N-CSRS 1 tm2030429d1_ncsrs.htm N-CSRS

 

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, 2020—July 31, 2020

 

 

 

 

Item 1: Reports to Shareholders

 

 

 

 

 

 

 

 

 

 

Semiannual Report  |  July 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  
   
About Your Fund’s Expenses 1
   
Short-Term Treasury Fund 3
   
Short-Term Federal Fund 20
   
Intermediate-Term Treasury Fund 39
   
Long-Term Treasury Fund 56
   
Trustees Approve Advisory Arrangements 72
   
Liquidity Risk Management 74

 

 

 

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.

 

1

 

 

Six Months Ended July 31, 2020      
       
       
  Beginning Ending Expenses
  Account Value Account Value Paid During
  1/31/2020 7/31/2020 Period
Based on Actual Fund Return      
Short-Term Treasury Fund      
Investor Shares $1,000.00 $1,029.57 $1.01
Admiral™ Shares 1,000.00 1,030.08 0.50
Short-Term Federal Fund      
Investor Shares $1,000.00 $1,028.65 $1.01
Admiral Shares 1,000.00 1,029.15 0.50
Intermediate-Term Treasury Fund      
Investor Shares $1,000.00 $1,061.99 $1.03
Admiral Shares 1,000.00 1,062.52 0.51
Long-Term Treasury Fund      
Investor Shares $1,000.00 $1,179.23 $1.08
Admiral Shares 1,000.00 1,179.81 0.54
Based on Hypothetical 5% Yearly Return      
Short-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50
Short-Term Federal Fund      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50
Intermediate-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50
Long-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50

 

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 (182/366).

 

2

 

 

Short-Term Treasury Fund

 

 

Fund Allocation

As of July 31, 2020

 

Agency Bonds and Notes 4.6%
Asset-Backed/Commercial Mortgage-Backed Securities 0.4
Government Mortgage-Backed 13.5
U.S. Government Securities 81.5

 

The table reflects the fund’s investments, except for short-term investments and derivatives. 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.

 

3

 

 

Short-Term Treasury Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments

As of July 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 (103.7%)      
U.S. Government Securities (84.7%)        
  United States Treasury Inflation Indexed Bonds 1.125% 1/15/21 455,499 538,964
1 United States Treasury Inflation Indexed Bonds 0.125% 4/15/21 1,320,000 1,436,901
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/25 384,900 406,714
  United States Treasury Note/Bond 2.750% 8/15/21 125,000 128,379
  United States Treasury Note/Bond 1.125% 8/31/21 150,000 151,593
  United States Treasury Note/Bond 2.750% 9/15/21 3,600 3,705
  United States Treasury Note/Bond 1.625% 12/31/21 81,700 83,423
  United States Treasury Note/Bond 2.000% 12/31/21 215,000 220,644
  United States Treasury Note/Bond 2.500% 1/15/22 150,000 155,133
  United States Treasury Note/Bond 1.375% 1/31/22 384,700 391,852
  United States Treasury Note/Bond 1.875% 1/31/22 125,000 128,242
  United States Treasury Note/Bond 2.500% 2/15/22 13,000 13,471
  United States Treasury Note/Bond 1.125% 2/28/22 150,000 152,367
  United States Treasury Note/Bond 2.375% 3/15/22 75,000 77,719
  United States Treasury Note/Bond 0.375% 3/31/22 108,000 108,456
  United States Treasury Note/Bond 1.750% 5/15/22 22,500 23,150
  United States Treasury Note/Bond 2.125% 5/15/22 25,000 25,887
  United States Treasury Note/Bond 1.750% 9/30/22 125,000 129,375
  United States Treasury Note/Bond 1.375% 10/15/22 102,500 105,319
  United States Treasury Note/Bond 1.875% 10/31/22 45,500 47,292
  United States Treasury Note/Bond 2.000% 10/31/22 50,000 52,102
  United States Treasury Note/Bond 1.625% 11/15/22 185,500 191,848
  United States Treasury Note/Bond 2.000% 11/30/22 135,500 141,406
  United States Treasury Note/Bond 2.125% 12/31/22 26,500 27,779
  United States Treasury Note/Bond 1.500% 2/28/23 15,500 16,047
  United States Treasury Note/Bond 0.500% 3/15/23 50,000 50,500
  United States Treasury Note/Bond 0.250% 4/15/23 40,000 40,138
  United States Treasury Note/Bond 1.625% 4/30/23 26,500 27,589
  United States Treasury Note/Bond 2.750% 4/30/23 16,500 17,686
  United States Treasury Note/Bond 0.250% 6/15/23 75,000 75,269
  United States Treasury Note/Bond 1.375% 6/30/23 23,500 24,352
  United States Treasury Note/Bond 0.125% 7/15/23 112,500 112,518
  United States Treasury Note/Bond 2.750% 7/31/23 20,800 22,432
  United States Treasury Note/Bond 2.750% 8/31/23 70,500 76,162
  United States Treasury Note/Bond 2.875% 9/30/23 98,000 106,483
  United States Treasury Note/Bond 1.625% 10/31/23 80,000 83,862
  United States Treasury Note/Bond 2.875% 10/31/23 20,000 21,769

  

4

 

 

Short-Term Treasury Fund

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  United States Treasury Note/Bond 2.125% 11/30/23 18,000 19,187
  United States Treasury Note/Bond 2.875% 11/30/23 117,500 128,148
  United States Treasury Note/Bond 2.625% 12/31/23 117,500 127,415
  United States Treasury Note/Bond 2.250% 1/31/24 28,500 30,593
  United States Treasury Note/Bond 2.500% 1/31/24 256,500 277,541
  United States Treasury Note/Bond 2.750% 2/15/24 40,500 44,221
  United States Treasury Note/Bond 2.125% 2/29/24 200,000 214,124
  United States Treasury Note/Bond 2.375% 2/29/24 40,000 43,169
  United States Treasury Note/Bond 2.125% 3/31/24 100,000 107,188
  United States Treasury Note/Bond 2.000% 4/30/24 110,000 117,562
  United States Treasury Note/Bond 2.000% 5/31/24 185,000 197,950
  United States Treasury Note/Bond 2.000% 6/30/24 150,000 160,734
  United States Treasury Note/Bond 1.750% 7/31/24 90,000 95,653
  United States Treasury Note/Bond 2.375% 8/15/24 85,000 92,517
  United States Treasury Note/Bond 2.125% 9/30/24 60,000 64,837
  United States Treasury Note/Bond 2.250% 10/31/24 90,000 97,847
  United States Treasury Note/Bond 2.250% 12/31/24 72,500 79,047
  United States Treasury Note/Bond 1.375% 1/31/25 20,000 21,056
  United States Treasury Note/Bond 2.125% 5/15/25 125,000 136,367
  United States Treasury Note/Bond 0.250% 6/30/25 120,000 120,226
  United States Treasury Note/Bond 2.750% 6/30/25 100,000 112,344
  United States Treasury Note/Bond 0.250% 7/31/25 100,000 100,156
  United States Treasury Note/Bond 2.000% 8/15/25 110,000 119,728
          7,924,138
Agency Bonds and Notes (4.8%)        
2 Federal Home Loan Mortgage Corp. 0.250% 6/26/23 28,000 28,017
2,3 Federal Home Loan Mortgage Corp. 0.800% 7/21/25 300,000 300,231
2,3 Federal Home Loan Mortgage Corp. 0.750% 7/28/25 112,000 112,113
  Government Trust Certificate 0.000% 10/1/20 12,119 12,106
          452,467
Conventional Mortgage-Backed Securities (9.8%)      
2,3 Fannie Mae Pool 3.000% 12/1/49–1/1/50 76,471 79,383
2,3 Fannie Mae Pool 3.500% 10/1/44–8/1/49 88,855 92,534
2,3 Fannie Mae Pool 4.000% 12/1/40–8/1/49 99,612 107,580
2,3 Fannie Mae Pool 4.500% 7/1/47–11/1/49 98,696 107,879
2,3 Fannie Mae Pool 5.000% 2/1/44 2,861 3,352
2,3 Freddie Mac Gold Pool 4.000% 6/1/46 3,280 3,604
2,3 Freddie Mac Gold Pool 4.500% 1/1/49 2,017 2,133
2,3 Freddie Mac Gold Pool 6.000% 10/1/27–4/1/28 45 52
¤,3 Ginnie Mae II Pool 2.000% 8/1/50–9/1/50 59,000 61,619
¤,3 Ginnie Mae II Pool 2.500% 6/1/50–9/1/50 70,000 73,781
3 Ginnie Mae II Pool 3.000% 9/20/49–11/20/49 15,460 16,139
¤,3 UMBS Pool 2.000% 8/1/50–9/1/50 127,000 131,307
¤,3 UMBS Pool 2.500% 8/1/50–9/1/50 146,000 153,147
3 UMBS Pool 3.000% 11/1/49 13,054 13,621
3 UMBS Pool 3.500% 2/1/49–8/1/49 39,325 42,446
3 UMBS Pool 4.000% 2/1/47 5,973 6,635
3 UMBS Pool 4.500% 8/1/49 20,312 22,104
3 UMBS Pool 5.000% 3/1/42 2,696 3,124
          920,440

 

5

 

 

Short-Term Treasury Fund

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
Nonconventional Mortgage-Backed Securities (4.2%)      
2,3 Fannie Mae REMICS 1.750% 11/25/32–3/25/46 61,316 62,362
2,3 Fannie Mae REMICS 1.850% 8/25/46 8,857 9,188
2,3 Fannie Mae REMICS 2.125% 10/25/42 3,949 4,010
2,3 Fannie Mae REMICS 2.250% 10/25/43–6/25/44 10,001 10,327
2,3 Fannie Mae REMICS 2.500% 11/25/42–12/25/49 11,143 11,555
2,3 Fannie Mae REMICS 3.000% 10/25/33–9/25/49 36,079 38,830
2,3 Fannie Mae REMICS 4.000% 12/25/46 11,779 12,462
2,3 Fannie Mae REMICS 5.000% 9/25/40 6,427 7,507
2,3 Freddie Mac REMICS 1.750% 4/15/43 3,361 3,444
2,3 Freddie Mac REMICS 2.000% 7/15/42 4,260 4,405
2,3 Freddie Mac REMICS 2.250% 3/15/41–9/25/49 20,470 21,153
2,3 Freddie Mac REMICS 2.500% 12/15/39–12/25/49 25,596 26,703
2,3 Freddie Mac REMICS 3.000% 6/15/42–7/25/49 14,022 14,931
2,3 Freddie Mac REMICS 3.500% 12/25/49–3/25/50 42,148 45,144
2,3 Freddie Mac REMICS 5.000% 12/15/40 9,680 11,385
3 Ginnie Mae REMICS 1.500% 10/20/45 16,149 16,274
3 Ginnie Mae REMICS 2.500% 11/20/47–9/20/49 12,401 13,175
3 Ginnie Mae REMICS 2.750% 9/20/45–5/20/46 46,960 48,102
3 Ginnie Mae REMICS 3.000% 8/20/44–12/20/47 28,505 29,224
3 Ginnie Mae REMICS 4.000% 10/20/47 2,474 2,652
          392,833
Total U.S. Government and Agency Obligations (Cost $9,574,155)   9,689,878
Asset-Backed/Commercial Mortgage-Backed Securities (0.4%)
2,3 Freddie Mac Strip 2017-357 2.500% 9/15/47 14,142 15,010
3 Small Business Administration Participation Certs 2002-20L 5.100% 12/1/22 323 333
3 Small Business Administration Participation Certs 2004-20G 5.190% 7/1/24 224 238
3 Small Business Administration Participation Certs 2005-20J 5.090% 10/1/25 769 820
3 Small Business Administration Participation Certs 2006-20D 5.640% 4/1/26 921 990
3 Small Business Administration Participation Certs 2006-20L 5.120% 12/1/26 1,610 1,739
3 Small Business Administration Participation Certs 2007-20D 5.320% 4/1/27 1,075 1,162
3 Small Business Administration Participation Certs 2007-20G 5.820% 7/1/27 884 969
3 Small Business Administration Participation Certs 2007-20I 5.560% 9/1/27 4,614 5,036
3 Small Business Administration Participation Certs 2009-20I 4.200% 9/1/29 1,928 2,055
3 Small Business Administration Participation Certs 2009-20J 3.920% 10/1/29 3,079 3,269
3 Small Business Administration Participation Certs 2009-20K 4.090% 11/1/29 1,587 1,711
3 Small Business Administration Participation Certs 2018-20C 5.230% 3/1/27 1,427 1,534
3 Small Business Administration Participation Certs 2018-20E 5.310% 5/1/27 2,296 2,479
3 Small Business Administration Participation Certs 2019-25L 5.520% 6/1/24 506 537
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $36,721)   37,882

 

6

 

 

Short-Term Treasury Fund

 

      Market
      Value•
  Coupon Shares ($000)
Temporary Cash Investment (0.2%)      
Money Market Fund (0.2%)      
4 Vanguard Market Liquidity Fund
(Cost $16,838)		 0.194% 168,374 16,838
Total Investments (104.1%) (Cost $9,627,714)     9,744,598
Other Assets and Liabilities—Net (-4.1%)     (384,561)
Net Assets (100%)     9,360,037

 

Cost is in $000.

 

•See Note A in Notes to Financial Statements.
 ¤Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2020.
1Securities with a value of $8,050,000 have been segregated as initial margin for open futures contracts.
2The 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.
3The 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

Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
 REMICS—Real Estate Mortgage Investment Conduits.
 UMBS—Uniform Mortgage-Backed Securities.

 

7

 

 

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 9/25/20 1,055 $141.00 148,755 (346)
Total Options Written (Premiums Received $282)         (346)
           

 

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 September 2020 3,758 830,459 1,028
         
Short Futures Contracts        
5-Year U.S. Treasury Note September 2020 (1,764) (222,485) (558)
Ultra 10-Year U.S. Treasury Note September 2020 (939) (149,536) (2,670)
Ultra Long U.S. Treasury Bond September 2020 (471) (107,241) (4,438)
10-Year U.S. Treasury Note September 2020 (526) (73,681) 11
        (7,655)
        (6,627)

 

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

 

8

 

 

Short-Term Treasury Fund

 

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $9,610,876) 9,727,760
Affiliated Issuers (Cost $16,838) 16,838
Total Investments in Securities 9,744,598
Investment in Vanguard 420
Receivables for Investment Securities Sold 680,208
Receivables for Accrued Income 25,211
Receivables for Capital Shares Issued 7,534
Variation Margin Receivable—Futures Contracts 231
Other Assets 309
Total Assets 10,458,511
Liabilities  
Due to Custodian 1,185
Payables for Investment Securities Purchased 1,073,488
Payables for Capital Shares Redeemed 22,607
Payables for Distributions 104
Payables to Vanguard 501
Options Written, at Value (Premiums Received $282) 346
Variation Margin Payable—Futures Contracts 243
Total Liabilities 1,098,474
Net Assets 9,360,037
   
   
At July 31, 2020, net assets consisted of:  
   
Paid-in Capital 9,176,464
Total Distributable Earnings (Loss) 183,573
Net Assets 9,360,037
   
Investor Shares–Net Assets  
Applicable to 72,545,219 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 791,585
Net Asset Value Per Share–Investor Shares $10.91
   
Admiral Shares–Net Assets  
Applicable to 785,260,038 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 8,568,452
Net Asset Value Per Share–Admiral Shares $10.91

 

 

 

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

 

9

 

 

Short-Term Treasury Fund

 

 

Statement of Operations

 

 

  Six Months Ended
  July 31, 2020
  ($000)
Investment Income  
Income  
Interest1 38,291
Total Income 38,291
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 462
Management and Administrative—Investor Shares 622
Management and Administrative—Admiral Shares 3,283
Marketing and Distribution—Investor Shares 54
Marketing and Distribution—Admiral Shares 269
Custodian Fees 49
Shareholders’ Reports—Investor Shares 38
Shareholders’ Reports—Admiral Shares 82
Trustees’ Fees and Expenses 4
Total Expenses 4,863
Net Investment Income 33,428
Realized Net Gain (Loss)  
Investment Securities Sold1 152,074
Futures Contracts 18,958
Options Purchased 3,252
Options Written 221
Realized Net Gain (Loss) 174,505
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 54,780
Futures Contracts (11,290)
Options Purchased 184
Options Written 386
Change in Unrealized Appreciation (Depreciation) 44,060
Net Increase (Decrease) in Net Assets Resulting from Operations 251,993

 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $589,000, $59,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

 

 

 

 

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

 

10

 

 

Short-Term Treasury Fund

 

 

Statement of Changes in Net Assets

 

 

  Six Months Ended   Year Ended
  July 31,   January 31,
  2020   2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 33,428   205,386
Realized Net Gain (Loss) 174,505   87,891
Change in Unrealized Appreciation (Depreciation) 44,060   46,440
Net Increase (Decrease) in Net Assets Resulting from Operations 251,993   339,717
Distributions1      
Investor Shares (2,987)   (15,949)
Admiral Shares (36,371)   (189,824)
Total Distributions (39,358)   (205,773)
Capital Share Transactions      
Investor Shares 118,555   (27,066)
Admiral Shares 130,484   735,111
Net Increase (Decrease) from Capital Share Transactions 249,039   708,045
Total Increase (Decrease) 461,674   841,989
Net Assets      
Beginning of Period 8,898,363   8,056,374
End of Period 9,360,037   8,898,363

 

1Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

11

 

 

Short-Term Treasury Fund

 

 

Financial Highlights

 

 

Investor Shares

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.64 $10.48 $10.49 $10.65 $10.73 $10.75
Investment Operations            
Net Investment Income .0361 .2451 .2271 .1271 .094 .074
Net Realized and Unrealized Gain (Loss) on Investments .278 .160 (.009) (.160) (.048) (.004)
Total from Investment Operations .314 .405 .218 (.033) .046 .070
Distributions            
Dividends from Net Investment Income (.044) (.245) (.228) (.127) (.094) (.074)
Distributions from Realized Capital Gains — — — — (.032) (.016)
Total Distributions (.044) (.245) (.228) (.127) (.126) (.090)
Net Asset Value, End of Period $10.91 $10.64 $10.48 $10.49 $10.65 $10.73
             
Total Return2 2.96% 3.91% 2.11% -0.31% 0.43% 0.66%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $792 $655 $671 $737 $900 $1,005
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 0.66% 2.30% 2.18% 1.20% 0.87% 0.69%
Portfolio Turnover Rate3 190% 340% 282% 280% 249% 211%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 16%, 5%, 37%, 7%, 3%, and 35% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

12

 

 

Short-Term Treasury Fund

 

 

Financial Highlights

 

 

Admiral Shares

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.64 $10.48 $10.49 $10.65 $10.73 $10.75
Investment Operations            
Net Investment Income .0411 .2541 .2381 .1381 .105 .085
Net Realized and Unrealized Gain (Loss) on Investments .279 .162 (.010) (.160) (.048) (.004)
Total from Investment Operations .320 .416 .228 (.022) .057 .081
Distributions            
Dividends from Net Investment Income (.050) (.256) (.238) (.138) (.105) (.085)
Distributions from Realized Capital Gains — — — — (.032) (.016)
Total Distributions (.050) (.256) (.238) (.138) (.137) (.101)
Net Asset Value, End of Period $10.91 $10.64 $10.48 $10.49 $10.65 $10.73
             
Total Return2 3.01% 4.01% 2.21% -0.21% 0.53% 0.76%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,568 $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% 0.10%
Ratio of Net Investment Income to Average Net Assets 0.75% 2.40% 2.28% 1.30% 0.97% 0.79%
Portfolio Turnover Rate3 190% 340% 282% 280% 249% 211%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 16%, 5%, 37%, 7%, 3%, and 35% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

13

 

 

 

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.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 15% and 5% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

 

14

 

 

Short-Term Treasury Fund

 

 

 

 

 

3. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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.

 

Options contracts on futures are 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 six months ended July 31, 2020, the fund’s average value of investments in options purchased and options written represented less than 1% of net assets, respectively, based on the average market values 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 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.

 

At July 31, 2020, counterparties had deposited in segregated accounts securities with a value of $1,959,000 and cash of $2,997,000 in connection with TBA transactions.

 

 

 

 

 

 

 

 

15

 

 

Short-Term Treasury Fund

 

 

 

 

 

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. 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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

8. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent

 

 

 

 

 

16

 

 

Short-Term Treasury Fund

 

 

 

 

 

permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

9. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $420,000, representing less than 0.01% of the fund’s net assets and 0.17% 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 Schedule of Investments.

 

 

 

 

 

 

17

 

 

Short-Term Treasury Fund

 

 

 

 

 

 

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

 

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 9,704,888 — 9,704,888
Asset-Backed/Commercial Mortgage-Backed Securities — 22,872 — 22,872
Temporary Cash Investments 16,838 — — 16,838
Total 16,838 9,727,760 — 9,744,598
Derivative Financial Instruments        
Assets        
Futures Contracts1 231 — — 231
Liabilities        
Options Written 346 — — 346
Futures Contracts1 243 — — 243
Total 589 — — 589

 

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

 

D.  As of July 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 9,630,248
Gross Unrealized Appreciation 116,949
Gross Unrealized Depreciation (9,290)
Net Unrealized Appreciation (Depreciation) 107,659

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $88,155,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

E.  During the six months ended July 31, 2020, the fund purchased $16,459,182,000 of investment securities and sold $15,832,930,000 of investment securities, other than temporary cash investments.

 

 

18

 

 

Short-Term Treasury Fund

 

 

 

 

 

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

 

  Six Months Ended     Year Ended
  July 31, 2020   January 31, 2020
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 370,884 34,307   276,043 26,184
Issued in Lieu of Cash Distributions 2,688 248   13,877 1,313
Redeemed (255,017) (23,547)   (316,986) (30,037)
Net Increase (Decrease)—Investor Shares 118,555 11,008   (27,066) (2,540)
Admiral Shares          
Issued 3,322,222 307,025   2,554,837 241,901
Issued in Lieu of Cash Distributions 31,087 2,873   150,526 14,242
Redeemed (3,222,825) (299,244)   (1,970,252) (186,524)
Net Increase (Decrease)—Admiral Shares 130,484 10,654   735,111 69,619

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

19

 

 

Short-Term Federal Fund

 

 

Fund Allocation

As of July 31, 2020

 

Agency Bonds and Notes 35.3%
Asset-Backed/Commercial Mortgage-Backed Securities 7.0
Government Mortgage-Backed Securities 49.3
U.S. Government Securities 8.4

 

The table reflects the fund’s investments, except for short-term investments and derivatives. 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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20

 

 

 

Short-Term Federal Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments

As of July 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 (100.0%)  
U.S. Government Securities (9.0%)                
1 United States Treasury Inflation Indexed Bonds 0.125%   4/15/21   250,000   272,140  
  United States Treasury Note/Bond 0.125%   4/30/22   50,400   50,400  
  United States Treasury Note/Bond 1.375%   10/15/22   69,300   71,206  
  United States Treasury Note/Bond 1.625%   12/15/22   67,500   69,904  
  United States Treasury Note/Bond 0.125%   7/15/23   98,000   98,016  
  United States Treasury Note/Bond 0.250%   6/30/25   58,000   58,109  
                619,775  
Agency Bonds and Notes (38.0%)                
2 AID-Israel 0.000%   11/1/24   6,905   6,712  
3 Fannie Mae Interest Strip 0.000%   11/15/25   72,402   70,004  
3 Fannie Mae Interest Strip 0.000%   5/15/26   91,000   87,318  
3,4 Fannie Mae Interest Strip 0.000%   10/25/40   12,339   11,798  
3 Fannie Mae Principal Strip 0.000%   1/15/30   5,100   4,576  
3 Fannie Mae Principal Strip 0.000%   5/15/30   24,708   22,065  
  Federal Farm Credit Banks Funding Corp. 0.250%   5/6/22   50,000   50,053  
  Federal Farm Credit Banks Funding Corp. 0.950%   4/1/25   175,000   179,617  
  Federal Home Loan Banks 0.500%   4/14/25   105,000   105,593  
  Federal Home Loan Banks 1.750%   3/8/30   13,375   14,393  
3 Federal Home Loan Mortgage Corp. 0.250%   6/26/23   82,000   82,048  
3 Federal Home Loan Mortgage Corp. 1.500%   2/12/25   171,000   179,675  
3 Federal Home Loan Mortgage Corp. 0.375%   7/21/25   140,000   139,839  
3,4 Federal Home Loan Mortgage Corp. 0.800%   7/21/25   500,000   500,385  
3,4 Federal Home Loan Mortgage Corp. 0.750%   7/28/25   300,000   300,303  
3,4 Federal Home Loan Mortgage Corp. 0.800%   8/4/25   145,400   145,508  
3 Federal National Mortgage Assn. 0.250%   5/22/23   140,000   140,080  
3 Federal National Mortgage Assn. 0.250%   7/10/23   337,500   337,699  
3 Federal National Mortgage Assn. 2.500%   2/5/24   50,000   53,852  
3 Federal National Mortgage Assn. 0.500%   6/17/25   50,000   50,245  
3 Federal National Mortgage Assn. 1.875%   9/24/26   30,000   32,425  
3 Freddie Mac Principal Strip 0.000%   7/15/32   15,300   13,106  
  Government Trust Certificate 0.000%   10/1/20   7,711   7,703  
  Private Export Funding Corp. 4.300%   12/15/21   4,430   4,669  
  Private Export Funding Corp. 3.550%   1/15/24   8,700   9,609  
  Resolution Funding Corp. Interest Strip 0.000%   10/15/27   9,894   9,244  
  Resolution Funding Corp. Interest Strip 0.000%   1/15/28   6,400   5,935  
  Resolution Funding Corp. Interest Strip 0.000%   4/15/28   4,590   4,242  
  Resolution Funding Corp. Principal Strip 0.000%   1/15/30   38,500   34,451  
  Tennessee Valley Authority Principal Strip 0.000%   11/1/25   17,342   16,624  
                2,619,771  

 

21

 

 

Short-Term Federal Fund

 

 

            Face   Market  
        Maturity   Amount   Value•  
    Coupon   Date   ($000 ) ($000 )
Conventional Mortgage-Backed Securities (31.0%)              
3,4 Fannie Mae Pool 2.000%   10/1/27–7/1/28   4,296   4,470  
3,4 Fannie Mae Pool 2.500%   2/1/28–9/1/31   18,547   19,588  
3,4 Fannie Mae Pool 3.000%   12/1/20–1/1/50   156,910   163,781  
3,4 Fannie Mae Pool 3.500%   8/1/20–12/1/49   254,431   270,552  
3,4 Fannie Mae Pool 4.000%   9/1/20–8/1/49   122,274   133,674  
3,4 Fannie Mae Pool 4.500%   8/1/20–11/1/49   146,723   156,377  
3,4 Fannie Mae Pool 5.000%   8/1/20–2/1/44   4,245   4,901  
3,4 Fannie Mae Pool 5.500%   8/1/20–9/1/41   28,027   33,330  
3,4 Fannie Mae Pool 6.000%   5/1/24–1/1/41   28,053   33,889  
3,4 Freddie Mac Gold Pool 2.000%   9/1/28–6/1/30   4,942   5,143  
3,4 Freddie Mac Gold Pool 2.500%   6/1/22–10/1/31   14,631   15,456  
3,4 Freddie Mac Gold Pool 3.000%   11/1/29–3/1/31   22,361   23,525  
3,4 Freddie Mac Gold Pool 3.500%   3/1/21–8/1/29   8,693   9,231  
3,4 Freddie Mac Gold Pool 4.000%   6/1/21–6/1/46   9,297   10,078  
3,4 Freddie Mac Gold Pool 4.500%   8/1/20–1/1/49   18,657   19,717  
3,4 Freddie Mac Gold Pool 5.000%   4/1/21–6/1/25   728   758  
¤,4 Ginnie Mae II Pool 2.000%   8/1/50–9/1/50   50,000   52,218  
¤,4 Ginnie Mae II Pool 2.500%   6/1/50–9/1/50   58,000   61,133  
4 Ginnie Mae II Pool 3.000%   9/20/49–11/20/49   42,227   44,085  
¤,4 UMBS Pool 1.500%   8/1/35   103,000   105,591  
¤,4 UMBS Pool 2.000%   7/1/35–9/1/50   457,000   473,422  
¤,4 UMBS Pool 2.500%   1/1/23–9/1/50   349,701   366,804  
4 UMBS Pool 3.000%   9/1/34–11/1/49   71,012   74,279  
4 UMBS Pool 3.500%   8/1/29–8/1/49   21,535   23,242  
4 UMBS Pool 4.000%   2/1/47   3,289   3,653  
4 UMBS Pool 4.500%   8/1/49   10,903   11,865  
4 UMBS Pool 5.000%   3/1/42   2,118   2,454  
4 UMBS Pool 6.000%   4/1/39   12,857   15,337  
                2,138,553  
Nonconventional Mortgage-Backed Securities (22.0%)              
3,4 Fannie Mae REMICS 1.500%   12/25/41–1/25/43   75,403   76,864  
3,4 Fannie Mae REMICS 1.650%   12/25/42   12,377   12,635  
3,4 Fannie Mae REMICS 1.750%   11/25/32–3/25/46   131,323   133,516  
3,4 Fannie Mae REMICS 1.850%   8/25/46   13,728   14,241  
3,4 Fannie Mae REMICS 2.000%   12/25/44   7,342   7,436  
3,4 Fannie Mae REMICS 2.100%   4/25/43   5,398   5,499  
3,4 Fannie Mae REMICS 2.125%   10/25/42   12,719   12,915  
3,4 Fannie Mae REMICS 2.250%   7/25/43–6/25/44   30,041   31,007  
3,4 Fannie Mae REMICS 2.500%   6/25/40–1/25/50   63,914   66,370  
3,4 Fannie Mae REMICS 3.000%   10/25/33–9/25/49   110,715   116,659  
3,4 Fannie Mae REMICS 3.500%   3/25/43–10/25/48   63,475   66,086  
3,4 Fannie Mae REMICS 4.000%   12/25/46–10/25/48   7,258   7,747  
3,4 Fannie Mae REMICS 5.000%   9/25/40   10,753   12,559  
3,4 Fannie Mae REMICS 5.250%   9/25/41   4,741   5,551  
3,4 Freddie Mac REMICS 1.250%   2/15/42   26,539   26,863  
3,4 Freddie Mac REMICS 1.500%   10/15/42   27,098   27,499  
3,4 Freddie Mac REMICS 1.750%   4/15/43   14,049   14,395  
3,4 Freddie Mac REMICS 2.000%   7/15/42   13,940   14,416  
3,4 Freddie Mac REMICS 2.250%   3/15/41–9/25/49   55,755   57,604  
3,4 Freddie Mac REMICS 2.500%   4/15/37–12/25/49   166,550   174,638  
3,4 Freddie Mac REMICS 2.750%   1/15/46–10/25/49   5,225   5,538  
3,4 Freddie Mac REMICS 3.000%   6/15/42–7/25/49   54,492   57,508  

 

22

 

 

Short-Term Federal Fund

 

 

            Face   Market  
        Maturity   Amount   Value•  
    Coupon   Date   ($000 ) ($000 )
3,4 Freddie Mac REMICS 3.500%   5/15/40–3/25/50   88,830   94,996  
3,4 Freddie Mac REMICS 4.000%   8/15/47–5/15/49   28,836   32,008  
3,4 Freddie Mac REMICS 5.000%   12/15/40   16,721   19,665  
3,4 Freddie Mac REMICS 6.500%   5/15/24   4,132   4,399  
4 Ginnie Mae REMICS 1.500%   10/20/45   107,407   108,233  
4 Ginnie Mae REMICS 2.001%   12/20/42   5,160   5,296  
4 Ginnie Mae REMICS 2.500%   9/20/43–9/20/49   24,938   26,319  
4 Ginnie Mae REMICS 2.750%   9/20/45–5/20/49   138,392   141,608  
4 Ginnie Mae REMICS 3.000%   3/20/41–3/20/48   106,135   109,316  
4 Ginnie Mae REMICS 3.500%   4/20/48–5/20/49   9,400   10,256  
4 Ginnie Mae REMICS 4.000%   10/20/47–9/20/48   20,332   21,711  
                1,521,353  
Total U.S. Government and Agency Obligations (Cost $6,787,660)       6,899,452  
Asset-Backed/Commercial Mortgage-Backed Securities (7.5%)  
3,4 FHLMC Multifamily Structured Pass Through Certificates K027 2.637%   1/25/23   2,000   2,091  
3,4 FHLMC Multifamily Structured Pass Through Certificates K037 3.490%   1/25/24   1,000   1,091  
3,4 FHLMC Multifamily Structured Pass Through Certificates K040 3.241%   9/25/24   6,900   7,593  
3,4 FHLMC Multifamily Structured Pass Through Certificates K041 3.171%   10/25/24   4,000   4,402  
3,4 FHLMC Multifamily Structured Pass Through Certificates K042 2.670%   12/25/24   5,000   5,417  
3,4 FHLMC Multifamily Structured Pass Through Certificates K043 3.062%   12/25/24   4,000   4,398  
3,4 FHLMC Multifamily Structured Pass Through Certificates K044 2.811%   1/25/25   3,000   3,270  
3,4 FHLMC Multifamily Structured Pass Through Certificates K047 3.329%   5/25/25   1,000   1,118  
3,4 FHLMC Multifamily Structured Pass Through Certificates K048 3.284%   6/25/25   1,000   1,116  
3,4 FHLMC Multifamily Structured Pass Through Certificates K053 2.995%   12/25/25   16,000   17,748  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K054 1.171%   1/25/26   84,283   4,666  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K057 1.189%   7/25/26   140,495   8,329  
3,4 FHLMC Multifamily Structured Pass Through Certificates K104 1.127%   1/25/30   85,400   7,849  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K105 1.645%   1/25/30   220,042   27,210  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K109 1.700%   4/25/30   89,382   11,534  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K110 1.698%   4/25/30   40,295   5,475  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K111 1.682%   5/25/30   58,000   7,545  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K112 1.536%   5/25/30   22,600   2,707  
3,4,5 FHLMC Multifamily Structured Pass Through Certificates K1502 0.957%   1/25/31   85,515   6,633  

 

23

 

 

Short-Term Federal Fund

 

 

            Face   Market  
        Maturity   Amount   Value•  
    Coupon   Date   ($000 )  ($000 ) 
3,4 FHLMC Multifamily Structures Pass Through Certificates K725 2.946%   7/25/24   24,220   26,071  
3,4,5 Freddie Mac Multiclass Certificates 2015-P001 2.441%   12/27/28   88,401   13,202  
3,4,5 Freddie Mac Multiclass Certificates 2015-P001 2.843%   1/27/29   112,919   21,852  
3,4 Freddie Mac Strip 2017-357 2.500%   9/15/47   22,031   23,384  
4 Small Business Administration Participation Certs 2002-20L 5.100%   12/1/22   199   206  
4 Small Business Administration Participation Certs 2004-20G 5.190%   7/1/24   137   146  
4 Small Business Administration Participation Certs 2005-20A 4.860%   1/1/25   153   162  
4 Small Business Administration Participation Certs 2005-20B 4.625%   2/1/25   70   75  
4 Small Business Administration Participation Certs 2005-20C 4.950%   3/1/25   53   56  
4 Small Business Administration Participation Certs 2005-20G 4.750%   7/1/25   37   40  
4 Small Business Administration Participation Certs 2005-20J 5.090%   10/1/25   475   506  
4 Small Business Administration Participation Certs 2006-20D 5.640%   4/1/26   567   609  
4 Small Business Administration Participation Certs 2006-20H 5.700%   8/1/26   809   883  
4 Small Business Administration Participation Certs 2006-20J 5.370%   10/1/26   1,923   2,065  
4 Small Business Administration Participation Certs 2006-20K 5.360%   11/1/26   3,382   3,643  
4 Small Business Administration Participation Certs 2006-20L 5.120%   12/1/26   999   1,079  
4 Small Business Administration Participation Certs 2007-20D 5.320%   4/1/27   668   722  
4 Small Business Administration Participation Certs 2007-20G 5.820%   7/1/27   542   594  
4 Small Business Administration Participation Certs 2007-20I 5.560%   9/1/27   2,844   3,104  
4 Small Business Administration Participation Certs 2007-20L 5.290%   12/1/27   36   39  
4 Small Business Administration Participation Certs 2008-20B 5.160%   2/1/28   94   102  
4 Small Business Administration Participation Certs 2008-20C 5.490%   3/1/28   78   85  
4 Small Business Administration Participation Certs 2008-20D 5.370%   4/1/28   193   210  
4 Small Business Administration Participation Certs 2008-20F 5.680%   6/1/28   64   70  
4 Small Business Administration Participation Certs 2008-20H 6.020%   8/1/28   62   69  
4 Small Business Administration Participation Certs 2008-20J 5.630%   10/1/28   78   86  
4 Small Business Administration Participation Certs 2009-20A 5.720%   1/1/29   47   52  

 

24

 

 

Short-Term Federal Fund

 

 

            Face   Market  
        Maturity   Amount   Value•  
    Coupon   Date   ($000 )  ($000 ) 
4 Small Business Administration Participation Certs 2009-20D 4.310%   4/1/29   46   49  
4 Small Business Administration Participation Certs 2009-20I 4.200%   9/1/29   1,054   1,123  
4 Small Business Administration Participation Certs 2009-20J 3.920%   10/1/29   1,673   1,776  
4 Small Business Administration Participation Certs 2009-20K 4.090%   11/1/29   855   921  
4 Small Business Administration Participation Certs 2010-20H 3.520%   8/1/30   139   149  
4 Small Business Administration Participation Certs 2011-20B 4.220%   2/1/31   285   313  
4 Small Business Administration Participation Certs 2011-20H 3.290%   8/1/31   65   70  
4 Small Business Administration Participation Certs 2012-20I 2.200%   9/1/32   46   47  
4 Small Business Administration Participation Certs 2013-20G 3.150%   7/1/33   71   76  
4 Small Business Administration Participation Certs 2013-20K 3.380%   11/1/33   85   92  
4 Small Business Administration Participation Certs 2017-20 2.780%   12/1/37   2,262   2,449  
4 Small Business Administration Participation Certs 2017-20 3.310%   4/1/38   26,279   29,179  
4 Small Business Administration Participation Certs 2017-20 3.600%   6/1/38   14,042   15,880  
4 Small Business Administration Participation Certs 2017-20 3.370%   1/1/39   8,450   9,310  
4 Small Business Administration Participation Certs 2018-20 2.920%   1/1/38   11,542   12,744  
4 Small Business Administration Participation Certs 2018-20 3.220%   2/1/38   18,628   20,690  
4 Small Business Administration Participation Certs 2018-20C 5.230%   3/1/27   883   950  
4 Small Business Administration Participation Certs 2018-20C 3.200%   3/1/38   37,705   41,572  
4 Small Business Administration Participation Certs 2018-20E 5.310%   5/1/27   1,422   1,535  
4 Small Business Administration Participation Certs 2018-20E 3.500%   5/1/38   7,736   8,688  
4 Small Business Administration Participation Certs 2018-20J 3.770%   10/1/38   25,285   28,763  
4 Small Business Administration Participation Certs 2018-20J 2.690%   7/1/44   10,616   11,529  
4 Small Business Administration Participation Certs 2018-20K 3.870%   11/1/38   15,550   17,826  
4 Small Business Administration Participation Certs 2018-20L 3.540%   12/1/38   20,007   22,238  
4 Small Business Administration Participation Certs 2018-25F 3.670%   12/1/43   2,092   2,371  
4 Small Business Administration Participation Certs 2019-20C 3.200%   3/1/39   8,622   9,473  
4 Small Business Administration Participation Certs 2019-25E 3.070%   5/1/44   6,167   6,838  

 

25

 

 

Short-Term Federal Fund

 

 

            Face   Market  
        Maturity   Amount   Value•  
    Coupon   Date   ($000 ) ($000 )
4 Small Business Administration Participation Certs 2019-25F 2.770%   6/1/44   9,884   10,787  
4 Small Business Administration Participation Certs 2019-25H 2.310%   8/1/44   11,747   12,525  
4 Small Business Administration Participation Certs 2019-25K 2.480%   11/1/44   8,517   9,182  
4 Small Business Administration Participation Certs 2019-25L 5.520%   6/1/24   465   494  
4 Small Business Administration Participation Certs 2019-25L 2.380%   12/1/44   6,794   7,276  
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $485,732) 516,219  

 

          Shares      
Temporary Cash Investment (9.4%)                
Money Market Fund (9.4%)                
6 Vanguard Market Liquidity Fund
(Cost $650,801)		 0.194%       6,508,054   650,805  
Total Investments (116.9%) (Cost $7,924,193)             8,066,476  
Other Assets and Liabilities—Net (-16.9%)             (1,165,748 )
Net Assets (100%)             6,900,728  

 

Cost is in $000.

•See Note A in Notes to Financial Statements.
¤Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2020.
1Securities with a value of $12,930,000 have been segregated as initial margin for open futures contracts.
2U.S. government-guaranteed.
3The 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.
4The 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.
5Interest-only security.
6Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

 

26

 

 

Short-Term Federal 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                
2-Year U.S. Treasury Note September 2020   1,231   272,032   7  
                 
Short Futures Contracts                
Ultra 10-Year U.S. Treasury Note September 2020   (3,480 ) (554,190 ) (6,881 )
10-Year U.S. Treasury Note September 2020   (1,023 ) (143,300 ) (857 )
5-Year U.S. Treasury Note September 2020   (928 ) (117,044 ) (290 )
Ultra Long U.S. Treasury Bond September 2020   (230 ) (52,368 ) (2,065 )
30-Year U.S. Treasury Bond September 2020   (122 ) (22,238 ) (605 )
              (10,698 )
              (10,691 )

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

27

 

 

Short-Term Federal Fund

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts)   Amount  
Assets      
Investments in Securities, at Value      
Unaffiliated Issuers (Cost $7,273,392)   7,415,671  
Affiliated Issuers (Cost $650,801)   650,805  
Total Investments in Securities   8,066,476  
Investment in Vanguard   291  
Cash   89  
Receivables for Investment Securities Sold   818,596  
Receivables for Accrued Income   16,155  
Receivables for Capital Shares Issued   20,867  
Variation Margin Receivable—Futures Contracts   133  
Other Assets   245  
Total Assets   8,922,852  
Liabilities      
Payables for Investment Securities Purchased   2,014,542  
Payables for Capital Shares Redeemed   5,712  
Payables for Distributions   861  
Payables to Vanguard   368  
Variation Margin Payable—Futures Contracts   641  
Total Liabilities   2,022,124  
Net Assets   6,900,728  
       
       
At July 31, 2020, net assets consisted of:      
       
Paid-in Capital   6,791,779  
Total Distributable Earnings (Loss)   108,949  
Net Assets   6,900,728  
       
Investor Shares—Net Assets      
Applicable to 65,760,150 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   724,305  
Net Asset Value Per Share—Investor Shares   $11.01  
       
Admiral Shares—Net Assets      
Applicable to 560,761,620 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   6,176,423  
Net Asset Value Per Share—Admiral Shares   $11.01  

 

 

 

 

 

 

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

 

28

 

 

Short-Term Federal Fund

 

 

Statement of Operations

 

  Six Months Ended  
  July 31, 2020  
  ($000 )
Investment Income    
Income    
Interest1 51,785  
Total Income 51,785  
Expenses    
The Vanguard Group—Note B    
Investment Advisory Services 308  
Management and Administrative—Investor Shares 549  
Management and Administrative—Admiral Shares 2,041  
Marketing and Distribution—Investor Shares 46  
Marketing and Distribution—Admiral Shares 173  
Custodian Fees 56  
Shareholders’ Reports—Investor Shares 33  
Shareholders’ Reports—Admiral Shares 57  
Trustees’ Fees and Expenses 2  
Total Expenses 3,265  
Net Investment Income 48,520  
Realized Net Gain (Loss)    
Investment Securities Sold1 68,605  
Futures Contracts (30,768 )
Options Purchased 961  
Options Written 2,015  
Realized Net Gain (Loss) 40,813  
Change in Unrealized Appreciation (Depreciation)    
Investment Securities1 80,144  
Futures Contracts (4,952 )
Options Purchased (322 )
Options Written (134 )
Change in Unrealized Appreciation (Depreciation) 74,736  
Net Increase (Decrease) in Net Assets Resulting from Operations 164,069  

 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,077,000, ($89,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

 

 

 

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

 

29

 

 

Short-Term Federal Fund

 

 

Statement of Changes in Net Assets

 

  Six Months Ended     Year Ended  
  July 31,     January 31,  
  2020     2020  
  ($000 )   ($000 )
Increase (Decrease) in Net Assets          
Operations          
Net Investment Income 48,520     112,498  
Realized Net Gain (Loss) 40,813     27,714  
Change in Unrealized Appreciation (Depreciation) 74,736     69,989  
Net Increase (Decrease) in Net Assets Resulting from Operations 164,069     210,201  
Distributions1          
Investor Shares (5,379 )   (13,781 )
Admiral Shares (43,805 )   (98,841 )
Total Distributions (49,184 )   (112,622 )
Capital Share Transactions          
Investor Shares 87,833     (11,719 )
Admiral Shares 1,703,934     323,046  
Net Increase (Decrease) from Capital Share Transactions 1,791,767     311,327  
Total Increase (Decrease) 1,906,652     408,906  
Net Assets          
Beginning of Period 4,994,076     4,585,170  
End of Period 6,900,728     4,994,076  

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

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

 

30

 

 

Short-Term Federal Fund

 

 

Financial Highlights

 

Investor Shares 

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.79 $10.57 $10.55 $10.70 $10.79 $10.82
Investment Operations            
Net Investment Income .0861 .2461 .2081 .1421 .116 .095
Net Realized and Unrealized Gain (Loss) on Investments .222 .221 .021 (.144) (.063) .005
Total from Investment Operations .308 .467 .229 (.002) .053 .100
Distributions            
Dividends from Net Investment Income (.088) (.247) (.209) (.142) (.116) (.095)
Distributions from Realized Capital Gains — — — (.006) (.027) (.035)
Total Distributions (.088) (.247) (.209) (.148) (.143) (.130)
Net Asset Value, End of Period $11.01 $10.79 $10.57 $10.55 $10.70 $10.79
             
Total Return2 2.86% 4.46% 2.20% -0.02% 0.49% 0.93%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $724 $623 $622 $719 $827 $817
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.58% 2.30% 1.98% 1.33% 1.07% 0.88%
Portfolio Turnover Rate3 272% 499% 327% 211% 304% 314%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 38%, 32%, 90%, 30%, 38%, and 75% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

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

 

31

 

 

Short-Term Federal Fund

 

 

Financial Highlights

 

Admiral Shares

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.79 $10.57 $10.55 $10.70 $10.79 $10.82
Investment Operations            
Net Investment Income .0911 .2571 .2191 .1531 .127 .105
Net Realized and Unrealized Gain (Loss) on Investments .223 .220 .020 (.144) (.063) .005
Total from Investment Operations .314 .477 .239 .009 .064 .110
Distributions            
Dividends from Net Investment Income (.094) (.257) (.219) (.153) (.127) (.105)
Distributions from Realized Capital Gains — — — (.006) (.027) (.035)
Total Distributions (.094) (.257) (.219) (.159) (.154) (.140)
Net Asset Value, End of Period $11.01 $10.79 $10.57 $10.55 $10.70 $10.79
             
Total Return2 2.92% 4.56% 2.30% 0.08% 0.59% 1.03%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,176 $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% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.66% 2.40% 2.08% 1.43% 1.17% 0.98%
Portfolio Turnover Rate3 272% 499% 327% 211% 304% 314%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 38%, 32%, 90%, 30%, 38%, and 75% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

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

 

32

 

 

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.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 10% and 14% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

 

33

 

 

Short-Term Federal Fund

 

 

 

 

 

3. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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.

 

Options contracts on futures are 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 six months ended July 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. The fund had no open options contracts on futures at July 31, 2020.

 

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 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.

 

At July 31, 2020, counterparties had deposited in segregated accounts securities with a value of $2,597,000 and cash of $5,971,000 in connection with TBA transactions.

 

34

 

 

Short-Term Federal Fund

 

 

 

 

 

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. 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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

8. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent

 

35

 

 

Short-Term Federal Fund

 

 

 

 

 

permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

9. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $291,000, 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.  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 Schedule of Investments.

 

36

 

 

Short-Term Federal Fund

 

 

 

 

 

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

 

   Level 1   Level 2   Level 3   Total 
   ($000)  ($000)  ($000)  ($000)
Investments                    
Assets                    
U.S. Government and Agency Obligations   —    6,899,452    —    6,899,452 
Asset-Backed/Commercial Mortgage-Backed Securities   —    516,219    —    516,219 
Temporary Cash Investments   650,805    —    —    650,805 
Total   650,805    7,415,671    —    8,066,476 
Derivative Financial Instruments                    
Assets                    
Futures Contracts1   133    —    —    133 
Liabilities                    
Futures Contracts1   641    —    —    641 

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

 

D.  As of July 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   7,925,248 
Gross Unrealized Appreciation   147,487 
Gross Unrealized Depreciation   (16,950)
Net Unrealized Appreciation (Depreciation)   130,537 

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $66,304,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

E.  During the six months ended July 31, 2020, the fund purchased $17,045,297,000 of investment securities and sold $14,760,612,000 of investment securities, other than temporary cash investments.

 

37

 

 

Short-Term Federal Fund

  

 

 

 

 

 

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

 

   Six Months Ended       Year Ended 
   July 31, 2020   January 31, 2020 
   Amount   Shares   Amount   Shares 
   ($000)  (000)   ($000)   (000) 
Investor Shares                    
Issued   263,165    24,052    210,669    19,720 
Issued in Lieu of Cash Distributions   4,738    433    12,178    1,138 
Redeemed   (180,070)   (16,470)   (234,566)   (22,019)
Net Increase (Decrease)—Investor Shares   87,833    8,015    (11,719)   (1,161)
Admiral Shares                    
Issued   2,883,462    263,468    1,620,521    151,597 
Issued in Lieu of Cash Distributions   38,835    3,545    86,596    8,093 
Redeemed   (1,218,363)   (111,460)   (1,384,071)   (129,514)
Net Increase (Decrease)—Admiral Shares   1,703,934    155,553    323,046    30,176 

 

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

 

38

 

 

Intermediate-Term Treasury Fund

 

 

Fund Allocation

As of July 31, 2020

 

Agency Bonds and Notes   1.3%
Asset-Backed/Comercial Mortgage-Backed Securities   5.0 
Government Mortgage-Backed Securities   10.5 
U.S. Government Secutities   83.2 

The table reflects the fund’s investments, except for short-term investments and derivatives. 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.

 

39

 

 

Intermediate-Term Treasury Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments

As of July 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 (97.0%)  
U.S. Government Securities (85.0%)            
  United States Treasury Inflation Indexed Bonds 0.625% 4/15/23 312,000   337,299  
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/25 298,400   315,311  
  United States Treasury Note/Bond 2.250% 12/31/23 53,000   56,793  
  United States Treasury Note/Bond 2.625% 12/31/23 118,000   127,957  
  United States Treasury Note/Bond 2.250% 1/31/24 45,000   48,305  
  United States Treasury Note/Bond 2.375% 2/29/24 126,500   136,521  
  United States Treasury Note/Bond 2.125% 3/31/24 74,000   79,319  
  United States Treasury Note/Bond 2.500% 5/15/24 108,000   117,552  
  United States Treasury Note/Bond 2.000% 5/31/24 85,500   91,485  
  United States Treasury Note/Bond 1.750% 6/30/24 50,600   53,723  
  United States Treasury Note/Bond 1.750% 7/31/24 147,000   156,233  
  United States Treasury Note/Bond 1.250% 8/31/24 88,000   91,850  
  United States Treasury Note/Bond 1.500% 9/30/24 170,000   179,297  
  United States Treasury Note/Bond 2.125% 9/30/24 33,000   35,660  
  United States Treasury Note/Bond 1.500% 10/31/24 75,000   79,183  
  United States Treasury Note/Bond 1.500% 11/30/24 138,000   145,805  
  United States Treasury Note/Bond 1.750% 12/31/24 75,000   80,144  
  United States Treasury Note/Bond 1.375% 1/31/25 150,000   157,921  
  United States Treasury Note/Bond 2.000% 2/15/25 32,000   34,600  
  United States Treasury Note/Bond 1.125% 2/28/25 184,830   192,685  
  United States Treasury Note/Bond 2.875% 4/30/25 16,000   18,015  
  United States Treasury Note/Bond 2.125% 5/15/25 68,000   74,184  
  United States Treasury Note/Bond 0.250% 5/31/25 49,000   49,107  
  United States Treasury Note/Bond 2.750% 6/30/25 30,000   33,703  
  United States Treasury Note/Bond 2.000% 8/15/25 149,250   162,450  
  United States Treasury Note/Bond 3.000% 9/30/25 48,400   55,252  
  United States Treasury Note/Bond 2.250% 11/15/25 86,500   95,556  
  United States Treasury Note/Bond 2.875% 11/30/25 45,000   51,237  
  United States Treasury Note/Bond 2.625% 12/31/25 63,500   71,557  
  United States Treasury Note/Bond 1.625% 2/15/26 198,384   213,047  
  United States Treasury Note/Bond 6.000% 2/15/26 17,000   22,328  
  United States Treasury Note/Bond 2.250% 3/31/26 90,450   100,414  
  United States Treasury Note/Bond 1.625% 5/15/26 64,000   68,870  
  United States Treasury Note/Bond 2.125% 5/31/26 66,000   72,950  
  United States Treasury Note/Bond 1.875% 6/30/26 60,000   65,494  
  United States Treasury Note/Bond 1.875% 7/31/26 55,000   60,079  
  United States Treasury Note/Bond 1.500% 8/15/26 83,000   88,836  
  United States Treasury Note/Bond 1.375% 8/31/26 96,500   102,591  
  United States Treasury Note/Bond 1.625% 9/30/26 87,000   93,851  

 

40

 

 

Intermediate-Term Treasury Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
  United States Treasury Note/Bond 2.000% 11/15/26 259,000   285,628  
  United States Treasury Note/Bond 6.500% 11/15/26 5,000   6,920  
  United States Treasury Note/Bond 1.625% 11/30/26 32,000   34,560  
  United States Treasury Note/Bond 1.750% 12/31/26 230,000   250,341  
  United States Treasury Note/Bond 2.250% 2/15/27 98,000   109,944  
  United States Treasury Note/Bond 6.625% 2/15/27 7,000   9,834  
  United States Treasury Note/Bond 1.125% 2/28/27 44,000   46,166  
  United States Treasury Note/Bond 0.625% 3/31/27 78,000   79,280  
  United States Treasury Note/Bond 0.500% 4/30/27 88,000   88,701  
  United States Treasury Note/Bond 2.375% 5/15/27 123,000   139,451  
  United States Treasury Note/Bond 0.500% 5/31/27 70,000   70,536  
  United States Treasury Note/Bond 2.250% 8/15/27 137,000   154,661  
  United States Treasury Note/Bond 2.250% 11/15/27 50,000   56,610  
1 United States Treasury Note/Bond 6.125% 11/15/27 14,000   19,775  
  United States Treasury Note/Bond 2.750% 2/15/28 112,000   131,320  
  United States Treasury Note/Bond 5.500% 8/15/28 10,000   13,991  
  United States Treasury Note/Bond 3.125% 11/15/28 89,500   108,854  
  United States Treasury Note/Bond 5.250% 11/15/28 19,500   27,108  
  United States Treasury Note/Bond 2.625% 2/15/29 173,000   204,033  
  United States Treasury Note/Bond 5.250% 2/15/29 10,000   14,003  
  United States Treasury Note/Bond 1.625% 8/15/29 14,000   15,396  
  United States Treasury Note/Bond 1.750% 11/15/29 20,500   22,822  
  United States Treasury Note/Bond 1.500% 2/15/30 147,000   160,414  
  United States Treasury Note/Bond 0.625% 5/15/30 219,250   221,030  
            6,288,542  
Agency Bonds and Notes (1.3%)            
2 AID-Israel 0.000% 11/1/24 50,000   48,604  
2 AID-Israel 0.000% 8/15/25 7,929   7,637  
  Private Export Funding Corp. 4.300% 12/15/21 4,150   4,373  
  Private Export Funding Corp. 3.550% 1/15/24 10,300   11,377  
  Resolution Funding Corp. 0.000% 1/15/28 7,800   7,233  
  Resolution Funding Corp. Interest Strip 0.000% 10/15/27 12,004   11,216  
  Resolution Funding Corp. Interest Strip 0.000% 4/15/28 5,560   5,139  
            95,579  
Conventional Mortgage-Backed Securities (5.8%)          
3,4 Fannie Mae Pool 3.000% 11/1/49–1/1/50 47,908   49,901  
3,4 Fannie Mae Pool 3.500% 1/1/49–8/1/49 16,023   16,400  
3,4 Fannie Mae Pool 4.000% 2/1/49–10/1/49 19,279   20,099  
3,4 Fannie Mae Pool 4.500% 9/1/48–11/1/49 18,416   19,345  
3,4 Fannie Mae Pool 5.000% 2/1/44 2,641   3,094  
3,4 Freddie Mac Gold Pool 4.500% 1/1/49 1,637   1,730  
¤,3 Ginnie Mae 2.500% 9/1/50 56,500   59,552  
¤,3 Ginnie Mae II Pool 2.000% 8/1/50–9/1/50 49,000   51,175  
3 Ginnie Mae II Pool 2.500% 6/1/50–8/1/50 —   —  
3 Ginnie Mae II Pool 3.000% 9/20/49 6,428   6,707  
3 UMBS Pool 2.000% 8/1/50–9/1/50 61,000   63,069  
¤,3 UMBS Pool 2.500% 8/1/50–9/1/50 113,000   118,531  
3 UMBS Pool 3.000% 11/1/49 17,469   18,228  
3 UMBS Pool 5.000% 3/1/42 2,118   2,454  
            430,285  
Nonconventional Mortgage-Backed Securities (4.9%)          
3,4 Fannie Mae REMICS 1.750% 7/25/41–3/25/46 56,179   57,441  
3,4 Fannie Mae REMICS 1.850% 8/25/46 17,271   17,916  

 

41

 

 

Intermediate-Term Treasury Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
3,4 Fannie Mae REMICS 2.125% 10/25/42 5,436   5,519  
3,4 Fannie Mae REMICS 2.250% 10/25/43 8,413   8,690  
3,4 Fannie Mae REMICS 2.500% 9/25/49–12/25/49 20,922   22,092  
3,4 Fannie Mae REMICS 3.000% 2/25/43–9/25/49 16,397   17,290  
3,4 Fannie Mae REMICS 3.500% 3/25/43–7/25/48 9,065   9,915  
3,4 Fannie Mae REMICS 4.000% 12/25/47–10/25/48 3,611   4,069  
3,4 Freddie Mac REMICS 2.250% 7/15/44 8,218   8,507  
3,4 Freddie Mac REMICS 2.500% 2/25/50 13,205   13,940  
3,4 Freddie Mac REMICS 3.000% 12/15/47 4,250   4,660  
3,4 Freddie Mac REMICS 3.500% 4/15/38–3/25/50 27,598   29,509  
3,4 Freddie Mac REMICS 4.000% 1/15/48–5/15/49 84,348   94,327  
3 Ginnie Mae REMICS 1.500% 10/20/45 32,299   32,547  
3 Ginnie Mae REMICS 2.500% 11/20/47 9,016   9,657  
3 Ginnie Mae REMICS 2.750% 1/20/46 7,514   7,695  
3 Ginnie Mae REMICS 3.000% 12/20/44–2/20/48 12,450   13,484  
3 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 4,550   5,066  
            362,324  
Total U.S. Government and Agency Obligations (Cost $6,941,937)     7,176,730  
Asset-Backed/Commercial Mortgage-Backed Securities (5.1%)        
3,4 Freddie Mac Strip 2017-357 2.500% 9/15/47 27,772   29,478  
3 Small Business Administration Participation Certs 2017-20 2.780% 12/1/37 2,764   2,994  
3 Small Business Administration Participation Certs 2017-20 3.310% 4/1/38 32,492   36,077  
3 Small Business Administration Participation Certs 2017-20 3.600% 6/1/38 16,675   18,858  
3 Small Business Administration Participation Certs 2017-20 3.370% 1/1/39 10,520   11,590  
3 Small Business Administration Participation Certs 2018-20 2.920% 1/1/38 14,299   15,788  
3 Small Business Administration Participation Certs 2018-20 3.220% 2/1/38 23,067   25,621  
3 Small Business Administration Participation Certs 2018-20C 3.200% 3/1/38 46,983   51,801  
3 Small Business Administration Participation Certs 2018-20E 3.500% 5/1/38 9,455   10,619  
3 Small Business Administration Participation Certs 2018-20J 3.770% 10/1/38 29,790   33,888  
3 Small Business Administration Participation Certs 2018-20J 2.690% 7/1/44 13,511   14,673  
3 Small Business Administration Participation Certs 2018-20k 3.870% 11/1/38 19,775   22,670  
3 Small Business Administration Participation Certs 2018-20L 3.540% 12/1/38 25,645   28,505  
3 Small Business Administration Participation Certs 2018-25F 3.670% 12/1/43 2,456   2,783  
3 Small Business Administration Participation Certs 2019-20C 3.200% 3/1/39 10,634   11,683  
3 Small Business Administration Participation Certs 2019-25E 3.070% 5/1/44 7,923   8,784  
3 Small Business Administration Participation Certs 2019-25F 2.770% 6/1/44 12,925   14,106  

 

42

 

 

Intermediate-Term Treasury Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
3 Small Business Administration Participation Certs 2019-25H 2.310% 8/1/44 14,684   15,656  
3 Small Business Administration Participation Certs 2019-25K 2.480% 11/1/44 10,083   10,871  
3 Small Business Administration Participation Certs 2019-25L 2.380% 12/1/44 7,975   8,541  
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $340,330)     374,986  
               
        Shares      
Temporary Cash Investment (2.0%)            
Money Market Fund (2.0%)            
5 Vanguard Market Liquidity Fund
(Cost $149,563)		 0.194%   1,495,658   149,566  
Total Investments (104.1%) (Cost $7,431,830)         7,701,282  
Other Assets and Liabilities—Net (-4.1%)         (306,486 )
Net Assets (100%)         7,394,796  

 

Cost is in $000.

