	5,100		5,208
	Goldman Sachs Group Inc.	3.625%	2/20/24	62,105		65,975
	Goldman Sachs Group Inc.	4.000%	3/3/24	14,800		15,928
	Goldman Sachs Group Inc.	3.850%	7/8/24	19,400		20,730
	Goldman Sachs Group Inc.	3.500%	1/23/25	9,705		10,310
6,10	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%	2.080%	8/26/20	14,870		9,987
6,10	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%	2.102%	5/16/23	9,700		6,481
6,10	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370%	2.261%	9/8/21	19,280		13,025
	HSBC Holdings plc	2.950%	5/25/21	109,905		111,495
	HSBC Holdings plc	2.650%	1/5/22	75,105		76,202
	HSBC Holdings plc	4.000%	3/30/22	9,700		10,151
4	HSBC Holdings plc	3.262%	3/13/23	53,320		54,713
	HSBC Holdings plc	3.600%	5/25/23	13,595		14,275
4	HSBC Holdings plc	3.033%	11/22/23	96,585		99,207
4	HSBC Holdings plc	3.950%	5/18/24	56,352		59,604
4	HSBC Holdings plc	3.803%	3/11/25	101,380		107,242
4	HSBC Holdings plc	2.633%	11/7/25	18,550		18,878
	Huntington Bancshares Inc.	4.350%	2/4/23	8,800		9,300
	Huntington National Bank	2.375%	3/10/20	30,720		30,720
	Huntington National Bank	2.500%	8/7/22	78,115		79,491
	Huntington National Bank	3.550%	10/6/23	61,785		65,496
7	ING Bank NV	2.050%	8/15/21	10,000		10,043
7	Intesa Sanpaolo SPA	3.250%	9/23/24	48,310		49,402
	JPMorgan Chase & Co.	2.550%	3/1/21	6,295		6,350
9	JPMorgan Chase & Co.	2.625%	4/23/21	14,555		16,696
	JPMorgan Chase & Co.	2.295%	8/15/21	5,427		5,440
	JPMorgan Chase & Co.	4.500%	1/24/22	12,102		12,752
4	JPMorgan Chase & Co.	3.514%	6/18/22	130,215		133,150
9	JPMorgan Chase & Co.	2.750%	8/24/22	33,980		40,443
	JPMorgan Chase & Co.	3.250%	9/23/22	8,200		8,517
	JPMorgan Chase & Co.	2.972%	1/15/23	106,262		108,789
4	JPMorgan Chase & Co.	3.207%	4/1/23	44,340		45,511
4	JPMorgan Chase & Co.	2.776%	4/25/23	96,455		98,380
	JPMorgan Chase & Co.	2.700%	5/18/23	42,765		43,937
4	JPMorgan Chase & Co.	3.559%	4/23/24	58,165		60,918
4	JPMorgan Chase & Co.	4.023%	12/5/24	52,785		56,725
4	JPMorgan Chase & Co.	2.301%	10/15/25	120,500		122,006
4	JPMorgan Chase Bank NA	3.086%	4/26/21	34,025		34,131
	KeyBank NA	2.500%	11/22/21	5,765		5,849
	KeyBank NA	2.300%	9/14/22	14,580		14,794
9	Leeds Building Society	2.625%	4/1/21	14,600		16,686
9	Lloyds Banking Group plc	0.750%	11/9/21	14,550		16,382
4	Lloyds Banking Group plc	2.858%	3/17/23	19,250		19,560
	Lloyds Banking Group plc	4.050%	8/16/23	53,550		57,033

19

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Lloyds Banking Group plc	2.907%	11/7/23	112,735		115,008
	Macquarie Bank Ltd.	6.625%	4/7/21	6,530		6,886
10	Macquarie Bank Ltd.	1.750%	6/21/22	2,910		1,969
6,10	Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.750%	1.672%	6/21/22	52,780		35,409
10	Macquarie Group Ltd.	3.250%	12/15/22	6,400		4,409
4,7	Macquarie Group Ltd.	3.189%	11/28/23	8,330		8,578
4	Macquarie Group Ltd.	3.189%	11/28/23	29,040		29,910
6,10	Macquarie Group Ltd., 3M Australian Bank Bill Rate + 1.150%	2.045%	12/15/22	33,920		22,779
	Manufacturers & Traders Trust Co.	2.500%	5/18/22	21,660		22,057
6	Manufacturers & Traders Trust Co., 3M USD LIBOR + 0.640%	2.547%	12/1/21	9,755		9,756
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21	38,663		39,156
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21	19,965		20,488
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21	10,400		10,458
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22	114,195		117,459
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22	63,990		65,178
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22	152,118		155,189
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23	120,355		127,739
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23	8,775		8,892
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24	92,535		97,650
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24	63,280		65,428
7	Mitsubishi UFJ Trust & Banking Corp.	2.650%	10/19/20	18,345		18,471
7	Mizuho Bank Ltd.	2.950%	10/17/22	11,772		12,064
	Mizuho Financial Group Inc.	2.273%	9/13/21	15,995		16,103
	Mizuho Financial Group Inc.	2.953%	2/28/22	20,633		21,065
4	Mizuho Financial Group Inc.	2.721%	7/16/23	63,000		63,897
	Morgan Stanley	2.500%	4/21/21	14,000		14,140
	Morgan Stanley	5.500%	7/28/21	26,000		27,422
	Morgan Stanley	2.625%	11/17/21	242,879		246,503
	Morgan Stanley	2.750%	5/19/22	87,610		89,469
	Morgan Stanley	3.125%	1/23/23	155,676		161,500
	Morgan Stanley	3.750%	2/25/23	19,425		20,514
4	Morgan Stanley	2.720%	7/22/25	32,070		32,905
	MUFG Americas Holdings Corp.	3.500%	6/18/22	21,000		21,806
7	MUFG Bank Ltd.	2.750%	9/14/20	88,651		89,200
7	MUFG Bank Ltd.	2.850%	9/8/21	21,300		21,631
	MUFG Union Bank NA	3.150%	4/1/22	115,775		119,034
	MUFG Union Bank NA	2.100%	12/9/22	37,000		37,268
7	National Bank of Canada	2.150%	10/7/22	45,250		45,668
	National Bank of Canada	2.100%	2/1/23	42,000		42,286
7	Nationwide Building Society	2.000%	1/27/23	44,000		44,235
4,7	Nationwide Building Society	3.766%	3/8/24	6,900		7,219
9	Nykredit Realkredit A/S	0.250%	1/20/23	32,000		35,635
	PNC Bank NA	2.450%	11/5/20	15,636		15,701
	PNC Bank NA	2.550%	12/9/21	37,330		37,778
	PNC Bank NA	2.625%	2/17/22	91,150		92,509
	PNC Bank NA	2.700%	11/1/22	36,000		36,617
4	PNC Bank NA	2.028%	12/9/22	25,610		25,767
	PNC Bank NA	3.800%	7/25/23	15,250		16,121
	PNC Bank NA	3.300%	10/30/24	19,200		20,279
	PNC Financial Services Group Inc.	2.854%	11/9/22	12,000		12,350
	Regions Financial Corp.	2.750%	8/14/22	14,605		14,934
	Royal Bank of Canada	3.700%	10/5/23	58,205		62,107
	Royal Bank of Canada	2.550%	7/16/24	83,367		85,936
	Royal Bank of Canada	2.250%	11/1/24	80,070		81,469
	Royal Bank of Scotland Group plc	3.875%	9/12/23	6,170		6,518
4	Royal Bank of Scotland Group plc	4.519%	6/25/24	9,700		10,406
4	Royal Bank of Scotland Group plc	4.269%	3/22/25	44,720		48,151
	Santander Holdings USA Inc.	3.700%	3/28/22	78,880		81,411
	Santander Holdings USA Inc.	3.400%	1/18/23	58,410		60,349
	Santander Holdings USA Inc.	3.500%	6/7/24	12,000		12,513
4	Santander UK Group Holdings plc	3.373%	1/5/24	68,117		70,346

20

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
4	Santander UK Group Holdings plc	4.796%	11/15/24	25,877		28,202
	Santander UK plc	3.750%	11/15/21	43,750		45,244
	Santander UK plc	2.100%	1/13/23	45,500		45,805
7	Santander UK plc	5.000%	11/7/23	12,306		13,402
	Santander UK plc	4.000%	3/13/24	31,300		33,740
4,9	Skandinaviska Enskilda Banken AB	2.500%	5/28/26	18,660		21,258
	State Street Corp.	3.700%	11/20/23	31,620		33,945
4	State Street Corp.	3.776%	12/3/24	24,700		26,442
4	State Street Corp.	2.354%	11/1/25	42,084		42,771
	Sumitomo Mitsui Banking Corp.	2.450%	10/20/20	6,400		6,422
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21	114,717		116,090
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22	99,325		101,534
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22	46,780		47,877
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23	72,358		74,987
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23	67,572		71,616
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23	5,370		5,733
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24	125,880		129,289
	Sumitomo Mitsui Financial Group Inc.	2.348%	1/15/25	39,000		39,424
6,10	Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270%	2.190%	3/29/22	41,051		27,699
	Svenska Handelsbanken AB	2.450%	3/30/21	52,150		52,620
9	Svenska Handelsbanken AB	4.375%	10/20/21	14,550		17,413
10	Svenska Handelsbanken AB	3.250%	9/27/23	12,610		8,957
	Svenska Handelsbanken AB	3.900%	11/20/23	63,975		68,951
11	Swedbank AB	1.250%	12/29/21	19,410		25,690
11	Swedbank AB	1.625%	12/28/22	38,080		50,929
	Synchrony Financial	2.850%	7/25/22	27,500		28,038
	Toronto-Dominion Bank	3.250%	6/11/21	175,910		179,741
	Toronto-Dominion Bank	3.500%	7/19/23	164,890		174,808
4	Truist Bank	3.525%	10/26/21	48,600		49,153
	Truist Bank	2.625%	1/15/22	124,364		126,530
	Truist Bank	2.800%	5/17/22	155,900		159,585
	Truist Bank	2.450%	8/1/22	103,475		105,143
	Truist Bank	3.200%	4/1/24	89,825		94,421
4	Truist Bank	3.689%	8/2/24	37,570		39,518
	Truist Bank	2.150%	12/6/24	46,300		46,707
	Truist Financial Corp.	2.050%	5/10/21	14,000		14,053
	Truist Financial Corp.	2.700%	1/27/22	46,750		47,576
	Truist Financial Corp.	3.950%	3/22/22	4,300		4,490
	Truist Financial Corp.	3.050%	6/20/22	48,580		49,867
	Truist Financial Corp.	3.750%	12/6/23	41,980		44,711
	Truist Financial Corp.	2.500%	8/1/24	16,125		16,549
7	UBS AG	2.450%	12/1/20	33,220		33,385
7	UBS Group Funding Jersey Ltd.	3.000%	4/15/21	35,067		35,587
7	UBS Group Funding Jersey Ltd.	2.650%	2/1/22	43,320		44,030
7	UBS Group Funding Switzerland AG	3.491%	5/23/23	20,975		21,693
4,7	UBS Group Funding Switzerland AG	2.859%	8/15/23	58,400		59,626
9	Unione di Banche Italiane SPA	1.000%	7/22/22	9,705		10,918
	US Bancorp	2.950%	7/15/22	29,300		30,141
	US Bancorp	3.375%	2/5/24	39,325		41,687
	US Bancorp	2.400%	7/30/24	42,000		42,998
	US Bank NA	3.450%	11/16/21	43,025		44,378
	US Bank NA	2.650%	5/23/22	70,615		72,252
	US Bank NA	1.950%	1/9/23	47,200		47,663
§,12	Washington Mutual Bank / Debt not acquired by JPMorgan	6.875%	6/15/11	21,983		2
	Wells Fargo & Co.	4.600%	4/1/21	7,000		7,222
	Wells Fargo & Co.	2.100%	7/26/21	41,205		41,409
	Wells Fargo & Co.	2.625%	7/22/22	119,600		121,981
	Wells Fargo & Co.	3.069%	1/24/23	36,522		37,382
	Wells Fargo & Co.	3.450%	2/13/23	44,500		46,391
	Wells Fargo & Co.	3.750%	1/24/24	85,675		91,128
4	Wells Fargo & Co.	2.406%	10/30/25	71,575		72,559

21

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
6,10	Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100%	1.984%	4/27/22	21,453		14,463
6,10	Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.320%	2.204%	7/27/21	66,905		45,203
4	Wells Fargo Bank NA	3.325%	7/23/21	341,595		344,420
	Wells Fargo Bank NA	3.625%	10/22/21	138,400		142,718
4	Wells Fargo Bank NA	2.082%	9/9/22	102,595		103,108
11	Wells Fargo Bank NA	5.250%	8/1/23	13,100		19,568
	Wells Fargo Bank NA	3.550%	8/14/23	137,290		145,181
	Westpac Banking Corp.	2.100%	5/13/21	13,549		13,607
	Westpac Banking Corp.	2.000%	8/19/21	104,845		105,412
	Westpac Banking Corp.	2.750%	1/11/23	157,175		161,963
	Westpac Banking Corp.	2.000%	1/13/23	38,220		38,509
	Westpac Banking Corp.	3.300%	2/26/24	80,615		85,116
6,10	Westpac Banking Corp., 3M Australian Bank Bill Rate + 0.830%	1.722%	3/6/23	87,300		58,841
6,10	Westpac Banking Corp., 3M Australian Bank Bill Rate + 0.950%	1.852%	11/16/23	39,700		26,854
6,10	Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800%	2.722%	6/22/28	35,900		24,255
6,10	Westpac Banking Corp., 3M Australian Bank Bill Rate + 3.100%	3.989%	3/10/26	36,000		24,650
	Brokerage (0.4%)
7,8	AG Issuer LLC	6.250%	3/1/28	221		221
	Ameriprise Financial Inc.	3.000%	3/22/22	37,000		37,946
9	Blackstone Property Partners Europe Holdings Sarl	1.400%	7/6/22	26,785		30,502
	Charles Schwab Corp.	3.550%	2/1/24	4,800		5,106
	Franklin Resources Inc.	2.800%	9/15/22	28,672		29,481
	Intercontinental Exchange Inc.	4.000%	10/15/23	28,500		30,764
	Invesco Finance plc	3.125%	11/30/22	29,485		30,469
§,12	Lehman Brothers Holdings E-Capital Trust I	3.589%	8/19/65	9,410		1
	Nomura Holdings Inc.	2.648%	1/16/25	38,800		39,410
	Stifel Financial Corp.	3.500%	12/1/20	14,595		14,747
	TD Ameritrade Holding Corp.	2.950%	4/1/22	8,809		9,011
	TD Ameritrade Holding Corp.	3.625%	4/1/25	2,939		3,174
	Finance Companies (0.2%)
	Air Lease Corp.	2.300%	2/1/25	34,000		34,050
7	Avolon Holdings Funding Ltd.	2.875%	2/15/25	28,000		28,255
10	GE Capital Australia Funding Pty Ltd.	5.250%	9/4/20	65,910		45,025
7	SMBC Aviation Capital Finance DAC	2.650%	7/15/21	14,555		14,670
	Insurance (1.5%)
	Aflac Inc.	3.625%	11/15/24	10,900		11,798
7	AIG Global Funding	2.150%	7/2/20	14,635		14,636
7	AIG Global Funding	2.700%	12/15/21	13,080		13,286
	Assurant Inc.	4.200%	9/27/23	9,700		10,258
	AXIS Specialty Finance LLC	5.875%	6/1/20	1,508		1,527
	Berkshire Hathaway Inc.	2.750%	3/15/23	108,976		112,706
	Centene Corp.	4.750%	5/15/22	8,295		8,471
	Centene Corp.	6.125%	2/15/24	12,088		12,481
7	Centene Corp.	4.750%	1/15/25	3,390		3,517
7	Centene Corp.	5.375%	6/1/26	1,940		2,061
7	Centene Corp.	4.250%	12/15/27	3,870		4,034
	Chubb INA Holdings Inc.	2.875%	11/3/22	12,900		13,306
	Chubb INA Holdings Inc.	2.700%	3/13/23	25,575		26,314
	Chubb INA Holdings Inc.	3.350%	5/15/24	9,800		10,456
	Coventry Health Care Inc.	5.450%	6/15/21	8,200		8,539
7	Five Corners Funding Trust	4.419%	11/15/23	88,012		96,324
	Lincoln National Corp.	4.000%	9/1/23	5,000		5,376
	Loews Corp.	2.625%	5/15/23	7,800		8,018
	Marsh & McLennan Cos. Inc.	2.350%	3/6/20	19,410		19,417
	Marsh & McLennan Cos. Inc.	4.800%	7/15/21	7,925		8,211
	Marsh & McLennan Cos. Inc.	3.300%	3/14/23	12,100		12,620
	Marsh & McLennan Cos. Inc.	4.050%	10/15/23	9,700		10,387

22

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
7	MassMutual Global Funding II	2.750%	6/22/24	54,080		56,365
7	Metropolitan Life Global Funding I	3.600%	1/11/24	12,965		13,875
7	New York Life Global Funding	1.950%	2/11/20	19,470		19,470
7	Principal Life Global Funding II	2.200%	4/8/20	28,665		28,675
	Progressive Corp.	3.750%	8/23/21	19,046		19,670
	Prudential Financial Inc.	4.500%	11/16/21	14,589		15,307
	Reinsurance Group of America Inc.	5.000%	6/1/21	4,750		4,958
7	Reliance Standard Life Global Funding II	2.375%	5/4/20	24,320		24,337
7	Reliance Standard Life Global Funding II	2.150%	1/21/23	14,600		14,686
7	Reliance Standard Life Global Funding II	3.850%	9/19/23	40,630		43,260
7	Swiss Re Treasury US Corp.	2.875%	12/6/22	42,240		43,261
	Travelers Cos. Inc.	3.900%	11/1/20	4,300		4,371
	UnitedHealth Group Inc.	4.700%	2/15/21	12,750		13,045
	UnitedHealth Group Inc.	2.375%	10/15/22	82,000		83,366
	UnitedHealth Group Inc.	2.750%	2/15/23	11,600		11,912
	UnitedHealth Group Inc.	2.875%	3/15/23	33,000		34,168
	UnitedHealth Group Inc.	3.500%	2/15/24	45,680		48,718
	UnitedHealth Group Inc.	2.375%	8/15/24	15,752		16,093
	Real Estate Investment Trusts (1.3%)
	Alexandria Real Estate Equities Inc.	3.900%	6/15/23	21,685		23,015
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24	50,707		54,533
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25	45,115		48,091
	AvalonBay Communities Inc.	2.850%	3/15/23	12,000		12,349
	Brandywine Operating Partnership LP	4.100%	10/1/24	7,205		7,768
	Brixmor Operating Partnership LP	3.875%	8/15/22	10,845		11,337
	Brixmor Operating Partnership LP	3.650%	6/15/24	33,550		35,506
	Camden Property Trust	2.950%	12/15/22	9,760		10,020
	Camden Property Trust	4.875%	6/15/23	3,025		3,295
	Camden Property Trust	4.250%	1/15/24	15,887		17,149
	Camden Property Trust	3.500%	9/15/24	2,785		2,954
	CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24	44,860		45,736
	Digital Realty Trust LP	3.950%	7/1/22	44,160		46,103
	Federal Realty Investment Trust	2.550%	1/15/21	14,551		14,652
	Federal Realty Investment Trust	3.000%	8/1/22	21,448		21,937
	Federal Realty Investment Trust	2.750%	6/1/23	4,740		4,848
	Healthcare Trust of America Holdings LP	3.700%	4/15/23	13,139		13,695
	Healthpeak Properties Inc.	4.250%	11/15/23	27,918		30,041
	Healthpeak Properties Inc.	4.200%	3/1/24	7,815		8,456
	Healthpeak Properties Inc.	3.875%	8/15/24	6,850		7,380
	Healthpeak Properties Inc.	3.400%	2/1/25	11,470		12,112
	Highwoods Realty LP	3.200%	6/15/21	5,750		5,835
	Kimco Realty Corp.	3.400%	11/1/22	6,325		6,555
	Kimco Realty Corp.	3.125%	6/1/23	22,900		23,653
7	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.	4.250%	2/1/27	1,780		1,773
10	Lendlease Finance Ltd.	6.000%	5/13/20	9,710		6,575
	Mid-America Apartments LP	4.300%	10/15/23	2,000		2,151
	Omega Healthcare Investors Inc.	4.950%	4/1/24	6,800		7,484
	Realty Income Corp.	3.250%	10/15/22	92,430		95,676
	Realty Income Corp.	3.875%	4/15/25	19,295		21,112
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24	33,004		35,566
	Simon Property Group LP	2.500%	7/15/21	13,200		13,326
	Simon Property Group LP	2.350%	1/30/22	28,290		28,616
	Simon Property Group LP	2.750%	2/1/23	5,300		5,450
	Simon Property Group LP	2.000%	9/13/24	51,400		51,748
	Ventas Realty LP	3.750%	5/1/24	3,500		3,712
7	VICI Properties LP / VICI Note Co. Inc.	3.500%	2/15/25	1,940		1,974
	Weingarten Realty Investors	3.500%	4/15/23	4,850		5,003
	Welltower Inc.	3.750%	3/15/23	22,347		23,470
	Welltower Inc.	3.950%	9/1/23	36,855		39,218
	Welltower Inc.	3.625%	3/15/24	19,435		20,619
	Welltower Inc.	4.000%	6/1/25	9,258		10,112
						16,854,699

23

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
Industrial (33.3%)
	Basic Industry (0.9%)
7	Air Liquide Finance SA	2.250%	9/27/23	44,520		45,163
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22	6,846		7,009
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23	15,315		16,454
7	Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP	3.300%	5/1/23	60,938		63,445
	DuPont de Nemours Inc.	3.766%	11/15/20	24,437		24,800
	DuPont de Nemours Inc.	4.205%	11/15/23	60,995		65,928
	Eastman Chemical Co.	3.600%	8/15/22	19,770		20,538
	Ecolab Inc.	4.350%	12/8/21	8,134		8,530
	Ecolab Inc.	2.375%	8/10/22	21,648		21,984
	FMC Corp.	3.950%	2/1/22	19,660		20,338
	LYB International Finance BV	4.000%	7/15/23	18,073		19,283
	LyondellBasell Industries NV	6.000%	11/15/21	14,555		15,462
	LyondellBasell Industries NV	5.750%	4/15/24	12,928		14,770
	Newmont Corp.	3.625%	6/9/21	970		990
	Newmont Corp.	3.500%	3/15/22	8,685		8,941
	Newmont Corp.	3.700%	3/15/23	85,844		90,486
7	Novelis Corp.	4.750%	1/30/30	1,849		1,858
	Nutrien Ltd.	3.150%	10/1/22	15,390		15,837
	Nutrien Ltd.	3.500%	6/1/23	1,945		2,033
	Nutrien Ltd.	3.625%	3/15/24	4,860		5,144
7	OCI NV	5.250%	11/1/24	1,100		1,134
	Praxair Inc.	2.200%	8/15/22	2,836		2,876
	Steel Dynamics Inc.	2.800%	12/15/24	14,555		14,846
	Vale Overseas Ltd.	6.250%	8/10/26	4,465		5,280
9	Vale SA	3.750%	1/10/23	15,990		19,278
	WestRock RKT Co.	4.900%	3/1/22	3,960		4,194
	WestRock RKT Co.	4.000%	3/1/23	38,655		40,896
	Capital Goods (2.9%)
9	3M Co.	0.375%	2/15/22	14,555		16,336
	3M Co.	1.750%	2/14/23	33,815		33,971
	3M Co.	2.250%	3/15/23	25,640		26,091
7	Airbus Finance BV	2.700%	4/17/23	5,982		6,153
7	American Builders & Contractors Supply Co. Inc.	4.000%	1/15/28	1,000		1,005
	Ball Corp.	4.000%	11/15/23	7,285		7,677
	Ball Corp.	4.875%	3/15/26	800		876
	Berry Global Inc.	5.500%	5/15/22	2,585		2,601
	Berry Global Inc.	6.000%	10/15/22	262		267
7	Berry Global Inc.	4.875%	7/15/26	5,180		5,429
	Boeing Co.	2.300%	8/1/21	104,380		104,909
	Boeing Co.	2.125%	3/1/22	10,420		10,455
	Boeing Co.	2.700%	5/1/22	38,845		39,531
	Boeing Co.	1.875%	6/15/23	14,281		14,230
	Boeing Co.	2.800%	3/1/24	19,435		19,938
	Boeing Co.	2.850%	10/30/24	7,500		7,737
	Caterpillar Financial Services Corp.	1.850%	9/4/20	9,755		9,762
	Caterpillar Financial Services Corp.	1.931%	10/1/21	8,865		8,908
	Caterpillar Financial Services Corp.	2.400%	6/6/22	67,305		68,406
	Caterpillar Financial Services Corp.	1.900%	9/6/22	107,700		108,280
	Caterpillar Financial Services Corp.	2.550%	11/29/22	19,400		19,885
	Caterpillar Financial Services Corp.	2.625%	3/1/23	13,925		14,301
	Caterpillar Financial Services Corp.	3.750%	11/24/23	24,265		26,051
	Caterpillar Financial Services Corp.	3.300%	6/9/24	21,550		22,896
7	CFX Escrow Corp.	6.000%	2/15/24	5,200		5,473
7	Clean Harbors Inc.	4.875%	7/15/27	1,500		1,577
	CNH Industrial Capital LLC	4.875%	4/1/21	3,830		3,958
	CNH Industrial Capital LLC	3.875%	10/15/21	7,362		7,591
	CNH Industrial Capital LLC	4.375%	4/5/22	22,700		23,803
	CNH Industrial NV	4.500%	8/15/23	33,895		36,622
	Embraer Netherlands Finance BV	5.050%	6/15/25	6,200		6,858
	Embraer Netherlands Finance BV	5.400%	2/1/27	2,365		2,684

24

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Embraer Overseas Ltd.	5.696%	9/16/23	1,281		1,412
	Embraer SA	5.150%	6/15/22	21,700		22,934
	John Deere Capital Corp.	1.950%	6/13/22	21,570		21,776
	Johnson Controls International plc	5.000%	3/30/20	10,700		10,747
	Johnson Controls International plc	3.750%	12/1/21	857		883
	Johnson Controls International plc	3.625%	7/2/24	8,998		9,549
7	L3Harris Technologies Inc.	4.950%	2/15/21	24,327		24,879
7	L3Harris Technologies Inc.	3.850%	6/15/23	119,000		126,505
7	L3Harris Technologies Inc.	3.950%	5/28/24	5,300		5,691
7	Mueller Water Products Inc.	5.500%	6/15/26	1,700		1,779
	Northrop Grumman Corp.	2.550%	10/15/22	82,859		84,616
	Northrop Grumman Corp.	2.930%	1/15/25	39,370		41,223
	Parker-Hannifin Corp.	3.500%	9/15/22	5,800		6,057
	Precision Castparts Corp.	2.500%	1/15/23	81,307		83,231
	Raytheon Co.	4.400%	2/15/20	2,070		2,071
	Raytheon Co.	2.500%	12/15/22	14,600		14,953
	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	5.750%	10/15/20	4,713		4,719
6,7	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 3M USD LIBOR + 3.500%	5.331%	7/15/21	17,330		17,352
	Rockwell Collins Inc.	2.800%	3/15/22	90,686		92,637
	Rockwell Collins Inc.	3.200%	3/15/24	7,000		7,387
7	Sealed Air Corp.	4.000%	12/1/27	700		704
7	Silgan Holdings Inc.	4.125%	2/1/28	3,790		3,771
	Spirit AeroSystems Inc.	4.600%	6/15/28	930		950
	Stanley Black & Decker Inc.	2.900%	11/1/22	40,800		42,065
9	Thales SA	0.000%	5/31/22	20,800		23,100
	TransDigm Inc.	6.500%	5/15/25	1,500		1,560
7	TransDigm Inc.	6.250%	3/15/26	3,400		3,672
7	Trivium Packaging Finance BV	5.500%	8/15/26	400		423
7	Trivium Packaging Finance BV	8.500%	8/15/27	400		440
	United Rentals North America Inc.	4.625%	10/15/25	8,230		8,405
	United Rentals North America Inc.	6.500%	12/15/26	1,800		1,957
	United Rentals North America Inc.	3.875%	11/15/27	3,950		3,989
	United Technologies Corp.	3.350%	8/16/21	8,800		9,022
	United Technologies Corp.	1.950%	11/1/21	19,000		19,103
9	United Technologies Corp.	1.125%	12/15/21	14,550		16,439
	United Technologies Corp.	2.300%	5/4/22	79,695		80,727
	United Technologies Corp.	3.100%	6/1/22	77,650		80,152
	United Technologies Corp.	3.650%	8/16/23	299,495		318,729
	Communication (3.9%)
	America Movil SAB de CV	5.000%	3/30/20	15,470		15,547
	American Tower Corp.	3.450%	9/15/21	2,100		2,154
	American Tower Corp.	3.000%	6/15/23	29,655		30,713
	AT&T Inc.	2.800%	2/17/21	9,800		9,886
	AT&T Inc.	4.450%	5/15/21	17,600		18,202
9	AT&T Inc.	2.650%	12/17/21	14,550		16,862
	AT&T Inc.	4.000%	1/15/22	19,400		20,203
	AT&T Inc.	3.200%	3/1/22	26,700		27,418
	AT&T Inc.	3.800%	3/15/22	52,505		54,646
	AT&T Inc.	3.000%	6/30/22	36,594		37,502
	AT&T Inc.	2.625%	12/1/22	9,800		10,006
	AT&T Inc.	3.600%	2/17/23	97,468		102,129
	CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23	26,748		28,250
7	CCO Holdings LLC / CCO Holdings Capital Corp.	4.750%	3/1/30	1,400		1,439
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22	166,415		175,887
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24	20,419		22,184
	Comcast Cable Communications Holdings Inc.	9.455%	11/15/22	9,191		11,121
	Comcast Corp.	3.450%	10/1/21	21,621		22,265
	Comcast Corp.	3.125%	7/15/22	16,650		17,242

25

Vanguard^® Short-Term Investment-Grade Fund
Schedule of Investments
January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Comcast Corp.	2.850%	1/15/23	7,100		7,347
	Comcast Corp.	2.750%	3/1/23	10,413		10,736
	Comcast Corp.	3.700%	4/15/24	33,228		35,714
7	Connect Finco SARL / Connect US Finco LLC	6.750%	10/1/26	700		741
7	Cox Communications Inc.	3.150%	8/15/24	27,090		28,264
	Crown Castle International Corp.	3.400%	2/15/21	60,091		60,940
	Crown Castle International Corp.	4.875%	4/15/22	18,000		19,108
	Crown Castle International Corp.	5.250%	1/15/23	66,590		72,843
	Crown Castle International Corp.	3.150%	7/15/23	41,835		43,310
	Crown Castle International Corp.	3.200%	9/1/24	58,815		61,570
	CSC Holdings LLC	6.750%	11/15/21	4,888		5,261
7	CSC Holdings LLC	5.375%	2/1/28	2,900		3,074
7	CSC Holdings LLC	7.500%	4/1/28	1,100		1,249
7	Deutsche Telekom International Finance BV	1.950%	9/19/21	19,470		19,520
7	Deutsche Telekom International Finance BV	2.820%	1/19/22	90,520		92,193
7	Diamond Sports Group LLC / Diamond Sports Finance Co.	5.375%	8/15/26	1,238		1,226
	Discovery Communications LLC	4.375%	6/15/21	6,820		7,054
	Discovery Communications LLC	3.300%	5/15/22	14,436		14,885
	Discovery Communications LLC	3.500%	6/15/22	12,900		13,344
	Discovery Communications LLC	2.950%	3/20/23	99,477		102,247
	Discovery Communications LLC	3.250%	4/1/23	9,700		10,074
	Discovery Communications LLC	3.800%	3/13/24	17,074		18,235
	Discovery Communications LLC	3.900%	11/15/24	26,620		28,800
7	Fox Corp.	3.666%	1/25/22	29,892		30,968
	Globo Comunicacao e Participacoes SA	4.843%	6/8/25	1,000		1,040
	Interpublic Group of Cos. Inc.	3.500%	10/1/20	15,560		15,722
	Interpublic Group of Cos. Inc.	3.750%	10/1/21	63,355		65,228
	Interpublic Group of Cos. Inc.	4.200%	4/15/24	9,800		10,652
7	Lamar Media Corp.	3.750%	2/15/28	1,335		1,343
7	Lamar Media Corp.	4.000%	2/15/30	1,335		1,345
7	Level 3 Financing Inc.	3.400%	3/1/27	1,700		1,751
7	Level 3 Financing Inc.	4.625%	9/15/27	2,100		2,155
	NBCUniversal Media LLC	4.375%	4/1/21	24,300		25,060
	NBCUniversal Media LLC	2.875%	1/15/23	94,140		97,466
	Netflix Inc.	4.875%	4/15/28	410		439
7	Netflix Inc.	4.875%	6/15/30	1,885		1,975
7	Nexstar Escrow Inc.	5.625%	7/15/27	2,065		2,168
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22	112,940		117,332
	Qwest Corp.	6.750%	12/1/21	33,857		36,302
7	Sirius XM Radio Inc.	4.625%	7/15/24	7,470		7,750
7	Sirius XM Radio Inc.	5.000%	8/1/27	700		735
9	Sky Ltd.	1.500%	9/15/21	11,105		12,647
7	Sky Ltd.	3.750%	9/16/24	41,200		44,290
7	Sky plc	3.125%	11/26/22	50,680		52,378
	T-Mobile USA Inc.	6.000%	3/1/23	25,187		25,628
	T-Mobile USA Inc.	6.500%	1/15/24	10,710		10,964
	T-Mobile USA Inc.	4.500%	2/1/26	11,365		11,678
	Telefonica Emisiones SAU	5.462%	2/16/21	14,200		14,717
9	Telefonica Emisiones SAU	2.242%	5/27/22	19,400		22,680
10	Telstra Corp. Ltd.	7.750%	7/15/20	14,600		10,047
	Time Warner Entertainment Co. LP	8.375%	3/15/23	8,730		10,363
	Verizon Communications Inc.	2.450%	11/1/22	8,249		8,396
10	Verizon Communications Inc.	3.500%	2/17/23	9,130		6,473
	Verizon Communications Inc.	5.150%	9/15/23	48,250		53,862
	Verizon Communications Inc.	4.150%	3/15/24	10,600		11,496
6,10	Verizon Communications Inc., 3M Australian Bank Bill Rate + 1.220%	2.122%	2/17/23	33,310		22,477
	ViacomCBS Inc.	4.300%	2/15/21	5,100		5,196
	ViacomCBS Inc.	4.500%	3/1/21	14,725		15,154
	ViacomCBS Inc.	3.875%	12/15/21	44,550		46,294
	ViacomCBS Inc.	3.375%	3/1/22	14,170		14,563
	ViacomCBS Inc.	2.500%	2/15/23	11,395		11,610
	ViacomCBS Inc.	2.900%	6/1/23	6,900		7,116

26

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	ViacomCBS Inc.	4.250%	9/1/23	136,705		147,130
9	Vivendi SA	0.000%	6/13/22	14,600		16,221
	Vodafone Group plc	3.750%	1/16/24	113,867		121,402
6,10	Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050%	1.946%	12/13/22	4,360		2,905
	Walt Disney Co.	3.000%	9/15/22	26,690		27,640
	Walt Disney Co.	2.350%	12/1/22	4,800		4,904
	Consumer Cyclical (3.1%)
7	1011778 BC ULC / New Red Finance Inc.	5.000%	10/15/25	6,855		7,061
7	1011778 BC ULC / New Red Finance Inc.	3.875%	1/15/28	545		547
7	1011778 BC ULC / New Red Finance Inc.	4.375%	1/15/28	2,210		2,216
7	Alimentation Couche-Tard Inc.	2.700%	7/26/22	59,525		60,571
7	Allison Transmission Inc.	5.000%	10/1/24	970		991
7	Allison Transmission Inc.	4.750%	10/1/27	1,800		1,872
	American Axle & Manufacturing Inc.	6.625%	10/15/22	3,088		3,126
	American Honda Finance Corp.	1.650%	7/12/21	9,900		9,904
	American Honda Finance Corp.	3.375%	12/10/21	87,100		89,879
9	American Honda Finance Corp.	0.350%	8/26/22	33,040		37,043
	American Honda Finance Corp.	2.050%	1/10/23	9,900		10,011
	American Honda Finance Corp.	1.950%	5/10/23	68,000		68,329
	American Honda Finance Corp.	3.450%	7/14/23	29,280		30,967
	American Honda Finance Corp.	3.625%	10/10/23	112,000		119,581
	AutoZone Inc.	2.875%	1/15/23	4,544		4,670
9	BMW Finance NV	0.125%	1/12/21	14,555		16,198
7	Boyd Gaming Corp.	4.750%	12/1/27	715		726
7	Churchill Downs Inc.	5.500%	4/1/27	4,910		5,162
7	Churchill Downs Inc.	4.750%	1/15/28	1,115		1,150
	Cummins Inc.	3.650%	10/1/23	7,300		7,816
9	FCA Bank SpA	1.250%	6/21/22	21,830		24,851
9	FCA Bank SpA	0.625%	11/24/22	9,700		10,901
10	Ford Motor Credit Co. LLC	3.588%	6/2/20	28,134		18,930
	Ford Motor Credit Co. LLC	2.979%	8/3/22	8,780		8,830
	Ford Motor Credit Co. LLC	3.350%	11/1/22	60,300		61,200
	Ford Motor Credit Co. LLC	3.087%	1/9/23	24,500		24,713
	Ford Motor Credit Co. LLC	3.810%	1/9/24	9,800		10,007
	Ford Motor Credit Co. LLC	5.584%	3/18/24	38,700		42,183
	General Motors Co.	4.875%	10/2/23	24,704		26,771
	General Motors Financial Co. Inc.	2.450%	11/6/20	9,850		9,890
	General Motors Financial Co. Inc.	4.200%	3/1/21	44,231		45,171
	General Motors Financial Co. Inc.	3.200%	7/6/21	63,607		64,469
	General Motors Financial Co. Inc.	4.375%	9/25/21	49,030		50,869
	General Motors Financial Co. Inc.	4.200%	11/6/21	43,800		45,334
	General Motors Financial Co. Inc.	3.450%	4/10/22	15,908		16,304
	General Motors Financial Co. Inc.	3.150%	6/30/22	4,900		5,004
	General Motors Financial Co. Inc.	3.250%	1/5/23	19,510		20,111
10	General Motors Financial Co. Inc.	3.850%	2/21/23	5,840		4,117
	General Motors Financial Co. Inc.	3.700%	5/9/23	10,461		10,896
	General Motors Financial Co. Inc.	4.250%	5/15/23	9,800		10,395
	General Motors Financial Co. Inc.	4.150%	6/19/23	5,500		5,798
	General Motors Financial Co. Inc.	5.100%	1/17/24	29,150		31,914
	General Motors Financial Co. Inc.	3.950%	4/13/24	24,350		25,653
	General Motors Financial Co. Inc.	3.500%	11/7/24	31,200		32,579
	General Motors Financial Co. Inc.	4.350%	4/9/25	6,591		7,123
	Goodyear Tire & Rubber Co.	4.875%	3/15/27	1,598		1,646
7	Harley-Davidson Financial Services Inc.	2.150%	2/26/20	62,102		62,099
7	Harley-Davidson Financial Services Inc.	2.400%	6/15/20	69,387		69,372
7	Harley-Davidson Financial Services Inc.	2.850%	1/15/21	6,244		6,280
7	Harley-Davidson Financial Services Inc.	2.550%	6/9/22	28,944		29,258
	Hilton Domestic Operating Co. Inc.	5.125%	5/1/26	1,900		1,985
	Lennar Corp.	5.375%	10/1/22	2,565		2,745
	Lennar Corp.	5.250%	6/1/26	700		775
7	Live Nation Entertainment Inc.	4.750%	10/15/27	2,400		2,472
	Lowe's Cos. Inc.	4.625%	4/15/20	11,720		11,742

27

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Macy's Retail Holdings Inc.	3.450%	1/15/21	14,640		14,811
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	5.625%	5/1/24	5,135		5,591
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	4.500%	9/1/26	2,742		2,855
7	NCL Corp. Ltd.	3.625%	12/15/24	2,240		2,226
7	Nissan Motor Acceptance Corp.	1.900%	9/14/21	11,962		11,916
7	Nissan Motor Acceptance Corp.	3.650%	9/21/21	34,150		34,954
7	Nissan Motor Acceptance Corp.	2.600%	9/28/22	10,725		10,815
7	Nissan Motor Acceptance Corp.	3.875%	9/21/23	58,125		61,123
7	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	6.250%	5/15/26	1,800		1,933
	PulteGroup Inc.	5.500%	3/1/26	1,600		1,788
	QVC Inc.	4.750%	2/15/27	445		449
	TJX Cos. Inc.	2.750%	6/15/21	10,370		10,507
	Toyota Motor Corp.	3.183%	7/20/21	52,000		53,213
	Toyota Motor Credit Corp.	4.500%	6/17/20	8,600		8,685
9	Toyota Motor Credit Corp.	1.000%	3/9/21	14,555		16,352
	Toyota Motor Credit Corp.	1.900%	4/8/21	3,610		3,624
	Toyota Motor Credit Corp.	2.750%	5/17/21	19,210		19,498
	Toyota Motor Credit Corp.	3.300%	1/12/22	7,100		7,321
	Toyota Motor Credit Corp.	2.700%	1/11/23	7,080		7,301
	Toyota Motor Credit Corp.	3.450%	9/20/23	97,255		103,161
10	Volkswagen Financial Services Australia Pty Ltd.	3.100%	4/17/23	8,050		5,597
7	Volkswagen Group of America Finance LLC	3.875%	11/13/20	51,933		52,727
7	Volkswagen Group of America Finance LLC	2.500%	9/24/21	28,800		29,079
7	Volkswagen Group of America Finance LLC	4.000%	11/12/21	88,063		91,263
7	Volkswagen Group of America Finance LLC	2.700%	9/26/22	65,420		66,471
	Walmart Inc.	2.550%	4/11/23	17,221		17,715
	Walmart Inc.	3.400%	6/26/23	14,045		14,869
	Consumer Noncyclical (10.4%)
	AbbVie Inc.	2.300%	5/14/21	85,507		86,043
	AbbVie Inc.	3.375%	11/14/21	24,071		24,751
7	AbbVie Inc.	2.150%	11/19/21	93,000		93,529
	AbbVie Inc.	2.900%	11/6/22	90,170		92,616
	AbbVie Inc.	3.200%	11/6/22	71,665		74,184
7	AbbVie Inc.	2.300%	11/21/22	272,000		275,101
	AbbVie Inc.	2.850%	5/14/23	2,900		2,986
	AbbVie Inc.	3.750%	11/14/23	24,275		25,832
7	AbbVie Inc.	2.600%	11/21/24	158,300		161,648
	Actavis Inc.	3.250%	10/1/22	11,900		12,284
	Allergan Funding SCS	3.450%	3/15/22	52,900		54,424
	Allergan Funding SCS	3.850%	6/15/24	56,807		60,528
	Allergan Inc.	2.800%	3/15/23	8,647		8,789
7	Allergan Sales LLC	5.000%	12/15/21	29,690		31,159
	Altria Group Inc.	3.490%	2/14/22	145,750		150,426
	Altria Group Inc.	2.850%	8/9/22	24,480		25,051
	AmerisourceBergen Corp.	3.500%	11/15/21	7,200		7,392
	Amgen Inc.	2.700%	5/1/22	15,340		15,629
	Amgen Inc.	2.650%	5/11/22	30,800		31,337
	Amgen Inc.	3.625%	5/15/22	7,200		7,465
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23	38,538		40,241
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22	4,367		4,463
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25	89,996		99,273
7	Aramark Services Inc.	5.000%	2/1/28	1,100		1,148
	AstraZeneca plc	3.500%	8/17/23	9,645		10,163
	BAT Capital Corp.	2.764%	8/15/22	144,300		147,187
	BAT Capital Corp.	3.222%	8/15/24	33,700		35,017
9	BAT International Finance plc	4.875%	2/24/21	13,350		15,580
11	BAT International Finance plc	1.750%	7/5/21	14,538		19,363
7	BAT International Finance plc	3.250%	6/7/22	22,365		22,988
7	Bausch Health Cos Inc.	6.500%	3/15/22	2,762		2,821
7	Bausch Health Cos. Inc.	7.000%	3/15/24	7,280		7,562
7	Bausch Health Cos. Inc.	7.000%	1/15/28	1,100		1,193