•See Note A in Notes to Financial Statements.
¤Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2020.
1Securities with a value of $4,704,000 have been segregated as initial margin for open futures contracts.
2U.S. government-guaranteed.
3The 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.
4The 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.
5Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

 

43

 

 

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 9/25/20 821 $141.00 115,761   (269 )
Total Options Written (Premiums Received $219)         (269 )

 

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 September 2020 5,249   662,030   2,839  
               
Short Futures Contracts              
2-Year U.S. Treasury Note September 2020 (2,251 ) (497,436 ) (698 )
Ultra 10-Year U.S. Treasury Note September 2020 (778 ) (123,897 ) (2,422 )
Ultra Long U.S. Treasury Bond September 2020 (363 ) (82,651 ) (3,400 )
10-Year U.S. Treasury Note September 2020 (405 ) (56,732 ) 8  
            (6,512 )
            (3,673 )

 

 

 

 

 

 

 

 

 

 

 

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

 

44

 

 

Intermediate-Term Treasury Fund

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts) Amount  
Assets    
Investments in Securities, at Value    
Unaffiliated Issuers (Cost $7,282,267) 7,551,716  
Affiliated Issuers (Cost $149,563) 149,566  
Total Investments in Securities 7,701,282  
Investment in Vanguard 329  
Cash 77  
Receivables for Investment Securities Sold 434,793  
Receivables for Accrued Income 32,163  
Receivables for Capital Shares Issued 7,723  
Variation Margin Receivable—Futures Contracts 415  
Other Assets 138  
Total Assets 8,176,920  
Liabilities    
Payables for Investment Securities Purchased 775,564  
Payables for Capital Shares Redeemed 4,759  
Payables for Distributions 939  
Payables to Vanguard 413  
Options Written, at Value (Premiums Received $219) 269  
Variation Margin Payable—Futures Contracts 180  
Total Liabilities 782,124  
Net Assets 7,394,796  
     
     
At July 31, 2020, net assets consisted of:    
     
Paid-in Capital 6,907,442  
Total Distributable Earnings (Loss) 487,354  
Net Assets 7,394,796  
     
Investor Shares—Net Assets    
Applicable to 88,374,101 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,079,225  
Net Asset Value Per Share—Investor Shares $12.21  
     
Admiral Shares—Net Assets    
Applicable to 517,160,612 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 6,315,571  
Net Asset Value Per Share—Admiral Shares $12.21  

 

 

 

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

 

45

 

 

Intermediate-Term Treasury Fund

 

 

 

Statement of Operations

 

  Six Months Ended  
  July 31, 2020  
  ($000 )
Investment Income    
Income    
Interest1 50,740  
Total Income 50,740  
Expenses    
The Vanguard Group—Note B    
Investment Advisory Services 362  
Management and Administrative—Investor Shares 835  
Management and Administrative—Admiral Shares 2,391  
Marketing and Distribution—Investor Shares 61  
Marketing and Distribution—Admiral Shares 197  
Custodian Fees 23  
Shareholders’ Reports—Investor Shares 56  
Shareholders’ Reports—Admiral Shares 61  
Trustees’ Fees and Expenses 3  
Total Expenses 3,989  
Net Investment Income 46,751  
Realized Net Gain (Loss)    
Investment Securities Sold1 299,476  
Futures Contracts 10,221  
Options Purchased 2,594  
Options Written 204  
Realized Net Gain (Loss) 312,495  
Change in Unrealized Appreciation (Depreciation)    
Investment Securities1 54,158  
Futures Contracts (1,556 )
Options Purchased 130  
Options Written 264  
Change in Unrealized Appreciation (Depreciation) 52,996  
Net Increase (Decrease) in Net Assets Resulting from Operations 412,242  

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $368,000, ($102,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

 

 

 

 

 

 

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

 

46

 

 

Intermediate-Term Treasury Fund

 

 

Statement of Changes in Net Assets

 

  Six Months Ended   Year Ended
  July 31,   January 31,
  2020   2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 46,751   141,945
Realized Net Gain (Loss) 312,495   168,571
Change in Unrealized Appreciation (Depreciation) 52,996   156,723
Net Increase (Decrease) in Net Assets Resulting from Operations 412,242   467,239
Distributions1      
Investor Shares (6,345)   (19,628)
Admiral Shares (40,532)   (122,275)
Total Distributions (46,877)   (141,903)
Capital Share Transactions      
Investor Shares 109,870   33,277
Admiral Shares 551,408   196,463
Net Increase (Decrease) from Capital Share Transactions 661,278   229,740
Total Increase (Decrease) 1,026,643   555,076
Net Assets      
Beginning of Period 6,368,153   5,813,077
End of Period 7,394,796   6,368,153

1Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

47

 

 

Intermediate-Term Treasury Fund

 

 

Financial Highlights

 

 

Investor Shares                
                 
  Six Months              
  Ended              
For a Share Outstanding July 31,   Year Ended January 31,  
Throughout Each Period 2020   2020 2019 2018 2017 2016  
Net Asset Value, Beginning of Period $11.57   $10.96 $10.88 $11.11 $11.51 $11.66  
Investment Operations                
Net Investment Income .0751   .2551 .2601 .1981 .177 .188  
Net Realized and Unrealized Gain (Loss) on Investments .641   .611 .081 (.230) (.271) (.057)  
Total from Investment Operations .716   .866 .341 (.032) (.094) .131  
Distributions                
Dividends from Net Investment Income (.076)   (.256) (.261) (.198) (.177) (.188)  
Distributions from Realized Capital Gains —   — — — (.129) (.093)  
Total Distributions (.076)   (.256) (.261) (.198) (.306) (.281)  
Net Asset Value, End of Period $12.21   $11.57 $10.96 $10.88 $11.11 $11.51  
                 
Total Return2 6.20%   7.98% 3.20% -0.31% -0.84% 1.17%  
                 
Ratios/Supplemental Data                
Net Assets, End of Period (Millions) $1,079   $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% 0.20%  
Ratio of Net Investment Income to Average Net Assets 1.25%   2.27% 2.42% 1.78% 1.53% 1.64%  
Portfolio Turnover Rate3 167%   214% 231% 181% 152% 142%  

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 7%, 5%, 35%, 6%, 3%, and 34% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

48

 

 

Intermediate-Term Treasury Fund

 

 

Financial Highlights

 

 

Admiral Shares                
                 
  Six Months              
  Ended              
For a Share Outstanding July 31,   Year Ended January 31,  
Throughout Each Period 2020   2020 2019 2018 2017 2016  
Net Asset Value, Beginning of Period $11.57   $10.96 $10.88 $11.11 $11.51 $11.66  
Investment Operations                
Net Investment Income .0811   .2671 .2721 .2101 .188 .199  
Net Realized and Unrealized Gain (Loss) on Investments .641   .610 .080 (.230) (.271) (.057)  
Total from Investment Operations .722   .877 .352 (.020) (.083) .142  
Distributions                
Dividends from Net Investment Income (.082)   (.267) (.272) (.210) (.188) (.199)  
Distributions from Realized Capital Gains —   — — — (.129) (.093)  
Total Distributions (.082)   (.267) (.272) (.210) (.317) (.292)  
Net Asset Value, End of Period $12.21   $11.57 $10.96 $10.88 $11.11 $11.51  
                 
Total Return2 6.25%   8.09% 3.30% -0.21% -0.74% 1.27%  
                 
Ratios/Supplemental Data                
Net Assets, End of Period (Millions) $6,316   $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% 0.10%  
Ratio of Net Investment Income to Average Net Assets 1.36%   2.37% 2.52% 1.88% 1.63% 1.74%  
Portfolio Turnover Rate3 167%   214% 231% 181% 152% 142%  

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 7%, 5%, 35%, 6%, 3%, and 34% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

49

 

 

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.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 9% and 8% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

 

50

 

 

Intermediate-Term Treasury Fund

 

 

 

 

 

3. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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.

 

Options contracts on futures are 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 six months ended July 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.

 

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 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.

 

At July 31, 2020, counterparties had deposited in segregated accounts securities with a value of $1,788,000 and cash of $2,145,000 in connection with TBA transactions.

 

51

 

 

Intermediate-Term Treasury Fund

 

 

 

 

 

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. 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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

8. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending

 

52

 

 

Intermediate-Term Treasury Fund

 

 

 

 

 

Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

9. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $329,000, representing less than 0.01% of the fund’s net assets and 0.13% 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 Schedule of Investments.

 

53

 

 

Intermediate-Term Treasury Fund

 

 

 

 

 

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

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 7,176,730 — 7,176,730
Asset-Backed/Commercial Mortgage-Backed Securities — 374,986 — 374,986
Temporary Cash Investments 149,566 — — 149,566
Total 149,566 7,551,716 — 7,701,282
Derivative Financial Instruments        
Assets        
Futures Contracts1 415 — — 415
Liabilities        
Options Written 269 — — 269
Futures Contracts1 180 — — 180
Total 449 — — 449

 

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

 

D. As of July 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 7,436,045
Gross Unrealized Appreciation 271,567
Gross Unrealized Depreciation (10,053)
Net Unrealized Appreciation (Depreciation) 261,514

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $89,173,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

E. During the six months ended July 31, 2020, the fund purchased $12,867,522,000 of investment securities and sold $11,676,990,000 of investment securities, other than temporary cash investments.

 

54

 

 

Intermediate-Term Treasury Fund

 

 

 

 

 

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

 

  Six Months Ended     Year Ended
  July 31, 2020   January 31, 2020
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 294,181 24,499   232,837 20,585
Issued in Lieu of Cash Distributions 5,826 483   17,969 1,591
Redeemed (190,137) (15,833)   (217,529) (19,329)
Net Increase (Decrease)—Investor Shares 109,870 9,149   33,277 2,847
Admiral Shares          
Issued 1,967,186 163,783   1,426,848 126,322
Issued in Lieu of Cash Distributions 33,713 2,798   102,003 9,033
Redeemed (1,449,491) (120,603)   (1,332,388) (118,220)
Net Increase (Decrease)—Admiral Shares 551,408 45,978   196,463 17,135

 

 

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

 

55

 

 

Long-Term Treasury Fund

 

 

Fund Allocation

As of July 31, 2020

 

Agency Bonds and Notes 6.4%
Government Mortgage-Backed Securities 9.7
U.S. Government Securities 83.9

 

The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

56

 

 

Long-Term Treasury Fund

 

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments

As of July 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 (100.1%)
U.S. Government Securities (84.0%)        
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/30 48,000 53,058
  United States Treasury Note/Bond 4.750% 2/15/37 12,500 20,307
  United States Treasury Note/Bond 4.375% 2/15/38 2,122 3,370
  United States Treasury Note/Bond 3.500% 2/15/39 15,000 21,762
  United States Treasury Note/Bond 4.250% 5/15/39 15,000 23,754
  United States Treasury Note/Bond 4.500% 8/15/39 28,467 46,467
  United States Treasury Note/Bond 4.375% 11/15/39 42,000 67,751
  United States Treasury Note/Bond 4.625% 2/15/40 44,700 74,370
  United States Treasury Note/Bond 1.125% 5/15/40 200,950 206,287
  United States Treasury Note/Bond 4.375% 5/15/40 33,111 53,728
  United States Treasury Note/Bond 3.875% 8/15/40 63,191 96,870
  United States Treasury Note/Bond 4.750% 2/15/41 37,917 64,726
  United States Treasury Note/Bond 4.375% 5/15/41 14,963 24,513
  United States Treasury Note/Bond 3.750% 8/15/41 42,271 64,331
  United States Treasury Note/Bond 3.000% 5/15/42 9,149 12,626
  United States Treasury Note/Bond 3.125% 2/15/43 72,211 101,636
  United States Treasury Note/Bond 2.875% 5/15/43 152,046 206,474
  United States Treasury Note/Bond 3.625% 8/15/43 50,164 76,007
  United States Treasury Note/Bond 3.750% 11/15/43 72,157 111,392
  United States Treasury Note/Bond 3.625% 2/15/44 101,548 154,337
  United States Treasury Note/Bond 3.125% 8/15/44 72,849 103,366
  United States Treasury Note/Bond 3.000% 11/15/44 90,901 126,721
  United States Treasury Note/Bond 3.000% 5/15/45 35,505 49,652
  United States Treasury Note/Bond 2.875% 8/15/45 62,763 86,172
  United States Treasury Note/Bond 3.000% 11/15/45 13,619 19,117
  United States Treasury Note/Bond 2.500% 2/15/46 73,795 95,426
  United States Treasury Note/Bond 2.500% 5/15/46 22,510 29,157
  United States Treasury Note/Bond 2.250% 8/15/46 84,500 104,780
  United States Treasury Note/Bond 2.875% 11/15/46 67,469 93,539
  United States Treasury Note/Bond 3.000% 2/15/47 125,998 178,858
  United States Treasury Note/Bond 3.000% 5/15/47 49,137 69,827
1 United States Treasury Note/Bond 2.750% 8/15/47 84,117 114,768
  United States Treasury Note/Bond 2.750% 11/15/47 51,490 70,388
  United States Treasury Note/Bond 3.000% 2/15/48 76,304 109,091
  United States Treasury Note/Bond 3.125% 5/15/48 84,462 123,525

 

57

 

 

Long-Term Treasury Fund

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  United States Treasury Note/Bond 3.000% 8/15/48 87,333 125,377
  United States Treasury Note/Bond 3.375% 11/15/48 118,561 181,658
  United States Treasury Note/Bond 3.000% 2/15/49 128,440 185,155
1 United States Treasury Note/Bond 2.875% 5/15/49 134,861 190,660
  United States Treasury Note/Bond 2.250% 8/15/49 120,000 151,181
  United States Treasury Note/Bond 2.375% 11/15/49 115,900 149,910
  United States Treasury Note/Bond 2.000% 2/15/50 117,500 141,110
  United States Treasury Note/Bond 1.250% 5/15/50 135,000 136,646
          4,119,850
Agency Bonds and Notes (6.4%)        
2 Fannie Mae Interest Strip 0.000% 5/15/29 4,592 4,174
2 Fannie Mae Principal Strip 0.000% 5/15/30 60,829 54,323
  Federal Home Loan Banks 1.750% 3/8/30 10,970 11,805
2 Federal Home Loan Mortgage Corp. 0.000% 12/14/29 20,000 18,031
2 Federal Home Loan Mortgage Corp. 6.250% 7/15/32 12,000 18,974
2 Federal National Mortgage Assn. 0.000% 11/15/30 55,000 48,734
2 Federal National Mortgage Assn. 6.625% 11/15/30 9,500 14,758
2 Freddie Mac Coupon Strip 0.000% 3/15/28 1,771 1,648
2 Freddie Mac Coupon Strip 0.000% 9/15/28 1,000 922
2 Freddie Mac Coupon Strip 0.000% 1/15/30 15,658 14,050
2 Freddie Mac Coupon Strip 0.000% 3/15/30 12,896 11,550
2 Freddie Mac Principal Strip 0.000% 3/15/31 75,000 65,917
  Resolution Funding Corp. Interest Strip 0.000% 4/15/28 21,802 20,151
  Resolution Funding Corp. Principal Strip 0.000% 1/15/30 30,000 26,845
          311,882
Conventional Mortgage-Backed Securities (3.9%)      
2,3 Fannie Mae Pool 3.000% 12/1/49–1/1/50 15,928 16,534
2,3 Fannie Mae Pool 3.500% 1/1/45–7/1/49 16,486 17,335
2,3 Fannie Mae Pool 4.000% 12/1/46–8/1/49 24,106 25,443
2,3 Fannie Mae Pool 4.500% 7/1/47–7/1/49 35,019 38,720
2,3 Fannie Mae Pool 6.000% 2/1/26–11/1/28 7 7
3 Ginnie Mae II Pool 3.000% 9/20/49–11/20/49 11,970 12,493
2,3,4 UMBS Pool 2.000% 9/1/50 50,000 51,696
2,3 UMBS Pool 3.500% 2/1/49–8/1/49 18,048 19,481
2,3 UMBS Pool 4.500% 8/1/49 9,320 10,142
          191,851
Nonconventional Mortgage-Backed Securities (5.8%)      
2,3 Fannie Mae REMICS 3.000% 10/25/33–12/25/49 141,563 152,520
2,3 Fannie Mae REMICS 3.500% 3/25/43–7/25/48 28,947 32,904
2,3 Fannie Mae REMICS 4.000% 10/25/48 699 787
2,3 Freddie Mac REMICS 3.000% 1/15/47–12/15/47 33,549 36,367
2,3 Freddie Mac REMICS 3.500% 2/15/48 12,513 14,319
2,3 Freddie Mac REMICS 4.000% 5/15/48–9/15/48 31,062 34,489
3 Ginnie Mae REMICS 3.000% 12/20/44–8/20/46 8,800 9,703
3 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 3,700 4,120
3 Ginnie Mae REMICS 4.000% 10/20/47 1,142 1,224
          286,433
Total U.S. Government and Agency Obligations (Cost $4,057,849)   4,910,016

 

58

 

 

Long-Term Treasury Fund

 

      Market
      Value•
  Coupon Shares ($000)
Temporary Cash Investment (1.7%)      
Money Market Fund (1.7%)      

5

Vanguard Market Liquidity Fund
(Cost $81,227)

 0.194% 812,272 81,227
Total Investments (101.8%) (Cost $4,139,076)     4,991,243
Other Assets and Liabilities–Net (-1.8%)     (87,445)
Net Assets (100%)     4,903,798

 

Cost is in $000.

•See Note A in Notes to Financial Statements.
1Securities with a value of $27,305,000 have been segregated as initial margin for open futures contracts.
2The 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.
3The 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.
4Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2020.
5Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REMICS—Real Estate Mortgage Investment Conduits.
UMBS—Uniform Mortgage-Backed Securities.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59

 

 

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 9/25/20 535 $141.00 75,435 (175 )
Total Options Written (Premiums Received $143)         (175 )

 

 

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 September 2020 2,148   489,073   17,115  
30-Year U.S. Treasury Bond September 2020 1,581   288,186   7,775  
5-Year U.S. Treasury Note September 2020 193   24,342   —  
            24,890  
               
Short Futures Contracts              
Ultra 10-Year U.S. Treasury Note September 2020 (3,129 ) (498,293 ) (7,676 )
2-Year U.S. Treasury Note September 2020 (691 ) (152,700 ) (250 )
10-Year U.S. Treasury Note September 2020 (754 ) (105,619 ) (678 )
            (8,604 )
            16,286  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

60

 

 

Long-Term Treasury Fund

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value
Unaffiliated Issuers (Cost $4,057,849) 4,910,016
Affiliated Issuers (Cost $81,227) 81,227
Total Investments in Securities 4,991,243
Investment in Vanguard 206
Cash 383
Receivables for Investment Securities Sold 163,841
Receivables for Accrued Income 31,940
Receivables for Capital Shares Issued 8,891
Variation Margin Receivable—Futures Contracts 362
Other Assets 52
Total Assets 5,196,918
Liabilities
Payables for Investment Securities Purchased 285,918
Payables for Capital Shares Redeemed 4,870
Payables for Distributions 889
Payables to Vanguard 294
Options Written, at Value (Premiums Received $143) 175
Variation Margin Payable—Futures Contracts 974
Total Liabilities 293,120
Net Assets 4,903,798
 
 
At July 31, 2020, net assets consisted of:
 
Paid-in Capital 3,668,390
Total Distributable Earnings (Loss) 1,235,408
Net Assets 4,903,798
 
Investor Shares—Net Assets
Applicable to 73,364,754 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,194,502
Net Asset Value Per Share—Investor Shares $16.28
 
Admiral Shares—Net Assets
Applicable to 227,819,920 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 3,709,296
Net Asset Value Per Share—Admiral Shares $16.28

 

 

 

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

 

61

 

 

Long-Term Treasury Fund

 

 

Statement of Operations

 

 

  Six Months Ended
  July 31, 2020
  ($000)
Investment Income  
Income  
Interest1 46,944
Total Income 46,944
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 233
Management and Administrative—Investor Shares 914
Management and Administrative—Admiral Shares 1,363
Marketing and Distribution—Investor Shares 61
Marketing and Distribution—Admiral Shares 112
Custodian Fees 16
Shareholders’ Reports—Investor Shares 65
Shareholders’ Reports—Admiral Shares 46
Trustees’ Fees and Expenses 2
Total Expenses 2,812
Net Investment Income 44,132
Realized Net Gain (Loss)  
Investment Securities Sold1 340,216
Futures Contracts 33,969
Options Purchased 1,640
Options Written 134
Realized Net Gain (Loss) 375,959
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 300,663
Futures Contracts 7,510
Options Purchased 81
Options Written 159
Change in Unrealized Appreciation (Depreciation) 308,413
Net Increase (Decrease) in Net Assets Resulting from Operations 728,504

 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $192,000, $48,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

 

 

 

 

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

 

62

 

 

Long-Term Treasury Fund

 

 

Statement of Changes in Net Assets

 

 

  Six Months Ended   Year Ended  
  July 31,   January 31,  
  2020   2020  
  ($000 ) ($000 )
Increase (Decrease) in Net Assets        
Operations        
Net Investment Income 44,132   97,090  
Realized Net Gain (Loss) 375,959   149,853  
Change in Unrealized Appreciation (Depreciation) 308,413   490,876  
Net Increase (Decrease) in Net Assets Resulting from Operations 728,504   737,819  
Distributions1        
Investor Shares (19,651 ) (25,091 )
Admiral Shares (62,561 ) (82,450 )
Total Distributions (82,212 ) (107,541 )
Capital Share Transactions        
Investor Shares 66,409   29,041  
Admiral Shares 148,895   56,913  
Net Increase (Decrease) from Capital Share Transactions 215,304   85,954  
Total Increase (Decrease) 861,596   716,232  
Net Assets        
Beginning of Period 4,042,202   3,325,970  
End of Period 4,903,798   4,042,202  

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

63

 

 

Long-Term Treasury Fund

 

 

Financial Highlights

 

 

Investor Shares              
               
  Six Months            
  Ended            
For a Share Outstanding July 31,       Year Ended January 31,
Throughout Each Period 2020   2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $14.05   $11.86 $11.96 $11.79 $12.80 $14.19
Investment Operations              
Net Investment Income .1441   .3311 .3341 .3281 .332 .351
Net Realized and Unrealized Gain (Loss) on Investments 2.362   2.226 (.100) .170 (.725) (1.070)
Total from Investment Operations 2.506   2.557 .234 .498 (.393) (.719)
Distributions              
Dividends from Net Investment Income (.144)   (.331) (.334) (.328) (.332) (.351)
Distributions from Realized Capital Gains (.132)   (.036) — — (.285) (.320)
Total Distributions (.276)   (.367) (.334) (.328) (.617) (.671)
Net Asset Value, End of Period $16.28   $14.05 $11.86 $11.96 $11.79 $12.80
               
Total Return2 17.92%   21.84% 2.05% 4.21% -3.21% -4.91%
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $1,195   $971 $794 $882 $995 $1,148
Ratio of Total Expenses to Average Net Assets 0.20%   0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.87%   2.55% 2.89% 2.70% 2.53% 2.76%
Portfolio Turnover Rate3 79%   96%4 122% 103%4 94% 117%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 7%, 4%, 34%, 6%, 3%, and 36% attributable to mortgage-dollar-roll activity.
4Excludes 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.

 

64

 

 

Long-Term Treasury Fund

 

 

Financial Highlights

 

 

Admiral Shares              
               
  Six Months            
  Ended            
For a Share Outstanding July 31,       Year Ended January 31,
Throughout Each Period 2020   2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $14.05   $11.86 $11.96 $11.79 $12.80 $14.19
Investment Operations              
Net Investment Income .1521   .3441 .3461 .3401 .345 .363
Net Realized and Unrealized Gain (Loss) on Investments 2.362   2.226 (.100) .170 (.725) (1.070)
Total from Investment Operations 2.514   2.570 .246 .510 (.380) (.707)
Distributions              
Dividends from Net Investment Income (.152)   (.344) (.346) (.340) (.345) (.363)
Distributions from Realized Capital Gains (.132)   (.036) — — (.285) (.320)
Total Distributions (.284)   (.380) (.346) (.340) (.630) (.683)
Net Asset Value, End of Period $16.28   $14.05 $11.86 $11.96 $11.79 $12.80
               
Total Return2 17.98%   21.96% 2.16% 4.32% -3.12% -4.81%
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $3,709   $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% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.97%   2.65% 2.99% 2.80% 2.63% 2.86%
Portfolio Turnover Rate3 79%   96%4 122% 103%4 94% 117%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 7%, 4%, 34%, 6%, 3%, and 36% attributable to mortgage-dollar-roll activity.
4Excludes 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.

 

65

 

 

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.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

66

 

 

Long-Term Treasury Fund

 

 

 

 

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 13% and 10% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

 

3. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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.

 

Options contracts on futures are 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 six months ended July 31, 2020, the fund’s average value of investments in options purchased and options written each represented less than 1% net assets, respectively, based on the average market values 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 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.

 

67

 

 

Long-Term Treasury Fund

 

 

 

 

 

At July 31, 2020, a counterparty had deposited in segregated accounts securities with a value of $303,000 in connection with TBA transactions.

 

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. 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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

8. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

68

 

 

Long-Term Treasury Fund

 

 

 

 

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

9. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $206,000, representing less than 0.01% of the fund’s net assets and 0.08% 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.

 

69

 

 

Long-Term Treasury Fund

 

 

 

 

 

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

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

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

 

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

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 4,910,016 — 4,910,016
Temporary Cash Investments 81,227 — — 81,227
Total 81,227 4,910,016 — 4,991,243
Derivative Financial Instruments        
Assets        
Futures Contracts1 362 — — 362
Liabilities        
Options Written 175 — — 175
Futures Contracts1 974 — — 974
Total 1,149 — — 1,149

 

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

 

D. As of July 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 4,139,347
Gross Unrealized Appreciation 879,563
Gross Unrealized Depreciation (11,556)
Net Unrealized Appreciation (Depreciation) 868,007

 

E. During the six months ended July 31, 2020, the fund purchased $3,940,626,000 of investment securities and sold $3,511,676,000 of investment securities, other than temporary cash investments.

 

70

 

 

Long-Term Treasury Fund

 

 

 

 

 

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

 

  Six Months Ended     Year Ended
  July 31, 2020   January 31, 2020
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 333,916 21,658   260,097 19,936
Issued in Lieu of Cash Distributions 18,356 1,173   23,396 1,791
Redeemed (285,863) (18,612)   (254,452) (19,530)
Net Increase (Decrease)—Investor Shares 66,409 4,219   29,041 2,197
Admiral Shares          
Issued 1,124,185 72,874   902,904 69,193
Issued in Lieu of Cash Distributions 54,546 3,486   71,329 5,465
Redeemed (1,029,836) (67,182)   (917,320) (69,588)
Net Increase (Decrease)—Admiral Shares 148,895 9,178   56,913 5,070

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

71

 

 

Trustees Approve Advisory Arrangements

 

 

The board of trustees of Vanguard Short-Term Treasury Fund, Vanguard Intermediate-Term Treasury Fund, Vanguard Long-Term Treasury Fund, and Vanguard Short-Term Federal Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.

 

The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

 

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

 

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

 

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.

 

Nature, extent, and quality of services

 

The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades and has advised the Short-Term Treasury, Intermediate-Term Treasury, Long-Term Treasury, and Short-Term Federal Funds since their inceptions. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

 

The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.

 

Investment performance

 

The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue.

 

72

 

 

Cost

 

The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate or expenses were also well below the peer-group average.

 

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.

 

The benefit of economies of scale

 

The board concluded that the Short-Term Treasury, Intermediate-Term Treasury, Long-Term Treasury, and Short-Term Federal Funds’ arrangements with Vanguard ensure that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.

 

The board will consider whether to renew the advisory arrangements again after a one-year period.

 

73

 

 

Liquidity Risk Management

 

 

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

 

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

 

The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Short-Term Treasury Fund, Vanguard Short-Term Federal Fund, Vanguard Intermediate-Term Treasury Fund, and Vanguard Long-Term Treasury Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds’ liquidity risk.

 

74

 

 

This page intentionally left blank. 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This page intentionally left blank.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This page intentionally left blank.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

 

 

 

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.

 

 

 

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.

 

 

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
   
  Q322 092020

 

 

 

 

 

 

 

 

 

Semiannual Report  |  July 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  
   
About Your Fund’s Expenses 1
Short-Term Investment-Grade Fund 3
Intermediate-Term Investment-Grade Fund 42
Long-Term Investment-Grade Fund 72
Trustees Approve Advisory Arrangements 99
Liquidity Risk Management 101
Change to Vanguard Short-Term Investment-Grade Fund and Vanguard Intermediate-Term Investment-Grade Fund 102

 

 

 

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.

 

1

 

 

Six Months Ended July 31, 2020      
       
       
  Beginning Ending Expenses
  Account Value Account Value Paid During
  1/31/2020 7/31/2020 Period
Based on Actual Fund Return      
Short-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,030.83 $1.01
Admiral™ Shares 1,000.00 1,031.35 0.51
Institutional Shares 1,000.00 1,031.50 0.35
Intermediate-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,065.33 $1.03
Admiral Shares 1,000.00 1,065.86 0.51
Long-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,114.41 $1.16
Admiral Shares 1,000.00 1,114.95 0.63
Based on Hypothetical 5% Yearly Return      
Short-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50
Institutional Shares 1,000.00 1,024.52 0.35
Intermediate-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50
Long-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.77 $1.11
Admiral Shares 1,000.00 1,024.27 0.60

 

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 (182/366).

 

2

 

 

Short-Term Investment-Grade Fund

 

 

Fund Allocation

As of July 31, 2020

 

Asset-Backed/Commercial Mortgage-Backed Securities 17.4%
Common Stocks 0.1
Corporate Bonds—Finance 28.7
Corporate Bonds—Industrial 38.3
Corporate Bonds—Utilities 3.8
Sovereign Bonds 5.8
Taxable Municipal Bonds 0.1
U.S. Government and Agency Obligations 5.8

 

The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

3

 

 

Short-Term Investment-Grade Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments—Investments Summary

As of July 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 0.250% 6/15/23 500,000 501,795 0.8%
  United States Treasury Note/Bond 0.125% 7/15/23 400,000 400,064 0.6%
1 United States Treasury Note/Bond 1.500% 2/15/30 350,000 381,937 0.6%
  United States Treasury Note/Bond 0.375% 4/30/25 300,000 302,436 0.5%
  United States Treasury Note/Bond 1.500% 11/30/24 250,000 264,140 0.4%
  United States Treasury Note/Bond 1.375% 1/31/22 250,000 254,648 0.4%
  United States Treasury Note/Bond 0.500% 3/15/23 250,000 252,500 0.4%
1 United States Treasury Note/Bond 0.500% 3/31/25 150,000 152,063 0.3%
2 United States Treasury Note/Bond 0.500% 4/30/27 130,000 131,036 0.2%
3 United States Treasury Note/Bond 1.750% 12/31/26 120,000 130,613 0.2%
  United States Treasury Note/Bond 0.125%–1.125% 2/28/22–6/30/22 83,000 83,794 0.1%
          2,855,026 4.5%
Conventional Mortgage-Backed Securities        
¤,‡,4 UMBS Pool 2.000% 9/1/50 330,000 341,190 0.5%
             
Nonconventional Mortgage-Backed Securities †   458,867 0.7%
Total U.S. Government and Agency Obligations (Cost $3,612,429) 3,655,083 5.7%
Asset-Backed/Commercial Mortgage-Backed Securities      
4 AmeriCredit Automobile Receivables Trust 2016-3 2.710% 9/8/22 10,170 10,279 0.0%
4 AmeriCredit Automobile Receivables Trust 2018-2 4.010% 7/18/24 19,450 20,215 0.0%
4 AmeriCredit Automobile Receivables Trust 2019-1 3.620% 3/18/25 21,620 22,694 0.0%
4 AmeriCredit Automobile Receivables Trust 2020-2 0.970%–2.130% 2/18/26–3/18/26 21,390 21,413 0.0%
4,5 ARL Second LLC 2014-1A 2.920% 6/15/44 8,939 8,751 0.0%

 

4

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.429%–4.360% 9/15/48 17,016 18,149 0.0%
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.574% 2/15/50 4,760 5,329 0.0%
4 Banc of America Funding 2006-H Trust 3.750% 9/20/46 6,626 5,174 0.0%
4 Bank of America Mortgage Trust 2002-J 4.552% 9/25/32 15 15 0.0%
4 Capital One Auto Receivables Trust 2020-1 1.600% 11/15/24 141,500 144,293 0.2%
4 COMM 2012-CCRE2 Mortgage Trust 3.147%–3.791% 8/15/45 7,025 7,263 0.0%
4,5 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 12,316 12,561 0.0%
4 COMM 2012-CCRE4 Mortgage Trust 2.853%–3.251% 10/15/45 12,894 13,199 0.0%
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,640 2,728 0.0%
4 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 5,985 6,246 0.0%
4 COMM 2013-CCRE11 Mortgage Trust 3.983%–4.258% 8/10/50 57,291 62,429 0.1%
4 COMM 2013-CCRE12 Mortgage Trust 3.623%–4.046% 10/10/46 59,175 63,588 0.1%
4 COMM 2013-CCRE13 Mortgage Trust 4.194%–4.887% 11/10/46 30,874 32,855 0.1%
4,5 COMM 2013-CCRE6 Mortgage Trust 3.147%–3.397% 3/10/46 19,740 20,358 0.0%
4 COMM 2013-CCRE8 Mortgage Trust 3.334%–3.612% 6/10/46 41,979 44,673 0.1%
4,5 COMM 2013-CCRE9 Mortgage Trust 4.220%–4.244% 7/10/45 36,856 37,524 0.1%
4,5 COMM 2013-LC13 Mortgage Trust 3.774%–4.557% 8/10/46 39,084 41,936 0.1%
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,290 3,410 0.0%
4,5 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 11,600 11,391 0.0%
4,5 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 33,245 35,680 0.1%
4 COMM 2014-CCRE14 Mortgage Trust 3.955%–4.236% 2/10/47 20,910 22,859 0.0%
4 COMM 2014-CCRE15 Mortgage Trust 2.928%–4.426% 2/10/47 38,656 41,859 0.1%
4 COMM 2014-CCRE17 Mortgage Trust 3.700%–4.784% 5/10/47 87,171 93,764 0.2%
4 COMM 2014-CCRE18 Mortgage Trust 3.550%–3.828% 7/15/47 40,234 43,672 0.1%
4 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 21,620 23,082 0.0%
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 11,922 13,142 0.0%

 

5

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 COMM 2015-CCRE22 Mortgage Trust 3.309% 3/10/48 36,015 38,870 0.1%
4 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 11,921 13,245 0.0%
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 39,667 43,724 0.1%
4 COMM 2015-CCRE26 Mortgage Trust 3.630% 10/10/48 22,007 24,391 0.0%
4 COMM 2015-CCRE27 Mortgage Trust 3.612%–4.456% 10/10/48 20,092 21,651 0.0%
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 9,930 10,741 0.0%
4,5 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 14,864 15,066 0.0%
4 Drive Auto Receivables Trust 2017-1 3.840% 3/15/23 1,461 1,483 0.0%
4 Drive Auto Receivables Trust 2018-2 3.630%–4.140% 8/15/24 33,864 34,941 0.1%
4 Drive Auto Receivables Trust 2018-3 3.720%–4.300% 9/16/24 34,264 34,888 0.1%
4 Drive Auto Receivables Trust 2018-5 3.680%–4.300% 7/15/23–4/15/26 62,711 64,811 0.1%
4 Drive Auto Receivables Trust 2019-2 3.690% 8/17/26 15,870 16,537 0.0%
4 Drive Auto Receivables Trust 2020-1 2.020% 11/15/23 13,810 14,002 0.0%
4 Drive Auto Receivables Trust 2020-2 1.420%–3.050% 3/17/25–5/15/28 18,900 19,295 0.0%
4,5 GMF Floorplan Owner Revolving Trust 2019-1 2.700% 4/15/24 13,920 14,262 0.0%
4,5 GS Mortgage Securities Trust 2010-C2 5.179% 12/10/43 3,530 3,526 0.0%
4,5 GS Mortgage Securities Trust 2011-GC3 5.566% 3/10/44 2,280 2,279 0.0%
4,5 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 32,716 33,028 0.1%
4,5 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 36,047 35,952 0.1%
4,5 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,000 1,034 0.0%
4 GS Mortgage Securities Trust 2012-GCJ7 5.704% 5/10/45 7,150 6,837 0.0%
4,5 GS Mortgage Securities Trust 2013-GC13 4.051%–4.084% 7/10/46 28,584 30,279 0.1%
4 GS Mortgage Securities Trust 2013-GCJ12 3.135%–3.777% 6/10/46 21,310 21,857 0.0%
4 GS Mortgage Securities Trust 2013-GCJ14 3.817%–4.243% 8/10/46 76,379 81,606 0.1%
4 GS Mortgage Securities Trust 2014-GC20 3.998%–4.258% 4/10/47 45,283 49,157 0.1%
4 GS Mortgage Securities Trust 2014-GC24 3.931%–4.532% 9/10/47 75,392 75,828 0.1%
4 GS Mortgage Securities Trust 2014-GC26 3.364%–3.629% 11/10/47 36,070 38,890 0.1%

 

6

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 GS Mortgage Securities Trust 2015-GC28 3.136%–3.396% 2/10/48 75,389 81,307 0.1%
4 GS Mortgage Securities Trust 2015-GC30 3.382% 5/10/50 12,225 13,305 0.0%
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 4,636 5,151 0.0%
4 GS Mortgage Securities Trust 2015-GC34 3.244%–4.650% 10/10/48 40,142 42,579 0.1%
4 GS Mortgage Securities Trust 2016-GS3 2.850% 10/10/49 11,930 12,769 0.0%
4 GS Mortgage Securities Trust 2017-GS6 3.433% 5/10/50 13,006 14,538 0.0%
4 GS Mortgage Securities Trust 2018-GS10 4.155% 7/10/51 8,565 10,188 0.0%
4 GS Mortgage Securities Trust 2018-GS9 3.992% 3/10/51 4,990 5,781 0.0%
4 GS Mortgage Securities Trust 2019-GC40 3.160% 7/10/52 3,920 4,404 0.0%
4 GS Mortgage Securities Trust 2019-GS4 3.001% 9/1/52 14,800 16,497 0.0%
4 GS Mortgage Securities Trust 2020-GC45 2.911% 2/13/53 4,625 5,130 0.0%
4 Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2 1.867% 2/25/33 515 486 0.0%
4 Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A4 3.734% 7/25/33 279 265 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 3.176%–3.792% 8/15/45 23,548 24,285 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 2.858% 11/15/45 4,726 4,854 0.0%
4,5 Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV 3.277% 10/15/30 34,485 28,330 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 4.082% 7/15/46 31,865 33,781 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 3.960%–4.153% 8/15/46 32,309 34,705 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 3.824%–4.259% 10/15/46 8,603 9,058 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 4.039% 11/15/46 8,300 8,997 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 2.918%–3.214% 2/15/46 9,340 9,627 0.0%

 

7

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 3.102% 5/15/46 27,425 28,769 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.064%–4.384% 2/15/47 34,100 36,664 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 3.773%–4.907% 4/15/47 50,105 54,219 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 3.892%–4.769% 6/15/47 66,158 66,888 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 3.741%–4.011% 8/15/47 24,254 26,116 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 3.923% 10/15/47 13,400 14,658 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.326%–3.526% 12/15/47 38,598 41,158 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.069%–3.249% 2/15/48 57,753 61,006 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.451%–3.719% 7/15/50 27,998 30,776 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 3.479% 5/15/48 20,280 22,257 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 3.635% 10/15/48 8,498 9,423 0.0%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 3.325%–4.746% 5/15/49 30,299 32,786 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 3.720% 12/15/49 62,449 70,383 0.1%
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 3.536% 11/15/52 19,660 22,058 0.0%
4 Morgan Stanley Capital I Trust 2012-C4 3.244%–3.773% 3/15/45 18,552 18,880 0.0%
4,5 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 17,287 17,294 0.0%
4,5 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 27,955 30,189 0.1%
4,5 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 24,440 25,027 0.0%
4,5 Morgan Stanley Capital I Trust 2015-420 3.727% 10/12/50 28,264 30,340 0.1%
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809%–4.584% 12/15/48 53,382 55,655 0.1%

 

8

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 Morgan Stanley Capital I Trust 2016-BNK2 3.049% 11/15/49 11,960 13,044 0.0%
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 22,321 23,937 0.0%
4 Morgan Stanley Capital I Trust 2016-UBS9 3.594% 3/15/49 20,170 22,319 0.0%
4 Morgan Stanley Capital I Trust 2017-HR2 3.509%–3.587% 12/15/50 12,185 13,574 0.0%
4 Morgan Stanley Capital I Trust 2018-H4 4.247% 12/15/51 4,440 5,123 0.0%
4 Santander Drive Auto Receivables Trust 2017-3 2.760% 12/15/22 2,563 2,573 0.0%
4 Santander Drive Auto Receivables Trust 2018-1 2.960%–3.320% 3/15/24 40,400 41,040 0.1%
4 Santander Drive Auto Receivables Trust 2018-3 4.070% 8/15/24 40,900 42,651 0.1%
4 Santander Drive Auto Receivables Trust 2018-4 3.980% 12/15/25 21,750 22,985 0.0%
4 Santander Drive Auto Receivables Trust 2018-5 4.190% 12/16/24 35,530 36,719 0.1%
4 Santander Drive Auto Receivables Trust 2020-2 0.960%–2.220% 11/15/24–9/15/26 54,140 54,283 0.1%
4 Wells Fargo Commercial Mortgage Trust 2012-LC5 2.918%–3.539% 10/15/45 28,088 28,936 0.1%
4 Wells Fargo Commercial Mortgage Trust 2013-LC12 3.928%–4.276% 7/15/46 46,003 49,325 0.1%
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 3.817%–4.458% 8/15/50 59,210 62,873 0.1%
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.405% 12/15/47 31,300 34,043 0.1%
4 Wells Fargo Commercial Mortgage Trust 2015-C27 3.190% 2/15/48 31,074 33,247 0.1%
4 Wells Fargo Commercial Mortgage Trust 2015-C29 3.637%–4.216% 6/15/48 67,632 73,027 0.1%
4 Wells Fargo Commercial Mortgage Trust 2015-C30 3.411%–4.498% 9/15/58 70,016 75,734 0.1%
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 3.839%–4.536% 9/15/58 46,062 49,292 0.1%

 

9

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 Wells Fargo Commercial Mortgage Trust 2016-BNK1 2.652% 8/15/49 8,255 8,796 0.0%
4 Wells Fargo Commercial Mortgage Trust 2016-C32 3.560% 1/15/59 35,600 39,368 0.1%
4 Wells Fargo Commercial Mortgage Trust 2016-C37 3.525% 12/15/49 9,590 10,605 0.0%
4 Wells Fargo Commercial Mortgage Trust 2017-C38 3.453% 7/15/50 15,680 17,657 0.0%
4 Wells Fargo Commercial Mortgage Trust 2017-C39 3.157% 9/15/50 5,750 6,305 0.0%
4 Wells Fargo Commercial Mortgage Trust 2017-C40 3.581% 10/15/50 45,250 51,209 0.1%
4 Wells Fargo Commercial Mortgage Trust 2017-C41 3.472% 11/15/50 39,807 44,813 0.1%
4 Wells Fargo Commercial Mortgage Trust 2017- C42 3.589% 12/15/50 12,935 14,708 0.0%
4 Wells Fargo Commercial Mortgage Trust 2017-RC1 3.631% 1/15/60 7,660 8,633 0.0%
4 Wells Fargo Commercial Mortgage Trust 2018-C43 4.514% 3/15/51 5,973 5,534 0.0%
4 Wells Fargo Commercial Mortgage Trust 2018-C46 4.152% 8/15/51 14,035 16,538 0.0%
4 Wells Fargo Commercial Mortgage Trust 2018-C47 4.365%–4.442% 9/15/61 39,850 46,852 0.1%
4 Wells Fargo Commercial Mortgage Trust 2018-C48 4.245% 1/15/52 6,553 7,542 0.0%
4 Wells Fargo Commercial Mortgage Trust 2019-C49 3.933% 3/15/52 7,894 9,064 0.0%
4 Wells Fargo Commercial Mortgage Trust 2019-C50 3.635% 5/15/52 10,300 11,684 0.0%
4 Wells Fargo Commercial Mortgage Trust 2019-C54 3.146% 12/15/52 18,770 21,143 0.0%
5 Asset-Backed/Commercial Mortgage-Backed Securities—Other † 7,227,049 11.3%
Total Asset-Backed/Commercial Mortgage-Backed Securities
(Cost $10,516,902)		   10,931,519 17.1%
Corporate Bonds          
Finance          
  Banking          
  American Express Co. 3.700% 8/3/23 168,248 183,183 0.3%
5 Banco Santander Chile 2.500% 12/15/20 82,290 82,544 0.1%
  Banco Santander SA 2.706%–3.125% 2/23/23–5/28/25 136,840 145,185 0.2%
6,7 Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% 1.750% 1/19/23 14,400 10,203 0.0%
4 Bank of America Corp. 3.550% 3/5/24 156,731 167,644 0.3%
4 Bank of America Corp. 0.736%–4.200% 10/1/21–6/19/26 577,753 606,954 1.0%
  Bank of Montreal 3.300% 2/5/24 134,729 146,945 0.2%
  Canadian Imperial Bank of Commerce 3.500% 9/13/23 121,780 133,085 0.2%
  Goldman Sachs Group Inc. 2.875% 2/25/21 129,009 130,570 0.2%

 

10

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
4 Goldman Sachs Group Inc. 1.375%–5.750% 9/15/20–9/29/25 533,764 567,179 0.9%
6,7 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% 1.298% 5/16/23 19,370 13,879 0.0%
6,7 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370% 1.471% 9/8/21 19,280 13,880 0.0%
4 JPMorgan Chase & Co. 1.514%–4.500% 8/15/21–4/22/26 938,902 997,348 1.6%
  Mitsubishi UFJ Financial Group Inc. 1.412%–3.761% 3/7/22–7/17/25 445,123 470,747 0.7%
  Morgan Stanley 2.625% 11/17/21 217,779 223,907 0.4%
  Morgan Stanley 3.125% 1/23/23 151,394 160,988 0.3%
4 Morgan Stanley 2.188%–5.500% 4/21/21–4/28/26 433,727 462,421 0.7%
  MUFG Americas Holdings Corp. 3.500% 6/18/22 21,000 22,152 0.0%
  MUFG Union Bank NA 2.100%–3.150% 4/1/22–12/9/22 152,775 159,099 0.3%
  Royal Bank of Canada 2.550% 7/16/24 145,403 155,994 0.2%
  Santander Holdings USA Inc. 3.400%–3.700% 3/28/22–6/2/25 161,571 168,779 0.3%
4 Santander UK Group Holdings plc 3.373%–4.796% 1/5/24–11/15/24 93,994 100,257 0.2%
5 Santander UK plc 2.100%–5.000% 11/15/21–6/18/24 169,343 180,533 0.3%
  Sumitomo Mitsui Financial Group Inc. 2.696% 7/16/24 181,830 193,685 0.3%
  Sumitomo Mitsui Financial Group Inc. 1.474%–3.936% 10/19/21–7/8/25 434,462 455,922 0.7%
6,7 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.200% 1.301% 3/7/23 7,737 5,531 0.0%
6,7 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.250% 1.350% 10/16/24 22,565 16,006 0.0%
6,7 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270% 1.370% 3/29/22 41,051 29,464 0.0%
  Toronto-Dominion Bank 3.500% 7/19/23 160,340 175,043 0.3%
  Truist Bank 2.800% 5/17/22 145,705 151,645 0.2%
4 Truist Bank 1.250%–3.689% 10/26/21–3/10/25 499,243 525,385 0.8%
  Truist Financial Corp. 1.200%–3.950% 1/27/22–8/5/25 184,360 194,566 0.3%
4 Wells Fargo & Co. 1.654%–4.600% 4/1/21–4/30/26 581,382 615,246 1.0%
6,7 Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100% 1.202% 4/27/22 21,453 15,400 0.0%
6,7 Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.320% 1.422% 7/27/21 66,905 48,136 0.1%
  Wells Fargo Bank NA 3.550% 8/14/23 139,186 151,258 0.2%
  Wells Fargo Bank NA 3.625% 10/22/21 138,400 143,539 0.2%
4 Wells Fargo Bank NA 2.082%–5.250% 9/9/22–8/1/23 121,110 128,954 0.2%
  Westpac Banking Corp. 2.750% 1/11/23 157,175 165,623 0.3%

 

11

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
§,5 Banking—Other †       7,127,437 11.1%
§,5 Brokerage †       352,283 0.5%
5 Finance Companies †       299,170 0.5%
5 Insurance †       1,064,289 1.7%
5 Real Estate Investment Trusts †     937,551 1.5%
          18,099,609 28.3%
Industrial          
5 Basic Industry †       795,069 1.2%
  Capital Goods          
Boeing Co. 4.508% 5/1/23 174,223 182,283 0.3%
5 Capital Goods—Other †       2,103,150 3.3%
  Communication          
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.464% 7/23/22 175,442 186,953 0.3%
5 T-Mobile USA Inc. 3.500% 4/15/25 162,040 178,944 0.3%
  ViacomCBS Inc. 4.250% 9/1/23 136,705 149,587 0.2%
5 Communication—Other †       2,542,154 4.0%
  Consumer Cyclical          
  General Motors Co. 4.875%–6.125% 10/2/23–10/1/25 116,054 130,508 0.2%
  General Motors Financial Co. Inc. 3.150%–5.200% 3/1/21–7/13/25 417,845 441,853 0.7%
5 Consumer Cyclical—Other †       1,936,713 3.0%
  Consumer Noncyclical          
5 AbbVie Inc. 2.300% 11/21/22 247,500 256,511 0.4%
5 AbbVie Inc. 2.600% 11/21/24 195,950 209,114 0.3%
5 AbbVie Inc. 2.150% 11/19/21 161,500 164,738 0.3%
5 AbbVie Inc. 1.250%–5.000% 11/14/21–5/14/25 399,222 424,822 0.7%
  Altria Group Inc. 3.490% 2/14/22 177,660 185,589 0.3%
  Anheuser-Busch InBev Worldwide Inc. 4.150% 1/23/25 131,206 149,689 0.2%
  BAT Capital Corp. 2.764% 8/15/22 136,300 141,598 0.2%
  CVS Health Corp. 3.700% 3/9/23 371,205 398,682 0.6%
  GlaxoSmithKline Capital plc 2.875% 6/1/22 236,530 247,030 0.4%
5 Reckitt Benckiser Treasury Services plc 2.375% 6/24/22 178,598 184,547 0.3%
5 Reckitt Benckiser Treasury Services plc 2.750% 6/26/24 165,355 177,816 0.3%
  Takeda Pharmaceutical Co. Ltd. 4.000% 11/26/21 174,970 182,422 0.3%
5 Consumer Noncyclical—Other †     4,998,432 7.8%
  Energy        
  Energy Transfer Operating LP 3.600%–5.875% 6/1/21–4/15/24 258,771 272,767 0.4%
5 Midwest Connector Capital Co. LLC 3.625%–3.900% 4/1/22–4/1/24 107,611 107,672 0.2%
  Regency Energy P artners LP / Regency Energy Finance Corp. 4.500%–5.875% 3/1/22–11/1/23 232,458 245,344 0.4%
  Shell International Finance BV 2.000% 11/7/24 126,105 133,019 0.2%
  Sunoco Logistics Partners Operations LP 3.450%–4.400% 4/1/21–4/1/24 114,020 117,707 0.2%

 

12

 

 

Short-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value• of Net
    Coupon Date ($000) ($000) Assets
5 Energy—Other †       3,547,447 5.5%
5 Other Industrial †       116,205 0.2%
  Technology          
  Fiserv Inc. 2.750% 7/1/24 162,005 174,878 0.3%
  International Business Machines Corp. 2.850% 5/13/22 135,282 141,409 0.2%
  Oracle Corp. 2.400% 9/15/23 140,318 148,355 0.2%
5 Technology—Other †       1,784,722 2.8%
5 Transportation †       961,446 1.5%
          24,119,175 37.7%
Utilities          
  Electric          
  Duke Energy Corp. 3.227% 3/11/22 290,625 301,398 0.5%
  NextEra Energy Capital Holdings Inc. 3.300% 8/15/22 202,344 213,906 0.3%
  Pacific Gas and Electric Co. 1.750% 6/16/22 167,935 168,333 0.2%
5 Electric—Other †       1,697,825 2.6%
5 Natural Gas †       38,305 0.1%
          2,419,767 3.7%
Total Corporate Bonds (Cost $42,884,537)     44,638,551 69.7%
Sovereign Bonds          
5 Emirate of Abu Dhabi 2.125% 9/30/24 189,450 198,273 0.3%
5 Province of Alberta 1.750% 8/26/20 149,451 149,639 0.3%
5 Sovereign Bonds—Other †       3,282,941 5.1%
Total Sovereign Bonds (Cost $3,509,735)     3,630,853 5.7%
Taxable Municipal Bonds (Cost $36,364) †     36,316 0.1%
         
        Shares    
Common Stocks          
Exchange-Traded Funds          
8 Vanguard Short-Term Corporate Bond ETF
(Cost $78,302)		     967,764 80,421 0.1%

 

13

 

 

Short-Term Investment-Grade Fund

 

 

 

      Market Percentage
      Value• of Net
  Coupon Shares ($000) Assets
Temporary Cash Investment        
Money Market Fund        
9 Vanguard Market Liquidity Fund
(Cost $1,270,829)		 0.194% 12,711,736 1,271,174 2.0%
Total Investments (Cost $61,909,098)     64,243,917 100.4%
Other Assets and Liabilities—Net     (264,456) (0.4%)
Net Assets     63,979,461 100.0%

 

Cost is in $000.

 

·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 July 31, 2020.
  
†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.
  
‡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.
  
1Securities with a value of $73,937,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
  
2Securities with a value of $78,622,000 have been segregated as initial margin for open centrally cleared swap contracts.
  
3Securities with a value of $16,054,000 have been segregated as initial margin for open futures contracts.
  
4The 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.
  
5Certain 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 July 31, 2020, the aggregate value of these securities was $10,711,265,000, representing 16.7% of net assets.
  
6Adjustable-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.
  
7Face amount denominated in Australian dollars.
  
8Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
  
9Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

UMBS—Uniform Mortgage-Backed Securities.

 

14

 

 

Short-Term Investment-Grade Fund

 

 

 

 

Derivative Financial Instruments Outstanding as of Period End      
       
Options Written          
        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 0.565% Semiannually		 BNPSW 9/4/20 0.565% 242,333 (1,885)
2-Year Interest Rate Swap,
Receives 3M USD LIBOR Quarterly,
Pays 0.505% Semiannually		 DBAG 9/10/20 0.505% 242,333 (1,596)
          (3,481)
           
Put Swaptions          
2-Year Interest Rate Swap,
Pays 3M USD LIBOR Quarterly,
Receives 0.765% Semiannually		 BNPSW 9/4/20 0.765% 242,333 —
2-Year Interest Rate Swap,
Pays 3M USD LIBOR Quarterly,
Receives 0.505% Semiannually		 DBAG 9/10/20 0.505% 242,333 —
          —
           
Total Options Written (Premiums Received $2,732)         (3,481)

 

BNPSW—BNP Paribas.

DBAG—Deutsche Bank AG.

LIBOR—London Interbank Offered Rate.

 

15

 

 

Short-Term Investment-Grade Fund

 

 

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 September 2020 9,945 1,254,313 372
30-Year U.S. Treasury Bond September 2020 121 22,056 530
        902
         
Short Futures Contracts        
Euro-Schatz September 2020 (4,790) (632,908) (855)
2-Year U.S. Treasury Note September 2020 (1,960) (433,129) (398)
Euro-Bobl September 2020 (1,854) (295,354) (2,251)
10-Year U.S. Treasury Note September 2020 (1,346) (188,545) 28
Ultra Long U.S. Treasury Bond September 2020 (627) (142,760) (4,729)
Ultra 10-Year U.S. Treasury Note September 2020 (734) (116,890) (206)
Euro-Bund September 2020 (401) (83,853) (1,602)
AUD 3-Year Treasury Bond September 2020 (836) (69,898) 37
Long Gilt September 2020 (295) (53,502) (436)
5-Year Canadian Government Bond September 2020 (297) (28,346) (144)
AUD 10-Year Treasury Bond September 2020 (174) (18,579) (131)
Euro-Buxl September 2020 (12) (3,178) (159)
        (10,846)
        (9,944)

 

16

 

 

Short-Term Investment-Grade Fund

 

 

Forward Currency Contracts              
  Contract         Unrealized Unrealized
  Settlement   Contract Amount (000) Appreciation (Depreciation)
Counterparty Date   Receive   Deliver ($000) ($000)
Citigroup Global Markets Inc. 8/17/20 USD 675,604 EUR 594,190 — (24,586)
Royal Bank of Canada 8/17/20 USD 562,023 AUD 804,839 — (13,037)
Citigroup Global Markets Inc. 8/19/20 USD 387,075 EUR 340,929 — (14,691)
Morgan Stanley Capital Services LLC 8/17/20 USD 224,647 GBP 178,185 — (8,620)
Bank of America, N.A. 8/19/20 USD 153,127 EUR 134,163 — (4,977)
Citigroup Global Markets Inc. 8/31/20 USD 38,219 CAD 51,080 81 —
UBS AG 8/17/20 USD 16,343 AUD 22,894 — (14)
Bank of Montreal 8/17/20 USD 13,303 AUD 18,763 — (103)
J.P. Morgan Securities LLC 8/19/20 USD 10,469 EUR 8,870 16 —
Morgan Stanley Capital Services LLC 8/17/20 USD 9,355 AUD 13,370 — (198)
J.P. Morgan Securities LLC 8/17/20 USD 6,635 AUD 9,479 — (138)
Morgan Stanley Capital Services LLC 8/31/20 USD 161 CAD 216 — (1)
State Street Bank & Trust Co. 8/17/20 USD 157 JPY 16,803 — (2)
UBS AG 8/31/20 USD 20 CAD 27 — —
J.P. Morgan Securities LLC 8/31/20 USD 11 CAD 15 — —
            97 (66,367)

 

AUD—Australian dollar.

CAD—Canadian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

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-S34-V1 6/20/25 USD 55,125 5.000 1,416 365
CDX-NA-IG-S34-V1 6/20/25 USD 1,699,686 1.000 23,907 29,704
            30,069

 

1 Periodic premium received/paid quarterly.

USD—U.S. dollar.

 

17

 

 

Short-Term Investment-Grade Fund

 

 

Over-the-Counter Credit Default Swaps            
            Remaining    
        Periodic   Up-Front    
        Premium   Premium    
      Notional Received   Paid Unrealized Unrealized
Reference Termination   Amount (Paid)1 Value (Received) 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 1.000 524 212 312 —
Berkshire Hathaway Inc./Aa2 12/20/22 BARC 16,580 1.000 327 135 192 —
Boeing Co./A2 6/20/24 GSI 24,365 1.000 (1,692) 460 — (2,152)
Metlife Inc./A3 12/20/20 GSCM 14,025 1.000 51 — 51 —
Metlife Inc./A3 12/20/21 BARC 6,575 1.000 72 3 69 —
People’s Republic of China/A3 6/20/22 BNPSW 26,335 1.000 417 86 331 —
People’s Republic of China/A3 6/20/24 GSI 20,715 1.000 549 371 178 —
Verizon Communications Inc./Baa1 12/20/22 GSI 33,580 1.000 434 277 157 —
          682 1,544 1,290 (2,152)
                 
Credit Protection Purchased              
American International Group Inc. 12/20/20 GSCM 14,025 (1.000) (52) (25) — (27)
American International Group Inc. 12/20/20 GSCM 6,990 (1.000) (26) 8 — (34)
Autozone Inc. 12/20/20 GSCM 9,760 (1.000) (37) (27) — (10)
Bank of China Ltd. 12/20/21 BNPSW 13,100 (1.000) (162) 13 — (175)
Bank of China Ltd. 6/20/22 BNPSW 26,335 (1.000) (423) (2) — (421)
Bank of China Ltd. 6/20/23 BNPSW 19,485 (1.000) (430) (181) — (249)
Boeing Co. 12/20/24 JPMC 9,690 (1.000) 646 719 — (73)
Commerzbank AG 6/20/21 BOANA 24,410 (1.000) (112) 51 — (163)
CVS Health Corp. 12/20/20 BOANA 9,760 (1.000) (36) (26) — (10)
CVS Health Corp. 12/20/20 BOANA 9,760 (1.000) (36) (27) — (9)

 

18

 

 

Short-Term Investment-Grade Fund

 

 

Over-the-Counter Credit Default Swaps (continued)          
            Remaining    
        Periodic   Up-Front    
        Premium   Premium    
      Notional Received   Paid Unrealized Unrealized
Reference Termination   Amount (Paid)1 Value (Received) Appreciation (Depreciation)
Entity Date Counterparty ($000) (%) ($000) ($000) ($000) ($000
CVS Health Corp. 12/20/20 BOANA 4,880 (1.000) (18) (13) — (5)
CVS Health Corp. 12/20/20 BOANA 4,880 (1.000) (18) (10) — (8)
CVS Health Corp. 12/20/21 BARC 19,535 (1.000) (248) (181) — (67)
CVS Health Corp. 12/20/21 BARC 6,620 (1.000) (84) (59) — (25)
CVS Health Corp. 12/20/21 JPMC 29,300 (1.000) (371) (236) — (135)
Deutsche Bank AG 12/20/22 JPMC 20,120 (1.000) 124 (46) 170 —
Dominion Energy Inc. 12/20/20 JPMC 97,580 (1.000) (369) (257) — (112)
Dominion Energy Inc. 12/20/20 JPMC 97,580 (1.000) (369) (268) — (101)
Federative Republic of Brazil 6/20/25 MSCS 2,385 (1.000) 125 292 — (167)
Federative Republic of Brazil 12/20/25 BOANA 3,800 (1.000) 234 588 — (354)
Federative Republic of Brazil 12/20/25 GSCM 10,925 (1.000) 674 1,578 — (904)
Lincoln National Corp. 6/20/21 BARC 3,340 (1.000) (28) 16 — (44)
Lincoln National Corp. 6/20/21 BARC 3,335 (1.000) (28) (16) — (12)
Lincoln National Corp. 12/20/21 BARC 6,575 (1.000) (82) 4 — (86)
McDonald’s Corp. 6/20/22 GSI 26,675 (1.000) (476) (323) — (153)
Raytheon Co. 12/20/21 GSI 24,420 (1.000) (336) (249) — (87)
Raytheon Co. 12/20/21 GSI 24,415 (1.000) (336) (247) — (89)
Republic of Colombia 6/20/25 JPMC 26,200 (1.000) 313 2,995 — (2,682)
Republic of South Africa 6/20/25 BARC 11,380 (1.000) 1,067 988 79 —
Republic of South Africa 6/20/25 BOANA 12,650 (1.000) 1,185 1,114 71 —
Republic of South Africa 6/20/25 GSI 17,550 (1.000) 1,645 2,199 — (554)

 

19

 

 

Short-Term Investment-Grade Fund

 

 

Over-the-Counter Credit Default Swaps (continued)        
            Remaining    
        Periodic   Up-Front    
        Premium   Premium    
      Notional Received   Paid Unrealized Unrealized
Reference Termination   Amount (Paid)1 Value (Received) Appreciation (Depreciation)
Entity Date Counterparty ($000) (%) ($000) ($000) ($000) ($000
Republic of South Africa 6/20/25 GSI 4,400 (1.000) 412 387 25 —
Republic of South Africa 6/20/25 MSCS 6,300 (1.000) 591 555 36 —
Republic of South Africa 6/20/25 MSCS 4,300 (1.000) 403 581 — (178)
Republic of Turkey 6/20/25 JPMC 8,635 (1.000) 1,627 1,374 253 —
Societe Generale SA 12/20/21 JPMC 9,765 (1.000) (122) (17) — (105)
Standard Chartered Bank 12/20/21 JPMC 16,475 (1.000) (207) 11 — (218)
State of Qatar 6/20/22 BOANA 1,500 (1.000) (24) 7 — (31)
State of Qatar 6/20/22 CITNA 3,450 (1.000) (56) 15 — (71)
United Mexican States 6/20/25 BARC 11,600 (1.000) 220 207 13 —
Wells Fargo & Co. 9/20/20 BOANA 25,940 (1.000) (23) (15) — (8)
          4,757 11,477 647 (7,367)
          5,439 13,021 1,937 (9,519)

 

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.

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.

JPMC—JPMorgan Chase Bank, N.A.

MSCS—Morgan Stanley Capital Services LLC.

 

 

At July 31, 2020, the counterparties had deposited in segregated accounts securities with a value of $2,890,000 in connection with open forward currency contracts and open over-the-counter swap contracts.

 

20

 

 

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 Date1 ($000) (%) (%) ($000) ($000)
9/16/21 9/16/20 181,451 0.250 (0.000) 91 162
9/16/22 9/16/20 141,842 (0.500) 0.000 (921) (241)
9/18/23 9/16/20 316,792 (0.500) 0.000 (3,022) (863)
9/16/24 9/16/20 163,575 (0.500) 0.000 (1,867) (649)
9/16/25 9/16/20 116,225 (0.500) 0.000 (1,362) (642)
9/16/27 9/16/20 139,181 (0.750) 0.000 (3,539) (1,247)
          (10,620) (3,480)

 

1Forward 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.
2Fixed interest payment received/paid semiannually.
3Based 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.

 

21

 

 

Short-Term Investment-Grade Fund

 

 

Statement of Assets and Liabilities  
As of July 31, 2020  
   
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $60,559,967) 62,892,322
Affiliated Issuers (Cost $1,349,131) 1,351,595
Total Investments in Securities 64,243,917
Investment in Vanguard 2,780
Cash 4,054
Foreign Currency, at Value (Cost $9,248) 9,421
Receivables for Investment Securities Sold 473,492
Receivables for Accrued Income 410,770
Receivables for Capital Shares Issued 106,090
Swap Premiums Paid 15,246
Variation Margin Receivable—Futures Contracts 731
Variation Margin Receivable—Centrally Cleared Swap Contracts 6
Unrealized Appreciation—Forward Currency Contracts 97
Unrealized Appreciation—Over-the-Counter Swap Contracts 1,937
Other Assets 1,298
Total Assets 65,269,839
Liabilities  
Payables for Investment Securities Purchased 1,111,185
Payables for Capital Shares Redeemed 71,284
Payables for Distributions 20,136
Payables to Vanguard 3,360
Options Written, at Value (Premiums Received $2,732) 3,481
Swap Premiums Received 2,225
Variation Margin Payable—Futures Contracts 1,767
Variation Margin Payable—Centrally Cleared Swap Contracts 1,054
Unrealized Depreciation—Forward Currency Contracts 66,367
Unrealized Depreciation—Over-the-Counter Swap Contracts 9,519
Total Liabilities 1,290,378
Net Assets 63,979,461

 

22

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

Statement of Assets and Liabilities (continued)  
   
   
At July 31, 2020, net assets consisted of:  
   
($000s, except shares and per-share amounts) Amount
Paid-in Capital 62,301,990
Total Distributable Earnings (Loss) 1,677,471
Net Assets 63,979,461
   
Investor Shares—Net Assets  
Applicable to 745,032,184 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 8,191,924
Net Asset Value Per Share—Investor Shares $11.00
   
Admiral Shares—Net Assets  
Applicable to 4,105,768,070 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 45,144,570
Net Asset Value Per Share—Admiral Shares $11.00
   
Institutional Shares—Net Assets  
Applicable to 967,947,496 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 10,642,967
Net Asset Value Per Share—Institutional Shares $11.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

23

 

 

Short-Term Investment-Grade Fund

 

 

Statement of Operations  

 

  Six Months Ended  
  July 31, 2020  
  ($000 )
Investment Income    
Income    
Dividends—Affiliated Issuers 566  
Interest—Unaffiliated Issuers 787,046  
Interest—Affiliated Issuers 3,072  
Total Income 790,684  
Expenses    
The Vanguard Group—Note B    
Investment Advisory Services 3,098  
Management and Administrative—Investor Shares 6,834  
Management and Administrative—Admiral Shares 17,569  
Management and Administrative—Institutional Shares 2,849  
Marketing and Distribution—Investor Shares 370  
Marketing and Distribution—Admiral Shares 1,232  
Marketing and Distribution—Institutional Shares 169  
Custodian Fees 183  
Shareholders’ Reports—Investor Shares 141  
Shareholders’ Reports—Admiral Shares 341  
Shareholders’ Reports—Institutional Shares 17  
Trustees’ Fees and Expenses 24  
Total Expenses 32,827  
Net Investment Income 757,857  
Realized Net Gain (Loss)    
Investment Securities Sold—Unaffiliated Issuers 130,244  
Investment Securities Sold—Affiliated Issuers (753 )
Futures Contracts (47,093 )
Options Purchased (825 )
Options Written 8,930  
Swap Contracts (32,764 )
Forward Currency Contracts 66,492  
Foreign Currencies (53,330 )
Realized Net Gain (Loss) 70,901  
Change in Unrealized Appreciation (Depreciation)    
Investment Securities—Unaffiliated Issuers 980,499  
Investment Securities—Affiliated Issuers 2,451  

 

24

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

Statement of Operations (continued)    
  Six Months Ended  
  July 31, 2020  
  ($000 )
Futures Contracts 1,249  
Options Purchased 814  
Options Written (353 )
Swap Contracts 40,560  
Forward Currency Contracts (98,184 )
Foreign Currencies 626  
Change in Unrealized Appreciation (Depreciation) 927,662  
Net Increase (Decrease) in Net Assets Resulting from Operations 1,756,420  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

25

 

 

Short-Term Investment-Grade Fund

 

 

 

Statement of Changes in Net Assets

 

 

  Six Months Ended   Year Ended  
  July 31,   January 31,  
  2020   2020  
  ($000 ) ($000 )
Increase (Decrease) in Net Assets        
Operations        
Net Investment Income 757,857   1,735,187  
Realized Net Gain (Loss) 70,901   77,439  
Change in Unrealized Appreciation (Depreciation) 927,662   1,640,417  
Net Increase (Decrease) in Net Assets Resulting from Operations 1,756,420   3,453,043  
Distributions1        
Investor Shares (94,201 ) (225,153 )
Admiral Shares (542,021 ) (1,227,964 )
Institutional Shares (130,982 ) (305,277 )
Total Distributions (767,204 ) (1,758,394 )
Capital Share Transactions        
Investor Shares (121,771 ) 108,286  
Admiral Shares 236,834   2,814,824  
Institutional Shares (345,498 ) 438,767  
Net Increase (Decrease) from Capital Share Transactions (230,435 ) 3,361,877  
Total Increase (Decrease) 758,781   5,056,526  
Net Assets        
Beginning of Period 63,220,680   58,164,154  
End of Period 63,979,461   63,220,680  

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

26

 

 

Short-Term Investment-Grade Fund

 

 

 

Financial Highlights

 

 

Investor Shares

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.80 $10.50 $10.57 $10.65 $10.60 $10.73
Investment Operations            
Net Investment Income .1281 .2971 .2831 .2241 .213 .204
Net Realized and Unrealized Gain (Loss) on Investments .202 .304 (.069) (.087) .053 (.123)
Total from Investment Operations .330 .601 .214 .137 .266 .081
Distributions            
Dividends from Net Investment Income (.130) (.301) (.284) (.215) (.205) (.209)
Distributions from Realized Capital Gains — — — (.002) (.011) (.002)
Total Distributions (.130) (.301) (.284) (.217) (.216) (.211)
Net Asset Value, End of Period $11.00 $10.80 $10.50 $10.57 $10.65 $10.60
             
Total Return2 3.08% 5.79% 2.07% 1.29% 2.52% 0.77%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,192 $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% 0.20%
Ratio of Net Investment Income to Average Net Assets 2.39% 2.78% 2.71% 2.11% 2.00% 1.91%
Portfolio Turnover Rate 39%3 76%3 71%3 86% 68% 75%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 0%, 1%, and 1% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

27

 

 

Short-Term Investment-Grade Fund

 

 

Financial Highlights

 

 

Admiral Shares            

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.80 $10.50 $10.57 $10.65 $10.60 $10.73
Investment Operations            
Net Investment Income .1341 .3081 .2941 .2361 .224 .215
Net Realized and Unrealized Gain (Loss) on Investments .201 .304 (.070) (.088) .053 (.123)
Total from Investment Operations .335 .612 .224 .148 .277 .092
Distributions            
Dividends from Net Investment Income (.135) (.312) (.294) (.226) (.216) (.220)
Distributions from Realized Capital Gains — — — (.002) (.011) (.002)
Total Distributions (.135) (.312) (.294) (.228) (.227) (.222)
Net Asset Value, End of Period $11.00 $10.80 $10.50 $10.57 $10.65 $10.60
             
Total Return2 3.13% 5.90% 2.17% 1.39% 2.62% 0.87%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $45,145 $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% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.49% 2.88% 2.81% 2.21% 2.10% 2.01%
Portfolio Turnover Rate 39%3 76%3 71%3 86% 68% 75%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 0%, 1%, and 1% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

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

 

28

 

 

Short-Term Investment-Grade Fund

 

 

Financial Highlights

 

 

Institutional Shares            

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.80 $10.50 $10.57 $10.65 $10.60 $10.73
Investment Operations            
Net Investment Income .1351 .3111 .2971 .2401 .227 .218
Net Realized and Unrealized Gain (Loss) on Investments .202 .304 (.070) (.089) .053 (.123)
Total from Investment Operations .337 .615 .227 .151 .280 .095
Distributions            
Dividends from Net Investment Income (.137) (.315) (.297) (.229) (.219) (.223)
Distributions from Realized Capital Gains — — — (.002) (.011) (.002)
Total Distributions (.137) (.315) (.297) (.231) (.230) (.225)
Net Asset Value, End of Period $11.00 $10.80 $10.50 $10.57 $10.65 $10.60
             
Total Return 3.15% 5.93% 2.20% 1.42% 2.65% 0.90%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $10,643 $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% 0.07%
Ratio of Net Investment Income to Average Net Assets 2.52% 2.91% 2.84% 2.24% 2.13% 2.04%
Portfolio Turnover Rate 39%2 76%2 71%2 86% 68% 75%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Includes 0%, 1%, and 1% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

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

 

29

 

 

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. 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.

 

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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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).

 

 30 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

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 clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 3% 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 Schedule of Investments. 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 Schedule of Investments. Fluctuations in the value

 

 31 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

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 gains (losses) on forward currency contracts.

 

During the six months ended July 31, 2020, the fund’s average investment in forward currency contracts represented 4% of net assets, based on the average of notional amounts at each quarter-end during the period.

 

5. Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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.

 

Options contracts on futures are 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 six months ended July 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. The fund had no open options contracts on futures at July 31, 2020.

 

6. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund’s sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay a fixed rate and receive a floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. 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

 

 32 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

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.

 

The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is in-the-money, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.

 

Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded the Statement of Assets and Liabilities as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded the Statement of Assets and Liabilities as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions 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 six months ended July 31, 2020, the fund’s average value of investments in swaptions purchased and swaptions written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

 

7. 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.

 

 33 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded 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 Schedule of Investments. 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 six months ended July 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 2% and 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 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

 

 34 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

8. 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.

 

At July 31, 2020, counterparties had deposited in segregated accounts securities with a value of $758,000 and cash of $358,000 in connection with TBA transactions.

 

9. Mortgage Dollar Rolls: The fund enters 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.

 

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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

12. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With

 

 35 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

13. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $2,780,000, representing less than 0.01% of the fund’s net assets and 1.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

 36 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

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

 

Level 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 Schedule of Investments.

 

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

 

  Level 1   Level 2   Level 3   Total  
  ($000 ) ($000 ) ($000 ) ($000 )
Investments                
Assets                
U.S. Government and Agency Obligations —   3,655,083   —   3,655,083  
Asset-Backed/Commercial Mortgage-Backed Securities —   10,931,519   —   10,931,519  
Corporate Bonds —   44,638,548   3   44,638,551  
Sovereign Bonds —   3,630,853   —   3,630,853  
Taxable Municipal Bonds —   36,316   —   36,316  
Common Stocks 80,421   —   —   80,421  
Temporary Cash Investments 1,271,174   —   —   1,271,174  
Total 1,351,595   62,892,319   3   64,243,917  
Derivative Financial Instruments                
Assets                
Futures Contracts1 731   —   —   731  
Forward Currency Contracts —   97   —   97  
Swap Contracts 61   1,937   —   1,943  
Total 737   2,034   —   2,771  
Liabilities                
Options Written —   3,481   —   3,481  
Futures Contracts1 1,767   —   —   1,767  
Forward Currency Contracts —   66,367   —   66,367  
Swap Contracts 1,0541   9,519   —   10,573  
Total 2,821   79,367   —   82,188  

 

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

 

 37 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

D.   At July 31, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:

 

  Interest   Foreign          
  Rate   Exchange   Credit      
  Contracts   Contracts   Contracts   Total  
Statement of Assets and Liabilities Caption ($000 ) ($000 ) ($000 ) ($000 )
Swap Premiums Paid —   —   15,246   15,246  
Variation Margin Receivable—Futures Contracts 731   —   —   731  
Variation Margin Receivable—Centrally Cleared Swap Contracts 6   —   —   6  
Unrealized Appreciation—Forward Currency Contracts —   97   —   97  
Unrealized Appreciation—Over-the-Counter Swap Contracts —   —   1,937   1,937  
Total Assets 737   97   17,183   18,017  
                 
Options Written 3,481   —   —   3,481  
Swap Premiums Received —   —   2,225   2,225  
Variation Margin Payable—Futures Contracts 1,767   —   —   1,767  
Variation Margin Payable—Centrally Cleared Swap Contracts 364   —   690   1,054  
Unrealized Depreciation—Forward Currency Contracts —   66,367   —   66,367  
Unrealized Depreciation—Over-the-Counter Swap Contracts —   —   9,519   9,519  
Total Liabilities 5,612   66,367   12,434   84,413  

 

 38 

 

 

Short-Term Investment-Grade Fund

 

 

 

 

 

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

 

  Interest Foreign    
  Rate Exchange Credit  
  Contracts Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000) ($000)
Futures Contracts (47,093) — — (47,093)
Options Purchased (63) — (762) (825)
Options Written 7,212 — 1,718 8,930
Swap Contracts (57,349) — 24,585 (32,764)
Forward Currency Contracts — 66,492 — 66,492
Realized Net Gain (Loss) on Derivatives (97,293) 66,492 25,541 (5,260)
         
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts 1,249 — — 1,249
Options Purchased 847 — (33) 814
Options Written 13 — (366) (353)
Swap Contracts 9,518 — 31,042 40,560
Forward Currency Contracts — (98,184) — (98,184)
Change in Unrealized Appreciation (Depreciation) on Derivatives 11,627 (98,184) 30,643 (55,914)

 

 

E.  As of July 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 61,914,406
Gross Unrealized Appreciation 2,486,258
Gross Unrealized Depreciation (204,415)
Net Unrealized Appreciation (Depreciation) 2,281,843

 

39

 

Short-Term Investment-Grade Fund

 

 

 

 

 

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $647,892,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

F.  During the six months ended July 31, 2020, the fund purchased $16,518,093,000 of investment securities and sold $16,323,435,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $6,641,581,000 and $7,714,281,000, respectively.

 

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

 

  Six Months Ended   Year Ended
  July 31, 2020   January 31, 2020
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 1,614,613 150,448   1,636,784 153,429
Issued in Lieu of Cash Distributions 87,693 8,113   209,166 19,568
Redeemed (1,824,077) (170,606)   (1,737,664) (162,876)
Net Increase (Decrease)—Investor Shares (121,771) (12,045)   108,286 10,121
Admiral Shares          
Issued 8,580,112 794,409   11,770,080 1,102,886
Issued in Lieu of Cash Distributions 432,094 39,978   981,607 91,821
Redeemed (8,775,372) (820,855)   (9,936,863) (931,111)
Net Increase (Decrease)—Admiral Shares 236,834 13,532   2,814,824 263,596
Institutional Shares          
Issued 2,124,904 196,371   2,677,282 250,889
Issued in Lieu of Cash Distributions 120,509 11,150   282,087 26,388
Redeemed (2,590,911) (242,029)   (2,520,602) (236,348)
Net Increase (Decrease)—Institutional Shares (345,498) (34,508)   438,767 40,929

 

40

 

Short-Term Investment-Grade Fund

 

 

 

 

 

 

 

H.  Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows:

 

    Current Period Transactions  
  Jan. 31,   Proceeds Realized     July 31,
  2020   from Net Change in   Capital Gain 2020
  Market Purchases Securities Gain Unrealized   Distributions Market
  Value at Cost Sold (Loss) App. (Dep.) Income Received Value
  ($000) ($000) ($000) ($000) ($000) ($000) ($000) ($000)
Vanguard Intermediate-Term Corporate Bond ETF — 35,413 36,050 637 — 87 — —
Vanguard Market Liquidity Fund 158,257 NA1 NA1 (1,390) 332 3,072 — 1,271,174
Vanguard Short-Term Corporate Bond ETF — 78,302 — — 2,119 479 — 80,421
Total 158,257     (753) 2,451 3,638 — 1,351,595

 

1 Not applicable—purchases and sales are for temporary cash investment purposes.

 

 

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

 

41

 

Intermediate-Term Investment-Grade Fund

 

 

Fund Allocation

As of July 31, 2020

 

Asset-Backed/Commercial Mortgage-Backed Securities 10.1%
Corporate Bonds—Finance 29.7
Corporate Bonds—Industrial 39.7
Corporate Bonds—Utilities 4.8
Sovereign Bonds 7.8
Taxable Municipal Bonds 0.2
U.S. Government and Agency Obligations 7.7

 

The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

42

 

Intermediate-Term Investment-Grade Fund

 

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments—Investments Summary

As of July 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% 2/15/30 580,158 633,098 1.8%
  United States Treasury Note/Bond 0.625% 5/15/30 400,000 403,248 1.2%
2 United States Treasury Note/Bond 1.500% 1/31/27 247,931 266,060 0.8%
  United States Treasury Note/Bond 0.500% 5/31/27 250,000 251,915 0.7%
  United States Treasury Note/Bond 1.250% 8/31/24 233,055 243,251 0.7%
3 United States Treasury Note/Bond 1.125% 2/28/27 148,759 156,081 0.4%
1 United States Treasury Note/Bond 0.625% 3/31/27 123,965 125,999 0.4%
  United States Treasury Note/Bond 0.500% 4/30/27 49,586 49,981 0.1%
          2,129,633 6.1%
             
Agency Bonds and Notes †       6,313 0.0%
           
Conventional Mortgage-Backed Securities        
4,5 Fannie Mae Pool 3.000% 12/1/49 121,247 125,854 0.3%
4,5 Fannie Mae Pool 3.000%–3.500% 10/1/49–12/1/49 22,257 23,192 0.1%
4 UMBS Pool 2.000% 9/1/50 178,000 184,036 0.5%
  Conventional Mortgage-Backed Securities—Other †   63,438 0.2%
          396,520 1.1%
Nonconventional Mortgage-Backed Securities      
4,5 Fannie Mae REMICS 3.500%–5.250% 9/25/41–10/25/48 44,283 50,921 0.2%
    Nonconventional Mortgage-Backed Securities—Other †   105,595 0.3%
          156,516 0.5%
Total U.S. Government and Agency Obligations (Cost $2,652,465) 2,688,982 7.7%

 

43

 

Intermediate-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value· of Net
    Coupon Date ($000) ($000) Assets
Asset-Backed/Commercial Mortgage-Backed Securities      
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.429%–4.360% 9/15/48 8,157 8,792 0.0%
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.574% 2/15/50 1,540 1,724 0.0%
4,6 GS Mortgage Securities Trust 2010-C2 5.179% 12/10/43 1,370 1,369 0.0%
4,6 GS Mortgage Securities Trust 2011-GC3 5.566% 3/10/44 2,650 2,648 0.0%
4,6 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 5,430 5,482 0.0%
4,6 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 7,625 7,605 0.0%
4,6 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025 1,060 0.0%
4 GS Mortgage Securities Trust 2012-GCJ7 5.704% 5/10/45 2,140 2,046 0.0%
4,6 GS Mortgage Securities Trust 2013-GC13 4.051%–4.084% 7/10/46 1,395 1,368 0.0%
4 GS Mortgage Securities Trust 2013-GCJ12 3.135%–3.777% 6/10/46 5,678 5,863 0.0%
4 GS Mortgage Securities Trust 2013-GCJ14 3.817%–4.243% 8/10/46 6,594 6,923 0.0%
4 GS Mortgage Securities Trust 2014-GC20 3.998%–4.258% 4/10/47 11,859 12,870 0.1%
4 GS Mortgage Securities Trust 2014-GC24 4.162%–4.532% 9/10/47 13,745 13,232 0.1%
4 GS Mortgage Securities Trust 2014-GC26 3.364% 11/10/47 7,680 8,200 0.0%
4 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 9,286 9,964 0.0%
4 GS Mortgage Securities Trust 2015-GC30 3.382% 5/10/50 2,398 2,609 0.0%
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 4,615 5,127 0.0%
4 GS Mortgage Securities Trust 2015-GC34 3.244%–4.650% 10/10/48 10,290 10,854 0.0%
4 GS Mortgage Securities Trust 2016-GS3 2.850% 10/10/49 2,220 2,376 0.0%
4 GS Mortgage Securities Trust 2017-GS6 3.433% 5/10/50 10,220 11,424 0.1%
4 GS Mortgage Securities Trust 2018-GS10 4.155% 7/10/51 5,335 6,346 0.0%
4 GS Mortgage Securities Trust 2019-GC38 3.968% 2/10/52 3,080 3,612 0.0%
4 GS Mortgage Securities Trust 2019-GC40 3.160% 7/10/52 6,528 7,333 0.0%
4 GS Mortgage Securities Trust 2019-GS4 3.001% 9/1/52 13,130 14,635 0.1%

 

44

 

Intermediate-Term Investment-Grade Fund

 

 

        Face Market Percentage
      Maturity Amount Value· of Net
    Coupon Date ($000) ($000) Assets
4 GS Mortgage Securities Trust 2020-GC45 2.911% 2/13/53 18,170 20,152 0.1%
4 GS Mortgage Securities Trust-2020-GC45 2.843% 2/13/53 7,336 7,993 0.0%
4 Morgan Stanley Capital I Trust 2012-C4 3.244%–3.773% 3/15/45 4,700 4,771 0.0%
4,6 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,407 6,410 0.0%
4,6 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 6,370 6,879 0.0%
4,6 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 2,795 2,862 0.0%
4,6 Morgan Stanley Capital I Trust 2015-420 3.727% 10/12/50 4,337 4,655 0.0%
4 Morgan Stanley Capital I Trust 2015-UBS8 4.584% 12/15/48 3,210 2,589 0.0%
4 Morgan Stanley Capital I Trust 2016-BNK2 2.791%–3.049% 11/15/49 13,560 14,507 0.0%
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 20,478 21,961 0.1%
4 Morgan Stanley Capital I Trust 2016-UBS9 3.594% 3/15/49 10,920 12,084 0.1%
4 Morgan Stanley Capital I Trust 2017-HR2 3.509%–3.587% 12/15/50 6,306 7,025 0.0%
4 Morgan Stanley Capital I Trust 2018-H4 4.247% 12/15/51 6,730 7,765 0.0%
4,6 Asset-Backed/Commercial Mortgage-Backed Securities—Other † 3,247,894 9.3%
Total Asset-Backed/Commercial Mortgage-Backed Securities
(Cost $3,376,054)		   3,521,009 10.0%
Corporate Bonds          
Finance          
  Banking          
4 Bank of America Corp. 1.319%–4.271% 1/22/25–7/23/31 563,999 622,001 1.8%
4 Bank of New York Mellon Corp. 3.442% 2/7/28 65,305 75,636 0.2%
4 Citigroup Inc. 1.750%–4.600% 6/10/25–6/3/31 347,388 392,980 1.1%
  Credit Suisse AG 3.625% 9/9/24 66,594 74,022 0.2%
  Goldman Sachs Group Inc. 3.750% 5/22/25 85,781 95,786 0.3%
4 Goldman Sachs Group Inc. 2.600%–4.223% 1/23/25–2/7/30 231,353 258,573 0.7%
7,8 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550% 1.645% 5/2/24 30,700 22,147 0.1%
4 HSBC Holdings plc 4.041% 3/13/28 78,139 87,209 0.3%
4 HSBC Holdings plc 2.099%–4.950% 11/7/25–6/4/31 258,121 287,357 0.8%
7,8 HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% 1.198% 2/16/24 28,200 19,866 0.1%
4 JPMorgan Chase & Co. 2.005%–4.493% 1/23/25–7/24/38 433,002 488,293 1.4%

 

45

 

Intermediate-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value· of Net
    Coupon Date ($000) ($000) Assets
  Lloyds Banking Group plc 3.750% 1/11/27 68,999 78,055 0.2%
  Mitsubishi UFJ Financial Group Inc. 3.777% 3/2/25 90,274 100,454 0.3%
  Morgan Stanley 3.875% 1/27/26 84,720 97,168 0.3%
4 Morgan Stanley 2.699% 1/22/31 74,081 80,408 0.2%
  Morgan Stanley 3.625% 1/20/27 68,607 78,796 0.2%
4 Morgan Stanley 2.188%–4.431% 10/23/24–4/1/31 180,226 203,217 0.6%
  PNC Bank NA 3.100% 10/25/27 74,625 85,112 0.3%
  PNC Bank NA 2.700%–3.250% 2/23/25–10/22/29 149,077 166,053 0.5%
  PNC Financial Services Group Inc. 2.550%–3.450% 7/23/26–1/22/30 103,044 117,267 0.3%
  Royal Bank of Canada 2.250% 11/1/24 80,011 85,119 0.2%
  Sumitomo Mitsui Financial Group Inc. 3.040% 7/16/29 82,627 91,230 0.3%
  Wells Fargo & Co. 3.000% 10/23/26 65,315 71,654 0.2%
4 Wells Fargo & Co. 1.741%–4.150% 9/9/24–2/11/31 426,277 463,812 1.3%
9 Wells Fargo Bank NA 5.250% 8/1/23 6,500 9,547 0.0%
  Westpac Banking Corp. 3.350% 3/8/27 63,262 72,932 0.2%
§,6 Banking—Other †       3,109,270 8.9%
6 Brokerage †       706,399 2.0%
6 Finance Companies †       83,456 0.2%
6 Insurance †       1,021,876 2.9%
  Other Finance †       16,472 0.1%
6 Real Estate Investment Trusts †     1,160,385 3.3%
          10,322,552 29.5%
Industrial          
  Basic Industry          
  Dow Chemical Co. 3.625% 5/15/26 76,513 85,288 0.2%
6 Basic Industry—Other †       520,231 1.5%
  Capital Goods          
  Boeing Co. 4.875% 5/1/25 69,362 75,190 0.2%
  Raytheon Technologies Corp. 3.125% 5/4/27 75,336 84,293 0.2%
6 Capital Goods—Other †       1,139,144 3.3%
  Communication          
  Comcast Corp. 4.150% 10/15/28 60,520 74,313 0.2%
  Comcast Corp. 1.950%–4.250% 8/15/25–1/15/31 276,389 310,540 0.9%
6 Sky Ltd. 3.750% 9/16/24 19,800 22,318 0.1%
6 T-Mobile USA Inc. 3.750% 4/15/27 90,487 102,612 0.3%
6 Communication—Other †       1,398,394 4.0%
  Consumer Cyclical          
  Visa Inc. 3.150% 12/14/25 106,820 120,198 0.3%
6 Consumer Cyclical—Other †     1,428,204 4.1%
  Consumer Noncyclical          
6 AbbVie Inc. 2.950% 11/21/26 79,437 87,548 0.3%
  Bristol-Myers Squibb Co. 3.200% 6/15/26 82,238 92,061 0.3%
  Bristol-Myers Squibb Co. 3.450% 11/15/27 63,799 74,297 0.2%
  CVS Health Corp. 4.300% 3/25/28 86,736 102,368 0.3%
  Gilead Sciences Inc. 3.500% 2/1/25 80,832 90,577 0.3%
  Reynolds American Inc. 4.450% 6/12/25 71,809 81,671 0.2%
  Shire Acquisitions Investments Ireland DAC 3.200% 9/23/26 76,935 86,453 0.2%

 

46

 

Intermediate-Term Investment-Grade Fund

 

 

 

        Face Market Percentage
      Maturity Amount Value· of Net
    Coupon Date ($000) ($000) Assets
6 Consumer Noncyclical—Other †       3,463,117 9.9%
  Energy          
  BP Capital Markets America Inc. 3.119% 5/4/26 65,745 72,675 0.2%
  ConocoPhillips Co. 4.950% 3/15/26 67,315 81,657 0.2%
  Shell International Finance BV 2.375% 11/7/29 70,145 75,624 0.2%
6 Energy—Other †       1,674,782 4.8%
6 Other Industrial †       18,200 0.1%
  Technology          
  Apple Inc. 3.250% 2/23/26 87,421 99,173 0.3%
  Apple Inc. 2.450% 8/4/26 69,162 75,764 0.2%
  Apple Inc. 2.050% 9/11/26 69,421 74,844 0.2%
  Apple Inc. 2.750%–3.350% 1/13/25–11/13/27 227,372 256,468 0.8%
  International Business          
  Machines Corp. 3.300% 5/15/26 115,734 131,624 0.4%
  Microsoft Corp. 2.700% 2/12/25 72,990 80,069 0.2%
  QUALCOMM Inc. 3.250% 5/20/27 68,234 78,306 0.2%
6 Technology—Other †       1,159,293 3.3%
6 Transportation †       466,942 1.3%
          13,784,238 39.4%
Utilities          
6 Electric †       1,559,286 4.4%
6 Natural Gas †       74,234 0.2%
  Other Utility †       24,213 0.1%
          1,657,733 4.7%
Total Corporate Bonds (Cost $23,730,354)     25,764,523 73.6%
Sovereign Bonds          
  Kingdom of Saudi Arabia 2.375% 10/26/21 129,992 132,336 0.4%
4 Republic of Colombia 4.500% 1/28/26 110,019 122,632 0.3%
  Republic of Indonesia 3.750% 4/25/22 87,775 91,463 0.3%
  Russian Federation 4.750% 5/27/26 63,600 73,379 0.2%
  United Mexican States 4.500% 4/22/29 97,632 109,308 0.3%
6 Sovereign Bonds—Other †       2,171,763 6.2%
Total Sovereign Bonds (Cost $2,566,993)     2,700,881 7.7%
Taxable Municipal Bonds (Cost $59,472) †     62,343 0.2%

 

47

 

Intermediate-Term Investment-Grade Fund

 

 

 

      Market Percentage
      Value· of Net
  Coupon Shares ($000) Assets
Temporary Cash Investment        
Money Market Fund        
10 Vanguard Market Liquidity Fund (Cost $820,422) 0.194% 8,204,364 820,436 2.4%
Total Investments (Cost $33,205,760)     35,558,174 101.6%
Other Assets and Liabilities—Net     (553,917) (1.6%)
Net Assets     35,004,257 100.0%

 

Cost is in $000.

·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.
1Securities with a value of $55,683,000 have been segregated as initial margin for open centrally cleared swap contracts.
2Securities with a value of $17,037,000 and cash of $81,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
3Securities with a value of $17,076,000 have been segregated as initial margin for open futures contracts.
4The 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.
5The 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.
6Certain 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 July 31, 2020, the aggregate value of these securities was $3,492,614,000, representing 10.0% of net assets.
7Adjustable-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.
8Face amount denominated in Australian dollars.
9Face 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.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

 

48

 

Intermediate-Term Investment-Grade 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 September 2020   8,568   1,200,189   9,920  
Ultra 10-Year U.S. Treasury Note September 2020   1,148   182,819   (41 )
5-Year U.S. Treasury Note September 2020   837   105,567   (15 )
              9864  
                 
Short Futures Contracts                
3-Year U.S. Treasury Note September 2020   (50 ) (11,670 ) (15 )
AUD 10-Year Treasury Bond September 2020   (169 ) (18,045 ) (127 )
Euro-Buxl September 2020   (105 ) (27,809 ) (1,282 )
Long Gilt September 2020   (195 ) (35,366 ) (274 )
2-Year U.S. Treasury Note September 2020   (182 ) (40,219 ) (24 )
AUD 3-Year Treasury Bond September 2020   (652 ) (54,514 ) 28  
Euro-Schatz September 2020   (413 ) (54,570 ) (56 )
Euro-Bobl September 2020   (360 ) (57,350 ) (331 )
30-Year U.S. Treasury Bond September 2020   (732 ) (133,430 ) (1,831 )
Euro-Bund September 2020   (822 ) (171,889 ) (2,437 )
Ultra Long U.S. Treasury Bond September 2020   (908 ) (206,740 ) (9,512 )
              (15,861 )
              (5,997 )

 

 49 

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Forward Currency Contracts                        
  Contract               Unrealized     Unrealized  
  Settlement     Contract Amount (000)   Appreciation     (Depreciation )
Counterparty Date     Receive     Deliver   ($000 )   ($000 )
UBS AG 8/17/20   EUR 15,776   USD 18,024   565     —  
Citigroup Global Markets Inc. 8/17/20   EUR 5,926   USD 6,896   87     —  
Bank of America, N.A. 8/17/20   EUR 2,628   USD 3,096   1     —  
Citigroup Global Markets Inc. 8/17/20   USD 311,116   EUR 273,625   —     (11,321 )
Royal Bank of Canada 8/17/20   USD 158,971   AUD 227,652   —     (3,688 )
Royal Bank of Canada 8/17/20   USD 56,238   MXN 1,262,213   —     (349 )
Morgan Stanley Capital Services LLC 8/17/20   USD 50,809   GBP 40,301   —     (1,950 )
State Street Bank & Trust Co. 8/17/20   USD 20,186   EUR 17,276   —     (171 )
J.P. Morgan Securities LLC 8/17/20   USD 17,994   AUD 25,095   64     —  
Goldman Sachs Bank USA 8/17/20   USD 17,308   MXN 384,425   74     —  
J.P. Morgan Securities LLC 8/17/20   USD 14,910   EUR 12,633   24     —  
Morgan Stanley Capital Services LLC 8/17/20   USD 9,683   EUR 8,448   —     (272 )
BNP Paribas 8/17/20   USD 5,089   AUD 7,171   —     (35 )
Bank of America, N.A. 8/17/20   USD 2,911   EUR 2,520   —     (58 )
Morgan Stanley Capital Services LLC 8/17/20   USD 2,273   GBP 1,736   1     —  
J.P. Morgan Securities LLC 8/17/20   USD 1,449   GBP 1,151   —     (57 )
State Street Bank & Trust Co. 8/17/20   USD 78   JPY 8,326   —     (1 )
Bank of America, N.A. 8/17/20   USD 1   MXN 25   —     —  
                  816     (17,902 )

 

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

MXN—Mexican peso.

USD—U.S. dollar.

 

 50 

 

 

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-HY-S34-V1 6/20/25   USD 30,108   5.000   773   200  
CDX-NA-IG-S34-V1 6/20/25   USD 1,475,450   1.000   20,753   24,377  
              21,526   24,577  

 

1 Periodic premium received/paid quarterly.

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 ) 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   33   (69 ) 102   —  
Berkshire Hathaway Inc./Aa2 6/20/22   BARC   15,760   1.000   250   101   149   —  
Berkshire Hathaway Inc./Aa2 12/20/22   BARC   7,605   1.000   150   62   88   —  
Berkshire Hathaway Inc./Aa2 12/20/24   BARC   19,400   1.000   642   504   138   —  
Berkshire Hathaway Inc./Aa2 12/20/24   JPMC   9,400   1.000   311   236   75   —  
Metlife Inc./A3 12/20/20   GSCM   5,625   1.000   20   —   20   —  
Metlife Inc./A3 12/20/21   BARC   3,165   1.000   35   2   33   —  
Metlife Inc./A3 6/20/24   BARC   24,300   1.000   527   17   510   —  
People’s Republic of China/A3 6/20/22   BNPSW   22,800   1.000   362   75   287   —  
Verizon Communications Inc./Baa1 12/20/22   GSI   15,585   1.000   202   129   73   —  
                      1,057   1,475   —  

 

 

 

 

 51 

 

 

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 )
Credit Protection Purchased                          
American International Group Inc. 12/20/20   GSCM   5,625   (1.000)   (21 ) (10 ) —   (11 )
American International Group Inc. 12/20/20   GSCM   2,835   (1.000)   (11 ) 3   —   (14 )
Bank of China Ltd. 12/20/21   BNPSW   6,200   (1.000)   (77 ) 6   —   (83 )
Bank of China Ltd. 6/20/22   BNPSW   22,800   (1.000)   (366 ) (2 ) —   (364 )
Commerzbank AG 6/20/21   BOANA   24,495   (1.000)   (112 ) 82   —   (194 )
CVS Health Corp. 12/20/21   BARC   3,220   (1.000)   (41 ) (29 ) —   (12 )
CVS Health Corp. 12/20/21   BOANA   15,000   (1.000)   (190 ) (136 ) —   (54 )
Deutsche Bank AG 12/20/22   JPMC   9,115   (1.000)   56   (21 ) 77   —  
Federative Republic of Brazil 6/20/25   BOANA   4,530   (1.000)   237   233   4   —  
Federative Republic of Brazil 6/20/25   MSCS   14,215   (1.000)   744   1,739   —   (995 )
Federative Republic of Brazil 12/20/25   BOANA   3,885   (1.000)   240   602   —   (362 )
Federative Republic of Brazil 12/20/25   GSCM   2,485   (1.000)   153   359   —   (206 )
JPMorgan Chase Bank N.A. 12/20/20   MSCS   25,000   (1.000)   (74 ) (13 ) —   (61 )
Lincoln National Corp. 6/20/21   BARC   10,000   (1.000)   (85 ) 39   —   (124 )
Lincoln National Corp. 6/20/21   BARC   1,555   (1.000)   (13 ) 8   —   (21 )

 

 52 

 

 

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 )
Lincoln National Corp. 6/20/21   BARC   1,550   (1.000)   (13 ) (7 ) —   (6 )
Lincoln National Corp. 12/20/21   BARC   3,165   (1.000)   (39 ) 2   —   (41 )
McDonald’s Corp. 6/20/22   GSI   12,325   (1.000)   (220 ) (149 ) —   (71 )
Republic of Colombia 6/20/25   GSI   15,000   (1.000)   179   517   —   (338 )
Republic of Colombia 6/20/25   JPMC   2,485   (1.000)   30   284   —   (254 )
Republic of Colombia 6/20/25   MSCS   36,900   (1.000)   440   2,347   —   (1,907 )
Republic of South Africa 6/20/25   BARC   6,230   (1.000)   584   541   43   —  
Republic of South Africa 6/20/25   BOANA   6,920   (1.000)   648   609   39   —  
Republic of South Africa 6/20/25   GSI   10,710   (1.000)   1,004   1,342   —   (338 )
Republic of South Africa 6/20/25   GSI   2,400   (1.000)   225   211   14   —  
Republic of South Africa 6/20/25   MSCS   26,585   (1.000)   2,492   3,593   —   (1,101 )
Republic of South Africa 6/20/25   MSCS   3,400   (1.000)   319   300   19   —  
Republic of Turkey 6/20/25   JPMC   10,000   (1.000)   1,884   1,591   293   —  
Societe Generale SA 12/20/21   JPMC   14,675   (1.000)   (184 ) (25 ) —   (159 )

 

 53 

 

 

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 )
Standard Chartered Bank 12/20/21   JPMC   7,945   (1.000)   (100 ) 5   —   (105 )
State of Qatar 6/20/22   BOANA   1,360   (1.000)   (22 ) 6   —   (28 )
State of Qatar 6/20/22   CITNA   2,640   (1.000)   (42 ) 12   —   (54 )
Wells Fargo & Co. 9/20/20   BOANA   9,700   (1.000)   (8 ) (3 ) —   (5 )
                  7,617   14,036   489   (6,908 )
                  10,149   15,093   1,964   (6,908 )

 

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.

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.

JPMC—JP Morgan Chase Bank.

MSCS—Morgan Stanley Capital Services LLC.

 

At July 31, 2020, the counterparties had deposited in segregated accounts securities with a value of $7,255,000 and cash of $2,030,000 in connection with open forward currency contracts and open over-the-counter swap contracts.

 

 54 

 

 

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 )
7/31/21 N/A   100   .047   (0.100 ) —   —  
9/16/21 9/16/201   66,607   .250   0.000   33   57  
9/16/22 9/16/201   83,112   (.500 ) 0.000   (540 ) (141 )
9/18/23 9/16/201   85,875   (.500 ) 0.000   (819 ) (237 )
9/16/24 9/16/201   42,709   (.500 ) 0.000   (487 ) (158 )
9/16/25 9/16/201   24,637   (.500 ) 0.000   (289 ) (140 )
9/16/27 9/16/201   37,976   (.750 ) 0.000   (966 ) (340 )
                  (3,068 ) (959 )

 

1Forward 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.
2Fixed interest payment received/paid semiannually.
3Based on 3-month USD 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.

 

 55 

 

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts)  Amount 
Assets     
Investments in Securities, at Value     
Unaffiliated Issuers (Cost $32,385,338)   34,737,738 
Affiliated Issuers (Cost $820,422)   820,436 
Total Investment Securities   35,558,174 
Investment in Vanguard   1,526 
Cash   5,500 
Cash Collateral Pledged—Forward Currency Contracts   81 
Receivables for Investment Securities Sold   312,777 
Receivables for Accrued Income   241,435 
Receivables for Capital Shares Issued   30,343 
Swap Premiums Paid   15,557 
Variation Margin Receivable—Futures Contracts   1,492 
Variation Margin Receivable—Centrally Cleared Swap Contracts   2 
Unrealized Appreciation—Forward Currency Contracts   816 
Unrealized Appreciation—Over-the-Counter Swap Contracts   1,964 
Other Assets   172 
Total Assets   36,169,839 
Liabilities     
Foreign Currency at Value   5,860 
Payables for Investment Securities Purchased   1,096,905 
Payables for Capital Shares Redeemed   22,583 
Payables for Distributions   10,706 
Payables to Vanguard   1,824 
Swap Premiums Received   464 
Variation Margin Payable—Futures Contracts   1,767 
Variation Margin Payable—Centrally Cleared Swap Contracts   663 
Unrealized Depreciation—Forward Currency Contracts   17,902 
Unrealized Depreciation—Over-the-Counter Swap Contracts   6,908 
Total Liabilities   1,165,582 
Net Assets   35,004,257 

 

56

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Statement of Assets and Liabilities (continued)     
      
      
At July 31, 2020, net assets consisted of:     
      
($000s, except shares and per-share amounts)   Amount 
Paid-in Capital   31,988,399 
Total Distributable Earnings (Loss)   3,015,858 
Net Assets   35,004,257 
      
Investor Shares—Net Assets     
Applicable to 233,051,623 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   2,490,178 
Net Asset Value Per Share—Investor Shares   $10.69 
      
Admiral Shares—Net Assets     
Applicable to 3,042,936,602 outstanding $.001 par value shares of beneficial interest (unlimited authorization)   32,514,079 
Net Asset Value Per Share—Admiral Shares   $10.69 

 

 

 

 

 

 

 

 

 

 

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

 

57

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Statement of Operations

 

   Six Months Ended 
   July 31, 2020 
   ($000)
Investment Income     
Income     
Interest1   461,014 
Total Income   461,014 
Expenses     
The Vanguard Group—Note B     
Investment Advisory Services   1,686 
Management and Administrative—Investor Shares   2,039 
Management and Administrative—Admiral Shares   12,445 
Marketing and Distribution—Investor Shares   122 
Marketing and Distribution—Admiral Shares   814 
Custodian Fees   184 
Shareholders’ Reports—Investor Shares   52 
Shareholders’ Reports—Admiral Shares   349 
Trustees’ Fees and Expenses   13 
Total Expenses   17,704 
Net Investment Income   443,310 
Realized Net Gain (Loss)     
Investment Securities Sold1,2   540,505 
Futures Contracts   124,289 
Options Purchased   (224)
Options Written   3,337 
Swap Contracts   25,613 
Forward Currency Contracts   21,141 
Foreign Currencies   (11,905)
Realized Net Gain (Loss)   702,756 
Change in Unrealized Appreciation (Depreciation)     
Investment Securities1   959,892 
Futures Contracts   (39,785)
Options Purchased   (774)
Options Written   446 
Swap Contracts   26,418 
Forward Currency Contracts   (26,431)
Foreign Currencies   442 
Change in Unrealized Appreciation (Depreciation)   920,208 
Net Increase (Decrease) in Net Assets Resulting from Operations   2,066,274 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,065,000, ($243,000), and ($22,000), respectively. Purchases and sales are for temporary cash investment purposes.
2Includes $15,292,000 of net gain (loss) resulting from in-kind redemptions.