28

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
7	Bausch Health Cos. Inc.	5.000%	1/30/28	1,330		1,343
7	Bausch Health Cos. Inc.	5.250%	1/30/30	895		911
	Baxalta Inc.	3.600%	6/23/22	1,984		2,046
	Baxter International Inc.	1.700%	8/15/21	21,900		21,914
	Becton Dickinson & Co.	3.125%	11/8/21	34,675		35,431
	Becton Dickinson & Co.	2.894%	6/6/22	12,725		13,014
	Becton Dickinson & Co.	3.363%	6/6/24	50,638		53,354
9	Becton Dickinson Euro Finance Sarl	0.174%	6/4/21	65,491		72,865
	Biogen Inc.	3.625%	9/15/22	36,347		38,024
	Boston Scientific Corp.	3.450%	3/1/24	24,165		25,553
7	Bristol-Myers Squibb Co.	2.550%	5/14/21	111,475		112,727
7	Bristol-Myers Squibb Co.	2.250%	8/15/21	8,234		8,273
7	Bristol-Myers Squibb Co.	2.600%	5/16/22	186,865		190,709
7	Bristol-Myers Squibb Co.	3.250%	8/15/22	61,772		63,722
7	Bristol-Myers Squibb Co.	3.550%	8/15/22	37,096		38,794
7	Bristol-Myers Squibb Co.	2.750%	2/15/23	48,084		49,351
7	Bristol-Myers Squibb Co.	3.250%	2/20/23	19,050		19,784
7	Bristol-Myers Squibb Co.	3.625%	5/15/24	17,067		18,204
	Campbell Soup Co.	3.650%	3/15/23	40,207		42,207
	Cigna Corp.	3.400%	9/17/21	20,000		20,491
7	Cigna Corp.	4.750%	11/15/21	32,200		33,810
7	Cigna Corp.	3.900%	2/15/22	28,500		29,523
7	Cigna Corp.	3.050%	11/30/22	38,085		39,041
7	Cigna Corp.	3.000%	7/15/23	53,400		55,099
	Cigna Corp.	3.750%	7/15/23	70,287		74,130
7	Cigna Corp.	3.500%	6/15/24	33,000		34,824
9	Coca-Cola Co.	0.125%	9/22/22	9,700		10,853
9	Coca-Cola Co.	1.125%	9/22/22	30,100		34,561
	Coca-Cola Co.	1.750%	9/6/24	6,200		6,254
	CommonSpirit Health	4.200%	8/1/23	1,900		2,016
	CommonSpirit Health	2.760%	10/1/24	31,845		32,706
	Conagra Brands Inc.	4.950%	8/15/20	2,679		2,717
	Conagra Brands Inc.	4.300%	5/1/24	16,876		18,410
	Constellation Brands Inc.	2.650%	11/7/22	14,800		15,122
	Constellation Brands Inc.	4.250%	5/1/23	75,604		81,086
	Covidien International Finance SA	3.200%	6/15/22	13,200		13,606
	CVS Health Corp.	3.350%	3/9/21	138,065		140,380
	CVS Health Corp.	2.125%	6/1/21	41,153		41,339
	CVS Health Corp.	3.500%	7/20/22	27,981		28,989
	CVS Health Corp.	2.750%	12/1/22	44,825		45,745
	CVS Health Corp.	3.700%	3/9/23	309,400		324,443
	CVS Health Corp.	4.000%	12/5/23	53,500		57,042
	CVS Health Corp.	2.625%	8/15/24	43,300		44,318
	DaVita Inc.	5.000%	5/1/25	400		409
	DH Europe Finance II Sarl	2.050%	11/15/22	72,600		73,119
	DH Europe Finance II Sarl	2.200%	11/15/24	36,300		36,884
9	DH Europe Finance SA	1.700%	1/4/22	9,000		10,343
9	Diageo Finance plc	0.250%	10/22/21	34,045		38,028
	Encompass Health Corp.	4.500%	2/1/28	700		722
	Estee Lauder Cos. Inc.	2.000%	12/1/24	19,500		19,791
	Express Scripts Holding Co.	2.600%	11/30/20	11,093		11,154
10	FBG Finance Pty Ltd.	3.750%	8/7/20	18,740		12,690
	General Mills Inc.	2.600%	10/12/22	19,400		19,805
	Gilead Sciences Inc.	3.250%	9/1/22	22,061		22,894
	Gilead Sciences Inc.	2.500%	9/1/23	17,875		18,298
	Gilead Sciences Inc.	3.700%	4/1/24	19,058		20,369
	GlaxoSmithKline Capital plc	2.875%	6/1/22	239,600		245,985
7	Grupo Bimbo SAB de CV	4.500%	1/25/22	11,180		11,688
	Grupo Bimbo SAB de CV	4.500%	1/25/22	8,508		8,898
	HCA Inc.	5.000%	3/15/24	86,830		95,730
	HCA Inc.	5.375%	2/1/25	5,023		5,613
	HCA Inc.	5.625%	9/1/28	1,115		1,292
7	Hill-Rom Holdings Inc.	4.375%	9/15/27	700		717
7	Hologic Inc.	4.375%	10/15/25	12,135		12,378

29

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Kellogg Co.	3.125%	5/17/22	8,900		9,152
	Keurig Dr Pepper Inc.	3.551%	5/25/21	150,087		153,572
	Keurig Dr Pepper Inc.	4.057%	5/25/23	82,400		87,931
	Keurig Dr Pepper Inc.	3.130%	12/15/23	15,700		16,361
7	Kraft Heinz Foods Co.	4.875%	2/15/25	55,805		57,258
	Kroger Co.	2.600%	2/1/21	39,050		39,299
	Kroger Co.	2.950%	11/1/21	59,000		59,864
	Kroger Co.	3.400%	4/15/22	2,900		2,992
	Kroger Co.	2.800%	8/1/22	39,500		40,431
	Kroger Co.	3.850%	8/1/23	7,800		8,298
	Kroger Co.	4.000%	2/1/24	13,700		14,719
	Laboratory Corp. of America Holdings	3.750%	8/23/22	55,765		58,199
	Laboratory Corp. of America Holdings	3.250%	9/1/24	7,780		8,171
7	Lamb Weston Holdings Inc.	4.625%	11/1/24	4,853		5,096
7	Lamb Weston Holdings Inc.	4.875%	11/1/26	1,924		2,035
	McCormick & Co. Inc.	2.700%	8/15/22	4,900		5,005
	McCormick & Co. Inc.	3.150%	8/15/24	10,250		10,766
	McKesson Corp.	2.700%	12/15/22	70,452		71,881
	McKesson Corp.	2.850%	3/15/23	24,315		24,910
	McKesson Corp.	3.796%	3/15/24	34,500		36,737
9	Medtronic Global Holdings SCA	0.000%	3/7/21	106,700		118,601
9	Merck & Co. Inc.	1.125%	10/15/21	29,110		32,931
7	Mondelez International Holdings Netherlands BV	2.250%	9/19/24	16,180		16,386
7	Mylan Inc.	3.125%	1/15/23	27,015		27,715
	Mylan NV	3.150%	6/15/21	38,500		39,103
9	Mylan NV	2.250%	11/22/24	7,080		8,469
	Novartis Capital Corp.	2.400%	9/21/22	6,400		6,542
7	Performance Food Group Inc.	5.500%	6/1/24	3,091		3,153
7	Performance Food Group Inc.	5.500%	10/15/27	1,500		1,579
7	Pernod Ricard SA	5.750%	4/7/21	23,150		24,203
7	Pernod Ricard SA	4.450%	1/15/22	11,785		12,367
7	Pernod Ricard SA	4.250%	7/15/22	18,900		19,955
	Perrigo Finance Unlimited Co.	3.500%	12/15/21	338		343
	Philip Morris International Inc.	2.500%	8/22/22	19,354		19,696
	Philip Morris International Inc.	2.500%	11/2/22	22,005		22,451
	Philip Morris International Inc.	2.625%	3/6/23	7,200		7,370
	Philip Morris International Inc.	2.125%	5/10/23	10,600		10,724
7	Post Holdings Inc.	5.750%	3/1/27	700		738
	Quest Diagnostics Inc.	4.700%	4/1/21	3,900		4,030
7	Reckitt Benckiser Treasury Services plc	2.375%	6/24/22	176,448		178,590
7	Reckitt Benckiser Treasury Services plc	2.750%	6/26/24	102,610		106,096
	Reynolds American Inc.	4.000%	6/12/22	41,809		43,771
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21	255,895		257,942
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23	77,255		79,460
	SSM Health Care Corp.	3.688%	6/1/23	21,250		22,457
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21	174,970		181,454
7	Takeda Pharmaceutical Co. Ltd.	2.450%	1/18/22	21,450		21,624
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23	30,250		32,843
7	Tenet Healthcare Corp.	4.625%	9/1/24	1,545		1,595
7	Tenet Healthcare Corp.	4.875%	1/1/26	5,375		5,590
	Thermo Fisher Scientific Inc.	3.000%	4/15/23	27,000		28,013
	Tyson Foods Inc.	4.500%	6/15/22	22,599		23,854
	Tyson Foods Inc.	3.900%	9/28/23	20,328		21,811
	Tyson Foods Inc.	3.950%	8/15/24	49,100		53,155
	Unilever Capital Corp.	2.600%	5/5/24	47,665		49,335
	Zimmer Biomet Holdings Inc.	2.700%	4/1/20	67,533		67,576
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22	11,000		11,287
	Zoetis Inc.	3.250%	2/1/23	12,095		12,568
	Energy (6.8%)
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22	63,714		65,264
	BP Capital Markets America Inc.	3.245%	5/6/22	40,695		42,149
	BP Capital Markets America Inc.	2.520%	9/19/22	26,125		26,653

30

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	BP Capital Markets America Inc.	2.750%	5/10/23	65,915		67,909
	BP Capital Markets America Inc.	3.216%	11/28/23	49,625		52,100
	BP Capital Markets America Inc.	3.790%	2/6/24	59,166		63,418
	BP Capital Markets America Inc.	3.224%	4/14/24	21,134		22,262
	BP Capital Markets plc	3.062%	3/17/22	10		10
	BP Capital Markets plc	2.500%	11/6/22	23,356		23,859
	Buckeye Partners LP	4.150%	7/1/23	3,230		3,270
	Buckeye Partners LP	3.950%	12/1/26	600		596
	Canadian Natural Resources Ltd.	2.950%	1/15/23	78,444		80,580
	Canadian Natural Resources Ltd.	3.800%	4/15/24	18,607		19,801
	Cenovus Energy Inc.	3.000%	8/15/22	24,556		25,070
	Cenovus Energy Inc.	3.800%	9/15/23	11,711		12,254
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24	90,329		104,669
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25	53,083		60,116
	Cimarex Energy Co.	4.375%	6/1/24	9,705		10,283
	Concho Resources Inc.	4.375%	1/15/25	47,626		49,174
	ConocoPhillips Co.	2.400%	12/15/22	23,248		23,699
	Continental Resources Inc.	5.000%	9/15/22	39,429		39,539
	Continental Resources Inc.	4.500%	4/15/23	6,053		6,380
	Continental Resources Inc.	3.800%	6/1/24	22,180		23,067
	Diamondback Energy Inc.	2.875%	12/1/24	48,520		49,278
	Dominion Energy Gas Holdings LLC	3.550%	11/1/23	12,700		13,326
	Enbridge Energy Partners LP	5.875%	10/15/25	10,441		12,385
	Enbridge Inc.	4.000%	10/1/23	29,100		30,973
	Enbridge Inc.	2.500%	1/15/25	25,250		25,705
	Energy Transfer Operating LP	4.150%	10/1/20	55,199		56,028
	Energy Transfer Operating LP	4.650%	6/1/21	35,235		36,192
	Energy Transfer Operating LP	5.200%	2/1/22	41,782		43,937
	Energy Transfer Operating LP	3.600%	2/1/23	2,416		2,500
	Energy Transfer Operating LP	4.250%	3/15/23	29,457		30,999
	Energy Transfer Operating LP	4.200%	9/15/23	41,940		44,524
	Energy Transfer Operating LP	5.875%	1/15/24	20,842		23,253
	Energy Transfer Operating LP	4.900%	2/1/24	36,674		39,719
	Energy Transfer Operating LP	4.500%	4/15/24	37,544		40,367
7	Eni SPA	4.000%	9/12/23	77,305		82,407
	Enterprise Products Operating LLC	3.500%	2/1/22	64,671		66,812
	Enterprise Products Operating LLC	3.900%	2/15/24	28,502		30,519
	EQT Corp.	2.500%	10/1/20	29,300		29,462
	EQT Corp.	4.875%	11/15/21	1,995		2,059
	EQT Corp.	3.000%	10/1/22	24,266		23,405
	Exxon Mobil Corp.	2.019%	8/16/24	58,205		59,146
	Husky Energy Inc.	3.950%	4/15/22	1,410		1,461
	Husky Energy Inc.	4.000%	4/15/24	3,255		3,465
	Kinder Morgan Energy Partners LP	5.800%	3/1/21	4,855		5,063
	Kinder Morgan Energy Partners LP	5.000%	10/1/21	12,597		13,156
	Kinder Morgan Energy Partners LP	4.150%	3/1/22	3,695		3,858
	Kinder Morgan Energy Partners LP	3.950%	9/1/22	77,198		80,678
	Kinder Morgan Energy Partners LP	3.450%	2/15/23	32,549		33,779
	Kinder Morgan Energy Partners LP	3.500%	9/1/23	10,068		10,555
	Kinder Morgan Energy Partners LP	4.300%	5/1/24	15,709		16,958
	Kinder Morgan Energy Partners LP	4.250%	9/1/24	5,145		5,574
7	Kinder Morgan Inc.	5.000%	2/15/21	28,289		29,123
	Kinder Morgan Inc.	3.150%	1/15/23	75,891		78,370
7	Kinder Morgan Inc.	5.625%	11/15/23	20,795		23,191
	Marathon Oil Corp.	2.800%	11/1/22	82,425		84,055
	Marathon Petroleum Corp.	3.400%	12/15/20	24,525		24,811
	Marathon Petroleum Corp.	5.125%	3/1/21	28,926		29,936
	Marathon Petroleum Corp.	4.750%	12/15/23	45,572		49,734
	Marathon Petroleum Corp.	3.625%	9/15/24	15,520		16,455
7	MEG Energy Corp.	6.500%	1/15/25	2,953		3,082
7	MEG Energy Corp.	7.125%	2/1/27	1,782		1,759
7	Midwest Connector Capital Co. LLC	3.625%	4/1/22	54,208		55,919
7	Midwest Connector Capital Co. LLC	3.900%	4/1/24	39,743		42,160
7	MPLX LP	3.500%	12/1/22	36,640		38,041

31

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	MPLX LP	3.375%	3/15/23	19,965		20,754
	MPLX LP	4.500%	7/15/23	2,230		2,394
	MPLX LP	4.875%	12/1/24	29,939		32,930
	Newfield Exploration Co.	5.750%	1/30/22	43,735		46,468
	Newfield Exploration Co.	5.625%	7/1/24	28,156		31,042
	Noble Energy Inc.	3.900%	11/15/24	19,400		20,548
	Occidental Petroleum Corp.	4.850%	3/15/21	9,825		10,115
	Occidental Petroleum Corp.	2.600%	8/13/21	72,280		72,987
	Occidental Petroleum Corp.	3.125%	2/15/22	40,116		40,950
	Occidental Petroleum Corp.	2.600%	4/15/22	2,470		2,494
	Occidental Petroleum Corp.	2.700%	8/15/22	148,054		150,248
	Occidental Petroleum Corp.	2.900%	8/15/24	33,950		34,666
	ONEOK Inc.	2.750%	9/1/24	30,830		31,503
	ONEOK Partners LP	3.375%	10/1/22	4,801		4,951
	ONEOK Partners LP	5.000%	9/15/23	19,758		21,576
	Ovintiv Inc.	3.900%	11/15/21	4,860		4,982
7	Parsley Energy LLC / Parsley Finance Corp.	6.250%	6/1/24	2,910		3,019
7	Parsley Energy LLC / Parsley Finance Corp.	5.375%	1/15/25	1,900		1,957
	Phillips 66	4.300%	4/1/22	51,498		54,149
	Pioneer Natural Resources Co.	3.950%	7/15/22	1,124		1,171
	Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21	20,908		21,357
	Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22	29,874		30,572
	Plains All American Pipeline LP / PAA Finance Corp.	3.850%	10/15/23	10,132		10,625
	Plains All American Pipeline LP / PAA Finance Corp.	4.650%	10/15/25	11,437		12,546
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22	83,408		88,784
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22	85,463		90,762
	Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23	51,308		54,707
	Sabine Pass Liquefaction LLC	5.625%	2/1/21	66,695		68,362
	Sabine Pass Liquefaction LLC	6.250%	3/15/22	48,538		52,130
	Sabine Pass Liquefaction LLC	5.625%	4/15/23	84,179		92,008
	Sabine Pass Liquefaction LLC	5.750%	5/15/24	48,939		54,934
	Sabine Pass Liquefaction LLC	5.625%	3/1/25	46,197		52,387
	Shell International Finance BV	1.875%	5/10/21	19,655		19,727
	Shell International Finance BV	2.250%	1/6/23	43,472		44,334
	Shell International Finance BV	3.400%	8/12/23	3,880		4,106
	Shell International Finance BV	2.000%	11/7/24	126,105		127,121
	SM Energy Co.	6.125%	11/15/22	700		691
	SM Energy Co.	5.000%	1/15/24	427		388
	Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.	4.400%	6/15/21	6,395		6,570
	Spectra Energy Partners LP	3.500%	3/15/25	11,985		12,731
	Sunoco Logistics Partners Operations LP	4.400%	4/1/21	54,012		55,309
	Sunoco Logistics Partners Operations LP	3.450%	1/15/23	16,340		16,786
	Sunoco Logistics Partners Operations LP	4.250%	4/1/24	43,668		46,482
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.750%	3/15/24	2,910		3,005
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.500%	7/15/27	1,100		1,199
	Total Capital Canada Ltd.	2.750%	7/15/23	44,059		45,529
	Total Capital International SA	2.875%	2/17/22	23,948		24,516
	Total Capital International SA	2.700%	1/25/23	9,385		9,670
	Total Capital International SA	2.434%	1/10/25	51,980		53,360
	Total Capital SA	4.250%	12/15/21	19,525		20,438
	TransCanada PipeLines Ltd.	2.500%	8/1/22	60,016		60,553
	TransCanada PipeLines Ltd.	3.750%	10/16/23	28,292		29,976
	Western Midstream Operating LP	5.375%	6/1/21	1,940		2,001
	Western Midstream Operating LP	4.000%	7/1/22	8,336		8,578
	Western Midstream Operating LP	3.100%	2/1/25	29,110		29,277
	Williams Cos. Inc.	5.250%	3/15/20	49,435		49,606
	Williams Cos. Inc.	4.125%	11/15/20	35,615		36,024
	Williams Cos. Inc.	7.875%	9/1/21	3,900		4,259

32

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Williams Cos. Inc.	4.000%	11/15/21	11,585		11,966
	Williams Cos. Inc.	3.600%	3/15/22	87,852		90,478
	Williams Cos. Inc.	3.350%	8/15/22	9,730		10,000
	Williams Cos. Inc.	3.700%	1/15/23	22,014		22,903
	Williams Cos. Inc.	4.300%	3/4/24	16,890		18,170
	Williams Cos. Inc.	4.550%	6/24/24	22,790		24,863
	Williams Cos. Inc.	3.900%	1/15/25	1,332		1,421
	WPX Energy Inc.	5.250%	10/15/27	665		693
	WPX Energy Inc.	4.500%	1/15/30	2,675		2,682
	Other Industrial (0.2%)
7	CK Hutchison International 17 II Ltd.	2.250%	9/29/20	95,155		95,297
	Technology (3.5%)
	Adobe Inc.	1.700%	2/1/23	15,615		15,695
	Apple Inc.	2.400%	1/13/23	9,900		10,148
	Apple Inc.	2.850%	2/23/23	9,900		10,274
	Apple Inc.	2.400%	5/3/23	32,245		33,060
	Apple Inc.	3.000%	2/9/24	23,205		24,343
	Apple Inc.	3.450%	5/6/24	31,296		33,615
	Apple Inc.	2.850%	5/11/24	99,570		104,103
	Apple Inc.	2.750%	1/13/25	24,430		25,579
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21	11,720		11,754
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22	71,959		73,244
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23	39,050		39,648
7	Broadcom Inc.	3.125%	4/15/21	48,700		49,399
7	Broadcom Inc.	3.125%	10/15/22	67,000		68,667
	CDK Global Inc.	4.875%	6/1/27	400		421
	CDW LLC / CDW Finance Corp.	4.250%	4/1/28	1,100		1,137
7	CommScope Finance LLC	5.500%	3/1/24	3,160		3,255
7	Dell International LLC / EMC Corp.	4.420%	6/15/21	131,237		135,215
7	Dell International LLC / EMC Corp.	4.000%	7/15/24	9,725		10,357
	Equifax Inc.	2.600%	12/1/24	29,100		29,791
9	Fidelity National Information Services Inc.	0.125%	5/21/21	19,400		21,593
9	Fidelity National Information Services Inc.	0.125%	12/3/22	32,000		35,672
	Fiserv Inc.	2.750%	7/1/24	162,965		168,045
	Hewlett Packard Enterprise Co.	4.400%	10/15/22	37,385		39,647
	International Business Machines Corp.	2.800%	5/13/21	21,300		21,625
9	International Business Machines Corp.	0.500%	9/7/21	14,550		16,314
	International Business Machines Corp.	2.500%	1/27/22	24,000		24,390
	International Business Machines Corp.	2.850%	5/13/22	215,910		221,573
	International Business Machines Corp.	1.875%	8/1/22	11,415		11,479
9	International Business Machines Corp.	0.375%	1/31/23	19,400		21,830
	International Business Machines Corp.	3.000%	5/15/24	48,555		50,943
	Marvell Technology Group Ltd.	4.200%	6/22/23	29,250		31,078
7	MSCI Inc.	5.250%	11/15/24	6,931		7,113
7	NXP BV / NXP Funding LLC	3.875%	9/1/22	100,536		105,063
7	NXP BV / NXP Funding LLC	4.625%	6/1/23	19,500		20,963
7	NXP BV / NXP Funding LLC	4.875%	3/1/24	46,625		51,229
	Oracle Corp.	2.500%	10/15/22	9,800		10,035
	Oracle Corp.	2.625%	2/15/23	55,752		57,321
	Oracle Corp.	3.625%	7/15/23	8,000		8,534
	Oracle Corp.	2.400%	9/15/23	140,318		143,792
	PayPal Holdings Inc.	2.200%	9/26/22	117,100		118,310
7	Qorvo Inc.	4.375%	10/15/29	2,400		2,496
	QUALCOMM Inc.	2.600%	1/30/23	107,050		109,483
7	SS&C Technologies Inc.	5.500%	9/30/27	800		846
	Total System Services Inc.	3.800%	4/1/21	49,370		50,335
	Tyco Electronics Group SA	4.875%	1/15/21	6,020		6,180
	Tyco Electronics Group SA	3.500%	2/3/22	33,540		34,569
	Tyco Electronics Group SA	3.450%	8/1/24	17,647		18,771
	Verisk Analytics Inc.	5.800%	5/1/21	12,428		12,999
	Verisk Analytics Inc.	4.125%	9/12/22	18,719		19,767
	VMware Inc.	2.300%	8/21/20	29,350		29,423

33

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	VMware Inc.	2.950%	8/21/22	48,630		49,799
	Western Digital Corp.	4.750%	2/15/26	1,100		1,172
	Transportation (1.6%)
7	Air Canada	7.750%	4/15/21	58,823		61,663
4,7	Air Canada 2013-1 Class B Pass Through Trust	5.375%	5/15/21	7,637		7,826
10	Aurizon Network Pty Ltd.	5.750%	10/28/20	23,510		16,217
10	Aurizon Network Pty Ltd.	4.000%	6/21/24	9,320		6,722
	Burlington Northern Santa Fe LLC	3.050%	3/15/22	5,700		5,852
	Canadian National Railway Co.	2.850%	12/15/21	4,800		4,883
7	Cargo Aircraft Management Inc.	4.750%	2/1/28	890		901
4	Continental Airlines 2000-1 Class A-1 Pass Through Trust	8.048%	11/1/20	1,364		1,382
4	Continental Airlines 2005-ERJ1 Pass Through Trust	9.798%	10/1/22	6,228		6,395
4	Continental Airlines 2010-1 Class A Pass Through Trust	4.750%	7/12/22	3,220		3,291
4	Continental Airlines 2012-2 Class A Pass Through Trust	4.000%	4/29/26	4,595		4,901
4	Continental Airlines 2012-2 Class B Pass Through Trust	5.500%	4/29/22	2,173		2,209
	CSX Corp.	3.400%	8/1/24	37,400		39,956
4	CSX Transportation Inc.	6.251%	1/15/23	2,104		2,310
4	Delta Air Lines 2007-1 Class B Pass Through Trust	8.021%	8/10/22	5,639		6,184
4	Delta Air Lines 2012-1 Class A Pass Through Trust	4.750%	11/7/21	2,233		2,248
	Delta Air Lines Inc.	3.400%	4/19/21	109,105		110,823
	Delta Air Lines Inc.	3.800%	4/19/23	69,750		72,460
	Delta Air Lines Inc.	2.900%	10/28/24	19,405		19,626
7	ERAC USA Finance LLC	2.600%	12/1/21	7,215		7,302
7	ERAC USA Finance LLC	3.300%	10/15/22	34,000		35,275
7	ERAC USA Finance LLC	2.700%	11/1/23	21,000		21,579
	FedEx Corp.	3.400%	1/14/22	22,155		22,819
4,7	Heathrow Funding Ltd.	4.875%	7/15/23	44,470		46,163
9	International Consolidated Airlines Group SA	0.500%	7/4/23	6,300		6,966
	Norfolk Southern Corp.	3.250%	12/1/21	2,900		2,969
	Norfolk Southern Corp.	2.903%	2/15/23	5,235		5,401
7	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.200%	7/15/20	4,200		4,216
7	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.300%	4/1/21	34,000		34,549
10	Qantas Airways Ltd.	7.500%	6/11/21	41,500		29,980
10	Qantas Airways Ltd.	7.750%	5/19/22	30,360		23,068
	Ryder System Inc.	2.875%	6/1/22	43,650		44,639
	Ryder System Inc.	2.500%	9/1/22	14,200		14,387
	Ryder System Inc.	3.650%	3/18/24	72,895		77,486
	Southwest Airlines Co.	2.750%	11/16/22	29,000		29,606
4	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24	2,829		3,007
4	Spirit Airlines Pass Through Trust 2017-1B	3.800%	2/15/26	17,519		17,851
4	UAL 2007-1 Pass Through Trust	6.636%	7/2/22	14,314		15,255
	Union Pacific Corp.	3.200%	6/8/21	8,000		8,164
	Union Pacific Corp.	2.950%	3/1/22	78,305		80,395
	Union Pacific Corp.	4.163%	7/15/22	6,500		6,853
	Union Pacific Corp.	2.950%	1/15/23	22,500		23,296
	Union Pacific Corp.	3.500%	6/8/23	2,904		3,062
	Union Pacific Corp.	3.150%	3/1/24	48,560		51,063
	United Parcel Service Inc.	2.350%	5/16/22	8,000		8,124
	United Parcel Service Inc.	2.450%	10/1/22	28,300		28,894
4	US Airways 2001-1C Pass Through Trust	7.346%	9/20/23	5,408		5,811
10	WSO Finance Pty Ltd.	3.500%	7/14/23	9,950		7,035
						21,058,482
Utilities (4.3%)
	Electric (4.2%)
	AEP Texas Inc.	2.400%	10/1/22	22,670		22,934
	Ameren Corp.	2.500%	9/15/24	32,940		33,288
	Ameren Illinois Co.	2.700%	9/1/22	7,234		7,403
	Baltimore Gas & Electric Co.	3.500%	11/15/21	9,535		9,802
	Baltimore Gas & Electric Co.	2.800%	8/15/22	19,895		20,274
	Baltimore Gas & Electric Co.	3.350%	7/1/23	10,307		10,761
	Berkshire Hathaway Energy Co.	2.375%	1/15/21	26,020		26,188
	Berkshire Hathaway Energy Co.	2.800%	1/15/23	58,010		59,710

34

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Berkshire Hathaway Energy Co.	3.750%	11/15/23	70,669		75,376
7	Calpine Corp.	4.500%	2/15/28	5,455		5,407
7	Calpine Corp.	5.125%	3/15/28	3,340		3,323
	CenterPoint Energy Inc.	3.600%	11/1/21	39,595		40,641
	CenterPoint Energy Inc.	2.500%	9/1/22	25,930		26,229
	CenterPoint Energy Inc.	3.850%	2/1/24	4,935		5,252
	Connecticut Light & Power Co.	2.500%	1/15/23	26,150		26,647
	Dominion Energy Inc.	2.750%	9/15/22	31,882		32,539
6,7	Dominion Energy Inc., 3M USD LIBOR + 0.400%	2.307%	12/1/20	195,160		195,408
	DTE Electric Co.	3.900%	6/1/21	14,230		14,580
	DTE Electric Co.	2.650%	6/15/22	970		987
	DTE Energy Co.	2.600%	6/15/22	38,240		38,538
	DTE Energy Co.	3.300%	6/15/22	32,818		33,730
	DTE Energy Co.	2.250%	11/1/22	80,850		81,473
	DTE Energy Co.	3.700%	8/1/23	67,545		71,121
	DTE Energy Co.	3.850%	12/1/23	4,247		4,504
	Duke Energy Corp.	3.227%	3/11/22	290,625		298,082
	Duke Energy Corp.	3.950%	10/15/23	13,291		14,215
	Duke Energy Corp.	3.750%	4/15/24	6,641		7,099
9	E.ON SE	0.000%	10/24/22	19,590		21,783
7	EDP Finance BV	5.250%	1/14/21	71,670		73,915
11	EDP Finance BV	8.625%	1/4/24	4,170		6,996
	Entergy Arkansas Inc.	3.750%	2/15/21	8,520		8,667
	Entergy Arkansas Inc.	3.050%	6/1/23	7,190		7,399
	Entergy Corp.	4.000%	7/15/22	41,151		43,010
	Entergy Louisiana LLC	4.800%	5/1/21	12,415		12,821
	Entergy Louisiana LLC	3.300%	12/1/22	6,710		6,958
	Entergy Louisiana LLC	4.050%	9/1/23	9,330		9,987
	Evergy Inc.	2.450%	9/15/24	48,500		49,255
	Exelon Corp.	2.450%	4/15/21	8,638		8,702
	Exelon Corp.	3.497%	6/1/22	9,089		9,365
	Exelon Generation Co. LLC	3.400%	3/15/22	7,500		7,709
	FirstEnergy Corp.	2.850%	7/15/22	97,098		98,833
	FirstEnergy Corp.	4.250%	3/15/23	71,576		75,999
7	FirstEnergy Transmission LLC	4.350%	1/15/25	21,743		23,697
	Georgia Power Co.	2.400%	4/1/21	50,514		50,832
9	innogy Finance BV	6.500%	8/10/21	12,600		15,387
	ITC Holdings Corp.	2.700%	11/15/22	29,250		29,771
	LG&E & KU Energy LLC	4.375%	10/1/21	9,505		9,815
	MidAmerican Energy Co.	3.700%	9/15/23	5,335		5,646
	National Rural Utilities Cooperative Finance Corp.	1.750%	1/21/22	44,165		44,286
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23	8,997		9,258
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22	80,760		82,662
	NextEra Energy Capital Holdings Inc.	3.300%	8/15/22	280,890		290,581
	NextEra Energy Capital Holdings Inc.	2.800%	1/15/23	5,820		5,969
	NRG Energy Inc.	7.250%	5/15/26	14,552		15,716
	NSTAR Electric Co.	3.500%	9/15/21	16,700		17,087
	NSTAR Electric Co.	2.375%	10/15/22	7,475		7,581
	NV Energy Inc.	6.250%	11/15/20	6,800		7,041
	Oncor Electric Delivery Co. LLC	4.100%	6/1/22	3,850		4,025
	Oncor Electric Delivery Co. LLC	2.750%	6/1/24	48,545		50,291
	PECO Energy Co.	3.150%	10/15/25	3,885		4,116
	PPL Capital Funding Inc.	4.200%	6/15/22	2,050		2,143
	PPL Capital Funding Inc.	3.500%	12/1/22	9,215		9,552
	Progress Energy Inc.	4.400%	1/15/21	58,514		59,552
	Progress Energy Inc.	3.150%	4/1/22	17,667		18,070
	Public Service Enterprise Group Inc.	2.875%	6/15/24	53,918		55,728
	Puget Energy Inc.	6.500%	12/15/20	15,190		15,783
	Puget Energy Inc.	6.000%	9/1/21	4,135		4,394
	Puget Energy Inc.	5.625%	7/15/22	47,334		50,898
	Southern Co.	2.350%	7/1/21	76,255		76,742
	Southwestern Electric Power Co.	3.550%	2/15/22	16,040		16,466
	Tampa Electric Co.	5.400%	5/15/21	12,630		13,223

35

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
6,10	Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.280%	1.167%	1/15/22	7,780		5,138
	Virginia Electric & Power Co.	3.450%	9/1/22	24,565		25,496
	Virginia Electric & Power Co.	2.750%	3/15/23	4,599		4,716
	Virginia Electric & Power Co.	3.450%	2/15/24	11,684		12,351
7	Vistra Operations Co. LLC	5.000%	7/31/27	700		721
	Natural Gas (0.1%)
7	Engie SA	2.875%	10/10/22	7,269		7,466
	Sempra Energy	2.400%	2/1/20	58,530		58,527
	Sempra Energy	2.400%	3/15/20	10,265		10,266
	Sempra Energy	2.900%	2/1/23	16,585		17,028
	Southern Co. Gas Capital Corp.	2.450%	10/1/23	6,570		6,648
						2,751,579

Total Corporate Bonds (Cost $39,847,427)					40,664,760
Sovereign Bonds (4.8%)
7	Abu Dhabi National Energy Co. PJSC	4.875%	4/23/30	4,600	5,315
	Arab Petroleum Investments Corp.	4.125%	9/18/23	19,318	20,597
	Arab Republic of Egypt	8.700%	3/1/49	2,600	2,998
9	Argentine Republic	3.875%	1/15/22	7,700	3,932
9	Argentine Republic	3.375%	1/15/23	6,610	3,279
7	Avi Funding Co. Ltd.	2.850%	9/16/20	11,075	11,133
	Avi Funding Co. Ltd.	2.850%	9/16/20	8,875	8,922
7	Banco del Estado de Chile	2.704%	1/9/25	8,050	8,208
7	Banque Ouest Africaine de Developpement	5.500%	5/6/21	6,500	6,753
7	Banque Ouest Africaine de Developpement	5.000%	7/27/27	17,455	18,897
7	Bermuda	4.138%	1/3/23	6,000	6,326
7	Bermuda	4.854%	2/6/24	2,861	3,143
7	BNG Bank NV	2.125%	12/14/20	36,883	37,013
7	BOC Aviation Ltd.	2.375%	9/15/21	29,210	29,224
	CCBL Cayman Corp. Ltd.	3.250%	7/28/20	19,500	19,586
7	CDP Financial Inc.	3.150%	7/24/24	24,580	26,087
	Centrais Eletricas Brasileiras SA	5.750%	10/27/21	7,000	7,402
	CNOOC Finance 2015 Australia Pty Ltd.	2.625%	5/5/20	6,100	6,108
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25	17,163	18,265
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24	31,319	33,937
	Corp Financiera de Desarrollo SA	4.750%	7/15/25	18,465	20,389
	Corp. Andina de Fomento	2.200%	7/18/20	40,281	40,299
	Corp. Andina de Fomento	4.375%	6/15/22	17,129	18,036
7	Corp. Financiera de Desarrollo SA	4.750%	2/8/22	4,523	4,743
	Corp. Financiera de Desarrollo SA	4.750%	2/8/22	11,950	12,530
	Development Bank of Kazakhstan JSC	4.125%	12/10/22	12,155	12,698
7,13	Dexia Credit Local SA	2.500%	1/25/21	97,550	98,423
7,13	Dexia Credit Local SA	1.875%	9/15/21	9,765	9,810
7,13	Dexia Credit Local SA	2.375%	9/20/22	5,800	5,915
4	Dominican Republic	7.500%	5/6/21	3,413	3,533
	Dominican Republic	6.600%	1/28/24	4,125	4,594
7	Dominican Republic	5.875%	1/30/60	16,503	16,503
7	Electricite de France SA	4.500%	9/21/28	16,050	18,334
7	Emirate of Abu Dhabi	2.125%	9/30/24	189,450	190,581
	Empresa Nacional del Petroleo	4.750%	12/6/21	7,877	8,201
	Empresa Nacional del Petroleo	4.375%	10/30/24	9,675	10,314
	Empresa Nacional del Petroleo	3.750%	8/5/26	8,245	8,579
4	Empresa Nacional del Petroleo	5.250%	11/6/29	7,686	8,727
	Equinor ASA	2.900%	11/8/20	10,000	10,090
	Equinor ASA	3.150%	1/23/22	2,000	2,060
	Export-Import Bank of India	2.750%	4/1/20	3,870	3,874
	Export-Import Bank of India	2.750%	8/12/20	5,317	5,332
	Export-Import Bank of Korea	5.125%	6/29/20	20,000	20,250
	Export-Import Bank of Korea	4.000%	1/29/21	2,000	2,043
	Export-Import Bank of Korea	2.750%	1/25/22	2,500	2,549
4	Federative Republic of Brazil	4.625%	1/13/28	23,300	25,732
	Fondo MIVIVIENDA SA	3.500%	1/31/23	19,370	19,956