 

 

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

 

58

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Statement of Changes in Net Assets

 

   Six Months Ended   Year Ended 
   July 31,   January 31, 
   2020   2020 
   ($000)   ($000) 
Increase (Decrease) in Net Assets          
Operations          
Net Investment Income   443,310    960,099 
Realized Net Gain (Loss)   702,756    751,038 
Change in Unrealized Appreciation (Depreciation)   920,208    1,473,746 
Net Increase (Decrease) in Net Assets Resulting from Operations   2,066,274    3,184,883 
Distributions1          
Investor Shares   (45,417)   (68,732)
Admiral Shares   (602,317)   (894,326)
Total Distributions   (647,734)   (963,058)
Capital Share Transactions          
Investor Shares   (68,364)   179,825 
Admiral Shares   49,267    2,077,386 
Net Increase (Decrease) from Capital Share Transactions   (19,097)   2,257,211 
Total Increase (Decrease)   1,399,443    4,479,036 
Net Assets          
Beginning of Period   33,604,814    29,125,778 
End of Period   35,004,257    33,604,814 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

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

 

59

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Financial Highlights

 

 

Investor Shares

 

   Six Months                       
   Ended                       
For a Share Outstanding  July 31,     Year Ended January 31, 
Throughout Each Period  2020     2020     2019     2018     2017     2016   
Net Asset Value, Beginning of Period  $10.23     $9.52     $9.61     $9.66     $9.72     $10.06   
Investment Operations                              
Net Investment Income   .1321   .3001   .3001   .2771   .278    .288 
Net Realized and Unrealized Gain (Loss) on Investments   .525    .711    (.087)   (.034)   .030    (.288)
Total from Investment Operations   .657    1.011    .213    .243    .308    .000 
Distributions                              
Dividends from Net Investment Income   (.134)   (.301)   (.303)   (.274)   (.276)   (.296)
Distributions from Realized Capital Gains   (.063)   —    —    (.016)   (.092)   (.044)
Total Distributions   (.197)   (.301)   (.303)   (.290)   (.368)   (.340)
Net Asset Value, End of Period  $10.69     $10.23     $9.52     $9.61     $9.66     $9.72   
                               
Total Return2   6.53%     10.76%     2.31%     2.47%     3.16%     0.03%  
                               
Ratios/Supplemental Data                              
Net Assets, End of Period (Millions)  $2,490     $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%     0.20%  
Ratio of Net Investment Income to Average Net Assets   2.59%     3.03%     3.20%     2.84%     2.80%     2.94%  
Portfolio Turnover Rate   56%3,4     114%3     73%3     63%     68%     70%  

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 3%, 1%, and 1% attributable to mortgage-dollar-roll activity.
4Excludes 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.

 

60

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

Financial Highlights

 

 

Admiral Shares

 

  Six Months          
  Ended          
For a Share Outstanding July 31, Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.23 $9.52 $9.61 $9.66 $9.72 $10.06
Investment Operations            
Net Investment Income .1371 .3091 .3101 .2881 .288 .298
Net Realized and Unrealized Gain (Loss) on Investments .525 .712 (.087) (.039) .030 (.288)
Total from Investment Operations .662 1.021 .223 .249 .318 .010
Distributions            
Dividends from Net Investment Income (.139) (.311) (.313) (.283) (.286) (.306)
Distributions from Realized Capital Gains (.063) — — (.016) (.092) (.044)
Total Distributions (.202) (.311) (.313) (.299) (.378) (.350)
Net Asset Value, End of Period $10.69 $10.23 $9.52 $9.61 $9.66 $9.72
             
Total Return2 6.59% 10.87% 2.41% 2.58% 3.27% 0.13%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $32,514 $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% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.69% 3.13% 3.30% 2.94% 2.90% 3.04%
Portfolio Turnover Rate 56%3,4 114%3 73%3 63% 68% 70%

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes 3%, 1%, and 1% attributable to mortgage-dollar-roll activity.
4Excludes 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.

 

61

 

 

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. 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.

 

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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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

 

62

 

 

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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 7% and 3% 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 Schedule of Investments. 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 Schedule of Investments. 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 gains (losses) on forward currency contracts.

 

63

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

During the six months ended July 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.

 

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 Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded 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

 

64

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

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 Schedule of Investments. 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 six months ended July 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 3% and 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 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 to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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

 

65

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

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.

 

Options contracts on futures are 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 six months ended July 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. The fund had no open options contracts on futures at July 31, 2020.

 

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.

 

At July 31, 2020, counterparties had deposited in segregated accounts securities with a value of $414,000 and cash of $320,000 in connection with TBA transactions.

 

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.

 

66

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

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.

 

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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

11. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans

 

67

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $1,526,000, representing less than 1% of the fund’s net assets and 0.61% 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 Schedule of Investments.

 

68

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

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

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 2,688,982 — 2,688,982
Asset-Backed/Commercial Mortgage-Backed Securities — 3,521,009 — 3,521,009
Corporate Bonds — 25,764,520 3 25,764,523
Sovereign Bonds — 2,700,881 — 2,700,881
Taxable Municipal Bonds — 62,343 — 62,343
Temporary Cash Investments 820,436 — — 820,436
Total 820,436 34,737,735 3 35,558,174
Derivative Financial Instruments        
Assets        
Futures Contracts1 1,492 — — 1,492
Forward Currency Contracts — 816 — 816
Swap Contracts 21 1,964 — 1,966
Total 1,494 2,780 — 4,274
Liabilities        
Futures Contracts1 1,767 — — 1,767
Forward Currency Contracts — 17,902 — 17,902
Swap Contracts 6631 6,908 — 7,571
Total 2,430 24,810 — 27,240

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

 

69

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

D.    At July 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)
Swap Premiums Paid — — 15,557 15,557
Variation Margin Receivable—Futures Contracts 1,492 — — 1,492
Variation Margin Receivable—Centrally Cleared Swap Contracts 2 — — 2
Unrealized Appreciation—Forward Currency Contracts — 816 — 816
Unrealized Appreciation— Over-the-Counter Swap Contracts — — 1,964 1,964
Total Assets 1,494 816 17,521 19,831
         
Swap Premiums Received — — 464 464
Variation Margin Payable—Futures Contracts 1,767 — — 1,767
Variation Margin Payable—Centrally Cleared Swap Contracts 104 — 559 663
Unrealized Depreciation—Forward Currency Contracts — 17,902 — 17,902
Unrealized Depreciation—Over-the-Counter Swap Contracts — — 6,908 6,908
Total Liabilities 1,871 17,902 7,931 27,704

 

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

 

  Interest Rate Currency Credit  
  Contracts Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000) ($000)
Futures Contracts 124,289 — — 124,289
Options Purchased 1,169 — (1,393) (224)
Options Written 2,443 — 894 3,337
Swap Contracts (23,130) — 48,743 25,613
Forward Currency Contracts — 21,141 — 21,141
Realized Net Gain (Loss) on Derivatives 104,771 21,141 48,244 174,156
         
Change in Unrealized Appreciation (Depreciation) on Derivatives      
Futures Contracts (39,785) — — (39,785)
Options Purchased 30 — (804) (774)
Options Written 499   (53) 446
Swap Contracts 1,654 — 24,764 26,418
Forward Currency Contracts — (26,431) — (26,431)
Change in Unrealized Appreciation (Depreciation) on Derivatives (37,602) (26,431) 23,907 (40,126)

 

70

 

 

Intermediate-Term Investment-Grade Fund

 

 

 

 

 

E.  As of July 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 33,209,009
Gross Unrealized Appreciation 2,480,382
Gross Unrealized Depreciation (120,199)
Net Unrealized Appreciation (Depreciation) 2,360,183

 

F.  During the six months ended July 31, 2020, the fund purchased $12,181,655,000 of investment securities and sold $10,737,771,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $7,879,743,000 and $7,852,908,000, respectively. Total purchases and sales include $0 and $181,402,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

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 six months ended July 31, 2020, such purchases and sales were $239,314,000 and $3,037,263,000, respectively; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

 

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

 

  Six Months Ended     Year Ended
  July 31, 2020   January 31, 2020
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 359,213 34,835   694,995 70,141
Issued in Lieu of Cash Distributions 40,473 3,978   61,073 6,151
Redeemed (468,050) (46,057)   (576,243) (58,273)
Net Increase (Decrease)—Investor Shares (68,364) (7,244)   179,825 18,019
Admiral Shares          
Issued 4,367,273 424,879   7,117,223 718,767
Issued in Lieu of Cash Distributions 515,958 50,693   755,605 76,093
Redeemed (4,833,964) (476,730)   (5,795,442) (589,254)
Net Increase (Decrease)—Admiral Shares 49,267 (1,158)   2,077,386

205,606

 

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

 

71

 

 

Long-Term Investment-Grade Fund

 

 

 

Fund Allocation

As of July 31, 2020

 

Corporate Bonds—Finance 18.5%
Corporate Bonds—Industrial 49.7
Corporate Bonds—Utilities 15.6
Sovereign Bonds 1.6
Taxable Municipal Bonds 9.7
U.S. Government and Agency Obligations 4.9

The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

72

 

 

Long-Term Investment-Grade Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments—Investments Summary

As of July 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 United States Treasury Note/Bond 4.500% 2/15/36 114,585   178,574   0.8%  
  United States Treasury Note/Bond 2.375% 11/15/49 100,000   129,344   0.6%  
1 United States Treasury Note/Bond 4.750% 2/15/41 70,000   119,492   0.6%  
  United States Treasury Note/Bond 4.750% 2/15/37 50,000   81,226   0.4%  
  United States Treasury Note/Bond 1.500% 2/15/30 72,000   78,570   0.4%  
  United States Treasury Note/Bond 3.000% 11/15/44 55,000   76,673   0.4%  
1,2,3 United States Treasury Note/Bond 0.000%–5.250% 4/15/23–2/15/50 230,137   275,887   1.2%  
            939,766   4.4%  
                   
Agency Notes †         69,106   0.3%  
                   
Nonconventional Mortgage-Backed Securities †     4   0.0%  
Total U.S. Government and Agency Obligations (Cost $846,638)   1,008,876   4.7%  
Corporate Bonds                
Finance                
  Banking                
4 Bank of America Corp. 4.244% 4/24/38 80,255   101,058   0.5%  
4 Bank of America Corp. 3.946% 1/23/49 62,960   81,514   0.4%  
4 Bank of America Corp. 4.083% 3/20/51 55,890   72,570   0.3%  
4 Bank of America Corp. 2.496%–5.875% 2/13/31–3/15/50 199,254   244,064   1.1%  
  Bank of America NA 6.000% 10/15/36 20,450   30,350   0.1%  
  Bank One Corp. 8.000% 4/29/27 7,080   9,810   0.0%  
4 Citigroup Inc. 3.878% 1/24/39 69,980   84,693   0.4%  
4 Goldman Sachs Group Inc. 4.017% 10/31/38 139,440   169,266   0.8%  
4 Goldman Sachs Group Inc. 4.411%–6.250% 4/23/39–10/21/45 70,406   95,411   0.4%  
  HSBC Holdings plc 6.800% 6/1/38 48,749   71,757   0.3%  

 

73

 

 

Long-Term Investment-Grade Fund

 

 

 

        Face   Market   Percentage  
      Maturity Amount   Value•   of Net  
    Coupon Date ($000 ) ($000 ) Assets  
4 JPMorgan Chase & Co. 3.964% 11/15/48 96,335   124,519   0.6%  
4 JPMorgan Chase & Co. 3.882% 7/24/38 67,332   82,752   0.4%  
4 JPMorgan Chase & Co. 2.956%–6.400% 5/13/31–4/22/51 213,832   296,302   1.4%  
4 Morgan Stanley 3.971% 7/22/38 103,500   128,949   0.6%  
4 Morgan Stanley 4.300%–7.250% 4/1/32–3/24/51 134,451   198,757   0.9%  
  Wachovia Corp. 5.500% 8/1/35 2,322   3,139   0.0%  
  Wells Fargo & Co. 5.606% 1/15/44 130,765   183,881   0.9%  
  Wells Fargo & Co. 5.375% 11/2/43 55,167   78,083   0.4%  
4 Wells Fargo & Co. 1.741%–5.013% 5/4/30–4/4/51 158,540   204,138   1.0%  
  Wells Fargo Bank NA 6.600% 1/15/38 500   757   0.0%  
  Banking—Other †         205,916   1.0%  
5 Brokerage †         44,734   0.2%  
  Insurance                
  Berkshire Hathaway Finance Corp. 4.250% 1/15/49 67,922   93,337   0.4%  
  Berkshire Hathaway Finance Corp. 4.200%–4.400% 5/15/42–8/15/48 33,695   46,186   0.2%  
  Berkshire Hathaway Inc. 4.500% 2/11/43 47,747   67,184   0.3%  
  MetLife Inc. 4.125% 8/13/42 56,081   72,924   0.3%  
  UnitedHealth Group Inc. 4.750% 7/15/45 53,920   77,068   0.4%  
  UnitedHealth Group Inc. 2.750%–6.875% 3/15/36–5/15/60 250,807   332,352   1.6%  
5 Insurance—Other †         545,584   2.6%  
  Other Finance †         1,672   0.0%  
5 Real Estate Investment Trusts †       73,046   0.3%  
            3,821,773   17.8%  
Industrial                
5 Basic Industry †         120,402   0.5%  
5 Capital Goods †         509,131   2.4%  
  Communication                
  Comcast Corp. 4.950% 10/15/58 95,851   147,817   0.7%  
  Comcast Corp. 3.969% 11/1/47 85,688   109,553   0.5%  
  Comcast Corp. 4.750% 3/1/44 59,170   83,247   0.4%  
  Comcast Corp. 4.700% 10/15/48 54,270   77,663   0.4%  
  Comcast Corp. 4.600% 10/15/38 54,153   73,247   0.3%  
  Comcast Corp. 2.800%–6.500% 6/15/35–11/1/52 274,739   356,867   1.7%  
  NBCUniversal Media LLC 4.450%–5.950% 4/1/41–1/15/43 39,597   57,293   0.3%  
  Walt Disney Co. 3.600% 1/13/51 83,651   98,468   0.4%  
  Walt Disney Co. 2.750% 9/1/49 78,835   81,036   0.4%  
  Walt Disney Co. 3.000%–7.550% 12/15/34–7/15/93 127,776   159,887   0.7%  
5 Communication—Other †       402,560   1.9%  
  Consumer Cyclical                
  Amazon.com Inc. 4.050% 8/22/47 93,075   127,345   0.6%  
  Amazon.com Inc. 4.250% 8/22/57 49,348   72,200   0.3%  
2 Amazon.com Inc. 2.500%–4.950% 12/5/34–6/3/60 101,504   126,188   0.6%  
  Home Depot Inc. 4.875% 2/15/44 60,115   86,594   0.4%  
  Home Depot Inc. 3.125%–5.950% 12/16/36–9/15/56 169,679   237,897   1.1%  
  Walmart Inc. 3.950% 6/28/38 96,757   126,999   0.6%  
  Walmart Inc. 3.625% 12/15/47 64,145   84,823   0.4%  
  Walmart Inc. 2.950%–5.625% 4/1/40–9/24/49 55,678   77,488   0.4%  
5 Consumer Cyclical—Other †       472,386   2.2%  
  Consumer Noncyclical                
  Bristol-Myers Squibb Co. 4.250% 10/26/49 88,695   127,839   0.6%  
  Gilead Sciences Inc. 4.150%–5.650% 9/1/35–3/1/47 165,467   232,218   1.1%  
  Johnson & Johnson 3.400%–3.750% 3/1/36–3/3/47 188,772   238,589   1.1%  

 

74

 

 

Long-Term Investment-Grade Fund

 

 

 

        Face   Market   Percentage  
      Maturity Amount   Value•   of Net  
    Coupon Date ($000 ) ($000 ) Assets  
  Merck & Co. Inc. 3.700% 2/10/45 75,455   98,080   0.5%  
  Pfizer Inc. 2.550%–7.200% 9/15/38–5/28/50 185,453   261,324   1.2%  
5 Upjohn Inc. 3.850% 6/22/40 2,000   2,280   0.0%  
  Wyeth LLC 5.950% 4/1/37 53,438   82,032   0.4%  
  Wyeth LLC 6.500% 2/1/34 1,240   1,953   0.0%  
5 Consumer Noncyclical—Other †         1,682,345   7.8%  
  Energy                
  Shell International Finance BV 3.125%–6.375% 5/11/35–11/7/49 191,149   245,174   1.1%  
5 Energy—Other †         420,766   2.0%  
5 Other Industrial †         191,538   0.9%  
  Technology                
  Apple Inc. 2.650%–4.650% 2/23/36–5/11/50 326,791   429,266   2.0%  
  Intel Corp. 3.100%–4.950% 3/25/40–3/25/60 192,733   240,880   1.1%  
  International Business Machines Corp. 4.150% 5/15/39 104,215   131,703   0.6%  
  International Business Machines Corp. 4.250% 5/15/49 89,470   116,735   0.5%  
  International Business Machines Corp. 2.950%–4.000% 6/20/42–5/15/50 17,348   20,901   0.1%  
  Microsoft Corp. 2.525% 6/1/50 248,789   273,989   1.3%  
  Microsoft Corp. 3.700% 8/8/46 85,523   111,676   0.5%  
  Microsoft Corp. 2.675% 6/1/60 66,699   73,900   0.3%  
  Microsoft Corp. 3.450%–4.100% 2/12/35–8/8/56 117,507   155,493   0.7%  
  Oracle Corp. 4.000% 7/15/46 81,361   101,363   0.5%  
  Oracle Corp. 6.500% 4/15/38 47,155   76,223   0.4%  
  Oracle Corp. 3.600%–6.125% 7/8/34–4/1/60 299,892   387,156   1.8%  
  QUALCOMM Inc. 4.300% 5/20/47 60,300   80,776   0.4%  
5 Technology—Other †         251,342   1.2%  
  Transportation                
  Burlington Northern Santa Fe LLC 3.050%–7.950% 8/15/30–2/15/51 242,179   328,930   1.5%  
5 Transportation—Other †         183,589   0.9%  
            10,237,151   47.7%  
Utilities                
  Electric                
  Baltimore Gas & Electric Co. 3.200%–6.350% 10/1/36–9/15/49 29,584   39,810   0.2%  
  Baltimore Gas and Electric Co. 2.900% 6/15/50 795   886   0.0%  
5 Berkshire Hathaway Energy Co. 4.250%–6.125% 4/1/36–10/15/50 86,613   122,502   0.6%  
  Commonwealth Edison Co. 3.650%–5.900% 3/15/36–3/1/49 116,827   153,631   0.7%  
  Consolidated Edison Co. of New York Inc. 3.850%–6.750% 6/15/33–5/15/58 176,764   238,963   1.1%  
  Duke Energy Carolinas LLC 3.200%–6.450% 10/15/32–8/15/49 123,498   168,448   0.8%  
  Duke Energy Florida LLC 4.200%–6.350% 9/15/37–7/15/48 2,958   4,397   0.0%  
  Duke Energy Indiana LLC 4.200%–6.450% 10/15/35–7/15/43 58,014   82,233   0.4%  
  Duke Energy Ohio Inc. 3.700%–4.300% 6/15/46–2/1/49 12,609   16,217   0.1%  

 

75

 

 

Long-Term Investment-Grade Fund

 

 

 

        Face   Market   Percentage  
      Maturity Amount   Value•   of Net  
    Coupon Date ($000 ) ($000 ) Assets  
  Duke Energy Progress LLC 3.700%–4.200% 5/15/42–10/15/46 104,486   135,899   0.6%  
  MidAmerican Energy Co. 3.150%–5.800% 10/15/36–4/15/50 69,229   96,374   0.4%  
  Nevada Power Co. 3.125%–6.650% 4/1/36–8/1/50 45,750   64,246   0.3%  
  Northern States Power Co. 3.600%–6.250% 6/1/36–9/15/47 39,862   59,298   0.3%  
  Northern States Power Co. 2.600% 6/1/51 14,765   16,182   0.1%  
  Northern States Power Co. 4.200% 9/1/48 12,250   15,748   0.1%  
  PacifiCorp 3.300%–6.350% 6/15/35–3/15/51 164,993   237,716   1.1%  
  PECO Energy Co. 3.700%–4.800% 10/15/43–3/1/48 53,502   70,900   0.3%  
  Potomac Electric Power Co. 4.150%–7.900% 11/15/37–3/15/43 14,877   19,424   0.1%  
  Public Service Co. of Colorado 3.200%–6.250% 9/1/37–3/1/50 59,647   78,161   0.4%  
  Southwestern Public Service Co. 3.150%–4.500% 8/15/41–5/1/50 60,185   74,597   0.3%  
  Virginia Electric & Power Co. 6.000% 5/15/37 57,203   85,902   0.4%  
5 Electric—Other †         1,305,062   6.1%  
5 Natural Gas †         122,903   0.6%  
  Other Utility †         13,147   0.1%  
            3,222,646   15.1%  
Total Corporate Bonds (Cost $13,480,031)       17,281,570   80.6%  
Sovereign Bonds                
4 Republic of Chile 3.500% 1/25/50 59,702   72,647   0.3%  
5 Sovereign Bonds—Other †         257,927   1.2%  
Total Sovereign Bonds (Cost $278,699)       330,574   1.5%  
Taxable Municipal Bonds                
  California GO 7.600% 11/1/40 62,535   117,391   0.5%  
  California GO 7.300% 10/1/39 58,756   100,021   0.5%  
  California GO 2.500%–7.550% 10/1/29–11/1/39 71,366   101,161   0.5%  
  New Jersey Turnpike Authority Revenue 7.102% 1/1/41 42,407   72,841   0.3%  
  New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) 7.336% 11/15/39 52,254   85,666   0.4%  
  Taxable Municipal Bonds—Other †         1,515,187   7.1%  
Total Taxable Municipal Bonds (Cost $1,472,854)     1,992,267   9.3%  
                   
        Shares          
Temporary Cash Investments              
Money Market Fund                
6 Vanguard Market Liquidity Fund 0.194%   4,281,175   428,118   2.0%  

 

76

 

 

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 7/31/20, Repurchased Value $78,601,000, collateralized by Federal National Mortgage Assn. 2.000%–6.000%, 10/1/28–8/1/50, and Federal Home Loan Mortgage Corp. 2.350%–5.500%, 4/1/23–3/1/50, with a value of $80,172,000) 0.100% 8/3/20 78,600   78,600   0.4%  
Barclays Capital Inc. (Dated 7/31/20, Repurchased Value $90,201,000, collateralized by U.S. Treasury Note/Bond 2.625%, 6/15/21, with a value of $90,004,000) 0.070% 8/3/20 90,200   90,200   0.4%  
Citigroup Global Markets Inc. (Dated 7/31/20, Repurchased Value $55,100,000, collateralized by U.S. Treasury Bill/ Note/ Bond 0.000%–1.125%, 9/29/20–6/30/21, with a value of $56,202,000) 0.070% 8/3/20 55,100   55,100   0.2%  
RBC Capital Markets LLC (Dated 7/31/20, Repurchased Value $53,300,000, collateralized by Federal National Mortgage Assn. 2.500%-5.500%, 7/1/28–5/1/58, with a value of $54,366,000) 0.080% 8/3/20 53,300   53,300   0.2%  
Wells Fargo & Co. (Dated 7/31/20, Repurchased Value $57,701,000, collateralized by U.S. Treasury Note/Bond 2.375%–2.500%, 5/15/46–11/15/49, with a value of $58,854,000) 0.100% 8/3/20 57,700   57,700   0.3%  
          334,900   1.5%  
Total Temporary Cash Investments (Cost $762,946)       763,018   3.5%  
Total Investments (Cost $16,841,168)       21,376,305   99.6%  

 

77

 

 

Long-Term Investment-Grade Fund

 

 

 

  Market   Percentage  
  Value•   of Net  
  ($000 ) Assets  
Other Assets and Liabilities—Net 76,739   0.4%
Net Assets 21,453,044   100.0%

 

Cost is in $000.

•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.
1Securities with a value of $157,050,000 have been segregated as initial margin for open centrally cleared swap contracts.
2Securities with a value of $45,528,000 have been segregated as initial margin for open futures contracts.
3Securities with a value of $755,000 have been segregated as collateral for open over-the-counter swap contracts.
4The 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.
5Certain 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 July 31, 2020, the aggregate value of these securities was $786,606,000, representing 3.7% of net assets.
6Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

GO—General Obligation Bond.

 

 

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              
30-Year U.S. Treasury Bond September 2020 4,174   760,842   20,320  
10-Year U.S. Treasury Note September 2020 2,335   327,082   2,676  
Ultra Long U.S. Treasury Bond September 2020 1,147   261,158   9,246  
Ultra 10-Year U.S. Treasury Note September 2020 123   19,588   238  
5-Year U.S. Treasury Note September 2020 120   15,135   60  
            32,540  
               
Short Futures Contracts            
Ultra Long U.S. Treasury Bond September 2020 (3,028 ) (689,438 ) (30,175 )
10-Year U.S. Treasury Note September 2020 (370 ) (51,829 ) (449 )
2-Year U.S. Treasury Note September 2020 (174 ) (38,451 ) (41 )
Long Gilt September 2020 (68 ) (12,333 ) (164 )
Euro-Bund September 2020 (50 ) (10,456 ) (95 )
Euro-Buxl September 2020 (25 ) (6,621 ) (290 )
Euro-Schatz September 2020 (20 ) (2,643 ) (4 )
Euro-Bobl September 2020 (5 ) (797 ) (5 )
            (31,223 )
            1,317  

 

78

 

 

Long-Term Investment-Grade Fund

 

 

Forward Currency Contracts                  
  Contract           Unrealized   Unrealized  
  Settlement   Contract Amount (000 ) Appreciation   (Depreciation )
Counterparty Date   Receive   Deliver   ($000 ) ($000 )
Barclays Bank plc 8/17/20 EUR 1,733 USD 2,038   4   —  
Morgan Stanley Capital Services LLC 8/17/20 EUR 650 USD 744   22   —  
Bank of America, N.A. 8/17/20 EUR 505 USD 577   19   —  
J.P. Morgan Securities LLC 8/17/20 GBP 106 USD 139   —   —  
Citigroup Global Markets Inc. 8/17/20 USD 21,517 EUR 18,924   —   (784 )
Royal Bank of Canada 8/17/20 USD 10,915 MXN 243,857   —   (18 )
Morgan Stanley Capital Services LLC 8/17/20 USD 9,318 GBP 7,391   —   (358 )
Morgan Stanley Capital Services LLC 8/17/20 USD 825 EUR 713   —   (15 )
J.P. Morgan Securities LLC 8/17/20 USD 731 GBP 579   —   (28 )
J.P. Morgan Securities LLC 8/17/20 USD 648 EUR 562   —   (14 )
BNP Paribas 8/17/20 USD 639 EUR 545   —   (3 )
State Street Bank & Trust Co. 8/17/20 USD 635 GBP 504   —   (25 )
J.P. Morgan Securities LLC 8/17/20 USD 470 EUR 398   1   —  
Bank of America, N.A. 8/17/20 USD 176 EUR 149   —   —  
Royal Bank of Canada 8/17/20 USD 139 AUD 198   —   (3 )
State Street Bank & Trust Co. 8/17/20 USD 4 JPY 447   —   —  
              46   (1,248 )

 

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

MXN—Mexican peso.

USD—U.S. dollar.

 

79

 

 

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-S34-V1 6/20/25 USD 3,530,390 1.000 49,657 56,191
CDX-NA-IG-S34-V1 6/20/25 USD 211,901 1.000 2,981 3,138
CDX-NA-HY-S34-V1 6/20/25 USD 2,613 5.000 67 17
          52,705 59,346

 

1Periodic premium received/paid quarterly.

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   110   9   101   —  
              110   9   101   —  
                             
Credit Protection Purchased                        
Bank of China Ltd. 12/20/21 BNPSW 300   (1.000 ) (4 ) —   —   (4 )
Federative Republic of Brazil 12/20/25 BOANA 315   (1.000 ) 19   48   —   (29 )
Federative Republic of Brazil 12/20/25 GSCM 315   (1.000 ) 19   45   —   (26 )

 

80

 

 

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 Colombia 6/20/25 GSI 555   (1.000 ) 7   56   —   (49 )
Republic of Colombia 6/20/25 JPMC 5,600   (1.000 ) 67   576   —   (509 )
              108   725   —   (617 )
              218   734   101   (617 )

 

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.

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

JPMC—JP Morgan Chase Bank.

 

At July 31, 2020, the counterparties had deposited in segregated accounts securities with a value of $90,000 in connection with open over-the-counter swap contracts.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

81

 

 

Long-Term Investment-Grade Fund

 

 

Statement of Assets and Liabilities  
As of July 31, 2020  

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $16,413,122) 20,948,187
Affiliated Issuers (Cost $428,046) 428,118
Total Investments in Securities 21,376,305
Investment in Vanguard 897
Foreign Currency, at Value (Cost $332) 359
Receivables for Investment Securities Sold 28,645
Receivables for Accrued Income 183,143
Receivables for Capital Shares Issued 13,368
Swap Premiums Paid 735
Variation Margin Receivable—Futures Contracts 1,481
Variation Margin Receivable—Centrally Cleared Swap Contracts 87
Unrealized Appreciation—Forward Currency Contracts 46
Unrealized Appreciation—Over-the-Counter Swap Contracts 101
Other Assets 108
Total Assets 21,605,275
Liabilities  
Due to Custodian 3,403
Payables for Investment Securities Purchased 78,367
Payables to Investment Advisor 756
Payables for Capital Shares Redeemed 54,603
Payables for Distributions 9,077
Payables to Vanguard 1,296
Variation Margin Payable—Futures Contracts 1,542
Variation Margin Payable—Centrally Cleared Swap Contracts 1,322
Unrealized Depreciation—Forward Currency Contracts 1,248
Unrealized Depreciation—Over-the-Counter Swap Contracts 617
Total Liabilities 152,231
Net Assets 21,453,044

 

82

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

Statement of Assets and Liabilities (continued)

 

 

At July 31, 2020, net assets consisted of:

 

($000s, except shares and per-share amounts) Amount
Paid-in Capital 16,351,128
Total Distributable Earnings (Loss) 5,101,916
Net Assets 21,453,044
   
Investor Shares—Net Assets  
Applicable to 411,682,797 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 5,150,273
Net Asset Value Per Share—Investor Shares $12.51
   
Admiral Shares—Net Assets  
Applicable to 1,303,149,547 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 16,302,771
Net Asset Value Per Share—Admiral Shares $12.51

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

83

 

 

Long-Term Investment-Grade Fund

 

 

Statement of Operations

 

  Six Months Ended
  July 31, 2020
  ($000)
Investment Income  
Income  
Interest1 325,817
Total Income 325,817
Expenses  
Investment Advisory Fees—Note B 1,588
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 4,292
Management and Administrative—Admiral Shares 6,958
Marketing and Distribution—Investor Shares 196
Marketing and Distribution—Admiral Shares 372
Custodian Fees 110
Shareholders’ Reports—Investor Shares 95
Shareholders’ Reports—Admiral Shares 32
Trustees’ Fees and Expenses 15
Total Expenses 13,658
Net Investment Income 312,159
Realized Net Gain (Loss)  
Investment Securities Sold1 523,741
Futures Contracts 93,246
Options Purchased 33
Options Written 214
Swap Contracts (70,280)
Forward Currency Contracts 1,136
Foreign Currencies (578)
Realized Net Gain (Loss) 547,512
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 1,321,460
Futures Contracts (13,100)
Options Purchased 1
Options Written 19
Swap Contracts 51,671
Forward Currency Contracts (1,566)
Foreign Currencies 42
Change in Unrealized Appreciation (Depreciation) 1,358,527
Net Increase (Decrease) in Net Assets Resulting from Operations 2,218,198

 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from affiliated companies of the fund were $715,000, ($302,000), and $58,000, respectively.

 

 

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

 

84

 

 

Long-Term Investment-Grade Fund

 

 

Statement of Changes in Net Assets

 

  Six Months Ended   Year Ended
  July 31,   January 31,
  2020   2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 312,159   678,614
Realized Net Gain (Loss) 547,512   638,954
Change in Unrealized Appreciation (Depreciation) 1,358,527   2,619,923
Net Increase (Decrease) in Net Assets Resulting from Operations 2,218,198   3,937,491
Distributions1      
Investor Shares (103,749)   (231,181)
Admiral Shares (345,320)   (731,409)
Total Distributions (449,069)   (962,590)
Capital Share Transactions      
Investor Shares (233,422)   116,420
Admiral Shares (359,298)   266,731
Net Increase (Decrease) from Capital Share Transactions (592,720)   383,151
Total Increase (Decrease) 1,176,409   3,358,052
Net Assets      
Beginning of Period 20,276,635   16,918,583
End of Period 21,453,044   20,276,635

 

1Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

85

 

 

Long-Term Investment-Grade Fund

 

 

Financial Highlights

 

 

Investor Shares            

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $11.48 $9.79 $10.40 $10.06 $10.00 $11.34
Investment Operations            
Net Investment Income .1881 .3811 .3971 .4051 .416 .430
Net Realized and Unrealized Gain (Loss) on Investments 1.100 1.854 (.560) .520 .260 (1.148)
Total from Investment Operations 1.288 2.235 (.163) .925 .676 (.718)
Distributions            
Dividends from Net Investment Income (.188) (.399) (.413) (.421) (.435) (.446)
Distributions from Realized Capital Gains (.070) (.146) (.034) (.164) (.181) (.176)
Total Distributions (.258) (.545) (.447) (.585) (.616) (.622)
Net Asset Value, End of Period $12.51 $11.48 $9.79 $10.40 $10.06 $10.00
             
Total Return2 11.44% 23.31% -1.45% 9.28% 6.71% -6.33%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $5,150 $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% 0.22% 0.21%
Ratio of Net Investment Income to Average Net Assets 3.09% 3.57% 4.08% 3.87% 3.92% 4.18%
Portfolio Turnover Rate 21% 34%3 32%3 27% 24% 35%4

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes less than 1% attributable to mortgage-dollar-roll activity.
4Excludes 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.

 

86

 

 

Long-Term Investment-Grade Fund

 

 

Financial Highlights

 

 

Admiral Shares            

 

  Six Months          
  Ended          
For a Share Outstanding July 31,     Year Ended January 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $11.48 $9.79 $10.40 $10.06 $10.00 $11.34
Investment Operations            
Net Investment Income .1941 .3921 .4071 .4151 .426 .440
Net Realized and Unrealized Gain (Loss) on Investments 1.100 1.853 (.560) .520 .260 (1.148)
Total from Investment Operations 1.294 2.245 (.153) .935 .686 (.708)
Distributions            
Dividends from Net Investment Income (.194) (.409) (.423) (.431) (.445) (.456)
Distributions from Realized Capital Gains (.070) (.146) (.034) (.164) (.181) (.176)
Total Distributions (.264) (.555) (.457) (.595) (.626) (.632)
Net Asset Value, End of Period $12.51 $11.48 $9.79 $10.40 $10.06 $10.00
             
Total Return2 11.50% 23.43% -1.35% 9.39% 6.82% -6.23%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $16,303 $15,335 $12,820 $11,925 $10,336 $9,946
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12% 0.12% 0.11% 0.12%
Ratio of Net Investment Income to Average Net Assets 3.19% 3.67% 4.18% 3.97% 4.03% 4.27%
Portfolio Turnover Rate 21% 34%3 32%3 27% 24% 35%4

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.
3Includes less than 1% attributable to mortgage-dollar-roll activity.
4Excludes 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.

 

87

 

 

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. 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.

 

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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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

 

88

 

 

Long-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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 5% and 3% 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 Schedule of Investments. 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 Schedule of Investments. 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 gains (losses) on forward currency contracts.

 

89

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

During the six months ended July 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.

 

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 Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded 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

 

90

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

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 Schedule of Investments. 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 six months ended July 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 to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if 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 selling options is that if 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.

 

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.

 

Options contracts on futures are 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

 

91

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

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 six months ended July 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. The fund had no open options contracts on futures at July 31, 2020.

 

7. Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund’s sensitivity to interest rates or to adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay a fixed rate and receive a floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount.

 

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.

 

The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is out-of-the money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the swaption is in-the-money, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.

 

Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded the Statement of Assets and Liabilities as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded the Statement of Assets and Liabilities as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions 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 six months ended July 31, 2020, the fund’s average value of investments in swaptions purchased and swaptions written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

 

92

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

8. 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.

 

9. 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.

 

10. 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

 

93

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

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.

 

11. 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 for the period ended July 31, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

12. 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

13. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

94

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

14. 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 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 $94,000 for the six months ended July 31, 2020.

 

For the six months ended July 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $897,000, representing less than 0.01% of the fund’s net assets and 0.36% 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 Schedule of Investments.

 

95

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

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

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 1,008,876 — 1,008,876
Corporate Bonds — 17,281,570 — 17,281,570
Sovereign Bonds — 330,574 — 330,574
Taxable Municipal Bonds — 1,992,267 — 1,992,267
Temporary Cash Investments 428,118 334,900 — 763,018
Total 428,118 20,948,187 — 21,376,305
Derivative Financial Instruments        
Assets        
Futures Contracts1 1,481 — — 1,481
Forward Currency Contracts — 46 — 46
Swap Contracts 871 101 — 188
Total 1,568 147 — 1,715
Liabilities        
Futures Contracts1 1,542 — — 1,542
Forward Currency Contracts — 1,248 — 1,248
Swap Contracts 1,3221 617 — 1,939
Total 2,864 1,865 — 4,729

 

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

 

96

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

E.  At July 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)
Swap Premiums Received — — 735 735
Variation Margin Receivable—Futures Contracts 1,481 — — 1,481
Variation Margin Receivable—CC Swap Contracts — — 87 87
Unrealized Appreciation—Forward Currency Contracts — 46 — 46
Unrealized Appreciation—OTC Swap Contracts — — 101 101
Total Assets 1,481 46 923 2,450
         
Variation Margin Payable—Futures Contracts 1,542 — — 1,542
Variation Margin Payable—CC Swap Contracts — — 1,322 1,322
Unrealized Depreciation—Forward Currency Contracts — 1,248 — 1,248
Unrealized Depreciation—OTC Swap Contracts — — 617 617
Total Liabilities 1,542 1,248 1,939 4,729

 

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

 

  Interest Rate Currency Credit  
  Contracts Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000) ($000)
Futures Contracts 93,246 — — 93,246
Options Purchased 29 — 4 33
Options Written 8 — 206 214
Swap Contracts 1,238 — (71,518) (70,280)
Forward Currency Contracts — 1,136 — 1,136
Realized Net Gain (Loss) on Derivatives 94,521 1,136 (71,308) 24,349
         
Change in Unrealized Appreciation (Depreciation) on Derivatives        
Futures Contracts (13,100) — — (13,100)
Options Purchased 1 — — 1
Options Written 35 — (16) 19
Swap Contracts 2 — 51,669 51,671
Forward Currency Contracts — (1,566) — (1,566)
Change in Unrealized Appreciation (Depreciation) on Derivatives (13,062) (1,566) 51,653 37,025

 

97

 

 

Long-Term Investment-Grade Fund

 

 

 

 

 

F.  As of July 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 16,847,035
Gross Unrealized Appreciation 4,623,181
Gross Unrealized Depreciation (34,966)
Net Unrealized Appreciation (Depreciation) 4,588,215

 

 

G.  During the six months ended July 31, 2020, the fund purchased $3,540,275,000 of investment securities and sold $2,885,185,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $608,939,000 and $1,977,478,000, respectively.

 

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

 

  Six Months Ended     Year Ended
  July 31, 2020   January 31, 2020
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
Investor Shares          
Issued 886,399 79,701   735,547 69,079
Issued in Lieu of Cash Distributions 99,888 8,683   222,754 20,587
Redeemed (1,219,709) (107,273)   (841,881) (77,813)
Net Increase (Decrease)—Investor Shares (233,422) (18,889)   116,420 11,853
Admiral Shares          
Issued 1,475,967 128,340   2,992,646 277,964
Issued in Lieu of Cash Distributions 276,982 24,085   605,130 55,918
Redeemed (2,112,247) (185,315)   (3,331,045) (307,633)
Net Increase (Decrease)—Admiral Shares (359,298) (32,890)   266,731 26,249

 

 

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

 

98

 

 

Trustees Approve Advisory Arrangements

 

 

The board of trustees of Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund, and Vanguard Long-Term Investment-Grade Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board also has renewed the investment advisory arrangement between Vanguard Long-Term Investment-Grade Fund and Wellington Management Company LLP (Wellington Management). The board determined that renewing each fund’s advisory arrangement(s) was in the best interests of the fund and its shareholders.

 

The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

 

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

 

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

 

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.

 

Nature, extent, and quality of services

The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of each advisor. The board considered the following:

 

Vanguard. Vanguard has been managing investments for more than four decades and has advised the Short-Term Investment-Grade and Intermediate-Term Investment-Grade Funds since their inceptions, and a portion of the Long-Term Investment-Grade Fund since 2013. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

 

Wellington Management. Founded in 1928, Wellington Management is among the nation’s oldest and most respected institutional investment managers. The portfolio manager has the support of a deep and experienced team of investment-grade credit research analysts. The team conducts independent credit analysis on individual issuers in the universe of bonds considered for the fund. The portfolio manager draws upon the sector experience of these analysts and the broader fixed income team at Wellington Management to manage the fund’s duration, sector, quality, and curve positioning. The firm has managed the Long-Term Investment-Grade Fund since its inception.

 

99

 

 

The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.

 

Investment performance

The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue.

 

Cost

The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate or expenses were also well below the peer-group average.

 

The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee for the Long-Term Investment-Grade Fund because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations. The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.

 

The benefit of economies of scale

The board concluded that the Long-Term Investment-Grade Fund shareholders benefit from economies of scale because of the breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.

 

The board also concluded that the Short-Term Investment-Grade, Intermediate-Term Investment-Grade, and Long-Term Investment-Grade Funds’ arrangements with Vanguard ensure that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.

 

The board will consider whether to renew the advisory arrangements again after a one-year period.

 

100

 

 

Liquidity Risk Management

 

 

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

 

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

 

The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Short-Term Investment-Grade Fund, Vanguard Intermediate-Term Investment-Grade Fund, and Vanguard Long-Term Investment-Grade Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds’ liquidity risk.

 

101

 

 

Change to Vanguard Short-Term Investment-Grade Fund and Vanguard Intermediate-Term Investment-Grade Fund

 

 

Earlier this year, the board of trustees of Vanguard Short-Term Investment-Grade Fund and Vanguard Intermediate-Term Investment-Grade Fund approved the removal of each fund’s limit on investing no more than 30% of its assets in medium-quality fixed income securities. Medium-quality fixed income securities, also known as “BBB-rated securities,” are considered investment-grade securities. They are rated the equivalent of Baa1, Baa2, or Baa3 by Moody’s Investors Service, Inc., or another independent rating agency or, if unrated, are determined to be of comparable quality by the fund’s advisor.

 

The credit quality composition of the U.S. investment-grade credit universe has shifted meaningfully over time, with BBB-rated securities now representing 45% of the investment-grade credit market, the largest segment by market value. The 30% limit on the funds’ investments in BBB-rated securities was put in place prior to this credit quality migration in the market. Removing the 30% limit provides these actively managed funds with flexibility to increase their exposure to BBB-rated securities to levels more consistent with the market-proportional share of BBB-rated securities, when market conditions warrant. BBB-rated securities have a history of strong risk-adjusted returns, and Vanguard believes investors can benefit from a broader investment opportunity set in BBB-rated securities.

 

Since their inception, the funds have been actively managed by Vanguard’s Fixed Income Group, which employs highly skilled and experienced credit analysts to closely examine the securities considered for inclusion in the funds’ portfolios. While the funds’ exposure to BBB-rated securities may increase—and therefore credit risk may increase—a thoughtful, long-term, and analytical approach supported by strong risk management practices will continue to govern any shifts in portfolio holdings allocation.

 

There were no changes to each fund’s expense ratio, investment objective, or advisor as a result of the removal of the 30% limit. The removal of the 30% limit took effect in May 2020, and each fund’s prospectus has been updated to reflect the change. Each fund’s holdings across bond credit-rating categories are available on the fund’s profile at vanguard.com.

 

102

 

 

This page intentionally left blank.

 

 

 

This page intentionally left blank.

 

 

 

This page intentionally left blank.

 

 

 

This page intentionally left blank.

 

 

 

This page intentionally left blank.

 

 

 

This page intentionally left blank.

 

 

 

This page intentionally left blank.

 

 

 

   

 

 

 

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.

 

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.

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
   
  Q392 092020

 

 

 

 

 

 

 

 

 

 

Semiannual Report  |  July 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  
   
About Your Fund’s Expenses 1
Financial Statements 4
Trustees Approve Advisory Arrangement 37
Liquidity Risk Management 39

 

 

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.

 

1

 

 

Six Months Ended July 31, 2020      
  Beginning Ending Expenses
  Account Value Account Value Paid During
Ultra-Short-Term Bond Fund 1/31/2020 7/31/2020 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,012.47 $1.00
Admiral™ Shares 1,000.00 1,012.98 0.50
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.87 $1.01
Admiral Shares 1,000.00 1,024.37 0.50

 

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 (182/366).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2

 

 

Ultra-Short-Term Bond Fund

 

 

Fund Allocation

As of July 31, 2020

 

Asset-Backed/Commercial Mortgage-Backed Securities 28.8%
Corporate Bonds 52.9
Foreign 8.7
Short-Term Reserves 9.6

 

The table reflects the fund’s investments, except for derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3

 

 

Ultra-Short-Term Bond Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments

As of July 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 (28.8%)
1 Ally Auto Receivables Trust 2017-5 2.220% 10/17/22 1,600 1,622
1 Ally Master Owner Trust Series 2018-2 3.290% 5/15/23 3,487 3,557
1 Ally Master Owner Trust Series 2018-2 3.300% 7/17/23 2,000 2,052
1 AmeriCredit Automobile Receivables Trust 2016-3 2.710% 9/8/22 3,390 3,426
1 AmeriCredit Automobile Receivables Trust 2016-4 2.410% 7/8/22 26,644 26,796
1 AmeriCredit Automobile Receivables Trust 2017-4 2.040% 7/18/22 2,047 2,051
1 AmeriCredit Automobile Receivables Trust 2019-3 2.170% 1/18/23 7,311 7,363
1 AmeriCredit Automobile Receivables Trust 2019-3 2.130% 7/18/25 23,085 23,707
1 AmeriCredit Automobile Receivables Trust 2020-2 0.660% 12/18/24 5,270 5,279
1 AmeriCredit Automobile Receivables Trust 2020-2 0.970% 2/18/26 1,840 1,842
1 AmeriCredit Automobile Receivables Trust 2020-2 1.480% 2/18/26 2,520 2,523
1,2 ARI Fleet Lease Trust 2018-B 3.220% 8/16/27 3,681 3,716
1,2 ARI Fleet Lease Trust 2020-A 1.770% 8/15/28 12,750 12,819
1,2 ARL Second LLC 2014-1A 2.920% 6/15/44 150 146
1,2 Avis Budget Rental Car Funding AESOP LLC 2015-2A 2.630% 12/20/21 30,546 30,495
1,2 Avis Budget Rental Car Funding AESOP LLC 2016-1A 2.990% 6/20/22 13,370 13,295
1,2 Avis Budget Rental Car Funding AESOP LLC 2016-2A 2.720% 11/20/22 11,095 11,037
1 BMW Vehicle Lease Trust 2019-1 2.920% 8/22/22 6,500 6,629
1 BMW Vehicle Owner Trust 2020-A 0.480% 10/25/24 27,070 27,089
1 BMW Vehicle Owner Trust 2020-A 0.620% 4/26/27 4,230 4,236
1,3 Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% 1.159% 2/25/30 82 81
1 California Republic Auto Receivables Trust 2016-2 2.520% 5/16/22 1,330 1,335
1 California Republic Auto Receivables Trust 2016-2 3.510% 3/15/23 540 542
1 California Republic Auto Receivables Trust 2018-1 3.140% 8/15/22 7,027 7,065
1 California Republic Auto Receivables Trust 2018-1 3.560% 3/15/23 5,000 5,113
1,2 Canadian Pacer Auto Receiveable Trust A Series 2019 2.780% 3/21/22 10,925 10,991
1,2 Canadian Pacer Auto Receiveable Trust A Series 2020 1.770% 11/21/22 30,504 30,702
1,2 Capital Auto Receivables Asset Trust 2018-1 2.930% 6/20/22 4,025 4,066
1,2 Capital Auto Receivables Asset Trust 2018-2 3.270% 6/20/23 9,930 10,000
1 CarMax Auto Owner Trust 2016-3 2.940% 1/17/23 1,360 1,364
1 CarMax Auto Owner Trust 2016-4 2.910% 4/17/23 6,520 6,566
1 CarMax Auto Owner Trust 2018-3 3.130% 6/15/23 12,560 12,817
1 CarMax Auto Owner Trust 2019-1 3.050% 3/15/24 1,850 1,907
1 CarMax Auto Owner Trust 2019-4 2.010% 3/15/23 20,112 20,286
1 CarMax Auto Owner Trust 2020-3 0.620% 3/17/25 41,050 41,179
1 CarMax Auto Owner Trust 2020-3 0.770% 3/16/26 4,660 4,686
1,2 Chesapeake Funding II LLC 2017-2A 1.990% 5/15/29 1,214 1,216
1,2 Chesapeake Funding II LLC 2017-3A 1.910% 8/15/29 3,946 3,954
1,2 Chesapeake Funding II LLC 2017-4A 2.120% 11/15/29 11,254 11,297

 

4

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
1,2 Chesapeake Funding II LLC 2018-1 3.040% 4/15/30 12,961 13,142
1,2 Chesapeake Funding II LLC 2018-2A 3.230% 8/15/30 42,477 43,050
1,2 Chesapeake Funding II LLC 2019-1 2.940% 4/15/31 28,866 29,482
§,1,2 Chesapeake Funding II LLC 2020-1 0.870% 8/16/32 17,160 17,159
1,2 Chrysler Capital Auto Receivables Trust 2016-BA 1.870% 2/15/22 354 355
1 CNH Equipment Trust 2019-A 2.960% 5/16/22 1,925 1,934
1 CNH Equipment Trust 2020-A 1.160% 6/16/25 8,030 8,140
1 CNH Equipment Trust 2020-A 1.510% 4/15/27 2,250 2,298
1 COMM 2014-CCRE14 Mortgage Trust 3.147% 2/10/47 31 31
1 COMM 2014-CCRE16 Mortgage Trust 3.653% 4/10/47 5,589 5,846
1,2 Dell Equipment Finance Trust 2018-1 3.180% 6/22/23 2,665 2,683
1,2 Dell Equipment Finance Trust 2019-1 2.780% 8/23/21 8,267 8,313
1,2 Dell Equipment Finance Trust 2019-1 2.830% 3/22/24 15,220 15,542
1,2 DLL Securitization Trust Series 2018-A3 3.460% 1/20/22 11,462 11,576
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 7,040 7,064
1,2 DLL Securitization Trust Series 2019-DA1 2.890% 4/20/23 14,950 15,260
1,2 DLL Securitization Trust Series 2019-MA2 2.270% 5/20/22 26,158 26,332
1,2 DLL Securitization Trust Series 2019-MT3 2.130% 1/20/22 48,652 48,979
1,2 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 798 809
1 Drive Auto Receivables Trust 2017-1 3.840% 3/15/23 3,443 3,493
1 Drive Auto Receivables Trust 2018-1 3.810% 5/15/24 15,825 16,181
1 Drive Auto Receivables Trust 2018-2 3.630% 8/15/24 5,790 5,823
1 Drive Auto Receivables Trust 2018-3 3.720% 9/16/24 9,059 9,142
1 Drive Auto Receivables Trust 2018-5 3.680% 7/15/23 11,076 11,132
1 Drive Auto Receivables Trust 2018-5 3.990% 1/15/25 4,488 4,599
1 Drive Auto Receivables Trust 2018-5 4.300% 4/15/26 300 315
1 Drive Auto Receivables Trust 2019-2 3.170% 11/15/23 18,000 18,270
1 Drive Auto Receivables Trust 2019-3 2.630% 9/15/22 1,147 1,147
1 Drive Auto Receivables Trust 2019-4 2.230% 1/16/24 13,400 13,598
1 Drive Auto Receivables Trust 2020-1 1.990% 12/15/22 9,890 9,938
1 Drive Auto Receivables Trust 2020-1 2.020% 11/15/23 3,310 3,356
1,2 Drive Auto Receivables Trust 2020-2 1.140% 1/16/24 6,083 6,104
1 Drive Auto Receivables Trust 2020-2 0.830% 5/15/24 7,270 7,291
1 Drive Auto Receivables Trust 2020-2 1.420% 3/17/25 1,820 1,841
1 Drive Auto Receivables Trust 2020-2 2.280% 8/17/26 1,520 1,552
1,2 DT Auto Owner Trust 2019-2A 2.850% 9/15/22 3,807 3,822
1,2 DT Auto Owner Trust 2019-3 2.550% 8/15/22 4,454 4,466
1,2 DT Auto Owner Trust 2020-1 1.940% 9/15/23 10,700 10,727
1,2 Enterprise Fleet Financing LLC Series 2017-3 2.130% 5/22/23 931 933
1,2 Enterprise Fleet Financing LLC Series 2018-1 2.870% 10/20/23 4,262 4,284
1,2 Enterprise Fleet Financing LLC Series 2018-3 3.380% 5/20/24 7,383 7,514
1,2 Enterprise Fleet Financing LLC Series 2019-1 2.980% 10/20/24 10,291 10,461
1,2 Evergreen Credit Card Trust 2018-1 2.950% 3/15/23 3,750 3,799
1,2 Fair Square Issuance Trust FSIT 2020-A 2.900% 9/20/24 3,060 3,056
1,2,3,4 Fannie Mae Connecticut Avenue Securities 2019-R07, 1M USD LIBOR + 0.770% 0.942% 10/25/39 1,744 1,743
1,2,3,4 Fannie Mae Connecticut Avenue Securities 2020-R02, 1M USD LIBOR + 0.750% 0.922% 1/25/40 19,642 19,576
1 Fifth Third Auto Trust 2019-1 2.660% 5/16/22 7,271 7,304
1,2 Flagship Credit Auto Trust 2018-1 2.590% 6/15/22 1,026 1,026
1,2 Flagship Credit Auto Trust 2018-3 3.070% 2/15/23 3,855 3,886
1,2 Flagship Credit Auto Trust 2020-1 1.490% 7/15/24 6,599 6,646

 