36

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Gazprom OAO Via Gaz Capital SA	6.510%	3/7/22	7,730		8,384
	Harvest Operations Corp.	3.000%	9/21/22	2,875		2,954
	ICBCIL Finance Co. Ltd.	3.250%	3/17/20	5,400		5,406
	ICBCIL Finance Co. Ltd.	3.000%	4/5/20	22,740		22,760
7	Indonesia Asahan Aluminium Persero PT	5.230%	11/15/21	11,990		12,560
	Industrial & Commercial Bank of China Ltd.	2.905%	11/13/20	7,050		7,093
6	Industrial & Commercial Bank of China Ltd., 3M USD LIBOR + 0.750%	2.654%	11/8/20	20,000		20,003
6,14	Japan Bank for International Cooperation, 3M USD LIBOR + 0.390%	2.209%	7/21/20	5,856		5,862
14	Japan Finance Organization for Municipalities	4.000%	1/13/21	9,750		9,948
7	KazMunayGas National Co. JSC	6.375%	10/24/48	2,800		3,738
7	Kingdom of Saudi Arabia	2.375%	10/26/21	1,615		1,627
	Kingdom of Saudi Arabia	2.375%	10/26/21	71,255		71,847
	Korea Development Bank	4.625%	11/16/21	2,795		2,935
	Korea Development Bank	3.250%	2/19/24	12,205		12,895
	Korea Hydro & Nuclear Power Co. Ltd.	3.000%	9/19/22	11,764		12,092
	Korea Midland Power Co. Ltd.	2.500%	7/21/21	4,267		4,308
	Korea Midland Power Co. Ltd.	3.375%	1/22/22	27,758		28,541
7	Korea National Oil Corp.	2.875%	3/27/22	9,400		9,587
	Korea Western Power Co. Ltd.	2.375%	7/22/22	9,809		9,923
	KSA Sukuk Ltd.	2.894%	4/20/22	39,901		40,817
15	KSA Sukuk Ltd.	3.628%	4/20/27	27,375		29,550
	North American Development Bank	2.400%	10/26/22	2,700		2,734
7	Ontario Teachers' Cadillac Fairview Properties Trust	3.125%	3/20/22	54,524		55,967
7	Ontario Teachers' Cadillac Fairview Properties Trust	3.875%	3/20/27	6,000		6,552
	Pertamina Persero PT	4.875%	5/3/22	5,800		6,106
	Pertamina Persero PT	4.300%	5/20/23	5,550		5,866
	Perusahaan Listrik Negara PT	5.500%	11/22/21	7,067		7,479
	Perusahaan Penerbit SBSN Indonesia III	3.400%	3/29/21	7,275		7,387
	Perusahaan Penerbit SBSN Indonesia III	3.400%	3/29/22	21,339		21,872
	Perusahaan Penerbit SBSN Indonesia III	3.300%	11/21/22	3,800		3,907
	Perusahaan Penerbit SBSN Indonesia III	4.350%	9/10/24	12,911		13,960
	Petroleos Mexicanos	6.875%	8/4/26	41,398		46,757
7	Petroleos Mexicanos	6.490%	1/23/27	28,804		31,297
	Petroleos Mexicanos	6.500%	3/13/27	15,320		16,632
	Petronas Capital Ltd.	3.125%	3/18/22	12,520		12,804
	Petronas Global Sukuk Ltd.	2.707%	3/18/20	2,050		2,051
7	Province of Alberta	1.750%	8/26/20	149,451		149,503
	Province of Alberta	1.750%	8/26/20	1,300		1,301
	Province of Nova Scotia	8.250%	7/30/22	12,785		14,817
	Province of Ontario	4.400%	4/14/20	25,595		25,726
	Province of Ontario	1.875%	5/21/20	9,770		9,772
	Province of Quebec	2.750%	8/25/21	16,785		17,095
4,7	Ras Laffan Liquefied Natural Gas Co. Ltd. II	5.298%	9/30/20	1,086		1,099
4	Ras Laffan Liquefied Natural Gas Co. Ltd. II	5.298%	9/30/20	3,429		3,471
	Republic of Chile	3.875%	8/5/20	7,220		7,292
4	Republic of Colombia	2.625%	3/15/23	16,400		16,600
4	Republic of Colombia	4.500%	1/28/26	35,798		39,415
	Republic of Colombia	10.375%	1/28/33	2,501		4,072
	Republic of Croatia	6.625%	7/14/20	21,885		22,308
	Republic of Croatia	6.375%	3/24/21	37,143		38,960
	Republic of Guatemala	5.750%	6/6/22	3,000		3,195
	Republic of Honduras	8.750%	12/16/20	40,322		42,366
	Republic of Hungary	6.375%	3/29/21	109,502		115,400
	Republic of Hungary	5.375%	2/21/23	43,870		48,257
	Republic of Hungary	5.750%	11/22/23	24,989		28,425
7	Republic of Indonesia	3.700%	1/8/22	10,072		10,374
	Republic of Indonesia	3.750%	4/25/22	45,545		47,113
	Republic of Indonesia	5.875%	1/15/24	28,940		32,891
9	Republic of Italy	3.850%	9/1/49	3,960		6,257
	Republic of Lithuania	7.375%	2/11/20	144,433		144,610
	Republic of Lithuania	6.125%	3/9/21	54,670		57,212
7	Republic of Lithuania	6.125%	3/9/21	8,205		8,575

37

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Republic of Lithuania	6.625%	2/1/22	29,120		31,861
4	Republic of Panama	4.000%	9/22/24	5,925		6,392
	Republic of Panama	7.125%	1/29/26	8,942		11,289
	Republic of Paraguay	4.625%	1/25/23	4,425		4,686
	Republic of Poland	5.125%	4/21/21	22,315		23,208
	Republic of Poland	5.000%	3/23/22	46,710		49,878
	Republic of Romania	6.750%	2/7/22	2,672		2,916
	Republic of Romania	4.375%	8/22/23	8,750		9,419
9	Republic of Romania	2.000%	12/8/26	53,426		64,013
7,9	Republic of Romania	2.000%	1/28/32	48,540		55,348
	Republic of Serbia	7.250%	9/28/21	27,155		29,473
	Republic of Slovenia	5.500%	10/26/22	11,740		12,868
	Republic of Slovenia	5.850%	5/10/23	2,100		2,361
7	Republic of Slovenia	5.250%	2/18/24	8,600		9,715
	Republic of South Africa	5.500%	3/9/20	2,400		2,406
	Republic of South Africa	5.875%	9/16/25	18,305		20,214
9	Republic of the Philippines	0.000%	2/3/23	39,801		43,975
6,10	SGSP Australia Assets Pty Ltd., 3M Australian Bank Bill Rate + 1.600%	2.520%	3/25/20	5,700		3,821
7	Sinopec Group Overseas Development 2013 Ltd.	4.375%	10/17/23	21,800		23,545
	Sinopec Group Overseas Development 2013 Ltd.	4.375%	10/17/23	30,630		33,024
	Sinopec Group Overseas Development 2015 Ltd.	2.500%	4/28/20	4,800		4,808
	Sinopec Group Overseas Development 2015 Ltd.	3.250%	4/28/25	10,000		10,494
7	Sinopec Group Overseas Development 2017 Ltd.	2.375%	4/12/20	35,215		35,215
	Sinopec Group Overseas Development 2017 Ltd.	2.500%	9/13/22	5,252		5,304
7	Slovak Republic	4.375%	5/21/22	5,500		5,804
	Slovak Republic	4.375%	5/21/22	3,000		3,171
6	State Bank of India, 3M USD LIBOR + 0.950%	2.850%	4/6/20	42,900		42,927
	State Grid Overseas Investment 2014 Ltd.	4.125%	5/7/24	8,654		9,368
	State Grid Overseas Investment 2016 Ltd.	2.250%	5/4/20	2,800		2,802
	State Grid Overseas Investment 2016 Ltd.	2.750%	5/4/22	14,500		14,734
	State Grid Overseas Investment 2016 Ltd.	3.750%	5/2/23	10,775		11,303
	State of Israel	3.150%	6/30/23	26,725		27,974
9	State of Israel	2.875%	1/29/24	2,710		3,350
9	State of Israel	1.500%	1/18/27	3,838		4,646
9	State of Israel	1.500%	1/16/29	15,190		18,428
	State of Kuwait	2.750%	3/20/22	42,489		43,274
	State of Qatar	4.500%	1/20/22	14,555		15,275
	State of Qatar	3.375%	3/14/24	16,550		17,460
7	Temasek Financial I Ltd.	2.375%	1/23/23	5,000		5,092
	United Mexican States	4.125%	1/21/26	12,315		13,424
9	United Mexican States	1.625%	4/8/26	19,508		22,627
Total Sovereign Bonds (Cost $3,020,966)						3,079,419
Taxable Municipal Bonds (0.1%)
16	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	24,945		32,408
Total Taxable Municipal Bonds (Cost $31,891)						32,408

38

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Shares	Market Value ($000	)
Temporary Cash Investment (0.3%)
Money Market Fund (0.3%)
17	Vanguard Market Liquidity Fund (Cost $158,244)	1.730%	1,582,252	158,257

		Expiration Date	Contracts	Exercise Price	Notional Amount ($000)
Options Purchased (0.0%)
Exchange-Traded Options
Put Options
	10-Year U.S. Treasury Note Futures Contracts	2/21/20	1,514	$130.00	196,820	166

	Counterparty	Expiration Date	Exercise Rate	Notional Amount on Underlying Swap ($000)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
1-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.608% Semiannually	MSCS	3/4/20	1.608%	923,120	1,077
10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually	BNPSW	9/21/20	1.130%	92,111	824
					1,901
Put Swaptions
1-Year Interest Rate Swap, Receives 3M LIBOR Quarterly, Pays 1.608% Semiannually	MSCS	3/4/20	1.608%	923,120	108
2-Year Interest Rate Swap, Receives 3M LIBOR Quarterly, Pays 1.538% Semiannually	BNPSW	4/29/20	1.538%	460,393	329
5-Year CDX-NA-HY-S33-V2, Credit Protection Sold, Receives 5.000% Quarterly	BNPSW	3/18/20	1.060%	60,855	235
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.600%	183,272	59
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	3/18/20	0.550%	121,731	158
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.525%	122,178	104
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.550%	183,272	238
					1,231

39

Vanguard^® Short-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

Total Options Purchased (Cost $4,112)	3,298
Total Investments (99.8%) (Cost $61,741,267)	63,092,322
Other Assets and Liabilities—Net (0.2%)	128,358
Net Assets (100%)	63,220,680

§	Security value determined using significant unobservable inputs.
1	Securities with a value of $54,084,000 have been segregated as initial margin for open centrally cleared swap contracts.
2	Securities with a value of $2,781,000 have been segregated as collateral for open forward currency contracts and open over-the-counter swap contracts.
3	Securities with a value of $39,733,000 have been segregated as initial margin for open futures contracts.
4	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.
5	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.
6	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7	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 January 31, 2020, the aggregate value of these securities was $11,590,543,000, representing 18.3% of net assets.
8	Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.
9	Face amount denominated in euro.
10	Face amount denominated in Australian dollars.
11	Face amount denominated in British pounds.
12	Non-income-producing security—security in default.
13	Guaranteed by multiple countries.
14	Guaranteed by the Government of Japan.
15	Guaranteed by the Kingdom of Saudi Arabia.
16	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
17	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
	CMT—Constant Maturing Treasury Rate.
	LIBOR—London Interbank Offered Rate.
	BNPSW—BNP Paribas.
	GSI—Goldman Sachs International.
	JPMC—JPMorgan Chase Bank, N.A.
	LIBOR—London Interbank Offered Rate.
	MSCS—Morgan Stanley Capital Services LLC.
	REMICS—Real Estate Mortgage Investment Conduits.

40

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
U.S. Government and Agency Obligations (7.6%)
U.S. Government Securities (5.3%)
	United States Treasury Note/Bond	1.500%	10/31/24	250,000		252,030
1	United States Treasury Note/Bond	1.500%	11/30/24	350,000		353,006
	United States Treasury Note/Bond	2.875%	4/30/25	200,000		215,438
	United States Treasury Note/Bond	2.875%	5/31/25	135,000		145,568
1	United States Treasury Note/Bond	1.875%	6/30/26	200,000		205,750
	United States Treasury Note/Bond	1.625%	10/31/26	50,000		50,664
2,3,4	United States Treasury Note/Bond	2.875%	5/15/28	140,000		155,357
	United States Treasury Note/Bond	1.625%	8/15/29	175,000		176,858
	United States Treasury Note/Bond	1.750%	11/15/29	200,000		204,344
						1,759,015
Agency Notes (0.0%)
5,6	Fanniemae Strip 405-1	0.000%	10/25/40	7,608		6,871
Conventional Mortgage-Backed Securities (1.5%)
5,6	Fannie Mae Pool	3.000%	10/1/49–1/1/50	301,526		306,174
5,6	Fannie Mae Pool	3.500%	11/1/42–1/1/50	7,135		9,891
5,6	Fannie Mae Pool	4.000%	9/1/45–3/1/50	44,036		47,729
5,6	Fannie Mae Pool	5.000%	9/1/48–9/1/49	72,826		79,969
5	Ginnie Mae II Pool	3.000%	9/20/49–2/1/50	55,112		55,802
5	Ginnie Mae II Pool	5.000%	12/20/48–3/1/50	731		1,272
						500,837
Nonconventional Mortgage-Backed Securities (0.8%)
5,6	Fannie Mae REMICS	1.750%	3/25/46	82,530		81,706
5,6	Fannie Mae REMICS	2.500%	9/25/49	25,600		26,304
5,6,7	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893%	4.143%	9/1/32	118		121
5,6,7	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.291%	8/1/32	182		188
5,6	Freddie Mac REMICS	4.000%	5/15/48–7/15/48	98,533		107,017
5	Ginnie Mae REMICS	3.000%	11/20/45–8/20/46	20,243		21,525
5	Ginnie Mae REMICS	3.500%	6/20/48–5/20/49	30,434		32,509
						269,370
Total U.S. Government and Agency Obligations (Cost $2,483,549)						2,536,093
Asset-Backed/Commercial Mortgage-Backed Securities (17.9%)
5	Ally Auto Receivables Trust 2018-1	2.530%	2/15/23	5,050		5,098
5	Ally Auto Receivables Trust 2019-1	3.020%	4/15/24	3,030		3,121
5	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23	13,200		13,462
5	Ally Master Owner Trust Series 2018-2	3.300%	7/17/23	17,850		18,240
5	American Express Credit Account Master Trust 2019-1	2.870%	10/15/24	12,620		12,970
5,8	American Homes 4 Rent 2014-SFR2	3.786%	10/17/36	3,827		4,068
5,8	American Homes 4 Rent 2014-SFR2	4.290%	10/17/36	1,060		1,127
5,8	American Homes 4 Rent 2014-SFR3	3.678%	12/17/36	6,443		6,729
5,8	American Homes 4 Rent 2015-SFR1	3.467%	4/17/52	5,014		5,248
5,8	American Homes 4 Rent 2015-SFR2	3.732%	10/17/52	2,711		2,870
5,8	American Homes 4 Rent 2015-SFR2	4.295%	10/17/52	1,070		1,154
5,8	Americold 2010 LLC Trust Series 2010-ARTA	4.954%	1/14/29	6,402		6,591
5,8	Americold 2010 LLC Trust Series 2010-ARTA	6.811%	1/14/29	3,540		3,701
5	AmeriCredit Automobile Receivables Trust 2016-2	3.650%	5/9/22	3,280		3,316
5	AmeriCredit Automobile Receivables Trust 2016-3	2.710%	9/8/22	3,390		3,413
5	AmeriCredit Automobile Receivables Trust 2018-2	4.010%	7/18/24	9,460		9,830
5	AmeriCredit Automobile Receivables Trust 2019-1	3.620%	3/18/25	7,240		7,490
5,8	AOA Mortgage Trust 2015-1177	2.957%	12/13/29	1,330		1,344
5,8	Applebee's Funding LLC / IHOP Funding LLC 2019-1	4.194%	6/7/49	2,260		2,318
5,8	ARL Second LLC 2014-1A	2.920%	6/15/44	3,855		3,877
5,8	Aventura Mall Trust 2013-AVM	3.867%	12/5/32	1,482		1,507
5,8	Aventura Mall Trust 2018-AVM	4.249%	7/5/40	36,180		41,513
5,8	Avis Budget Rental Car Funding AESOP LLC 2015-2A	2.630%	12/20/21	15,725		15,783
5,8	Avis Budget Rental Car Funding AESOP LLC 2016-1A	2.990%	6/20/22	1,540		1,560
5,8	Avis Budget Rental Car Funding AESOP LLC 2017-1A	3.070%	9/20/23	4,220		4,340
5,8	Avis Budget Rental Car Funding AESOP LLC 2019-1A	3.450%	3/20/23	6,790		6,998

41 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5,8	BAMLL Commercial Mortgage Securities Trust 2012-PARK	2.959%	12/10/30	4,975		5,144
5,8	BAMLL Commercial Mortgage Securities Trust 2019-BPR	3.112%	11/5/32	23,000		23,909
5,8	BAMLL Commercial Mortgage Securities Trust 2019-BPR	3.287%	11/5/32	5,700		5,931
5	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%	9/15/48	3,350		3,509
5	Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%	9/15/48	3,916		4,250
5	Banc of America Commercial Mortgage Trust 2015-UBS7	4.506%	9/15/48	360		384
5	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50	1,540		1,690
5	BANK 2017 - BNK4	3.625%	5/15/50	1,661		1,830
5	BANK 2017 - BNK5	3.390%	6/15/60	3,620		3,936
5	BANK 2017 - BNK6	3.254%	7/15/60	14,120		15,093
5	BANK 2017 - BNK6	3.518%	7/15/60	5,760		6,313
5	BANK 2017 - BNK6	3.741%	7/15/60	1,310		1,434
5	BANK 2017 - BNK7	3.175%	9/15/60	9,550		10,158
5	BANK 2017 - BNK7	3.435%	9/15/60	5,490		5,990
5	BANK 2017 - BNK8	3.488%	11/15/50	11,570		12,664
5	BANK 2017 - BNK9	3.538%	11/15/54	8,940		9,817
5	BANK 2018 - BN10	3.641%	2/15/61	4,430		4,811
5	BANK 2018 - BN10	3.688%	2/15/61	6,360		7,049
5	BANK 2018 - BN12	4.255%	5/15/61	3,960		4,567
5	BANK 2018 - BN13	4.217%	8/15/61	2,160		2,491
5	BANK 2018 - BN14	4.185%	9/15/60	2,205		2,474
5	BANK 2018 - BN14	4.231%	9/15/60	4,985		5,763
5	BANK 2018 - BN15	4.407%	11/15/61	10,327		12,109
5	BANK 2019 - BN17	3.623%	4/15/52	1,437		1,581
5	BANK 2019 - BN17	3.714%	4/15/52	10,104		11,349
5	BANK 2019 - BN18	3.584%	5/15/62	6,590		7,339
5	BANK 2019 - BN19	3.183%	8/15/61	13,830		14,951
5	BANK 2019 - BN21	2.851%	10/17/52	16,340		17,214
5	BANK 2019 - BN23	2.846%	12/15/52	9,970		10,490
5	BANK 2019 - BN23	2.920%	12/15/52	62,320		66,057
5	BANK 2019 - BNK20	3.011%	9/15/61	13,060		13,936
5	BANK 2019 - BNK24	2.960%	11/15/62	40,000		42,545
§,5	BANK 2020 - BN25	2.649%	1/15/63	13,100		13,492
5	BBCMS Mortgage Trust 2019-C4	2.919%	8/15/52	9,635		10,185
5	BBCMS Mortgage Trust 2019-C5	3.063%	11/15/52	23,805		25,477
5	BBCMS Mortgage Trust 2020-C6	2.639%	2/15/53	9,600		9,888
5	Benchmark 2018-B1 Mortgage Trust	3.602%	1/15/51	2,910		3,145
5	Benchmark 2018-B1 Mortgage Trust	3.666%	1/15/51	6,570		7,275
5	Benchmark 2018-B1 Mortgage Trust	3.878%	1/15/51	2,350		2,599
5	Benchmark 2018-B1 Mortgage Trust	4.059%	1/15/51	6,320		6,947
5	Benchmark 2018-B1 Mortgage Trust	4.254%	1/15/51	9,810		10,510
5	Benchmark 2018-B2 Mortgage Trust	3.882%	2/15/51	15,590		17,508
5	Benchmark 2018-B3 Mortgage Trust	4.025%	4/10/51	7,230		8,194
5	Benchmark 2018-B5 Mortgage Trust	4.208%	7/15/51	5,920		6,819
5	Benchmark 2018-B6 Mortgage Trust	4.170%	10/10/51	3,047		3,409
5	Benchmark 2018-B6 Mortgage Trust	4.261%	10/10/51	6,770		7,830
5	Benchmark 2018-B8 Mortgage Trust	4.232%	1/15/52	8,694		10,057
5	Benchmark 2019-B10 Mortgage Trust	3.615%	3/15/62	1,532		1,676
5	Benchmark 2019-B15 Mortgage Trust	2.859%	12/15/72	6,735		7,074
5	Benchmark 2019-B15 Mortgage Trust	2.928%	12/15/72	28,220		29,880
5	Benchmark 2020-B16 Mortgage Trust	2.732%	12/15/57	13,660		14,304
5	BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24	4,010		4,050
5,7	Brazos Higher Education Authority Inc. Series 2005, 3M USD LIBOR + 0.200%	2.147%	6/25/26	1,876		1,869
5,7	Brazos Higher Education Authority Inc. Series 2011, 3M USD LIBOR + 0.800%	2.710%	2/25/30	4,073		4,080
5,8	BX Trust 2019-OC11	3.202%	12/9/41	6,800		7,307

42 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5,8	CAL Funding II Ltd. Series 2012-1A	3.470%	10/25/27	688		688
5,8	CAL Funding II Ltd. Series 2013-1A	3.350%	3/27/28	1,124		1,124
5,8	CAL Funding II Ltd. Series 2018-2A	4.340%	9/25/43	6,145		6,332
5	California Republic Auto Receivables Trust 2016-1	4.560%	12/15/22	8,320		8,385
5	California Republic Auto Receivables Trust 2016-2	2.520%	5/16/22	1,120		1,123
5	California Republic Auto Receivables Trust 2016-2	3.510%	3/15/23	540		542
5,8	Canadian Pacer Auto Receivables Trust A Series 2018	3.220%	9/19/22	3,310		3,366
5,8	Canadian Pacer Auto Receivables Trust A Series 2019	2.960%	6/19/24	2,090		2,157
5,8	Canadian Pacer Auto Receiveable Trust A Series 2018	3.270%	12/19/22	2,880		2,898
5,8	Canadian Pacer Auto Receiveable Trust A Series 2018	3.440%	8/21/23	1,280		1,316
5	Cantor Commercial Real Estate Lending 2019-CF3	3.006%	1/15/53	24,400		25,763
5	Capital Auto Receivables Asset Trust 2016-2	3.160%	11/20/23	360		361
5	Capital Auto Receivables Asset Trust 2016-3	2.650%	1/20/24	900		901
5	Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23	17,460		17,718
5	Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24	5,890		6,017
5	Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24	39,460		40,492
5	CarMax Auto Owner Trust 2016-2	2.160%	12/15/21	1,930		1,932
5	CarMax Auto Owner Trust 2016-2	3.250%	11/15/22	2,160		2,165
5	CarMax Auto Owner Trust 2016-3	2.940%	1/17/23	1,360		1,364
5	CarMax Auto Owner Trust 2017-4	2.330%	5/15/23	3,460		3,485
5	CarMax Auto Owner Trust 2017-4	2.460%	8/15/23	1,640		1,651
5	CarMax Auto Owner Trust 2017-4	2.700%	10/16/23	1,640		1,659
5	CarMax Auto Owner Trust 2018-1	2.640%	6/15/23	3,040		3,085
5	CarMax Auto Owner Trust 2018-1	2.830%	9/15/23	5,020		5,106
5	CarMax Auto Owner Trust 2018-1	2.950%	11/15/23	1,560		1,575
5	CarMax Auto Owner Trust 2018-2	3.370%	10/16/23	2,140		2,209
5	CarMax Auto Owner Trust 2018-2	3.570%	12/15/23	3,090		3,191
5	CarMax Auto Owner Trust 2018-2	3.990%	4/15/25	2,390		2,478
5	CarMax Auto Owner Trust 2018-3	3.130%	6/15/23	13,490		13,711
5	CarMax Auto Owner Trust 2018-3	3.270%	3/15/24	6,740		6,984
5	CarMax Auto Owner Trust 2018-4	3.360%	9/15/23	9,160		9,348
5	CarMax Auto Owner Trust 2018-4	3.480%	2/15/24	3,370		3,521
5	CarMax Auto Owner Trust 2018-4	3.670%	5/15/24	2,960		3,089
5	CarMax Auto Owner Trust 2018-4	3.850%	7/15/24	2,010		2,102
5	CarMax Auto Owner Trust 2018-4	4.150%	4/15/25	1,360		1,422
5	CarMax Auto Owner Trust 2019-3	2.300%	4/15/25	4,760		4,864
5	CarMax Auto Owner Trust 2019-3	2.500%	4/15/25	6,040		6,126
5	CarMax Auto Owner Trust 2019-4	2.130%	7/15/25	4,510		4,574
5	CarMax Auto Owner Trust 2019-4	2.600%	9/15/25	2,690		2,757
5	CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49	18,170		18,919
5	CD 2016-CD1 Commercial Mortgage Trust	3.631%	8/10/49	5,510		5,690
5	CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50	7,765		8,541
5	CD 2017-CD4 Commercial Mortgage Trust	3.514%	5/10/50	2,470		2,699
5	CD 2017-CD5 Commercial Mortgage Trust	3.431%	8/15/50	7,960		8,666
5	CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50	2,341		2,554
5	CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57	7,270		7,682
5,8	CFCRE Commercial Mortgage Trust 2011-C2	5.933%	12/15/47	5,260		5,529
5	CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58	4,826		5,135
5,8	Chesapeake Funding II LLC 2018-1	3.040%	4/15/30	7,789		7,868
5,8	Chesapeake Funding II LLC 2019-1	2.940%	4/15/31	14,109		14,303
5,8	Chrysler Capital Auto Receivables Trust 2016-AA	4.220%	2/15/23	8,530		8,562
5,8	Citigroup Commercial Mortgage Trust 2012-GC8	3.683%	9/10/45	2,017		2,083
5	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46	6,015		6,220
5	Citigroup Commercial Mortgage Trust 2013-GC15	3.942%	9/10/46	654		677
5	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46	1,910		2,063
5	Citigroup Commercial Mortgage Trust 2014-GC19	3.753%	3/10/47	491		523
5	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47	16,273		17,520
5	Citigroup Commercial Mortgage Trust 2014-GC21	3.575%	5/10/47	13,891		14,700
5	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47	9,397		10,098
5	Citigroup Commercial Mortgage Trust 2014-GC23	3.356%	7/10/47	4,366		4,618
5	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47	8,949		9,593
5	Citigroup Commercial Mortgage Trust 2014-GC23	3.863%	7/10/47	2,020		2,148
5	Citigroup Commercial Mortgage Trust 2014-GC23	4.175%	7/10/47	800		835
5	Citigroup Commercial Mortgage Trust 2014-GC23	4.586%	7/10/47	1,250		1,328

43 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Citigroup Commercial Mortgage Trust 2014-GC25	3.372%	10/10/47	4,729		4,988
5	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47	13,275		14,230
5	Citigroup Commercial Mortgage Trust 2014-GC25	4.345%	10/10/47	2,170		2,320
5	Citigroup Commercial Mortgage Trust 2014-GC25	4.676%	10/10/47	3,270		3,504
5	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48	6,418		6,769
5	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48	38,770		42,230
5	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58	24,599		26,890
5	Citigroup Commercial Mortgage Trust 2015-GC33	4.725%	9/10/58	900		961
5	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49	9,545		10,210
5	Citigroup Commercial Mortgage Trust 2016-C2	2.575%	8/10/49	7,470		7,683
5	Citigroup Commercial Mortgage Trust 2016-GC37	3.050%	4/10/49	22,200		23,413
5	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49	19,310		20,311
5	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50	6,425		7,016
5	Citigroup Commercial Mortgage Trust 2017-P8	3.465%	9/15/50	13,370		14,584
5	Citigroup Commercial Mortgage Trust 2017-P8	4.192%	9/15/50	3,150		3,415
5	Citigroup Commercial Mortgage Trust 2017-P8	4.411%	9/15/50	3,150		3,351
5	Citigroup Commercial Mortgage Trust 2018-C5	4.228%	6/10/51	900		1,035
5	Citigroup Commercial Mortgage Trust 2018-C6	4.343%	11/10/51	7,300		8,228
5	Citigroup Commercial Mortgage Trust 2018-C6	4.412%	11/10/51	11,580		13,533
5	Citigroup Commercial Mortgage Trust 2019-C7	2.860%	12/15/72	13,420		14,143
5	Citigroup Commercial Mortgage Trust 2019-C7	3.042%	12/15/72	11,228		11,841
5	Citigroup Commercial Mortgage Trust 2019-C7	3.102%	12/15/72	26,620		28,500
5,8	CLI Funding V LLC 2013-1A	2.830%	3/18/28	1,841		1,834
5	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45	2,971		3,055
5	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45	3,900		4,024
5	COMM 2012-CCRE3 Mortgage Trust	2.822%	10/15/45	6,628		6,740
5,8	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45	6,160		6,309
5	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45	6,857		7,001
5	COMM 2012-CCRE4 Mortgage Trust	3.251%	10/15/45	420		422
5	COMM 2012-CCRE5 Mortgage Trust	2.771%	12/10/45	2,919		2,983
5,8	COMM 2013-300P Mortgage Trust	4.353%	8/10/30	12,270		13,254
5	COMM 2013-CCRE10 Mortgage Trust	3.795%	8/10/46	593		614
5	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50	4,875		5,189
5	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50	4,757		5,141
5	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46	1,342		1,387
5	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46	5,691		5,921
5	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46	13,127		14,047
5	COMM 2013-CCRE13 Mortgage Trust	4.194%	11/10/46	23,397		25,212
5	COMM 2013-CCRE13 Mortgage Trust	5.052%	11/10/46	855		934
5	COMM 2013-CCRE13 Mortgage Trust	5.052%	11/10/46	3,025		3,238
5,8	COMM 2013-CCRE6 Mortgage Trust	3.147%	3/10/46	9,240		9,521
5,8	COMM 2013-CCRE6 Mortgage Trust	3.397%	3/10/46	1,400		1,439
5	COMM 2013-CCRE8 Mortgage Trust	3.334%	6/10/46	554		579
5	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46	8,560		8,979
5	COMM 2013-CCRE9 Mortgage Trust	4.363%	7/10/45	5,493		5,865
5,8	COMM 2013-CCRE9 Mortgage Trust	4.387%	7/10/45	2,780		2,676
5,8	COMM 2013-LC13 Mortgage Trust	3.774%	8/10/46	977		1,010
5	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46	585		631
5	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46	3,883		3,991
5,8	COMM 2013-SFS Mortgage Trust	3.086%	4/12/35	6,702		6,911
5,8	COMM 2014-277P Mortgage Trust	3.732%	8/10/49	18,320		19,672
5	COMM 2014-CCRE14 Mortgage Trust	3.955%	2/10/47	500		535
5	COMM 2014-CCRE14 Mortgage Trust	4.236%	2/10/47	4,932		5,346
5	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47	487		488
5	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47	4,350		4,710
5	COMM 2014-CCRE15 Mortgage Trust	4.426%	2/10/47	1,300		1,394
5	COMM 2014-CCRE17 Mortgage Trust	3.700%	5/10/47	982		1,040
5	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47	6,398		6,920
5	COMM 2014-CCRE17 Mortgage Trust	4.174%	5/10/47	1,290		1,390
5	COMM 2014-CCRE17 Mortgage Trust	4.946%	5/10/47	4,400		4,671
5	COMM 2014-CCRE18 Mortgage Trust	3.550%	7/15/47	6,320		6,626
5	COMM 2014-CCRE18 Mortgage Trust	3.828%	7/15/47	11,585		12,478
5	COMM 2014-CCRE20 Mortgage Trust	3.326%	11/10/47	13,080		13,839
5	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47	15,433		16,549

44 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47	21,317		22,648
5	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47	2,512		2,719
5	COMM 2015-CCRE24 Mortgage Trust	3.696%	8/10/48	2,590		2,816
5	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48	4,187		4,562
5	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48	3,748		4,069
5	COMM 2015-CCRE27 Mortgage Trust	4.620%	10/10/48	1,760		1,888
5	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48	10,403		11,006
5	COMM 2019-G44 Mortgage Trust	2.873%	8/15/57	10,864		11,412
5	COMM 2019-G44 Mortgage Trust	2.950%	8/15/57	24,940		26,434
5	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57	6,650		7,121
5	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48	6,150		6,668
5	CSAIL 2015-C3 Commercial Mortgage Trust	4.499%	8/15/48	2,160		2,234
5	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48	11,274		12,319
5	CSAIL 2016-C5 Commercial Mortgage Trust	4.729%	11/15/48	3,620		3,916
5	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49	17,308		18,643
5	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50	6,995		7,553
5	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51	6,690		7,669
5	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52	5,600		6,377
5	CSAIL 2019-C18 Commercial Mortgage Trust	2.868%	12/15/52	10,783		11,234
5	CSAIL 2019-C18 Commercial Mortgage Trust	2.968%	12/15/52	31,206		32,956
5,8	Daimler Trucks Retail Trust 2019-1	2.790%	5/15/25	5,700		5,791
5	DBGS Mortgage Trust 2018-C1	4.466%	10/15/51	12,600		14,711
5	DBJPM 16-C1 Mortgage Trust	3.501%	5/10/49	1,250		1,266
5	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50	11,540		12,481
5,7,8	DELAM 2018-1, 1M USD LIBOR + 0.700%	2.358%	11/19/25	10,290		10,287
5,8	Dell Equipment Finance Trust 2019-1	2.830%	3/22/24	15,220		15,424
5	Deutsche Bank Commercial Mortgage Trust 2016-C3	2.632%	8/10/49	11,870		12,225
5	Discover Card Execution Note Trust 2019-A1	3.040%	7/15/24	15,220		15,662
5	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24	26,220		26,468
5,8	DLL Securitization Trust Series 2018-A4	3.590%	6/20/24	4,400		4,516
5,8	DLL Securitization Trust Series 2019-DA1	2.890%	4/20/23	14,950		15,109
5,8	DLL Securitization Trust Series 2019-DA1	2.920%	4/20/27	10,910		11,200
5,8	DLL Securitization Trust Series 2019-MT3	2.150%	9/21/26	9,600		9,674
5,8	DRB Prime Student Loan Trust 2017-C	2.810%	11/25/42	10,195		10,333
5,8	Drive Auto Receivables Trust 2016-BA	4.530%	8/15/23	7,357		7,429
5,8	Drive Auto Receivables Trust 2016-C	4.180%	3/15/24	9,441		9,553
5	Drive Auto Receivables Trust 2017-1	3.840%	3/15/23	1,581		1,598
5	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24	10,353		10,412
5	Drive Auto Receivables Trust 2018-2	4.140%	8/15/24	8,560		8,796
5	Drive Auto Receivables Trust 2018-3	3.370%	9/15/22	1,888		1,890
5	Drive Auto Receivables Trust 2018-3	3.720%	9/16/24	15,170		15,303
5	Drive Auto Receivables Trust 2018-3	4.300%	9/16/24	8,070		8,319
5	Drive Auto Receivables Trust 2018-5	3.680%	7/15/23	10,250		10,341
5	Drive Auto Receivables Trust 2018-5	3.990%	1/15/25	9,780		10,031
5	Drive Auto Receivables Trust 2018-5	4.300%	4/15/26	13,430		13,933
5	Drive Auto Receivables Trust 2019-2	3.690%	8/17/26	5,630		5,821
5,7,8	Edsouth Indenture No. 9 LLC 2015-1, 1M USD LIBOR + 0.800%	2.461%	10/25/56	4,693		4,672
5,8	EDvestinU Private Education Loan Trust (EDVES) 2019-A	3.580%	11/25/38	3,697		3,843
5,8	ELFI Graduate Loan Program 2018-A LLC	3.430%	8/25/42	8,459		8,691
5,8	Enterprise Fleet Financing LLC Series 2019-1	2.980%	10/20/24	3,387		3,424
5,8	Enterprise Fleet Financing LLC Series 2019-1	3.070%	10/20/24	4,970		5,102
5,6,7,8	Fannie Mae Connecticut Avenue Securities 2019-R03, 1M USD LIBOR + 0.750%	2.411%	9/25/31	745		745
5,6,7,8	Fannie Mae Connecticut Avenue Securities 2019-R04, 1M USD LIBOR + 0.750%	2.411%	6/25/39	4,855		4,857
5,6	Fannie Mae Grantor Trust 2017-T1	2.898%	6/25/27	10,250		10,810
5,6	Fannie Mae-Aces 2011-84A	5.250%	9/25/41	14,376		16,603
5,6	Fannie Mae-Aces 2013-19A	3.500%	3/25/43	20,189		22,256
5,6	Fannie Mae-Aces 2016-53KA	1.850%	8/25/46	37,910		37,680
5,6	Fannie Mae-Aces 2018-49E	3.500%	7/25/48	2,108		2,217
5,6	Fannie Mae-Aces 2018-73E	4.000%	10/25/48	7,779		8,453
5,6	Federal Home Loan Mortgage Corp 2017- 357A	2.500%	9/15/47	59,960		61,236

45 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5,6	FHLMC Multifamily Structured Pass Through Certificates 4763C	4.000%	8/15/47	11,605		12,962
5,6	FHLMC Multifamily Structured Pass Through Certificates 4818J	4.000%	8/15/48	2,210		2,398
5,6	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	6,636		7,142
5,6	FHLMC Multifamily Structured Pass Through Certificates 4819E	4.000%	7/15/48	7,644		8,340
5,6	FHLMC Multifamily Structured Pass Through Certificates 4823E	4.000%	9/15/48	26,984		29,457
5,6	FHLMC Multifamily Structured Pass Through Certificates 4826A	4.000%	9/15/48	19,418		20,838
5,6	FHLMC Multifamily Structured Pass Through Certificates 4827	4.000%	5/15/48	5,026		5,598
5,6	FHLMC Multifamily Structured Pass Through Certificates 4883A	4.000%	5/15/49	4,637		5,083
5,6	FHLMC Multifamily Structured Pass Through Certificates 4883A	4.000%	5/15/49	4,637		5,034
5,6	FHLMC Multifamily Structured Pass Through Certificates 4945F	2.500%	9/25/49	77,652		79,471
5,8	Fontaineblue Miami Beach Trust 2019-FBLU	3.144%	12/10/36	29,570		30,860
5	Ford Credit Auto Lease Trust 2018-A	3.170%	9/15/21	5,150		5,185
5	Ford Credit Auto Lease Trust 2019-A	3.250%	7/15/22	8,470		8,584
5,8	Ford Credit Auto Owner Trust 2016-REV2	2.030%	12/15/27	13,310		13,343
5,8	Ford Credit Auto Owner Trust 2017-1	2.620%	8/15/28	15,850		16,166
5,8	Ford Credit Auto Owner Trust 2017-2	2.360%	3/15/29	22,090		22,465
5,8	Ford Credit Auto Owner Trust 2017-2	2.600%	3/15/29	4,800		4,857
5,8	Ford Credit Auto Owner Trust 2017-2	2.750%	3/15/29	9,830		9,984
5,8	Ford Credit Auto Owner Trust 2018-2	3.760%	1/15/30	3,660		3,815
5	Ford Credit Auto Owner Trust 2018-B	3.380%	3/15/24	6,360		6,557
5,8	Ford Credit Auto Owner Trust 2018-REV1	3.190%	7/15/31	19,160		20,315
5,8	Ford Credit Auto Owner Trust 2018-REV1	3.340%	7/15/31	7,010		7,268
5,8	Ford Credit Auto Owner Trust 2018-REV2	3.470%	1/15/30	9,790		10,367
5,8	Ford Credit Auto Owner Trust 2018-REV2	3.610%	1/15/30	8,140		8,457
5,8	Ford Credit Auto Owner Trust 2019-1	3.520%	7/15/30	6,393		6,819
5	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24	11,040		11,443
5	Ford Credit Auto Owner Trust 2019-A	3.020%	10/15/24	4,250		4,391
5	Ford Credit Auto Owner Trust 2019-A	3.250%	9/15/25	4,520		4,668
5	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23	27,090		27,501
5	Ford Credit Floorplan Master Owner Trust A Series 2018-3	3.520%	10/15/23	26,880		27,714
5	Ford Credit Floorplan Master Owner Trust A Series 2019-1	2.840%	3/15/24	19,500		19,983
5	Ford Credit Floorplan Master Owner Trust A Series 2019-2	3.250%	4/15/26	3,330		3,453
5,6,7	Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA3, 1M USD LIBOR + 2.000%	3.661%	12/25/28	224		224
5,6,8	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1	3.734%	2/25/48	3,685		3,710
5,6,8	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI2	3.813%	5/25/48	2,429		2,446
5,6,8	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI3	4.151%	8/25/48	1,259		1,281
5,6,8	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI4	4.460%	11/25/48	47		47
5,6,7,8	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2, 1M USD LIBOR + 0.700%	2.361%	4/25/49	2,157		2,158
5	GM Financial Automobile Leasing Trust 2017-3	2.730%	9/20/21	2,240		2,242
5,8	GM Financial Consumer Automobile 2017-3	2.330%	3/16/23	1,640		1,651
5	GM Financial Consumer Automobile 2018-3	3.160%	1/16/24	3,690		3,804
5	GM Financial Consumer Automobile 2018-4	3.320%	6/17/24	4,120		4,287
5	GM Financial Consumer Automobile 2019-1	3.110%	7/16/24	5,320		5,503
5	GM Financial Consumer Automobile 2019-2	2.710%	8/16/24	6,740		6,919

46 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	GM Financial Securitized Term Auto Receivables Trust 2019-4	1.760%	1/16/25	3,240		3,242
5,8	GMF Floorplan Owner Revolving Trust 2017-2	2.630%	7/15/22	7,240		7,251
5,8	GMF Floorplan Owner Revolving Trust 2018-2	3.130%	3/15/23	19,810		20,102
5,8	GMF Floorplan Owner Revolving Trust 2019-1	2.700%	4/15/24	5,900		6,005
5,8	Golden Credit Card Trust 2018-1A	2.620%	1/15/23	33,286		33,528
5,8	Golden Credit Card Trust 2018-4A	3.440%	10/15/25	42,560		44,805
5,7,8	Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450%	2.360%	8/25/60	5,131		5,125
5,8	GRACE Mortgage Trust 2014-A	3.369%	6/10/28	1,000		1,013
5,8	GreatAmerica Leasing Receivables Funding LLC Series 2018-1	2.830%	6/17/24	1,310		1,328
5,8	GreatAmerica Leasing Receivables Funding LLC Series 2019-1	3.210%	2/18/25	2,540		2,622
5,8	GS Mortgage Securities Corporation Trust 2012-ALOHA	3.551%	4/10/34	5,430		5,634
5,8	GS Mortgage Securities Trust 2010-C2	5.352%	12/10/43	1,370		1,400
5,8	GS Mortgage Securities Trust 2011-GC3	5.824%	3/10/44	2,650		2,728
5,8	GS Mortgage Securities Trust 2012-BWTR	2.954%	11/5/34	7,625		7,811
5,8	GS Mortgage Securities Trust 2012-GC6	4.948%	1/10/45	1,025		1,073
5	GS Mortgage Securities Trust 2012-GCJ7	5.875%	5/10/45	2,140		2,250
5	GS Mortgage Securities Trust 2013-GC13	4.186%	7/10/46	185		199
5,8	GS Mortgage Securities Trust 2013-GC13	4.219%	7/10/46	1,210		1,265
5	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46	4,128		4,282
5	GS Mortgage Securities Trust 2013-GCJ12	3.777%	6/10/46	1,550		1,608
5	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46	567		585
5	GS Mortgage Securities Trust 2013-GCJ14	3.955%	8/10/46	6,005		6,297
5	GS Mortgage Securities Trust 2013-GCJ14	4.243%	8/10/46	105		113
5	GS Mortgage Securities Trust 2014-GC20	3.998%	4/10/47	11,289		12,158
5	GS Mortgage Securities Trust 2014-GC20	4.258%	4/10/47	570		609
5	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47	13,475		14,593
5	GS Mortgage Securities Trust 2014-GC24	4.162%	9/10/47	6,520		7,044
5	GS Mortgage Securities Trust 2014-GC24	4.644%	9/10/47	2,610		2,759
5	GS Mortgage Securities Trust 2014-GC24	4.665%	9/10/47	4,615		4,482
5	GS Mortgage Securities Trust 2014-GC26	3.364%	11/10/47	7,680		8,114
5	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47	17,870		19,190
5	GS Mortgage Securities Trust 2015-GC28	3.136%	2/10/48	9,286		9,739
5	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	2,398		2,565
5	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	4,615		5,035
5	GS Mortgage Securities Trust 2015-GC34	3.244%	10/10/48	7,680		8,092
5	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48	14,640		15,811
5	GS Mortgage Securities Trust 2015-GC34	4.807%	10/10/48	2,610		2,800
5	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	2,220		2,325
5	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	10,220		11,079
5	GS Mortgage Securities Trust 2018-GS10	4.155%	7/10/51	5,335		6,098
5	GS Mortgage Securities Trust 2019-GC38	3.968%	2/10/52	3,080		3,506
5	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	6,528		7,033
5	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52	13,130		13,981
5	GS Mortgage Securities Trust 2020-GC45	2.911%	2/13/53	41,360		43,740
5	GS Mortgage Securities Trust-2020-GC45	2.843%	2/13/53	7,336		7,715
8	GTP Acquisition Partners I LLC	2.350%	6/15/20	850		850
5,8	Hardee's Funding HNGRY 2018-1	4.959%	6/20/48	1,057		1,101
5,8	Hardee's Funding HNGRY 2018-1A	5.710%	6/20/48	11,337		12,185
5,8	Harley Marine Financing LLC Barge 2018-1	5.682%	5/15/43	7,537		6,821
5	Harley-Davidson Motorcycle Trust 2019-A	2.340%	2/15/24	18,480		18,574
5	Harley-Davidson Motorcycle Trust 2019-A	2.390%	11/15/26	4,110		4,162
5,8	Hertz Fleet Lease Funding LP 2018-1	3.230%	5/10/32	12,300		12,403
5,8	Hertz Vehicle Financing II LP 2015-3A	2.670%	9/25/21	4,700		4,717
5,8	Hertz Vehicle Financing II LP 2016-2A	2.950%	3/25/22	4,841		4,894
5,8	Hilton USA Trust 2016-HHV	3.719%	11/5/38	7,780		8,463
5,7,8	Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360%	2.191%	10/15/54	5,323		5,322
5,7,8	Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.251%	10/15/54	7,854		7,851