5

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
1,2 Flagship Credit Auto Trust 2020-3 0.700% 4/15/25 29,100 29,097
1 Ford Credit Auto Lease Trust 2019-A 2.900% 5/15/22 16,490 16,694
1 Ford Credit Auto Lease Trust 2019-A 3.250% 7/15/22 8,470 8,667
1 Ford Credit Auto Lease Trust 2020-A 1.800% 7/15/22 19,000 19,164
1 Ford Credit Auto Lease Trust 2020-B 0.620% 8/15/23 43,870 43,938
1 Ford Credit Auto Lease Trust 2020-B 0.690% 10/15/23 7,150 7,159
1 Ford Credit Auto Lease Trust 2020-B 1.000% 11/15/23 4,790 4,792
1 Ford Credit Auto Lease Trust 2020-B 1.700% 2/15/25 3,260 3,261
1,2 Ford Credit Auto Owner Trust 2017-2 2.360% 3/15/29 1,009 1,044
1,2 Ford Credit Auto Owner Trust 2018-REV2 3.470% 1/15/30 515 549
1 Ford Credit Auto Owner Trust 2020-A 1.040% 8/15/24 8,160 8,269
1 Ford Credit Auto Owner Trust 2020-A 1.350% 7/15/25 2,340 2,400
1 Ford Credit Auto Owner Trust 2020-B 0.560% 10/15/24 58,200 58,337
1 Ford Credit Floorplan Master Owner Trust A 2019-3 2.230% 9/15/24 5,020 5,156
1 Ford Credit Floorplan Master Owner Trust A Series 2017-2 2.340% 9/15/22 3,000 3,005
1 Ford Credit Floorplan Master Owner Trust A Series 2017-3 2.480% 9/15/24 1,000 1,034
1 Ford Credit Floorplan Master Owner Trust A Series 2018-3 3.520% 10/15/23 51,536 53,033
1 Ford Credit Floorplan Master Owner Trust A Series 2019-3 2.420% 9/15/24 2,050 2,073
1,2,4 Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1 3.723% 2/25/48 395 393
1,2,3,4 Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA1, 1M USD LIBOR + 0.700% 0.872% 1/25/50 1,745 1,743
1,2,3,4 Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA2, 1M USD LIBOR + 0.750% 0.922% 2/25/50 18,961 18,866
1,2,3,4 Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA1, 1M USD LIBOR + 0.750% 0.922% 1/25/50 1,059 1,057
1 GM Financial Automobile Leasing Trust 2019-3 2.030% 6/20/22 20,000 20,226
1 GM Financial Automobile Leasing Trust 2020-2 0.800% 7/20/23 15,170 15,249
1 GM Financial Automobile Leasing Trust 2020-2 1.010% 7/22/24 2,010 2,033
1 GM Financial Automobile Leasing Trust 2020-2 1.560% 7/22/24 1,400 1,420
1 GM Financial Automobile Leasing Trust 2020-2 2.560% 7/22/24 1,180 1,221
1 GM Financial Automobile Leasing Trust 2020-2 3.210% 12/20/24 1,680 1,726
1,2 GM Financial Consumer Automobile 2017-3 2.130% 3/16/23 1,500 1,523
1,2 GM Financial Consumer Automobile 2017-3 2.330% 3/16/23 40 41
1 GM Financial Consumer Automobile 2020-1 1.830% 1/17/23 8,624 8,688
1 GM Financial Consumer Automobile 2020-2 1.490% 12/16/24 15,000 15,304
1 GM Financial Consumer Automobile 2020-2 1.740% 8/18/25 9,000 9,377
1,2 GMF Floorplan Owner Revolving Trust 2018-2 3.130% 3/15/23 35,000 35,419
1,2 GMF Floorplan Owner Revolving Trust 2018-3 3.680% 9/15/22 1,430 1,433
1,2 GMF Floorplan Owner Revolving Trust 2018-4 3.440% 3/15/23 1,144 1,147
1,2 GMF Floorplan Owner Revolving Trust 2018-4 3.500% 9/15/23 71,625 73,671
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% 0.786% 12/19/59 4,071 4,068
1,2,3 Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450% 0.809% 8/25/60 10,557 10,541
1,2 GreatAmerica Leasing Receivables Funding LLC Series 2018-1 2.830% 6/17/24 1,310 1,336
1,2 GreatAmerica Leasing Receivables Funding LLC Series 2019-1 2.970% 6/15/21 7,632 7,667

 

6

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
1,2 GreatAmerica Leasing Receivables Funding LLC Series 2020-1 1.760% 6/15/22 51,800 52,210
1 Harley-Davidson Motorcycle Trust 2019-A 2.370% 5/15/22 5,980 6,004
1 Harley-Davidson Motorcycles 2020-A 1.830% 1/17/23 16,384 16,490
1,2 Hertz Fleet Lease Funding LP 2018-1 3.230% 5/10/32 27,426 27,714
1,2 Hertz Fleet Lease Funding LP 2019-1 2.700% 1/10/33 33,482 33,794
1,2 Hertz Vehicle Financing II LP 2015-2A 2.960% 10/25/21 27,312 27,308
1,2 Hertz Vehicle Financing II LP 2015-3A 2.670% 9/25/21 17,490 17,470
1,2 Hertz Vehicle Financing II LP 2016-2A 2.950% 3/25/22 21,264 21,240
1,2 Hertz Vehicle Financing II LP 2017-1 3.560% 10/25/21 20,990 20,800
1,2 Hertz Vehicle Financing II LP 2018-2A 3.650% 6/27/22 2,776 2,770
1 Honda Auto Receivables 2019-1 Owner Trust 2.830% 3/20/23 4,115 4,227
1 Honda Auto Receivables 2019-4 Owner Trust 1.870% 1/20/26 1,900 1,962
1 Honda Auto Receivables 2020-1 Owner Trust 1.610% 4/22/24 2,580 2,635
1 Honda Auto Receivables 2020-2 Owner Trust 0.820% 7/15/24 18,250 18,410
1 Honda Auto Receivables 2020-2 Owner Trust 1.090% 10/15/26 4,730 4,820
1,2 HPEFS Equipment Trust 2019-1 2.190% 9/20/29 8,394 8,450
1,2 HPEFS Equipment Trust 2019-1 2.210% 9/20/29 2,100 2,136
1,2 HPEFS Equipment Trust 2020-1 1.730% 2/20/30 17,250 17,415
1,2 Hyundai Auto Lease Securitization Trust 2019-A 2.980% 7/15/22 15,000 15,187
1,2 Hyundai Auto Lease Securitization Trust 2020-A 1.950% 7/17/23 725 740
1 Hyundai Auto Receivables Trust 2019-B 2.000% 4/15/25 4,727 4,912
1 Hyundai Auto Receivables Trust 2020-A 1.410% 11/15/24 14,760 15,024
1 Hyundai Auto Receivables Trust 2020-A 1.720% 6/15/26 9,260 9,612
1 Hyundai Auto Receivables Trust 2020-B 0.480% 12/16/24 36,200 36,219
1 Hyundai Auto Receivables Trust 2020-B 0.620% 12/15/25 8,020 8,029
1 John Deere Owner Trust 2020-B 0.510% 11/15/24 14,550 14,558
1 John Deere Owner Trust 2020-B 0.720% 6/15/27 3,820 3,824
1,2 Kubota Credit Owner Trust 2020-1 1.960% 3/15/24 7,540 7,693
1,2 Kubota Credit Owner Trust 2020-2A 0.590% 10/15/24 17,700 17,713
1,2 Kubota Credit Owner Trust 2020-2A 0.730% 6/15/26 4,810 4,816
1,2,3 Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420% 0.778% 12/22/69 3,456 3,456
1,3 Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% 0.778% 12/22/69 12,617 12,528
1,2 Lanark Master Issuer plc 2020-1A 2.277% 12/22/69 720 731
1,2 Master Credit Card Trust II 20-1A A 1.990% 9/21/24 5,320 5,469
1 Mercedes-Benz Auto Lease Trust 2019-A 2.000% 10/17/22 40,359 40,956
1 Mercedes-Benz Auto Lease Trust 2020-A 1.840% 12/15/22 20,000 20,359
1 Mercedes-Benz Auto Receivables Trust 2020-1 0.550% 2/18/25 25,830 25,889
1,2 MMAF Equipment Finance LLC 2015-AA 2.490% 2/19/36 8,343 8,513
1,2 MMAF Equipment Finance LLC 2018-A 2.920% 7/12/21 471 471
1,2 MMAF Equipment Finance LLC 2019-B 2.070% 10/12/22 15,217 15,383
1,2 MMAF Equipment Finance LLC 2020-A 0.740% 4/9/24 9,940 9,974
1,2,3 Motor plc 2017-1A, 1M USD LIBOR + 0.530% 0.702% 9/25/24 517 517
1,2 Navient Student Loan Trust 2019-A 3.030% 1/15/43 551 551
1,2,3 Navient Student Loan Trust 2019-A, 1M USD LIBOR + 0.400% 0.575% 12/15/59 6,876 6,862
1,2 Navient Student Loan Trust 2019-CA 2.820% 2/15/68 12,272 12,343
1,2 Navient Student Loan Trust 2019-E 2.390% 5/15/68 25,205 25,474
1,2 Navient Student Loan Trust 2019-F 2.180% 8/15/68 10,510 10,571
1,2 Navient Student Loan Trust 2020-B 1.800% 1/15/69 35,105 35,273
3 New Mexico Educational Assistance Foundation, 1M USD LIBOR + 0.700% 0.871% 1/2/25 37 36

 

7

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
1 Nissan Auto Lease Trust 2019-B 2.270% 7/15/22 27,000 27,369
1 Nissan Auto Lease Trust 2020-A 1.800% 5/16/22 36,000 36,301
1 Nissan Auto Receivables 2017-C Owner Trust 2.280% 2/15/24 320 327
1 Nissan Auto Receivables 2018-C Owner Trust 3.270% 6/16/25 1,870 1,987
1 Nissan Auto Receivables 2019-B Owner Trust 2.500% 11/15/23 10,000 10,293
1 Nissan Auto Receivables 2020-A Owner Trust 1.380% 12/16/24 20,640 20,987
1 Nissan Auto Receivables 2020-A Owner Trust 1.700% 5/17/27 6,830 7,074
1 Nissan Auto Receivables 2020-B Owner Trust 0.550% 7/15/24 50,050 50,088
1 Nissan Auto Receivables 2020-B Owner Trust 0.710% 1/15/27 7,030 7,037
1,2,3 Pepper Residential Securities Trust 2019-1, 1M USD LIBOR + 0.480% 0.658% 10/13/20 30,000 29,938
1,2,3 Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880% 1.057% 1/16/60 5,354 5,333
1,2,3 Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 0.350% 1.187% 6/20/60 11,548 11,458
1,2,3 Pepper Residential Securities Trust 2024-A1U, 1M USD LIBOR + 0.900% 1.087% 11/18/60 9,497 9,368
1,2,3 Permanent Master Issuer Plc 2018-1A, 3M USD LIBOR + 0.380% 0.655% 7/15/58 4,988 4,981
1,2 PFS Financing Corp 2018-B 2.890% 2/15/23 1,100 1,113
1,2 PFS Financing Corp. 2017-D 2.400% 10/17/22 430 431
1,2 PFS Financing Corp. 2020-A 1.270% 6/15/25 8,300 8,366
1,2 PFS Financing Corp. 2020-B 1.210% 6/15/24 5,000 5,028
1,2,3 Resimac Premier Series 2017-1A, 1M USD LIBOR + 0.950% 1.128% 9/11/48 4,083 4,076
1,2,3 Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850% 1.014% 12/5/59 6,439 6,416
1 Santander Drive Auto Receivables Trust 2016-3 2.800% 8/15/22 5,500 5,537
1 Santander Drive Auto Receivables Trust 2017-2 3.490% 7/17/23 10,000 10,159
1 Santander Drive Auto Receivables Trust 2017-3 2.760% 12/15/22 49 49
1 Santander Drive Auto Receivables Trust 2018-3 3.290% 10/17/22 135 135
1 Santander Drive Auto Receivables Trust 2018-3 3.510% 8/15/23 16,000 16,186
1 Santander Drive Auto Receivables Trust 2019-1 3.210% 9/15/23 6,529 6,591
1 Santander Drive Auto Receivables Trust 2020-2 0.670% 4/15/24 6,120 6,129
1 Santander Drive Auto Receivables Trust 2020-2 0.960% 11/15/24 3,120 3,122
1 Santander Drive Auto Receivables Trust 2020-2 1.460% 9/15/25 6,120 6,132
1,2 Santander Retail Auto Lease Trust 2019-A 2.770% 6/20/22 65,360 66,918
1,2 Santander Retail Auto Lease Trust 2019-B 2.290% 4/20/22 32,073 32,345
1,2 Santander Retail Auto Lease Trust 2019-C 1.890% 9/20/22 35,130 35,500
1,2 SCART 2020-AA A 1.370% 10/15/24 14,631 14,752
1,2 Securitized Term Auto Receivables Trust 2018-1A 3.068% 1/25/22 12,099 12,178
1,2 Securitized Term Auto Receivables Trust 2018-1A 3.298% 11/25/22 2,147 2,198
1,2,3 SMB Private Education Loan Trust 2019-B, 1M USD LIBOR + 0.350% 0.525% 7/15/26 5,849 5,835
1,2 SoFi Professional Loan Program 2018-A LLC 2.390% 2/25/42 5,301 5,302
1,2 SoFi Professional Loan Program 2018-B LLC 2.640% 8/25/47 2,675 2,682
1,2 SoFi Professional Loan Program 2018-C LLC 3.080% 1/25/48 8,626 8,672
1,2 SoFi Professional Loan Program 2018-D LLC 3.120% 2/25/48 5,166 5,179
1,2 Sofi Professional Loan Program 2019-A LLC 3.180% 6/15/48 6,192 6,235
1,2 SoFi Professional Loan Program 2019-B LLC 2.780% 8/17/48 13,692 13,806
1,2 SoFi Professional Loan Program 2019-C LLC 2.130% 11/16/48 12,446 12,512
1,2 SoFi Professional Loan Program 2020-A 2.060% 5/15/46 9,574 9,650
1 Synchrony Card Issuance Trust 2018-A1 3.380% 9/15/24 57,155 58,789
1,2 TCF Auto Receivables Owner Trust 2016-PT1 1.930% 6/15/22 1,919 1,923

 

8

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
1,2 Tesla Auto Lease Trust 2018-A 2.130% 4/20/22 27,203 27,532
1,2 Tesla Auto Lease Trust 2018-B 3.710% 8/20/21 12,590 12,754
1,2 Tesla Auto Lease Trust 2018-B 4.120% 10/20/21 2,800 2,879
1,2 Tesla Auto Lease Trust 2020-A 0.680% 12/20/23 7,040 7,039
1,2 Tesla Auto Lease Trust 2020-A 0.780% 12/20/23 1,270 1,270
1,2 Tesla Auto Lease Trust 2020-A 1.180% 1/22/24 2,080 2,080
1,2 Tesla Auto Lease Trust 2020-A 1.680% 2/20/24 1,050 1,050
1,2 Tidewater Auto Receivables Trust 2018-AA 3.450% 11/15/24 1,444 1,451
1,2 Tidewater Auto Receivables Trust 2020-AA 1.390% 8/15/24 20,000 20,092
1,2 Toyota Auto Loan Extended Note Trust 2019-1 2.560% 11/25/31 860 918
1 Toyota Auto Receivables 2020-A Owner Trust 1.660% 5/15/24 5,355 5,482
1 Toyota Auto Receivables 2020-B Owner Trust 1.360% 8/15/24 11,700 11,890
1 Toyota Auto Receivables 2020-B Owner Trust 1.660% 9/15/25 4,460 4,620
1 Toyota Auto Receivables 2020-C Owner Trust 0.570% 10/15/25 7,530 7,548
1,2 Transportation Finance Equipment Trust 2019-1 1.900% 1/24/22 17,330 17,411
1,2 Trillium Credit Card Trust II 2019-2A 3.038% 1/26/24 48,980 49,498
1,2 Trip Rail Master Funding LLC 2017-1A 2.709% 8/15/47 331 330
1 USAA Auto Owner Trust 2019-1 2.160% 7/17/23 6,890 6,983
1,2 Verizon Owner Trust 2017-2 2.380% 12/20/21 3,260 3,269
1,2 Verizon Owner Trust 2017-3 2.380% 4/20/22 9,290 9,361
1,2 Verizon Owner Trust 2017-3 2.530% 4/20/22 37,780 38,074
1,2 Verizon Owner Trust 2018-1 3.050% 9/20/22 37,984 38,852
1,2 Verizon Owner Trust 2018-1 3.200% 9/20/22 1,850 1,892
1 Verizon Owner Trust 2019-A 2.930% 9/20/23 44,015 45,224
1 Verizon Owner Trust 2019-A 1.940% 4/22/24 6,230 6,387
1 Verizon Owner Trust 2019-B 2.330% 12/20/23 4,230 4,338
1 Verizon Owner Trust 2020-A 1.850% 7/22/24 46,445 47,683
1 Verizon Owner Trust 2020-A 1.980% 7/22/24 1,280 1,290
1,2 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 8,910 8,911
1 Volkswagen Auto Loan Enhanced Trust 2018-1 3.020% 11/21/22 1,079 1,098
1 Volkswagen Auto Loan Enhanced Trust 2018-2 3.330% 2/20/25 2,850 2,994
1 Volkswagen Auto Loan Enhanced Trust 2020-1 0.980% 11/20/24 24,510 24,783
1 Volkswagen Auto Loan Enhanced Trust 2020-1 1.260% 8/20/26 3,590 3,673
1 Wells Fargo Commercial Mortgage Trust 2013-LC12 1.676% 7/15/46 16 16
1 WFRBS Commercial Mortgage Trust 2013-C18 3.027% 12/15/46 1 1
1 World Omni Auto Receivables Trust 2016-B 1.730% 7/15/23 2,510 2,517
1 World Omni Auto Receivables Trust 2018-A 2.500% 4/17/23 4,544 4,605
1 World Omni Auto Receivables Trust 2019-B 2.630% 6/15/22 10,242 10,293
1 World Omni Auto Receivables Trust 2020-A 1.100% 4/15/25 1,375 1,390
1 World Omni Auto Receivables Trust 2020-B 0.630% 5/15/25 34,560 34,641
1 World Omni Automobile Lease Securitization Trust 2019-A 2.890% 11/15/21 8,639 8,689
1 World Omni Automobile Lease Securitization Trust 2019-A 2.940% 5/16/22 17,500 17,834
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,065,637)   3,082,913
Corporate Bonds (53.1%)
Finance (31.0%)        
  Banking (23.6%)        
2 ABN AMRO Bank NV 2.650% 1/19/21 1,784 1,802
  American Express Co. 3.000% 2/22/21 10,320 10,448
  American Express Co. 3.700% 11/5/21 30,429 31,607
  American Express Co. 2.750% 5/20/22 11,884 12,346
  American Express Co. 2.650% 12/2/22 4,014 4,215

 

9

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  American Express Co. 3.400% 2/27/23 10,000 10,702
2 ANZ New Zealand Int’l Ltd. 2.125% 7/28/21 30,000 30,449
2 Australia & New Zealand Banking Group Ltd. 4.875% 1/12/21 2,418 2,466
  Australia & New Zealand Banking Group Ltd. 2.625% 5/19/22 8,000 8,312
3,5 Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.700% 2.798% 5/17/26 2,000 1,444
  Australia & New Zealand Banking Group Ltd. 2.050% 11/21/22 10,000 10,365
  Banco Santander SA 3.500% 4/11/22 20,400 21,291
1 Bank of America Corp. 2.738% 1/23/22 25,202 25,467
  Bank of America Corp. 5.700% 1/24/22 15,000 16,168
1 Bank of America Corp. 3.499% 5/17/22 20,660 21,124
1 Bank of America Corp. 2.816% 7/21/23 4,674 4,871
1 Bank of America Corp. 3.004% 12/20/23 41,655 43,821
3,5 Bank of America Corp., 3M Australian Bank Bill Rate + 1.550% 1.649% 8/5/21 5,000 3,604
  Bank of Montreal 2.900% 3/26/22 22,237 23,158
  Bank of Montreal 2.050% 11/1/22 4,515 4,667
  Bank of New York Mellon Corp. 4.150% 2/1/21 17,664 18,007
  Bank of New York Mellon Corp. 2.050% 5/3/21 10,780 10,906
  Bank of New York Mellon Corp. 3.550% 9/23/21 16,040 16,590
1 Bank of New York Mellon Corp. 2.661% 5/16/23 6,444 6,692
  Bank of Nova Scotia 2.000% 11/15/22 29,537 30,552
  Bank of Nova Scotia 2.375% 1/18/23 15,000 15,656
2 Banque Federative du Credit Mutuel SA 2.500% 4/13/21 3,000 3,037
2 Banque Federative du Credit Mutuel SA 2.125% 11/21/22 11,244 11,623
  Barclays Bank plc 1.700% 5/12/22 15,000 15,216
  Barclays plc 3.684% 1/10/23 19,280 19,985
1 Barclays plc 4.610% 2/15/23 3,520 3,703
2 BNP Paribas SA 2.950% 5/23/22 3,487 3,618
  BNP Paribas SA 3.250% 3/3/23 3,860 4,136
3,5 BNP Paribas SA, 3M Australian Bank Bill Rate + 1.750% 1.853% 12/16/22 5,650 4,077
  BPCE SA 2.650% 2/3/21 3,907 3,946
  BPCE SA 2.750% 12/2/21 2,450 2,524
2 BPCE SA 3.000% 5/22/22 21,658 22,448
1 Canadian Imperial Bank of Commerce 2.606% 7/22/23 63,386 65,733
  Canadian Imperial Bank of Commerce 3.500% 9/13/23 10,000 10,928
1 Capital One Bank USA NA 2.014% 1/27/23 15,600 15,886
  Capital One Financial Corp. 4.750% 7/15/21 1,983 2,062
  Capital One Financial Corp. 2.600% 5/11/23 26,051 27,318
  Capital One NA 2.250% 9/13/21 1,505 1,531
  Capital One NA 2.150% 9/6/22 13,304 13,700
1 Citibank NA 2.844% 5/20/22 8,320 8,470
  Citigroup Inc. 2.700% 3/30/21 25,000 25,383
  Citigroup Inc. 2.900% 12/8/21 10,000 10,302
  Citigroup Inc. 2.750% 4/25/22 22,800 23,627
  Citigroup Inc. 2.700% 10/27/22 3,815 3,989
1 Citigroup Inc. 2.312% 11/4/22 33,464 34,126
1 Citigroup Inc. 3.142% 1/24/23 12,000 12,405
  Citigroup Inc. 3.875% 10/25/23 3,500 3,855
  Citizens Bank NA 2.250% 10/30/20 3,500 3,511
  Citizens Bank NA 2.550% 5/13/21 13,725 13,935
3,5 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 2.650% 2.750% 6/3/26 14,400 10,400

 

10

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  Credit Suisse AG 2.100% 11/12/21 9,600 9,809
  Credit Suisse AG 2.800% 4/8/22 11,014 11,436
2 Credit Suisse Group AG 3.574% 1/9/23 16,232 16,826
  Credit Suisse Group Funding Guernsey Ltd. 3.125% 12/10/20 22,000 22,202
  Credit Suisse Group Funding Guernsey Ltd. 3.450% 4/16/21 4,665 4,764
2 Danske Bank A/S 2.750% 9/17/20 54,905 55,005
2 Danske Bank A/S 5.000% 1/12/22 23,604 24,910
2 Danske Bank A/S 2.700% 3/2/22 9,469 9,765
  Discover Bank 3.200% 8/9/21 4,017 4,111
  Discover Bank 3.350% 2/6/23 2,750 2,913
  Discover Bank 4.200% 8/8/23 2,000 2,201
  Discover Financial Services 3.850% 11/21/22 4,990 5,311
  Fifth Third Bancorp 3.500% 3/15/22 5,000 5,233
  Fifth Third Bank 2.250% 6/14/21 28,867 29,301
  Fifth Third Bank 2.875% 10/1/21 5,000 5,133
  Goldman Sachs Group Inc. 2.750% 9/15/20 63,100 63,139
  Goldman Sachs Group Inc. 2.600% 12/27/20 5,250 5,296
  Goldman Sachs Group Inc. 2.875% 2/25/21 30,180 30,545
  Goldman Sachs Group Inc. 5.250% 7/27/21 2,500 2,619
1 Goldman Sachs Group Inc. 2.876% 10/31/22 16,159 16,570
1 Goldman Sachs Group Inc. 2.908% 6/5/23 9,345 9,705
  HSBC Bank USA NA 4.875% 8/24/20 10,000 10,019
  HSBC Holdings plc 2.950% 5/25/21 67,920 69,297
  HSBC Holdings plc 2.650% 1/5/22 7,383 7,603
  HSBC Holdings plc 4.875% 1/14/22 17,935 19,014
  HSBC USA Inc. 5.000% 9/27/20 15,000 15,107
  Huntington Bancshares Inc. 3.150% 3/14/21 10,000 10,141
  Huntington Bancshares Inc. 2.300% 1/14/22 5,000 5,125
  ICICI Bank Ltd./Hong Kong 5.750% 11/16/20 8,200 8,287
2 ING Bank NV 2.050% 8/15/21 7,000 7,114
  ING Groep NV 3.150% 3/29/22 25,530 26,555
  JPMorgan Chase & Co. 2.295% 8/15/21 6,500 6,507
  JPMorgan Chase & Co. 4.350% 8/15/21 5,650 5,883
  JPMorgan Chase & Co. 4.500% 1/24/22 5,000 5,299
1 JPMorgan Chase & Co. 3.514% 6/18/22 22,262 22,847
  JPMorgan Chase & Co. 3.250% 9/23/22 32,732 34,722
  JPMorgan Chase & Co. 2.972% 1/15/23 22,510 23,330
1 JPMorgan Chase & Co. 3.207% 4/1/23 13,226 13,815
1 JPMorgan Chase & Co. 2.776% 4/25/23 16,005 16,621
  KeyBank NA/Cleveland OH 1.250% 3/10/23 5,005 5,105
  Lloyds Banking Group plc 3.100% 7/6/21 2,550 2,614
  Lloyds Banking Group plc 3.000% 1/11/22 6,000 6,188
1 Lloyds Banking Group plc 1.326% 6/15/23 13,000 13,026
1 Lloyds Banking Group plc 2.907% 11/7/23 24,800 25,916
  Macquarie Bank Ltd. 6.625% 4/7/21 6,700 6,951
2 Macquarie Group Ltd. 6.250% 1/14/21 14,130 14,484
5 Macquarie Group Ltd. 3.250% 12/15/22 15,600 11,420
  Manufacturers & Traders Trust Co. 2.500% 5/18/22 28,000 29,011
  Mitsubishi UFJ Financial Group Inc. 2.190% 9/13/21 17,124 17,446
  Mitsubishi UFJ Financial Group Inc. 3.218% 3/7/22 32,165 33,496
  Mitsubishi UFJ Financial Group Inc. 2.623% 7/18/22 9,600 9,977
  Mitsubishi UFJ Financial Group Inc. 3.455% 3/2/23 3,100 3,311
  Mitsubishi UFJ Financial Group Inc. 3.761% 7/26/23 20,000 21,727
2 Mizuho Financial Group Inc. 2.632% 4/12/21 9,850 9,998

 

11

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  Mizuho Financial Group Inc. 2.273% 9/13/21 16,545 16,869
  Mizuho Financial Group Inc. 2.953% 2/28/22 22,100 22,930
  Mizuho Financial Group Inc. 2.601% 9/11/22 5,000 5,195
1 Mizuho Financial Group Inc. 2.721% 7/16/23 1,000 1,035
  Morgan Stanley 5.750% 1/25/21 11,317 11,608
  Morgan Stanley 2.500% 4/21/21 18,000 18,286
  Morgan Stanley 2.625% 11/17/21 16,120 16,574
  Morgan Stanley 2.750% 5/19/22 15,000 15,597
  Morgan Stanley 4.875% 11/1/22 11,329 12,318
  Morgan Stanley 3.125% 1/23/23 10,000 10,634
  Morgan Stanley 3.750% 2/25/23 5,158 5,574
3 Morgan Stanley, SOFR + 0.700% 0.767% 1/20/23 20,000 20,070
2 MUFG Bank Ltd. 2.850% 9/8/21 22,000 22,560
  MUFG Union Bank NA 3.150% 4/1/22 15,585 16,263
  National Australia Bank Ltd. 2.500% 1/12/21 10,000 10,100
  National Bank of Canada 2.100% 2/1/23 6,650 6,856
2 Nationwide Building Society 2.000% 1/27/23 6,800 7,024
2 Nordea Bank Abp 1.000% 6/9/23 3,000 3,031
1 PNC Bank NA 2.232% 7/22/22 18,410 18,737
1 PNC Bank NA 1.743% 2/24/23 11,000 11,215
  PNC Bank NA 3.500% 6/8/23 6,455 6,987
  PNC Bank NA 3.800% 7/25/23 13,920 15,158
  Royal Bank of Canada 1.950% 1/17/23 19,283 19,942
  Santander Holdings USA Inc. 3.700% 3/28/22 6,600 6,839
  Santander UK Group Holdings plc 2.875% 10/16/20 6,078 6,107
  Santander UK Group Holdings plc 3.125% 1/8/21 5,000 5,056
  Santander UK plc 2.125% 11/3/20 1,500 1,507
  Santander UK plc 2.500% 1/5/21 5,194 5,241
2 Skandinaviska Enskilda Banken AB 3.050% 3/25/22 13,750 14,336
2 Skandinaviska Enskilda Banken AB 2.200% 12/12/22 5,215 5,418
1,2 State Street Corp. 2.825% 3/30/23 9,610 9,958
  Sumitomo Mitsui Financial Group Inc. 2.934% 3/9/21 29,199 29,600
  Sumitomo Mitsui Financial Group Inc. 2.442% 10/19/21 39,080 40,022
  Sumitomo Mitsui Financial Group Inc. 2.778% 10/18/22 13,817 14,407
  Sumitomo Mitsui Financial Group Inc. 3.748% 7/19/23 1,245 1,351
  Svenska Handelsbanken AB 3.350% 5/24/21 2,098 2,149
  Svenska Handelsbanken AB 1.875% 9/7/21 12,230 12,433
2 Swedbank AB 2.650% 3/10/21 10,410 10,540
2 Swedbank AB 2.800% 3/14/22 8,174 8,471
  Toronto-Dominion Bank 1.800% 7/13/21 9,850 9,998
  Toronto-Dominion Bank 1.900% 12/1/22 50,357 52,139
1 Truist Bank 3.525% 10/26/21 10,800 10,867
  Truist Bank 2.625% 1/15/22 4,750 4,899
  Truist Bank 2.800% 5/17/22 22,750 23,678
  Truist Bank 2.450% 8/1/22 10,000 10,381
1 Truist Bank 3.502% 8/2/22 12,201 12,544
  Truist Financial Corp. 2.750% 4/1/22 11,682 12,103
  Truist Financial Corp. 3.050% 6/20/22 10,345 10,840
2 UBS AG 2.450% 12/1/20 15,635 15,716
2 UBS AG/London 1.750% 4/21/22 26,178 26,732
2 UBS Group Funding Jersey Ltd. 2.950% 9/24/20 30,142 30,239
2 UBS Group Funding Jersey Ltd. 3.000% 4/15/21 13,330 13,574
2 UBS Group Funding Jersey Ltd. 2.650% 2/1/22 15,000 15,477
2 UBS Group Funding Switzerland AG 3.491% 5/23/23 1,250 1,306

 

12

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
1,2 UBS Group Funding Switzerland AG 2.859% 8/15/23 4,000 4,167
  Wells Fargo & Co. 4.600% 4/1/21 35,000 35,990
  Wells Fargo & Co. 3.500% 3/8/22 14,982 15,683
6 Wells Fargo & Co. 2.125% 4/22/22 2,930 3,913
  Wells Fargo & Co. 2.625% 7/22/22 24,800 25,779
  Wells Fargo & Co. 3.069% 1/24/23 5,366 5,549
3,5 Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.320% 1.422% 7/27/21 15,000 10,792
  Wells Fargo Bank NA 2.600% 1/15/21 5,000 5,053
1 Wells Fargo Bank NA 2.897% 5/27/22 4,790 4,873
1 Wells Fargo Bank NA 2.082% 9/9/22 16,500 16,760
  Westpac Banking Corp. 2.500% 6/28/22 22,175 23,064
  Westpac Banking Corp. 2.750% 1/11/23 5,155 5,432
3,5 Westpac Banking Corp., 3M Australian Bank Bill Rate + 3.100% 3.200% 3/10/26 18,500 13,357
  Zions Bancorp NA 3.500% 8/27/21 15,360 15,701
           
  Brokerage (0.3%)        
  Ameriprise Financial Inc. 3.000% 3/22/22 19,011 19,777
  Ameriprise Financial Inc. 4.000% 10/15/23 1,775 1,977
  Charles Schwab Corp. 2.650% 1/25/23 1,790 1,885
  Intercontinental Exchange Inc. 2.350% 9/15/22 4,820 5,009
  Intercontinental Exchange Inc. 3.450% 9/21/23 1,000 1,097
  Intercontinental Exchange Inc. 4.000% 10/15/23 2,497 2,770
           
  Finance Companies (0.3%)        
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625% 10/30/20 21,492 21,678
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625% 7/1/22 2,831 2,869
  Air Lease Corp. 2.250% 1/15/23 865 858
2 USAA Capital Corp. 1.500% 5/1/23 2,548 2,621
           
  Insurance (6.1%)        
  Aetna Inc. 2.750% 11/15/22 12,818 13,363
  Aetna Inc. 2.800% 6/15/23 4,028 4,256
2 AIG Global Funding 2.700% 12/15/21 6,520 6,708
2 AIG Global Funding 2.300% 7/1/22 2,560 2,640
2 AIG Global Funding 0.800% 7/7/23 15,895 15,959
  American International Group Inc. 6.400% 12/15/20 13,359 13,648
  American International Group Inc. 3.300% 3/1/21 6,325 6,412
  American International Group Inc. 4.875% 6/1/22 29,115 31,379
  Anthem Inc. 2.500% 11/21/20 25,000 25,156
  Anthem Inc. 3.125% 5/15/22 10,000 10,463
  Anthem Inc. 2.950% 12/1/22 12,900 13,580
  Anthem Inc. 3.300% 1/15/23 7,000 7,471
  Aon Corp. 2.200% 11/15/22 11,347 11,762
  Aon plc 2.800% 3/15/21 17,806 18,029
  Aon plc 4.000% 11/27/23 4,350 4,776
  Chubb INA Holdings Inc. 2.300% 11/3/20 25,958 26,044
  Chubb INA Holdings Inc. 2.875% 11/3/22 22,990 24,144
  Chubb INA Holdings Inc. 2.700% 3/13/23 1,687 1,782
2 Guardian Life Global Funding 3.400% 4/25/23 18,931 20,400
  Humana Inc. 2.900% 12/15/22 5,407 5,672

 

13

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
2 Jackson National Life Global Funding 3.300% 6/11/21 565 578
2 Jackson National Life Global Funding 2.100% 10/25/21 2,590 2,638
2 Jackson National Life Global Funding 3.300% 2/1/22 7,000 7,271
  Manulife Financial Corp. 4.900% 9/17/20 24,150 24,271
  Marsh & McLennan Cos. Inc. 4.800% 7/15/21 3,816 3,930
  Marsh & McLennan Cos. Inc. 2.750% 1/30/22 11,405 11,776
  Marsh & McLennan Cos. Inc. 3.300% 3/14/23 305 325
  Marsh & McLennan Cos. Inc. 4.050% 10/15/23 4,853 5,340
2 MassMutual Global Funding II 2.500% 10/17/22 18,192 19,036
2 MassMutual Global Funding II 0.850% 6/9/23 42,506 42,722
  MetLife Inc. 4.368% 9/15/23 2,150 2,406
2 Metropolitan Life Global Funding I 1.950% 9/15/21 29,826 30,347
2 Metropolitan Life Global Funding I 3.450% 10/9/21 30,000 31,085
2 Metropolitan Life Global Funding I 3.375% 1/11/22 4,905 5,114
2 Metropolitan Life Global Funding I 2.650% 4/8/22 5,000 5,194
2 Metropolitan Life Global Funding I 2.400% 6/17/22 2,240 2,328
2 Metropolitan Life Global Funding I 3.000% 1/10/23 2,000 2,125
2 Metropolitan Life Global Funding I 1.950% 1/13/23 22,000 22,767
2 Metropolitan Life Global Funding I 0.900% 6/8/23 15,000 15,118
2 New York Life Global Funding 2.300% 6/10/22 850 881
2 New York Life Insurance Co. 1.100% 5/5/23 11,895 12,097
2 Pricoa Global Funding I 2.200% 6/3/21 12,000 12,180
2 Pricoa Global Funding I 3.450% 9/1/23 21,249 23,115
2 Principal Life Global Funding II 2.625% 11/19/20 2,277 2,293
2 Principal Life Global Funding II 2.375% 11/21/21 750 767
2 Protective Life Global Funding 2.700% 11/25/20 40,840 40,977
2 Protective Life Global Funding 1.082% 6/9/23 8,135 8,246
  Prudential Financial Inc. 4.500% 11/15/20 1,423 1,440
2 Reliance Standard Life Global Funding II 3.050% 1/20/21 15,000 15,149
2 Reliance Standard Life Global Funding II 2.625% 7/22/22 600 618
2 Reliance Standard Life Global Funding II 2.150% 1/21/23 5,515 5,647
  UnitedHealth Group Inc. 2.875% 3/15/22 9,315 9,630
  UnitedHealth Group Inc. 2.375% 10/15/22 14,049 14,649
  UnitedHealth Group Inc. 3.500% 6/15/23 1,624 1,769
  WR Berkley Corp. 5.375% 9/15/20 6,618 6,645
           
  Real Estate Investment Trusts (0.7%)        
  Alexandria Real Estate Equities Inc. 3.900% 6/15/23 1,750 1,895
  AvalonBay Communities Inc. 2.850% 3/15/23 500 523
  AvalonBay Communities Inc. 4.200% 12/15/23 2,840 3,139
  Boston Properties LP 3.850% 2/1/23 8,725 9,303
  Boston Properties LP 3.125% 9/1/23 225 239
  Camden Property Trust 2.950% 12/15/22 1,000 1,044
  Corporate Office Properties LP 3.700% 6/15/21 15,000 15,230
  Digital Realty Trust LP 2.750% 2/1/23 5,020 5,247
  Federal Realty Investment Trust 2.550% 1/15/21 2,700 2,704
  Federal Realty Investment Trust 3.000% 8/1/22 475 485
  Highwoods Realty LP 3.200% 6/15/21 10,000 10,165
  Highwoods Realty LP 3.625% 1/15/23 750 780
  Kimco Realty Corp. 3.200% 5/1/21 5,295 5,365
  National Retail Properties Inc. 3.300% 4/15/23 2,950 3,083
  Realty Income Corp. 3.250% 10/15/22 5,669 5,953
  Realty Income Corp. 4.650% 8/1/23 4,900 5,415
  Regency Centers Corp. 3.750% 11/15/22 175 182

 

14

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  Welltower Inc. 3.750% 3/15/23 2,300 2,432
  Welltower Inc. 3.950% 9/1/23 1,590 1,726
          3,317,127
Industrial (17.9%)        
  Basic Industry (1.3%)        
2 Air Liquide Finance SA 1.750% 9/27/21 31,660 32,124
  DuPont de Nemours Inc. 2.169% 5/1/23 29,000 29,587
  Eastman Chemical Co. 3.500% 12/1/21 18,332 18,943
  International Flavors & Fragrances Inc. 3.400% 9/25/20 24,000 24,069
  LyondellBasell Industries NV 6.000% 11/15/21 6,103 6,442
  Newmont Corp. 3.625% 6/9/21 20,748 21,179
  Newmont Corp. 3.500% 3/15/22 2,000 2,068
  Praxair Inc. 4.050% 3/15/21 5,276 5,397
  Sherwin-Williams Co. 4.200% 1/15/22 602 627
           
  Capital Goods (2.0%)        
2 Carrier Global Corp. 1.923% 2/15/23 2,400 2,463
  Caterpillar Financial Services Corp. 1.850% 9/4/20 5,091 5,098
  Caterpillar Financial Services Corp. 2.650% 5/17/21 12,865 13,105
  Caterpillar Financial Services Corp. 1.931% 10/1/21 9,140 9,312
  Caterpillar Financial Services Corp. 0.950% 5/13/22 24,700 24,949
  Caterpillar Financial Services Corp. 1.900% 9/6/22 1,180 1,217
  Caterpillar Financial Services Corp. 0.650% 7/7/23 40,000 40,163
  CNH Industrial Capital LLC 4.375% 11/6/20 6,060 6,088
  General Dynamics Corp. 3.000% 5/11/21 10,483 10,707
  General Dynamics Corp. 3.875% 7/15/21 26,350 27,002
  Honeywell International Inc. 2.150% 8/8/22 445 461
  Northrop Grumman Corp. 2.550% 10/15/22 19,436 20,300
2 Raytheon Technologies Corp. 2.800% 3/15/22 37,892 39,185
2 Raytheon Technologies Corp. 2.500% 12/15/22 3,865 4,017
  Waste Management Inc. 2.900% 9/15/22 4,000 4,182
           
  Communication (1.6%)        
  American Tower Corp. 2.250% 1/15/22 8,005 8,211
  Fox Corp. 3.666% 1/25/22 43,254 45,262
  Interpublic Group of Cos. Inc. 3.500% 10/1/20 35,670 35,840
  Omnicom Group Inc. / Omnicom Capital Inc. 3.625% 5/1/22 34,200 36,071
2 Sky plc 3.125% 11/26/22 10,960 11,623
  Verizon Communications Inc. 2.946% 3/15/22 8,298 8,642
  ViacomCBS Inc. 3.375% 3/1/22 23,376 24,185
  Walt Disney Co. 1.650% 9/1/22 754 772
           
  Consumer Cyclical (2.9%)        
7 American Honda Finance Corp. 3.150% 1/8/21 15,000 15,170
  American Honda Finance Corp. 2.200% 6/27/22 2,680 2,773
  American Honda Finance Corp. 0.875% 7/7/23 50,000 50,422
  American Honda Finance Corp. 3.450% 7/14/23 1,355 1,465
2 BMW US Capital LLC 3.250% 8/14/20 18,000 18,011
  General Motors Co. 5.400% 10/2/23 5,000 5,506
  General Motors Financial Co. Inc. 2.450% 11/6/20 10,000 9,978
  General Motors Financial Co. Inc. 3.700% 11/24/20 9,000 9,049
  General Motors Financial Co. Inc. 3.200% 7/6/21 14,614 14,852
  General Motors Financial Co. Inc. 3.450% 1/14/22 5,000 5,122

 

15

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
3,5 Toyota Finance Australia Ltd., 3M Australian Bank Bill Rate + 0.780% 0.877% 11/22/21 11,400 8,125
  Toyota Motor Credit Corp. 3.050% 1/8/21 10,000 10,109
  Toyota Motor Credit Corp. 2.750% 5/17/21 1,000 1,018
  Toyota Motor Credit Corp. 1.150% 5/26/22 55,000 55,800
  Toyota Motor Credit Corp. 0.450% 7/22/22 25,000 25,017
  Toyota Motor Credit Corp. 2.900% 3/30/23 17,000 18,026
2 Volkswagen Group of America Finance LLC 3.875% 11/13/20 3,515 3,547
2 Volkswagen Group of America Finance LLC 2.900% 5/13/22 49,450 51,290
2 Volkswagen Group of America Finance LLC 2.700% 9/26/22 7,183 7,466
           
  Consumer Noncyclical (5.0%)        
2 AbbVie Inc. 2.150% 11/19/21 5,000 5,100
2 AbbVie Inc. 3.450% 3/15/22 35,000 36,410
2 AbbVie Inc. 3.250% 10/1/22 16,630 17,431
2 AbbVie Inc. 2.300% 11/21/22 12,236 12,682
  Amgen Inc. 3.875% 11/15/21 25,856 26,760
3,5 Anheuser-Busch InBev Worldwide Inc., 3M Australian Bank Bill Rate + 0.970% 1.071% 9/6/22 6,000 4,280
  AstraZeneca plc 2.375% 11/16/20 3,289 3,310
  BAT Capital Corp. 2.764% 8/15/22 5,000 5,194
2 BAT International Finance plc 3.500% 6/15/22 15,540 16,300
  Baxter International Inc. 1.700% 8/15/21 2,500 2,528
2 Bayer US Finance LLC 3.000% 10/8/21 6,220 6,375
  Biogen Inc. 3.625% 9/15/22 5,786 6,169
  Bristol-Myers Squibb Co. 2.600% 5/16/22 5,000 5,193
  Bristol-Myers Squibb Co. 3.250% 8/15/22 3,074 3,189
  Bristol-Myers Squibb Co. 3.550% 8/15/22 3,975 4,230
  Cigna Corp. 3.400% 9/17/21 6,413 6,613
  Cigna Corp. 3.050% 11/30/22 10,892 11,464
  Cigna Corp. 3.750% 7/15/23 3,200 3,480
  Constellation Brands Inc. 2.700% 5/9/22 2,000 2,074
  Constellation Brands Inc. 2.650% 11/7/22 24,062 25,124
  CVS Health Corp. 3.350% 3/9/21 22,000 22,383
  CVS Health Corp. 2.125% 6/1/21 12,000 12,149
  CVS Health Corp. 2.750% 12/1/22 8,750 9,133
  Express Scripts Holding Co. 2.600% 11/30/20 26,793 26,992
  Gilead Sciences Inc. 4.400% 12/1/21 9,397 9,814
  GlaxoSmithKline Capital plc 2.850% 5/8/22 4,984 5,203
  GlaxoSmithKline Capital plc 2.875% 6/1/22 4,660 4,867
  Keurig Dr Pepper Inc. 3.200% 11/15/21 5,048 5,185
  Keurig Dr Pepper Inc. 4.057% 5/25/23 23,400 25,611
  Kimberly-Clark Corp. 2.400% 3/1/22 4,000 4,120
  Kroger Co. 2.950% 11/1/21 1,145 1,178
  McCormick & Co. Inc. 2.700% 8/15/22 15,750 16,394
  Mead Johnson Nutrition Co. 3.000% 11/15/20 11,770 11,846
2 Mondelez International Holdings Netherlands BV 2.000% 10/28/21 13,000 13,227
2 Mondelez International Holdings Netherlands BV 2.125% 9/19/22 24,350 25,207
  Mondelez International Inc. 0.625% 7/1/22 30,000 30,191
2 Pernod Ricard SA 4.450% 1/15/22 25,000 26,344
  Philip Morris International Inc. 2.500% 11/2/22 2,000 2,088
  Philip Morris International Inc. 1.125% 5/1/23 25,000 25,438
2 Reckitt Benckiser Treasury Services plc 2.375% 6/24/22 6,700 6,923
  Reynolds American Inc. 4.000% 6/12/22 11,574 12,262

 

16

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21 8,182 8,346
  Tyson Foods Inc. 4.500% 6/15/22 2,000 2,129
2 Upjohn Inc. 1.125% 6/22/22 22,800 22,991
           
  Energy (4.0%)        
  Apache Corp. 3.625% 2/1/21 16,096 16,096
  BP Capital Markets America Inc. 4.500% 10/1/20 30,000 30,199
  BP Capital Markets America Inc. 4.742% 3/11/21 5,000 5,131
  BP Capital Markets America Inc. 3.245% 5/6/22 21,317 22,330
  BP Capital Markets America Inc. 2.520% 9/19/22 6,650 6,916
  BP Capital Markets plc 3.561% 11/1/21 10,018 10,393
  Chevron Corp. 2.419% 11/17/20 3,250 3,265
  Chevron Corp. 1.141% 5/11/23 4,665 4,760
  Enbridge Inc. 2.900% 7/15/22 4,668 4,847
  Enterprise Products Operating LLC 3.500% 2/1/22 26,500 27,634
  EOG Resources Inc. 4.100% 2/1/21 20,986 21,327
  Exxon Mobil Corp. 1.902% 8/16/22 10,545 10,884
  Exxon Mobil Corp. 1.571% 4/15/23 35,260 36,328
  Kinder Morgan Energy Partners LP 5.300% 9/15/20 12,050 12,093
  Kinder Morgan Energy Partners LP 3.500% 3/1/21 5,000 5,038
  Kinder Morgan Energy Partners LP 5.000% 10/1/21 700 727
  Kinder Morgan Energy Partners LP 3.950% 9/1/22 16,361 17,310
2 Kinder Morgan Inc. 5.000% 2/15/21 7,205 7,332
  Kinder Morgan Inc. 6.500% 9/15/20 5,551 5,586
  Marathon Petroleum Corp. 3.400% 12/15/20 11,733 11,783
  Marathon Petroleum Corp. 5.125% 3/1/21 17,535 17,908
2 Midwest Connector Capital Co. LLC 3.625% 4/1/22 5,835 5,835
  Phillips 66 4.300% 4/1/22 5,850 6,209
  Plains All American Pipeline LP / PAA Finance Corp. 5.000% 2/1/21 2,035 2,050
  Regency Energy Partners LP / Regency Energy Finance Corp. 5.875% 3/1/22 3,515 3,691
  Shell International Finance BV 1.875% 5/10/21 31,700 32,097
  Shell International Finance BV 2.375% 8/21/22 6,000 6,241
  Sunoco Logistics Partners Operations LP 4.400% 4/1/21 2,000 2,035
  Thai Oil PCL 3.625% 1/23/23 1,100 1,149
  Thaioil Treasury Center Co. Ltd. 3.625% 1/23/23 3,500 3,658
  Total Capital International SA 2.218% 7/12/21 21,277 21,635
5 Total Capital International SA 4.250% 11/26/21 15,000 11,131
  Total Capital International SA 2.875% 2/17/22 7,072 7,338
  Total Capital SA 4.250% 12/15/21 43,425 45,709
  TransCanada PipeLines Ltd. 3.800% 10/1/20 5,710 5,717
           
  Other Industrial (0.2%)        
2 CK Hutchison International 17 II Ltd. 2.250% 9/29/20 12,480 12,495
5 QPH Finance Co. Pty Ltd. 5.000% 7/7/21 4,800 3,546
           
  Technology (0.3%)        
  Apple Inc. 2.300% 5/11/22 7,000 7,231
  Apple Inc. 0.750% 5/11/23 5,000 5,052
  IBM Credit LLC 2.200% 9/8/22 625 649
  International Business Machines Corp. 2.850% 5/13/22 2,680 2,801
  Microsoft Corp. 2.400% 2/6/22 600 619
  Oracle Corp. 1.900% 9/15/21 9,095 9,248
  Oracle Corp. 2.500% 5/15/22 7,004 7,245
  Tyco Electronics Group SA 3.500% 2/3/22 1,520 1,581

 

17

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  Transportation (0.6%)        
1 Burlington Northern and Santa Fe Railway Co. 1999-2 Pass Through Trust 7.570% 1/2/21 89 91
1 Continental Airlines 2001-1 Class A-1 Pass Through Trust 6.703% 6/15/21 1,841 1,770
1 Continental Airlines 2010-1 Class A Pass Through Trust 4.750% 7/12/22 2,795 2,697
1 Delta Air Lines 2007-1 Class B Pass Through Trust 8.021% 8/10/22 5,016 4,716
  FedEx Corp. 3.400% 1/14/22 15,000 15,630
2 Penske Truck Leasing Co. Lp / PTL Finance Corp. 3.650% 7/29/21 25,000 25,672
5 Qantas Airways Ltd. 7.500% 6/11/21 5,000 3,723
1 Southwest Airlines Co. 2007-1 Pass Through Trust 6.650% 8/1/22 3,175 3,127
1 US Airways 2001-1C Pass Through Trust 7.346% 9/20/23 2,330 1,946
          1,908,185
Utilities (4.2%)        
  Electric (4.2%)        
  Alabama Power Co. 3.375% 10/1/20 21,785 21,887
  Ameren Corp. 2.700% 11/15/20 5,000 5,024
  CenterPoint Energy Inc. 3.600% 11/1/21 27,000 28,081
  CenterPoint Energy Inc. 2.500% 9/1/22 1,137 1,178
  Consumers Energy Co. 2.850% 5/15/22 2,065 2,143
  Dominion Energy Inc. 2.000% 8/15/21 8,793 8,900
2 Dominion Energy Inc. 2.450% 1/15/23 30,000 31,235
2,3 Dominion Energy Inc., 3M USD LIBOR + 0.400% 0.750% 12/1/20 26,000 26,006
  DTE Energy Co. 3.300% 6/15/22 6,500 6,777
  DTE Energy Co. 2.250% 11/1/22 23,895 24,760
  Duke Energy Carolinas LLC 3.900% 6/15/21 1,800 1,840
  Duke Energy Corp. 2.400% 8/15/22 11,453 11,857
  Duke Energy Corp. 3.050% 8/15/22 5,432 5,671
  Duke Energy Progress Llc 3.000% 9/15/21 1,175 1,203
2 EDP Finance BV 5.250% 1/14/21 1,600 1,630
  Entergy Corp. 4.000% 7/15/22 7,719 8,198
  Eversource Energy 2.750% 3/15/22 62,800 65,038
  Exelon Corp. 5.150% 12/1/20 7,358 7,393
3 Florida Power & Light Co., 3M USD LIBOR +0.380% 0.641% 7/28/23 37,000 37,010
  Great Plains Energy Inc. 4.850% 6/1/21 13,415 13,754
  LG&E & KU Energy LLC 3.750% 11/15/20 13,807 13,836
  NextEra Energy Capital Holdings Inc. 2.900% 4/1/22 22,975 23,905
  NextEra Energy Capital Holdings Inc. 3.300% 8/15/22 15,190 16,058
  Northern States Power Co. 2.600% 5/15/23 1,760 1,844
  NSTAR Electric Co. 2.375% 10/15/22 1,200 1,245
  Oncor Electric Delivery Co. LLC 4.100% 6/1/22 4,200 4,432
  Pacific Gas and Electric Co. 1.750% 6/16/22 20,000 20,047
  PacifiCorp 3.850% 6/15/21 6,773 6,917
  PECO Energy Co. 1.700% 9/15/21 2,295 2,324
  PECO Energy Co. 2.375% 9/15/22 3,595 3,721
  Progress Energy Inc. 4.400% 1/15/21 27,865 28,075
  Public Service Electric & Gas Co. 1.900% 3/15/21 10,000 10,086
  Public Service Electric & Gas Co. 2.375% 5/15/23 1,770 1,854
  Puget Energy Inc. 6.000% 9/1/21 7,829 8,220
          452,149
Total Corporate Bonds (Cost $5,632,902)       5,677,461

 

18

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
Sovereign Bonds (8.7%)        
  CNOOC Curtis Funding No 1 Pty Ltd. 4.500% 10/3/23 40,738 44,919
  CNOOC Finance 2015 USA LLC 3.750% 5/2/23 10,000 10,703
  CNPC HK Overseas Capital Ltd. 4.500% 4/28/21 15,000 15,374
  Corp Andina de Fomento 2.375% 5/12/23 10,000 10,228
  Corp Nacional del Cobre de Chile 3.750% 11/4/20 1,000 1,005
  Corp. Andina de Fomento 3.250% 2/11/22 26,585 27,282
  Corp. Financiera de Desarrollo SA 4.750% 2/8/22 4,000 4,158
2 Corp. Nacional del Cobre de Chile 3.750% 11/4/20 53,022 53,287
  Development Bank of Kazakhstan JSC 4.125% 12/10/22 11,146 11,720
  Emirate of Abu Dhabi 2.125% 9/30/24 33,185 34,712
  Empresa Nacional del Petroleo 4.750% 12/6/21 16,238 16,818
  Export-Import Bank of India 3.125% 7/20/21 3,235 3,267
  Kingdom of Saudi Arabia 2.375% 10/26/21 34,000 34,613
3 Korea Development Bank, 3M USD LIBOR + 0.550% 0.868% 3/12/21 10,000 10,000
3 Korea Development Bank, 3M USD LIBOR + 0.675% 0.991% 9/19/20 10,325 10,325
8 Korea Monetary Stabilization Bond 0.000% 10/27/20 50,000,000 41,922
8 Korea Monetary Stabilization Bond 0.000% 1/19/21 100,000,000 83,732
  KSA Sukuk Ltd. 2.894% 4/20/22 3,000 3,097
  Pertamina Persero PT 5.250% 5/23/21 1,930 1,990
  Pertamina Persero PT 4.875% 5/3/22 26,552 28,245
  Perusahaan Listrik Negara PT 5.500% 11/22/21 18,293 19,185
  Perusahaan Penerbit SBSN Indonesia III 3.400% 3/29/21 3,400 3,447
  Perusahaan Penerbit SBSN Indonesia III 3.400% 3/29/22 3,700 3,829
  Petrobras Global Finance BV 5.375% 1/27/21 9,834 9,969
  Petrobras Global Finance BV 8.375% 5/23/21 23,914 25,110
  Petronas Capital Ltd. 7.875% 5/22/22 23,118 25,848
  Republic of Chile 3.875% 8/5/20 15,000 15,001
  Republic of Colombia 4.375% 7/12/21 40,843 42,016
1 Republic of Colombia 2.625% 3/15/23 30,405 31,238
  Republic of Croatia 6.375% 3/24/21 7,000 7,243
  Republic of Hungary 6.375% 3/29/21 26,000 27,005
  Republic of Hungary 5.375% 2/21/23 22,492 24,879
  Republic of Hungary 5.750% 11/22/23 8,000 9,189
  Republic of Indonesia 3.750% 4/25/22 45,074 46,968
  Republic of Indonesia 2.950% 1/11/23 2,500 2,600
  Republic of Indonesia 5.875% 1/15/24 6,420 7,378
  Republic of Latvia 5.250% 6/16/21 1,500 1,557
1 Republic of Panama 4.000% 9/22/24 25,275 27,897
  Republic of Romania 6.750% 2/7/22 21,371 23,082
  Sinopec Group Overseas Development 2012 Ltd. 3.900% 5/17/22 5,700 5,988
  Sinopec Group Overseas Development 2016 Ltd. 2.000% 9/29/21 14,550 14,701
  Sinopec Group Overseas Development 2017 Ltd. 3.000% 4/12/22 4,801 4,951
  SoQ Sukuk A QSC 3.241% 1/18/23 11,847 12,496
2 State Grid Overseas Investment 2016 Ltd. 2.125% 5/18/21 3,880 3,914
  State Grid Overseas Investment 2016 Ltd. 2.750% 5/4/22 19,705 20,284
  State of Israel 4.000% 6/30/22 300 319
  State of Kuwait 2.750% 3/20/22 14,866 15,350
  State of Qatar 3.875% 4/23/23 10,000 10,787
  State of Qatar 3.375% 3/14/24 1,000 1,084
  United Mexican States 4.000% 10/2/23 28,500 30,637
  Wakala Global Sukuk Bhd. 4.646% 7/6/21 9,400 9,698
Total Sovereign Bonds (Cost $920,224)       931,047

 

19

 

 

Ultra-Short-Term Bond Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
Temporary Cash Investments (9.6%)        
Money Market Fund (7.5%)        
9 Vanguard Market Liquidity Fund 0.194%   8,005,953 800,595
         
U.S. Government and Agency Obligations (2.1%)        
7,10,11 United States Treasury Bill 0.010% 3/25/21 225,000 224,831
Total Temporary Cash Investments (Cost $1,025,294)       1,025,426
Total Investments (100.2%) (Cost $10,644,057)       10,716,847
Other Assets and Liabilities—Net (-0.2%)       (24,567)
Net Assets (100%)       10,692,280

 

Cost is in $000.