47 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Honda Auto Receivables 2018-3 Owner Trust	3.070%	11/21/24	3,200		3,289
5	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23	47,720		48,464
5	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25	9,690		9,895
5	Honda Auto Receivables 2018-4 Owner Trust	3.300%	7/15/25	4,180		4,316
5	Honda Auto Receivables 2019-1 Owner Trust	2.900%	6/18/24	2,480		2,549
5	Honda Auto Receivables 2019-3 Owner Trust	1.850%	8/15/25	9,400		9,410
5,8	Houston Galleria Mall Trust 2015-HGLR	3.087%	3/5/37	10,910		11,371
5,8	HPEFS Equipment Trust 2019-1	2.210%	9/20/29	1,700		1,706
5,8	HPEFS Equipment Trust 2019-1	2.320%	9/20/29	2,800		2,815
5,8	HPEFS Equipment Trust 2019-1	2.490%	9/20/29	2,600		2,617
5,8	HPEFS Equipment Trust 2019-1	2.720%	9/20/29	1,200		1,209
5,8	Hudson Yards 2019-30HY	3.228%	7/10/39	4,590		4,958
5,8	Hudsons Bay Simon JV Trust 2015-HB7	3.914%	8/5/34	4,750		4,877
5,8	Hyundai Auto Lease Securitization Trust 2019-A	2.980%	7/15/22	8,780		8,899
5,8	Hyundai Auto Lease Securitization Trust 2019-A	3.050%	12/15/22	1,440		1,465
5	Hyundai Auto Receivables Trust 2019-A	2.710%	5/15/25	4,680		4,799
5	Hyundai Auto Receivables Trust 2019-A	2.940%	5/15/25	2,490		2,563
5	Hyundai Auto Receivables Trust 2019-B	2.000%	4/15/25	1,850		1,865
5	Hyundai Auto Receivables Trust 2019-B	2.210%	4/15/25	530		535
5,8	Hyundai Floorplan Master Owner Trust Series 2019-1A	2.680%	4/15/24	7,380		7,536
9	Intu SGS Finance plc	4.250%	9/17/30	750		860
5,7,8	Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 0.850%	2.519%	12/17/36	13,553		13,534
5,7,8	Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 1.150%	2.819%	12/17/36	4,930		4,919
5,7,8	Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.700%	2.369%	3/17/37	8,627		8,564
5,7,8	Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.950%	2.619%	3/17/37	2,250		2,233
5,8	Irvine Core Office Trust 2013-IRV	3.279%	5/15/48	6,631		6,881
5,8	Jackson Park Trust 2019-LIC	2.766%	10/14/39	6,930		7,136
5	John Deere Owner Trust 2018-B	3.230%	6/16/25	5,250		5,385
5	John Deere Owner Trust 2018-B	3.000%	1/15/26	2,280		2,349
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	4.070%	11/15/43	687		690
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	5.786%	11/15/43	2,313		2,346
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	5.786%	11/15/43	2,730		2,783
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3	4.717%	2/15/46	6,474		6,612
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5	5.599%	8/15/46	4,000		4,173
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1	4.717%	3/16/46	920		940
5	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45	3,221		3,327
5	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45	3,815		3,898
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	3.424%	10/15/45	22,630		23,374
5	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	4.271%	6/15/45	1,350		1,416
5,8	JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC	3.093%	7/5/32	5,751		5,903
5	JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9	2.840%	12/15/47	3,713		3,792
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13	3.994%	1/15/46	288		307
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13	4.201%	1/15/46	2,550		2,680
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.674%	12/15/46	893		921

48 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.881%	12/15/46	651		694
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46	29,810		32,173
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	5.130%	12/15/46	2,135		2,346
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	5.195%	12/15/46	960		1,045
5	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46	11,111		11,468
5	JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20	3.461%	7/15/47	10,488		10,846
5	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49	5,088		5,335
5	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49	18,926		20,773
5	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.490%	7/15/50	4,140		4,515
5	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.363%	7/15/45	5,108		5,328
5	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45	5,515		5,821
5	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.176%	7/15/45	5,000		5,315
5	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46	1,110		1,148
5	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46	6,118		6,561
5	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45	293		302
5	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.927%	11/15/45	1,750		1,912
5	JPMBB Commercial Mortgage Securities Trust 2013-C15	5.371%	11/15/45	1,340		1,464
5	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.199%	1/15/47	4,363		4,723
5	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47	14,680		15,866
5	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47	600		649
5	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.970%	2/15/47	2,500		2,693
5	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.970%	2/15/47	1,000		1,067
5	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47	3,680		3,972
5	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.493%	8/15/47	5,402		5,686
5	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47	6,021		6,464
5	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.231%	1/15/48	12,689		13,313
5	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48	5,121		5,471
5	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.179%	2/15/48	9,941		10,488
5	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.551%	7/15/48	4,640		4,960
5	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48	3,700		4,041
5	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48	2,245		2,456
5	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48	11,540		12,621

49 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48	3,878		4,198
5	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48	7,300		7,999
5	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50	9,680		10,682
5	JPMCC Commercial Mortgage Securities Trust 2017-JP7	3.454%	9/15/50	4,680		5,100
5	JPMDB Commercial Mortgage Securities Trust 2016-C4	3.141%	12/15/49	2,840		3,032
5	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50	1,860		2,023
5	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51	150		172
5,7,8	Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420%	2.319%	12/22/69	4,216		4,207
5,7	Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.319%	12/22/69	4,644		4,646
8	Lanark Master Issuer plc 2020-1A	2.277%	12/22/69	3,100		3,172
5,8	Laurel Road Prime Student Loan Trust 2018-B	3.540%	5/26/43	12,198		12,669
5,8	Laurel Road Prime Student Loan Trust 2019-A	2.730%	10/25/48	10,750		10,909
5,8	LCCM Mortgage Trust 2014-A	3.388%	5/15/31	910		922
5	Louisiana Local Government Environmental Facilities & Community Development Authority Revenue 2010-ELL	3.450%	2/1/22	410		410
5,8	Madison Avenue Trust 2013-650M	3.843%	10/12/32	1,245		1,253
5	Mercedes-Benz Auto Receivables Trust 2018-1	3.150%	10/15/24	5,220		5,377
5	Mercedes-Benz Auto Receivables Trust 2019-1	2.040%	1/15/26	11,600		11,686
5,8	Mercedes-Benz Master Owner Trust 2019-B	2.610%	5/15/24	24,600		25,124
5,8	MMAF Equipment Finance LLC 2015-AA	2.490%	2/19/36	10,879		10,951
5,8	MMAF Equipment Finance LLC 2018-A	3.390%	1/10/25	2,900		2,988
5,8	MMAF Equipment Finance LLC 2018-A	3.610%	3/10/42	1,580		1,657
5,8	MMAF Equipment Finance LLC 2019-A	3.080%	11/12/41	2,630		2,742
5,8	Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV	3.277%	10/15/30	11,190		11,358
5	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45	8,462		8,699
5	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.792%	8/15/45	16,040		16,689
5	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45	5,277		5,393
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.217%	7/15/46	1,244		1,333
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.217%	7/15/46	1,830		1,882
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	3.960%	8/15/46	10,951		11,568
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.298%	8/15/46	3,937		4,210
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	3.824%	10/15/46	699		723
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46	1,940		2,094
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46	400		431
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46	2,470		2,539
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46	2,000		2,051
5	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	12,980		13,463
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47	2,300		2,483

50 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.384%	2/15/47	1,600		1,728
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	3.773%	4/15/47	10,122		10,828
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	4.051%	4/15/47	21,575		23,327
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	5.073%	4/15/47	1,140		1,238
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47	8,898		9,581
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.094%	6/15/47	935		999
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.496%	6/15/47	7,090		7,595
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.929%	6/15/47	2,400		2,553
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	3.741%	8/15/47	28,696		30,783
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	4.011%	8/15/47	1,380		1,473
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47	5,430		5,884
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47	6,773		6,992
5	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47	3,940		4,211
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48	8,639		8,885
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48	10,453		11,056
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.451%	7/15/50	5,530		5,880
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50	3,870		4,202
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.479%	5/15/48	4,300		4,582
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.732%	5/15/48	34,430		37,454
5	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	8,263		8,963
5	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.058%	5/15/49	4,150		4,379
5	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.325%	5/15/49	20,609		22,062
5	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	4.907%	5/15/49	1,090		1,175
5	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49	30,527		33,609
5	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	6,550		7,176
5	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45	2,260		2,306
5	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45	2,440		2,514
5,8	Morgan Stanley Capital I Trust 2012-STAR	3.201%	8/5/34	6,407		6,578
5,8	Morgan Stanley Capital I Trust 2014-150E	3.912%	9/9/32	6,370		6,845
5,8	Morgan Stanley Capital I Trust 2014-CPT	3.350%	7/13/29	2,795		2,846
5,8	Morgan Stanley Capital I Trust 2015-420	3.727%	10/12/50	4,398		4,668
5	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48	51,005		55,782
5	Morgan Stanley Capital I Trust 2015-UBS8	4.738%	12/15/48	3,210		3,430
5	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	5,260		5,590
5	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	32,178		33,513
5	Morgan Stanley Capital I Trust 2016-UBS9	3.594%	3/15/49	10,920		11,814
5	Morgan Stanley Capital I Trust 2017-HR2	3.509%	12/15/50	2,800		3,016
5	Morgan Stanley Capital I Trust 2017-HR2	3.587%	12/15/50	3,506		3,849
5	Morgan Stanley Capital I Trust 2018-H4	4.247%	12/15/51	6,730		7,529

51 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/52	23,310		25,064
5	Morgan Stanley Captial I Trust 2016-BNK2	2.791%	11/15/49	8,300		8,594
5,7,8	Motor plc 2017-1A, 1M USD LIBOR + 0.530%	2.191%	9/25/24	7,474		7,472
5,7,8	Navient Student Loan Trust 2016-2, 1M USD LIBOR + 1.050%	2.711%	6/25/65	1,326		1,333
5,7,8	Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850%	2.511%	6/25/65	589		590
5,7,8	Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750%	2.411%	3/25/66	8,913		8,953
5,8	Navient Student Loan Trust 2017-A	2.880%	12/16/58	8,776		8,895
5,8	Navient Student Loan Trust 2018-BA	3.430%	12/15/59	16,809		16,870
5,8	Navient Student Loan Trust 2018-BA	3.610%	12/15/59	5,840		6,037
5,8	Navient Student Loan Trust 2018-BA	4.000%	12/15/59	32,690		34,057
5,8	Navient Student Loan Trust 2018-CA	3.520%	6/16/42	23,520		24,237
5,8	Navient Student Loan Trust 2018-DA	4.000%	12/15/59	19,280		20,226
5,8	Navient Student Loan Trust 2019-B	3.390%	12/15/59	6,510		6,825
5	Nissan Auto Lease Trust 2018-B	3.350%	9/15/23	5,450		5,524
5	Nissan Auto Lease Trust 2019-A	2.760%	3/15/22	10,010		10,125
5	Nissan Auto Lease Trust 2019-A	2.780%	7/15/24	4,910		4,975
5	Nissan Auto Receivables 2017-C Owner Trust	2.280%	2/15/24	10,870		10,934
5	Nissan Auto Receivables 2019-A Owner Trust	3.160%	12/16/24	5,220		5,382
5	Nissan Auto Receivables 2019-A Owner Trust	3.000%	9/15/25	3,520		3,659
5	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23	49,120		49,861
5	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25	9,540		9,764
5,8	One Bryant Park 2019 - OBP A	2.516%	9/15/54	6,830		6,982
5,8	Palisades Center Trust 2016-PLSD	2.713%	4/13/33	8,980		9,032
5,7,8	Pepper Residential Securities Trust 2018-A, 1M USD LIBOR + 0.950%	2.634%	3/12/47	163		163
5,7,8	Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880%	2.550%	1/16/60	9,775		9,768
5,7,8	Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000%	2.654%	6/20/60	5,762		5,760
5,7,8	Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950%	2.604%	8/18/60	2,644		2,638
5,7,8	Permanent Master Issuer plc 2018-1A, 3M USD LIBOR + 0.380%	2.211%	7/15/58	4,905		4,905
5,8	PFS Financing Corp 2017-B	2.220%	7/15/22	15,980		16,004
5,8	PFS Financing Corp. 2017-D	2.400%	10/17/22	17,210		17,276
5,8	PFS Financing Corp. 2018-D	3.190%	4/17/23	5,460		5,544
5,7,8	PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950%	2.611%	11/25/65	9,943		9,902
5,8	Progress Residential 2015-SFR3 Trust	3.067%	11/12/32	9,287		9,285
5,8	Progress Residential 2015-SFR3 Trust	3.733%	11/12/32	3,460		3,462
5,8	Progress Residential 2017-SFR2 Trust	2.897%	12/17/34	7,756		7,769
5,8	Progress Residential 2017-SFR2 Trust	3.196%	12/17/34	2,020		2,029
5,8	Progress Residential 2018-SFR1 Trust	3.255%	3/17/35	4,574		4,645
5,8	Progress Residential 2018-SFR1 Trust	3.484%	3/17/35	580		585
5,8	Progress Residential 2018-SFR3 Trust	3.880%	10/17/35	15,061		15,533
5	Public Service New Hampshire Funding LLC 2018-1	3.094%	2/1/26	2,840		2,919
5,7,8	Resimac Premier Series 2018-1A, 1M USD LIBOR + 0.800%	2.477%	11/10/49	8,022		8,017
5,7,8	Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850%	2.584%	12/5/59	10,335		10,342
5,7,8	Resimac Premier Series 2018-2, 1M USD LIBOR + 0.850%	2.527%	4/10/50	1,848		1,846
5	Santander Drive Auto Receivables Trust 2016-2	3.390%	4/15/22	1,440		1,450
5	Santander Drive Auto Receivables Trust 2017-3	2.760%	12/15/22	3,773		3,785
5	Santander Drive Auto Receivables Trust 2018-1	2.960%	3/15/24	9,410		9,463
5	Santander Drive Auto Receivables Trust 2018-1	3.320%	3/15/24	4,110		4,161
5	Santander Drive Auto Receivables Trust 2018-3	4.070%	8/15/24	21,950		22,544
5	Santander Drive Auto Receivables Trust 2018-4	3.980%	12/15/25	11,000		11,351
5	Santander Drive Auto Receivables Trust 2018-5	4.190%	12/16/24	17,580		18,130
5,8	Santander Retail Auto Lease Trust 2017-A	2.680%	1/20/22	2,850		2,853
5,8	Santander Retail Auto Lease Trust 2018-A	3.200%	4/20/22	3,340		3,362

52 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5,8	Santander Retail Auto Lease Trust 2018-A	3.490%	5/20/22	7,760		7,862
5,8	Santander Retail Auto Lease Trust 2019-A	2.770%	6/20/22	28,060		28,520
5,8	SBA Tower Trust	3.156%	10/8/20	3,970		3,973
5,8	Securitized Term Auto Receivables Trust 2018-1A	3.298%	11/25/22	2,350		2,399
5,8	Securitized Term Auto Receivables Trust 2018-2A	3.544%	6/26/23	3,370		3,478
5,8	SLM Private Education Loan Trust 2011-C	4.540%	10/17/44	132		133
5,8	SLM Private Education Loan Trust 2013-B	3.000%	5/16/44	1,971		1,972
5,8	SLM Private Education Loan Trust 2014-A	3.500%	11/15/44	800		813
5	SMART ABS Series 2016-2US Trust	2.050%	12/14/22	1,830		1,828
5,8	SMB Private Education Loan Trust 2016-A	2.700%	5/15/31	3,659		3,710
5,7,8	SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.450%	3.126%	2/17/32	2,715		2,755
5,7,8	SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100%	2.776%	9/15/34	3,841		3,866
5,7,8	SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900%	2.576%	9/15/34	6,293		6,313
5,8	SMB Private Education Loan Trust 2017-B	2.820%	10/15/35	8,378		8,552
5,8	SMB Private Education Loan Trust 2018-A	3.500%	2/15/36	18,170		18,977
5,8	SMB Private Education Loan Trust 2018-B	3.600%	1/15/37	10,670		11,118
5,8	SMB Private Education Loan Trust 2018-C	3.630%	11/15/35	14,560		15,210
5,8	SoFi Professional Loan Program 2016-B LLC	2.740%	10/25/32	2,090		2,114
5,8	SoFi Professional Loan Program 2016-C LLC	2.360%	12/27/32	1,923		1,938
5,8	SoFi Professional Loan Program 2016-D LLC	2.340%	4/25/33	1,502		1,509
5,7,8	SoFi Professional Loan Program 2016-D LLC, 1M USD LIBOR + 0.950%	2.611%	1/25/39	566		569
5,8	SoFi Professional Loan Program 2017-A LLC	2.400%	3/26/40	1,031		1,038
5,8	SoFi Professional Loan Program 2017-B LLC	2.740%	5/25/40	5,889		5,988
5,7,8	SoFi Professional Loan Program 2017-C LLC, 1M USD LIBOR + 0.600%	2.261%	7/25/40	477		478
5,8	SoFi Professional Loan Program 2017-D LLC	2.650%	9/25/40	5,037		5,106
5,8	SoFi Professional Loan Program 2017-E LLC	2.720%	11/26/40	5,080		5,154
5,8	SoFi Professional Loan Program 2017-F LLC	2.840%	1/25/41	6,120		6,233
5,8	SoFi Professional Loan Program 2018-A LLC	2.390%	2/25/42	3,860		3,866
5,8	SoFi Professional Loan Program 2018-A LLC	2.950%	2/25/42	5,660		5,768
5,8	SoFi Professional Loan Program 2018-B LLC	3.340%	8/25/47	8,850		9,165
5,8	SoFi Professional Loan Program 2018-C LLC	3.590%	1/25/48	17,140		17,927
5,8	SoFi Professional Loan Program 2018-D LLC	3.600%	2/25/48	19,000		19,730
5,8	SoFi Professional Loan Program 2019-B LLC	3.090%	8/17/48	6,930		7,189
5,8	Stack Infrastructure Issuer LLC 2019-1A	4.540%	2/25/44	5,620		5,988
5	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24	15,280		15,704
5	Synchrony Card Issuance Trust 2019-2A	2.340%	6/15/25	13,530		13,749
5	Synchrony Credit Card Master Note Trust 2016-2	2.950%	5/15/24	5,300		5,332
5	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25	15,680		16,030
5	Synchrony Credit Card Master Note Trust 2017-2	2.820%	10/15/25	4,770		4,856
5	Synchrony Credit Card Master Note Trust 2017-2	3.010%	10/15/25	6,390		6,507
5,8	Taco Bell Funding LLC 2016-1A	4.377%	5/25/46	3,608		3,674
5,8	Taco Bell Funding LLC 2016-1A	4.970%	5/25/46	2,223		2,395
5,8	Taco Bell Funding LLC 2018-1	4.940%	11/25/48	2,366		2,624
5,8	Tesla Auto Lease Trust 2018-A	2.970%	4/20/20	165		165
5,8	Tesla Auto Lease Trust 2018-A	3.300%	5/20/20	630		631
5,8	Tesla Auto Lease Trust 2018-A	2.200%	11/21/22	7,000		7,036
5,8	Tesla Auto Lease Trust 2018-B	3.710%	8/20/21	33,529		34,055
5,8	Tesla Auto Lease Trust 2018-B	4.120%	10/20/21	5,650		5,807
5,8	Tesla Auto Lease Trust 2018-B	4.360%	10/20/21	3,590		3,689
5,8	Textainer Marine Containers Limited 2019-A	3.960%	4/20/44	5,226		5,351
5,8	Tidewater Auto Receivables Trust 2018-AA	3.120%	7/15/22	1,385		1,387
5,8	Tidewater Auto Receivables Trust 2018-AA	3.450%	11/15/24	1,880		1,891
5,8	Tidewater Auto Receivables Trust 2018-AA	3.840%	11/15/24	2,100		2,133
5,8	Tidewater Auto Receivables Trust 2018-AA	4.300%	11/15/24	630		648
5,8	TMSQ 2014-1500 Mortgage Trust	3.680%	10/10/36	2,800		2,972
5	Toyota Auto Receivables 2017-D Owner Trust	2.120%	2/15/23	1,345		1,354
5	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23	1,590		1,616
5	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23	5,780		5,955
5	Toyota Auto Receivables 2018-C Owner Trust	3.130%	2/15/24	5,140		5,310

53 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Toyota Auto Receivables 2019-A Owner Trust	3.000%	5/15/24	2,350		2,442
5	Toyota Auto Receivables 2019-D Owner Trust	1.990%	2/18/25	5,980		6,032
5,8	Trafigura Securitisation Finance plc 2017-1A	2.470%	12/15/20	34,610		34,633
5,8	Trafigura Securitisation Finance plc 2018-1A	3.730%	3/15/22	21,740		22,196
5,8	Trinity Rail Leasing LP 2018-1A	4.620%	6/17/48	10,260		10,870
5,8	Trip Rail Master Funding LLC 2017-1A	2.709%	8/15/47	1,693		1,693
5,8	Triton Container Finance LLC 2018-A2	4.190%	6/22/43	13,282		13,650
5	UBS Commercial Mortgage Trust 2012-C1	4.171%	5/10/45	1,200		1,246
5	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50	3,723		4,116
5	UBS Commercial Mortgage Trust 2019-C16	3.460%	4/15/52	2,287		2,459
5,8	UBS-BAMLL Trust 2012-WRM	3.663%	6/10/30	6,673		6,874
5	UBS-Barclays Commercial Mortgage Trust 2012-C4	2.850%	12/10/45	5,703		5,846
5	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46	3,970		4,124
5	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46	1,160		1,207
5	UBS-Barclays Commercial Mortgage Trust 2019-C18	3.035%	12/15/52	4,800		5,107
5,8	Vantage Data Centers LLC 2018-1A	4.072%	2/16/43	6,120		6,369
5,8	Vantage Data Centers LLC 2019-1A	3.188%	7/15/44	2,290		2,345
5,8	Verizon Owner Trust 2017-3	2.380%	4/20/22	8,950		8,988
5,8	Verizon Owner Trust 2017-3	2.530%	4/20/22	9,610		9,650
5,8	Verizon Owner Trust 2018-1	3.050%	9/20/22	7,320		7,391
5	Verizon Owner Trust 2019-A	2.930%	9/20/23	7,820		7,985
5	Verizon Owner Trust 2019-A	1.940%	4/22/24	28,270		28,460
5,8	VNDO 2012-6AVE Mortgage Trust	2.996%	11/15/30	9,070		9,323
5,8	VNDO 2013-PENN Mortgage Trust	3.808%	12/13/29	1,100		1,112
5,8	VNDO 2013-PENN Mortgage Trust	4.079%	12/13/29	650		657
5,8	VNDO 2013-PENN Mortgage Trust	4.079%	12/13/29	490		495
5	Volkswagen Auto Loan Enhanced Trust 2018-1	3.020%	11/21/22	8,050		8,160
5	Volkswagen Auto Loan Enhanced Trust 2018-1	3.150%	7/22/24	3,680		3,779
5	Volkswagen Auto Loan Enhanced Trust 2018-2	3.330%	2/20/25	4,510		4,689
5	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45	5,637		5,776
5	Wells Fargo Commercial Mortgage Trust 2012-LC5	3.539%	10/15/45	7,210		7,481
5	Wells Fargo Commercial Mortgage Trust 2013-LC12	3.928%	7/15/46	723		750
5	Wells Fargo Commercial Mortgage Trust 2013-LC12	4.218%	7/15/46	7,973		8,554
5	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.548%	8/15/50	11,500		12,181
5	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50	14,360		15,463
5	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.020%	8/15/50	700		744
5	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.322%	8/15/50	2,400		2,549
5	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.458%	8/15/50	1,450		1,500
5	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	13,210		14,109
5	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	30,685		32,447
5	Wells Fargo Commercial Mortgage Trust 2015-C27	3.451%	2/15/48	15,822		16,949
5	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%	6/15/48	16,693		18,090
5	Wells Fargo Commercial Mortgage Trust 2015-C29	4.363%	6/15/48	2,310		2,452
5	Wells Fargo Commercial Mortgage Trust 2015-C30	3.411%	9/15/58	7,230		7,720
5	Wells Fargo Commercial Mortgage Trust 2015-C30	3.664%	9/15/58	4,380		4,762
5	Wells Fargo Commercial Mortgage Trust 2015-C30	4.067%	9/15/58	2,250		2,452
5	Wells Fargo Commercial Mortgage Trust 2015-C30	4.646%	9/15/58	2,740		2,918
5	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58	10,834		11,878
5	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58	2,045		2,230
5	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.685%	9/15/58	5,225		5,632
5	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	23,664		25,762
5	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	12,670		13,114
5	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	9,166		9,947
5	Wells Fargo Commercial Mortgage Trust 2016-C37	3.525%	12/15/49	2,990		3,214
5	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49	18,890		20,934
5	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	6,905		7,527
5	Wells Fargo Commercial Mortgage Trust 2017-C39	3.157%	9/15/50	1,400		1,483
5	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50	21,430		23,285
5	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50	15,380		16,895
5	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	12,360		13,481
5	Wells Fargo Commercial Mortgage Trust 2017-C42	3.589%	12/15/50	6,745		7,433
5	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60	2,712		2,980
5	Wells Fargo Commercial Mortgage Trust 2018-C43	4.514%	3/15/51	12,380		13,195
5	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	4,315		4,927

54 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Wells Fargo Commercial Mortgage Trust 2018-C47	4.365%	9/15/61	5,600		6,351
5	Wells Fargo Commercial Mortgage Trust 2018-C47	4.442%	9/15/61	7,690		8,964
5	Wells Fargo Commercial Mortgage Trust 2018-C48	4.245%	1/15/52	11,180		12,589
5	Wells Fargo Commercial Mortgage Trust 2019-C49	3.933%	3/15/52	3,250		3,621
5	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52	2,800		3,189
5	Wells Fargo Commercial Mortgage Trust 2019-C50	3.635%	5/15/52	3,710		4,069
5	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	7,970		8,387
5	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	7,390		7,944
5,8	Wendys Funding LLC 2015-1A	4.497%	6/15/45	2,212		2,296
5,8	Wendys Funding LLC 2018-1	3.573%	3/15/48	3,136		3,193
5,8	WFLD 2014-MONT Mortgage Trust	3.880%	8/10/31	4,640		4,958
5,8	WFRBS Commercial Mortgage Trust 2011-C3	4.375%	3/15/44	6,023		6,147
5	WFRBS Commercial Mortgage Trust 2012-C10	2.875%	12/15/45	5,280		5,417
5	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45	6,130		6,332
5	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45	4,170		4,333
5	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45	3,789		3,884
5	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45	9,924		10,169
5	WFRBS Commercial Mortgage Trust 2012-C9	3.388%	11/15/45	2,870		2,970
5	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45	2,220		2,303
5	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46	1,625		1,672
5	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46	6,044		6,462
5	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46	278		287
5	WFRBS Commercial Mortgage Trust 2013-C18	3.676%	12/15/46	1,697		1,753
5	WFRBS Commercial Mortgage Trust 2013-C18	4.162%	12/15/46	7,778		8,422
5	WFRBS Commercial Mortgage Trust 2013-C18	4.847%	12/15/46	1,085		1,186
5	WFRBS Commercial Mortgage Trust 2014-C19	3.829%	3/15/47	12,930		13,744
5	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47	10,595		11,490
5	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47	14,675		15,889
5	WFRBS Commercial Mortgage Trust 2014-C20	4.378%	5/15/47	2,410		2,551
5	WFRBS Commercial Mortgage Trust 2014-C20	4.513%	5/15/47	1,410		1,450
5	WFRBS Commercial Mortgage Trust 2014-C21	3.410%	8/15/47	1,558		1,641
5	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47	13,286		14,265
5	WFRBS Commercial Mortgage Trust 2014-C21	3.891%	8/15/47	700		747
5	WFRBS Commercial Mortgage Trust 2014-C21	4.234%	8/15/47	2,410		2,473
5	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57	4,167		4,529
5	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47	14,926		16,030
5	WFRBS Commercial Mortgage Trust 2014-LC14	3.766%	3/15/47	920		976
5	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47	14,142		15,261
5	World Omni Auto Receivables Trust 2018-A	2.730%	2/15/24	7,680		7,843
5	World Omni Auto Receivables Trust 2018-A	2.890%	4/15/25	3,820		3,886
5	World Omni Auto Receivables Trust 2018-D	3.440%	12/16/24	1,770		1,851
5	World Omni Auto Receivables Trust 2019-A	3.220%	6/16/25	3,060		3,181
5	World Omni Auto Receivables Trust 2019-B	2.860%	6/16/25	2,510		2,580
5	World Omni Automobile Lease Securitization Trust 2019-B	3.240%	7/15/24	1,940		1,979
5,8	World Omni Select Auto Trust A Series 2018-1 A3	3.460%	3/15/23	5,980		6,024
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $5,814,784)						6,008,548
Corporate Bonds (63.3%)
Finance (27.9%)
	Banking (20.2%)
	American Express Co.	3.400%	2/22/24	60,000		63,427
	American Express Co.	2.500%	7/30/24	48,480		49,652
	American Express Co.	3.000%	10/30/24	35,385		37,126
	American Express Co.	4.200%	11/6/25	16,815		18,817
5,8	Australia & New Zealand Banking Group Ltd.	2.950%	7/22/30	47,600		48,202
	Banco Santander SA	2.706%	6/27/24	31,000		31,846
	Banco Santander SA	3.800%	2/23/28	40,200		43,450
	Banco Santander SA	4.379%	4/12/28	4,415		4,966
	Banco Santander SA	3.306%	6/27/29	62,700		66,754
5	Bank of America Corp.	3.458%	3/15/25	10,000		10,546
	Bank of America Corp.	3.875%	8/1/25	4,795		5,267
5	Bank of America Corp.	3.093%	10/1/25	57,895		60,427

55 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Bank of America Corp.	3.366%	1/23/26	47,635		50,552
5	Bank of America Corp.	3.559%	4/23/27	29,223		31,469
	Bank of America Corp.	3.248%	10/21/27	24,000		25,500
5	Bank of America Corp.	3.824%	1/20/28	52,262		57,278
5	Bank of America Corp.	3.705%	4/24/28	29,500		32,247
5	Bank of America Corp.	3.419%	12/20/28	52,800		56,453
5	Bank of America Corp.	3.970%	3/5/29	40,500		45,153
5	Bank of America Corp.	4.271%	7/23/29	24,250		27,575
5	Bank of America Corp.	3.974%	2/7/30	10,770		12,087
5	Bank of America Corp.	3.194%	7/23/30	15,000		15,928
5	Bank of America Corp.	2.884%	10/22/30	13,500		13,962
	Bank of Montreal	3.300%	2/5/24	76,000		80,120
	Bank of New York Mellon Corp.	3.650%	2/4/24	17,000		18,200
	Bank of New York Mellon Corp.	3.400%	5/15/24	20,200		21,566
	Bank of New York Mellon Corp.	3.250%	9/11/24	11,142		11,854
	Bank of New York Mellon Corp.	2.100%	10/24/24	21,000		21,238
	Bank of New York Mellon Corp.	3.000%	2/24/25	15,800		16,647
	Bank of New York Mellon Corp.	2.800%	5/4/26	19,141		20,156
	Bank of New York Mellon Corp.	2.450%	8/17/26	19,000		19,528
	Bank of New York Mellon Corp.	3.250%	5/16/27	1,000		1,078
	Bank of New York Mellon Corp.	3.400%	1/29/28	6,250		6,828
5	Bank of New York Mellon Corp.	3.442%	2/7/28	65,850		71,244
	Bank of New York Mellon Corp.	3.850%	4/28/28	1,500		1,702
	Bank of New York Mellon Corp.	3.000%	10/30/28	7,000		7,364
	Bank of Nova Scotia	2.200%	2/3/25	38,960		39,533
	Bank of Nova Scotia	2.700%	8/3/26	48,750		50,697
8	Banque Federative du Credit Mutuel SA	2.375%	11/21/24	24,000		24,400
5	Barclays plc	3.932%	5/7/25	4,800		5,107
	Barclays plc	4.337%	1/10/28	25,975		28,538
5,8	BNP Paribas SA	2.819%	11/19/25	51,000		52,306
8	BNP Paribas SA	3.500%	11/16/27	15,000		15,945
5,8	BNP Paribas SA	3.052%	1/13/31	22,850		23,288
	BPCE SA	3.375%	12/2/26	10,000		10,682
10	BPCE SA	0.500%	2/24/27	10,800		12,017
8	BPCE SA	3.250%	1/11/28	20,000		21,261
	Canadian Imperial Bank of Commerce	3.100%	4/2/24	36,400		38,147
5	Capital One Bank USA NA	2.280%	1/28/26	42,650		42,751
5	Citigroup Inc.	3.352%	4/24/25	10,000		10,487
	Citigroup Inc.	3.400%	5/1/26	40,000		42,844
	Citigroup Inc.	3.200%	10/21/26	54,245		57,265
9	Citigroup Inc.	1.750%	10/23/26	5,700		7,596
5	Citigroup Inc.	3.887%	1/10/28	21,000		23,092
5	Citigroup Inc.	3.668%	7/24/28	23,400		25,432
5	Citigroup Inc.	3.520%	10/27/28	20,000		21,447
5	Citigroup Inc.	4.075%	4/23/29	18,500		20,763
5	Citigroup Inc.	3.980%	3/20/30	25,000		28,051
5	Citigroup Inc.	2.976%	11/5/30	24,198		25,090
5	Citigroup Inc.	2.666%	1/29/31	22,120		22,377
8	Commonwealth Bank of Australia	3.350%	6/4/24	40,650		43,203
8	Commonwealth Bank of Australia	3.150%	9/19/27	26,935		28,812
8	Cooperatieve Rabobank UA	2.625%	7/22/24	20,260		20,846
10	Cooperatieve Rabobank UA	0.250%	10/30/26	4,400		4,885
	Credit Suisse AG	3.625%	9/9/24	67,150		71,959
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25	5,000		5,363
5,8	Danske Bank A/S	3.244%	12/20/25	18,500		19,013
	Discover Bank	4.650%	9/13/28	11,600		13,381
	Discover Financial Services	4.500%	1/30/26	10,000		11,075
	Discover Financial Services	4.100%	2/9/27	10,000		10,932
	Fifth Third Bank	2.250%	2/1/27	20,000		20,123
	Goldman Sachs Group Inc.	3.850%	7/8/24	25,937		27,715
	Goldman Sachs Group Inc.	3.500%	1/23/25	43,354		46,057
	Goldman Sachs Group Inc.	3.750%	5/22/25	86,497		93,186
5	Goldman Sachs Group Inc.	3.272%	9/29/25	30,595		32,145
	Goldman Sachs Group Inc.	3.850%	1/26/27	28,500		30,810

56 

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
5	Goldman Sachs Group Inc.	3.691%	6/5/28	41,551		45,254
5	Goldman Sachs Group Inc.	3.814%	4/23/29	1,250		1,371
5	Goldman Sachs Group Inc.	4.223%	5/1/29	16,231		18,256
7,11	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550%	2.477%	5/2/24	30,700		20,841
8	Grupo Aval Ltd.	4.375%	2/4/30	7,670		7,756
5	HSBC Holdings plc	3.950%	5/18/24	1,135		1,200
5	HSBC Holdings plc	3.803%	3/11/25	61,230		64,770
5	HSBC Holdings plc	2.633%	11/7/25	26,590		27,061
	HSBC Holdings plc	4.300%	3/8/26	25,950		28,798
	HSBC Holdings plc	3.900%	5/25/26	31,015		33,630
5	HSBC Holdings plc	4.292%	9/12/26	20,550		22,538
5	HSBC Holdings plc	4.041%	3/13/28	75,599		82,643
5	HSBC Holdings plc	4.583%	6/19/29	41,988		47,934
5	HSBC Holdings plc	3.973%	5/22/30	30,000		32,858
7,11	HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%	2.002%	2/16/24	28,200		18,855
	ING Groep NV	3.550%	4/9/24	5,000		5,296
	ING Groep NV	3.950%	3/29/27	15,850		17,467
	ING Groep NV	4.550%	10/2/28	4,500		5,223
	ING Groep NV	4.050%	4/9/29	33,500		37,818
8	Intesa Sanpaolo SPA	3.250%	9/23/24	3,250		3,323
10	Intesa Sanpaolo SPA	1.750%	3/20/28	4,000		4,719
8	Intesa Sanpaolo SPA	4.000%	9/23/29	31,725		33,480
	JPMorgan Chase & Co.	3.625%	5/13/24	24,485		26,258
	JPMorgan Chase & Co.	3.125%	1/23/25	16,865		17,767
5	JPMorgan Chase & Co.	3.220%	3/1/25	64,286		67,321
	JPMorgan Chase & Co.	3.900%	7/15/25	30,940		33,753
5	JPMorgan Chase & Co.	2.301%	10/15/25	27,500		27,844
	JPMorgan Chase & Co.	3.200%	6/15/26	56,576		60,154
5,10	JPMorgan Chase & Co.	1.090%	3/11/27	13,940		16,174
5	JPMorgan Chase & Co.	3.782%	2/1/28	25,000		27,365
5	JPMorgan Chase & Co.	3.540%	5/1/28	27,820		30,037
5	JPMorgan Chase & Co.	3.509%	1/23/29	42,408		45,958
5	JPMorgan Chase & Co.	4.005%	4/23/29	47,885		53,591
5	JPMorgan Chase & Co.	2.739%	10/15/30	56,800		58,291
5	JPMorgan Chase & Co.	3.882%	7/24/38	5,640		6,435
	KeyBank NA	3.300%	6/1/25	20,000		21,391
	KeyCorp	4.100%	4/30/28	15,000		16,854
	Lloyds Banking Group plc	3.900%	3/12/24	20,000		21,373
11	Lloyds Banking Group plc	4.000%	3/7/25	2,300		1,675
	Lloyds Banking Group plc	4.450%	5/8/25	44,000		48,698
5	Lloyds Banking Group plc	2.438%	2/5/26	15,000		15,076
	Lloyds Banking Group plc	3.750%	1/11/27	46,070		49,438
	Lloyds Banking Group plc	4.375%	3/22/28	30,000		33,787
	Lloyds Banking Group plc	4.550%	8/16/28	56,000		63,996
5	Lloyds Banking Group plc	3.574%	11/7/28	10,873		11,575
7,11	Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 0.000%	2.291%	3/7/25	19,000		12,704
11	Macquarie Bank Ltd.	1.750%	8/7/24	9,640		6,511
7,11	Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.800%	1.733%	8/7/24	35,000		23,413
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25	91,027		98,321
	Mitsubishi UFJ Financial Group Inc.	3.850%	3/1/26	35,085		38,402
	Mitsubishi UFJ Financial Group Inc.	2.757%	9/13/26	11,555		11,953
	Mitsubishi UFJ Financial Group Inc.	3.677%	2/22/27	4,920		5,366
	Mitsubishi UFJ Financial Group Inc.	3.287%	7/25/27	750		800
	Mitsubishi UFJ Financial Group Inc.	3.961%	3/2/28	1,250		1,400
	Mitsubishi UFJ Financial Group Inc.	4.050%	9/11/28	1,000		1,129
	Mitsubishi UFJ Financial Group Inc.	3.741%	3/7/29	53,000		58,791
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29	72,000		76,251
8	Mizuho Bank Ltd.	3.750%	4/16/24	5,340		5,706
8	Mizuho Bank Ltd.	3.600%	9/25/24	8,700		9,291
5	Mizuho Financial Group Inc.	2.555%	9/13/25	30,000		30,506

57

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
8	Mizuho Financial Group Inc.	3.477%	4/12/26	10,000		10,679
	Mizuho Financial Group Inc.	2.839%	9/13/26	3,525		3,638
	Mizuho Financial Group Inc.	3.663%	2/28/27	750		811
	Mizuho Financial Group Inc.	3.170%	9/11/27	8,525		8,972
	Mizuho Financial Group Inc.	4.018%	3/5/28	5,750		6,455
5	Mizuho Financial Group Inc.	3.153%	7/16/30	21,600		22,812
5	Mizuho Financial Group Inc.	2.869%	9/13/30	16,000		16,406
	Morgan Stanley	3.875%	4/29/24	16,900		18,185
	Morgan Stanley	3.700%	10/23/24	15,525		16,716
5	Morgan Stanley	2.720%	7/22/25	34,060		34,947
	Morgan Stanley	4.000%	7/23/25	29,431		32,442
	Morgan Stanley	3.875%	1/27/26	85,427		93,196
	Morgan Stanley	3.625%	1/20/27	69,180		75,170
5	Morgan Stanley	3.591%	7/22/28	32,785		35,394
5	Morgan Stanley	2.699%	1/22/31	30,000		30,464
	MUFG Americas Holdings Corp.	3.000%	2/10/25	9,600		9,924
	PNC Bank NA	3.300%	10/30/24	24,634		26,018
	PNC Bank NA	2.950%	2/23/25	31,289		32,890
	PNC Bank NA	3.250%	6/1/25	61,052		65,079
	PNC Bank NA	3.100%	10/25/27	29,626		31,669
	PNC Bank NA	3.250%	1/22/28	15,300		16,472
	PNC Bank NA	2.700%	10/22/29	20,000		20,618
	PNC Financial Services Group Inc.	2.600%	7/23/26	42,481		43,845
	PNC Financial Services Group Inc.	3.150%	5/19/27	15,500		16,601
	PNC Financial Services Group Inc.	3.450%	4/23/29	50,985		55,551
	PNC Financial Services Group Inc.	2.550%	1/22/30	23,000		23,500
	Royal Bank of Canada	2.550%	7/16/24	62,798		64,733
	Royal Bank of Canada	2.250%	11/1/24	90,679		92,263
5	Royal Bank of Scotland Group plc	4.269%	3/22/25	25,000		26,918
5	Royal Bank of Scotland Group plc	4.892%	5/18/29	12,750		14,742
5	Royal Bank of Scotland Group plc	5.076%	1/27/30	13,584		16,020
5	Royal Bank of Scotland Group plc	4.445%	5/8/30	10,000		11,284
	Santander Holdings USA Inc.	3.500%	6/7/24	35,000		36,497
	Santander Holdings USA Inc.	4.400%	7/13/27	6,222		6,817
8	Santander UK Group Holdings plc	4.750%	9/15/25	17,061		18,599
	Santander UK plc	4.000%	3/13/24	26,360		28,414
	Santander UK plc	2.875%	6/18/24	19,750		20,482
5,10	Skandinaviska Enskilda Banken AB	1.375%	10/31/28	7,400		8,421
	State Street Corp.	3.300%	12/16/24	41,435		44,220
	State Street Corp.	3.550%	8/18/25	31,058		33,811
5	State Street Corp.	2.354%	11/1/25	29,500		29,981
	State Street Corp.	2.400%	1/24/30	27,000		27,252
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24	38,250		39,286
	Sumitomo Mitsui Financial Group Inc.	3.784%	3/9/26	35,000		38,131
	Sumitomo Mitsui Financial Group Inc.	2.632%	7/14/26	56,541		57,912
	Sumitomo Mitsui Financial Group Inc.	3.010%	10/19/26	5,975		6,245
	Sumitomo Mitsui Financial Group Inc.	3.446%	1/11/27	24,165		25,928
	Sumitomo Mitsui Financial Group Inc.	3.364%	7/12/27	19,491		20,876
	Sumitomo Mitsui Financial Group Inc.	3.352%	10/18/27	4,000		4,285
	Sumitomo Mitsui Financial Group Inc.	3.544%	1/17/28	8,870		9,618
	Sumitomo Mitsui Financial Group Inc.	3.944%	7/19/28	4,870		5,418
	Sumitomo Mitsui Financial Group Inc.	4.306%	10/16/28	750		861
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29	114,000		119,642
	Sumitomo Mitsui Financial Group Inc.	2.750%	1/15/30	33,000		33,810
	Synchrony Financial	3.700%	8/4/26	19,720		20,738
	Toronto-Dominion Bank	2.650%	6/12/24	15,000		15,560
5	Toronto-Dominion Bank	3.625%	9/15/31	3,750		4,008
	Truist Bank	3.200%	4/1/24	102,525		107,771
	Truist Bank	2.150%	12/6/24	22,500		22,698
	Truist Bank	3.625%	9/16/25	22,495		24,362
	Truist Bank	4.050%	11/3/25	35,000		39,100
	Truist Financial Corp.	2.500%	8/1/24	58,400		59,937
	Truist Financial Corp.	2.850%	10/26/24	5,000		5,219
	Truist Financial Corp.	4.000%	5/1/25	19,351		21,356

58

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Truist Financial Corp.	3.875%	3/19/29	10,000		11,167
8	UBS Group Funding Switzerland AG	4.125%	9/24/25	14,257		15,723
8	UBS Group Funding Switzerland AG	4.125%	4/15/26	8,500		9,380
8	UBS Group Funding Switzerland AG	4.253%	3/23/28	19,669		21,865
5	United Overseas Bank Ltd.	2.880%	3/8/27	3,000		3,034
	US Bancorp	3.700%	1/30/24	41,765		44,785
	US Bancorp	3.375%	2/5/24	12,355		13,097
	US Bancorp	2.400%	7/30/24	43,200		44,226
	US Bancorp	3.600%	9/11/24	14,800		15,941
	US Bancorp	3.950%	11/17/25	19,550		21,791
	US Bancorp	3.100%	4/27/26	10,454		11,071
	US Bancorp	2.375%	7/22/26	26,525		27,205
	US Bancorp	3.150%	4/27/27	9,250		9,949
	US Bancorp	3.900%	4/26/28	2,250		2,583
	US Bancorp	3.000%	7/30/29	22,000		23,112
	US Bank NA	2.800%	1/27/25	14,400		15,062
§,12	Washington Mutual Bank / Debt not acquired by JPMorgan	5.500%	1/15/13	6,147		1
§,12	Washington Mutual Bank / Debt not acquired by JPMorgan	5.650%	8/15/14	7,500		1
§,12	Washington Mutual Bank / Debt not acquired by JPMorgan	5.125%	1/15/15	9,000		1
	Wells Fargo & Co.	3.300%	9/9/24	16,199		17,129
	Wells Fargo & Co.	3.000%	2/19/25	65,700		68,989
	Wells Fargo & Co.	3.550%	9/29/25	17,459		18,768
5	Wells Fargo & Co.	2.406%	10/30/25	34,450		34,924
	Wells Fargo & Co.	3.000%	4/22/26	77,841		81,236
	Wells Fargo & Co.	3.000%	10/23/26	48,860		51,101
5	Wells Fargo & Co.	3.196%	6/17/27	21,550		22,645
5	Wells Fargo & Co.	3.584%	5/22/28	29,500		32,001
	Wells Fargo & Co.	4.150%	1/24/29	13,949		15,794
5	Wells Fargo & Co.	2.879%	10/30/30	36,089		37,062
9	Wells Fargo Bank NA	5.250%	8/1/23	6,500		9,709
	Westpac Banking Corp.	3.300%	2/26/24	42,800		45,190
	Westpac Banking Corp.	2.350%	2/19/25	33,000		33,676
	Westpac Banking Corp.	2.850%	5/13/26	23,795		24,829
	Westpac Banking Corp.	3.350%	3/8/27	63,790		69,122
10	Westpac Banking Corp.	1.125%	9/5/27	4,983		5,904
	Westpac Banking Corp.	2.650%	1/16/30	20,000		20,565
5	Westpac Banking Corp.	2.894%	2/4/30	21,325		21,468
5	Westpac Banking Corp.	4.322%	11/23/31	20,231		21,925
	Westpac Banking Corp.	4.110%	7/24/34	11,175		11,973
7,11	Westpac Banking Corp., 3M Australian Bank Bill Rate + 3.100%	3.989%	3/10/26	2,600		1,780
	Brokerage (1.5%)
8	AG Issuer LLC	6.250%	3/1/28	234		234
	Ameriprise Financial Inc.	3.700%	10/15/24	25,000		27,062
	Ameriprise Financial Inc.	2.875%	9/15/26	1,986		2,077
	BlackRock Inc.	3.200%	3/15/27	21,625		23,404
	BlackRock Inc.	3.250%	4/30/29	15,488		16,938
	BlackRock Inc.	2.400%	4/30/30	32,100		32,652
	Brookfield Finance Inc.	3.900%	1/25/28	10,000		11,064
	Brookfield Finance Inc.	4.850%	3/29/29	19,297		22,986
	Charles Schwab Corp.	3.850%	5/21/25	51,027		56,137
	Charles Schwab Corp.	3.200%	1/25/28	24,899		26,627
	Charles Schwab Corp.	4.000%	2/1/29	24,452		27,735
	Charles Schwab Corp.	3.250%	5/22/29	46,350		50,278
	Invesco Finance plc	4.000%	1/30/24	21,300		22,951
	Invesco Finance plc	3.750%	1/15/26	6,673		7,266
	Lazard Group LLC	4.500%	9/19/28	31,671		35,966
	Nomura Holdings Inc.	3.103%	1/16/30	45,365		46,471
	Stifel Financial Corp.	4.250%	7/18/24	14,785		15,995
	TD Ameritrade Holding Corp.	3.625%	4/1/25	46,330		50,038

59

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	TD Ameritrade Holding Corp.	3.300%	4/1/27	20,037		21,462
	TD Ameritrade Holding Corp.	2.750%	10/1/29	10,135		10,469
	Finance Companies (0.2%)
	Air Lease Corp.	3.750%	6/1/26	5,000		5,334
	Air Lease Corp.	3.000%	2/1/30	21,500		21,506
8	Avolon Holdings Funding Ltd.	2.875%	2/15/25	21,200		21,393
8	Avolon Holdings Funding Ltd.	3.250%	2/15/27	20,000		20,238
	Insurance (2.6%)
	Aetna Inc.	3.500%	11/15/24	10,000		10,646
	Aflac Inc.	3.625%	11/15/24	16,800		18,183
	Aflac Inc.	3.250%	3/17/25	5,995		6,381
8	AIA Group Ltd.	3.600%	4/9/29	37,366		40,575
	Anthem Inc.	2.375%	1/15/25	13,000		13,159
	Anthem Inc.	3.650%	12/1/27	10,000		10,802
	Berkshire Hathaway Inc.	3.125%	3/15/26	19,728		21,140
8	Centene Corp.	4.750%	1/15/25	1,300		1,349
8	Centene Corp.	4.250%	12/15/27	2,595		2,705
8	Centene Corp.	4.625%	12/15/29	2,600		2,798
	Chubb INA Holdings Inc.	3.350%	5/15/24	39,741		42,402
	Chubb INA Holdings Inc.	3.150%	3/15/25	18,772		20,033
	Chubb INA Holdings Inc.	3.350%	5/3/26	41,930		45,328
	CNA Financial Corp.	3.900%	5/1/29	20,000		22,211
	Enstar Group Ltd.	4.950%	6/1/29	20,580		23,035
9	Hastings Group Finance plc	3.000%	5/24/25	5,200		6,978
	Humana Inc.	3.950%	3/15/27	7,300		7,984
	Lincoln National Corp.	3.625%	12/12/26	12,463		13,414
	Lincoln National Corp.	3.800%	3/1/28	6,276		6,876
	Markel Corp.	3.350%	9/17/29	7,000		7,371
	Marsh & McLennan Cos. Inc.	3.500%	6/3/24	41,425		43,847
	Marsh & McLennan Cos. Inc.	3.500%	3/10/25	30,636		32,690
	Marsh & McLennan Cos. Inc.	4.375%	3/15/29	40,641		46,799
8	Metropolitan Life Global Funding I	3.450%	12/18/26	12,520		13,667
5,8	Nippon Life Insurance Co.	3.400%	1/23/50	8,000		8,135
8	Nuveen Finance LLC	4.125%	11/1/24	34,863		38,251
	Principal Financial Group Inc.	3.100%	11/15/26	6,110		6,449
	Principal Financial Group Inc.	3.700%	5/15/29	21,200		23,590
	Progressive Corp.	2.450%	1/15/27	1,000		1,026
8	Protective Life Corp.	4.300%	9/30/28	22,900		25,908
5	Prudential Financial Inc.	5.200%	3/15/44	2,500		2,672
5	Prudential Financial Inc.	5.375%	5/15/45	3,575		3,988
	Reinsurance Group of America Inc.	3.950%	9/15/26	24,825		27,035
	UnitedHealth Group Inc.	3.500%	2/15/24	4,850		5,172
	UnitedHealth Group Inc.	2.375%	8/15/24	17,640		18,022
	UnitedHealth Group Inc.	3.750%	7/15/25	46,692		51,107
	UnitedHealth Group Inc.	3.100%	3/15/26	3,633		3,878
	UnitedHealth Group Inc.	3.450%	1/15/27	10,800		11,765
	UnitedHealth Group Inc.	3.375%	4/15/27	28,280		30,633
	UnitedHealth Group Inc.	2.950%	10/15/27	39,048		41,377
	UnitedHealth Group Inc.	3.850%	6/15/28	18,348		20,557
	UnitedHealth Group Inc.	3.875%	12/15/28	22,500		25,376
	UnitedHealth Group Inc.	2.875%	8/15/29	62,640		65,354
	Voya Financial Inc.	3.650%	6/15/26	750		815
	Voya Financial Inc.	5.700%	7/15/43	3,758		5,136
	Other Finance (0.0%)
10	Aroundtown SA	1.625%	1/31/28	3,400		4,004
10	CPI Property Group SA	1.625%	4/23/27	4,400		4,925
	Real Estate Investment Trusts (3.4%)
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25	24,940		26,585
	Alexandria Real Estate Equities Inc.	3.950%	1/15/28	1,975		2,172
	Alexandria Real Estate Equities Inc.	2.750%	12/15/29	15,000		15,257
	AvalonBay Communities Inc.	2.950%	5/11/26	20,000		21,018
	AvalonBay Communities Inc.	2.900%	10/15/26	6,500		6,832

60

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	AvalonBay Communities Inc.	3.350%	5/15/27	12,040		12,958
	AvalonBay Communities Inc.	3.200%	1/15/28	18,750		20,011
	AvalonBay Communities Inc.	3.300%	6/1/29	25,000		27,025
	Camden Property Trust	4.100%	10/15/28	19,980		22,788
	Camden Property Trust	3.150%	7/1/29	6,396		6,868
	CubeSmart LP	4.375%	2/15/29	12,000		13,550
	CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24	8,085		8,243
	CyrusOne LP / CyrusOne Finance Corp.	3.450%	11/15/29	21,175		21,839
	Digital Realty Trust LP	4.750%	10/1/25	5,645		6,357
	Digital Realty Trust LP	3.700%	8/15/27	15,300		16,559
	Digital Realty Trust LP	3.600%	7/1/29	20,000		21,378
	Duke Realty LP	2.875%	11/15/29	15,000		15,503
	ERP Operating LP	3.375%	6/1/25	21,000		22,440
	ERP Operating LP	2.850%	11/1/26	8,211		8,580
	ERP Operating LP	3.500%	3/1/28	8,836		9,640
	ERP Operating LP	4.150%	12/1/28	27,655		31,791
	ERP Operating LP	3.000%	7/1/29	23,014		24,344
	ERP Operating LP	2.500%	2/15/30	12,570		12,824
	Essex Portfolio LP	3.000%	1/15/30	10,000		10,414
	Federal Realty Investment Trust	3.950%	1/15/24	8,269		8,842
	Federal Realty Investment Trust	3.250%	7/15/27	3,665		3,908
	Federal Realty Investment Trust	3.200%	6/15/29	10,000		10,722
	Healthpeak Properties Inc.	4.200%	3/1/24	8,055		8,716
	Healthpeak Properties Inc.	3.400%	2/1/25	5,605		5,919
	Healthpeak Properties Inc.	4.000%	6/1/25	14,105		15,280
	Healthpeak Properties Inc.	3.500%	7/15/29	17,542		18,726
	Healthpeak Properties Inc.	3.000%	1/15/30	46,700		48,084
	Highwoods Realty LP	3.875%	3/1/27	19,500		20,836
	Kimco Realty Corp.	3.300%	2/1/25	19,940		21,029
	Kimco Realty Corp.	2.800%	10/1/26	7,148		7,345
8	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.	4.250%	2/1/27	1,870		1,863
	Liberty Property LP	4.400%	2/15/24	9,900		10,799
	Liberty Property LP	3.750%	4/1/25	5,000		5,415
	Liberty Property LP	4.375%	2/1/29	15,000		17,252
	Mid-America Apartments LP	4.000%	11/15/25	7,620		8,400
	Mid-America Apartments LP	3.600%	6/1/27	6,000		6,485
	Mid-America Apartments LP	2.750%	3/15/30	20,000		20,501
	National Retail Properties Inc.	4.000%	11/15/25	2,100		2,291
	Omega Healthcare Investors Inc.	4.500%	1/15/25	1,016		1,107
	Omega Healthcare Investors Inc.	5.250%	1/15/26	23,524		26,701
	Omega Healthcare Investors Inc.	4.750%	1/15/28	5,637		6,300
	Omega Healthcare Investors Inc.	3.625%	10/1/29	10,000		10,338
10	Prologis Euro Finance LLC	0.375%	2/6/28	1,790		1,989
	Public Storage	3.094%	9/15/27	7,137		7,582
	Public Storage	3.385%	5/1/29	32,247		34,994
	Realty Income Corp.	3.875%	4/15/25	25,140		27,508
	Realty Income Corp.	4.125%	10/15/26	46,360		51,921
	Realty Income Corp.	3.650%	1/15/28	18,669		20,390
	Sabra Health Care LP	5.125%	8/15/26	37,212		40,684
	Sabra Health Care LP	3.900%	10/15/29	26,780		27,714
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24	18,600		20,044
	Simon Property Group LP	3.750%	2/1/24	28,466		30,433
	Simon Property Group LP	2.000%	9/13/24	35,800		36,042
	Simon Property Group LP	3.375%	10/1/24	4,000		4,250
	Simon Property Group LP	3.500%	9/1/25	12,997		13,999
	Simon Property Group LP	3.300%	1/15/26	9,920		10,628
	Simon Property Group LP	3.250%	11/30/26	24,545		26,371
	Simon Property Group LP	3.375%	6/15/27	16,390		17,623
	Simon Property Group LP	3.375%	12/1/27	23,164		24,937
	Simon Property Group LP	2.450%	9/13/29	23,700		23,785
	Ventas Realty LP	3.500%	2/1/25	4,920		5,195
	VEREIT Operating Partnership LP	3.100%	12/15/29	15,000		15,197
8	VICI Properties LP / VICI Note Co. Inc.	3.750%	2/15/27	810		812

61

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
8	VICI Properties LP / VICI Note Co. Inc.	4.125%	8/15/30	810		821
	Welltower Inc.	2.700%	2/15/27	10,000		10,242
	Welltower Inc.	4.250%	4/15/28	2,540		2,839
	Welltower Inc.	3.100%	1/15/30	4,000		4,175
						9,372,570

Industrial (31.4%) 

	Basic Industry (0.9%)
8	Air Liquide Finance SA	2.500%	9/27/26	19,850	20,469
	Celulosa Arauco y Constitucion SA	5.500%	11/2/47	5,200	5,556
8	Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP	3.400%	12/1/26	14,748	15,681
8	Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP	3.700%	6/1/28	17,416	18,962
	Dow Chemical Co.	4.550%	11/30/25	6,350	7,131
	Dow Chemical Co.	3.625%	5/15/26	31,000	33,441
	DuPont de Nemours Inc.	4.493%	11/15/25	20,000	22,295
	Eastman Chemical Co.	3.800%	3/15/25	23,257	24,870
	FMC Corp.	3.200%	10/1/26	14,475	15,195
	Newmont Corp.	2.800%	10/1/29	23,875	24,478
8	Novelis Corp.	4.750%	1/30/30	970	975
	Nutrien Ltd.	3.375%	3/15/25	10,000	10,562
8	OCI NV	5.250%	11/1/24	2,650	2,733
	Packaging Corp. of America	3.000%	12/15/29	15,000	15,451
	Rio Tinto Finance USA Ltd.	3.750%	6/15/25	6,720	7,333
	Sherwin-Williams Co.	2.950%	8/15/29	19,000	19,632
	Steel Dynamics Inc.	3.450%	4/15/30	9,200	9,453
8	Suzano Austria GmbH	7.000%	3/16/47	3,000	3,580
	Vale Overseas Ltd.	6.250%	8/10/26	3,791	4,483
10	Vale SA	3.750%	1/10/23	10,030	12,092
	WRKCo Inc.	4.650%	3/15/26	32,968	37,151
	WRKCo Inc.	3.900%	6/1/28	9,821	10,647
	Capital Goods (2.2%)
	3M Co.	2.000%	2/14/25	17,765	17,894
	3M Co.	2.250%	9/19/26	25,983	26,479
8	Airbus SE	3.150%	4/10/27	26,748	28,356
8	American Builders & Contractors Supply Co. Inc.	4.000%	1/15/28	2,600	2,613
	Ball Corp.	4.875%	3/15/26	1,820	1,993
8	Berry Global Inc.	4.875%	7/15/26	5,345	5,602
	Boeing Co.	3.100%	5/1/26	28,600	29,905
	Boeing Co.	2.250%	6/15/26	15,350	15,278
	Boeing Co.	2.700%	2/1/27	22,000	22,420
	Boeing Co.	2.800%	3/1/27	9,015	9,181
	Boeing Co.	3.250%	3/1/28	1,316	1,382
8	Bombardier Inc.	7.875%	4/15/27	861	816
	Caterpillar Financial Services Corp.	3.300%	6/9/24	305	324
	Caterpillar Financial Services Corp.	2.150%	11/8/24	20,000	20,296
	Caterpillar Financial Services Corp.	2.400%	8/9/26	2,000	2,056
	Caterpillar Inc.	2.600%	9/19/29	8,000	8,260
8	CFX Escrow Corp.	6.000%	2/15/24	1,600	1,684
8	Clean Harbors Inc.	4.875%	7/15/27	2,725	2,865
8	Clean Harbors Inc.	5.125%	7/15/29	910	969
	Embraer Netherlands Finance BV	5.050%	6/15/25	8,260	9,136
	Embraer Netherlands Finance BV	5.400%	2/1/27	4,100	4,653
	Embraer Overseas Ltd.	5.696%	9/16/23	582	642
	Embraer SA	5.150%	6/15/22	8,000	8,455
	General Dynamics Corp.	3.500%	5/15/25	20,965	22,710
	General Dynamics Corp.	2.625%	11/15/27	17,000	17,758
	Honeywell International Inc.	2.500%	11/1/26	24,936	25,866
	Honeywell International Inc.	2.700%	8/15/29	5,194	5,482
	Illinois Tool Works Inc.	2.650%	11/15/26	10,933	11,492
	John Deere Capital Corp.	2.250%	9/14/26	11,960	12,213
	Johnson Controls International plc	3.900%	2/14/26	2,621	2,856
8	L3Harris Technologies Inc.	3.950%	5/28/24	8,682	9,323

62

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	L3Harris Technologies Inc.	3.832%	4/27/25	4,775		5,171
8	L3Harris Technologies Inc.	3.850%	12/15/26	26,888		29,673
8	L3Harris Technologies Inc.	4.400%	6/15/28	14,410		16,433
	Lockheed Martin Corp.	2.900%	3/1/25	9,072		9,525
	Lockheed Martin Corp.	3.550%	1/15/26	65,444		71,447
8	Mueller Water Products Inc.	5.500%	6/15/26	4,123		4,314
	Northrop Grumman Corp.	3.250%	1/15/28	54,704		58,462
	Parker-Hannifin Corp.	3.300%	11/21/24	10,060		10,675
8	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	5.125%	7/15/23	341		349
7,8	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 3M USD LIBOR + 3.500%	5.331%	7/15/21	2,972		2,976
	Rockwell Collins Inc.	3.200%	3/15/24	15,000		15,829
	Rockwell Collins Inc.	3.500%	3/15/27	28,654		31,315
8	Sealed Air Corp.	4.000%	12/1/27	1,775		1,786
8	Silgan Holdings Inc.	4.125%	2/1/28	2,530		2,517
	Spirit AeroSystems Inc.	4.600%	6/15/28	984		1,005
	Stanley Black & Decker Inc.	3.400%	3/1/26	32,000		34,498
8	TransDigm Inc.	6.250%	3/15/26	5,735		6,194
	TransDigm Inc.	7.500%	3/15/27	1,810		1,982
8	TransDigm Inc.	5.500%	11/15/27	4,340		4,362
8	Trivium Packaging Finance BV	5.500%	8/15/26	910		962
8	Trivium Packaging Finance BV	8.500%	8/15/27	1,755		1,933
	United Rentals North America Inc.	4.625%	10/15/25	5,615		5,734
	United Rentals North America Inc.	6.500%	12/15/26	4,385		4,769
	United Rentals North America Inc.	3.875%	11/15/27	2,925		2,954
	United Technologies Corp.	2.800%	5/4/24	935		974
	United Technologies Corp.	3.950%	8/16/25	11,532		12,732
	United Technologies Corp.	3.125%	5/4/27	75,965		81,485
	United Technologies Corp.	4.125%	11/16/28	3,000		3,451
	Communication (3.5%)
	America Movil SAB de CV	5.000%	3/30/20	4,404		4,426
	American Tower Corp.	2.400%	3/15/25	20,000		20,313
	American Tower Corp.	2.750%	1/15/27	22,800		23,384
	American Tower Corp.	3.550%	7/15/27	7,215		7,693
	American Tower Corp.	3.600%	1/15/28	10,000		10,694
	AT&T Inc.	3.950%	1/15/25	10,000		10,841
	AT&T Inc.	3.400%	5/15/25	25,299		26,866
	AT&T Inc.	3.875%	1/15/26	7,380		8,043
	AT&T Inc.	4.125%	2/17/26	59,586		65,525
	AT&T Inc.	4.250%	3/1/27	19,000		21,154
8	CCO Holdings LLC / CCO Holdings Capital Corp.	4.750%	3/1/30	6,140		6,309
	Comcast Corp.	3.375%	2/15/25	24,621		26,315
	Comcast Corp.	3.375%	8/15/25	84,848		91,144
	Comcast Corp.	3.150%	3/1/26	54,557		58,008
	Comcast Corp.	2.350%	1/15/27	53,826		54,778
	Comcast Corp.	3.300%	2/1/27	2,000		2,147
	Comcast Corp.	3.150%	2/15/28	36,045		38,626
	Comcast Corp.	4.150%	10/15/28	56,025		64,170
	Comcast Corp.	2.650%	2/1/30	5,000		5,158
8	Connect Finco SARL / Connect US Finco LLC	6.750%	10/1/26	1,800		1,906
	Crown Castle International Corp.	4.450%	2/15/26	37,476		41,577
	Crown Castle International Corp.	3.700%	6/15/26	47,952		51,764
8	CSC Holdings LLC	5.375%	2/1/28	1,005		1,065
8	CSC Holdings LLC	6.500%	2/1/29	5,790		6,441
8	CSC Holdings LLC	5.750%	1/15/30	2,735		2,940
8	Deutsche Telekom International Finance BV	4.375%	6/21/28	9,350		10,683
8	Diamond Sports Group LLC / Diamond Sports Finance Co.	5.375%	8/15/26	645		638
8	Diamond Sports Group LLC / Diamond Sports Finance Co.	6.625%	8/15/27	2,700		2,518
	Discovery Communications LLC	3.450%	3/15/25	1,168		1,237

63

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Discovery Communications LLC	3.950%	6/15/25	2,000		2,171
	Discovery Communications LLC	4.900%	3/11/26	29,810		33,852
8	Fox Corp.	4.709%	1/25/29	43,885		51,073
8	Lamar Media Corp.	3.750%	2/15/28	1,400		1,409
8	Lamar Media Corp.	4.000%	2/15/30	1,400		1,410
8	Level 3 Financing Inc.	3.400%	3/1/27	4,335		4,465
8	Level 3 Financing Inc.	4.625%	9/15/27	5,385		5,526
10	MMS USA Investments Inc.	1.250%	6/13/28	1,600		1,819
8	National CineMedia LLC	5.875%	4/15/28	2,702		2,823
	Netflix Inc.	4.875%	4/15/28	500		535
8	Netflix Inc.	4.875%	6/15/30	1,995		2,090
8	Nexstar Escrow Inc.	5.625%	7/15/27	4,245		4,457
	Qwest Corp.	7.250%	9/15/25	4,554		5,319
	S&P Global Inc.	4.000%	6/15/25	6,905		7,618
	S&P Global Inc.	4.400%	2/15/26	21,420		24,273
	S&P Global Inc.	2.950%	1/22/27	10,649		11,219
8	Sirius XM Radio Inc.	4.625%	7/15/24	2,100		2,179
8	Sirius XM Radio Inc.	5.000%	8/1/27	1,810		1,900
8	Sky Ltd.	3.750%	9/16/24	20,000		21,500
	Sprint Corp.	7.125%	6/15/24	1,825		1,882
	Sprint Corp.	7.625%	2/15/25	1,825		1,905
8	Sprint Corp.	7.250%	2/1/28	1,733		1,716
	T-Mobile USA Inc.	4.500%	2/1/26	5,300		5,446
	Telefonica Emisiones SAU	4.103%	3/8/27	9,470		10,431
	TWDC Enterprises 18 Corp.	2.950%	6/15/27	2,000		2,154
8	Twitter Inc.	3.875%	12/15/27	1,730		1,732
	Verizon Communications Inc.	3.376%	2/15/25	39,600		42,269
11	Verizon Communications Inc.	4.050%	2/17/25	15,310		11,417
	Verizon Communications Inc.	4.125%	3/16/27	55,350		62,428
11	Verizon Communications Inc.	4.500%	8/17/27	3,500		2,747
	Verizon Communications Inc.	4.329%	9/21/28	20,328		23,462
10	Verizon Communications Inc.	2.875%	1/15/38	1,600		2,228
	ViacomCBS Inc.	3.875%	4/1/24	1,073		1,150
	Vodafone Group plc	4.125%	5/30/25	11,300		12,394
	Vodafone Group plc	4.375%	5/30/28	39,500		44,616
10	Vodafone Group plc	1.600%	7/29/31	2,300		2,772
	Walt Disney Co.	1.750%	8/30/24	29,880		29,989
	Walt Disney Co.	3.700%	10/15/25	6,535		7,186
	Walt Disney Co.	3.000%	2/13/26	15,375		16,477
	Walt Disney Co.	3.375%	11/15/26	32,653		35,645
	Consumer Cyclical (3.6%)
8	1011778 BC ULC / New Red Finance Inc.	5.000%	10/15/25	3,665		3,775
8	1011778 BC ULC / New Red Finance Inc.	3.875%	1/15/28	2,470		2,479
8	1011778 BC ULC / New Red Finance Inc.	4.375%	1/15/28	4,661		4,673
8	Alimentation Couche-Tard Inc.	3.550%	7/26/27	46,728		49,596
8	Allison Transmission Inc.	4.750%	10/1/27	4,515		4,696
	Amazon.com Inc.	3.150%	8/22/27	44,000		47,575
	American Honda Finance Corp.	2.900%	2/16/24	7,500		7,810
	American Honda Finance Corp.	2.150%	9/10/24	45,000		45,638
8	ASGN Inc.	4.625%	5/15/28	825		841
	AutoZone Inc.	3.750%	6/1/27	12,000		13,070
	Booking Holdings Inc.	3.550%	3/15/28	17,500		19,056
8	Boyd Gaming Corp.	4.750%	12/1/27	1,154		1,171
8	Churchill Downs Inc.	5.500%	4/1/27	2,830		2,975
8	Churchill Downs Inc.	4.750%	1/15/28	4,160		4,290
	Costco Wholesale Corp.	2.750%	5/18/24	16,620		17,409
	Costco Wholesale Corp.	3.000%	5/18/27	17,539		18,878
	Dollar General Corp.	4.125%	5/1/28	4,650		5,258
8	Eagle Intermediate Global Holding BV / Ruyi US Finance LLC	7.500%	5/1/25	3,735		2,979
	Ford Motor Credit Co. LLC	4.389%	1/8/26	8,000		8,231
	Ford Motor Credit Co. LLC	4.271%	1/9/27	18,450		18,725
	General Motors Co.	5.000%	10/1/28	15,000		16,554

64

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	General Motors Financial Co. Inc.	5.100%	1/17/24	40,000		43,792
	General Motors Financial Co. Inc.	3.500%	11/7/24	15,685		16,378
	General Motors Financial Co. Inc.	4.000%	1/15/25	10,000		10,575
	General Motors Financial Co. Inc.	2.900%	2/26/25	25,000		25,253
	General Motors Financial Co. Inc.	4.350%	4/9/25	20,750		22,426
	General Motors Financial Co. Inc.	4.300%	7/13/25	14,123		15,146
	General Motors Financial Co. Inc.	4.000%	10/6/26	10,000		10,546
	General Motors Financial Co. Inc.	4.350%	1/17/27	10,000		10,710
	GLP Capital LP / GLP Financing II Inc.	5.750%	6/1/28	9,150		10,760
	GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29	10,000		11,544
	Goodyear Tire & Rubber Co.	4.875%	3/15/27	2,212		2,278
8	Harley-Davidson Financial Services Inc.	2.150%	2/26/20	3,945		3,945
	Harley-Davidson Inc.	3.500%	7/28/25	17,000		17,968
	Hilton Domestic Operating Co. Inc.	5.125%	5/1/26	4,787		5,002
	Home Depot Inc.	3.000%	4/1/26	5,000		5,315
	Home Depot Inc.	2.125%	9/15/26	10,000		10,182
	Home Depot Inc.	2.800%	9/14/27	22,146		23,342
	Home Depot Inc.	3.900%	12/6/28	26,250		29,983
	Home Depot Inc.	2.950%	6/15/29	55,041		58,601
	Lennar Corp.	5.250%	6/1/26	1,560		1,728
8	Live Nation Entertainment Inc.	5.625%	3/15/26	545		579
8	Live Nation Entertainment Inc.	4.750%	10/15/27	4,185		4,311
	Lowe's Cos. Inc.	3.125%	9/15/24	8,505		8,971
	Lowe's Cos. Inc.	2.500%	4/15/26	5,067		5,198
	Lowe's Cos. Inc.	3.100%	5/3/27	10,000		10,564
	Mastercard Inc.	3.375%	4/1/24	16,000		17,178
	Mastercard Inc.	2.950%	11/21/26	18,315		19,493
	Mastercard Inc.	2.950%	6/1/29	19,000		20,236
	McDonald's Corp.	3.375%	5/26/25	12,455		13,324
	McDonald's Corp.	3.700%	1/30/26	15,000		16,386
	McDonald's Corp.	2.625%	9/1/29	21,750		22,218
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	5.625%	5/1/24	2,850		3,103
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	4.500%	9/1/26	3,642		3,792
9	Motability Operations Group plc	4.375%	2/8/27	2,500		4,000
8	NCL Corp. Ltd.	3.625%	12/15/24	2,325		2,310
8	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	8.500%	5/15/27	3,545		3,811
	PulteGroup Inc.	5.500%	3/1/26	3,630		4,057
	QVC Inc.	4.750%	2/15/27	467		472
	Target Corp.	2.500%	4/15/26	2,500		2,603
	Target Corp.	3.375%	4/15/29	20,500		22,484
	Target Corp.	2.350%	2/15/30	10,000		10,154
	TJX Cos. Inc.	2.500%	5/15/23	13,400		13,768
	TJX Cos. Inc.	2.250%	9/15/26	43,575		44,579
	Toyota Motor Credit Corp.	3.200%	1/11/27	2,000		2,167
	Toyota Motor Credit Corp.	3.650%	1/8/29	33,745		38,100
	Visa Inc.	3.150%	12/14/25	120,737		129,732
8	Volkswagen Group of America Finance LLC	4.625%	11/13/25	9,100		10,223
	Walmart Inc.	2.350%	12/15/22	1,160		1,184
	Walmart Inc.	3.400%	6/26/23	3,000		3,176
	Walmart Inc.	3.550%	6/26/25	10,000		10,889
	Walmart Inc.	3.050%	7/8/26	62,000		66,225
	Walmart Inc.	3.700%	6/26/28	50,000		56,050
	Consumer Noncyclical (8.3%)
	Abbott Laboratories	2.950%	3/15/25	1,679		1,768
	Abbott Laboratories	3.750%	11/30/26	16,142		17,916
8	AbbVie Inc.	2.150%	11/19/21	75,000		75,427
8	AbbVie Inc.	2.600%	11/21/24	50,000		51,057
	AbbVie Inc.	3.600%	5/14/25	9,865		10,533
8	AbbVie Inc.	2.950%	11/21/26	70,225		72,456
	AbbVie Inc.	4.250%	11/14/28	35,000		39,293
8	AbbVie Inc.	3.200%	11/21/29	41,720		43,495

65

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020 

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Agilent Technologies Inc.	3.050%	9/22/26	2,000		2,094
	Agilent Technologies Inc.	2.750%	9/15/29	10,000		10,284
8	Alcon Finance Corp.	2.750%	9/23/26	15,000		15,656
	Allergan Funding SCS	3.800%	3/15/25	31,800		34,129
	Altria Group Inc.	4.400%	2/14/26	19,150		21,174
	Altria Group Inc.	2.625%	9/16/26	7,000		7,084
	Altria Group Inc.	4.800%	2/14/29	21,785		24,715
	AmerisourceBergen Corp.	3.450%	12/15/27	14,716		15,687
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	3.650%	2/1/26	40,000		43,435
	Anheuser-Busch InBev Finance Inc.	3.650%	2/1/26	30,171		32,776
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25	35,000		38,608
	Anheuser-Busch InBev Worldwide Inc.	4.000%	4/13/28	42,062		47,164
	Anheuser-Busch InBev Worldwide Inc.	4.750%	1/23/29	14,850		17,591
8	Aramark Services Inc.	5.000%	2/1/28	2,610		2,724
	AstraZeneca plc	3.125%	6/12/27	20,075		21,329
10	Auchan Holding SA	2.375%	4/25/25	3,400		3,910
	BAT Capital Corp.	3.215%	9/6/26	15,000		15,482
8	BAT International Finance plc	3.950%	6/15/25	15,000		16,070
8	Bausch Health Cos. Inc.	7.000%	1/15/28	2,715		2,946
8	Bausch Health Cos. Inc.	5.000%	1/30/28	1,405		1,419
8	Bausch Health Cos. Inc.	5.250%	1/30/30	940		956
	Baxalta Inc.	4.000%	6/23/25	14,504		15,867
	Becton Dickinson & Co.	3.700%	6/6/27	60,782		65,956
	Biogen Inc.	4.050%	9/15/25	15,000		16,507
	Boston Scientific Corp.	4.000%	3/1/29	10,000		11,295
8	Bristol-Myers Squibb Co.	3.625%	5/15/24	2,650		2,827
8	Bristol-Myers Squibb Co.	2.900%	7/26/24	85,000		88,725
8	Bristol-Myers Squibb Co.	3.875%	8/15/25	21,176		23,257
8	Bristol-Myers Squibb Co.	3.200%	6/15/26	81,124		86,649
8	Bristol-Myers Squibb Co.	3.450%	11/15/27	64,331		70,258
8	Bristol-Myers Squibb Co.	3.900%	2/20/28	20,000		22,409
8	Bristol-Myers Squibb Co.	3.400%	7/26/29	26,605		29,082
	CHRISTUS Health	4.341%	7/1/28	20,000		22,763
8	CHS/Community Health Systems Inc.	6.625%	2/15/25	2,600		2,626
8	Cigna Corp.	3.000%	7/15/23	5,959		6,149
8	Cigna Corp.	3.500%	6/15/24	12,333		13,015
8	Cigna Corp.	4.500%	2/25/26	10,000		11,209
8	Cigna Corp.	3.400%	3/1/27	8,951		9,502
	Coca-Cola Co.	2.550%	6/1/26	4,300		4,496
	Coca-Cola Femsa SAB de CV	4.625%	2/15/20	2,900		2,904
	CommonSpirit Health	2.760%	10/1/24	16,415		16,859
	Constellation Brands Inc.	3.500%	5/9/27	5,635		6,042
	Constellation Brands Inc.	4.650%	11/15/28	10,000		11,605
	Constellation Brands Inc.	3.150%	8/1/29	7,075		7,383
	CVS Health Corp.	4.100%	3/25/25	49,900		54,212
	CVS Health Corp.	2.875%	6/1/26	25,000		25,778
	CVS Health Corp.	3.000%	8/15/26	39,700		41,167
	CVS Health Corp.	4.300%	3/25/28	22,460		24,842
	DaVita Inc.	5.125%	7/15/24	2,575		2,633
	DaVita Inc.	5.000%	5/1/25	1,015		1,039
	DH Europe Finance II Sarl	2.200%	11/15/24	35,000		35,563
	DH Europe Finance II Sarl	2.600%	11/15/29	7,000		7,181
	Diageo Capital plc	3.875%	5/18/28	8,000		9,023
	Dignity Health	3.812%	11/1/24	1,000		1,064
	Eli Lilly & Co.	3.100%	5/15/27	2,000		2,139
	Eli Lilly & Co.	3.375%	3/15/29	23,500		25,787
	Encompass Health Corp.	4.500%	2/1/28	1,802		1,858
	Estee Lauder Cos. Inc.	2.375%	12/1/29	14,250		14,599
	Gilead Sciences Inc.	3.700%	4/1/24	26,304		28,113
	Gilead Sciences Inc.	3.500%	2/1/25	81,507		87,335
	Gilead Sciences Inc.	3.650%	3/1/26	41,600		45,265
	GlaxoSmithKline Capital Inc.	3.875%	5/15/28	23,500		26,544
	GlaxoSmithKline Capital plc	3.000%	6/1/24	55,000		57,752