•See Note A in Notes to Financial Statements. § Security value determined using significant unobservable inputs.
1The 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.
2Security 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 July 31, 2020, the aggregate value of these securities was $2,926,415,000, representing 27.4% of net assets.
3Adjustable-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.
4The 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.
5Face amount denominated in Australian dollars.
6Face amount denominated in British pounds.
7Securities with a value of $5,406,000 have been segregated as initial margin for open futures contracts.
8Face amount denominated in Korean won.
9Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
10Securities with a value of $3,827,000 have been segregated as initial margin for open centrally cleared swap contracts.
11Securities with a value of $2,807,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.

 

LIBOR—London Interbank Offered Rate.

SOFR—Secured Overnight Financing Rate.

 

20

 

 

Ultra-Short-Term Bond 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                  
2-Year U.S. Treasury Note  September 2020   2,751    607,928    148 
                   
Short Futures Contracts                  
5-Year U.S. Treasury Note  September 2020   (7,855)   (990,712)   (4,774)
                 (4,626)

 

Forward Currency Contracts     
   Contract                Unrealized   Unrealized 
   Settlement  Contract Amount (000)   Appreciation   (Depreciation) 
Counterparty  Date      Receive       Deliver   ($000)  ($000)
Citigroup Global Markets Inc.  9/1/2020  JPY   13,000,000   USD   124,469    —    (1,614)
Royal Bank of Canada  8/17/2020  AUD   53   USD   38    —    — 
State Street Bank & Trust Co.  9/1/2020  USD   125,661   JPY   13,000,000    2,807    — 
Royal Bank of Canada  8/17/2020  USD   75,232   AUD   107,736    —    (1,746)
Barclays Bank plc  1/19/2021  USD   45,777   KRW   55,000,000    —    (437)
Barclays Bank plc  10/27/2020  USD   25,096   KRW   30,000,000    —    (96)
J.P. Morgan Securities LLC  1/19/2021  USD   24,954   KRW   30,000,000    —    (256)
J.P. Morgan Securities LLC  10/27/2020  USD   16,726   KRW   20,000,000    —    (67)
Standard Chartered Bank  1/19/2021  USD   12,482   KRW   15,000,000    —    (122)
Citigroup Global Markets Inc.  8/17/2020  USD   3,774   GBP   2,990    —    (140)
J.P. Morgan Securities LLC  8/17/2020  USD   3,195   AUD   4,565    —    (67)
Bank of Montreal  8/17/2020  USD   2,474   AUD   3,550    —    (63)
State Street Bank & Trust Co.  8/17/2020  USD   2,274   AUD   3,249    —    (48)
                       2,807    (4,656)

 

AUD—Australian dollar.

GBP—British pound.

JPY—Japanese yen.

KRW—Korean won.

USD—U.S. dollar.

 

 

At July 31, 2020, a counterparty had deposited in a segregated account securities with a value of $1,589,000 in connection with open forward currency contracts.

 

21

 

 

Ultra-Short-Term Bond 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-S34-V1  6/20/25  USD   114,330  1.000  1,608  2,597 

 

1 Periodic premium received/paid quarterly.

USD—U.S. dollar.

 

 

Over-the-Counter Credit Default Swaps  
                          Remaining          
                Periodic         Up-Front          
                Premium         Premium          
            Notional   Received         Paid   Unrealized   Unrealized  
Reference   Termination       Amount   (Paid )1   Value   (Received ) 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     23   13   9   —  

 

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.

 

22

 

 

Ultra-Short-Term Bond Fund

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $9,843,565) 9,916,252
Affiliated Issuers (Cost $800,492) 800,595
Total Investments in Securities 10,716,847
Investment in Vanguard 412
Cash 151
Foreign Currency, at Value (Cost $3) 3
Receivables for Investment Securities Sold 22,331
Receivables for Accrued Income 50,146
Receivables for Capital Shares Issued 97,822
Swap Premiums Paid 13
Variation Margin Receivable—Futures Contracts 53
Unrealized Appreciation—Forward Currency Contracts 2,807
Unrealized Appreciation—Over-the-Counter Swap Contracts 9
Total Assets 10,890,594
Liabilities  
Payables for Investment Securities Purchased 166,805
Payables for Capital Shares Redeemed 23,432
Payables for Distributions 2,255
Payables to Vanguard 517
Variation Margin Payable—Futures Contracts 614
Variation Margin Payable—Centrally Cleared Swap Contracts 35
Unrealized Depreciation—Forward Currency Contracts 4,656
Total Liabilities 198,314
Net Assets 10,692,280

 

23

 

 

Ultra-Short-Term Bond Fund

 

 

 

Statement of Assets and Liabilities (continued)  
   
   
At July 31, 2020, net assets consisted of:  
   
($000s, except shares and per-share amounts) Amount
Paid-in Capital 10,633,802
Total Distributable Earnings (Loss) 58,478
Net Assets 10,692,280
   
Investor Shares—Net Assets  
Applicable to 50,982,607 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 513,306
Net Asset Value Per Share—Investor Shares $10.07
   
Admiral Shares—Net Assets  
Applicable to 505,446,244 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 10,178,974
Net Asset Value Per Share—Admiral Shares $20.14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

24

 

 

Ultra-Short-Term Bond Fund

 

 

Statement of Operations

 

  Six Months Ended
  July 31, 2020
  ($000)
Investment Income  
Income  
Interest1 75,430
Total Income 75,430
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 400
Management and Administrative—Investor Shares 340
Management and Administrative—Admiral Shares 2,832
Marketing and Distribution—Investor Shares 28
Marketing and Distribution—Admiral Shares 236
Custodian Fees 26
Shareholders’ Reports—Investor Shares 6
Shareholders’ Reports—Admiral Shares 18
Trustees’ Fees and Expenses 2
Total Expenses 3,888
Net Investment Income 71,542
Realized Net Gain (Loss)  
Investment Securities Sold1 (16,734)
Futures Contracts 4,080
Swap Contracts 4,653
Forward Currency Contracts (461)
Foreign Currencies 599
Realized Net Gain (Loss) (7,863)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 43,319
Futures Contracts (4,290)
Swap Contracts 2,562
Forward Currency Contracts (2,475)
Foreign Currencies 4
Change in Unrealized Appreciation (Depreciation) 39,120
Net Increase (Decrease) in Net Assets Resulting from Operations 102,799

 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,317,000, ($664,000), and $55,000, 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

 

 

  Six Months Ended   Year Ended
  July 31,   January 31,
  2020   2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 71,542   162,413
Realized Net Gain (Loss) (7,863)   5,100
Change in Unrealized Appreciation (Depreciation) 39,120   32,610
Net Increase (Decrease) in Net Assets Resulting from Operations 102,799   200,123
Distributions1      
Investor Shares (3,747)   (10,116)
Admiral Shares (69,458)   (154,654)
Total Distributions (73,205)   (164,770)
Capital Share Transactions      
Investor Shares 40,708   160,119
Admiral Shares 3,707,858   1,165,013
Net Increase (Decrease) from Capital Share Transactions 3,748,566   1,325,132
Total Increase (Decrease) 3,778,160   1,360,485
Net Assets      
Beginning of Period 6,914,120   5,553,635
End of Period 10,692,280   6,914,120

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

26

 

 

Ultra-Short-Term Bond Fund

 

 

Financial Highlights

 

 

Investor Shares            
Six Months         Feb. 10,
  Ended         20151 to
For a Share Outstanding July 31,  

Year Ended January 31,

 Jan. 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $10.04 $9.98 $9.97 $10.00 $9.99 $10.00
Investment Operations            
Net Investment Income .0942 .2522 .2272 .1542 .106 .054
Net Realized and Unrealized Gain (Loss) on Investments .030 .065 .003 (.037) .006 (.010)
Total from Investment Operations .124 .317 .230 .117 .112 .044
Distributions            
Dividends from Net Investment Income (.094) (.257) (.220) (.145) (.102) (.054)
Distributions from Realized Capital Gains — — — (.002) — —
Total Distributions (.094) (.257) (.220) (.147) (.102) (.054)
Net Asset Value, End of Period $10.07 $10.04 $9.98 $9.97 $10.00 $9.99
             
Total Return3 1.25% 3.21% 2.34% 1.17% 1.13% 0.44%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $513 $471 $309 $179 $131 $47
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% 0.20%4
Ratio of Net Investment Income to Average Net Assets 1.84% 2.53% 2.28% 1.54% 1.11% 0.66%4
Portfolio Turnover Rate 48% 70% 61% 70% 81% 24%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Subscription 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.
2Calculated based on average shares outstanding.
3Total 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.
4Annualized.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

27

 

 

Ultra-Short-Term Bond Fund

 

 

Financial Highlights

 

 

Admiral Shares            
Six Months         Feb. 10,
  Ended         20151 to
For a Share Outstanding July 31,  

Year Ended January 31,

 Jan. 31,
Throughout Each Period 2020 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $20.08 $19.96 $19.94 $20.00 $19.98 $20.00
Investment Operations            
Net Investment Income .1942 .5272 .4732 .3282 .228 .122
Net Realized and Unrealized Gain (Loss) on Investments .065 .126 .008 (.077) .015 (.021)
Total from Investment Operations .259 .653 .481 .251 .243 .101
Distributions            
Dividends from Net Investment Income (.199) (.533) (.461) (.307) (.223) (.121)
Distributions from Realized Capital Gains — — — (.004) — —
Total Distributions (.199) (.533) (.461) (.311) (.223) (.121)
Net Asset Value, End of Period $20.14 $20.08 $19.96 $19.94 $20.00 $19.98
             
Total Return3 1.30% 3.31% 2.44% 1.26% 1.22% 0.51%
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $10,179 $6,443 $5,244 $3,474 $2,024 $465
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.12% 0.12%4
Ratio of Net Investment Income to Average Net Assets 1.94% 2.63% 2.38% 1.64% 1.19% 0.74%4
Portfolio Turnover Rate 48% 70% 61% 70% 81% 24%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Subscription 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.
2Calculated based on average shares outstanding.
3Total 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.
4Annualized.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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. 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.

 

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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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 clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty

 

29

 

 

Ultra-Short-Term Bond Fund

 

 

 

risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

During the six months ended July 31, 2020, the fund’s average investments in long and short futures contracts represented 16% and 7% 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 Schedule of Investments. 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 Schedule of Investments. 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 gains (losses) on forward currency contracts.

 

During the six months ended July 31, 2020, the fund’s average investment in forward currency contracts represented 6% of net assets, based on the average of notional amounts at each quarter-end during the period.

 

30

 

 

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 Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded 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 Schedule of Investments. The value of collateral

 

31

 

 

Ultra-Short-Term Bond Fund

 

 

 

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 six months ended July 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 2% 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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

8. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans

 

32

 

 

Ultra-Short-Term Bond Fund

 

 

 

may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

9. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $412,000, 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 Schedule of Investments.

 

33

 

 

Ultra-Short-Term Bond Fund

 

 

 

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

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
Asset-Backed/Commercial Mortgage-Backed Securities — 3,065,754 17,159 3,082,913
Corporate Bonds — 5,677,461 — 5,677,461
Sovereign Bonds — 931,047 — 931,047
Temporary Cash Investments 800,595 224,831 — 1,025,426
Total 800,595 9,899,093 17,159 10,716,847
Derivative Financial Instruments        
Assets        
Futures Contracts1 53 — — 53
Forward Currency Contracts — 2,807 — 2,807
Swap Contracts — 9 — 9
Total 53 2,816 — 2,869
Liabilities        
Futures Contracts1 614 — — 614
Forward Currency Contracts — 4,656 — 4,656
Swap Contracts1 35 — — 35
Total 649 4,656 — 5,305

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

 

D.  At July 31, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:

 

    Foreign    
Interest Rate Exchange Credit  
  Contracts Contracts Contracts Total
Statement of Assets and Liabilities Caption ($000) ($000) ($000) ($000)
Swap Premiums Paid — — 13 13
Variation Margin Receivable—Futures Contracts 53 — — 53
Unrealized Appreciation— Forward Currency Contracts — 2,807 — 2,807
Unrealized Appreciation— Over-the-Counter Swap Contracts — — 9 9
Total Assets 53 2,807 22 2,882
         
Variation Margin Payable—Futures Contracts 614 — — 614
Variation Margin Payable— Centrally Cleared Swap Contracts — — 35 35
Unrealized Depreciation— Forward Currency Contracts — 4,656 — 4,656
Total Liabilities 614 4,656 35 5,305

 

34

 

 

Ultra-Short-Term Bond Fund

 

 

 

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

 

    Foreign    
Interest Rate Exchange Credit  
  Contracts Contracts Contracts Total
Realized Net Gain (Loss) on Derivatives ($000) ($000) ($000) ($000)
Futures Contracts 4,080 — — 4,080
Swap Contracts — — 4,653 4,653
Forward Currency Contracts — (461) — (461)
Realized Net Gain (Loss) on Derivatives 4,080 (461) 4,653 8,272
         
Change in Unrealized Appreciation (Depreciation) on Derivatives      
Futures Contracts (4,290) — — (4,290)
Swap Contracts — — 2,562 2,562
Forward Currency Contracts — (2,475) — (2,475)
Change in Unrealized Appreciation (Depreciation) on Derivatives (4,290) (2,475) 2,562 (4,203)

 

E.  As of July 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 10,642,058
Gross Unrealized Appreciation 84,812
Gross Unrealized Depreciation (13,879)
Net Unrealized Appreciation (Depreciation) 70,933

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $4,142,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

F.  During the six months ended July 31, 2020, the fund purchased $6,202,413,000 of investment securities and sold $2,768,540,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $54,994,000 and $55,898,000, 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 six months ended July 31, 2020, such purchases and sales were $1,211,351,000 and $188,562,000, respectively; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

 

35

 

 

Ultra-Short-Term Bond Fund

 

 

 

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

 

  Six Months Ended   Year Ended
  July 31, 2020   January 31, 2020
  Amount   Shares   Amount   Shares
  ($000 ) (000 ) ($000 ) (000)
Investor Shares              
Issued 398,387   39,689   356,647   35,565
Issued in Lieu of Cash Distributions 3,389   338   9,370   935
Redeemed (361,068 ) (35,994 ) (205,898 ) (20,539)
Net Increase (Decrease)—Investor Shares 40,708   4,033   160,119   15,961
Admiral Shares              
Issued 6,777,859   337,717   3,625,221   180,754
Issued in Lieu of Cash Distributions 56,180   2,804   129,020   6,437
Redeemed (3,126,181 ) (155,937 ) (2,589,228 ) (129,098)
Net Increase (Decrease)—Admiral Shares 3,707,858   184,584   1,165,013   58,093

 

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

 

36

 

 

Trustees Approve Advisory Arrangement

 

 

The board of trustees of Vanguard Ultra-Short-Term Bond Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.

 

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

 

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

 

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

 

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

 

Nature, extent, and quality of services

The board considered the quality of the investment management services provided to the fund since its inception in 2015 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

 

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

 

Investment performance

The board considered the fund’s performance since its inception, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.

 

Cost

The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also well below the peer-group average.

 

37

 

 

 

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.

 

The benefit of economies of scale

The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.

 

The board will consider whether to renew the advisory arrangement again after a one-year period.

 

38

 

 

Liquidity Risk Management

 

 

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

 

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

 

The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Ultra-Short-Term Bond Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.

 

39

 

 

This page intentionally left blank.

 

 

 

 

This page intentionally left blank.

 

 

 

 

 

 

 

 

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.

 

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.

 

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
  Vanguard Marketing Corporation, Distributor.
   
  Q14922 092020 

 

 

 

 

 

 

 

 

Semiannual Report  |  July 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  
   
About Your Fund’s Expenses 1
   
Financial Statements 4
   
Trustees Approve Advisory Arrangement 34
   
Liquidity Risk Management 36

 

 

 

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.

 

1

 

 

Six Months Ended July 31, 2020      
       
       
  Beginning Ending Expenses
  Account Value Account Value Paid During
High-Yield Corporate Fund 1/31/2020 7/31/2020 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,008.25 $1.15
Admiral™ Shares 1,000.00 1,008.75 0.65
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.72 $1.16
Admiral Shares 1,000.00 1,024.22 0.65

 

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 (182/366).

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2

 

 

High-Yield Corporate Fund

 

 

Fund Allocation

As of July 31, 2020

 

Common Stocks 0.0%
Corporate Bonds - Finance 8.1
Corporate Bonds - Industrial - Basic Industry 4.4
Corporate Bonds - Industrial - Capital Goods 13.2
Corporate Bonds - Industrial -Communication 18.9
Corporate Bonds - Industrial - Consumer Cyclical 12.8
Corporate Bonds - Industrial - Consumer Noncyclical 15.6
Corporate Bonds - Industrial - Energy 9.2
Corporate Bonds - Industrial - Other Industrial 0.4
Corporate Bonds - Industrial - Technology 10.3
Corporate Bonds - Utilities 1.0
Preferred Stocks 0.4
Sovereign Bonds 0.7
U.S. Government and Agency Obligations 5.0

 

The table reflects the fund’s investments, except for short-term investments and derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3

 

 

 

High-Yield Corporate Fund

 

Financial Statements (unaudited)

 

Schedule of Investments

As of July 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 (4.7%)          
U.S. Government Securities (4.7%)            
† United States Treasury Note/Bond 1.625% 10/15/20 250,000   250,743  
  United States Treasury Note/Bond 2.000% 1/15/21 250,000   252,110  
  United States Treasury Note/Bond 2.375% 4/15/21 250,000   253,945  
I United States Treasury Note/Bond 2.625% 7/15/21 250,000   255,860  
  United States Treasury Note/Bond 2.875% 10/15/21 250,000   258,202  
Total U.S. Government and Agency Obligations (Cost $1,268,484)     1,270,860  
Corporate Bonds (88.6%)            
Finance (7.6%)            
  Banking (2.1%)            
1 BNP Paribas SA 6.750% 3/14/66 57,750   59,089  
  CIT Group Inc. 4.750% 2/16/24 12,630   13,088  
1 Credit Suisse AG 6.250% 12/31/50 163,170   173,695  
1 ING Groep NV 6.875% 4/16/66 71,510   74,746  
2 Intesa Sanpaolo SPA 5.017% 6/26/24 21,570   22,729  
2 Intesa Sanpaolo SPA 5.710% 1/15/26 110,000   119,625  
1 UBS Group AG 6.875% 3/22/66 114,390   116,072  
               
  Finance Companies (3.3%)            
1,2 AerCap Global Aviation Trust 6.500% 6/15/45 125,050   99,205  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.500% 9/15/23 37,320   37,884  
  Aircastle Ltd. 5.000% 4/1/23 33,700   33,321  
  Aircastle Ltd. 4.125% 5/1/24 53,980   52,428  
2 Avolon Holdings Funding Ltd. 5.250% 5/15/24 50,695   47,273  
  CIT Group Inc. 5.000% 8/15/22 68,866   71,190  
  CIT Group Inc. 5.000% 8/1/23 45,508   47,385  
2 FirstCash Inc. 5.375% 6/1/24 31,845   32,641  
2 Freedom Mortgage Corp. 8.250% 4/15/25 40,495   40,343  
  Navient Corp. 7.250% 1/25/22 24,240   25,452  
  Navient Corp. 6.500% 6/15/22 135,749   141,688  
  Navient Corp. 5.500% 1/25/23 31,790   32,585  
  Navient Corp. 7.250% 9/25/23 15,065   15,875  
  Navient Corp. 6.750% 6/25/25 2,730   2,856  
2 Park Aerospace Holdings Ltd. 5.500% 2/15/24 20,000   18,950  
  Springleaf Finance Corp. 7.750% 10/1/21 30,107   31,838  
  Springleaf Finance Corp. 8.250% 10/1/23 12,466   14,024  
  Springleaf Finance Corp. 6.125% 3/15/24 24,420   26,313  
  Springleaf Finance Corp. 7.125% 3/15/26 98,626   115,639  

 

4

 

High-Yield Corporate Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
  Insurance (2.0%)            
3,4 Asurion LLC. Bank Loan, 1M USD LIBOR + 3.000% 3.161% 11/3/24 99,313   97,550  
  Centene Corp. 4.750% 1/15/25 20,000   20,700  
2 Centene Corp. 5.375% 6/1/26 10,000   10,675  
  Centene Corp. 4.250% 12/15/27 54,660   58,213  
  Centene Corp. 4.625% 12/15/29 27,005   30,111  
  Centene Corp. 3.375% 2/15/30 5,490   5,812  
  Genworth Holdings Inc. 7.200% 2/15/21 28,015   27,910  
  Genworth Holdings Inc. 7.625% 9/24/21 25,505   25,569  
  Genworth Holdings Inc. 4.900% 8/15/23 49,580   44,436  
  Genworth Holdings Inc. 4.800% 2/15/24 15,900   13,873  
  MGIC Investment Corp. 5.750% 8/15/23 23,315   24,306  
  Radian Group Inc. 4.500% 10/1/24 73,175   72,809  
  Radian Group Inc. 4.875% 3/15/27 36,000   34,920  
2 WellCare Health Plans Inc. 5.250% 4/1/25 56,990   59,341  
2 WellCare Health Plans Inc. 5.375% 8/15/26 10,000   10,700  
               
  Real Estate Investment Trusts (0.2%)            
  Felcor Lodging LP 6.000% 6/1/25 46,060   45,542  
            2,048,401  
Industrial (80.1%)            
  Basic Industry (4.2%)            
  CF Industries Inc. 4.950% 6/1/43 11,026   12,790  
  CF Industries Inc. 5.375% 3/15/44 18,771   22,901  
  Chemours Co. 6.625% 5/15/23 44,094   44,535  
  Chemours Co. 7.000% 5/15/25 88,595   89,924  
  Chemours Co. 5.375% 5/15/27 31,740   30,946  
  Commercial Metals Co. 4.875% 5/15/23 6,540   6,752  
  Commercial Metals Co. 5.750% 4/15/26 45,720   47,549  
  Commercial Metals Co. 5.375% 7/15/27 20,685   21,564  
2 Constellium NV 5.750% 5/15/24 34,862   35,559  
2 Constellium NV 6.625% 3/1/25 68,600   71,001  
2 Constellium NV 5.875% 2/15/26 31,780   33,210  
2 Constellium SE 5.625% 6/15/28 11,954   12,313  
2,5 CTC BondCo GmbH 5.250% 12/15/25 13,800   15,865  
  Graphic Packaging International Inc. 4.125% 8/15/24 23,440   24,583  
2 Graphic Packaging International LLC 4.750% 7/15/27 7,870   8,490  
2 Graphic Packaging International LLC 3.500% 3/15/28 69,910   70,959  
2 Novelis Corp. 5.875% 9/30/26 68,673   72,622  
2 Novelis Corp. 4.750% 1/30/30 51,958   54,166  
2 OCI NV 6.625% 4/15/23 18,672   19,232  
2,5 OCI NV 3.125% 11/1/24 31,590   36,613  
2 OCI NV 5.250% 11/1/24 67,173   69,272  
  Olin Corp. 5.125% 9/15/27 61,215   59,225  
  Olin Corp. 5.625% 8/1/29 56,960   54,539  
  Olin Corp. 5.000% 2/1/30 35,955   33,079  
2,5 SIG Combibloc PurchaseCo Sarl 1.875% 6/18/23 21,400   25,646  
2,5 SIG Combibloc PurchaseCo Sarl 2.125% 6/18/25 19,325   23,249  
3,4 Starfruit Finco B.V. Bank Loan, 1M USD LIBOR + 3.000% 3.178% 10/1/25 16,940   16,389  
3,4 Starfruit Finco B.V. Bank Loan, 1M USD LIBOR + 3.000% 3.178% 10/1/25 3,294   3,187  

 

5

 

High-Yield Corporate Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
2 Tronox Finance plc 5.750% 10/1/25 9,105   9,082  
2 Tronox Inc. 6.500% 4/15/26 101,408   101,535  
               
  Capital Goods (12.5%)            
2 American Builders & Contractors Supply Co. Inc. 5.875% 5/15/26 57,970   61,303  
2 American Builders & Contractors Supply Co. Inc. 4.000% 1/15/28 28,107   28,915  
2 ARD Finance SA 6.500% 6/30/27 18,990   19,370  
2 Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc. 6.000% 2/15/25 135,016   141,092  
2 Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc. 4.125% 8/15/26 51,375   53,302  
2,6 Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc. 4.750% 7/15/27 5,520   7,106  
2 Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc. 5.250% 8/15/27 34,795   36,274  
2 Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc. 5.250% 8/15/27 80,280   83,290  
2 Ashtead Capital Inc. 4.125% 8/15/25 46,175   47,387  
2 Ashtead Capital Inc. 5.250% 8/1/26 17,715   18,778  
2 Ashtead Capital Inc. 4.375% 8/15/27 46,175   48,080  
5 Ball Corp. 4.375% 12/15/23 17,385   22,417  
5 Ball Corp. 1.500% 3/15/27 73,205   84,203  
2 BBA US Holdings Inc. 4.000% 3/1/28 66,970   63,287  
2 Berry Global Escrow Corp. 5.625% 7/15/27 7,055   7,549  
2 Berry Global Inc. 4.500% 2/15/26 60,898   62,573  
2 Berry Global Inc. 4.875% 7/15/26 53,380   56,533  
2 Bombardier Inc. 8.750% 12/1/21 19,410   19,410  
2 Bombardier Inc. 5.750% 3/15/22 27,290   25,789  
2 Bombardier Inc. 6.125% 1/15/23 96,319   84,279  
2 Bombardier Inc. 7.500% 12/1/24 14,540   11,777  
2 Bombardier Inc. 7.500% 3/15/25 47,116   37,693  
2 Bombardier Inc. 7.875% 4/15/27 92,285   73,367  
2 BWX Technologies Inc. 4.125% 6/30/28 28,086   29,350  
2 CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 5,535   5,694  
2 Cemex SAB de CV 6.125% 5/5/25 101,200   103,090  
2 Cemex SAB de CV 7.750% 4/16/26 24,265   25,569  
2 Clean Harbors Inc. 4.875% 7/15/27 32,416   34,280  
2 Clean Harbors Inc. 5.125% 7/15/29 25,851   27,725  
  Crown Americas LLC / Crown Americas Capital Corp. IV 4.500% 1/15/23 61,200   64,566  
  Crown Americas LLC / Crown Americas Capital Corp. V 4.250% 9/30/26 5,254   5,595  
  Crown Americas LLC / Crown Americas Capital Corp. VI 4.750% 2/1/26 20,130   21,061  
2,5 Crown European Holdings SA 2.875% 2/1/26 51,200   62,419  
2 Flex Acquisition Co. Inc. 6.875% 1/15/25 127,475   129,228  
2 Flex Acquisition Co. Inc. 7.875% 7/15/26 6,785   7,056  
2 HD Supply Inc. 5.375% 10/15/26 32,511   34,136  
2 Herc Holdings Inc. 5.500% 7/15/27 179,337   189,873  
2 Jeld-Wen Inc. 4.625% 12/15/25 8,571   8,657  
2 Jeld-Wen Inc. 4.875% 12/15/27 2,790   2,849  
2 LANXESS AG 6.000% 4/1/24 13,801   14,094  

 

6

 

High-Yield Corporate Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
2,5 Loxam SAS 4.250% 4/15/24 5,520   6,435  
5 Loxam SAS 2.875% 4/15/26 17,480   18,679  
5 Loxam SAS 3.750% 7/15/26 9,780   11,099  
2 OI European Group BV 4.000% 3/15/23 22,215   22,382  
2 Owens-Brockway Glass Container Inc. 5.000% 1/15/22 992   993  
2 Owens-Brockway Glass Container Inc. 5.875% 8/15/23 70,800   74,428  
2 Owens-Brockway Glass Container Inc. 5.375% 1/15/25 29,319   30,162  
2 Owens-Brockway Glass Container Inc. 6.375% 8/15/25 42,000   45,045  
2 Owens-Brockway Glass Container Inc. 6.625% 5/13/27 42,690   46,799  
2 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.125% 7/15/23 53,805   54,478  
2 Sealed Air Corp. 4.000% 12/1/27 16,853   17,359  
  Silgan Holdings Inc. 4.750% 3/15/25 4,222   4,291  
  Silgan Holdings Inc. 4.125% 2/1/28 6,905   7,078  
2,5 Silgan Holdings Inc. 2.250% 6/1/28 43,070   49,893  
2 Standard Industries Inc. 4.375% 7/15/30 101,980   110,138  
2 Standard Industries Inc. 6.000% 10/15/25 143,050   148,951  
2 Standard Industries Inc. 5.000% 2/15/27 23,785   25,272  
2 Standard Industries Inc. 4.750% 1/15/28 26,914   28,663  
  TransDigm Inc. 6.500% 7/15/24 144,895   144,895  
  TransDigm Inc. 6.500% 5/15/25 44,030   43,480  
2 TransDigm Inc. 6.250% 3/15/26 20,000   21,100  
2,5 Trivium Packaging Finance BV 3.750% 8/15/26 6,095   7,160  
2 Trivium Packaging Finance BV 5.500% 8/15/26 42,172   44,597  
  United Rentals North America Inc. 4.625% 10/15/25 52,360   53,865  
  United Rentals North America Inc. 5.875% 9/15/26 62,210   66,409  
  United Rentals North America Inc. 6.500% 12/15/26 55,080   61,139  
  United Rentals North America Inc. 5.500% 5/15/27 76,330   82,150  
  United Rentals North America Inc. 3.875% 11/15/27 21,920   23,016  
  United Rentals North America Inc. 4.875% 1/15/28 60,445   64,903  
  United Rentals North America Inc. 5.250% 1/15/30 24,410   26,729  
  United Rentals North America Inc. 4.000% 7/15/30 59,240   61,165  
  United Rentals North America Inc. 3.875% 2/15/31 46,130   46,130  
2,5 Vertical Holdco GmbH 6.625% 7/15/28 6,200   7,337  
2 Vertical Holdco GmbH 7.625% 7/15/28 2,330   2,446  
2 Vertical US Newco Inc. 5.250% 7/15/27 23,765   24,983  
               
  Communication (17.8%)            
2,5 Altice Financing SA 2.250% 1/15/25 17,140   19,315  
2 Altice Financing SA 7.500% 5/15/26 25,000   26,813  
2,5 Altice Financing SA 3.000% 1/15/28 42,930   47,278  
2 Altice Financing SA 5.000% 1/15/28 60,560   62,074  
2,5 Altice France SA 2.125% 2/15/25 11,415   12,842  
2 Altice France SA 7.375% 5/1/26 176,140   187,369  
2 Altice France SA 8.125% 2/1/27 600   669  
2 Altice France SA 5.500% 1/15/28 6,310   6,641  
  Belo Corp. 7.750% 6/1/27 29,475   32,975  
  Belo Corp. 7.250% 9/15/27 24,707   27,054  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 5.375% 5/1/25 77,205   79,521  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 5.750% 2/15/26 47,140   49,261  

 

7

 

High-Yield Corporate Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
2 CCO Holdings LLC / CCO Holdings Capital Corp. 5.500% 5/1/26 54,990   57,877  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 5.125% 5/1/27 8,737   9,261  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 5.875% 5/1/27 24,255   25,650  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 5.000% 2/1/28 34,125   36,087  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 4.500% 8/15/30 49,535   52,259  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 4.250% 2/1/31 68,465   71,375  
2 CCO Holdings LLC / CCO Holdings Capital Corp. 4.500% 5/1/32 97,158   102,259  
  CenturyLink Inc. 5.800% 3/15/22 5,107   5,362  
  CenturyLink Inc. 6.750% 12/1/23 23,920   26,521  
  CenturyLink Inc. 7.500% 4/1/24 17,708   20,010  
  Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/45 4,215   5,895  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/47 31,500   39,851  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.125% 7/1/49 20,000   24,465  
2 Clear Channel Worldwide Holdings Inc. 5.125% 8/15/27 5,208   5,104  
  CSC Holdings LLC 6.750% 11/15/21 44,262   46,918  
  CSC Holdings LLC 5.875% 9/15/22 6,058   6,512  
2 CSC Holdings LLC 5.500% 5/15/26 142,685   149,463  
2 CSC Holdings LLC 5.500% 4/15/27 82,015   87,961  
2 CSC Holdings LLC 6.500% 2/1/29 35,323   40,445  
2 CSC Holdings LLC 4.125% 12/1/30 123,794   130,293  
  DISH DBS Corp. 6.750% 6/1/21 149,820   154,876  
  DISH DBS Corp. 5.875% 7/15/22 105,934   111,496  
  DISH DBS Corp. 5.000% 3/15/23 48,242   50,172  
  DISH DBS Corp. 5.875% 11/15/24 87,950   91,908  
  DISH DBS Corp. 7.750% 7/1/26 121,605   136,502  
2 DISH Network Corp. 7.375% 7/1/28 88,115   93,182  
2 Dolya Holdco 18 DAC 5.000% 7/15/28 38,325   39,903  
  Embarq Corp. 7.995% 6/1/36 23,035   27,181  
2 Frontier Communications Corp. 8.000% 4/1/27 21,508   22,207  
2 Gray Escrow Inc. 7.000% 5/15/27 37,515   40,985  
2 Gray Television Inc. 5.125% 10/15/24 77,032   79,150  
2 Gray Television Inc. 5.875% 7/15/26 60,725   62,850  
2 iHeartCommunications Inc. 4.750% 1/15/28 48,770   48,039  
2 Lamar Media Corp. 3.750% 2/15/28 31,890   32,089  
2 Lamar Media Corp. 4.000% 2/15/30 44,055   44,496  
  Level 3 Financing Inc. 5.625% 2/1/23 4,653   4,671  
  Level 3 Financing Inc. 5.125% 5/1/23 26,380   26,479  
2 Netflix Inc. 3.625% 6/15/25 22,115   23,442  
  Netflix Inc. 4.375% 11/15/26 1,455   1,615  
  Netflix Inc. 5.875% 11/15/28 4,860   6,039  
  Nokia Oyj 4.375% 6/12/27 49,355   52,748  
2 Outfront Media Capital LLC / Outfront Media Capital Corp. 5.000% 8/15/27 18,291   17,880  

 

8

 

High-Yield Corporate Fund

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
2 Outfront Media Capital LLC / Outfront Media Capital Corp. 4.625% 3/15/30 67,178   62,812  
  Quebecor Media Inc. 5.750% 1/15/23 103,907   112,479  
2 Sinclair Television Group Inc. 5.625% 8/1/24 15,715   15,912  
2 Sinclair Television Group Inc. 5.875% 3/15/26 28,795   28,939  
2 Sirius XM Radio Inc. 4.625% 7/15/24 55,185   58,082  
2 Sirius XM Radio Inc. 5.375% 7/15/26 13,845   14,624  
2 Sirius XM Radio Inc. 4.125% 7/1/30 77,495   81,564  
  Sprint Capital Corp. 6.875% 11/15/28 24,215   31,358  
  Sprint Capital Corp. 8.750% 3/15/32 13,969   21,442  
  Sprint Communications Inc. 6.000% 11/15/22 3,000   3,236  
  Sprint Corp. 7.250% 9/15/21 5,000   5,281  
  Sprint Corp. 7.875% 9/15/23 271,614   315,072  
  Sprint Corp. 7.125% 6/15/24 70,886   82,582  
  Sprint Corp. 7.625% 2/15/25 53,661   65,198  
  T-Mobile USA Inc. 6.000% 4/15/24 7,553   7,723  
  T-Mobile USA Inc. 5.125% 4/15/25 22,338   22,924  
  T-Mobile USA Inc. 6.500% 1/15/26 6,000   6,315  
  T-Mobile USA Inc. 4.500% 2/1/26 14,640   15,061  
  T-Mobile USA Inc. 5.375% 4/15/27 98,340   106,453  
  Telecom Italia Capital SA 6.375% 11/15/33 12,326   15,022  
  Telecom Italia Capital SA 6.000% 9/30/34 33,530   40,278  
  Telecom Italia Capital SA 7.721% 6/4/38 37,725   50,976  
2 Telecom Italia SPA 5.303% 5/30/24 6,555   7,170  
2 Telenet Finance Luxembourg Notes Sarl 5.500% 3/1/28 129,600   137,506  
  Time Warner Cable LLC 5.500% 9/1/41 20,846   26,169  
2 UPC Holding BV 5.500% 1/15/28 60,000   60,825  
1 Viacom Inc. 5.875% 2/28/57 82,651   85,957  
1 Viacom Inc. 6.250% 2/28/57 33,146   36,792  
  Videotron Ltd. 5.000% 7/15/22 90,178   94,462  
2 Videotron Ltd. 5.375% 6/15/24 12,673   13,750  
2 Videotron Ltd. 5.125% 4/15/27 1,500   1,588  
2 Virgin Media Secured Finance plc 5.500% 8/15/26 32,022   33,863  
2 Virgin Media Secured Finance plc 5.500% 5/15/29 43,280   47,013  
2 Virgin Media Secured Finance plc 4.500% 8/15/30 42,595   45,257  
2,6 Virgin Media Vendor Financing Notes III DAC 4.875% 7/15/28 38,910   51,662  
2 VTR Finance NV 6.375% 7/15/28 9,055   9,587  
2 WMG Acquisition Corp. 5.500% 4/15/26 90,226   93,948  
2,5 WMG Acquisition Corp. 3.625% 10/15/26 7,030   8,567  
2,5 WMG Acquisition Corp. 2.750% 7/15/28 18,490   22,257  
2 WMG Acquisition Corp. 3.875% 7/15/30 68,205   72,809  
2 Ziggo BV 5.500% 1/15/27 45,254   47,573  
2 Ziggo BV 4.875% 1/15/30 63,005   66,313  
               
  Consumer Cyclical (12.1%)            
2 1011778 BC ULC / New Red Finance Inc. 4.250% 5/15/24 134,134   136,817  
2 1011778 BC ULC / New Red Finance Inc. 5.000% 10/15/25 125,640   128,781  
  1011778 BC ULC / New Red Finance Inc. 3.875% 1/15/28 48,119   49,803  
2 Adient Global Holdings Ltd. 4.875% 8/15/26 29,277   27,301  
2 Adient US LLC 7.000% 5/15/26 17,845   19,228  
2 Asbury Automotive Group Inc. 4.500% 3/1/28 1,224   1,252  
2 Asbury Automotive Group Inc. 4.750% 3/1/30 4,147   4,261  
3,4 Bass Pro Group, LLC. Bank Loan, 3M USD LIBOR + 5.000% 6.072% 12/15/23 62,576   62,233  

 

9

 

High-Yield Corporate Fund

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 )  ($000 ) 
  Boyd Gaming Corp. 6.000% 8/15/26 5,345   5,412  
2 Boyd Gaming Corp. 4.750% 12/1/27 128,570   123,427  
  Cedar Fair LP 5.250% 7/15/29 55,656   52,734  
  Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op 5.375% 4/15/27 27,005   26,195  
  Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. 5.375% 6/1/24 15,675   15,283  
2 Colt Merger Sub Inc. 5.750% 7/1/25 21,605   22,496  
2 Colt Merger Sub Inc. 6.250% 7/1/25 64,450   67,511  
2 Colt Merger Sub Inc. 8.125% 7/1/27 64,390   65,195  
2 CRC Escrow Issuer LLC / CRC Finco Inc. 5.250% 10/15/25 167,363   150,627  
  GLP Capital LP / GLP Financing II Inc. 5.250% 6/1/25 5,000   5,401  
  GLP Capital LP / GLP Financing II Inc. 5.375% 4/15/26 55,075   61,629  
  GLP Capital LP / GLP Financing II Inc. 5.300% 1/15/29 41,865   46,619  
  Goodyear Tire & Rubber Co. 5.125% 11/15/23 8,000   8,010  
  Goodyear Tire & Rubber Co. 5.000% 5/31/26 11,102   11,074  
  Goodyear Tire & Rubber Co. 4.875% 3/15/27 13,803   13,630  
2 Hanesbrands Inc. 4.625% 5/15/24 16,770   17,734  
2 Hanesbrands Inc. 5.375% 5/15/25 23,690   25,467  
2 Hanesbrands Inc. 4.875% 5/15/26 83,594   91,326  
  Hilton Domestic Operating Co. Inc. 4.250% 9/1/24 67,921   68,600  
  Hilton Domestic Operating Co. Inc. 5.125% 5/1/26 76,650   78,950  
  Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. 4.625% 4/1/25 88,770   90,213  
  Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. 4.875% 4/1/27 29,444   30,585  
2 Jacobs Entertainment Inc. 7.875% 2/1/24 26,555   24,099  
2 KAR Auction Services Inc. 5.125% 6/1/25 79,923   80,323  
  KB Home 7.000% 12/15/21 7,325   7,673  
  KB Home 7.500% 9/15/22 6,935   7,602  
  KB Home 7.625% 5/15/23 41,775   45,953  
  KB Home 4.800% 11/15/29 14,585   15,168  
2 KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC 5.000% 6/1/24 64,095   65,697  
2 KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC 5.250% 6/1/26 29,156   30,468  
2 KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC 4.750% 6/1/27 32,810   34,861  
2 L Brands Inc. 6.875% 7/1/25 8,005   8,625  
  Lennar Corp. 4.125% 1/15/22 27,575   28,264  
  Lennar Corp. 4.875% 12/15/23 21,825   23,626  
  Lennar Corp. 4.500% 4/30/24 112,404   120,834  
  Lennar Corp. 5.875% 11/15/24 4,860   5,498  
  Lennar Corp. 5.250% 6/1/26 9,460   10,595  
  Lennar Corp. 5.000% 6/15/27 42,955   48,324  
  Lennar Corp. 4.750% 11/29/27 34,610   39,758  
2,5 LHMC Finco Sarl 6.250% 12/20/23 46,210   50,191  
2 LHMC Finco Sarl 7.875% 12/20/23 66,800   62,291  
2 Lithia Motors Inc. 5.250% 8/1/25 5,708   5,936  
2 Lithia Motors Inc. 4.625% 12/15/27 66,275   70,086  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625% 5/1/24 5,000   5,400  
  MGM Resorts International 6.000% 3/15/23 12,554   13,088  

 

10

 

High-Yield Corporate Fund

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
  MGM Resorts International 5.750% 6/15/25 32,801   33,785  
2 Panther BF Aggregator 2 LP / Panther Finance Co. Inc. 6.250% 5/15/26 31,932   34,167  
2 Panther BF Aggregator 2 LP / Panther Finance Co. Inc. 8.500% 5/15/27 26,491   27,782  
3,4 Panther BF Aggregator Bank Loan, 3M USD LIBOR + 3.500% 3.667% 4/30/26 25,681   25,033  
2 Party City Holdings Inc. 6.125% 8/15/23 6,000   960  
2 PetSmart Inc. 5.875% 6/1/25 66,510   68,339  
  PulteGroup Inc. 5.500% 3/1/26 64,565   73,927  
  PulteGroup Inc. 5.000% 1/15/27 4,315   4,898  
2 PVH Corp. 4.625% 7/10/25 30,385   31,119  
  Service Corp. International 4.625% 12/15/27 27,935   29,751  
  Service Corp. International 5.125% 6/1/29 44,190   48,719  
2 Speedway Motorsports LLC / Speedway Funding II Inc. 4.875% 11/1/27 20,000   18,150  
2 Taylor Morrison Communities Inc. 5.125% 8/1/30 13,315   14,547  
  Toll Brothers Finance Corp. 5.875% 2/15/22 2,325   2,430  
  Toll Brothers Finance Corp. 4.375% 4/15/23 10,000   10,463  
  Toll Brothers Finance Corp. 4.875% 11/15/25 9,595   10,507  
  Toll Brothers Finance Corp. 4.875% 3/15/27 68,200   76,384  
  Toll Brothers Finance Corp. 3.800% 11/1/29 61,775   64,108  
  Under Armour Inc. 3.250% 6/15/26 66,860   62,347  
2 VICI Properties LP / VICI Note Co. Inc. 4.250% 12/1/26 54,048   55,669  
2 VICI Properties LP / VICI Note Co. Inc. 3.750% 2/15/27 15,724   15,763  
2 VICI Properties LP / VICI Note Co. Inc. 4.625% 12/1/29 28,225   29,495  
2 William Carter Co. 5.500% 5/15/25 8,030   8,472  
2 William Carter Co. 5.625% 3/15/27 7,095   7,556  
2 William Lyon Homes Inc. 5.875% 1/31/25 9,367   9,648  
2 WW International Inc. 8.625% 12/1/25 25,760   27,112  
2 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 5.500% 3/1/25 112,871   106,099  
2 Yum! Brands Inc. 4.750% 1/15/30 33,270   36,015  
2 Yum! Brands Inc. 7.750% 4/1/25 5,165   5,720  
               
  Consumer Noncyclical (14.7%)            
2 Acadia Healthcare Co. Inc. 5.500% 7/1/28 17,005   18,068  
2 Aramark Services Inc. 5.000% 4/1/25 54,020   55,708  
  Aramark Services Inc. 4.750% 6/1/26 48,420   48,299  
2 Aramark Services Inc. 5.000% 2/1/28 104,545   105,198  
2 Avantor Funding Inc. 4.625% 7/15/28 49,390   52,230  
2 Avantor Inc. 6.000% 10/1/24 29,860   31,428  
  B&G Foods Inc. 5.250% 4/1/25 60,337   63,052  
  B&G Foods Inc. 5.250% 9/15/27 44,965   47,663  
2 Bausch Health Americas Inc. 9.250% 4/1/26 17,325   19,491  
2 Bausch Health Cos. Inc. 7.000% 3/15/24 3,000   3,113  
2 Bausch Health Cos. Inc. 5.500% 11/1/25 51,675   53,484  
2 Bausch Health Cos. Inc. 7.000% 1/15/28 18,060   19,685  
2 Bausch Health Cos. Inc. 5.000% 1/30/28 43,125   43,341  
2 Bausch Health Cos. Inc. 7.250% 5/30/29 1,940   2,144  
2 Bausch Health Cos. Inc. 5.250% 1/30/30 65,205   66,591  
2 Catalent Pharma Solutions Inc. 5.000% 7/15/27 21,270   22,599  
2,5 Catalent Pharma Solutions Inc. 2.375% 3/1/28 45,735   51,485  

 

11

 

High-Yield Corporate Fund

 

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
2 Change Healthcare Holdings LLC / Change Healthcare Finance Inc. 5.750% 3/1/25 111,020   113,518  
2 Charles River Laboratories International Inc. 5.500% 4/1/26 19,978   21,102  
2 Charles River Laboratories International Inc. 4.250% 5/1/28 17,614   18,649  
  CHS/Community Health Systems Inc. 6.250% 3/31/23 122,145   123,366  
2,5 Darling Global Finance BV 3.625% 5/15/26 12,945   15,573  
2 Darling Ingredients Inc. 5.250% 4/15/27 10,305   10,962  
2,5 Diamond BC BV 5.625% 8/15/25 102,750   116,624  
2 Endo Dac / Endo Finance LLC / Endo Finco Inc. 9.500% 7/31/27 55,412   59,776  
2 Endo Dac / Endo Finance LLC / Endo Finco Inc. 6.000% 6/30/28 75,870   57,851  
2 Energizer Holdings Inc. 6.375% 7/15/26 22,455   23,971  
2 Energizer Holdings Inc. 4.750% 6/15/28 42,462   45,540  
3,4 Froneri Intenational Limited Bank Loan, 1M USD LIBOR + 2.250% 2.411% 1/29/27 9,668   9,269  
3,4 Froneri Intenational Limited Bank Loan, 1M USD LIBOR + 2.250% 2.411% 1/29/27 21,247   20,370  
3,4 Froneri International Limited Bank Loan, 1M USD LIBOR + 5.750% 5.911% 1/31/28 9,391   9,062  
2,5 Grifols SA 1.625% 2/15/25 27,965   32,255  
2,5 Grifols SA 2.250% 11/15/27 42,955   50,046  
  HCA Inc. 5.875% 5/1/23 35,722   39,294  
  HCA Inc. 5.375% 2/1/25 11,655   13,083  
  HCA Inc. 7.690% 6/15/25 4,510   5,288  
  HCA Inc. 5.875% 2/15/26 110,595   128,567  
  HCA Inc. 5.625% 9/1/28 12,585   15,039  
  HCA Inc. 5.875% 2/1/29 39,095   47,598  
  HCA Inc. 3.500% 9/1/30 198,570   208,498  
2 Hill-Rom Holdings Inc. 4.375% 9/15/27 6,785   7,158  
2 IQVIA Inc. 5.000% 5/15/27 83,792   89,238  
2,5 IQVIA Inc. 2.250% 1/15/28 41,670   48,468  
2,5 IQVIA Inc. 2.875% 6/15/28 61,595   74,041  
2 Jaguar Holding Co. II / Pharmaceutical Product Development LLC 5.000% 6/15/28 15,565   16,577  
  Kraft Heinz Foods Co. 4.625% 1/30/29 4,180   4,761  
2 Kraft Heinz Foods Co. 3.750% 4/1/30 35,725   38,780  
2 Kraft Heinz Foods Co. 4.250% 3/1/31 40,000   44,115  
  Kraft Heinz Foods Co. 5.200% 7/15/45 105,325   120,128  
2 Kraft Heinz Foods Co. 4.875% 10/1/49 35,730   39,029  
2 Lamb Weston Holdings Inc. 4.875% 5/15/28 6,090   6,745  
3,4 Lands’ End, Inc. Bank Loan, 3M USD LIBOR + 3.250% 4.250% 3/12/21 61,444   56,579  
2 Mattel Inc. 6.750% 12/ 31/25 12,530   13,313  
2 Mattel Inc. 5.875% 12/15/27 54,943   59,201  
2 MPH Acquisition Holdings LLC 7.125% 6/1/24 53,485   54,822  
2 Par Pharmaceutical Inc. 7.500% 4/1/27 24,913   26,470  
2 Performance Food Group Inc. 6.875% 5/1/25 6,645   7,110  
2 Performance Food Group Inc. 5.500% 10/15/27 83,056   85,755  
2 Polaris Intermediate Corp. 8.500% 12/1/22 82,880   84,330  
2 Post Holdings Inc. 5.000% 8/15/26 117,433   122,864  
2 Post Holdings Inc. 5.750% 3/1/27 27,091   28,852  
2 Post Holdings Inc. 5.625% 1/15/28 90,650   98,469  
2 Post Holdings Inc. 5.500% 12/15/29 16,000   17,560  

 

12

 

 

High-Yield Corporate Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
2 Post Holdings Inc. 4.625% 4/15/30 69,934 73,606
2,5 Q-Park Holding I BV 1.500% 3/1/25 27,380 29,942
2,5 Q-Park Holding I BV 2.000% 3/1/27 35,245 38,370
2 Quintiles IMS Inc. 5.000% 10/15/26 46,310 48,625
3,4 Revlon Consumer Products Corp. Bank Loan, 1M USD LIBOR + 3.500% 4.250% 9/7/23 25,646 6,326
2 Teleflex Inc. 4.250% 6/1/28 14,540 15,576
  Tenet Healthcare Corp. 4.625% 7/15/24 9,660 9,877
2 Tenet Healthcare Corp. 4.625% 9/1/24 11,060 11,475
2 Tenet Healthcare Corp. 7.500% 4/1/25 13,440 14,834
2 Tenet Healthcare Corp. 4.875% 1/1/26 8,930 9,332
2 Tenet Healthcare Corp. 4.625% 6/15/28 8,020 8,421
  Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22 13,080 12,949
  Teva Pharmaceutical Finance Co. LLC 6.150% 2/1/36 12,645 13,119
  Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21 10,000 9,937
  Teva Pharmaceutical Finance Netherlands III BV 3.150% 10/1/26 94,130 86,247
  Teva Pharmaceutical Finance Netherlands III BV 6.750% 3/1/28 109,990 121,264
  Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/1/46 19,190 16,311
2 TreeHouse Foods Inc. 6.000% 2/15/24 60,000 61,800
2 Valeant Pharmaceuticals International Inc. 9.000% 12/15/25 26,760 29,637
2 Valeant Pharmaceuticals International Inc. 8.500% 1/31/27 48,400 53,966
2 VRX Escrow Corp. 6.125% 4/15/25 154,710 159,545
2 West Street Merger Sub Inc. 6.375% 9/1/25 78,045 79,216
           
  Energy (8.7%)        
  AmeriGas Finance LLC / AmeriGas Finance Corp. 5.625% 5/20/24 46,910 50,194
  AmeriGas Finance LLC / AmeriGas Finance Corp. 5.875% 8/20/26 46,910 51,777
  AmeriGas Partners LP / AmeriGas Finance Corp. 5.500% 5/20/25 21,659 23,392
  AmeriGas Partners LP / AmeriGas Finance Corp. 5.750% 5/20/27 54,170 59,316
  Apache Corp. 5.100% 9/1/40 37,550 36,517
  Apache Corp. 5.250% 2/1/42 16,724 15,992
  Apache Corp. 4.750% 4/15/43 48,945 46,498
  Apache Corp. 4.250% 1/15/44 23,927 21,415
  Apache Corp. 5.350% 7/1/49 47,762 45,971
2 Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.125% 11/15/22 39,736 39,438
2 Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.625% 7/15/26 24,310 21,332
2 Buckeye Partners LP 4.125% 3/1/25 30,350 30,578
2 Buckeye Partners LP 4.500% 3/1/28 61,806 61,420
  Cheniere Corpus Christi Holdings LLC 7.000% 6/30/24 26,612 30,704
  Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 39,084 44,556
  Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27 36,885 41,606
  Cheniere Energy Partners LP 4.500% 10/1/29 38,654 40,780
¤,2 Chesapeake Energy Corp. 11.500% 1/1/25 34,500 3,105
  Continental Resources Inc. 5.000% 9/15/22 71,180 71,180

 

 13 

 

 

High-Yield Corporate Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
  Continental Resources Inc. 4.375% 1/15/28 54,925 51,218
  Continental Resources Inc. 4.900% 6/1/44 82,859 70,430
2 DCP Midstream Operating LP 4.750% 9/30/21 26,924 27,328
  DCP Midstream Operating LP 4.950% 4/1/22 38,299 38,873
  DCP Midstream Operating LP 3.875% 3/15/23 31,988 32,068
  DCP Midstream Operating LP 5.600% 4/1/44 26,895 23,231
  EnLink Midstream Partners LP 5.050% 4/1/45 30,827 16,878
  EQM Midstream Partners LP 4.750% 7/15/23 32,575 32,982
  EQM Midstream Partners LP 4.000% 8/1/24 13,880 13,741
2 EQM Midstream Partners LP 6.000% 7/1/25 52,292 55,168
2 EQM Midstream Partners LP 6.500% 7/1/27 47,615 52,496
  EQM Midstream Partners LP 5.500% 7/15/28 15,541 16,007
  EQT Corp. 3.000% 10/1/22 13,375 13,225
  EQT Corp. 7.875% 2/1/25 4,855 5,340
  EQT Corp. 3.900% 10/1/27 4,925 4,623
  EQT Corp. 7.000% 2/1/30 23,887 27,351
  Matador Resources Co. 5.875% 9/15/26 60,090 45,668
2 Parsley Energy LLC / Parsley Finance Corp. 5.375% 1/15/25 42,585 43,703
2 Parsley Energy LLC / Parsley Finance Corp. 5.250% 8/15/25 6,810 6,963
2 Parsley Energy LLC / Parsley Finance Corp. 4.125% 2/15/28 14,630 14,557
  QEP Resources Inc. 5.375% 10/1/22 42,485 33,988
  QEP Resources Inc. 5.250% 5/1/23 37,925 26,168
2 Rockies Express Pipeline LLC 7.500% 7/15/38 38,048 38,809
2 Rockies Express Pipeline LLC 6.875% 4/15/40 13,880 14,019
  SM Energy Co. 6.125% 11/15/22 26,015 19,381
  SM Energy Co. 5.000% 1/15/24 69,110 39,047
  SM Energy Co. 5.625% 6/1/25 54,040 28,506
  SM Energy Co. 6.750% 9/15/26 17,855 8,927
  SM Energy Co. 6.625% 1/15/27 9,500 4,702
  Sunoco LP / Sunoco Finance Corp. 4.875% 1/15/23 57,680 58,617
  Sunoco LP / Sunoco Finance Corp. 5.500% 2/15/26 72,984 74,991
  Sunoco LP / Sunoco Finance Corp. 6.000% 4/15/27 70,255 74,119
  Sunoco LP / Sunoco Finance Corp. 5.875% 3/15/28 18,335 19,160
2 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 4.750% 10/1/23 65,577 63,118
2 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 5.500% 9/15/24 24,498 23,579
2 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 5.500% 1/15/28 84,770 75,233
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 4.250% 11/15/23 14,295 14,331
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.125% 2/1/25 10,000 10,250
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 5.375% 2/1/27 5,340 5,514
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.875% 1/15/29 32,470 36,366
1,2 Transocean Guardian Ltd. 5.875% 1/15/24 45,609 40,022
2 Transocean Inc. 7.250% 11/1/25 10,000 4,900
2 Transocean Inc. 8.000% 2/1/27 6,795 3,262
1,2 Transocean Phoenix 2 Ltd. 7.750% 10/15/24 19,520 18,544
1,2 Transocean Pontus Ltd. 6.125% 8/1/25 34,396 32,160
1,2 Transocean Proteus Ltd. 6.250% 12/1/24 22,485 21,023