66

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	GlaxoSmithKline Capital plc	3.375%	6/1/29	15,000		16,454
	Grupo Bimbo SAB de CV	4.500%	1/25/22	4,060		4,246
	HCA Inc.	5.375%	2/1/25	4,630		5,174
	HCA Inc.	5.250%	4/15/25	7,000		7,963
	HCA Inc.	5.250%	6/15/26	30,497		34,690
	HCA Inc.	4.500%	2/15/27	10,000		10,988
	HCA Inc.	5.625%	9/1/28	1,170		1,356
	HCA Inc.	4.125%	6/15/29	10,000		10,850
	Hershey Co.	2.050%	11/15/24	5,000		5,098
8	Hill-Rom Holdings Inc.	4.375%	9/15/27	1,795		1,838
	Hormel Foods Corp.	4.125%	4/15/21	625		640
	Kaiser Foundation Hospitals	3.150%	5/1/27	2,500		2,698
	Kimberly-Clark Corp.	3.625%	8/1/20	3,300		3,329
8	Kraft Heinz Foods Co.	3.750%	4/1/30	4,725		5,004
	Kroger Co.	3.500%	2/1/26	12,475		13,446
	Kroger Co.	3.700%	8/1/27	13,225		14,392
	Laboratory Corp. of America Holdings	3.250%	9/1/24	5,000		5,252
	Laboratory Corp. of America Holdings	3.600%	2/1/25	12,000		12,797
	McKesson Corp.	2.850%	3/15/23	5,000		5,122
	McKesson Corp.	3.950%	2/16/28	10,000		10,891
	McKesson Corp.	4.750%	5/30/29	11,429		13,125
	Mead Johnson Nutrition Co.	4.125%	11/15/25	5,000		5,576
10	Medtronic Global Holdings SCA	1.500%	7/2/39	1,800		2,097
	Medtronic Inc.	3.500%	3/15/25	69,286		75,038
	Merck & Co. Inc.	3.400%	3/7/29	30,000		33,147
	Mercy Health	4.302%	7/1/28	12,500		14,216
8	Minerva Luxembourg SA	5.875%	1/19/28	2,500		2,631
	Mylan Inc.	4.550%	4/15/28	5,000		5,507
10	Mylan NV	2.250%	11/22/24	6,000		7,177
8	Nestle Holdings Inc.	3.500%	9/24/25	11,055		11,967
8	Nestle Holdings Inc.	3.625%	9/24/28	11,819		13,241
	Novartis Capital Corp.	3.100%	5/17/27	9,700		10,498
	PepsiCo Inc.	3.000%	10/15/27	2,500		2,692
	PepsiCo Inc.	2.625%	7/29/29	25,000		26,182
8	Performance Food Group Inc.	5.500%	6/1/24	9,321		9,507
8	Performance Food Group Inc.	5.500%	10/15/27	3,590		3,778
	Perrigo Finance Unlimited Co.	3.900%	12/15/24	6,000		6,309
	Pfizer Inc.	3.400%	5/15/24	17,095		18,310
	Pfizer Inc.	2.750%	6/3/26	5,000		5,250
	Pfizer Inc.	3.000%	12/15/26	21,573		23,052
	Pfizer Inc.	3.450%	3/15/29	45,000		49,623
	Philip Morris International Inc.	2.875%	5/1/24	10,000		10,421
	Philip Morris International Inc.	3.375%	8/11/25	10,000		10,723
	Philip Morris International Inc.	2.750%	2/25/26	16,057		16,644
	Philip Morris International Inc.	3.375%	8/15/29	18,460		19,872
8	Post Holdings Inc.	5.750%	3/1/27	1,780		1,878
	Providence St. Joseph Health Obligated Group	2.746%	10/1/26	7,500		7,974
	Providence St. Joseph Health Obligated Group	2.532%	10/1/29	5,000		5,088
	Quest Diagnostics Inc.	3.500%	3/30/25	2,000		2,136
	Quest Diagnostics Inc.	3.450%	6/1/26	6,900		7,413
8	Reckitt Benckiser Treasury Services plc	2.750%	6/26/24	64,745		66,944
8	Reckitt Benckiser Treasury Services plc	3.000%	6/26/27	27,801		28,988
	Reynolds American Inc.	4.450%	6/12/25	72,408		79,219
	Shire Acquisitions Investments Ireland DAC	3.200%	9/23/26	64,248		67,548
	SSM Health Care Corp.	3.688%	6/1/23	24,865		26,278
	Stryker Corp.	3.375%	5/15/24	5,000		5,304
	Stryker Corp.	3.375%	11/1/25	15,000		16,186
8	Tenet Healthcare Corp.	4.625%	9/1/24	360		372
8	Tenet Healthcare Corp.	4.875%	1/1/26	2,535		2,636
8	Tenet Healthcare Corp.	5.125%	11/1/27	2,685		2,806
	Thermo Fisher Scientific Inc.	2.950%	9/19/26	5,000		5,247
	Thermo Fisher Scientific Inc.	3.200%	8/15/27	15,870		16,977
	Tyson Foods Inc.	4.000%	3/1/26	35,000		38,552
	Tyson Foods Inc.	3.550%	6/2/27	4,400		4,759

67

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Tyson Foods Inc.	4.350%	3/1/29	31,342		36,231
	Unilever Capital Corp.	2.900%	5/5/27	7,000		7,458
	Unilever Capital Corp.	2.125%	9/6/29	35,500		35,236
	Zimmer Biomet Holdings Inc.	3.550%	4/1/25	26,000		27,737
	Energy (5.8%)
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.337%	12/15/27	30,000		31,711
9	BG Energy Capital plc	5.125%	12/1/25	7,300		11,778
	BP Capital Markets America Inc.	3.224%	4/14/24	26,774		28,203
	BP Capital Markets America Inc.	3.796%	9/21/25	38,119		41,804
	BP Capital Markets America Inc.	3.410%	2/11/26	42,800		46,064
	BP Capital Markets America Inc.	3.119%	5/4/26	66,294		70,535
	BP Capital Markets America Inc.	3.017%	1/16/27	18,065		18,916
	BP Capital Markets America Inc.	3.588%	4/14/27	2,000		2,174
	BP Capital Markets America Inc.	3.937%	9/21/28	8,690		9,715
	BP Capital Markets America Inc.	4.234%	11/6/28	7,905		9,032
	BP Capital Markets plc	3.814%	2/10/24	36,910		39,704
	BP Capital Markets plc	3.535%	11/4/24	17,085		18,378
	BP Capital Markets plc	3.506%	3/17/25	5,125		5,517
	BP Capital Markets plc	3.279%	9/19/27	47,038		50,105
	Buckeye Partners LP	3.950%	12/1/26	1,775		1,762
	Canadian Natural Resources Ltd.	3.850%	6/1/27	18,000		19,225
	Cenovus Energy Inc.	4.250%	4/15/27	10,000		10,669
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25	62,654		70,956
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27	26,587		29,645
	Chevron Corp.	3.326%	11/17/25	18,125		19,616
	Chevron Corp.	2.954%	5/16/26	19,958		21,214
	Cimarex Energy Co.	3.900%	5/15/27	12,250		12,692
	Concho Resources Inc.	3.750%	10/1/27	38,904		40,995
	ConocoPhillips Co.	4.950%	3/15/26	67,877		79,270
	Continental Resources Inc.	4.375%	1/15/28	9,000		9,506
	Devon Energy Corp.	5.850%	12/15/25	8,650		10,336
	Diamondback Energy Inc.	3.250%	12/1/26	45,915		46,858
	Diamondback Energy Inc.	3.500%	12/1/29	11,320		11,454
	Dominion Energy Gas Holdings LLC	3.600%	12/15/24	25,000		26,523
	Enbridge Inc.	3.700%	7/15/27	2,000		2,144
	Enbridge Inc.	3.125%	11/15/29	28,870		29,757
8	Endeavor Energy Resources LP / EER Finance Inc.	5.750%	1/30/28	4,440		4,618
	Energy Transfer Operating LP	4.050%	3/15/25	14,738		15,628
	Energy Transfer Operating LP	2.900%	5/15/25	2,000		2,023
	Energy Transfer Operating LP	4.750%	1/15/26	3,250		3,549
	Energy Transfer Operating LP	4.200%	4/15/27	16,115		17,271
	Energy Transfer Operating LP	5.500%	6/1/27	51,820		59,295
	Energy Transfer Operating LP	3.750%	5/15/30	19,000		19,328
	Energy Transfer Partners LP	4.950%	6/15/28	16,750		18,602
	Enterprise Products Operating LLC	3.700%	2/15/26	12,970		14,040
	Enterprise Products Operating LLC	3.950%	2/15/27	2,000		2,199
	Enterprise Products Operating LLC	3.125%	7/31/29	10,000		10,348
	Enterprise Products Operating LLC	2.800%	1/31/30	28,290		28,592
	EOG Resources Inc.	3.150%	4/1/25	19,497		20,636
	EOG Resources Inc.	4.150%	1/15/26	4,255		4,728
	Exxon Mobil Corp.	2.019%	8/16/24	40,000		40,646
	Exxon Mobil Corp.	2.709%	3/6/25	7,598		7,920
	Exxon Mobil Corp.	2.275%	8/16/26	70,000		71,550
	Exxon Mobil Corp.	2.440%	8/16/29	5,000		5,135
	Husky Energy Inc.	4.400%	4/15/29	5,085		5,551
	Kinder Morgan Inc.	4.300%	6/1/25	7,895		8,653
	Kinder Morgan Inc.	4.300%	3/1/28	9,840		10,846
	Marathon Oil Corp.	3.850%	6/1/25	11,900		12,690
	Marathon Petroleum Corp.	5.125%	12/15/26	35,000		40,332
8	MEG Energy Corp.	7.000%	3/31/24	1,056		1,064
8	MEG Energy Corp.	6.500%	1/15/25	751		784
8	MEG Energy Corp.	7.125%	2/1/27	1,865		1,842

68

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	MPLX LP	4.125%	3/1/27	10,000		10,589
8	MPLX LP	4.250%	12/1/27	13,500		14,473
	MPLX LP	4.000%	3/15/28	5,000		5,241
	Newfield Exploration Co.	5.625%	7/1/24	13,340		14,707
	Noble Energy Inc.	3.850%	1/15/28	10,000		10,553
	Occidental Petroleum Corp.	2.900%	8/15/24	27,120		27,692
	Occidental Petroleum Corp.	5.550%	3/15/26	26,055		30,076
	ONEOK Inc.	3.400%	9/1/29	10,000		10,231
8	Parsley Energy LLC / Parsley Finance Corp.	6.250%	6/1/24	1,928		2,000
8	Parsley Energy LLC / Parsley Finance Corp.	5.625%	10/15/27	2,710		2,859
	Phillips 66 Partners LP	3.605%	2/15/25	7,605		8,083
	Phillips 66 Partners LP	3.550%	10/1/26	4,090		4,373
	Plains All American Pipeline LP / PAA Finance Corp.	4.500%	12/15/26	13,490		14,717
	Sabine Pass Liquefaction LLC	5.875%	6/30/26	49,085		56,877
	Sabine Pass Liquefaction LLC	5.000%	3/15/27	6,700		7,445
	Shell International Finance BV	3.250%	5/11/25	85,903		91,884
	Shell International Finance BV	2.875%	5/10/26	58,596		61,779
	Shell International Finance BV	2.500%	9/12/26	2,000		2,061
	Shell International Finance BV	2.375%	11/7/29	65,730		66,494
	SM Energy Co.	6.125%	11/15/22	851		840
	SM Energy Co.	6.750%	9/15/26	877		796
	Sunoco Logistics Partners Operations LP	3.900%	7/15/26	13,648		14,293
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.500%	7/15/27	1,735		1,891
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	5.000%	1/15/28	860		875
8	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	5.500%	3/1/30	1,775		1,824
	Total Capital International SA	3.700%	1/15/24	21,525		23,086
	Total Capital International SA	2.434%	1/10/25	35,605		36,550
	Total Capital International SA	3.455%	2/19/29	20,000		21,980
10	Total Capital International SA	1.375%	10/4/29	5,200		6,404
	Total Capital International SA	2.829%	1/10/30	30,510		32,094
	Total Capital SA	3.883%	10/11/28	16,600		18,716
	TransCanada PipeLines Ltd.	4.875%	1/15/26	34,418		38,888
	Valero Energy Corp.	4.350%	6/1/28	7,960		8,798
	Western Midstream Operating LP	4.500%	3/1/28	3,085		3,121
	Western Midstream Operating LP	4.750%	8/15/28	3,225		3,314
	Western Midstream Operating LP	4.050%	2/1/30	19,015		18,961
	Williams Cos. Inc.	4.550%	6/24/24	4,265		4,653
	Williams Cos. Inc.	3.900%	1/15/25	5,116		5,456
	Williams Cos. Inc.	3.750%	6/15/27	8,500		8,926
	WPX Energy Inc.	5.250%	10/15/27	705		735
	WPX Energy Inc.	4.500%	1/15/30	2,807		2,814
	Other Industrial (0.0%)
	CBRE Services Inc.	4.875%	3/1/26	10,000		11,373
	Technology (5.9%)
	Adobe Inc.	1.900%	2/1/25	10,000		10,105
	Adobe Inc.	2.150%	2/1/27	35,000		35,583
	Apple Inc.	3.000%	2/9/24	32,300		33,885
	Apple Inc.	3.450%	5/6/24	30,000		32,223
	Apple Inc.	2.850%	5/11/24	9,150		9,567
	Apple Inc.	2.750%	1/13/25	68,358		71,572
	Apple Inc.	2.500%	2/9/25	27,342		28,346
	Apple Inc.	3.250%	2/23/26	88,151		94,985
	Apple Inc.	2.450%	8/4/26	69,739		71,997
	Apple Inc.	2.050%	9/11/26	45,000		45,475
	Apple Inc.	3.350%	2/9/27	41,175		44,711
	Apple Inc.	3.200%	5/11/27	56,086		60,566
	Apple Inc.	2.900%	9/12/27	53,037		56,325
	Apple Inc.	3.000%	11/13/27	10,000		10,697
10	Apple Inc.	0.500%	11/15/31	4,995		5,691

69

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Applied Materials Inc.	3.300%	4/1/27	34,321		37,102
	Autodesk Inc.	3.500%	6/15/27	9,000		9,674
	Autodesk Inc.	2.850%	1/15/30	15,000		15,363
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.125%	1/15/25	19,450		20,031
8	Broadcom Inc.	3.625%	10/15/24	62,090		65,358
8	Broadcom Inc.	4.250%	4/15/26	9,320		10,062
8	CDK Global Inc.	5.250%	5/15/29	686		734
	CDW LLC / CDW Finance Corp.	4.250%	4/1/28	2,705		2,796
	Cisco Systems Inc.	2.500%	9/20/26	15,904		16,602
8	CommScope Finance LLC	5.500%	3/1/24	677		697
8	CommScope Finance LLC	8.250%	3/1/27	1,807		1,857
8	Dell International LLC / EMC Corp.	4.000%	7/15/24	10,000		10,650
10	Fidelity National Information Services Inc.	1.000%	12/3/28	1,900		2,159
	Fiserv Inc.	3.200%	7/1/26	92,520		97,721
	Hewlett Packard Enterprise Co.	4.900%	10/15/25	24,990		28,266
	Intel Corp.	3.700%	7/29/25	31,950		35,026
	Intel Corp.	2.600%	5/19/26	25,000		26,089
	Intel Corp.	2.450%	11/15/29	28,650		29,312
	International Business Machines Corp.	3.625%	2/12/24	37,000		39,752
	International Business Machines Corp.	3.300%	5/15/26	108,665		116,966
	International Business Machines Corp.	3.500%	5/15/29	73,015		80,222
	Juniper Networks Inc.	4.350%	6/15/25	5,000		5,509
	Juniper Networks Inc.	3.750%	8/15/29	28,594		30,398
	Microsoft Corp.	2.700%	2/12/25	41,755		43,717
	Microsoft Corp.	3.125%	11/3/25	41,685		44,800
	Microsoft Corp.	2.400%	8/8/26	97,672		101,235
	Microsoft Corp.	3.300%	2/6/27	57,571		63,036
8	NXP BV / NXP Funding LLC	5.350%	3/1/26	30,000		34,612
	Oracle Corp.	3.400%	7/8/24	22,400		23,857
	Oracle Corp.	2.950%	11/15/24	44,875		47,217
	Oracle Corp.	2.950%	5/15/25	39,591		41,817
	Oracle Corp.	2.650%	7/15/26	35,985		37,471
	Oracle Corp.	3.250%	11/15/27	20,515		22,269
8	Presidio Holdings Inc.	4.875%	2/1/27	432		432
8	Presidio Holdings Inc.	8.250%	2/1/28	432		444
8	Qorvo Inc.	4.375%	10/15/29	6,305		6,557
	QUALCOMM Inc.	3.450%	5/20/25	10,000		10,722
	QUALCOMM Inc.	3.250%	5/20/27	85,553		91,827
8	SS&C Technologies Inc.	5.500%	9/30/27	1,848		1,954
	Tyco Electronics Group SA	3.450%	8/1/24	8,710		9,265
	Tyco Electronics Group SA	3.700%	2/15/26	25,263		27,126
	Tyco Electronics Group SA	3.125%	8/15/27	28,779		30,510
	Verisk Analytics Inc.	4.000%	6/15/25	16,000		17,465
	Verisk Analytics Inc.	4.125%	3/15/29	21,690		24,361
	Western Digital Corp.	4.750%	2/15/26	2,765		2,945
	Transportation (1.2%)
10	Abertis Infraestructuras SA	0.625%	7/15/25	2,200		2,416
11	Aurizon Network Pty Ltd.	4.000%	6/21/24	34,840		25,129
	Burlington Northern Santa Fe LLC	3.400%	9/1/24	25,252		27,084
	Burlington Northern Santa Fe LLC	7.000%	12/15/25	16,231		20,810
	Burlington Northern Santa Fe LLC	3.250%	6/15/27	11,850		12,925
	Canadian National Railway Co.	2.750%	3/1/26	10,950		11,469
	Canadian Pacific Railway Co.	2.900%	2/1/25	7,108		7,444
8	Cargo Aircraft Management Inc.	4.750%	2/1/28	934		946
	CSX Corp.	3.350%	11/1/25	7,161		7,730
	CSX Corp.	2.600%	11/1/26	4,940		5,124
	CSX Corp.	3.250%	6/1/27	42,612		45,776
	Delta Air Lines Inc.	2.900%	10/28/24	32,800		33,174
8	ERAC USA Finance LLC	3.850%	11/15/24	8,000		8,628
8	ERAC USA Finance LLC	3.800%	11/1/25	9,000		9,741
10	International Consolidated Airlines Group SA	1.500%	7/4/27	3,500		3,903
	Norfolk Southern Corp.	3.650%	8/1/25	3,000		3,260
	Norfolk Southern Corp.	2.900%	6/15/26	5,400		5,668

70

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Norfolk Southern Corp.	3.800%	8/1/28	10,000		11,236
	Southwest Airlines Co.	3.000%	11/15/26	7,000		7,334
	Southwest Airlines Co.	7.375%	3/1/27	4,930		6,357
	Southwest Airlines Co.	3.450%	11/16/27	3,800		4,089
8	Stena International SA	6.125%	2/1/25	860		880
	Union Pacific Corp.	3.250%	1/15/25	1,465		1,558
	Union Pacific Corp.	3.250%	8/15/25	7,102		7,643
	Union Pacific Corp.	2.750%	3/1/26	9,017		9,386
	Union Pacific Corp.	2.150%	2/5/27	37,500		37,780
	Union Pacific Corp.	3.700%	3/1/29	4,750		5,282
5	United Airlines 2013-1 Class A Pass Through Trust	4.300%	2/15/27	4,264		4,631
	United Parcel Service Inc.	2.200%	9/1/24	25,000		25,489
	United Parcel Service Inc.	2.800%	11/15/24	4,450		4,663
	United Parcel Service Inc.	3.050%	11/15/27	30,185		32,442
						10,567,768
Utilities (4.0%)
	Electric (3.7%)
	AEP Transmission Co. LLC	3.100%	12/1/26	16,300		17,400
	Ameren Illinois Co.	3.250%	3/1/25	11,680		12,393
	Appalachian Power Co.	3.300%	6/1/27	2,860		3,042
	Arizona Public Service Co.	2.600%	8/15/29	8,530		8,695
7,11	Ausgrid Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.220%	2.110%	10/30/24	9,160		6,188
	Berkshire Hathaway Energy Co.	3.250%	4/15/28	16,025		17,247
8	Calpine Corp.	4.500%	2/15/28	5,105		5,060
8	Calpine Corp.	5.125%	3/15/28	3,520		3,502
8	Clearway Energy Operating LLC	4.750%	3/15/28	1,725		1,775
	Commonwealth Edison Co.	3.100%	11/1/24	5,790		6,078
	Commonwealth Edison Co.	2.550%	6/15/26	2,955		3,035
	Commonwealth Edison Co.	2.950%	8/15/27	2,000		2,109
	Connecticut Light & Power Co.	3.200%	3/15/27	10,330		11,064
	DTE Energy Co.	3.800%	3/15/27	21,680		23,432
	DTE Energy Co.	3.400%	6/15/29	17,760		18,606
	Duke Energy Carolinas LLC	2.950%	12/1/26	18,400		19,486
	Duke Energy Carolinas LLC	3.950%	11/15/28	13,339		15,114
	Duke Energy Carolinas LLC	2.450%	8/15/29	11,375		11,607
	Duke Energy Carolinas LLC	2.450%	2/1/30	26,990		27,567
	Duke Energy Corp.	3.150%	8/15/27	3,500		3,680
	Duke Energy Corp.	3.400%	6/15/29	18,400		19,764
	Duke Energy Florida LLC	3.200%	1/15/27	12,403		13,283
	Duke Energy Florida LLC	3.800%	7/15/28	29,164		32,530
	Duke Energy Florida LLC	2.500%	12/1/29	34,825		35,571
	Duke Energy Progress LLC	3.700%	9/1/28	5,781		6,411
10	E.ON SE	0.625%	11/7/31	3,100		3,412
	Edison International	5.750%	6/15/27	4,000		4,600
	Edison International	4.125%	3/15/28	2,000		2,124
	Entergy Arkansas Inc.	3.700%	6/1/24	9,708		10,407
	Entergy Arkansas Inc.	3.500%	4/1/26	24,414		26,094
	Entergy Gulf States Louisiana LLC	5.590%	10/1/24	12,935		15,047
	Entergy Louisiana LLC	5.400%	11/1/24	8,562		9,907
	Entergy Louisiana LLC	2.400%	10/1/26	18,176		18,445
	Entergy Louisiana LLC	3.120%	9/1/27	26,632		28,374
	Entergy Louisiana LLC	4.950%	1/15/45	9,250		10,034
	Exelon Corp.	3.950%	6/15/25	23,652		25,776
	Exelon Corp.	3.400%	4/15/26	650		691
8	FirstEnergy Transmission LLC	4.350%	1/15/25	35,860		39,083
	Georgia Power Co.	2.200%	9/15/24	25,000		25,308
	ITC Holdings Corp.	3.250%	6/30/26	9,700		10,173
	ITC Holdings Corp.	3.350%	11/15/27	18,745		19,960
8	Kallpa Generacion SA	4.125%	8/16/27	11,000		11,319
8	Mid-Atlantic Interstate Transmission LLC	4.100%	5/15/28	9,984		11,140
	MidAmerican Energy Co.	3.100%	5/1/27	2,750		2,932
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24	1,200		1,254

71

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	National Rural Utilities Cooperative Finance Corp.	2.850%	1/27/25	697		729
	National Rural Utilities Cooperative Finance Corp.	3.050%	4/25/27	2,000		2,123
	National Rural Utilities Cooperative Finance Corp.	3.400%	2/7/28	7,000		7,636
	National Rural Utilities Cooperative Finance Corp.	3.700%	3/15/29	37,336		41,906
	National Rural Utilities Cooperative Finance Corp.	2.400%	3/15/30	17,420		17,696
	Nevada Power Co.	2.400%	5/1/30	11,640		11,629
	NextEra Energy Capital Holdings Inc.	3.150%	4/1/24	37,108		38,923
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27	1,926		2,084
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29	7,275		7,835
	NRG Energy Inc.	7.250%	5/15/26	1,810		1,955
	NSTAR Electric Co.	3.250%	11/15/25	10,000		10,645
	NSTAR Electric Co.	3.200%	5/15/27	50,840		54,347
	Oncor Electric Delivery Co. LLC	2.950%	4/1/25	2,500		2,621
	Oncor Electric Delivery Co. LLC	3.700%	11/15/28	45,200		50,519
	Oncor Electric Delivery Co. LLC	5.750%	3/15/29	19,475		25,063
	PacifiCorp	3.600%	4/1/24	14,000		14,901
	PacifiCorp	3.350%	7/1/25	17,720		18,912
	PacifiCorp	3.500%	6/15/29	15,485		17,059
	Potomac Electric Power Co.	3.050%	4/1/22	2,270		2,333
	Potomac Electric Power Co.	3.600%	3/15/24	15,690		16,657
	Public Service Electric & Gas Co.	3.000%	5/15/27	2,000		2,121
	Public Service Electric & Gas Co.	3.200%	5/15/29	31,500		34,134
	Public Service Electric & Gas Co.	2.450%	1/15/30	7,500		7,711
	Puget Energy Inc.	3.650%	5/15/25	13,665		14,378
	Southern California Edison Co.	3.700%	8/1/25	13,871		15,039
	Southern California Edison Co.	4.200%	3/1/29	9,000		10,225
	Southwestern Electric Power Co.	4.100%	9/15/28	25,000		27,848
	Southwestern Public Service Co.	3.300%	6/15/24	41,070		43,439
8	Trans-Allegheny Interstate Line Co.	3.850%	6/1/25	11,000		11,851
	Union Electric Co.	2.950%	6/15/27	12,861		13,406
	Virginia Electric & Power Co.	3.450%	2/15/24	7,000		7,400
	Virginia Electric & Power Co.	3.100%	5/15/25	8,885		9,347
	Virginia Electric & Power Co.	3.150%	1/15/26	12,295		13,056
	Virginia Electric & Power Co.	2.950%	11/15/26	56,752		59,638
	Virginia Electric & Power Co.	3.500%	3/15/27	11,487		12,525
8	Vistra Operations Co. LLC	5.000%	7/31/27	2,635		2,714
	Westar Energy Inc.	2.550%	7/1/26	2,000		2,050
	Westar Energy Inc.	3.100%	4/1/27	5,800		6,128
	Natural Gas (0.2%)
	Atmos Energy Corp.	3.000%	6/15/27	1,165		1,231
9	Centrica plc	4.375%	3/13/29	4,000		6,360
8	Engie SA	2.875%	10/10/22	3,480		3,574
	Piedmont Natural Gas Co. Inc.	3.500%	6/1/29	15,000		16,363
	Sempra Energy	3.250%	6/15/27	6,360		6,716
	Sempra Energy	3.400%	2/1/28	15,912		16,854
	Southern California Gas Co.	2.550%	2/1/30	18,220		18,673
	Southern Co. Gas Capital Corp.	3.250%	6/15/26	4,125		4,326
	Other Utility (0.1%)
11	DBNGP Finance Co. Pty Ltd.	4.225%	5/28/25	30,550		22,802
						1,336,201
Total Corporate Bonds (Cost $20,209,861)						21,276,539
Sovereign Bonds (6.1%)
8	Abu Dhabi National Energy Co. PJSC	4.875%	4/23/30	9,450		10,918
8	Banco Latinoamericano de Comercio Exterior SA	3.250%	5/7/20	4,000		4,009
8	Banque Ouest Africaine de Developpement	5.000%	7/27/27	1,329		1,439
8	Banque Ouest Africaine de Developpement	4.700%	10/22/31	4,150		4,370
8	Bermuda	4.138%	1/3/23	10,964		11,560
8	Bermuda	4.854%	2/6/24	3,517		3,863
	Bermuda	4.854%	2/6/24	8,791		9,663
5	Bermuda	4.750%	2/15/29	12,860		14,829
8	CDP Financial Inc.	3.150%	7/24/24	8,000		8,490

72

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Centrais Eletricas Brasileiras SA	5.750%	10/27/21	3,300		3,489
	CNOOC Finance 2015 USA LLC	3.750%	5/2/23	8,231		8,641
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25	2,105		2,240
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24	35,711		38,696
8	CNPC General Capital Ltd.	3.400%	4/16/23	1,000		1,037
	Corp Financiera de Desarrollo SA	4.750%	7/15/25	10,100		11,152
	Development Bank of Kazakhstan JSC	4.125%	12/10/22	8,605		8,990
8,13	Dexia Credit Local SA	1.875%	9/15/21	10,000		10,046
8,13	Dexia Credit Local SA	2.375%	9/20/22	1,750		1,785
	Dominican Republic	6.600%	1/28/24	3,250		3,619
8	Dominican Republic	5.875%	1/30/60	18,225		18,225
8	Electricite de France SA	4.500%	9/21/28	5,000		5,711
8	Emirate of Abu Dhabi	2.125%	9/30/24	91,000		91,543
8	Emirate of Abu Dhabi	3.125%	9/30/49	21,875		21,987
	Empresa Nacional del Petroleo	4.375%	10/30/24	13,883		14,799
5	Empresa Nacional del Petroleo	5.250%	11/6/29	49,663		56,392
	Equinor ASA	3.150%	1/23/22	3,000		3,090
	Equinor ASA	2.450%	1/17/23	3,000		3,069
	Equinor ASA	3.950%	5/15/43	3,191		3,732
	Export-Import Bank of India	3.875%	3/12/24	3,900		4,109
	Export-Import Bank of India	3.375%	8/5/26	3,000		3,102
8	Export-Import Bank of India	3.875%	2/1/28	9,675		10,297
	Export-Import Bank of Korea	5.125%	6/29/20	17,000		17,212
	Export-Import Bank of Korea	3.000%	11/1/22	38,308		39,594
5	Federative Republic of Brazil	4.625%	1/13/28	18,200		20,100
5	Federative Republic of Brazil	4.750%	1/14/50	28,615		29,366
	Fondo MIVIVIENDA SA	3.500%	1/31/23	12,050		12,415
	Gazprom OAO Via Gaz Capital SA	6.510%	3/7/22	2,650		2,874
	ICBCIL Finance Co. Ltd.	3.250%	3/17/20	4,800		4,805
	ICBCIL Finance Co. Ltd.	3.000%	4/5/20	3,538		3,541
	ICBCIL Finance Co. Ltd.	3.200%	11/10/20	5,000		5,031
	ICBCIL Finance Co. Ltd.	3.375%	4/5/22	10,000		10,202
8	KazMunayGas National Co. JSC	6.375%	10/24/48	5,400		7,209
8	Kingdom of Saudi Arabia	2.375%	10/26/21	785		791
	Kingdom of Saudi Arabia	2.375%	10/26/21	131,077		132,166
	Kingdom of Saudi Arabia	4.000%	4/17/25	13,500		14,708
	Kingdom of Saudi Arabia	4.375%	4/16/29	17,450		19,931
	Korea Hydro & Nuclear Power Co. Ltd.	3.000%	9/19/22	2,800		2,878
14	KSA Sukuk Ltd.	3.628%	4/20/27	34,280		37,004
	North American Development Bank	2.400%	10/26/22	1,300		1,316
	NTPC Ltd.	4.250%	2/26/26	6,250		6,685
8	Ontario Teachers' Cadillac Fairview Properties Trust	3.125%	3/20/22	6,000		6,159
8	Ontario Teachers' Cadillac Fairview Properties Trust	3.875%	3/20/27	7,000		7,644
8	Ontario Teachers' Cadillac Fairview Properties Trust	4.125%	2/1/29	11,900		13,520
8,10	Perusahaan Listrik Negara PT	1.875%	11/5/31	13,940		15,494
	Perusahaan Penerbit SBSN Indonesia III	4.325%	5/28/25	17,330		18,868
	Perusahaan Penerbit SBSN Indonesia III	4.550%	3/29/26	8,550		9,448
	Perusahaan Penerbit SBSN Indonesia III	4.150%	3/29/27	28,300		30,705
	Petroleos Mexicanos	6.875%	8/4/26	38,815		43,840
8	Petroleos Mexicanos	6.490%	1/23/27	53,545		58,179
	Petroleos Mexicanos	6.500%	3/13/27	6,235		6,769
8	Petroleos Mexicanos	6.950%	1/28/60	28,875		29,302
5	Republic of Colombia	4.500%	1/28/26	48,147		53,012
	Republic of Colombia	10.375%	1/28/33	33,975		55,312
	Republic of Croatia	6.375%	3/24/21	7,250		7,605
10	Republic of Croatia	3.000%	3/20/27	12,582		16,352
10	Republic of Croatia	1.125%	6/19/29	22,630		26,107
	Republic of Honduras	6.250%	1/19/27	8,637		9,593
	Republic of Hungary	6.375%	3/29/21	13,614		14,347
	Republic of Hungary	5.375%	2/21/23	18,500		20,350
	Republic of Hungary	5.750%	11/22/23	22,242		25,300
8	Republic of Indonesia	3.700%	1/8/22	3,124		3,218
	Republic of Indonesia	3.750%	4/25/22	88,508		91,555
	Republic of Indonesia	5.375%	10/17/23	6,400		7,132

73

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Republic of Indonesia	5.875%	1/15/24	26,830		30,493
	Republic of Indonesia	4.350%	1/8/27	20,000		22,162
8,10	Republic of Italy	3.850%	9/1/49	2,060		3,255
	Republic of Lithuania	7.375%	2/11/20	23,356		23,385
8	Republic of Lithuania	6.125%	3/9/21	7,400		7,734
	Republic of Lithuania	6.125%	3/9/21	42,564		44,543
	Republic of Lithuania	6.625%	2/1/22	12,000		13,130
10	Republic of Lithuania	1.625%	6/19/49	6,800		9,191
5	Republic of Panama	4.000%	9/22/24	4,850		5,232
	Republic of Panama	7.125%	1/29/26	10,000		12,625
	Republic of Panama	8.125%	4/28/34	9,236		13,531
	Republic of Paraguay	5.600%	3/13/48	8,250		9,861
5,8	Republic of Paraguay	5.400%	3/30/50	14,450		16,834
	Republic of Poland	5.125%	4/21/21	10,505		10,925
10	Republic of Romania	2.500%	2/8/30	5,270		6,387
10	Republic of Romania	2.124%	7/16/31	2,630		3,040
	Republic of Serbia	7.250%	9/28/21	13,696		14,865
	Republic of Slovenia	5.500%	10/26/22	36,554		40,066
	Republic of South Africa	5.875%	9/16/25	21,437		23,673
	Republic of South Africa	4.850%	9/27/27	8,520		8,913
15	Republic of South Africa	7.000%	2/28/31	653,700		37,007
8,10	Romanian Government International Bond	3.375%	1/28/50	28,363		33,012
	Russian Federation	4.750%	5/27/26	17,400		19,669
8	SABIC Capital II BV	4.000%	10/10/23	15,288		16,129
	SABIC Capital II BV	4.000%	10/10/23	12,000		12,681
	Sinopec Capital 2013 Ltd.	3.125%	4/24/23	13,170		13,520
	Sinopec Group Overseas Development 2016 Ltd.	3.500%	5/3/26	5,000		5,340
8	Sinopec Group Overseas Development 2017 Ltd.	3.625%	4/12/27	12,500		13,441
	Sinopec Group Overseas Development 2017 Ltd.	3.625%	4/12/27	13,770		14,754
	Sinopec Group Overseas Development 2017 Ltd.	3.250%	9/13/27	51,800		54,432
8	Sinopec Group Overseas Development 2018 Ltd.	2.950%	11/12/29	1,349		1,387
	State Grid Overseas Investment 2014 Ltd.	4.125%	5/7/24	4,005		4,335
	State Grid Overseas Investment 2016 Ltd.	3.750%	5/2/23	5,245		5,502
	State Grid Overseas Investment 2016 Ltd.	3.500%	5/4/27	16,000		17,153
	State of Israel	3.150%	6/30/23	2,000		2,094
10	State of Israel	2.875%	1/29/24	1,100		1,360
	State of Israel	3.375%	1/15/50	12,200		12,758
	State of Qatar	2.375%	6/2/21	775		779
	State of Qatar	3.375%	3/14/24	75,402		79,549
	State of Qatar	4.000%	3/14/29	24,215		27,336
	State of Qatar	4.817%	3/14/49	3,010		3,838
8	Temasek Financial I Ltd.	2.375%	1/23/23	1,000		1,018
10	United Mexican States	1.625%	4/8/26	13,622		15,800
	United Mexican States	4.500%	4/22/29	3,763		4,217
5	United Mexican States	3.250%	4/16/30	8,000		8,167
Total Sovereign Bonds (Cost $1,980,351)						2,057,654
Taxable Municipal Bonds (0.2%)
	Allentown PA Neighborhood Improvement Zone Development Authority Revenue	5.420%	5/1/21	4,000		4,044
	Florida Hurricane Catastrophe Fund Finance Corp. Revenue	2.995%	7/1/20	1,250		1,256
	Illinois GO	5.000%	1/1/23	1,835		1,966
	JobsOhio Beverage System Statewide Liquor Profits Revenue	2.885%	1/1/21	1,000		1,010
16	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	15,435		20,052
7	New Mexico Educational Assistance Foundation 2013-1, 1M USD LIBOR + 0.700%	2.481%	1/2/25	1,597		1,595
	New York City NY Transitional Finance Authority Future Tax Revenue	5.125%	2/1/24	1,500		1,694
	New York State Dormitory Authority Revenue (Employer Assessment)	3.892%	12/1/24	2,000		2,198

74

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Port Authority of New York & New Jersey Revenue	5.859%	12/1/24	2,000		2,369
	San Diego County CA Regional Airport Authority Revenue	3.730%	7/1/21	800		823
	San Diego County CA Regional Airport Authority Revenue	5.594%	7/1/43	6,200		7,111
	Sonoma County CA Pension Obligation Revenue	6.000%	12/1/29	4,765		5,788
	Texas GO	3.682%	8/1/24	2,000		2,105
	Texas Private Activity Surface Transportation Corp. Revenue	3.922%	12/31/49	8,550		9,324
	University of California Revenue	2.300%	5/15/21	1,000		1,010
Total Taxable Municipal Bonds (Cost $59,185)						62,345
				Shares
Common Stocks (0.2%)
	iShares iBoxx $ Investment Grade Corporate Bond ETF			382,500		50,142
Temporary Cash Investment (3.3%)
Money Market Fund (3.3%)
17	Vanguard Market Liquidity Fund (Cost $1,127,549)	1.730%		11,273,586		1,127,584

		Expiration Date	Contracts	Exercise Rate	Notional Amount on Underlying Swap ($000	)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Put Options (0.0%)
	10-Year U.S. Treasury Note Futures Contracts	2/24/20	797	$130.00	103,610		87

	Counterparty		Expiration Date
Over-the-Counter Swaptions (0.0%)
Call Swaptions (0.0%)
10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually		BNPSW	9/21/20	1.130	%	47,725	427
Put Swaptions (0.0%)
5-Year CDX-NA-HY-33-V2, Credit Protection Sold, Receives 5.000% Quarterly		BNPSW	3/18/20	1.060	%	31,980	124
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly		MSCS	2/19/20	0.525	%	63,590	54
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly		JPMC	3/18/20	0.550	%	63,960	83
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly		GSI	2/19/20	0.600	%	95,380	31
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly		MSCS	3/18/20	0.550	%	95,380	124
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly		BOANA	3/18/20	0.475	%	200,000	532
5-Year CDX-NA-IG-33-V1, Credit Protection Sold, Receives 1.000% Quarterly		MSCS	3/18/20	0.475	%	470,000	1,251
							2,626
Total Options Purchased (Cost $1,939)							2,713
Total Investments (98.6%) (Cost $31,725,506)							33,121,618

75

Vanguard^® Intermediate-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.7%)
5,6,18	UMBS Pool	3.000%	2/1/49-2/1/50	(238,350	)	(243,751	)
5,6,18	UMBS Pool	4.000%	1/1/50-2/1/50	(3,600	)	(3,760	)
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $244,695)						(247,511	)
Other Assets and Liabilities—Net (2.1%)						730,707
Net Assets (100%)						33,604,814

§	Security value determined using significant unobservable inputs.
1	Securities with a value of $3,176,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2	Securities with a value of $9,543,000 have been segregated as initial margin for open centrally cleared swap contracts.
3	Securities with a value of $30,311,000 have been segregated as initial margin for open futures contracts.
4	Securities with a value of $1,548,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
5	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.

6	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.
7	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
8	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 January 31, 2020, the aggregate value of these securities was $4,314,719,000, representing 12.8% of net assets.
9	Face amount denominated in British pounds.
10	Face amount denominated in euro.
11	Face amount denominated in Australian dollars.
12	Non-income-producing security—security in default.
13	Guaranteed by multiple countries.
14	Guaranteed by the Kingdom of Saudi Arabia.
15	Face amount denominated in South African rand.
16	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
17	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
18	Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of January 31, 2020.
	BNPSW—BNP Paribas.
	BOANA—Bank of America, N.A.
	CMT—Constant Maturing Treasury Rate.
	GO—General Obligation Bond.
	GSI—Goldman Sachs International.
	JPMC—JP Morgan Chase Bank.
	LIBOR—London Interbank Offered Rate.
	MSCS—Morgan Stanley Capital Services LLC.
	REMICS—Real Estate Mortgage Investment Conduits.
	TBA—To Be Announced.
	UMBS—Uniform Mortgage-Backed Securities.

76

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (10.7%)
U.S. Government Securities (8.3%)
	United States Treasury Note/Bond	1.500%	8/15/22	5,000		5,023
	United States Treasury Note/Bond	2.250%	11/15/24	10,808		11,270
	United States Treasury Note/Bond	1.750%	12/31/24	2,500		2,551
	United States Treasury Note/Bond	1.375%	8/31/26	10,000		9,978
	United States Treasury Note/Bond	1.750%	12/31/26	2,000		2,043
	United States Treasury Note/Bond	2.375%	5/15/29	65,000		69,926
	United States Treasury Note/Bond	1.625%	8/15/29	10,000		10,106
	United States Treasury Note/Bond	1.750%	11/15/29	27,850		28,455
1,2,3	United States Treasury Note/Bond	4.500%	2/15/36	172,000		239,563
	United States Treasury Note/Bond	4.750%	2/15/37	109,059		157,830
	United States Treasury Note/Bond	5.000%	5/15/37	50,000		74,469
	United States Treasury Note/Bond	4.375%	5/15/40	20,090		28,653
	United States Treasury Note/Bond	4.750%	2/15/41	100,000		149,875
	United States Treasury Note/Bond	4.375%	5/15/41	40,735		58,391
	United States Treasury Note/Bond	3.750%	8/15/41	90,000		119,081
	United States Treasury Note/Bond	3.125%	2/15/43	27,190		32,930
	United States Treasury Note/Bond	2.875%	5/15/43	53,100		61,878
	United States Treasury Note/Bond	3.000%	11/15/44	64,210		76,601
2	United States Treasury Note/Bond	2.500%	2/15/45	27,462		30,067
	United States Treasury Note/Bond	3.000%	5/15/45	36,875		44,088
	United States Treasury Note/Bond	2.875%	8/15/45	65,055		76,237
2	United States Treasury Note/Bond	3.000%	11/15/45	59,882		71,793
	United States Treasury Note/Bond	2.250%	8/15/46	9,500		9,953
	United States Treasury Note/Bond	3.000%	5/15/47	31,000		37,491
	United States Treasury Note/Bond	2.750%	11/15/47	47,602		55,129
	United States Treasury Note/Bond	3.000%	2/15/48	15,000		18,197
	United States Treasury Note/Bond	3.125%	5/15/48	30,000		37,270
	United States Treasury Note/Bond	3.375%	11/15/48	15,000		19,535
	United States Treasury Note/Bond	2.875%	5/15/49	10,000		11,942
	United States Treasury Note/Bond	2.250%	8/15/49	50,000		52,781
	United States Treasury Note/Bond	2.375%	11/15/49	42,500		46,079
	United States Treasury Strip Principal	0.000%	2/15/48	47,795		26,896
						1,676,081
Agency Bonds and Notes (0.3%)
	Tennessee Valley Authority	5.250%	9/15/39	33,800		48,679
	Tennessee Valley Authority	4.250%	9/15/65	10,000		14,192
						62,871
Conventional Mortgage-Backed Securities (1.6%)
4,5	Fannie Mae Pool	2.980%	9/1/34	1,380		1,501
4,5	Fannie Mae Pool	3.230%	7/1/32	3,502		3,899
4,5	Fannie Mae Pool	3.250%	6/1/32	6,115		6,814
4,5	Fannie Mae Pool	3.260%	9/1/32	26,625		29,734
4,5	Fannie Mae Pool	3.360%	6/1/34	13,215		14,911
4,5	Fannie Mae Pool	3.390%	7/1/34	12,909		14,596
4,5	Fannie Mae Pool	3.440%	3/1/33	10,900		12,366
4,5	Fannie Mae Pool	3.490%	2/1/32	5,695		6,458
4,5	Fannie Mae Pool	3.560%	4/1/33	13,538		15,480
4,5	Fannie Mae Pool	3.580%	8/1/30–4/1/33	17,561		19,958
4,5	Fannie Mae Pool	3.590%	5/1/34	29,275		33,614
4,5	Fannie Mae Pool	3.610%	5/1/33	13,748		15,795
4,5	Fannie Mae Pool	3.620%	8/1/30–4/1/34	17,586		19,918
4,5	Fannie Mae Pool	3.670%	3/1/31	5,960		6,831
4,5	Fannie Mae Pool	3.690%	8/1/30	8,625		9,877
4,5	Fannie Mae Pool	3.765%	3/1/34	33,570		39,244
4,5	Fannie Mae Pool	3.970%	1/1/34	41,879		49,470
4,5	Fannie Mae Pool	4.030%	12/1/33–1/1/34	9,198		10,923
4,5	Fannie Mae Pool	4.130%	12/1/30	6,430		7,597
4,5	Fannie Mae Pool	4.180%	12/1/30	7,780		9,193
						328,179
Nonconventional Mortgage-Backed Securities (0.5%)
4,5	Fannie Mae REMICS	3.000%	7/25/47	12,564		13,757

77

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
4,5	Fannie Mae REMICS	3.500%	12/25/47–4/25/59	33,753		38,780
4,5	Freddie Mac REMICS	3.000%	4/15/47	11,716		12,587
4	Ginnie Mae REMICS	3.000%	7/20/47–8/20/47	27,944		30,003
4	Government National Mortgage Assn.	1.750%	7/20/44	11,932		10,945
						106,072
Total U.S. Government and Agency Obligations (Cost $1,966,363)						2,173,203
Asset-Backed/Commercial Mortgage-Backed Securities (0.6%)
4,5	FHLMC Multifamily Structured Pass Through Certificates K1511	3.542%	3/25/34	25,575		29,012
4,5	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	11/25/32	21,750		24,755
4,5	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	5/25/33	25,355		29,387
4,5	Freddie Mac Multifamily Structured Pass Through Certificates	3.900%	12/25/30	35,030		40,314
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $113,148)						123,468
_____________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
Corporate Bonds (73.4%)
Finance (18.1%)
	Banking (12.1%)
4	Bank of America Corp.	3.705%	4/24/28	25,080		27,415
4	Bank of America Corp.	3.974%	2/7/30	26,735		30,005
4	Bank of America Corp.	2.884%	10/22/30	18,155		18,776
4	Bank of America Corp.	4.244%	4/24/38	80,255		95,789
4	Bank of America Corp.	4.078%	4/23/40	30,700		36,055
	Bank of America Corp.	5.875%	2/7/42	19,230		28,016
4	Bank of America Corp.	4.443%	1/20/48	26,455		33,426
4	Bank of America Corp.	3.946%	1/23/49	62,960		73,915
4	Bank of America Corp.	4.330%	3/15/50	29,530		36,760
	Bank of America NA	6.000%	10/15/36	20,450		29,123
	Bank One Corp.	8.000%	4/29/27	7,080		9,619
4,6	BNP Paribas SA	3.052%	1/13/31	2,900		2,956
4	Citigroup Inc.	2.976%	11/5/30	39,175		40,619
4	Citigroup Inc.	2.666%	1/29/31	19,660		19,889
4	Citigroup Inc.	3.878%	1/24/39	69,980		80,180
	Citigroup Inc.	4.650%	7/30/45	13,142		17,115
4	Citigroup Inc.	4.281%	4/24/48	13,570		17,038
	Citigroup Inc.	4.650%	7/23/48	48,012		62,490
6	Commonwealth Bank of Australia	3.743%	9/12/39	2,000		2,109
6	Commonwealth Bank of Australia	3.900%	7/12/47	3,500		4,057
4	Goldman Sachs Group Inc.	4.223%	5/1/29	31,545		35,481
4	Goldman Sachs Group Inc.	4.017%	10/31/38	139,440		157,468
4	Goldman Sachs Group Inc.	4.411%	4/23/39	42,772		50,548
	Goldman Sachs Group Inc.	6.250%	2/1/41	13,370		19,559
	Goldman Sachs Group Inc.	4.800%	7/8/44	15,000		18,994
	Goldman Sachs Group Inc.	4.750%	10/21/45	8,724		11,101
4	HSBC Holdings plc	4.041%	3/13/28	4,026		4,401
	HSBC Holdings plc	7.625%	5/17/32	15,263		21,866
	HSBC Holdings plc	6.500%	9/15/37	27,272		38,444
	HSBC Holdings plc	6.800%	6/1/38	48,749		71,055
	HSBC Holdings plc	6.100%	1/14/42	9,720		13,971
4	JPMorgan Chase & Co.	4.203%	7/23/29	23,255		26,467
4	JPMorgan Chase & Co.	3.702%	5/6/30	35,300		38,761
4	JPMorgan Chase & Co.	2.739%	10/15/30	42,415		43,528
	JPMorgan Chase & Co.	6.400%	5/15/38	54,099		80,148
4	JPMorgan Chase & Co.	3.882%	7/24/38	72,532		82,755
	JPMorgan Chase & Co.	5.500%	10/15/40	25,390		35,478
	JPMorgan Chase & Co.	5.600%	7/15/41	11,247		15,859
4	JPMorgan Chase & Co.	4.260%	2/22/48	36,921		45,816
4	JPMorgan Chase & Co.	4.032%	7/24/48	32,890		39,622
4	JPMorgan Chase & Co.	3.964%	11/15/48	101,246		120,613

78

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
4	JPMorgan Chase & Co.	3.897%	1/23/49	43,395		50,737
	Mitsubishi UFJ Financial Group Inc.	4.153%	3/7/39	2,150		2,568
4	Morgan Stanley	2.699%	1/22/31	40,285		40,908
	Morgan Stanley	7.250%	4/1/32	6,870		10,138
4	Morgan Stanley	3.971%	7/22/38	103,500		118,354
4	Morgan Stanley	4.457%	4/22/39	4,600		5,653
	Morgan Stanley	6.375%	7/24/42	33,160		50,290
	Morgan Stanley	4.300%	1/27/45	30,041		36,684
	Morgan Stanley	4.375%	1/22/47	44,780		55,636
	State Street Corp.	2.400%	1/24/30	22,250		22,457
	Wachovia Corp.	5.500%	8/1/35	2,322		3,085
4	Wells Fargo & Co.	2.879%	10/30/30	38,035		39,061
	Wells Fargo & Co.	5.375%	11/2/43	55,167		73,272
	Wells Fargo & Co.	5.606%	1/15/44	130,765		177,606
	Wells Fargo & Co.	4.650%	11/4/44	2,957		3,648
	Wells Fargo & Co.	3.900%	5/1/45	3,837		4,506
	Wells Fargo & Co.	4.900%	11/17/45	19,485		24,473
	Wells Fargo & Co.	4.400%	6/14/46	31,792		37,686
	Wells Fargo & Co.	4.750%	12/7/46	42,559		52,857
	Wells Fargo Bank NA	6.600%	1/15/38	500		743
	Westpac Banking Corp.	4.421%	7/24/39	4,431		5,087
	Brokerage (0.2%)
6	AG Issuer LLC	6.250%	3/1/28	13		13
6	FMR LLC	6.450%	11/15/39	16,010		23,579
	Intercontinental Exchange Inc.	4.250%	9/21/48	5,800		7,315
	Invesco Finance plc	5.375%	11/30/43	6,993		8,865
	Insurance (5.4%)
	ACE Capital Trust II	9.700%	4/1/30	3,745		5,707
	Aflac Inc.	4.000%	10/15/46	947		1,098
	Allstate Corp.	4.500%	6/15/43	947		1,197
	Allstate Corp.	4.200%	12/15/46	14,385		17,549
	Allstate Corp.	3.850%	8/10/49	19,156		22,280
	Berkshire Hathaway Finance Corp.	4.400%	5/15/42	2,000		2,468
	Berkshire Hathaway Finance Corp.	4.200%	8/15/48	32,195		39,035
	Berkshire Hathaway Finance Corp.	4.250%	1/15/49	67,922		83,087
	Berkshire Hathaway Inc.	4.500%	2/11/43	47,747		60,435
6	Centene Corp.	4.750%	1/15/25	75		78
6	Centene Corp.	4.250%	12/15/27	150		156
6	Centene Corp.	4.625%	12/15/29	145		156
7	Chubb INA Holdings Inc.	0.875%	12/15/29	1,060		1,201
7	Chubb INA Holdings Inc.	2.500%	3/15/38	400		540
6	Jackson National Life Insurance Co.	8.150%	3/15/27	189		255
	Markel Corp.	4.150%	9/17/50	1,944		2,157
	Marsh & McLennan Cos. Inc.	4.750%	3/15/39	19,219		24,378
	Marsh & McLennan Cos. Inc.	4.350%	1/30/47	22,580		27,471
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49	23,101		30,539
6	Massachusetts Mutual Life Insurance Co.	3.729%	10/15/70	15,356		15,894
	MetLife Inc.	4.125%	8/13/42	56,081		67,061
	MetLife Inc.	4.875%	11/13/43	10,000		12,980
	MetLife Inc.	4.050%	3/1/45	3,236		3,786
	MetLife Inc.	4.600%	5/13/46	9,700		12,284
6	Metropolitan Life Insurance Co.	7.800%	11/1/25	13,700		17,560
6	Nationwide Mutual Insurance Co.	9.375%	8/15/39	24,046		42,655
6	Nationwide Mutual Insurance Co.	4.950%	4/22/44	13,215		15,845
6	New York Life Insurance Co.	5.875%	5/15/33	36,125		49,082
6	New York Life Insurance Co.	4.450%	5/15/69	3,880		4,804
4,6	Nippon Life Insurance Co.	3.400%	1/23/50	1,400		1,424
6	Northwestern Mutual Life Insurance Co.	3.850%	9/30/47	8,944		9,964
6	Northwestern Mutual Life Insurance Co.	3.625%	9/30/59	33,074		35,492
4,6	Pacific Life Insurance Co.	4.300%	10/24/67	6,295		7,006
	Progressive Corp.	4.125%	4/15/47	4,420		5,350
	Progressive Corp.	4.200%	3/15/48	2,867		3,522
	Prudential Financial Inc.	5.700%	12/14/36	1,973		2,750

79

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
	Prudential Financial Inc.	4.600%	5/15/44	4,784		5,922
4	Prudential Financial Inc.	5.375%	5/15/45	128		143
	Prudential Financial Inc.	3.905%	12/7/47	1,420		1,603
	Prudential Financial Inc.	3.935%	12/7/49	10,205		11,458
	Prudential Financial Inc.	3.700%	3/13/51	67,884		73,024
6	Securian Financial Group Inc.	4.800%	4/15/48	5,706		7,282
	Travelers Cos. Inc.	4.600%	8/1/43	1,100		1,427
	Travelers Cos. Inc.	3.750%	5/15/46	954		1,109
	Travelers Cos. Inc.	4.000%	5/30/47	4,222		5,024
	Travelers Cos. Inc.	4.100%	3/4/49	20,000		24,212
	UnitedHealth Group Inc.	5.800%	3/15/36	34,886		47,466
	UnitedHealth Group Inc.	6.875%	2/15/38	10,130		15,384
	UnitedHealth Group Inc.	3.500%	8/15/39	21,546		23,146
	UnitedHealth Group Inc.	4.375%	3/15/42	24,917		29,701
	UnitedHealth Group Inc.	3.950%	10/15/42	1,042		1,197
	UnitedHealth Group Inc.	4.750%	7/15/45	53,920		67,356
	UnitedHealth Group Inc.	4.250%	4/15/47	12,111		14,415
	UnitedHealth Group Inc.	3.750%	10/15/47	32,705		35,805
	UnitedHealth Group Inc.	4.250%	6/15/48	26,467		31,162
	UnitedHealth Group Inc.	4.450%	12/15/48	2,891		3,513
	UnitedHealth Group Inc.	3.700%	8/15/49	34,722		38,035
	UnitedHealth Group Inc.	3.875%	8/15/59	30,185		33,591
7	Zurich Finance Ireland Designated Activity Co.	1.625%	6/17/39	970		1,207
	Other Finance (0.0%)
7	Vonovia Finance BV	2.750%	3/22/38	700		949
	Real Estate Investment Trusts (0.4%)
	Alexandria Real Estate Equities Inc.	4.850%	4/15/49	1,500		1,940
	Alexandria Real Estate Equities Inc.	4.000%	2/1/50	3,837		4,485
	Camden Property Trust	3.350%	11/1/49	3,298		3,493
	ERP Operating LP	4.500%	7/1/44	2,384		2,986
6	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.	4.250%	2/1/27	105		105
7	Prologis Euro Finance LLC	0.375%	2/6/28	425		472
	Simon Property Group LP	4.250%	10/1/44	715		846
	Simon Property Group LP	3.250%	9/13/49	51,705		53,310
	UDR Inc.	3.100%	11/1/34	8,100		8,461
						3,669,983
Industrial (40.0%)
	Basic Industry (0.5%)
	BHP Billiton Finance USA Ltd.	4.125%	2/24/42	15,947		18,741
	BHP Billiton Finance USA Ltd.	5.000%	9/30/43	4,311		5,683
	Celulosa Arauco y Constitucion SA	5.500%	11/2/47	375		401
6	Novelis Corp.	4.750%	1/30/30	55		55
6	OCI NV	5.250%	11/1/24	160		165
	Packaging Corp. of America	4.050%	12/15/49	400		438
	Praxair Inc.	3.550%	11/7/42	1,849		2,040
	Rio Tinto Finance USA Ltd.	5.200%	11/2/40	9,295		12,509
	Rio Tinto Finance USA plc	4.125%	8/21/42	44,895		52,788
6	Suzano Austria GmbH	7.000%	3/16/47	1,000		1,193
	Vale Overseas Ltd.	6.250%	8/10/26	181		214
7	Vale SA	3.750%	1/10/23	1,530		1,845
	Capital Goods (2.3%)
6	American Builders & Contractors Supply Co. Inc.	4.000%	1/15/28	150		151
	Ball Corp.	4.875%	3/15/26	95		104
6	Berry Global Inc.	4.875%	7/15/26	307		322
	Boeing Co.	6.125%	2/15/33	13,565		18,248
	Boeing Co.	3.550%	3/1/38	19,925		21,360
	Boeing Co.	3.500%	3/1/39	4,149		4,356
	Boeing Co.	6.875%	3/15/39	10,929		16,272
	Boeing Co.	5.875%	2/15/40	2,940		3,999

80

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
	Boeing Co.	7.875%	4/15/43	1,955		3,121
	Boeing Co.	3.375%	6/15/46	5,000		5,041
	Boeing Co.	3.625%	3/1/48	10,275		10,829
	Boeing Co.	3.750%	2/1/50	44,800		48,447
	Boeing Co.	3.825%	3/1/59	4,434		4,751
	Boeing Co.	3.950%	8/1/59	27,225		29,277
6	Bombardier Inc.	7.875%	4/15/27	50		47
	Caterpillar Inc.	6.050%	8/15/36	5,138		7,233
	Caterpillar Inc.	3.803%	8/15/42	26,112		30,350
	Caterpillar Inc.	3.250%	9/19/49	17,294		18,118
	Caterpillar Inc.	4.750%	5/15/64	15,639		20,950
6	CFX Escrow Corp.	6.375%	2/15/26	142		153
6	Clean Harbors Inc.	4.875%	7/15/27	152		159
6	Clean Harbors Inc.	5.125%	7/15/29	47		50
	Honeywell International Inc.	5.700%	3/15/36	10,300		14,400
	Honeywell International Inc.	5.700%	3/15/37	6,250		8,840
	Lockheed Martin Corp.	4.500%	5/15/36	7,189		8,910
	Lockheed Martin Corp.	4.070%	12/15/42	4,784		5,768
	Lockheed Martin Corp.	3.800%	3/1/45	8,571		9,930
	Lockheed Martin Corp.	4.700%	5/15/46	3,875		5,112
	Lockheed Martin Corp.	4.090%	9/15/52	23,567		29,145
6	Mueller Water Products Inc.	5.500%	6/15/26	210		220
	Northrop Grumman Corp.	4.030%	10/15/47	17,120		20,010
	Raytheon Co.	4.700%	12/15/41	29,685		38,494
	Raytheon Co.	4.200%	12/15/44	1,000		1,224
6	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	5.125%	7/15/23	20		20
6	Sealed Air Corp.	4.000%	12/1/27	100		101
6	Silgan Holdings Inc.	4.125%	2/1/28	145		144
	Spirit AeroSystems Inc.	4.600%	6/15/28	55		56
	Stanley Black & Decker Inc.	4.850%	11/15/48	32,025		41,921
6	TransDigm Inc.	6.250%	3/15/26	313		338
	TransDigm Inc.	7.500%	3/15/27	99		109
6	TransDigm Inc.	5.500%	11/15/27	245		246
6	Trivium Packaging Finance BV	5.500%	8/15/26	50		53
6	Trivium Packaging Finance BV	8.500%	8/15/27	105		116
	United Rentals North America Inc.	4.625%	10/15/25	104		106
	United Rentals North America Inc.	6.500%	12/15/26	379		412
	United Rentals North America Inc.	3.875%	11/15/27	165		167
	United Technologies Corp.	6.125%	7/15/38	7,535		11,017
	United Technologies Corp.	3.750%	11/1/46	22,160		25,453
	United Technologies Corp.	4.625%	11/16/48	7,287		9,587
	Communication (5.5%)
	America Movil SAB de CV	4.375%	4/22/49	50,205		60,757
6	CCO Holdings LLC / CCO Holdings Capital Corp.	4.750%	3/1/30	394		405
	Comcast Corp.	4.250%	10/15/30	9,518		11,170
	Comcast Corp.	5.650%	6/15/35	33,707		46,454
	Comcast Corp.	6.500%	11/15/35	4,320		6,339
	Comcast Corp.	3.200%	7/15/36	16,810		17,794
	Comcast Corp.	3.900%	3/1/38	39,335		44,881
	Comcast Corp.	6.400%	5/15/38	3,452		5,075
	Comcast Corp.	4.600%	10/15/38	54,153		66,773
	Comcast Corp.	3.250%	11/1/39	3,000		3,220
	Comcast Corp.	4.650%	7/15/42	1,000		1,245
	Comcast Corp.	4.500%	1/15/43	1,184		1,453
	Comcast Corp.	4.750%	3/1/44	60,670		77,840
	Comcast Corp.	4.600%	8/15/45	25,375		31,614
	Comcast Corp.	3.400%	7/15/46	20,295		21,422
	Comcast Corp.	4.000%	8/15/47	18,875		21,657
	Comcast Corp.	3.969%	11/1/47	83,688		95,501
	Comcast Corp.	4.000%	3/1/48	30,340		35,298
	Comcast Corp.	4.700%	10/15/48	41,185		52,855
	Comcast Corp.	3.999%	11/1/49	31,176		36,179

81

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
	Comcast Corp.	3.450%	2/1/50	14,230		15,310
	Comcast Corp.	4.049%	11/1/52	23,810		27,950
	Comcast Corp.	4.950%	10/15/58	95,256		129,996
6	Connect Finco SARL / Connect US Finco LLC	6.750%	10/1/26	110		116
6	CSC Holdings LLC	5.375%	2/1/28	195		207
6	CSC Holdings LLC	6.500%	2/1/29	195		217
6	CSC Holdings LLC	5.750%	1/15/30	175		188
6	Deutsche Telekom AG	3.625%	1/21/50	3,180		3,272
6	Diamond Sports Group LLC / Diamond Sports Finance Co.	5.375%	8/15/26	35		35
6	Diamond Sports Group LLC / Diamond Sports Finance Co.	6.625%	8/15/27	156		146
6	Fox Corp.	5.576%	1/25/49	966		1,265
6	Lamar Media Corp.	3.750%	2/15/28	80		80
6	Lamar Media Corp.	4.000%	2/15/30	80		81
6	Level 3 Financing Inc.	3.400%	3/1/27	245		252
6	Level 3 Financing Inc.	4.625%	9/15/27	313		321
7	MMS USA Investments Inc.	1.250%	6/13/28	700		796
6	National CineMedia LLC	5.875%	4/15/28	160		167
	NBCUniversal Media LLC	5.950%	4/1/41	16,947		24,327
	NBCUniversal Media LLC	4.450%	1/15/43	22,650		27,436
	Netflix Inc.	4.875%	4/15/28	25		27
6	Netflix Inc.	4.875%	6/15/30	115		120
6	Nexstar Escrow Inc.	5.625%	7/15/27	242		254
	S&P Global Inc.	3.250%	12/1/49	2,000		2,134
6	Sirius XM Radio Inc.	4.625%	7/15/24	104		108
6	Sirius XM Radio Inc.	5.000%	8/1/27	99		104
	Sprint Corp.	7.125%	6/15/24	95		98
	Sprint Corp.	7.625%	2/15/25	95		99
6	Sprint Corp.	7.250%	2/1/28	95		94
	T-Mobile USA Inc.	4.500%	2/1/26	280		288
	Telefonica Emisiones SAU	4.665%	3/6/38	950		1,088
	Telefonica Emisiones SAU	4.895%	3/6/48	2,475		2,917
	Time Warner Cable LLC	6.550%	5/1/37	11,975		15,293
6	Twitter Inc.	3.875%	12/15/27	100		100
8	Verizon Communications Inc.	2.500%	4/8/31	1,450		2,057
	Verizon Communications Inc.	4.500%	8/10/33	10,000		12,050
	Verizon Communications Inc.	5.250%	3/16/37	2,845		3,689
	Verizon Communications Inc.	4.812%	3/15/39	13,955		17,461
	Verizon Communications Inc.	4.862%	8/21/46	14,990		19,330
	Verizon Communications Inc.	4.672%	3/15/55	43,470		55,833
7	Vodafone Group plc	1.600%	7/29/31	940		1,133
	Vodafone Group plc	5.250%	5/30/48	2,090		2,607
	Walt Disney Co.	6.200%	12/15/34	3,326		4,840
	Walt Disney Co.	6.400%	12/15/35	17,218		25,711
	Walt Disney Co.	6.650%	11/15/37	2,650		4,051
	Walt Disney Co.	4.750%	9/15/44	6,536		8,536
	Walt Disney Co.	3.000%	7/30/46	3,837		3,960
	Walt Disney Co.	2.750%	9/1/49	49,420		48,823
	Walt Disney Co.	7.550%	7/15/93	15,662		18,685
	Consumer Cyclical (5.9%)
6	1011778 BC ULC / New Red Finance Inc.	5.000%	10/15/25	189		195
6	1011778 BC ULC / New Red Finance Inc.	3.875%	1/15/28	140		141
6	1011778 BC ULC / New Red Finance Inc.	4.375%	1/15/28	270		271
	Alibaba Group Holding Ltd.	4.000%	12/6/37	31,000		35,276
	Alibaba Group Holding Ltd.	4.200%	12/6/47	21,815		25,605
	Alibaba Group Holding Ltd.	4.400%	12/6/57	25,180		30,774
6	Allison Transmission Inc.	4.750%	10/1/27	256		266
	Amazon.com Inc.	4.800%	12/5/34	9,639		12,382
	Amazon.com Inc.	3.875%	8/22/37	45,000		52,807
2	Amazon.com Inc.	4.950%	12/5/44	6,000		8,170
	Amazon.com Inc.	4.050%	8/22/47	98,575		121,650
	Amazon.com Inc.	4.250%	8/22/57	45,334		57,922

82

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
6	ASGN Inc.	4.625%	5/15/28	48		49
6	Boyd Gaming Corp.	4.750%	12/1/27	65		66
6	Churchill Downs Inc.	5.500%	4/1/27	568		597
6	Churchill Downs Inc.	4.750%	1/15/28	225		232
6	Eagle Intermediate Global Holding BV / Ruyi US Finance LLC	7.500%	5/1/25	205		164
	Goodyear Tire & Rubber Co.	4.875%	3/15/27	125		129
	Hilton Domestic Operating Co. Inc.	5.125%	5/1/26	166		173
	Home Depot Inc.	5.875%	12/16/36	40,370		57,220
	Home Depot Inc.	5.400%	9/15/40	947		1,304
	Home Depot Inc.	5.950%	4/1/41	22,080		32,201
	Home Depot Inc.	4.200%	4/1/43	6,035		7,171
	Home Depot Inc.	4.875%	2/15/44	60,115		77,799
	Home Depot Inc.	4.400%	3/15/45	12,900		15,733
	Home Depot Inc.	4.250%	4/1/46	20,015		24,490
	Home Depot Inc.	3.900%	6/15/47	24,950		29,026
	Home Depot Inc.	4.500%	12/6/48	12,045		15,288
	Home Depot Inc.	3.125%	12/15/49	3,750		3,852
	Home Depot Inc.	3.500%	9/15/56	5,867		6,458
	Lennar Corp.	5.250%	6/1/26	142		157
6	Live Nation Entertainment Inc.	5.625%	3/15/26	29		31
6	Live Nation Entertainment Inc.	4.750%	10/15/27	260		268
	Lowe's Cos. Inc.	3.700%	4/15/46	42,155		44,881
	Mastercard Inc.	3.950%	2/26/48	27,019		32,502
	Mastercard Inc.	3.650%	6/1/49	3,624		4,185
	McDonald's Corp.	4.450%	9/1/48	10,000		12,057
	McDonald's Corp.	3.625%	9/1/49	5,000		5,330
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	5.625%	5/1/24	142		155
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	4.500%	9/1/26	385		401
8	Motability Operations Group plc	3.625%	3/10/36	900		1,495
6	NCL Corp. Ltd.	3.625%	12/15/24	130		129
	NIKE Inc.	3.625%	5/1/43	30,604		35,033
	NIKE Inc.	3.875%	11/1/45	23,710		28,751
	NIKE Inc.	3.375%	11/1/46	19,840		22,349
6	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	8.500%	5/15/27	185		199
	PulteGroup Inc.	5.500%	3/1/26	199		222
	QVC Inc.	4.750%	2/15/27	25		25
	Target Corp.	7.000%	1/15/38	1,050		1,708
	Target Corp.	4.000%	7/1/42	473		562
	Target Corp.	3.625%	4/15/46	663		751
6	VICI Properties LP / VICI Note Co. Inc.	3.750%	2/15/27	85		85
6	VICI Properties LP / VICI Note Co. Inc.	4.125%	8/15/30	85		86
	Visa Inc.	4.150%	12/14/35	20,145		24,520
	Visa Inc.	4.300%	12/14/45	38,486		49,308
	Visa Inc.	3.650%	9/15/47	35,820		42,231
	Walmart Inc.	3.950%	6/28/38	96,757		115,376
	Walmart Inc.	5.625%	4/1/40	1,840		2,691
	Walmart Inc.	4.875%	7/8/40	1,944		2,624
	Walmart Inc.	5.000%	10/25/40	1,610		2,209
	Walmart Inc.	5.625%	4/15/41	3,695		5,431
	Walmart Inc.	4.000%	4/11/43	1,326		1,596
	Walmart Inc.	3.625%	12/15/47	70,485		80,459
	Walmart Inc.	4.050%	6/29/48	35,245		43,054
	Walmart Inc.	2.950%	9/24/49	9,518		9,801
	Consumer Noncyclical (10.9%)
	Abbott Laboratories	4.750%	11/30/36	9,055		11,608
	Abbott Laboratories	4.900%	11/30/46	16,150		21,812
6	AbbVie Inc.	4.050%	11/21/39	15,445		16,829
	AbbVie Inc.	4.875%	11/14/48	758		902
6	AbbVie Inc.	4.250%	11/21/49	12,175		13,323
	Advocate Health & Hospitals Corp.	4.272%	8/15/48	7,880		9,829

83

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
	Advocate Health & Hospitals Corp.	3.387%	10/15/49	9,605		10,322
	Allina Health System	3.887%	4/15/49	4,784		5,472
	Altria Group Inc.	3.875%	9/16/46	14,400		14,002
	Anheuser-Busch Cos. LLC	6.750%	12/15/27	400		514
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36	47,927		57,547
	Anheuser-Busch InBev Finance Inc.	4.000%	1/17/43	21,400		24,082
	Anheuser-Busch InBev Worldwide Inc.	4.375%	4/15/38	8,395		9,731
	Anheuser-Busch InBev Worldwide Inc.	8.200%	1/15/39	12,383		20,517
	Anheuser-Busch InBev Worldwide Inc.	5.450%	1/23/39	1,425		1,860
	Anheuser-Busch InBev Worldwide Inc.	8.000%	11/15/39	4,000		6,487
	Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42	18,130		19,617
	Anheuser-Busch InBev Worldwide Inc.	5.550%	1/23/49	5,000		6,815
6	Aramark Services Inc.	5.000%	2/1/28	104		109
	Archer-Daniels-Midland Co.	4.500%	3/15/49	27,949		36,262
	Ascension Health	3.106%	11/15/39	5,115		5,392
	Ascension Health	3.945%	11/15/46	11,825		14,353
4	Ascension Health	4.847%	11/15/53	7,575		10,232
	BAT Capital Corp.	4.390%	8/15/37	1,375		1,428
	BAT Capital Corp.	4.540%	8/15/47	1,535		1,581
6	Bausch Health Cos. Inc.	7.000%	1/15/28	156		169
6	Bausch Health Cos. Inc.	5.000%	1/30/28	80		81
6	Bausch Health Cos. Inc.	5.250%	1/30/30	50		51
	Boston Scientific Corp.	4.700%	3/1/49	1,364		1,720
6	Bristol-Myers Squibb Co.	4.125%	6/15/39	41,387		49,567
	Bristol-Myers Squibb Co.	4.500%	3/1/44	3,605		4,575
6	Bristol-Myers Squibb Co.	4.250%	10/26/49	31,405		38,545
6	Cargill Inc.	4.760%	11/23/45	20,000		26,444
6	CHS / Community Health Systems Inc.	6.625%	2/15/25	145		146
	Cigna Corp.	4.900%	12/15/48	9,730		11,800
	City of Hope	5.623%	11/15/43	1,944		2,723
	City of Hope	4.378%	8/15/48	1,944		2,388
7	Colgate-Palmolive Co.	0.875%	11/12/39	715		802
4	CommonSpirit Health	4.350%	11/1/42	19,000		20,730
	CVS Health Corp.	4.780%	3/25/38	1,107		1,288
	DaVita Inc.	5.125%	7/15/24	237		242
	DH Europe Finance II Sarl	3.250%	11/15/39	2,500		2,622
	Dignity Health	4.500%	11/1/42	11,425		12,803
	Dignity Health	5.267%	11/1/64	758		957
	Duke University Health System Inc.	3.162%	6/1/42	14,335		15,110
	Eli Lilly & Co.	3.950%	3/15/49	7,625		9,135
	Encompass Health Corp.	4.500%	2/1/28	104		107
	Estee Lauder Cos. Inc.	3.125%	12/1/49	12,670		13,238
	Gilead Sciences Inc.	4.600%	9/1/35	20,416		25,230
	Gilead Sciences Inc.	5.650%	12/1/41	8,686		12,026
	Gilead Sciences Inc.	4.800%	4/1/44	29,545		36,786
	Gilead Sciences Inc.	4.500%	2/1/45	36,730		44,076
	Gilead Sciences Inc.	4.750%	3/1/46	25,040		31,164
	Gilead Sciences Inc.	4.150%	3/1/47	45,050		52,426
	GlaxoSmithKline Capital Inc.	6.375%	5/15/38	37,532		56,725
	HCA Inc.	5.375%	2/1/25	255		285
	HCA Inc.	5.625%	9/1/28	65		75
	HCA Inc.	5.250%	6/15/49	817		949
	Hershey Co.	3.125%	11/15/49	21,500		22,471
6	Hill-Rom Holdings Inc.	4.375%	9/15/27	104		107
	Johnson & Johnson	3.550%	3/1/36	47,310		53,263
	Johnson & Johnson	3.625%	3/3/37	53,652		61,611
	Johnson & Johnson	3.400%	1/15/38	43,125		48,156
	Johnson & Johnson	3.700%	3/1/46	26,329		31,028
	Johnson & Johnson	3.750%	3/3/47	19,856		23,568
	Kaiser Foundation Hospitals	4.875%	4/1/42	12,365		16,391
	Kaiser Foundation Hospitals	4.150%	5/1/47	23,594		29,022
	Kimberly-Clark Corp.	6.625%	8/1/37	4,800		7,405
	Kimberly-Clark Corp.	3.200%	7/30/46	19,400		20,720

84

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
	Kimberly-Clark Corp.	2.875%	2/7/50	15,795		15,880
	Kroger Co.	3.950%	1/15/50	2,000		2,062
4	Mayo Clinic	3.774%	11/15/43	11,795		13,544
	McKesson Corp.	4.883%	3/15/44	1,450		1,685
	Mead Johnson Nutrition Co.	4.600%	6/1/44	8,571		10,951
7	Medtronic Global Holdings SCA	1.750%	7/2/49	500		576
	Medtronic Inc.	4.375%	3/15/35	28,178		34,767
	Medtronic Inc.	4.625%	3/15/45	14,575		19,119
	Memorial Sloan-Kettering Cancer Center	5.000%	7/1/42	7,210		9,694
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52	2,355		2,908
	Merck & Co. Inc.	3.900%	3/7/39	30,000		35,737
	Merck & Co. Inc.	3.600%	9/15/42	4,900		5,608
	Merck & Co. Inc.	4.150%	5/18/43	2,385		2,962
	Merck & Co. Inc.	3.700%	2/10/45	75,455		87,122
	Merck & Co. Inc.	4.000%	3/7/49	26,229		31,868
4	Mount Sinai Hospitals Group Inc.	3.737%	7/1/49	2,225		2,430
6	Nestle Holdings Inc.	3.900%	9/24/38	49,785		58,186
6	Nestle Holdings Inc.	4.000%	9/24/48	22,855		27,620
	New York & Presbyterian Hospital	4.024%	8/1/45	16,925		20,096
	New York & Presbyterian Hospital	4.063%	8/1/56	3,743		4,510
	New York & Presbyterian Hospital	4.763%	8/1/16	5,250		6,688
	Northwell Healthcare Inc.	4.800%	11/1/42	1,042		1,234
	Northwell Healthcare Inc.	3.979%	11/1/46	1,944		2,171
	Northwell Healthcare Inc.	4.260%	11/1/47	947		1,097
	Northwell Healthcare Inc.	3.809%	11/1/49	21,289		22,983
	Novartis Capital Corp.	4.400%	5/6/44	24,840		31,667
	NYU Hospitals Center	4.784%	7/1/44	1,944		2,473
	Partners Healthcare System Inc.	3.342%	7/1/60	35,715		37,448
	PeaceHealth Obligated Group	4.787%	11/15/48	6,015		7,864
	PepsiCo Inc.	4.000%	3/5/42	2,038		2,433
	PepsiCo Inc.	3.600%	8/13/42	947		1,073
	PepsiCo Inc.	4.450%	4/14/46	31,574		40,355
	PepsiCo Inc.	3.450%	10/6/46	40,155		44,389
	PepsiCo Inc.	4.000%	5/2/47	22,185		26,705
	PepsiCo Inc.	3.375%	7/29/49	22,294		24,335
	PepsiCo Inc.	2.875%	10/15/49	13,535		13,721
6	Performance Food Group Inc.	5.500%	10/15/27	208		219
	Pfizer Inc.	4.100%	9/15/38	34,780		41,193
	Pfizer Inc.	3.900%	3/15/39	34,185		40,486
	Pfizer Inc.	7.200%	3/15/39	34,632		56,933
	Pfizer Inc.	4.300%	6/15/43	7,780		9,681
	Pfizer Inc.	4.400%	5/15/44	8,615		10,749
	Pfizer Inc.	4.125%	12/15/46	15,541		18,849
	Pfizer Inc.	4.200%	9/15/48	24,916		30,774
	Pfizer Inc.	4.000%	3/15/49	1,944		2,325
	Philip Morris International Inc.	6.375%	5/16/38	5,802		8,235
	Philip Morris International Inc.	4.375%	11/15/41	2,891		3,370
	Philip Morris International Inc.	3.875%	8/21/42	10,120		11,076
	Philip Morris International Inc.	4.125%	3/4/43	20,170		22,520
	Philip Morris International Inc.	4.875%	11/15/43	22,345		28,057
	Philip Morris International Inc.	4.250%	11/10/44	20,675		23,865
6	Post Holdings Inc.	5.750%	3/1/27	105		111
	Procter & Gamble Co.	3.500%	10/25/47	20,060		23,861
4	Providence St. Joseph Health Obligated Group	3.744%	10/1/47	4,605		5,138
4	Providence St. Joseph Health Obligated Group	3.930%	10/1/48	2,890		3,349
6	SC Johnson & Son Inc.	4.000%	5/15/43	28,110		31,729
6	SC Johnson & Son Inc.	4.750%	10/15/46	1,940		2,493
6	Tenet Healthcare Corp.	4.625%	9/1/24	20		21
6	Tenet Healthcare Corp.	4.875%	1/1/26	137		143
6	Tenet Healthcare Corp.	5.125%	11/1/27	155		162
	Tyson Foods Inc.	5.100%	9/28/48	2,048		2,616
7	Unilever plc	1.500%	6/11/39	1,000		1,233
	Wyeth LLC	6.500%	2/1/34	1,240		1,817
	Wyeth LLC	5.950%	4/1/37	53,438		75,433

85

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

				Face		Market
			Maturity	Amount		Value
		Coupon	Date	($000	)	($000	)
	Energy (2.3%)
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	4.080%	12/15/47	3,837		4,114
	Buckeye Partners LP	3.950%	12/1/26	100		99
6	Cameron LNG LLC	3.701%	1/15/39	6,540		7,035
	ConocoPhillips	7.000%	3/30/29	5,830		7,754
	ConocoPhillips	5.900%	10/15/32	1,326		1,804
	ConocoPhillips	6.500%	2/1/39	36,434		54,040
	ConocoPhillips Canada Funding Co. I	5.950%	10/15/36	1,420		1,981
	ConocoPhillips Co.	4.300%	11/15/44	10,235		12,310
	ConocoPhillips Co.	5.950%	3/15/46	23,165		33,843
	Devon Energy Corp.	5.000%	6/15/45	2,730		3,129
6	Endeavor Energy Resources LP / EER Finance Inc.	5.750%	1/30/28	250		260
	Energy Transfer Operating LP	6.250%	4/15/49	1,000		1,187
	Energy Transfer Operating LP	5.000%	5/15/50	2,880		2,950
	Energy Transfer Partners LP	5.300%	4/15/47	1,000		1,056
	Enterprise Products Operating LLC	3.950%	1/31/60	1,450		1,483
	Exxon Mobil Corp.	2.995%	8/16/39	6,678		6,950
	Exxon Mobil Corp.	3.567%	3/6/45	7,700		8,567
	Exxon Mobil Corp.	4.114%	3/1/46	37,010		44,968
	Kinder Morgan Inc.	5.200%	3/1/48	1,550		1,811
6	MEG Energy Corp.	7.000%	3/31/24	60		60
6	MEG Energy Corp.	6.500%	1/15/25	43		45
6	MEG Energy Corp.	7.125%	2/1/27	105		104
	MPLX LP	5.500%	2/15/49	1,080		1,237
6	Parsley Energy LLC / Parsley Finance Corp.	6.250%	6/1/24	104		108
6	Parsley Energy LLC / Parsley Finance Corp.	5.625%	10/15/27	147		155
	Shell International Finance BV	4.125%	5/11/35	30,406		36,327
	Shell International Finance BV	6.375%	12/15/38	4,121		6,190
	Shell International Finance BV	5.500%	3/25/40	13,990		19,493
	Shell International Finance BV	4.550%	8/12/43	18,195		22,684
	Shell International Finance BV	4.375%	5/11/45	46,905		57,541
	Shell International Finance BV	4.000%	5/10/46	32,077		37,495
	Shell International Finance BV	3.750%	9/12/46	44,355		49,890
	Shell International Finance BV	3.125%	11/7/49	5,000		5,110
	SM Energy Co.	6.125%	11/15/22	50		49
	SM Energy Co.	6.750%	9/15/26	51		46
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.500%	7/15/27	118		129
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	5.000%	1/15/28	50		51
6	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	5.500%	3/1/30	100		103
	Total Capital International SA	2.829%	1/10/30	947		996
	Total Capital International SA	3.461%	7/12/49	2,417		2,640
	TransCanada PipeLines Ltd.	4.750%	5/15/38	2,670		3,173
	TransCanada PipeLines Ltd.	6.100%	6/1/40	15,775		21,248
	Western Midstream Operating LP	5.250%	2/1/50	2,145		2,031
	Williams Cos. Inc.	5.400%	3/4/44	465		525
	Williams Cos. Inc.	5.750%	6/24/44	300		354
	WPX Energy Inc.	5.250%	10/15/27	40		42
	WPX Energy Inc.	4.500%	1/15/30	155		155
	Other Industrial (0.6%)
8	Aroundtown SA	3.000%	10/16/29	650		915
	Bowdoin College	4.693%	7/1/12	1,500		1,788
	Georgetown University	4.315%	4/1/49	6,995		8,953
	Georgetown University	5.215%	10/1/18	940		1,332
4	Massachusetts Institute of Technology	3.959%	7/1/38	24,140		29,171
	Massachusetts Institute of Technology	5.600%	7/1/11	1,042		1,785
	Massachusetts Institute of Technology	3.885%	7/1/16	18,335		22,547
	President & Fellows of Harvard College	3.150%	7/15/46	17,450		19,120
6	President & Fellows of Harvard College	6.500%	1/15/39	3,710		5,820