 

 14 

 

 

High-Yield Corporate Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
2 Vine Oil & Gas LP / Vine Oil & Gas Finance Corp. 8.750% 4/15/23 62,530 36,267
  Western Midstream Operating LP 5.450% 4/1/44 21,255 19,448
  Western Midstream Operating LP 5.300% 3/1/48 53,203 47,617
  Western Midstream Operating LP 6.250% 2/1/50 44,713 43,931
¤ Whiting Petroleum Corp. 6.625% 1/15/26 106,234 18,591
  WPX Energy Inc. 5.250% 9/15/24 34,122 35,018
  WPX Energy Inc. 5.750% 6/1/26 11,975 12,214
           
  Other Industrial (0.4%)        
2 Brand Energy & Infrastructure Services Inc. 8.500% 7/15/25 105,790 97,856
3,4 Core & Main LP Bank Loan, 3M USD LIBOR + 3.000% 3.750% 8/1/24 1,641 1,590
3,4 Core & Main LP Bank Loan, 3M USD LIBOR + 3.000% 3.750% 8/1/24 3,646 3,532
3,4 Core & Main LP Bank Loan, 3M USD LIBOR + 3.000% 3.750% 8/1/24 3,957 3,833
           
  Technology (9.7%)        
  Alcatel-Lucent USA Inc. 6.500% 1/15/28 56,315 58,990
  Alcatel-Lucent USA Inc. 6.450% 3/15/29 88,747 92,741
2 BY Crown Parent LLC / BY Bond Finance Inc. 4.250% 1/31/26 15,660 16,032
2 Cardtronics Inc / Cardtronics USA Inc. 5.500% 5/1/25 15,000 15,019
  CDK Global Inc. 5.000% 10/15/24 6,015 6,737
  CDK Global Inc. 5.875% 6/15/26 29,700 31,668
  CDK Global Inc. 4.875% 6/1/27 32,732 34,982
2 CDK Global Inc. 5.250% 5/15/29 26,475 28,990
  CDW LLC / CDW Finance Corp. 5.500% 12/1/24 12,007 13,448
  CDW LLC / CDW Finance Corp. 4.125% 5/1/25 53,645 56,461
  CDW LLC / CDW Finance Corp. 5.000% 9/1/25 31,255 32,427
  CDW LLC / CDW Finance Corp. 4.250% 4/1/28 77,724 82,485
2 Dun & Bradstreet Corp. 6.875% 8/15/26 27,734 30,299
3,4 Dun & Bradstreet Corp. Bank Loan, 1M USD LIBOR + 3.750% 3.922% 2/8/26 103,087 102,442
2 Entegris Inc. 4.625% 2/10/26 5,000 5,200
2 Entegris Inc. 4.375% 4/15/28 67,165 69,516
5 Equinix Inc. 2.875% 2/1/26 102,180 122,876
2 Fair Isaac Corp. 4.000% 6/15/28 2,480 2,579
3,4 Grizzly Acquisitions Inc. Bank Loan, 3M USD LIBOR + 3.250% 3.552% 10/1/25 23,285 22,252
2 Iron Mountain Inc. 4.875% 9/15/27 26,970 28,083
2 Iron Mountain Inc. 4.875% 9/15/29 67,770 70,565
2 Microchip Technology Inc. 4.250% 9/1/25 45,630 47,797
2 MSCI Inc. 4.750% 8/1/26 10,330 10,821
2 MSCI Inc. 5.375% 5/15/27 28,181 30,435
2 MSCI Inc. 4.000% 11/15/29 88,330 95,396
2 MSCI Inc. 3.625% 9/1/30 15,765 16,790
2 MSCI Inc. 3.875% 2/15/31 18,910 20,517
  Nokia Oyj 6.625% 5/15/39 125,939 160,572
2 Open Text Corp. 5.875% 6/1/26 87,385 92,628
2 Open Text Corp. 3.875% 2/15/28 91,090 94,734
2 Open Text Corp. 4.125% 2/15/30 97,210 102,314
2 Presidio Holdings Inc. 4.875% 2/1/27 2,000 2,035
2 Presidio Holdings Inc. 8.250% 2/1/28 44,820 46,613

 

 15 

 

 

High-Yield Corporate Fund

 

 

        Face Market
      Maturity Amount Value•
    Coupon Date ($000) ($000)
2 PTC Inc. 3.625% 2/15/25 11,460 11,833
2 PTC Inc. 4.000% 2/15/28 15,620 16,401
  Qorvo Inc. 5.500% 7/15/26 92,105 98,322
2 Qorvo Inc. 4.375% 10/15/29 81,508 87,214
2 Sensata Technologies BV 4.875% 10/15/23 10,000 10,550
2 Sensata Technologies BV 5.625% 11/1/24 19,290 20,930
2 Sensata Technologies BV 5.000% 10/1/25 52,750 57,036
2 Sensata Technologies Inc. 4.375% 2/15/30 17,765 19,031
2 Sensata Technologies UK Financing Co. plc 6.250% 2/15/26 49,705 52,315
3,4 SS&C Technologies Holdings Inc. Bank Loan, 1M USD LIBOR + 1.750% 1.911% 4/16/25 18,608 17,994
3,4 SS&C Technologies Holdings Inc. Bank Loan, 1M USD LIBOR + 1.750% 1.911% 4/16/25 26,485 25,611
3,4 SS&C Technologies Holdings Inc. Bank Loan, 1M USD LIBOR + 1.750% 1.911% 4/16/25 18,689 18,112
2 SS&C Technologies Inc. 5.500% 9/30/27 124,721 134,075
  Symantec Corp. 3.950% 6/15/22 11,455 11,856
2 Symantec Corp. 5.000% 4/15/25 132,140 135,774
2 VTR Comunicaciones SPA 5.125% 1/15/28 15,370 16,138
  Western Digital Corp. 4.750% 2/15/26 99,381 108,077
2 WEX Inc. 4.750% 2/1/23 1,000 1,002
  Xerox Corp. 4.125% 3/15/23 70,356 72,379
  Xerox Corp. 4.800% 3/1/35 29,269 27,549
  Xerox Corp. 6.750% 12/15/39 25,566 27,228
          21,503,997
Utilities (0.9%)        
  Electric (0.9%)        
  AES Corp. 5.500% 4/15/25 5,475 5,646
  AES Corp. 6.000% 5/15/26 6,940 7,356
  AES Corp. 5.125% 9/1/27 33,610 36,257
2 NextEra Energy Operating Partners LP 4.250% 7/15/24 23,229 24,681
2 NextEra Energy Operating Partners LP 4.250% 9/15/24 38,850 41,375
2 NextEra Energy Operating Partners LP 3.875% 10/15/26 104,720 109,150
2 NextEra Energy Operating Partners LP 4.500% 9/15/27 24,185 26,361
          250,826
Total Corporate Bonds (Cost $23,221,264)       23,803,224
Sovereign Bonds (0.7%)        
2 DAE Funding LLC 4.000% 8/1/20 5,945 5,901
2 DAE Funding LLC 5.250% 11/15/21 26,185 25,825
2 DAE Funding LLC 4.500% 8/1/22 52,168 51,255
2 DAE Funding LLC 5.750% 11/15/23 2,500 2,450
2 DAE Funding LLC 5.000% 8/1/24 80,610 75,370
2,5 Vertical Midco GmbH 4.375% 7/15/27 8,900 10,523
Total Sovereign Bonds (Cost $180,002)       171,324

 

 16 

 

 

High-Yield Corporate Fund

 

 

          Market
      Maturity   Value•
    Coupon Date Shares ($000)
Preferred Stocks (0.4%)        
4 GMAC Capital Trust I Pfd., 3M USD LIBOR + 5.785% (Cost $123,777) 6.065% 2/15/40 4,743,200 113,884
Common Stocks (0.0%)        
Utilities (0.0%)        
§,* Homer City Generation LP (Cost $41,520)     2,020,431 —

 

        Face    
        Amount    
        ($000 )   
Temporary Cash Investments (4.5%)          
Repurchase Agreements (3.6%)          
  Bank of America Securities, LLC (Dated 7/31/2020, Repurchase Value $204,202,000, Federal Home Loan Mortgage Assn. 3.000%–4.500%, 1/1/30–7/1/48, and Federal National Mortgage Assn. 2.500%–5.000%, 4/1/30–7/1/50, with a value of $208,284,000) 0.100% 8/3/20 204,200   204,200
  Credit Agricole Securities (USA) Inc. (Dated 7/31/2020, Repurchase Value $259,202,000, collateralized by U.S. Treasury Note/Bond 2.25%, 8/15/46– 8/15/49, with a value of $264,384,000) 0.070% 8/3/20 259,200   259,200
  JP Morgan Securities LLC (Dated 7/31/2020, Repurchase Value $365,902,000, collateralized by U.S. Treasury Note/Bond 2.875%, 4/30/25, with a value of $373,218,000) 0.070% 8/3/20 365,900   365,900
  RBC Capital Markets LLC (Dated 7/31/2020, Repurchase Value $40,600,000, collateralized by Federal National Mortgage Assn. 2.500%– 4.000%, 4/1/48–6/1/50, with a value of $41,412,000) 0.080% 8/3/20 40,600   40,600
  TD Securities (USA) LLC (Dated 7/31/2020, Repurchase Value $97,501,000, collateralized by Federal Home Loan Bank 0.164%–5.500%, 9/11/20–7/15/36, Federal Farm Credit Systemwide Bond 0.170%–3.430%, 10/13/20–10/26/37, Federal Home Loan Mortgage Corp. 0.250%–6.750%, 9/29/20–9/15/29, Federal National Mortgage Assn. 0.250%–7.250%, 11/30/20–3/1/49, and U.S. Treasury Note/Bond 0.150%–0.405%, 10/31/20–1/31/22, with a value of $99,450,000) 0.100% 8/3/20 97,500   97,500
            967,400

 

 17 

 

 

High-Yield Corporate Fund

 

      Face Market
    Maturity Amount Value•
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (0.9%)      
United States Treasury Bill 0.053%–0.060% 2/25/21 250,000 249,843
Total Temporary Cash Investments (Cost $1,217,317)     1,217,243
Total Investments (98.9%) (Cost $26,052,364)     26,576,535
Other Assets and Liabilities—Net (1.1%)       288,331
Net Assets (100%)       26,864,866

 

Cost is in $000

•See Note A in Notes to Financial Statements.
†Securities with a value of $42,603,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
‡Securities with a value of $53,065,000 have been segregated as initial margin for open centrally cleared swap contracts.
¤Non-income-producing security-security in default.
§Security value determined using significant unobservable inputs.
*Non-income-producing security.
1The 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.
2Security 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 July 31, 2020, the aggregate value of these securities was $13,450,275,000, representing 50.1% of net assets.
3Security 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 July 31, 2020, the aggregate value of these securities was $501,364,000, representing 1.9% of net assets.
4Adjustable-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.
5Face amount denominated in euro.
6Face amount denominated in British pounds.
LIBOR—London Interbank Offered Rate.

 

 

 

 

 

 

 

 

 

 

 18 

 

 

 

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)
J.P. Morgan Securities LLC 8/31/20 USD 1,068,075 EUR 913,447   — (8,658)
Toronto-Dominion Bank 8/28/20 USD 54,049 GBP 42,170   — (1,160)
BNP Paribas 8/31/20 USD 18,737 EUR 15,970   — (87)
Goldman Sachs International 8/31/20 USD 3,347 EUR 2,842   — (3)
              — (9,908)

 

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-S34-V4 6/20/25 USD 437,998 5.000 11,247 5,634

 

1 Periodic premium received/paid quarterly.

 

USD—U.S. dollar.

 

19

 

 

High-Yield Corporate Fund

 

 

 

Over-the-Counter Credit Default Swaps            
            Remaining    
        Periodic   Up-Front    
        Premium   Premium    
      Notional Received   Paid Unrealized Unrealized
Reference Termination   Amount (Paid)1 Value (Received) Appreciation (Depreciation)
Entity Date Counterparty ($000) (%) ($000) ($000) ($000) ($000)
Credit Protection Sold/Moody’s Rating            
CDX-NA-HY-BB-S33-V1/N/A 6/20/25 GSI 202,430 5.000 18,570 10,990 7,580 —
CDX-NA-HY-BB-S33-V1/N/A 6/20/25 GSI 100,000 5.000 9,174 2,529 6,645 —
CDX-NA-HY-BB-S33-V1/N/A 6/20/25 GSI 55,000 5.000 5,046 2,908 2,138 —
CDX-NA-HY-BB-S33-V1/N/A 6/20/25 GSI 55,000 5.000 5,045 2,844 2,201 —
CDX-NA-HY-BB-S33-V1/N/A 6/20/25 GSI 50,000 5.000 4,587 3,532 1,055 —
CDX-NA-HY-BB-S33-V1/N/A 6/20/25 JPMC 50,000 5.000 4,587 3,833 754 —
          47,009 26,636 20,373 —

 

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.

GSI—Goldman Sachs International.

JPMC—JPMorgan Chase Bank, N.A.

 

At July 31, 2020, the counterparties had deposited in segregated accounts securities with a value of $47,085,000 in connection with open forward currency contracts and open over-the-counter swap contracts.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

20

 

 

High-Yield Corporate Fund

 

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Unaffiliated Issuers (Cost $26,052,364) 26,576,535
Investment in Vanguard 1,136
Cash 9,855
Foreign Currency, at Value (Cost $135) 137
Receivables for Investment Securities Sold 12,859
Receivables for Accrued Income 314,314
Receivables for Capital Shares Issued 44,554
Swap Premiums Paid 26,636
Unrealized Appreciation—Over-the-Counter Swap Contracts 20,373
Total Assets 27,006,399
Liabilities  
Payables for Investment Securities Purchased 78,648
Payables to Investment Advisor 1,842
Payables for Capital Shares Redeemed 21,959
Payables for Distributions 26,772
Payables to Vanguard 1,481
Variation Margin Payable—Centrally Cleared Swap Contracts 923
Unrealized Depreciation— Forward Currency Contracts 9,908
Total Liabilities 141,533
Net Assets 26,864,866
   
   
At July 31, 2020, net assets consisted of:  
   
Paid-in Capital 27,138,418
Total Distributable Earnings (Loss) (273,552)
Net Assets 26,864,866
   
Investor Shares—Net Assets  
Applicable to 657,612,013 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 3,838,030
Net Asset Value Per Share—Investor Shares $5.84
   
Admiral Shares—Net Assets  
Applicable to 3,945,439,004 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 23,026,836
Net Asset Value Per Share—Admiral Shares $5.84

 

 

 

 

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

 

21

 

 

High-Yield Corporate Fund

 

 

 

Statement of Operations

 

 

  Six Months Ended
  July 31, 2020
  ($000)
Investment Income  
Income  
Dividend 4,550
Interest 601,602
Total Income 606,152
Expenses  
Investment Advisory Fees—Note B 3,641
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 3,320
Management and Administrative—Admiral Shares 9,587
Marketing and Distribution—Investor Shares 218
Marketing and Distribution—Admiral Shares 675
Custodian Fees 69
Shareholders’ Reports—Investor Shares 76
Shareholders’ Reports—Admiral Shares 147
Trustees’ Fees and Expenses 20
Total Expenses 17,753
Net Investment Income 588,399
Realized Net Gain (Loss)  
Investment Securities Sold (339,894)
Swap Contracts (105,418)
Forward Currency Contracts (53,356)
Foreign Currencies 1,211
Realized Net Gain (Loss) (497,457)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities (35,650)
Swap Contracts 21,277
Forward Currency Contracts (5,459)
Foreign Currencies 525
Change in Unrealized Appreciation (Depreciation) (19,307)
Net Increase (Decrease) in Net Assets Resulting from Operations 71,635

 

 

 

 

 

 

 

 

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

 

22

 

 

High-Yield Corporate Fund

 

 

 

Statement of Changes in Net Assets

 

 

  Six Months Ended   Year Ended
  July 31,   January 31,
  2020   2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 588,399   1,318,973
Realized Net Gain (Loss) (497,457)   21,996
Change in Unrealized Appreciation (Depreciation) (19,307)   1,156,288
Net Increase (Decrease) in Net Assets Resulting from Operations 71,635   2,497,257
Distributions1      
Investor Shares (91,764)   (204,765)
Admiral Shares (540,970)   (1,145,812)
Total Distributions (632,734)   (1,350,577)
Capital Share Transactions      
Investor Shares (162,511)   367,892
Admiral Shares 785,191   2,446,481
Net Increase (Decrease) from Capital Share Transactions 622,680   2,814,373
Total Increase (Decrease) 61,581   3,961,053
Net Assets      
Beginning of Period 26,803,285   22,842,232
End of Period 26,864,866   26,803,285

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

23

 

 

High-Yield Corporate Fund

 

 

 

Financial Highlights

 

 

Investor Shares              
Six Months            
  Ended            
For a Share Outstanding July 31,   Year Ended January 31,
Throughout Each Period 2020   2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $5.94   $5.67 $5.91 $5.86 $5.46 $5.98
Investment Operations              
Net Investment Income .1311   .3021 .3171 .3091 .315 .327
Net Realized and Unrealized Gain (Loss) on Investments (.090)   .278 (.230) .048 .404 (.495)
Total from Investment Operations .041   .580 .087 .357 .719 (.168)
Distributions              
Dividends from Net Investment Income (.141)   (.310) (.327) (.307) (.317) (.323)
Distributions from Realized Capital Gains —   — — — (.002) (.029)
Total Distributions (.141)   (.310) (.327) (.307) (.319) (.352)
Net Asset Value, End of Period $5.84   $5.94 $5.67 $5.91 $5.86 $5.46
               
Total Return2 0.82%   10.45% 1.61% 6.19% 13.43% -2.99%
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $3,838   $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% 0.23%
Ratio of Net Investment Income to Average Net Assets 4.69%   5.16% 5.55% 5.20% 5.48% 5.61%
Portfolio Turnover Rate 26%   28% 21% 27% 26% 34%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.

 

24

 

 

High-Yield Corporate Fund

 

 

 

Financial Highlights

 

 

Admiral Shares              
Six Months            
  Ended            
For a Share Outstanding July 31,   Year Ended January 31,
Throughout Each Period 2020   2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $5.94   $5.67 $5.91 $5.86 $5.46 $5.98
Investment Operations              
Net Investment Income .1341   .3081 .3231 .3141 .320 .333
Net Realized and Unrealized Gain (Loss) on Investments (.090)   .278 (.230) .049 .404 (.495)
Total from Investment Operations .044   .586 .093 .363 .724 (.162)
Distributions              
Dividends from Net Investment Income (.144)   (.316) (.333) (.313) (.322) (.329)
Distributions from Realized Capital Gains —   — — — (.002) (.029)
Total Distributions (.144)   (.316) (.333) (.313) (.324) (.358)
Net Asset Value, End of Period $5.84   $5.94 $5.67 $5.91 $5.86 $5.46
               
Total Return2 0.87%   10.55% 1.71% 6.29% 13.54% -2.90%
               
Ratios/Supplemental Data              
Net Assets, End of Period (Millions) $23,027   $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% 0.13%
Ratio of Net Investment Income to Average Net Assets 4.80%   5.26% 5.65% 5.30% 5.58% 5.71%
Portfolio Turnover Rate 26%   28% 21% 27% 26% 34%

 

The expense ratio and net investment income ratio for the current period have been annualized.

1Calculated based on average shares outstanding.
2Total 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.

 

25

 

 

 

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. 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.

 

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. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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

 

26

 

 

High-Yield Corporate Fund

 

 

 

 

 

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 Schedule of Investments. 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 Schedule of Investments. 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 gains (losses) on forward currency contracts.

 

During the six months ended July 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.

 

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 Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset

 

 

27

 

 

High-Yield Corporate Fund

 

 

 

 

 

(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 Schedule of Investments. 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 six months ended July 31, 2020, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 2% 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

 

28

 

 

High-Yield Corporate Fund

 

 

 

 

 

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.

 

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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

8. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

29

 

 

High-Yield Corporate Fund

 

 

 

 

 

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 six months ended July 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $1,136,000, representing less than 0.01% of the fund’s net assets and 0.45% 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 Schedule of Investments.

 

30

 

 

High-Yield Corporate Fund

 

 

 

 

 

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

 

  Level 1   Level 2   Level 3   Total  
  ($000 ) ($000 ) ($000 ) ($000 )
Investments                
Assets                
U.S. Government and Agency Obligations —   1,270,860   —   1,270,860  
Corporate Bonds —   23,803,224   —   23,803,224  
Sovereign Bonds —   171,324   —   171,324  
Preferred Stocks —   113,884   —   113,884  
Common Stocks —   —   —   —  
Temporary Cash Investments —   1,217,243   —   1,217,243  
Total —   26,576,535   —   26,576,535  
Derivative Financial Instruments                
Assets                
Swap Contracts —   20,373   —   20,373  
Liabilities                
Forward Currency Contracts —   9,908   —   9,908  
Swap Contracts 923 1 —   —   923  
Total 923   9,908   —   10,831  

 

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

 

 

E.  At July 31, 2020, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:

 

  Foreign          
  Exchange   Credit      
  Contracts   Contracts   Total  
Statement of Asset and Liabilities Caption ($000 ) ($000 ) ($000 )
Swap Premiums Paid —   26,636   26,636  
Unrealized Appreciation—Over-the-Counter Swap Contracts —   20,373   20,373  
Total Assets —   47,009   47,009  
             
Variation Margin Payable—Centrally Cleared Swap Contracts —   923   923  
Unrealized Depreciation—Forward Currency Contracts 9,908   —   9,908  
Total Liabilities 9,908   923   10,831  

 

31

 

 

High-Yield Corporate Fund

 

 

 

 

 

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

 

  Foreign          
  Exchange   Credit      
  Contracts   Contracts   Total  
Realized Net Gain (Loss) on Derivatives ($000 ) ($000 ) ($000 )
Swap Contracts —   (105,418 ) (105,418 )
Forward Currency Contracts (53,356 ) —   (53,356 )
Realized Net Gain (Loss) on Derivatives (53,356 ) (105,418 ) (158,774 )
             
Change in Unrealized Appreciation (Depreciation) on Derivatives            
Swap Contracts —   21,277   21,277  
Forward Currency Contracts (5,459 ) —   (5,459 )
Change in Unrealized Appreciation (Depreciation) on Derivatives (5,459 ) 21,277   15,818  

 

 

F.  As of July 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 26,053,660  
Gross Unrealized Appreciation 1,185,661  
Gross Unrealized Depreciation (620,050 )
Net Unrealized Appreciation (Depreciation) 565,611  

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $318,989,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

G.  During the six months ended July 31, 2020, the fund purchased $5,744,260,000 of investment securities and sold $5,488,867,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $515,521,000 and $250,254,000, respectively.

 

32

 

 

High-Yield Corporate Fund

 

 

 

 

 

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

 

  Six Months Ended       Year Ended  
  July 31, 2020   January 31, 2020  
  Amount   Shares   Amount   Shares  
  ($000 ) (000 ) ($000 ) (000 )
Investor Shares                
Issued 720,212   128,331   1,219,185   208,300  
Issued in Lieu of Cash Distributions 77,363   13,820   172,894   29,534  
Redeemed (960,086 ) (174,879 ) (1,024,187 ) (174,962 )
Net Increase (Decrease)—Investor Shares (162,511 ) (32,728 ) 367,892   62,872  
Admiral Shares                
Issued 5,025,808   905,129   5,813,176   993,716  
Issued in Lieu of Cash Distributions 390,504   69,739   830,168   141,810  
Redeemed (4,631,121 ) (849,875 ) (4,196,863 ) (717,300 )
Net Increase (Decrease)—Admiral Shares 785,191   124,993   2,446,481   418,226  

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

33

 

 

Trustees Approve Advisory Arrangement

 

 

The board of trustees of Vanguard High-Yield Corporate Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its shareholders.

 

The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

 

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

 

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

 

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decisions.

 

Nature, extent, and quality of services

The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional investment managers. The portfolio manager has the support of an experienced team of fixed income research analysts who conduct detailed credit analysis. The advisor focuses on higher-quality high-yield bonds, as it expects these higher-quality issues to offer a more favorable risk/reward tradeoff over the long-term. The team’s credit analysis seeks to identify companies whose fundamentals are stable or improving and whose securities offer an attractive yield. The firm has managed the High-Yield Corporate Fund since its inception.

 

The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

 

Investment performance

The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.

 

34

 

 

Cost

The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.

 

The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations.

 

The benefit of economies of scale

The board concluded that the fund’s shareholders benefit from economies of scale because of the breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.

 

The board will consider whether to renew the advisory arrangement again after a one-year period.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

  

35

 

 

Liquidity Risk Management

 

 

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

 

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

 

The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard High-Yield Corporate Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

36

 

 

This page intentionally left blank.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 

 

 

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.

 

 

 

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.

 

 

 

 

  © 2020 The Vanguard Group, Inc.
  All rights reserved.
Vanguard Marketing Corporation, Distributor.
   
  Q292 092020

 

 

 

 

 

 

 

 

 

Semiannual Report  |  July 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  
   
About Your Fund’s Expenses 1
Financial Statements 4
Trustees Approve Advisory Arrangement 23
Liquidity Risk Management 25

 

 

 

 

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.

 

1

 

 

Six Months Ended July 31, 2020      
  Beginning Ending Expenses
  Account Value Account Value Paid During
GNMA Fund 1/31/2020 7/31/2020 Period
Based on Actual Fund Return      
Investor Shares $1,000.00 $1,028.17 $1.06
Admiral™ Shares 1,000.00 1,028.68 0.55
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.82 $1.06
Admiral Shares 1,000.00 1,024.32 0.55

 

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 (182/366).

 

2

 

 

GNMA Fund

 

 

Distribution by Stated Maturity

As of July 31, 2020

 

0 - 5 Years 0.2%
5 - 10 Years 1.1
10 - 15 Years 3.1
15 - 20 Years 3.5
20 - 25 Years 18.4
Over 25 Years 73.7

 

The table reflects the fund’s investments, except for short-term investments and derivatives.

 

3

 

 

GNMA Fund

 

 

Financial Statements (unaudited)

 

 

Schedule of Investments

As of July 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 (97.3%)          
U.S. Government Securities (0.1%)            
1,2 United States Treasury Floating Rate Note,            
  US Treasury 3M Bill Money Market Yield +0.045% 0.150% 10/31/20 16,875   16,876  
               
Conventional Mortgage-Backed Securities (90.0%)          
3,4 Fannie Mae Pool 2.500% 7/1/27–8/1/46 15,345   16,235  
3,4 Fannie Mae Pool 2.950% 6/1/31 1,925   2,215  
3,4 Fannie Mae Pool 2.960% 6/1/31 2,454   2,831  
3,4 Fannie Mae Pool 3.000% 11/1/22–6/1/49 24,637   25,853  
3,4 Fannie Mae Pool 3.010% 8/1/34 2,045   2,371  
3,4 Fannie Mae Pool 3.050% 7/1/31 2,000   2,315  
3,4 Fannie Mae Pool 3.110% 11/1/27–2/1/28 22,873   25,933  
3,4 Fannie Mae Pool 3.240% 3/1/28 6,151   7,036  
3,4 Fannie Mae Pool 3.330% 4/1/32 10,818   13,014  
3,4 Fannie Mae Pool 3.350% 1/1/30 5,002   5,865  
3,4 Fannie Mae Pool 3.410% 5/1/32 4,100   4,983  
3,4 Fannie Mae Pool 3.420% 4/1/31 1,430   1,693  
3,4 Fannie Mae Pool 3.460% 9/1/29 6,579   7,752  
3,4 Fannie Mae Pool 3.550% 2/1/30 8,875   10,455  
3,4 Fannie Mae Pool 4.000% 5/1/46–6/1/46 5,433   5,861  
3,4 Fannie Mae Pool 4.180% 11/1/30 28,634   34,565  
3,4 Fannie Mae Pool 4.500% 12/1/40–3/1/44 2,175   2,403  
3,4 Fannie Mae Pool 5.000% 6/1/23–8/1/49 82,281   90,540  
3,4 Fannie Mae Pool 6.000% 7/1/22 1   1  
3,4 Fannie Mae Pool 6.500% 2/1/29–5/1/40 1,748   2,036  
3,4 Freddie Mac Gold Pool 3.000% 6/1/43–1/1/47 27,988   29,725  
3,4 Freddie Mac Gold Pool 3.500% 11/1/47–8/1/48 50,512   53,351  
3,4 Freddie Mac Gold Pool 4.000% 9/1/30–4/1/44 4,968   5,414  
3,4 Freddie Mac Gold Pool 4.500% 4/1/34–2/1/46 48,519   53,562  
3,4 Freddie Mac Gold Pool 5.000% 12/1/27–8/1/44 31,960   35,664  
3 Ginnie Mae I Pool 2.500% 11/15/42–9/15/43 70,296   74,514  
3 Ginnie Mae I Pool 3.000% 1/15/26–3/15/46 819,737   866,015  
3 Ginnie Mae I Pool 3.250% 8/15/42 20,392   21,836  
3,5 Ginnie Mae I Pool 3.500% 7/15/39–6/15/48 655,061   698,109  
3 Ginnie Mae I Pool 3.750% 10/15/40–8/15/42 173,754   189,696  
3 Ginnie Mae I Pool 3.875% 10/15/40–6/15/42 37,141   40,563  
3 Ginnie Mae I Pool 4.000% 8/15/24–7/15/46 846,630   913,125  
3 Ginnie Mae I Pool 4.500% 4/15/33–1/15/45 449,170   500,074  
3 Ginnie Mae I Pool 5.000% 1/15/30–8/1/50 392,749   444,289  
3 Ginnie Mae I Pool 5.500% 9/15/23–9/15/45 307,844   348,743  

 

4

 

 

GNMA Fund

 

        Face   Market  
      Maturity Amount   Value·  
    Coupon Date ($000 ) ($000 )
3 Ginnie Mae I Pool 6.000% 2/15/24–8/1/50 152,853   170,445  
3 Ginnie Mae I Pool 6.500% 4/15/23–7/15/40 112,658   125,695  
3 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36 30,521   35,328  
3 Ginnie Mae I Pool 7.250% 1/15/27–2/15/27 15   17  
3 Ginnie Mae I Pool 7.500% 10/15/31 11,797   13,578  
3 Ginnie Mae I Pool 8.000% 8/15/31 4,073   4,772  
3 Ginnie Mae I Pool 8.500% 4/15/21–6/15/28 278   312  
3 Ginnie Mae I Pool 9.500% 9/15/20–8/15/21 7   7  
3 Ginnie Mae II Pool 1.500% 4/20/44–6/20/47 973   965  
3,6 Ginnie Mae II Pool 2.000% 10/20/43–9/1/50 423,330   441,655  
3 Ginnie Mae II Pool 2.500% 11/20/42–8/20/50 832,136   881,764  
3,6 Ginnie Mae II Pool 3.000% 4/20/31–8/20/50 7,166,339   7,596,369  
3,5,6,7 Ginnie Mae II Pool 3.500% 10/20/40–9/1/50 5,813,073   6,164,640  
3 Ginnie Mae II Pool 4.000% 4/20/39–8/1/50 2,538,730   2,719,987  
3 Ginnie Mae II Pool 4.500% 12/20/32–8/1/50 1,060,114   1,146,157  
3 Ginnie Mae II Pool 5.000% 10/20/32–3/20/45 199,725   222,215  
3 Ginnie Mae II Pool 5.500% 1/20/34–7/20/40 22,907   26,289  
3 Ginnie Mae II Pool 6.000% 4/20/28–8/20/40 29,767   34,324  
3 Ginnie Mae II Pool 6.500% 4/20/37–3/20/41 841   1,001  
3 Ginnie Mae II Pool 7.500% 6/20/25–8/20/25 69   77  
3,6 UMBS Pool 2.500% 8/1/35–8/1/50 9,889   10,396  
3,6 UMBS Pool 3.500% 8/1/50–9/1/50 71,475   75,371  
3 UMBS Pool 5.000% 3/1/24–8/1/50 4,556   7,117  
            24,217,118  
               
Nonconventional Mortgage-Backed Securities (7.2%)          
1,3,4 Fannie Mae Pool, 12M USD LIBOR + 1.560% 2.373% 8/1/43 5,880   5,921  
3,4 Fannie Mae Pool 2.786% 9/1/44 8,211   8,504  
3,4 Fannie Mae REMICS 2.000% 9/25/42 7,378   7,553  
3,4 Fannie Mae REMICS 2.500% 10/25/42 9,007   9,344  
3,4 Fannie Mae REMICS 3.000% 6/25/43–10/25/48 96,687   105,056  
3,4 Fannie Mae REMICS 3.500% 7/25/44–12/25/58 116,687   130,198  
3,4 Fannie Mae REMICS 6.000% 10/25/28–9/25/32 2,995   3,455  
1,3,4 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 2.264% 9/1/43 6,136   6,201  
3,4 Freddie Mac Non Gold Pool 2.675% 10/1/44 16,767   17,379  
1,3,4 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.675% 2.681% 8/1/43 7,100   7,152  
3,4 Freddie Mac Non Gold Pool 2.728% 7/1/44 3,620   3,655  
3,4 Freddie Mac Non Gold Pool 2.832% 10/1/44 7,478   7,752  
3,4 Freddie Mac Non Gold Pool 2.872% 4/1/44 7,023   7,530  
3,4 Freddie Mac Non Gold Pool 2.965% 9/1/44 4,615   4,835  
3,4 Freddie Mac Non Gold Pool 3.063% 10/1/44 10,642   11,173  
3,4 Freddie Mac REMICS 2.000% 4/15/42 8,194   8,411  
3,4 Freddie Mac REMICS 3.000% 8/15/42–3/15/48 100,342   113,225  
3,4 Freddie Mac REMICS 4.000% 11/15/40 10,382   11,851  
3,4 Freddie Mac REMICS 6.000% 4/15/28–11/15/32 8,328   9,704  
3 Ginnie Mae REMICS 1.650% 11/20/45 101,810   103,437  
3 Ginnie Mae REMICS 1.750% 10/20/42–7/20/44 22,462   22,992  
3 Ginnie Mae REMICS 2.000% 1/20/42–10/20/44 50,227   52,314  
3 Ginnie Mae REMICS 2.250% 3/16/45 13,999   14,845  
3 Ginnie Mae REMICS 2.350% 5/17/46 27,222   28,127  
3 Ginnie Mae REMICS 2.375% 4/20/44 5,261   5,438  
3 Ginnie Mae REMICS 2.500% 12/16/39–1/20/48 204,337   216,069  
3 Ginnie Mae REMICS 2.650% 11/17/48 13,252   13,935  
                   

5

 

 

GNMA Fund

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
3 Ginnie Mae REMICS 2.750% 6/16/43 15,874   16,559  
3 Ginnie Mae REMICS 3.000% 6/20/39–6/20/49 750,174   814,165  
3 Ginnie Mae REMICS 3.250% 8/20/44–2/20/49 11,587   14,883  
3 Ginnie Mae REMICS 3.500% 7/20/43–2/20/49 81,309   95,395  
3 Ginnie Mae REMICS 3.675% 10/20/48 17,023   20,397  
3 Ginnie Mae REMICS 3.750% 12/16/39 2,030   2,576  
3 Ginnie Mae REMICS 4.500% 6/20/39 2,914   3,390  
3 Ginnie Mae REMICS 5.000% 6/16/37 9,761   11,479  
3 Ginnie Mae REMICS 5.500% 8/16/36 8,804   10,326  
1,3 Ginnie Mae REMICS, 1M USD LIBOR + 0.200% 0.387% 2/20/37 2,221   2,191  
3 Government National Mortgage Assn. 3.000% 4/20/47 9,896   11,088  
            1,938,505  
Total U.S. Government and Agency Obligations (Cost $25,496,861)         26,172,499  
             
Asset-Backed/Commercial Mortgage-Backed Securities (1.8%)            
3,4 Fannie Mae-Aces 2.885% 6/25/29 70,000   80,034  
3 Seasoned Credit Risk Transfer Trust Series 2018-4 3.500% 3/25/58 48,625   51,866  
3 Seasoned Credit Risk Transfer Trust Series 2019-1 3.500% 7/25/58 75,890   80,779  
  Seasoned Credit Risk Transfer Trust Series 2019-3 3.500% 10/25/58 180,990   196,089  
3 Seasoned Credit Risk Transfer Trust Series 2019-3 3.500% 10/25/58 12,297   13,925  
3 Seasoned Credit Risk Transfer Trust Series 2020-1 2.500% 8/25/59 68,710   71,593  

Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $475,645) 494,286  
Temporary Cash Investments (12.1%)          
           

        Shares      
Money Market Fund (6.7%)        
8 Vanguard Market Liquidity Fund 0.194%   18,205,397   1,820,540  

 

        Face      
        Amount      
        ($000 )    
Repurchase Agreements (5.4%)            
  Bank of America Securities, LLC (Dated 7/31/20, Repurchase Value $21,000,000, collateralized by Government National Mortgage Assn. 3.00%, 6/20/50, with a value of $21,420,000) 0.100% 8/3/20 21,000   21,000  
  Barclays Capital Inc. (Dated 7/31/20, Repurchase Value $146,901,000, collateralized by U.S. Treasury Note/Bond 1.125%–1.875%, 9/30/21–2/28/22, with a value of $149,838,000) 0.070% 8/3/20 146,900   146,900  

 

6

 

 

GNMA Fund

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
  Citigroup Global Markets Inc.
(Dated 7/31/20, Repurchase Value $137,201,000, collateralized by U.S. Treasury Bill 0.000%, 11/5/20–12/3/20, and U.S. Treasury Note/Bond 1.125%, 6/30/21, with a value of $139,944,000)		 0.070% 8/3/20 137,200   137,200  
  Credit Agricole Securities (USA) Inc.
(Dated 7/31/20, Repurchase Value $167,001,000, collateralized by U.S. Treasury Note/Bond 0.375%, 7/15/27, with a value of $170,340,000)		 0.070% 8/3/20 167,000   167,000  
  HSBC Bank USA
(Dated 7/31/20, Repurchase Value $61,100,000, collateralized by Federal National Mortgage Assn. 3.000%–5.000%, 7/1/35–5/1/50, and Federal Home Loan Mortgage Corp. 3.180%, 9/1/33, with a value of $62,322,000)		 0.090% 8/3/20 61,100   61,100  
  HSBC Bank USA
(Dated 7/31/20, Repurchase Value $80,100,000, collateralized by U.S. Treasury Note/Bond 0.125%–0.375%, 7/15/23–7/15/27, with a value of $81,702,000)		 0.070% 8/3/20 80,100   80,100  
  Natixis SA
(Dated 7/31/20, Repurchase Value $248,501,000, collateralized by U.S. Treasury Note/Bond 0.125%–5.375%, 10/31/20–5/15/50, with a value of $253,470,000)		 0.070% 8/3/20 248,500   248,500  
  Societe Generale
(Dated 7/31/20, Repurchase Value $241,701,000, collateralized by Federal Home Loan Mortgage Corp. 4.000%, 11/1/40, Federal National Mortgage Assn. 2.500%–4.500%, 8/1/48–2/1/57, Government National Mortgage Assn. 3.875%, 4/20/26, U.S. Treasury Bill 0.000%, 9/3/20–12/22/20, and U.S. Treasury Note/Bond 0.125%–8.125%, 8/31/20–11/15/49, with a value of $246,534,000)		 0.070% 8/3/20 241,700   241,700  
  TD Securities (USA) LLC
(Dated 7/31/20, Repurchase Value $125,601,000, collateralized by Federal National Mortgage Assn. 2.500%–4.000%, 3/1/49–6/1/50, with a value of $128,112,000)		 0.100% 8/3/20 125,600   125,600  

 

7

 

 

GNMA Fund

 

        Face   Market  
      Maturity Amount   Value•  
    Coupon Date ($000 ) ($000 )
  Wells Fargo & Co.
(Dated 7/31/20, Repurchase Value $216,202,000, collateralized by U.S. Treasury Note/Bond 1.125%–8.125%, 2/15/21–2/15/50, with a value of $220,524,000)		 0.100% 8/3/20 216,200   216,200  
Total Repurchase Agreements (Cost $1,445,300)         1,445,300  
Total Temporary Cash Investments (Cost $3,265,892)       3,265,840  
Total Investments (111.2%) (Cost $29,238,398)         29,932,625  
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.0%)      
3,6 UMBS Pool 3.000% 12/1/25–9/1/50 (1,016 ) (685 )
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $2,046)   (685 )
               
            Amount  
            ($000 )
Other Assets and Liabilities—Net (-11.2%)         (3,020,100 )
Net Assets (100%)         26,911,840  

Cost is in $000.

·See Note A in Notes to Financial Statements.
1Adjustable-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.
2Securities with a value of $10,001,000 have been segregated as initial margin for open centrally cleared swap contracts.
3The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.
4The 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.
5Securities with a value of $3,439,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
6Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2020.
7Securities with a value of $34,023,000 have been segregated as initial margin for open futures contracts.
8Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

LIBOR—London Interbank Offered Rate.

REMICS—Real Estate Mortgage Investment Conduits.

UMBS—Uniform Mortgage-Backed Securities.

 

8

 

 

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 September 2020   7,072   990,633   6,624  
5-Year U.S. Treasury Note September 2020   678   85,513   286  
2-Year U.S. Treasury Note September 2020   197   43,534   41  
              6,951  
                 
Short Futures Contracts                
Ultra 10-Year U.S. Treasury Note September 2020   (4,344 ) (691,782 ) (9,579 )
30-Year U.S. Treasury Bond September 2020   (1,403 ) (255,741 ) (6,182 )
              (15,761 )
              (8,810 )

 

Centrally Cleared Interest Rate Swaps                    
        Fixed   Floating          
        Interest   Interest          
        Rate   Rate       Unrealized  
  Future     Received   Received       Appreciation  
  Effective Notional Amount   (Paid )1 (Paid )2 Value   (Depreciation )
Termination Date Date ($000) (% ) (% ) ($000 ) ($000 )
4/30/25 N/A 288,840   (3.000 ) 0.268   (37,708 ) (37,705 )

 

1 Fixed interest payment received/paid semiannually.

2 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.

 

9

 

 

GNMA Fund

 

 

Statement of Assets and Liabilities

As of July 31, 2020

 

($000s, except shares and per-share amounts) Amount  
Assets    
Investments in Securities, at Value    
Unaffiliated Issuers (Cost $27,417,806) 28,112,085  
Affiliated Issuers (Cost $1,820,592) 1,820,540  
Total Investments in Securities 29,932,625  
Investment in Vanguard 1,178  
Receivables for Investment Securities Sold 4,615,615  
Receivables for Accrued Income 83,246  
Receivables for Capital Shares Issued 35,343  
Variation Margin Receivable—Futures Contracts 479  
Other Assets 1,191  
Total Assets 34,669,677  
Liabilities    
Due to Custodian 2,094  
Liability for Sale Commitments, at Value (Proceeds $2,046) 685  
Payables for Investment Securities Purchased 7,733,751  
Payables to Investment Advisor 629  
Payables for Capital Shares Redeemed 13,015  
Payables for Distributions 5,624  
Payables to Vanguard 1,689  
Variation Margin Payable—Futures Contracts 339  
Variation Margin Payable—Centrally Cleared Swap Contracts 11  
Total Liabilities 7,757,837  
Net Assets 26,911,840  

 

10

 

 

GNMA Fund

 

 

 

Statement of Assets and Liabilities (continued)    
     
     
At July 31, 2020, net assets consisted of:    
     
($000s, except shares and per-share amounts) Amount  
Paid-in Capital 26,482,999  
Total Distributable Earnings (Loss) 428,841  
Net Assets 26,911,840  
     
Investor Shares—Net Assets    
Applicable to 705,741,566 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 7,603,368  
Net Asset Value Per Share—Investor Shares $10.77  
     
Admiral Shares—Net Assets    
Applicable to 1,792,204,428 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 19,308,472  
Net Asset Value Per Share—Admiral Shares $10.77  

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

11

 

 

GNMA Fund

 

 

Statement of Operations

 

  Six Months Ended  
  July 31, 2020  
  ($000 )
Investment Income    
Income    
Interest1 280,932  
Total Income 280,932  
Expenses    
Investment Advisory Fees—Note B 1,231  
The Vanguard Group—Note C    
Management and Administrative—Investor Shares 6,690  
Management and Administrative—Admiral Shares 8,215  
Marketing and Distribution—Investor Shares 337  
Marketing and Distribution—Admiral Shares 534  
Custodian Fees 255  
Shareholders’ Reports—Investor Shares 141  
Shareholders’ Reports—Admiral Shares 126  
Trustees’ Fees and Expenses 23  
Total Expenses 17,552  
Net Investment Income 263,380  
Realized Net Gain (Loss)    
Investment Securities Sold1 193,616  
Futures Contracts (47,764 )
Swap Contracts (2,454 )
Realized Net Gain (Loss) 143,398  
Change in Unrealized Appreciation (Depreciation)    
Investment Securities1 301,772  
Futures Contracts 4,187  
Swap Contracts (13,264 )
Change in Unrealized Appreciation (Depreciation) 292,695  
Net Increase (Decrease) in Net Assets Resulting from Operations 699,473  

 

1Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from affiliated companies of the fund were $2,064,000, $161,000, and ($117,000), respectively. Purchases and sales are for temporary cash investment purposes.

 

 

 

 

 

 

 

 

 

 

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

 

12

 

 

GNMA Fund

 

 

Statement of Changes in Net Assets

 

  Six Months Ended   Year Ended  
  July 31,   January 31,  
  2020   2020  
  ($000 ) ($000 )
Increase (Decrease) in Net Assets        
Operations        
Net Investment Income 263,380   642,220  
Realized Net Gain (Loss) 143,398   101,445  
Change in Unrealized Appreciation (Depreciation) 292,695   492,881  
Net Increase (Decrease) in Net Assets Resulting from Operations 699,473   1,236,546  
Distributions1        
Investor Shares (72,847 ) (191,365 )
Admiral Shares (190,851 ) (453,286 )
Total Distributions (263,698 ) (644,651 )
Capital Share Transactions        
Investor Shares 115,904   468,661  
Admiral Shares 1,638,403   2,240,579  
Net Increase (Decrease) from Capital Share Transactions 1,754,307   2,709,240  
Total Increase (Decrease) 2,190,082   3,301,135  
Net Assets        
Beginning of Period 24,721,758   21,420,623  
End of Period 26,911,840   24,721,758  

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

13

 

 

GNMA Fund

 

 

Financial Highlights

 

 

Investor Shares                        
  Six Months                        
  Ended                        
For a Share Outstanding July 31,             Year Ended January 31,    
Throughout Each Period 2020     2020     2019      2018     2017     2016    
Net Asset Value, Beginning of Period $10.58     $10.31     $10.32      $10.51     $10.77     $10.88    
Investment Operations                        
Net Investment Income .107 1 .285 1 .2981   .284 1 .236   .249  
Net Realized and Unrealized Gain (Loss) on Investments .191   .272   (.011)   (.193 ) (.183 ) (.055 )
Total from Investment Operations .298   .557   .287    .091   .053   .194  
Distributions                        
Dividends from Net Investment Income (.108 ) (.287 ) (.297)   (.281 ) (.237 ) (.250 )
Distributions from Realized Capital Gains —   —   —   —   (.076 ) (.054 )
Total Distributions (.108 ) (.287 ) (.297)   (.281 ) (.313 ) (.304 )
Net Asset Value, End of Period $10.77     $10.58     $10.31      $10.32     $10.51     $10.77    
                         
Total Return2 2.82%     5.46%     2.85%      0.85%     0.49%     1.83%    
                         
Ratios/Supplemental Data                        
Net Assets, End of Period (Millions) $7,603     $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%     0.21%    
Ratio of Net Investment Income to Average Net Assets 2.00%     2.71%     2.93%      2.70%     2.19%     2.33%    
Portfolio Turnover Rate3 358%     616%     415%      620%     926%     706%    

 

The expense ratio and net investment income ratio for the current period have been annualized.

 

1Calculated based on average shares outstanding.

 

2Total 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.
  
3Includes 90%, 198%, 200%, 156%, 300%, and 219% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

14

 

 

GNMA Fund

 

 

Financial Highlights

 

 

Admiral Shares                        
  Six Months                        
  Ended                        
For a Share Outstanding July 31,             Year Ended January 31,    
Throughout Each Period 2020     2020     2019      2018     2017     2016    
Net Asset Value, Beginning of Period $10.58     $10.31     $10.32      $10.51     $10.77     $10.88    
Investment Operations                        
Net Investment Income .112 1 .295 1 .3091   .294 1 .247   .260  
Net Realized and Unrealized Gain (Loss) on Investments .191   .272   (.012)   (.192 ) (.183 ) (.055 )
Total from Investment Operations .303   .567   .297   .102   .064   .205  
Distributions                        
Dividends from Net Investment Income (.113 ) (.297 ) (.307)   (.292 ) (.248 ) (.261 )
Distributions from Realized Capital Gains —   —   —   —   (.076 ) (.054 )
Total Distributions (.113 ) (.297 ) (.307)   (.292 ) (.324 ) (.315 )
Net Asset Value, End of Period $10.77     $10.58     $10.31      $10.32     $10.51     $10.77    
                         
Total Return2 2.87%     5.57%     2.95%      0.95%     0.59%     1.93%    
                         
Ratios/Supplemental Data                        
Net Assets, End of Period (Millions) $19,308     $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%     0.11%    
Ratio of Net Investment Income to Average Net Assets 2.10%     2.81%     3.03%      2.80%     2.29%     2.43%    
Portfolio Turnover Rate3 358%     616%     415%      620%     926%     706%    

 

The expense ratio and net investment income ratio for the current period have been annualized.

 

1Calculated based on average shares outstanding.
  
2Total 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.
  
3Includes 90%, 198%, 200%, 156%, 300%, and 219% attributable to mortgage-dollar-roll activity.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

15

 

 

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.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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 Schedule of Investments.

 

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.

 

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

 

16

 

 

GNMA Fund

 

 

 

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.

 

The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made, or the 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’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 Schedule of Investments. 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 six months ended July 31, 2020, the average amount of investments in interest rate swaps represented 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

 

17

 

 

GNMA Fund

 

 

 

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 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.

 

At July 31, 2020, counterparties had deposited in segregated accounts securities with a value of $2,000 and cash of $3,259,000 in connection with TBA transactions.

 

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.

 

18

 

 

GNMA Fund

 

 

 

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 for the period ended July 31, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

 

9. Credit Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

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

 

19

 

 

GNMA Fund

 

 

 

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 six months ended July 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $1,178,000, 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 Schedule of Investments.

 

20

 

 

GNMA Fund

 

 

 

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

 

   Level 1   Level 2   Level 3   Total 
   ($000)  ($000)  ($000)  ($000)
Investments                    
Assets                    
U.S. Government and Agency Obligations   —    26,172,499    —    26,172,499 
Asset-Backed/Commercial Mortgage-Backed Securities   —    494,286    —    494,286 
Temporary Cash Investments   1,820,540    1,445,300    —    3,265,840 
Total   1,820,540    28,112,805    —    29,932,625 
Liabilities                    
Conventional Mortgage-Backed Securities—Liability for Sale Commitments   —    685    —    685 
Derivative Financial Instruments                    
Assets                    
Futures Contracts1   479    —    —    479 
Liabilities                    
Futures Contracts1   339    —    —    339 
Swap Contracts1   11    —    —    11 
Total   350    —    —    350 

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

 

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

 

   Amount 
   ($000)
Tax Cost   29,237,599 
Gross Unrealized Appreciation   759,998 
Gross Unrealized Depreciation   (112,172)
Net Unrealized Appreciation (Depreciation)   647,826 

 

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $371,581,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

 

21

 

 

GNMA Fund

 

 

 

F.  During the six months ended July 31, 2020, the fund purchased $92,243,270,000 of investment securities and sold $90,558,329,000 of investment securities, other than temporary cash investments.

 

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

 

   Six Months Ended   Year Ended 
   July 31, 2020   January 31, 2020 
   Amount   Shares   Amount   Shares 
   ($000)  (000)   ($000)   (000) 
Investor Shares                    
Issued   1,395,124    129,384    1,385,931    132,246 
Issued in Lieu of Cash Distributions   68,153    6,322    179,799    17,154 
Redeemed   (1,347,373)   (126,141)   (1,097,069)   (104,806)
Net Increase (Decrease)—Investor Shares   115,904    9,565    468,661    44,594 
Admiral Shares                    
Issued   3,651,123    339,507    4,178,456    398,611 
Issued in Lieu of Cash Distributions   149,382    13,855    357,545    34,102 
Redeemed   (2,162,102)   (201,656)   (2,295,422)   (219,202)
Net Increase (Decrease)—Admiral Shares   1,638,403    151,706    2,240,579    213,511 

 

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

 

22

 

 

Trustees Approve Advisory Arrangement

 

 

The board of trustees of Vanguard GNMA Fund has renewed the fund’s investment advisory arrangement with Wellington Management Company LLP (Wellington Management). The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its shareholders.

 

The board based its decisions upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

 

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

 

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

 

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decisions.

 

Nature, extent, and quality of services

The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Wellington Management, founded in 1928, is among the nation’s oldest and most respected institutional investment managers. The portfolio manager is backed by a team of experienced analysts who help inform his strategic perspective and conduct statistical and cash-flow analysis. The team leverages its deep knowledge of the mortgage industry to analyze the relative value of various GNMA bonds and construct a portfolio with lower prepayment and extension risk than the benchmark, but with similar interest rate risk. Wellington Management has advised the GNMA Fund since its inception in 1980.

 

The board concluded that the advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

 

Investment performance

The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with a relevant benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.

 

23

 

 

Cost

The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average.

 

The board did not consider the profitability of Wellington Management in determining whether to approve the advisory fee because Wellington Management is independent of Vanguard and the advisory fee is the result of arm’s-length negotiations.

 

The benefit of economies of scale

The board concluded that the fund’s shareholders benefit from economies of scale because of the breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.

 

The board will consider whether to renew the advisory arrangement again after a one-year period.

 

24

 

 

Liquidity Risk Management

 

 

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

 

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

 

The board of trustees of Vanguard Fixed Income Securities Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard GNMA Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.

 

25

 

 

This page intentionally left blank.

 

 

 

 

This page intentionally left blank.

 

 

 

 

This page intentionally left blank.

 

 

 

 

This page intentionally left blank.

 

 

 

 

 

 

 

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.

 

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.