86

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	University of Pennsylvania	3.610%	2/15/19	20,230		23,062
	Technology (9.9%)
7	Apple Inc.	0.500%	11/15/31	1,970		2,245
	Apple Inc.	4.500%	2/23/36	15,000		18,792
	Apple Inc.	3.850%	5/4/43	53,204		61,708
	Apple Inc.	3.450%	2/9/45	38,360		41,893
	Apple Inc.	4.375%	5/13/45	45,766		57,471
	Apple Inc.	4.650%	2/23/46	43,667		56,886
	Apple Inc.	3.850%	8/4/46	40,245		47,122
	Apple Inc.	4.250%	2/9/47	39,099		48,343
	Apple Inc.	3.750%	11/13/47	26,986		31,309
	Apple Inc.	2.950%	9/11/49	24,395		24,899
	Applied Materials Inc.	5.100%	10/1/35	95		125
	Applied Materials Inc.	4.350%	4/1/47	1,700		2,153
6	CDK Global Inc.	5.250%	5/15/29	36		39
	CDW LLC / CDW Finance Corp.	4.250%	4/1/28	152		157
	Cisco Systems Inc.	5.900%	2/15/39	28,465		41,332
	Cisco Systems Inc.	5.500%	1/15/40	16,122		22,562
6	CommScope Finance LLC	5.500%	3/1/24	38		39
6	CommScope Finance LLC	8.250%	3/1/27	101		104
8	Fidelity National Information Services Inc.	2.250%	12/3/29	1,250		1,709
	Fiserv Inc.	4.400%	7/1/49	1,944		2,287
	Intel Corp.	4.100%	5/19/46	18,330		22,105
	Intel Corp.	4.100%	5/11/47	34,841		42,279
	Intel Corp.	3.734%	12/8/47	56,122		64,411
	Intel Corp.	3.250%	11/15/49	23,215		24,630
	International Business Machines Corp.	4.150%	5/15/39	104,215		122,245
	International Business Machines Corp.	4.000%	6/20/42	10,633		12,367
	International Business Machines Corp.	4.250%	5/15/49	82,845		99,592
	Microsoft Corp.	3.500%	2/12/35	7,688		8,762
	Microsoft Corp.	3.450%	8/8/36	32,325		36,634
	Microsoft Corp.	4.100%	2/6/37	53,155		64,306
	Microsoft Corp.	4.500%	10/1/40	3,743		4,840
	Microsoft Corp.	5.300%	2/8/41	1,420		2,007
	Microsoft Corp.	3.500%	11/15/42	1,657		1,888
	Microsoft Corp.	3.750%	5/1/43	9,947		11,664
	Microsoft Corp.	4.875%	12/15/43	473		650
	Microsoft Corp.	3.750%	2/12/45	77,054		90,784
	Microsoft Corp.	4.450%	11/3/45	70,491		91,896
	Microsoft Corp.	3.700%	8/8/46	85,523		100,896
	Microsoft Corp.	4.250%	2/6/47	66,314		84,660
	Microsoft Corp.	4.000%	2/12/55	10,075		12,501
	Microsoft Corp.	4.750%	11/3/55	38,090		53,530
	Microsoft Corp.	3.950%	8/8/56	46,076		56,638
	Microsoft Corp.	4.500%	2/6/57	4,689		6,362
	Oracle Corp.	4.300%	7/8/34	3,000		3,632
	Oracle Corp.	3.850%	7/15/36	5,250		6,007
	Oracle Corp.	3.800%	11/15/37	34,500		39,126
	Oracle Corp.	6.500%	4/15/38	47,155		71,584
	Oracle Corp.	6.125%	7/8/39	12,073		17,806
	Oracle Corp.	5.375%	7/15/40	46,418		62,852
	Oracle Corp.	4.125%	5/15/45	32,856		38,577
	Oracle Corp.	4.000%	7/15/46	87,046		101,062
	Oracle Corp.	4.000%	11/15/47	42,035		49,006
	Oracle Corp.	4.375%	5/15/55	25,000		31,324
6	Presidio Holdings Inc.	4.875%	2/1/27	25		25
6	Presidio Holdings Inc.	8.250%	2/1/28	25		26
6	Qorvo Inc.	4.375%	10/15/29	355		369
	QUALCOMM Inc.	4.800%	5/20/45	3,575		4,505
	QUALCOMM Inc.	4.300%	5/20/47	56,906		67,805
6	SS&C Technologies Inc.	5.500%	9/30/27	95		101
6	Tencent Holdings Ltd.	3.925%	1/19/38	33,420		37,491
	Texas Instruments Inc.	3.875%	3/15/39	2,891		3,380

87

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Verisk Analytics Inc.	5.500%	6/15/45	947		1,239
	Western Digital Corp.	4.750%	2/15/26	139		148
	Transportation (2.1%)
7	Abertis Infraestructuras SA	0.625%	7/15/25	200		220
	Burlington Northern Santa Fe LLC	7.950%	8/15/30	3,580		5,351
	Burlington Northern Santa Fe LLC	5.750%	5/1/40	15,000		21,282
	Burlington Northern Santa Fe LLC	4.400%	3/15/42	24,790		30,070
	Burlington Northern Santa Fe LLC	4.375%	9/1/42	41,150		49,980
	Burlington Northern Santa Fe LLC	4.450%	3/15/43	11,200		13,672
	Burlington Northern Santa Fe LLC	5.150%	9/1/43	2,000		2,644
	Burlington Northern Santa Fe LLC	4.900%	4/1/44	18,000		23,292
	Burlington Northern Santa Fe LLC	4.550%	9/1/44	43,085		53,449
	Burlington Northern Santa Fe LLC	4.150%	4/1/45	12,335		14,560
	Burlington Northern Santa Fe LLC	3.900%	8/1/46	7,265		8,368
	Burlington Northern Santa Fe LLC	4.125%	6/15/47	11,910		14,455
	Burlington Northern Santa Fe LLC	4.050%	6/15/48	3,141		3,706
	Burlington Northern Santa Fe LLC	4.150%	12/15/48	16,290		19,593
	Burlington Northern Santa Fe LLC	3.550%	2/15/50	21,530		23,649
	Canadian National Railway Co.	3.200%	8/2/46	1,000		1,067
	Canadian National Railway Co.	3.650%	2/3/48	33,169		38,136
	Canadian National Railway Co.	4.450%	1/20/49	13,410		17,416
6	Cargo Aircraft Management Inc.	4.750%	2/1/28	50		51
4	JetBlue 2019-1 Class AA Pass Through Trust	2.750%	5/15/32	1,430		1,479
	Norfolk Southern Corp.	4.100%	5/15/49	2,891		3,386
6	Stena International SA	6.125%	2/1/25	50		51
	Union Pacific Corp.	4.375%	11/15/65	20,655		24,013
	Union Pacific Corp.	4.100%	9/15/67	15,550		17,248
	Union Pacific Corp.	3.750%	2/5/70	2,160		2,211
4	United Airlines 2019-2 Class AA Pass Through Trust	2.700%	11/1/33	1,944		2,006
	United Parcel Service Inc.	6.200%	1/15/38	10,596		15,357
	United Parcel Service Inc.	4.875%	11/15/40	2,700		3,467
	United Parcel Service Inc.	3.625%	10/1/42	5,820		6,363
	United Parcel Service Inc.	3.400%	9/1/49	3,837		4,011
						8,111,973
Utilities (15.3%)
	Electric (14.7%)
	AEP Texas Inc.	3.800%	10/1/47	2,455		2,691
	AEP Texas Inc.	4.150%	5/1/49	4,782		5,582
	AEP Transmission Co. LLC	4.000%	12/1/46	2,575		2,966
	AEP Transmission Co. LLC	3.750%	12/1/47	33,643		38,473
	AEP Transmission Co. LLC	4.250%	9/15/48	5,580		6,756
	Alabama Power Co.	6.000%	3/1/39	7,535		10,763
	Alabama Power Co.	5.500%	3/15/41	26,874		35,479
	Alabama Power Co.	5.200%	6/1/41	14,920		19,267
	Alabama Power Co.	3.850%	12/1/42	1,065		1,199
	Alabama Power Co.	3.750%	3/1/45	22,325		24,868
	Alabama Power Co.	4.300%	7/15/48	5,285		6,437
	Alabama Power Co.	3.450%	10/1/49	10,164		10,859
	Ameren Illinois Co.	3.700%	12/1/47	10,000		11,399
	Ameren Illinois Co.	4.500%	3/15/49	26,150		33,539
	Appalachian Power Co.	6.700%	8/15/37	32,970		46,233
	Baltimore Gas & Electric Co.	6.350%	10/1/36	1,165		1,660
	Baltimore Gas & Electric Co.	4.250%	9/15/48	26,475		32,226
	Baltimore Gas & Electric Co.	3.200%	9/15/49	1,944		2,042
	Berkshire Hathaway Energy Co.	6.125%	4/1/36	11,612		16,188
	Berkshire Hathaway Energy Co.	5.950%	5/15/37	2,891		4,037
	Berkshire Hathaway Energy Co.	5.150%	11/15/43	27,000		35,235
	Berkshire Hathaway Energy Co.	4.500%	2/1/45	43,625		53,217
6	Calpine Corp.	4.500%	2/15/28	285		282
6	Calpine Corp.	5.125%	3/15/28	195		194
	CenterPoint Energy Houston Electric LLC	4.250%	2/1/49	3,400		4,204
6	Clearway Energy Operating LLC	4.750%	3/15/28	100		103
	Commonwealth Edison Co.	5.900%	3/15/36	2,370		3,285

88

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

	Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
Commonwealth Edison Co.	3.800%	10/1/42	20,733		23,502
Commonwealth Edison Co.	4.600%	8/15/43	15,205		19,065
Commonwealth Edison Co.	4.700%	1/15/44	15,891		20,265
Commonwealth Edison Co.	3.700%	3/1/45	17,765		19,884
Commonwealth Edison Co.	4.350%	11/15/45	13,244		16,279
Commonwealth Edison Co.	3.650%	6/15/46	11,553		12,963
Commonwealth Edison Co.	4.000%	3/1/48	8,765		10,259
Commonwealth Edison Co.	4.000%	3/1/49	13,485		16,064
Connecticut Light & Power Co.	6.350%	6/1/36	14,382		20,498
Connecticut Light & Power Co.	4.300%	4/15/44	890		1,086
Connecticut Light & Power Co.	4.150%	6/1/45	8,445		10,112
Consolidated Edison Co. of New York Inc.	5.100%	6/15/33	691		882
Consolidated Edison Co. of New York Inc.	5.850%	3/15/36	9,947		13,428
Consolidated Edison Co. of New York Inc.	6.200%	6/15/36	10,637		14,909
Consolidated Edison Co. of New York Inc.	6.750%	4/1/38	9,600		14,412
Consolidated Edison Co. of New York Inc.	5.500%	12/1/39	8,668		11,735
Consolidated Edison Co. of New York Inc.	5.700%	6/15/40	7,947		11,022
Consolidated Edison Co. of New York Inc.	4.200%	3/15/42	10,501		12,355
Consolidated Edison Co. of New York Inc.	3.950%	3/1/43	8,740		9,935
Consolidated Edison Co. of New York Inc.	4.450%	3/15/44	47,016		56,687
Consolidated Edison Co. of New York Inc.	4.500%	12/1/45	5,715		7,035
Consolidated Edison Co. of New York Inc.	3.850%	6/15/46	2,000		2,254
Consolidated Edison Co. of New York Inc.	3.875%	6/15/47	1,000		1,141
Consolidated Edison Co. of New York Inc.	4.650%	12/1/48	1,000		1,264
Consolidated Edison Co. of New York Inc.	4.125%	5/15/49	24,810		29,646
Consolidated Edison Co. of New York Inc.	4.300%	12/1/56	17,545		20,895
Consolidated Edison Co. of New York Inc.	4.500%	5/15/58	13,947		17,468
Consolidated Edison Co. of New York Inc.	3.700%	11/15/59	6,150		6,695
Consumers Energy Co.	3.750%	2/15/50	1,944		2,274
Consumers Energy Co.	3.100%	8/15/50	33,964		35,614
Dominion Energy South Carolina Inc.	6.625%	2/1/32	31,527		44,091
Dominion Energy South Carolina Inc.	6.050%	1/15/38	11,775		16,834
Dominion Energy South Carolina Inc.	5.450%	2/1/41	3,873		5,178
Dominion Energy South Carolina Inc.	4.600%	6/15/43	4,240		5,314
DTE Electric Co.	3.700%	3/15/45	1,911		2,140
DTE Electric Co.	4.050%	5/15/48	947		1,148
Duke Energy Carolinas LLC	6.450%	10/15/32	758		1,070
Duke Energy Carolinas LLC	6.100%	6/1/37	50,843		70,846
Duke Energy Carolinas LLC	5.300%	2/15/40	8,910		11,965
Duke Energy Carolinas LLC	4.250%	12/15/41	16,200		19,382
Duke Energy Carolinas LLC	4.000%	9/30/42	42,092		48,912
Duke Energy Carolinas LLC	3.750%	6/1/45	1,643		1,845
Duke Energy Carolinas LLC	3.875%	3/15/46	5,645		6,470
Duke Energy Carolinas LLC	3.700%	12/1/47	2,690		3,058
Duke Energy Carolinas LLC	3.200%	8/15/49	13,162		13,881
Duke Energy Florida LLC	6.350%	9/15/37	758		1,116
Duke Energy Florida LLC	5.650%	4/1/40	1,200		1,679
Duke Energy Florida LLC	4.200%	7/15/48	1,000		1,216
Duke Energy Indiana LLC	6.120%	10/15/35	5,614		7,741
Duke Energy Indiana LLC	6.350%	8/15/38	775		1,147
Duke Energy Indiana LLC	6.450%	4/1/39	10,411		15,818
Duke Energy Indiana LLC	4.200%	3/15/42	12,700		14,749
Duke Energy Indiana LLC	4.900%	7/15/43	28,514		37,144
Duke Energy Indiana LLC	3.250%	10/1/49	1,944		2,017
Duke Energy Ohio Inc.	3.700%	6/15/46	9,825		10,986
Duke Energy Ohio Inc.	4.300%	2/1/49	18,784		23,215
Duke Energy Progress LLC	4.100%	5/15/42	2,250		2,655
Duke Energy Progress LLC	4.100%	3/15/43	23,186		27,252
Duke Energy Progress LLC	4.150%	12/1/44	29,945		35,141
Duke Energy Progress LLC	4.200%	8/15/45	22,105		26,527
Duke Energy Progress LLC	3.700%	10/15/46	27,000		30,438
Entergy Louisiana LLC	3.120%	9/1/27	322		343
Entergy Louisiana LLC	4.000%	3/15/33	651		756
Entergy Louisiana LLC	4.950%	1/15/45	1,046		1,135

89

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Entergy Louisiana LLC	4.200%	4/1/50	3,000		3,712
	Entergy Texas Inc.	3.550%	9/30/49	1,915		2,091
	Florida Power & Light Co.	5.960%	4/1/39	13,337		19,456
	Florida Power & Light Co.	5.690%	3/1/40	663		943
	Florida Power & Light Co.	5.250%	2/1/41	21,109		29,383
	Florida Power & Light Co.	4.125%	2/1/42	9,000		10,741
	Florida Power & Light Co.	3.800%	12/15/42	22,370		25,847
	Florida Power & Light Co.	3.950%	3/1/48	1,944		2,369
	Florida Power & Light Co.	3.990%	3/1/49	2,891		3,487
	Florida Power & Light Co.	3.150%	10/1/49	1,944		2,060
	Georgia Power Co.	4.750%	9/1/40	33,945		41,666
	Georgia Power Co.	4.300%	3/15/42	11,774		13,565
	Georgia Power Co.	3.700%	1/30/50	7,495		8,125
4	John Sevier Combined Cycle Generation LLC	4.626%	1/15/42	20,819		25,623
	Kansas City Power & Light Co.	4.125%	4/1/49	27,800		33,798
	Kentucky Utilities Co.	5.125%	11/1/40	947		1,240
	Kentucky Utilities Co.	4.650%	11/15/43	947		1,171
	Kentucky Utilities Co.	4.375%	10/1/45	18,000		21,712
	Louisville Gas & Electric Co.	4.250%	4/1/49	18,994		23,177
6	Massachusetts Electric Co.	4.004%	8/15/46	10,890		12,515
	MidAmerican Energy Co.	5.800%	10/15/36	473		648
	MidAmerican Energy Co.	4.800%	9/15/43	27,525		35,384
	MidAmerican Energy Co.	4.250%	5/1/46	24,721		30,041
	MidAmerican Energy Co.	4.250%	7/15/49	20,510		25,564
	MidAmerican Energy Co.	3.150%	4/15/50	1,000		1,053
6	Monongahela Power Co.	5.400%	12/15/43	15,640		21,166
	National Rural Utilities Cooperative Finance Corp.	8.000%	3/1/32	2,630		4,039
	National Rural Utilities Cooperative Finance Corp.	4.023%	11/1/32	4,179		4,942
	National Rural Utilities Cooperative Finance Corp.	4.300%	3/15/49	15,946		20,372
	Nevada Power Co.	6.650%	4/1/36	5,830		8,428
	Nevada Power Co.	5.375%	9/15/40	16,430		21,272
	Nevada Power Co.	5.450%	5/15/41	21,620		28,417
	Nevada Power Co.	3.125%	8/1/50	1,870		1,902
	Northern States Power Co.	6.250%	6/1/36	780		1,119
	Northern States Power Co.	6.200%	7/1/37	27,844		40,389
	Northern States Power Co.	5.350%	11/1/39	758		1,037
	Northern States Power Co.	4.000%	8/15/45	805		960
	Northern States Power Co.	3.600%	9/15/47	9,675		10,846
	Northern States Power Co.	4.200%	9/1/48	12,250		14,359
	NRG Energy Inc.	7.250%	5/15/26	99		107
	Oglethorpe Power Corp.	4.200%	12/1/42	23,677		25,119
	Ohio Power Co.	4.000%	6/1/49	4,784		5,637
	Oklahoma Gas & Electric Co.	4.550%	3/15/44	473		555
	Oncor Electric Delivery Co. LLC	7.250%	1/15/33	1,231		1,847
	Oncor Electric Delivery Co. LLC	7.500%	9/1/38	1,420		2,293
	Oncor Electric Delivery Co. LLC	5.250%	9/30/40	3,104		4,185
	Oncor Electric Delivery Co. LLC	4.550%	12/1/41	9,900		12,383
	Oncor Electric Delivery Co. LLC	3.750%	4/1/45	28,000		31,943
	Oncor Electric Delivery Co. LLC	3.800%	9/30/47	16,908		19,589
	Oncor Electric Delivery Co. LLC	3.800%	6/1/49	1,420		1,653
	Oncor Electric Delivery Co. LLC	3.100%	9/15/49	2,891		2,991
	PacifiCorp	5.250%	6/15/35	1,232		1,610
	PacifiCorp	6.100%	8/1/36	14,920		21,123
	PacifiCorp	6.250%	10/15/37	7,773		11,270
	PacifiCorp	6.350%	7/15/38	35,944		52,723
	PacifiCorp	6.000%	1/15/39	32,206		46,395
	PacifiCorp	4.100%	2/1/42	19,700		23,002
	PacifiCorp	4.125%	1/15/49	3,837		4,595
	PacifiCorp	4.150%	2/15/50	45,501		55,213
	PECO Energy Co.	4.800%	10/15/43	10,365		12,991
	PECO Energy Co.	4.150%	10/1/44	396		469
	PECO Energy Co.	3.700%	9/15/47	15,500		17,602
	PECO Energy Co.	3.900%	3/1/48	27,241		31,766
	Potomac Electric Power Co.	6.500%	11/15/37	1,160		1,714

90

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	Potomac Electric Power Co.	7.900%	12/15/38	142		232
	Potomac Electric Power Co.	4.150%	3/15/43	15,519		18,254
	PPL Electric Utilities Corp.	6.450%	8/15/37	10,200		14,607
	PPL Electric Utilities Corp.	6.250%	5/15/39	10,924		15,885
	PPL Electric Utilities Corp.	5.200%	7/15/41	1,184		1,536
	PPL Electric Utilities Corp.	3.950%	6/1/47	12,500		14,478
	Public Service Co. of Colorado	6.250%	9/1/37	860		1,253
	Public Service Co. of Colorado	3.600%	9/15/42	20,555		22,898
	Public Service Co. of Colorado	4.300%	3/15/44	2,761		3,369
	Public Service Co. of Colorado	3.800%	6/15/47	570		658
	Public Service Co. of Colorado	4.050%	9/15/49	32,010		38,657
	Public Service Co. of Colorado	3.200%	3/1/50	2,891		3,063
	Public Service Electric & Gas Co.	3.650%	9/1/42	21,083		23,770
	Public Service Electric & Gas Co.	3.850%	5/1/49	2,891		3,462
	Public Service Electric & Gas Co.	3.200%	8/1/49	1,065		1,142
	Puget Sound Energy Inc.	5.483%	6/1/35	189		245
	Puget Sound Energy Inc.	6.274%	3/15/37	473		664
	Puget Sound Energy Inc.	5.757%	10/1/39	1,042		1,445
	Puget Sound Energy Inc.	5.795%	3/15/40	17,992		25,314
	Puget Sound Energy Inc.	5.764%	7/15/40	1,042		1,448
	Puget Sound Energy Inc.	5.638%	4/15/41	1,089		1,471
	Puget Sound Energy Inc.	4.434%	11/15/41	1,425		1,705
	Puget Sound Energy Inc.	4.300%	5/20/45	379		457
	Puget Sound Energy Inc.	4.223%	6/15/48	29,820		35,956
	Puget Sound Energy Inc.	3.250%	9/15/49	5,595		5,875
	San Diego Gas & Electric Co.	4.100%	6/15/49	2,891		3,415
	Southern California Edison Co.	6.000%	1/15/34	1,642		2,207
	Southern California Edison Co.	5.625%	2/1/36	925		1,191
	Southern California Edison Co.	5.950%	2/1/38	11,060		14,871
	Southern California Edison Co.	4.500%	9/1/40	14,228		16,591
	Southern California Edison Co.	3.900%	12/1/41	7,660		8,139
	Southern California Edison Co.	4.050%	3/15/42	1,704		1,869
	Southern California Edison Co.	3.900%	3/15/43	21,775		23,441
	Southern California Edison Co.	4.650%	10/1/43	20,739		24,714
	Southern California Edison Co.	3.600%	2/1/45	3,837		4,000
	Southern California Edison Co.	4.000%	4/1/47	32,884		36,542
	Southern California Edison Co.	4.125%	3/1/48	36,182		40,643
	Southern California Edison Co.	3.650%	2/1/50	2,505		2,637
	Southern Co.	4.400%	7/1/46	590		685
	Southwestern Public Service Co.	4.500%	8/15/41	23,975		29,317
	Southwestern Public Service Co.	3.400%	8/15/46	3,500		3,743
	Southwestern Public Service Co.	3.700%	8/15/47	20,540		23,063
	Southwestern Public Service Co.	3.750%	6/15/49	1,420		1,643
	Tampa Electric Co.	6.150%	5/15/37	12,220		16,860
	Union Electric Co.	3.900%	9/15/42	3,326		3,852
	Union Electric Co.	4.000%	4/1/48	20,250		23,746
	Union Electric Co.	3.250%	10/1/49	3,265		3,427
	Virginia Electric & Power Co.	6.000%	5/15/37	57,203		80,321
	Virginia Electric & Power Co.	6.350%	11/30/37	1,944		2,831
	Virginia Electric & Power Co.	4.450%	2/15/44	12,490		15,361
	Virginia Electric & Power Co.	4.000%	11/15/46	8,725		10,137
	Virginia Electric & Power Co.	3.800%	9/15/47	29,319		33,252
	Virginia Electric & Power Co.	4.600%	12/1/48	11,044		14,404
	Virginia Electric & Power Co.	3.300%	12/1/49	2,915		3,101
6	Vistra Operations Co. LLC	5.000%	7/31/27	150		154
	Westar Energy Inc.	4.125%	3/1/42	1,113		1,309
	Westar Energy Inc.	4.625%	9/1/43	1,231		1,522
	Westar Energy Inc.	3.250%	9/1/49	6,650		7,007
	Wisconsin Electric Power Co.	5.625%	5/15/33	521		699
	Wisconsin Public Service Corp.	3.300%	9/1/49	1,944		2,044
	Natural Gas (0.6%)
	Atmos Energy Corp.	4.150%	1/15/43	1,420		1,667
	Atmos Energy Corp.	3.375%	9/15/49	2,891		3,112

91

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
6	Brooklyn Union Gas Co.	4.487%	3/4/49	35,000		43,574
8	Centrica plc	4.375%	3/13/29	430		684
8	Centrica plc	7.000%	9/19/33	200		409
6	KeySpan Gas East Corp.	5.819%	4/1/41	1,500		2,050
	Sempra Energy	4.000%	2/1/48	2,685		2,951
	Southern California Gas Co.	5.125%	11/15/40	1,870		2,400
	Southern California Gas Co.	4.125%	6/1/48	30,835		37,102
	Southern California Gas Co.	4.300%	1/15/49	14,075		17,447
	Southern California Gas Co.	3.950%	2/15/50	947		1,138
						3,094,531
Total Corporate Bonds (Cost $12,359,442)						14,876,487
Sovereign Bonds (1.3%)
6	Banque Ouest Africaine de Developpement	4.700%	10/22/31	670		705
	Bermuda	4.854%	2/6/24	632		695
4	Bermuda	3.717%	1/25/27	2,910		3,108
4	Bermuda	4.750%	2/15/29	1,750		2,018
6	CDP Financial Inc.	5.600%	11/25/39	1,500		2,150
	CNOOC Finance 2013 Ltd.	2.875%	9/30/29	28,264		28,923
6	Dominican Republic	5.875%	1/30/60	3,700		3,700
6	Emirate of Abu Dhabi	3.125%	9/30/49	45,130		45,362
4	Empresa Nacional del Petroleo	5.250%	11/6/29	5,790		6,575
	Equinor ASA	4.250%	11/23/41	1,944		2,400
	Equinor ASA	3.950%	5/15/43	35,350		41,339
6	Export-Import Bank of India	3.875%	2/1/28	960		1,022
6	Ontario Teachers' Cadillac Fairview Properties Trust	4.125%	2/1/29	3,000		3,408
6,7	Perusahaan Listrik Negara PT	1.875%	11/5/31	1,690		1,878
	Perusahaan Penerbit SBSN Indonesia III	4.550%	3/29/26	250		276
	Perusahaan Penerbit SBSN Indonesia III	4.150%	3/29/27	400		434
6	Petroleos Mexicanos	6.950%	1/28/60	3,000		3,044
4	Republic of Chile	2.550%	1/27/32	16,635		16,805
4	Republic of Chile	3.500%	1/25/50	59,702		64,976
	Republic of Colombia	10.375%	1/28/33	1,259		2,050
7	Republic of Croatia	3.000%	3/20/27	300		390
7	Republic of Croatia	1.125%	6/19/29	315		363
	Republic of Indonesia	4.125%	1/15/25	550		595
6,7	Republic of Italy	3.850%	9/1/49	120		190
	Republic of Paraguay	5.600%	3/13/48	780		932
4,6	Republic of Paraguay	5.400%	3/30/50	2,500		2,912
	Republic of Peru	4.125%	8/25/27	3,150		3,589
6,7	Romanian Government International Bond	3.375%	1/28/50	2,701		3,144
6	Sinopec Group Overseas Development 2018 Ltd.	2.950%	11/12/29	2,625		2,699
	State of Israel	3.375%	1/15/50	7,900		8,261
Total Sovereign Bonds (Cost $238,727)						253,943
Taxable Municipal Bonds (10.1%)
	Allentown PA Neighborhood Improvement Zone Development Authority Revenue	5.420%	5/1/21	1,000		1,011
	Allentown PA Neighborhood Improvement Zone Development Authority Revenue	5.620%	5/1/22	1,930		1,978
	American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	6.270%	2/15/50	43,316		61,496
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	3.552%	4/1/54	8,595		8,973
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.793%	4/1/30	1,704		2,098
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.918%	4/1/40	23,745		36,614
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49	24,320		39,399
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	7.043%	4/1/50	1,326		2,298
	California GO	4.500%	4/1/33	7,360		8,597

92

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	California GO	7.500%	4/1/34	25,342		40,098
	California GO	4.600%	4/1/38	36,195		41,017
	California GO	7.550%	4/1/39	35,545		60,079
	California GO	7.300%	10/1/39	69,661		111,376
	California GO	7.350%	11/1/39	6,694		10,769
	California GO	7.625%	3/1/40	3,100		5,216
	California GO	7.600%	11/1/40	64,585		112,378
	California Institute of Technology Taxable	3.650%	9/1/19	3,875		4,187
	California Public Works Board Lease Revenue (Various Capital Projects)	8.361%	10/1/34	1,136		1,806
	Chicago IL O'Hare International Airport Revenue	6.395%	1/1/40	1,515		2,281
	Chicago IL O'Hare International Airport Revenue	4.472%	1/1/49	22,110		28,507
	Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40	1,080		1,469
	Chicago IL Transit Authority Sales Tax Receipts Revenue	6.899%	12/1/40	9,620		13,503
	Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40	43,340		60,835
9	Commonwealth Financing Authority Pennsylvania Revenue	5.197%	6/1/26	2,417		2,717
	Commonwealth Financing Authority Pennsylvania Revenue	3.864%	6/1/38	19,285		21,675
	Commonwealth Financing Authority Pennsylvania Revenue	4.144%	6/1/38	17,060		19,722
	Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44	189		284
	District of Columbia Water & Sewer Authority Public Utility Revenue	4.814%	10/1/14	1,944		2,845
	Duke University North Carolina Revenue	5.850%	4/1/37	29,490		42,381
	George Washington University	4.300%	9/15/44	2,891		3,571
	Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57	16,414		23,510
	Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57	341		500
	Grand Parkway Transportation Corp. Texas System Toll Revenue	5.184%	10/1/42	1,420		1,928
	Houston TX GO	6.290%	3/1/32	2,152		2,651
	Illinois Toll Highway Authority Revenue	6.184%	1/1/34	17,330		23,862
	Kansas Development Finance Authority Revenue	4.727%	4/15/37	2,417		3,017
	Kansas Development Finance Authority Revenue	4.927%	4/15/45	20,480		27,086
	Los Angeles CA Department of Water & Power Revenue	5.716%	7/1/39	379		533
	Los Angeles CA Department of Water & Power Revenue	6.008%	7/1/39	1,136		1,524
	Los Angeles CA Department of Water & Power Revenue	6.574%	7/1/45	15,715		26,161
	Los Angeles CA Department of Water & Power Revenue	6.603%	7/1/50	1,849		3,193
	Los Angeles CA Unified School District GO	5.755%	7/1/29	1,944		2,427
	Los Angeles CA Unified School District GO	5.750%	7/1/34	852		1,145
	Los Angeles CA Unified School District GO	6.758%	7/1/34	31,139		44,858
	Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue	5.735%	6/1/39	15,020		20,116
	Massachusetts GO	2.813%	9/1/43	40,910		41,669
	Massachusetts GO	2.900%	9/1/49	10,850		11,173
10	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	11,279		14,654
	New Jersey Turnpike Authority Revenue	3.729%	1/1/36	6,750		7,579
	New Jersey Turnpike Authority Revenue	7.414%	1/1/40	11,939		19,687
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41	42,407		68,181
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.724%	6/15/42	12,711		19,212
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.952%	6/15/42	18,114		28,002
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.011%	6/15/42	6,943		10,779

93

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.282%	6/15/42	663		690
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44	32,580		51,085
	New York City Transitional Finance Authority Future Tax Secured Revenue	3.430%	8/1/30	14,540		15,618
	New York City NY Transitional Finance Authority Future Tax Secured Revenue	5.508%	8/1/37	2,859		3,894
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39	54,854		89,730
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	6.089%	11/15/40	3,833		5,353
	New York State Dormitory Authority Revenue	3.142%	7/1/43	5,590		5,878
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.289%	3/15/33	7,288		9,099
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.110%	2/15/39	8,465		9,050
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.628%	3/15/39	15,919		20,303
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.600%	3/15/40	189		250
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.190%	2/15/43	7,295		7,891
	New York State GO	5.590%	3/1/35	947		1,293
	New York State Thruway Authority	3.500%	1/1/42	10,945		11,269
	New York State Urban Development Corp. Revenue (Personal Income Tax)	3.370%	3/15/30	8,405		9,056
	New York State Urban Development Corp. Revenue (Personal Income Tax)	3.900%	3/15/33	21,250		23,484
	North Texas Tollway Authority System Revenue	6.718%	1/1/49	22,942		38,783
	Ohio State University General Receipts Revenue	4.910%	6/1/40	12,300		16,509
	Ohio State University General Receipts Revenue	4.800%	6/1/11	17,635		24,699
11	Oregon School Boards Association GO	4.759%	6/30/28	947		1,072
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29	13,763		18,252
	Port Authority of New York & New Jersey Revenue	5.647%	11/1/40	10,176		14,466
	Port Authority of New York & New Jersey Revenue	5.647%	11/1/40	15,253		21,684
	Port Authority of New York & New Jersey Revenue	5.310%	8/1/46	5,000		5,605
	Port Authority of New York & New Jersey Revenue	4.926%	10/1/51	25,005		35,290
	Port Authority of New York & New Jersey Revenue	4.458%	10/1/62	35,940		48,509
	Port Authority of New York & New Jersey Revenue	3.287%	8/1/69	29,094		30,974
	Rutgers State University New Jersey Revenue	3.915%	5/1/19	48,580		53,571
	Rutgers The State University of New Jersey	3.270%	5/1/43	2,600		2,735
	Sacramento CA Municipal Utility District Revenue	6.156%	5/15/36	857		1,188
	Sales Tax Securitization Corp. Illinois Revenue	4.637%	1/1/40	15,870		19,143
	Sales Tax Securitization Corp. Illinois Revenue	3.587%	1/1/43	36,460		39,209
	Sales Tax Securitization Corp. Illinois Revenue	4.787%	1/1/48	4,990		6,328
	San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39	10,450		15,013
	San Antonio TX Electric & Gas Systems Revenue	4.427%	2/1/42	5,491		6,666
	San Diego County CA Regional Airport Authority Revenue	5.594%	7/1/43	758		869
	San Francisco CA City & County Public Utilities Commission Water Revenue	6.950%	11/1/50	1,326		2,184
	Sonoma County CA Pension Obligation Revenue	6.000%	12/1/29	453		551
	Texas Private Activity Surface Transportation Corp. Revenue	3.922%	12/31/49	4,150		4,525
	University of California	3.931%	5/15/45	17,840		20,274
	University of California Regents Medical Center Revenue	6.548%	5/15/48	22,478		34,552
	University of California Regents Medical Center Revenue	6.583%	5/15/49	8,417		12,855
	University of California Revenue	4.601%	5/15/31	1,042		1,229
	University of California Revenue	5.770%	5/15/43	473		668
	University of California Revenue	4.858%	5/15/12	32,223		44,339
	University of California Revenue	4.767%	5/15/15	14,875		20,010

94

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

		Coupon	Maturity Date	Face Amount ($000	)	Market Value ($000	)
	University of North Carolina University System Revenue	3.327%	12/1/36	6,730		7,466
	University of Pittsburgh-of the Commonwealth System of Higher Education	3.555%	9/15/19	14,400		15,884
	University of Texas System Revenue Financing System Revenue	5.262%	7/1/39	11,500		15,999
	University of Texas System Revenue Financing System Revenue	4.794%	8/15/46	8,915		11,651
	University of Virginia Revenue	3.227%	9/1/19	35,640		37,150
	Washington GO	5.481%	8/1/39	852		1,155
	Wisconsin Annual Appropriation Revenue	3.954%	5/1/36	3,364		3,682
9	Wisconsin GO	5.700%	5/1/26	2,053		2,363
Total Taxable Municipal Bonds (Cost $1,589,429)						2,053,672

			Shares
Temporary Cash Investments (3.2%)
Money Market Fund (0.3%)
12	Vanguard Market Liquidity Fund	1.730%	718,627	71,877

				Face Amount ($000	)
Repurchase Agreements (2.9%)
	Bank of America Securities, LLC (Dated 1/31/20, Repurchase Value $40,005,000, collateralized by Government National Mortgage Assn. 3.000%-4.000%, 5/15/43-1/20/50, with a value of $40,800,000)	1.590%	2/3/20	40,000		40,000
	Barclays Capital Inc. (Dated 1/31/20, Repurchase Value $16,302,000, collateralized by U.S. Treasury Note/Bond 1.875%, 7/31/26, with a value of $16,626,000)	1.570%	2/3/20	16,300		16,300
	Citigroup Global Markets Inc.(Dated 1/31/20, Repurchase Value $148,519,000, collateralized by U.S. Treasury Bill 0.000%, 12/31/20-1/28/21, and U.S. Treasury Note/Bond 1.375%-1.690%, 1/31/22-1/31/27, with a value of $151,470,000)	1.560%	2/3/20	148,500		148,500
	RBC Capital Markets LLC (Dated 1/31/20, Repurchase Value $82,411,000, collateralized by Federal Home Loan Mortgage Corp. 3.000%, 10/1/49, and Federal National Mortgage Assn. 3.500%-4.500%, 2/1/41-12/1/49, with a value of $84,048,000)	1.580%	2/3/20	82,400		82,400
	Wells Fargo & Co. (Dated 1/31/20, Repurchase Value $301,840,000, collateralized by Federal Home Loan Mortgage Corp. 2.000%-5.500%, 6/1/30-2/1/49, and Federal National Mortgage Assn. 2.500%-4.500%, 12/1/24-6/1/57, with a value of $307,836,000)	1.590%	2/3/20	301,800		301,800
						589,000
Total Temporary Cash Investments (Cost $660,864)						660,877

	Expiration Date	Contracts	Exercise Price	Notional Amount ($000)
Options Purchased (0.0%)
Exchange-Traded Options (0.0%)
Put Options
10-Year U.S. Treasury Note Futures Contracts	2/21/20	44	$130.00	5,720	5

95

Vanguard^® Long-Term Investment-Grade Fund

Schedule of Investments

January 31, 2020

	Counterparty	Expiration Date	Exercise Rate	Notional Amount on Underlying Swap ($000)	Market Value· ($000	)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually	BNPSW	9/21/20	1.130%	2,786	25
Put Swaptions
5-Year CDX-NA-HY-S33-V2, Credit Protection Sold, Receives 1.000% Quarterly	BNPSW	3/18/20	1.060%	2,700	10
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.600%	8,125	2
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	3/18/20	0.550%	5,395	7
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.525%	5,415	5
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.550%	8,125	11
					60
Total Options Purchased (Cost $65)					65
Total Investments (99.3%) (Cost $16,928,038)					20,141,715
Other Assets and Liabilities—Net (0.7%)					134,920
Net Assets (100%)					20,276,635

1	Securities with a value of $453,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2	Securities with a value of $13,481,000 have been segregated as initial margin for open futures contracts.
3	Securities with a value of $132,596,000 have been segregated as initial margin for open centrally cleared swap contracts.
4	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.
5	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.
6	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 January 31, 2020, the aggregate value of these securities was $722,609,000, representing 3.6% of net assets.
7	Face amount denominated in euro.
8	Face amount denominated in British pounds.
9	Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
10	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
11	Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
12	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
	BNPSW—BNP Paribas.
	GO—General Obligation Bond.
	GSI—Goldman Sachs International.
	JPMC—JPMorgan Chase Bank, N.A.
	MSCS—Morgan Stanley Capital Services LLC.
	REMICS—Real Estate Mortgage Investment Conduits.

96

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© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

SNA390 022020

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Fixed Income Securities Funds and Shareholders of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund and Vanguard Long-Term Investment-Grade Fund

Opinions on the Financial Statements

We have audited the accompanying statements of net assets—investments summary of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund and Vanguard Long-Term Investment-Grade Fund and statement of assets and liabilities of Vanguard Intermediate-Term Investment-Grade Fund (three of the funds constituting Vanguard Fixed Income Securities Funds, hereafter collectively referred to as the “Funds”) as of January 31, 2020, the related statements of operations for the year ended January 31, 2020, the statements of changes in net assets for each of the two years in the period ended January 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended January 31, 2020 (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) as of January 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended January 31, 2020 and each of the financial highlights for each of the five years in the period ended January 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of January 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

March 16, 2020

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000,
F: (267) 330 3300, www.pwc.com/us

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11: Controls and Procedures.

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.

Not applicable.

Item 13: Exhibits.

(a) Code of Ethics.

(b) Certifications.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

VANGUARD FIXED INCOME SECURITIES FUNDS

BY:        /s/ MORTIMER J. BUCKLEY*

___________________________

MORTIMER J. BUCKLEY

CHIEF EXECUTIVE OFFICER

Date: March 19, 2020

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 FIXED INCOME SECURITIES FUNDS

BY:        /s/ MORTIMER J. BUCKLEY*

___________________________

MORTIMER J. BUCKLEY

CHIEF EXECUTIVE OFFICER

Date: March 19, 2020

VANGUARD FIXED INCOME SECURITIES FUNDS

BY:        /s/ JOHN BENDL*

___________________________

JOHN BENDL

CHIEF FINANCIAL OFFICER

Date: March 19, 2020

* By: /s/ Anne E. Robinson

Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.