 

    
   

 

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

 

Q362 092020 

 

 

 

Semiannual Report  |  July 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.
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.
1
Six Months Ended July 31, 2020      
  Beginning
Account Value
1/31/2020 		Ending
Account Value
7/31/2020 		Expenses
Paid During
Period
Based on Actual Fund Return      
Real Estate Index Fund      
Investor Shares $1,000.00 $881.10 $1.22
ETF Shares 1,000.00 881.30 0.56
AdmiralTM Shares 1,000.00 881.70 0.56
Institutional Shares 1,000.00 882.00 0.47
Real Estate II Index Fund $1,000.00 $881.90 $0.37
Based on Hypothetical 5% Yearly Return      
Real Estate Index Fund      
Investor Shares $1,000.00 $1,023.57 $1.31
ETF Shares 1,000.00 1,024.27 0.60
Admiral Shares 1,000.00 1,024.27 0.60
Institutional Shares 1,000.00 1,024.37 0.50
Real Estate II Index Fund $1,000.00 $1,024.47 $0.40
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, 0.26% 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 (182/366).
2
Real Estate Index Fund
Fund Allocation
As of July 31, 2020
Diversified Real Estate Activities 0.1%
Diversified REITs 3.5
Health Care REITs 8.3
Hotel & Resort REITs 2.2
Industrial REITs 11.9
Office REITs 7.9
Real Estate Development 0.2
Real Estate Operating Companies 0.2
Real Estate Services 2.4
Residential REITs 13.6
Retail REITs 8.0
Specialized REITs 41.7
The table reflects the fund’s investments, except for short-term investments and derivatives. 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 fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
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.
3
Real Estate Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 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.
          Shares Market
Value•

($000)
Equity Real Estate Investment Trusts (REITs) (96.9%)
Diversified REITs (3.0%)
   WP Carey Inc.   7,692,257    548,996
   VEREIT Inc.  48,029,316    312,671
   STORE Capital Corp. Class A  10,340,574    244,968
   PS Business Parks Inc.     917,760    126,605
   Washington REIT   3,661,188     81,864
   Global Net Lease Inc.   3,987,966     66,400
   Essential Properties Realty Trust Inc.   4,097,660     65,972
   American Assets Trust Inc.   2,276,364     61,462
   Empire State Realty Trust Inc. Class A   6,824,509     45,042
   Colony Capital Inc.  21,680,727     41,627
   iStar Inc.   3,450,440     40,060
   Alexander & Baldwin Inc.   3,057,804     36,143
   Gladstone Commercial Corp.   1,514,348     27,561
   Armada Hoffler Properties Inc.   2,515,674     24,251
   One Liberty Properties Inc.     716,913     12,166
                        1,735,788
Health Care REITs (7.3%)
   Welltower Inc.  18,305,435    980,439
   Ventas Inc.  16,622,129    637,625
   Healthpeak Properties Inc.  22,567,491    615,867
   Medical Properties Trust Inc.  23,225,064    467,521
 1 Omega Healthcare Investors Inc.  10,119,707    327,676
   Healthcare Trust of America Inc. Class A   9,662,092    266,770
   Healthcare Realty Trust Inc.   6,006,244    175,983
   Physicians Realty Trust   8,785,492    158,490
   Sabra Health Care REIT Inc.   9,150,824    134,883
          Shares Market
Value•

($000)
   National Health Investors Inc.   1,987,960    123,254
   CareTrust REIT Inc.   4,255,423     76,683
   LTC Properties Inc.   1,772,077     65,833
   Community Healthcare Trust Inc.     917,292     41,948
   Diversified Healthcare Trust  10,584,158     41,225
   Universal Health Realty Income Trust     581,855     40,485
   Global Medical REIT Inc.   1,837,049     21,842
   New Senior Investment Group Inc.   3,699,740     12,579
                        4,189,103
Hotel & Resort REITs (2.0%)
   Host Hotels & Resorts Inc.  31,468,953    339,235
   MGM Growth Properties LLC Class A   5,855,024    160,076
   Park Hotels & Resorts Inc.  10,697,126     88,465
   Apple Hospitality REIT Inc.   9,480,499     83,618
   Sunstone Hotel Investors Inc.  10,034,761     75,060
   Ryman Hospitality Properties Inc.   2,324,643     74,435
   Pebblebrook Hotel Trust   5,837,313     61,876
   RLJ Lodging Trust   7,514,099     60,188
   Service Properties Trust   7,330,141     49,112
   DiamondRock Hospitality Co.   8,935,251     41,281
   Xenia Hotels & Resorts Inc.   5,018,963     39,951
   Summit Hotel Properties Inc.   4,694,123     24,316
   Chatham Lodging Trust   2,093,970     10,910
   CorePoint Lodging Inc.   1,817,300     10,159
   Hersha Hospitality Trust Class A   1,560,148      7,426
4
Real Estate Index Fund
          Shares Market
Value•

($000)
   Braemar Hotels & Resorts Inc.   1,337,057      3,262
 1 Ashford Hospitality Trust Inc.     440,887      1,728
                        1,131,098
Industrial REITs (10.4%)
   Prologis Inc.  32,947,206  3,473,295
   Duke Realty Corp.  16,423,740    660,070
   Americold Realty Trust   8,929,433    360,303
   First Industrial Realty Trust Inc.   5,664,243    248,774
   Rexford Industrial Realty Inc.   5,080,629    238,434
   EastGroup Properties Inc.   1,734,678    230,122
   STAG Industrial Inc.   6,630,097    216,141
   Terreno Realty Corp.   3,004,727    182,567
   Lexington Realty Trust  11,367,523    131,863
   Innovative Industrial Properties Inc.     949,459     98,962
   Industrial Logistics Properties Trust   2,904,592     61,316
   Monmouth Real Estate Investment Corp.   4,143,951     59,797
                        5,961,644
Office REITs (6.9%)
   Alexandria Real Estate Equities Inc.   5,472,539    971,649
   Boston Properties Inc.   6,556,268    584,098
   Vornado Realty Trust   7,249,508    250,253
   Kilroy Realty Corp.   4,267,531    248,669
   Douglas Emmett Inc.   7,428,990    216,481
   Cousins Properties Inc.   6,543,683    201,022
   Highwoods Properties Inc.   4,627,576    177,421
   Equity Commonwealth   5,440,653    171,761
   Hudson Pacific Properties Inc.   6,897,446    162,573
   SL Green Realty Corp.   3,474,311    161,556
   JBG SMITH Properties   5,413,217    157,037
   Corporate Office Properties Trust   4,997,371    132,330
   Piedmont Office Realty Trust Inc. Class A   5,613,175     90,990
   Brandywine Realty Trust   7,866,929     85,199
   Easterly Government Properties Inc.   3,346,813     81,830
   Columbia Property Trust Inc.   5,134,696     61,411
   Mack-Cali Realty Corp.   4,036,370     58,205
   Paramount Group Inc.   8,109,413     57,820
   Office Properties Income Trust   2,151,473     54,110
   Franklin Street Properties Corp.   4,787,320     25,133
          Shares Market
Value•

($000)
 2 City Office REIT Inc.   2,436,092     21,072
*,3 New York REIT Liquidating LLC       1,208         15
                        3,970,635
Other (12.0%)4
5,6 Vanguard Real Estate II Index Fund 351,958,381  6,920,283
Residential REITs (11.9%)
   AvalonBay Communities Inc.   6,274,667    960,777
   Equity Residential  16,596,143    890,051
   Invitation Homes Inc.  24,176,726    720,950
   Essex Property Trust Inc.   2,950,339    651,258
   Sun Communities Inc.   4,160,693    623,813
   Mid-America Apartment Communities Inc.   5,095,557    607,339
   Equity LifeStyle Properties Inc.   7,718,055    527,298
   UDR Inc.  13,137,265    475,569
   Camden Property Trust   4,340,631    394,173
   American Homes 4 Rent Class A  12,042,566    349,234
   Apartment Investment & Management Co. Class A   6,649,425    258,131
   American Campus Communities Inc.   6,125,961    218,329
 1 Independence Realty Trust Inc.   4,575,645     52,620
   Investors Real Estate Trust     540,018     39,043
   NexPoint Residential Trust Inc.     898,698     34,357
   UMH Properties Inc.   1,640,812     20,182
   Front Yard Residential Corp.   2,284,762     19,809
   Preferred Apartment Communities Inc. Class A   2,072,063     14,981
                        6,857,914
Retail REITs (7.0%)
   Realty Income Corp.  14,877,579    893,399
   Simon Property Group Inc.  13,691,469    853,663
   Regency Centers Corp.   7,483,564    307,051
 1 National Retail Properties Inc.   7,654,694    271,359
   Federal Realty Investment Trust   3,208,781    244,830
   Kimco Realty Corp.  19,281,422    214,988
   Spirit Realty Capital Inc.   4,570,521    157,500
   Brixmor Property Group Inc.  13,285,373    152,915
   Agree Realty Corp.   2,032,000    136,083
   Taubman Centers Inc.   2,729,904    105,702
 
5
Real Estate Index Fund
          Shares Market
Value•

($000)
   Weingarten Realty Investors   5,449,313     92,965
   Retail Properties of America Inc. Class A   9,537,029     60,656
   Urban Edge Properties   5,407,862     56,674
   Retail Opportunity Investments Corp.   5,188,161     56,395
   SITE Centers Corp.   6,911,627     50,662
   Getty Realty Corp.   1,569,413     46,502
   Acadia Realty Trust   3,656,758     44,027
 1 Macerich Co.   5,031,302     38,389
   Kite Realty Group Trust   3,748,161     36,994
   American Finance Trust Inc. Class A   4,750,808     34,705
 1 Tanger Factory Outlet Centers Inc.   4,145,795     26,657
   Alexander's Inc.     102,590     25,831
   RPT Realty   3,587,078     22,312
   Saul Centers Inc.     618,596     18,997
   Urstadt Biddle Properties Inc. Class A   1,337,328     13,119
   Whitestone REIT   1,676,330     11,064
*,1 Seritage Growth Properties Class A   1,165,056     10,847
   Retail Value Inc.     750,048      9,496
 1 Washington Prime Group Inc.   8,382,785      6,152
 1 Pennsylvania REIT   2,957,175      3,489
   Cedar Realty Trust Inc.   3,939,568      3,205
*,3 Spirit MTA REIT   2,071,263      1,590
   Urstadt Biddle Properties Inc.      16,033        136
                        4,008,354
Specialized REITs (36.4%)
   American Tower Corp.  19,752,430  5,163,088
   Crown Castle International Corp.  18,542,034  3,090,957
   Equinix Inc.   3,810,203  2,992,838
 1 Digital Realty Trust Inc.  11,080,576  1,778,876
   SBA Communications Corp. Class A   4,991,850  1,555,161
   Public Storage   6,814,617  1,362,106
   Weyerhaeuser Co.  33,236,059    924,295
   Extra Space Storage Inc.   5,531,814    571,658
   CyrusOne Inc.   5,127,620    427,746
   VICI Properties Inc.  17,886,485    388,316
 1 Iron Mountain Inc.  12,829,154    361,654
   Gaming & Leisure Properties Inc.   9,285,270    336,220
   CubeSmart   8,644,199    256,473
   Lamar Advertising Co. Class A   3,838,165    252,282
   CoreSite Realty Corp.   1,680,607    216,882
   Life Storage Inc.   2,082,240    204,330
   QTS Realty Trust Inc. Class A   2,594,466    186,672
          Shares Market
Value•

($000)
   Rayonier Inc.   5,766,196    160,185
   PotlatchDeltic Corp.   3,002,788    128,549
   EPR Properties   3,502,805    100,285
   Outfront Media Inc.   6,426,330     92,603
   National Storage Affiliates Trust   2,660,550     81,998
   Uniti Group Inc.   8,185,457     81,036
   Four Corners Property Trust Inc.   3,121,177     78,654
   GEO Group Inc.   5,403,577     57,440
   CoreCivic Inc.   5,303,916     47,258
   Safehold Inc.     533,175     26,888
   CatchMark Timber Trust Inc. Class A   2,187,175     21,347
   Jernigan Capital Inc.   1,036,961     14,528
   CorEnergy Infrastructure Trust Inc.     612,228      5,363
                       20,965,688
Total Equity Real Estate Investment Trusts (REITs) (Cost $53,549,775) 55,740,507
Real Estate Management & Development (2.6%)
Diversified Real Estate Activities (0.1%)
 * St. Joe Co.   1,458,382     30,057
   RMR Group Inc. Class A     679,675     19,548
 * Tejon Ranch Co.     988,012     14,178
 * Five Point Holdings LLC Class A   2,304,242     11,060
                           74,843
Real Estate Development (0.2%)
 * Howard Hughes Corp.   1,840,817     97,913
 * Forestar Group Inc.     750,247     12,987
                          110,900
Real Estate Operating Companies (0.2%)
   Kennedy-Wilson Holdings Inc.   5,708,119     84,708
Real Estate Services (2.1%)
 * CBRE Group Inc. Class A  14,923,990    653,820
   Jones Lang LaSalle Inc.   2,301,458    227,637
 * Redfin Corp.   3,243,793    134,877
 * Cushman & Wakefield plc   4,881,688     52,234
   Realogy Holdings Corp.   5,104,992     46,251
 * Marcus & Millichap Inc.   1,048,441     28,560
   Newmark Group Inc. Class A   6,726,252     27,376
   RE/MAX Holdings Inc. Class A     799,352     25,875
*,1 eXp World Holdings Inc.   1,154,814     22,946
*,1 Altisource Portfolio Solutions SA     241,388      3,242
                        1,222,818
Total Real Estate Management & Development (Cost $2,034,350) 1,493,269
 
6
Real Estate Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (0.8%)
Money Market Fund (0.8%)
7,8 Vanguard Market Liquidity Fund, 0.194%
(Cost $435,765) 		  4,358,859           435,886
Total Investments (100.3%) (Cost $56,019,890)   57,669,662
Other Assets and Liabilities—Net (-0.3%)   (169,296)
Net Assets (100%)   57,500,366
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $198,169,000.
2 Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company.
3 Security value determined using significant unobservable inputs.
4 “Other” represents securities that are not classified by the fund’s benchmark index.
5 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
6 Represents a wholly owned subsidiary of the fund. See accompanying financial statements for Vanguard Real Estate II Index Fund's Schedule of Investments.
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 Collateral of $216,429,000 was received for securities on loan.
    
  REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Digital Realty Trust Inc. 2/2/21 GSI 91,404 (0.181) 10,373 —
Extra Space Storage Inc. 2/2/21 GSI 24,520 (0.181) 1,313 —
Hannon Armstrong Sustainable Infrastructure Capital Inc. 2/2/21 GSI 6,682 (0.181) 324 —
7
Real Estate Index Fund
Over-the-Counter Total Return Swaps (continued)
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Public Storage 2/2/21 GSI 38,560 (0.181) 1,413 —
Redfin Corp. 2/2/21 GSI 26,096 (0.181) 3,008 —
Seritage Growth Properties 2/2/21 GSI 4,261 (0.181) — (574)
VICI Properties Inc. 2/2/21 GSI 63,570 (0.181) 1,555 —
          17,986 (574)
1 Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
GSI—Goldman Sachs International.
At July 31, 2020, counterparties had deposited in a segregated account securities with a value of $17,070,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
8
Real Estate Index Fund
Statement of Assets and Liabilities
As of July 31, 2020
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $48,710,630) 50,292,421
Affiliated Issuers (Cost $464,603) 456,958
Vanguard Real Estate II Index Fund (Cost $6,844,657) 6,920,283
Total Investments in Securities 57,669,662
Investment in Vanguard 2,185
Cash 28,790
Receivables for Investment Securities Sold 23,987
Receivables for Accrued Income 21,316
Receivables for Capital Shares Issued 17,924
Unrealized Appreciation—Over-the-Counter Swap Contracts 17,986
Total Assets 57,781,850
Liabilities  
Payables for Investment Securities Purchased 29,848
Collateral for Securities on Loan 216,429
Payables for Capital Shares Redeemed 31,555
Payables to Vanguard 3,078
Unrealized Depreciation—Over-the-Counter Swap Contracts 574
Total Liabilities 281,484
Net Assets 57,500,366
9
Real Estate Index Fund
Statement of Assets and Liabilities (continued)
At July 31, 2020, net assets consisted of:  
($000s, except shares and per-share amounts) Amount
Paid-in Capital 56,918,260
Total Distributable Earnings (Loss) 582,106
Net Assets 57,500,366
 
Investor Shares—Net Assets  
Applicable to 7,026,537 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 189,974
Net Asset Value Per Share—Investor Shares $27.04
 
ETF Shares—Net Assets  
Applicable to 358,425,632 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 29,166,021
Net Asset Value Per Share—ETF Shares $81.37
 
Admiral Shares—Net Assets  
Applicable to 166,680,355 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 19,222,325
Net Asset Value Per Share—Admiral Shares $115.32
 
Institutional Shares—Net Assets  
Applicable to 499,855,848 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 8,922,046
Net Asset Value Per Share—Institutional Shares $17.85
See accompanying Notes, which are an integral part of the Financial Statements.
10
Real Estate Index Fund
Statement of Operations
  Six Months Ended
July 31, 2020
  ($000)
Investment Income  
Income  
Dividends—Unaffiliated Issuers 720,724
Dividends—Affiliated Issuers 5,368
Dividends—Vanguard Real Estate II Index Fund 104,882
Interest—Affiliated Issuers 549
Securities Lending—Net 4,353
Total Income 835,876
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,373
Management and Administrative—Investor Shares 224
Management and Administrative—ETF Shares 14,707
Management and Administrative—Admiral Shares 9,773
Management and Administrative—Institutional Shares 3,636
Marketing and Distribution—Investor Shares 13
Marketing and Distribution—ETF Shares 697
Marketing and Distribution—Admiral Shares 523
Marketing and Distribution—Institutional Shares 132
Custodian Fees 209
Shareholders’ Reports—Investor Shares 7
Shareholders’ Reports—ETF Shares 931
Shareholders’ Reports—Admiral Shares 233
Shareholders’ Reports—Institutional Shares 64
Trustees’ Fees and Expenses 20
Total Expenses 32,542
Expenses Paid Indirectly (124)
Net Expenses 32,418
Net Investment Income 803,458
Realized Net Gain (Loss)  
Capital Gain Distributions Received—Unaffiliated Issuers 93,272
Capital Gain Distributions Received—Affiliated Issuers 795
Capital Gain Distributions Received—Vanguard Real Estate II Index Fund —
Investment Securities Sold—Unaffiliated Issuers1 513,276
Investment Securities Sold—Affiliated Issuers1 (36,067)
Investment Securities Sold—Vanguard Real Estate II Index Fund —
Futures Contracts (3,901)
Swap Contracts (6,284)
Realized Net Gain (Loss) 561,091
11
Real Estate Index Fund
Statement of Operations (continued)
  Six Months Ended
July 31, 2020
  ($000)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities—Unaffiliated Issuers (9,438,525)
Investment Securities—Affiliated Issuers (172,756)
Investment Securities—Vanguard Real Estate II Index Fund (1,032,220)
Swap Contracts 18,863
Change in Unrealized Appreciation (Depreciation) (10,624,638)
Net Increase (Decrease) in Net Assets Resulting from Operations (9,260,089)
1 Includes $1,333,090,000 of the net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Real Estate Index Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2020 		  Year Ended
January 31,
2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 803,458   1,726,391
Realized Net Gain (Loss) 561,091   2,458,391
Change in Unrealized Appreciation (Depreciation) (10,624,638)   5,911,672
Net Increase (Decrease) in Net Assets Resulting from Operations (9,260,089)   10,096,454
Distributions1      
Investor Shares (3,308)   (22,650)
ETF Shares (530,941)   (921,879)
Admiral Shares (339,878)   (554,006)
Institutional Shares (151,945)   (244,373)
Return of Capital      
Investor Shares —   (7,475)
ETF Shares —   (304,249)
Admiral Shares —   (182,839)
Institutional Shares —   (80,651)
Total Distributions (1,026,072)   (2,318,122)
Capital Share Transactions      
Investor Shares (19,424)   (1,748,144)
ETF Shares (2,811,487)   2,721,882
Admiral Shares (820,154)   2,583,346
Institutional Shares 211,313   734,197
Net Increase (Decrease) from Capital Share Transactions (3,439,752)   4,291,281
Total Increase (Decrease) (13,725,913)   12,069,613
Net Assets      
Beginning of Period 71,226,279   59,156,666
End of Period 57,500,366   71,226,279
1 Certain prior period numbers have been reclassed to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Real Estate Index Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2020 		Year Ended January 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $31.21 $27.69 $26.40 $27.38 $25.59 $28.73
Investment Operations            
Net Investment Income .3461 .7191 .7871 .7611 .746 .711
Net Realized and Unrealized Gain (Loss) on Investments (4.070) 3.801 1.639 (.614) 2.324 (2.851)
Total from Investment Operations (3.724) 4.520 2.426 .147 3.070 (2.140)
Distributions            
Dividends from Net Investment Income (.446) (.752) (.851) (.788) (.752) (.695)
Distributions from Realized Capital Gains — — — (.011) (.187) —
Return of Capital — (.248) (.285) (.328) (.341) (.305)
Total Distributions (.446) (1.000) (1.136) (1.127) (1.280) (1.000)
Net Asset Value, End of Period $27.04 $31.21 $27.69 $26.40 $27.38 $25.59
Total Return2 -11.89% 16.59% 9.53% 0.45% 12.07% -7.44%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $190 $243 $1,871 $2,143 $2,603 $2,621
Ratio of Total Expenses to Average Net Assets 0.26% 0.26% 0.25% 0.26% 0.26% 0.26%
Ratio of Net Investment Income to Average Net Assets 2.63% 2.48% 3.02% 2.87% 2.60% 2.66%
Portfolio Turnover Rate3 3% 6% 24% 6% 7% 11%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
14
Real Estate Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2020 		Year Ended January 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $93.93 $83.36 $79.47 $82.43 $77.05 $86.49
Investment Operations            
Net Investment Income 1.1121 2.3351 2.4871 2.4991 2.334 2.217
Net Realized and Unrealized Gain (Loss) on Investments (12.265) 11.379 4.934 (1.945) 7.022 (8.533)
Total from Investment Operations (11.153) 13.714 7.421 .554 9.356 (6.316)
Distributions            
Dividends from Net Investment Income (1.407) (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 (1.407) (3.144) (3.531) (3.514) (3.976) (3.124)
Net Asset Value, End of Period $81.37 $93.93 $83.36 $79.47 $82.43 $77.05
Total Return -11.87% 16.70% 9.70% 0.59% 12.25% -7.31%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $29,166 $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% 0.12%
Ratio of Net Investment Income to Average Net Assets 2.80% 2.60% 3.15% 3.01% 2.74% 2.80%
Portfolio Turnover Rate2 3% 6% 24% 6% 7% 11%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
15
Real Estate Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2020 		Year Ended January 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $133.12 $118.14 $112.63 $116.83 $109.19 $122.58
Investment Operations            
Net Investment Income 1.5551 3.3151 3.5071 3.5381 3.306 3.142
Net Realized and Unrealized Gain (Loss) on Investments (17.362) 16.121 7.008 (2.761) 9.966 (12.105)
Total from Investment Operations (15.807) 19.436 10.515 .777 13.272 (8.963)
Distributions            
Dividends from Net Investment Income (1.993) (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 (1.993) (4.456) (5.005) (4.978) (5.632) (4.427)
Net Asset Value, End of Period $115.32 $133.12 $118.14 $112.63 $116.83 $109.19
Total Return2 -11.83% 16.73% 9.69% 0.58% 12.23% -7.30%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $19,222 $23,274 $18,223 $17,757 $18,337 $15,029
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.11% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 2.77% 2.60% 3.16% 3.01% 2.74% 2.80%
Portfolio Turnover Rate3 3% 6% 24% 6% 7% 11%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
16
Real Estate Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2020 		Year Ended January 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $20.60 $18.28 $17.43 $18.08 $16.90 $18.97
Investment Operations            
Net Investment Income .2421 .5181 .5431 .5681 .515 .489
Net Realized and Unrealized Gain (Loss) on Investments (2.682) 2.496 1.085 (.444) 1.540 (1.870)
Total from Investment Operations (2.440) 3.014 1.628 .124 2.055 (1.381)
Distributions            
Dividends from Net Investment Income (.310) (.522) (.583) (.542) (.519) (.479)
Distributions from Realized Capital Gains — — — (.007) (.123) —
Return of Capital — (.172) (.195) (.225) (.233) (.210)
Total Distributions (.310) (.694) (.778) (.774) (.875) (.689)
Net Asset Value, End of Period $17.85 $20.60 $18.28 $17.43 $18.08 $16.90
Total Return -11.80% 16.77% 9.70% 0.60% 12.23% -7.27%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,922 $10,027 $8,206 $8,176 $7,799 $6,785
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.09% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.79% 2.63% 3.18% 3.03% 2.76% 2.82%
Portfolio Turnover Rate2 3% 6% 24% 6% 7% 11%
The expense ratio and net investment income ratio for the current period have been annualized.
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.
17
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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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.
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 Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the
18
Real Estate Index Fund
Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 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 July 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 Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the 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'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 Schedule of Investments. 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 six months ended July 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.
19
Real Estate Index Fund
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 for the period ended July 31, 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 exceed 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 at the fiscal year-end 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. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. 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 Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
20
Real Estate Index Fund
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
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. 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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $2,185,000, representing less than 0.01% of the fund’s net assets and 0.87% 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 six months ended July 31, 2020, custodian fee offset arrangements reduced the fund’s expenses by $124,000 (an annual rate of less than 0.01% of average net assets).
21
Real Estate Index 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 Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of July 31, 2020, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 57,232,171 — 1,605 57,233,776
Temporary Cash Investments 435,886 — — 435,886
Total 57,668,057 — 1,605 57,669,662
Derivative Financial Instruments        
Assets        
Swap Contracts — 17,986 — 17,986
Liabilities        
Swap Contracts — 574 — 574
E. As of July 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 56,110,995
Gross Unrealized Appreciation 11,388,681
Gross Unrealized Depreciation (9,812,602)
Net Unrealized Appreciation (Depreciation) 1,576,079
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $1,509,620,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
22
Real Estate Index Fund
F. During the six months ended July 31, 2020, the fund purchased $5,773,862,000 of investment securities and sold $9,314,536,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,767,593,000 and $6,607,729,000, 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:
    
  Six Months Ended
July 31, 2020 		  Year Ended
January 31, 2020
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 9,259 341   395,906 13,631
Issued in Lieu of Cash Distributions 3,308 125   28,280 981
Redeemed1 (31,991) (1,233)   (2,172,330) (74,391)
Net Increase (Decrease)—Investor Shares (19,424) (767)   (1,748,144) (59,779)
ETF Shares          
Issued 4,140,510 47,351   10,501,566 118,494
Issued in Lieu of Cash Distributions — —   — —
Redeemed (6,951,997) (90,100)   (7,779,684) (87,500)
Net Increase (Decrease)—ETF Shares (2,811,487) (42,749)   2,721,882 30,994
Admiral Shares          
Issued1 1,753,770 15,842   5,327,904 42,120
Issued in Lieu of Cash Distributions 298,052 2,644   647,759 5,156
Redeemed (2,871,976) (26,638)   (3,392,317) (26,697)
Net Increase (Decrease)—Admiral Shares (820,154) (8,152)   2,583,346 20,579
Institutional Shares          
Issued 940,012 55,794   2,004,257 102,367
Issued in Lieu of Cash Distributions 143,493 8,234   306,680 15,790
Redeemed (872,192) (50,829)   (1,576,740) (80,293)
Net Increase (Decrease)—Institutional Shares 211,313 13,199   734,197 37,864
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.
23
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, 2020
Market Value
($000) 		Purchases
at Cost
($000) 		Proceeds
from
Securities
Sold1
($000) 		Realized
Net Gain
(Loss)
($000) 		Change in
Unrealized
App. (Dep.)
($000) 		Income
($000) 		Capital Gain
Distributions
Received
($000) 		Jul. 31, 2020
Market Value
($000)
City Office REIT Inc. NA2 2,129 5,161 (719) (11,142) — — 21,072
Host Hotels & Resorts Inc. 586,395 38,120 88,109 (34,634) (162,537) 5,368 795 NA3
Vanguard Market Liquidity Fund 561,293 NA4 NA4 156 53 549 — 435,886
Vanguard Real Estate II Index Fund 7,847,621 104,882 — — (1,032,220) 104,882 — 6,920,283
Winthrop Realty Trust — — — (870) 870 — — —
Total 8,995,309 145,131 93,270 (36,067) (1,204,976) 110,799 795 7,377,241
1 Does not include adjustments related to return of capital.
2 Not applicable—at January 31, 2020, the issuer was not an affiliated company of the fund.
3 Not applicable—at July 31, 2020, the security was still held, but the issuer was no longer an affiliated company of the fund.
4 Not applicable—purchases and sales are for temporary cash investment purposes.
I. Management has determined that no events or transactions occurred subsequent to July 31, 2020, that would require recognition or disclosure in these financial statements.
24
Real Estate II Index Fund
Fund Allocation
As of July 31, 2020
Diversified Real Estate Activities 0.2%
Diversified REITs 3.4
Health Care REITs 8.3
Hotel & Resort REITs 2.2
Industrial REITs 11.8
Office REITs 7.9
Real Estate Development 0.2
Real Estate Operating Companies 0.2
Real Estate Services 2.5
Residential REITs 13.6
Retail REITs 7.9
Specialized REITs 41.8
The table reflects the fund’s investments, except for short-term investments and derivatives. 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 fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
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.
25
Real Estate II Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 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.
          Shares Market
Value•

($000)
Equity Real Estate Investment Trusts (REITs) (96.8%)
Diversified REITs (3.4%)
   WP Carey Inc. 1,050,978    75,008
   VEREIT Inc. 6,572,017    42,784
   STORE Capital Corp. Class A 1,414,562    33,511
   PS Business Parks Inc.   125,540    17,318
   Washington REIT   500,690    11,195
   Global Net Lease Inc.   549,252     9,145
   Essential Properties Realty Trust Inc.   560,930     9,031
   American Assets Trust Inc.   311,237     8,403
   Empire State Realty Trust Inc. Class A   930,204     6,139
   Colony Capital Inc. 2,972,224     5,707
   iStar Inc.   471,495     5,474
   Alexander & Baldwin Inc.   418,217     4,943
   Gladstone Commercial Corp.   206,791     3,764
   Armada Hoffler Properties Inc.   343,968     3,316
   One Liberty Properties Inc.    97,551     1,656
                       237,394
Health Care REITs (8.3%)
   Welltower Inc. 2,503,475   134,086
   Ventas Inc. 2,274,778    87,261
   Healthpeak Properties Inc. 3,083,369    84,145
   Medical Properties Trust Inc. 3,178,081    63,975
   Omega Healthcare Investors Inc. 1,382,611    44,769
   Healthcare Trust of America Inc. Class A 1,321,945    36,499
   Healthcare Realty Trust Inc.   821,789    24,078
   Physicians Realty Trust 1,202,118    21,686
   Sabra Health Care REIT Inc. 1,253,719    18,480
   National Health Investors Inc.   272,186    16,876
   CareTrust REIT Inc.   582,363    10,494
   LTC Properties Inc.   243,422     9,043
   Community Healthcare Trust Inc.   125,545     5,741
   Diversified Healthcare Trust 1,451,109     5,652
   Universal Health Realty Income Trust    79,765     5,550
          Shares Market
Value•

($000)
   Global Medical REIT Inc.   251,236     2,987
   New Senior Investment Group Inc.   506,273     1,721
                       573,043
Hotel & Resort REITs (2.2%)
   Host Hotels & Resorts Inc. 4,306,137    46,420
   MGM Growth Properties LLC Class A   801,118    21,903
   Park Hotels & Resorts Inc. 1,463,235    12,101
   Apple Hospitality REIT Inc. 1,296,569    11,436
   Sunstone Hotel Investors Inc. 1,372,342    10,265
   Ryman Hospitality Properties Inc.   318,106    10,186
   Pebblebrook Hotel Trust   798,684     8,466
   RLJ Lodging Trust 1,026,525     8,222
   Service Properties Trust 1,003,099     6,721
   DiamondRock Hospitality Co. 1,221,796     5,645
   Xenia Hotels & Resorts Inc.   687,912     5,476
   Summit Hotel Properties Inc.   639,777     3,314
   Chatham Lodging Trust   284,854     1,484
   CorePoint Lodging Inc.   247,002     1,381
   Hersha Hospitality Trust Class A   213,976     1,018
   Braemar Hotels & Resorts Inc.   181,226       442
   Ashford Hospitality Trust Inc.    58,737       230
                       154,710
Industrial REITs (11.8%)
   Prologis Inc. 4,507,306   475,160
   Duke Realty Corp. 2,247,418    90,324
   Americold Realty Trust 1,221,975    49,307
   First Industrial Realty Trust Inc.   775,039    34,040
   Rexford Industrial Realty Inc.   695,200    32,626
   EastGroup Properties Inc.   237,362    31,488
   STAG Industrial Inc.   907,001    29,568
   Terreno Realty Corp.   411,064    24,976
   Lexington Realty Trust 1,556,269    18,053
   Innovative Industrial Properties Inc.   129,984    13,548
26
Real Estate II Index Fund
          Shares Market
Value•

($000)
   Industrial Logistics Properties Trust   397,347     8,388
   Monmouth Real Estate Investment Corp.   566,831     8,179
                       815,657
Office REITs (7.9%)
   Alexandria Real Estate Equities Inc.   748,639   132,921
   Boston Properties Inc.   897,073    79,920
   Vornado Realty Trust   990,181    34,181
   Kilroy Realty Corp.   582,931    33,967
   Douglas Emmett Inc. 1,016,011    29,607
   Cousins Properties Inc.   895,004    27,495
   Highwoods Properties Inc.   633,244    24,279
   Equity Commonwealth   744,458    23,503
   Hudson Pacific Properties Inc.   943,573    22,240
   SL Green Realty Corp.   476,966    22,179
   JBG SMITH Properties   740,499    21,482
   Corporate Office Properties Trust   683,798    18,107
   Piedmont Office Realty Trust Inc. Class A   767,384    12,439
   Brandywine Realty Trust 1,076,008    11,653
   Easterly Government Properties Inc.   457,948    11,197
   Columbia Property Trust Inc.   705,599     8,439
   Paramount Group Inc. 1,131,765     8,069
   Mack-Cali Realty Corp.   552,463     7,966
   Office Properties Income Trust   293,881     7,391
   Franklin Street Properties Corp.   654,490     3,436
   City Office REIT Inc.   331,875     2,871
                       543,342
Residential REITs (13.6%)
   AvalonBay Communities Inc.   858,043   131,384
   Equity Residential 2,269,506   121,714
   Invitation Homes Inc. 3,306,112    98,588
   Essex Property Trust Inc.   403,707    89,114
   Sun Communities Inc.   569,361    85,364
   Mid-America Apartment Communities Inc.   697,283    83,109
   Equity LifeStyle Properties Inc. 1,055,650    72,122
   UDR Inc. 1,797,384    65,065
   Camden Property Trust   593,892    53,931
   American Homes 4 Rent Class A 1,647,766    47,785
   Apartment Investment & Management Co. Class A   908,487    35,268
   American Campus Communities Inc.   837,875    29,862
   Independence Realty Trust Inc.   625,259     7,191
   Investors Real Estate Trust    73,918     5,344
          Shares Market
Value•

($000)
   NexPoint Residential Trust Inc.   123,298     4,714
   UMH Properties Inc.   223,488     2,749
   Front Yard Residential Corp.   312,960     2,713
   Preferred Apartment Communities Inc. Class A   281,779     2,037
                       938,054
Retail REITs (7.9%)
   Realty Income Corp. 2,035,939   122,258
   Simon Property Group Inc. 1,872,114   116,726
   Regency Centers Corp. 1,022,223    41,942
   National Retail Properties Inc. 1,047,063    37,118
   Federal Realty Investment Trust   438,495    33,457
   Kimco Realty Corp. 2,638,517    29,419
   Spirit Realty Capital Inc.   627,897    21,637
   Brixmor Property Group Inc. 1,818,702    20,933
   Agree Realty Corp.   278,027    18,620
   Taubman Centers Inc.   374,322    14,494
   Weingarten Realty Investors   751,181    12,815
   Retail Properties of America Inc. Class A 1,304,492     8,297
   Urban Edge Properties   739,955     7,755
   Retail Opportunity Investments Corp.   710,066     7,718
   SITE Centers Corp.   945,177     6,928
   Getty Realty Corp.   214,562     6,358
   Acadia Realty Trust   499,477     6,014
 1 Macerich Co.   688,625     5,254
   Kite Realty Group Trust   510,994     5,044
   American Finance Trust Inc. Class A   649,790     4,747
 1 Tanger Factory Outlet Centers Inc.   565,993     3,639
   Alexander's Inc.    14,026     3,532
   RPT Realty   488,285     3,037
   Saul Centers Inc.    84,268     2,588
*,1 Seritage Growth Properties Class A   212,887     1,982
   Urstadt Biddle Properties Inc. Class A   181,825     1,784
   Whitestone REIT   229,556     1,515
   Retail Value Inc.   102,173     1,294
 1 Washington Prime Group Inc. 1,141,086       837
 1 Pennsylvania REIT   400,198       472
   Cedar Realty Trust Inc.   539,698       439
*,2 Spirit MTA REIT   257,871       198
                       548,851
Specialized REITs (41.7%)
   American Tower Corp. 2,702,364   706,371
   Crown Castle International Corp. 2,536,758   422,878
   Equinix Inc.   521,330   409,494
   Digital Realty Trust Inc. 1,527,697   245,256
   SBA Communications Corp. Class A   682,916   212,756
 
27
Real Estate II Index Fund
          Shares Market
Value•

($000)
   Public Storage   959,612   191,807
   Weyerhaeuser Co. 4,548,446   126,492
   Extra Space Storage Inc.   790,786    81,720
   VICI Properties Inc. 2,858,167    62,051
   CyrusOne Inc.   701,732    58,538
   Iron Mountain Inc. 1,752,780    49,411
   Gaming & Leisure Properties Inc. 1,270,672    46,011
   CubeSmart 1,180,994    35,040
   Lamar Advertising Co. Class A   525,221    34,523
   CoreSite Realty Corp.   230,017    29,684
   Life Storage Inc.   284,804    27,948
   QTS Realty Trust Inc. Class A   354,339    25,495
   Rayonier Inc.   789,570    21,934
   PotlatchDeltic Corp.   411,368    17,611
   EPR Properties   481,676    13,790
   Outfront Media Inc.   879,311    12,671
   National Storage Affiliates Trust   364,101    11,222
   Uniti Group Inc. 1,123,083    11,118
   Four Corners Property Trust Inc.   428,377    10,795
   GEO Group Inc.   739,263     7,858
   CoreCivic Inc.   726,217     6,471
   Safehold Inc.    72,768     3,670
   CatchMark Timber Trust Inc. Class A   297,846     2,907
   Jernigan Capital Inc.   140,895     1,974
   CorEnergy Infrastructure Trust Inc.    82,547       723
                     2,888,219
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,488,927) 6,699,270
Real Estate Management & Development (3.0%)
Diversified Real Estate Activities (0.1%)
 * St. Joe Co.   199,174     4,105
   RMR Group Inc. Class A    93,043     2,676
 * Tejon Ranch Co.   134,655     1,932
 * Five Point Holdings LLC Class A   312,198     1,499
                        10,212
Real Estate Development (0.2%)
 * Howard Hughes Corp.   252,445    13,428
 * Forestar Group Inc.   101,966     1,765
                        15,193
          Shares Market
Value•

($000)
Real Estate Operating Companies (0.2%)
   Kennedy-Wilson Holdings Inc.   780,953    11,589
Real Estate Services (2.5%)
 * CBRE Group Inc. Class A 2,042,486    89,481
   Jones Lang LaSalle Inc.   314,369    31,094
 * Redfin Corp.   539,872    22,448
 * Cushman & Wakefield plc   668,415     7,152
   Realogy Holdings Corp.   698,519     6,328
 * Marcus & Millichap Inc.   143,086     3,898
   Newmark Group Inc. Class A   918,430     3,738
   RE/MAX Holdings Inc. Class A   109,183     3,534
 * eXp World Holdings Inc.   157,960     3,139
 * Altisource Portfolio Solutions SA    32,956       443
                       171,255
Total Real Estate Management & Development (Cost $273,401) 208,249
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
3,4 Vanguard Market Liquidity Fund, 0.194%
(Cost $24,920) 		  249,251          24,925
Total Investments (100.2%) (Cost $6,787,248)   6,932,444
Other Assets and Liabilities—Net (-0.2%)   (12,161)
Net Assets (100%)   6,920,283
Cost is in $000.
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $10,488,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $12,400,000 was received for securities on loan.
    
  REIT—Real Estate Investment Trust.
 
28
Real Estate II Index Fund
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Digital Realty Trust Inc. 2/2/21 GSI 10,813 (0.181) 1,227 —
1 Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
GSI—Goldman Sachs International.
At July 31, 2020, counterparties had deposited in a segregated account securities with a value of $1,030,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Real Estate II Index Fund
Statement of Assets and Liabilities
As of July 31, 2020
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $6,762,328) 6,907,519
Affiliated Issuers (Cost $24,920) 24,925
Total Investments in Securities 6,932,444
Investment in Vanguard 297
Receivables for Investment Securities Sold 1,051
Receivables for Accrued Income 2,905
Unrealized Appreciation—Over-the-Counter Swap Contracts 1,227
Total Assets 6,937,924
Liabilities  
Due to Custodian 1,007
Payables for Investment Securities Purchased 3,970
Collateral for Securities on Loan 12,400
Payables to Vanguard 264
Total Liabilities 17,641
Net Assets 6,920,283
At July 31, 2020, net assets consisted of:  
   
Paid-in Capital 6,843,863
Total Distributable Earnings (Loss) 76,420
Net Assets 6,920,283
   
Net Assets  
Applicable to 351,958,381 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 6,920,283
Net Asset Value Per Share $19.66
See accompanying Notes, which are an integral part of the Financial Statements.
30
Real Estate II Index Fund
Statement of Operations
  Six Months Ended
July 31, 2020
  ($000)
Investment Income  
Income  
Dividends 94,610
Interest1 51
Securities Lending—Net 530
Total Income 95,191
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 503
Management and Administrative 2,117
Marketing and Distribution 20
Custodian Fees 24
Shareholders’ Reports —
Trustees’ Fees and Expenses 2
Total Expenses 2,666
Net Investment Income 92,525
Realized Net Gain (Loss)  
Capital Gain Distributions Received 12,094
Investment Securities Sold1 (27,251)
Futures Contracts (521)
Swap Contracts (1,341)
Realized Net Gain (Loss) (17,019)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (1,004,132)
Swap Contracts 1,288
Change in Unrealized Appreciation (Depreciation) (1,002,844)
Net Increase (Decrease) in Net Assets Resulting from Operations (927,338)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $51,000, $38,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
31
Real Estate II Index Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2020 		  Year Ended
January 31,
2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 92,525   193,741
Realized Net Gain (Loss) (17,019)   31,455
Change in Unrealized Appreciation (Depreciation) (1,002,844)   902,961
Net Increase (Decrease) in Net Assets Resulting from Operations (927,338)   1,128,157
Distributions1      
Net Investment Income (104,882)   (199,690)
Return of Capital —   (65,435)
Total Distributions (104,882)   (265,125)
Capital Share Transactions      
Issued —   —
Issued in Lieu of Cash Distributions 104,882   265,125
Redeemed —   —
Net Increase (Decrease) from Capital Share Transactions 104,882   265,125
Total Increase (Decrease) (927,338)   1,128,157
Net Assets      
Beginning of Period 7,847,621   6,719,464
End of Period 6,920,283   7,847,621
1 Certain prior period numbers have been reclassed to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
32
Real Estate II Index Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2020 		Year Ended January 31, September 26,
20171 to
January 31,
2018
2020 2019  
Net Asset Value, Beginning of Period $22.64 $20.10 $19.17 $20.00
Investment Operations        
Net Investment Income2 .265 .571 .611 .268
Net Realized and Unrealized Gain (Loss) on Investments (2.943) 2.752 1.176 (.834)
Total from Investment Operations (2.678) 3.323 1.787 (.566)
Distributions        
Dividends from Net Investment Income (.302) (.590) (.626) (.225)
Distributions from Realized Capital Gains — — — (.030)
Return of Capital — (.193) (.231) (.009)
Total Distributions (.302) (.783) (.857) (.264)
Net Asset Value, End of Period $19.66 $22.64 $20.10 $19.17
Total Return -11.81% 16.78% 9.68% -2.89%
Ratios/Supplemental Data        
Net Assets, End of Period (Millions) $6,920 $7,848 $6,719 $6,126
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08%3
Ratio of Net Investment Income to Average Net Assets 2.78% 2.63% 3.22% 3.84%3
Portfolio Turnover Rate 4% 3% 23% 1%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
33
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 July 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.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
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 Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded 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 gains (losses) on futures contracts.
During the six months ended July 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
34
Real Estate II Index Fund
average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at July 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 Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the 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'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 Schedule of Investments. 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 six months ended July 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 for the period ended July 31, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
35
Real Estate II Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. The portion of distributions that exceed 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 at the fiscal year-end 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. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. 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 Facilities and Interfund Lending Program: 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 and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed 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 either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the
36
Real Estate II Index Fund
conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended July 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.
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 and 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 July 31, 2020, the fund had contributed to Vanguard capital in the amount of $297,000, 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. 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 Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of July 31, 2020, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 6,907,321 — 198 6,907,519
Temporary Cash Investments 24,925 — — 24,925
Total 6,932,246 — 198 6,932,444
37
Real Estate II Index Fund
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Derivative Financial Instruments        
Assets        
Swap Contracts — 1,227 — 1,227
D. As of July 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 6,816,419
Gross Unrealized Appreciation 1,467,225
Gross Unrealized Depreciation (1,349,973)
Net Unrealized Appreciation (Depreciation) 117,252
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2020, the fund had available capital losses totaling $52,716,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2021; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended July 31, 2020, the fund purchased $265,734,000 of investment securities and sold $129,048,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
    
  Six Months Ended
July 31, 2020 		  Year Ended
January 31, 2020
  Shares
(000) 		  Shares
(000)
Issued —   —
Issued in Lieu of Cash Distributions 5,384   12,285
Redeemed —   —
Net Increase (Decrease) in Shares Outstanding 5,384   12,285
G. Management has determined that no events or transactions occurred subsequent to July 31, 2020, that would require recognition or disclosure in these financial statements.
38
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Real Estate Index Fund and the board of trustees of Vanguard Real Estate II Index Fund have renewed their respective fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. Each board determined that continuing the respective fund’s internalized management structure was in the best interests of the fund and its shareholders.
Each board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, each board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees of each board were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether either board approved its respective fund’s arrangement. Rather, it was the totality of the circumstances that drove each board’s decision.
Nature, extent, and quality of services
The board of the Real Estate Index Fund reviewed the quality of that fund’s investment management services over both the short and long term, while the board of the Real Estate II Index Fund reviewed the quality of that fund’s investment management services since its inception in 2017, and took into account the organizational depth and stability of the advisor. Each board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
Each board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement with its respective fund.
Investment performance
The board of the Real Estate Index Fund considered the short- and long-term performance of that fund, including any periods of outperformance or underperformance compared with its target index and peer group, while the board of the Real Estate II Index Fund considered the performance of that fund compared with its target index and peer group since its inception in 2017. Each board concluded that the performance of its respective fund was such that its advisory arrangement should continue.
39
Cost
Each board concluded that the respective fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the respective fund’s advisory expenses were also well below the peer-group average.
Neither board conducts a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.
The benefit of economies of scale
Each board concluded that its respective fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
Each board will consider whether to renew its respective advisory arrangement again after a one-year period.
40
Liquidity Risk Management
Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.
Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.
The board of trustees of Vanguard Real Estate Index Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Vanguard Real Estate Index Fund and Vanguard Real Estate II Index Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program's operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds' liquidity risk.
41
This page intentionally left blank.
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.
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, 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 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.
© 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.
Q1232 092020

 

Item 2: Code of Ethics.

 

Not applicable.

 

Item 3: Audit Committee Financial Expert.

 

Not applicable.

 

Item 4: Principal Accountant Fees and Services.

 

(a)       Audit Fees.

 

Not applicable.

 

Item 5: Audit Committee of Listed Registrants.

 

Not applicable.

 

 

 

 

Item 6: Investments.

 

 

 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
U.S. Government and Agency Obligations (5.7%)              
U.S. Government Securities (4.5%)              
  United States Treasury Note/Bond 1.375%   1/31/22 250,000   254,648  
  United States Treasury Note/Bond 1.125%   2/28/22 50,000   50,789  
  United States Treasury Note/Bond 0.125%   6/30/22 33,000   33,005  
  United States Treasury Note/Bond 0.500%   3/15/23 250,000   252,500  
  United States Treasury Note/Bond 0.250%   6/15/23 500,000   501,795  
  United States Treasury Note/Bond 0.125%   7/15/23 400,000   400,064  
  United States Treasury Note/Bond 1.500%   11/30/24 250,000   264,140  
1 United States Treasury Note/Bond 0.500%   3/31/25 150,000   152,063  
  United States Treasury Note/Bond 0.375%   4/30/25 300,000   302,436  
2 United States Treasury Note/Bond 1.750%   12/31/26 120,000   130,613  
3 United States Treasury Note/Bond 0.500%   4/30/27 130,000   131,036  
1 United States Treasury Note/Bond 1.500%   2/15/30 350,000   381,937  
    2,855,026  
Conventional Mortgage-Backed Securities (0.5%)  
¤,4,5 UMBS Pool 2.000%   9/1/50 330,000   341,190  
                 
Nonconventional Mortgage-Backed Securities (0.7%)  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.690% 3.692%   2/1/37 390   409  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.750% 4.000%   9/1/32 179   189  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.760% 3.858%   8/1/37 321   336  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.785% 4.035%   8/1/33 973   1,025  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.785% 4.410%   8/1/33 485   499  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.800% 4.040%   7/1/33 1,390   1,440  
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.960% 4.585%   5/1/33 79   84  
4,5,6 Fannie Mae Pool, 1Y CMT + 2.000% 3.699%   12/1/32 176   182  
4,5,6 Fannie Mae Pool, 1Y CMT + 2.125% 2.711%   6/1/33 824   860  
4,5,6 Fannie Mae Pool, 1Y CMT + 2.185% 4.560%   7/1/32 127   134  
4,5,6 Fannie Mae Pool, 1Y CMT + 2.210% 3.406%   5/1/33 986   1,054  
4,5 Fannie Mae REMICS 1.750%   11/25/32 22,043   22,520  
4,5 Fannie Mae REMICS 2.100%   4/25/43 13,844   14,103  
4,5 Fannie Mae REMICS 2.250%   7/25/43–6/25/44 17,099   17,618  
4,5 Fannie Mae REMICS 2.500%   6/25/40–1/25/50 34,671   36,176  
4,5 Fannie Mae REMICS 3.000%   9/25/49 19,815   20,847  
4,5 Fannie Mae REMICS 3.500%   12/25/45 8,022   8,632  
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% 4.049%   8/1/37 1,088   1,149  
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893% 4.143%   9/1/32 636   658  
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% 3.918%   10/1/32 172   184  
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% 3.961%   2/1/33 108   114  
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% 4.211%   8/1/33 391   417  
4,5,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 3.865%   8/1/32 341   366  
4,5,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 4.291%   8/1/32 443   459  
4,5,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.254% 4.254%   9/1/32 42   46  
4,5 Freddie Mac REMICS 2.000%   7/15/42 18,857   19,500  
4,5 Freddie Mac REMICS 2.250%   4/15/43–6/15/44 31,537   32,555  
4,5 Freddie Mac REMICS 2.500%   10/25/48–12/25/49 51,712   54,479  
4,5 Freddie Mac REMICS 2.750%   10/25/49 7,742   8,301  
4,5 Freddie Mac REMICS 3.000%   10/15/45–7/25/49 60,857   64,199  
4,5 Freddie Mac REMICS 3.500%   5/15/40–12/25/49 24,076   25,358  
4,5 Freddie Mac REMICS 6.500%   5/15/24 9,650   10,274  
4 Ginnie Mae REMICS 2.500%   11/20/47–9/20/49 9,978   10,409  
4 Ginnie Mae REMICS 2.750%   9/20/45–5/20/46 86,467   88,582  
4 Ginnie Mae REMICS 3.000%   3/20/41–12/20/47 15,238   15,709  
              458,867  
Total U.S. Government and Agency Obligations (Cost $3,612,429)         3,655,083  

 

 1 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
Asset-Backed/Commercial Mortgage-Backed Securities (17.1%)            
4 Ally Auto Receivables Trust 2019-1 3.020%   4/15/24 6,300   6,624  
4 Ally Auto Receivables Trust 2019-3 1.930%   5/15/24 18,360   18,761  
4 Ally Auto Receivables Trust 2019-4 1.920%   1/15/25 8,150   8,465  
4,7 American Homes 4 Rent 2014-SFR2 3.786%   10/17/36 12,150   13,040  
4,7 American Homes 4 Rent 2014-SFR2 4.290%   10/17/36 3,360   3,633  
4,7 American Homes 4 Rent 2014-SFR3 3.678%   12/17/36 16,362   17,528  
4,7 American Homes 4 Rent 2015-SFR1 3.467%   4/17/52 14,586   15,559  
4,7 American Homes 4 Rent 2015-SFR2 3.732%   10/17/52 6,329   6,868  
4,7 American Homes 4 Rent 2015-SFR2 4.295%   10/17/52 2,830   3,107  
4 AmeriCredit Automobile Receivables Trust 2016-3 2.710%   9/8/22 10,170   10,279  
4 AmeriCredit Automobile Receivables Trust 2018-2 4.010%   7/18/24 19,450   20,215  
4 AmeriCredit Automobile Receivables Trust 2019-1 3.620%   3/18/25 21,620   22,694  
4 AmeriCredit Automobile Receivables Trust 2020-2 0.970%   2/18/26 5,670   5,675  
4 AmeriCredit Automobile Receivables Trust 2020-2 1.480%   2/18/26 7,730   7,739  
4 AmeriCredit Automobile Receivables Trust 2020-2 2.130%   3/18/26 7,990   7,999  
4,7 AOA Mortgage Trust 2015-1177 2.957%   12/13/29 13,390   13,535  
4,7 Applebee's Funding LLC / IHOP Funding LLC 2019-1 4.194%   6/7/49 5,040   4,319  
4,7 ARI Fleet Lease Trust 2020-A 1.800%   8/15/28 8,950   9,048  
4,7 ARL Second LLC 2014-1A 2.920%   6/15/44 8,939   8,751  
4,7 Aventura Mall Trust 2018-AVM 4.112%   7/5/40 1,680   1,779  
4,7 Avis Budget Rental Car Funding AESOP LLC 2015-2A 2.630%   12/20/21 35,936   35,876  
4,7 Avis Budget Rental Car Funding AESOP LLC 2016-1A 2.990%   6/20/22 3,341   3,322  
4,7 Avis Budget Rental Car Funding AESOP LLC 2017-1A 3.070%   9/20/23 7,640   7,676  
4,7 Avis Budget Rental Car Funding AESOP LLC 2019-1A 3.450%   3/20/23 19,930   19,858  
4,7 BAMLL Commercial Mortgage Securities Trust 2012-PARK 2.959%   12/10/30 4,900   4,911  
4,7 BAMLL Commercial Mortgage Securities Trust 2019-BPR 3.287%   11/5/32 13,820   13,176  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.429%   9/15/48 8,360   8,883  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.441%   9/15/48 7,056   7,767  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 4.360%   9/15/48 1,600   1,499  
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.574%   2/15/50 4,760   5,329  
4 Banc of America Funding 2006-H Trust 3.750%   9/20/46 6,626   5,174  
4 BANK 2017 - BNK4 3.625%   5/15/50 3,890   4,378  
4 BANK 2017 - BNK6 3.254%   7/15/60 34,260   37,768  
4 BANK 2017 - BNK6 3.518%   7/15/60 13,190   14,791  
4 BANK 2017 - BNK6 3.741%   7/15/60 3,080   3,470  
4 BANK 2017 - BNK7 3.175%   9/15/60 830   914  
4 BANK 2017 - BNK7 3.435%   9/15/60 16,120   18,059  
4 BANK 2017 - BNK8 3.488%   11/15/50 33,600   38,092  
4 BANK 2018 - BN10 3.641%   2/15/61 11,860   13,172  
4 BANK 2018 - BN12 4.255%   5/15/61 9,940   11,779  
4 BANK 2018 - BN14 4.185%   9/15/60 6,680   7,628  
4 BANK 2019 - BN17 3.623%   4/15/52 7,533   8,543  
4 Bank of America Mortgage Trust 2002-J 4.552%   9/25/32 15   15  
4 BBCMS Mortgage Trust 2020-C6 2.639%   2/15/53 12,685   13,854  
4 Bear Stearns ARM Trust 2006-4 3.469%   10/25/36 10,028   9,016  
4 Bear Stearns ARM Trust 2007-3 3.836%   5/25/47 7,833   6,734  
4 Benchmark 2018-B1 Mortgage Trust 3.602%   1/15/51 3,740   4,157  
4 Benchmark 2018-B1 Mortgage Trust 3.878%   1/15/51 5,990   6,793  
4 Benchmark 2018-B1 Mortgage Trust 4.059%   1/15/51 2,700   2,969  
4 Benchmark 2018-B1 Mortgage Trust 4.116%   1/15/51 4,200   4,103  
4 Benchmark 2018-B6 Mortgage Trust 4.170%   10/10/51 9,886   11,294  
4 Benchmark 2018-B6 Mortgage Trust 4.261%   10/10/51 11,410   13,637  
4 Benchmark 2019-B10 Mortgage Trust 3.615%   3/15/62 8,042   9,062  
4 Benchmark 2020-B16 Mortgage Trust 2.732%   2/15/53 17,390   19,131  
4 BMW Vehicle Owner Trust 2018-A 1.920%   1/25/24 36,310   37,178  

 

 2 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4,6 Brazos Higher Education Authority Inc. Series 2005-3, 3M USD LIBOR + 0.200% 0.497%   6/25/26 6,450   6,414  
4,6 Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% 1.159%   2/25/30 12,725   12,593  
4,7 BX Trust 2019-OC11 3.202%   12/9/41 16,600   17,499  
4,7 CAL Funding II Ltd. Series 2018-2A 4.340%   9/25/43 9,914   9,954  
4 California Republic Auto Receivables Trust 2016-2 2.520%   5/16/22 6,520   6,546  
4 California Republic Auto Receivables Trust 2016-2 3.510%   3/15/23 3,180   3,192  
4,7 Canadian Pacer Auto Receivables Trust A Series 2018 3.220%   9/19/22 7,330   7,444  
4,7 Canadian Pacer Auto Receivables Trust A Series 2018 3.270%   12/19/22 4,646   4,682  
4,7 Canadian Pacer Auto Receivables Trust A Series 2018 3.440%   8/21/23 2,080   2,152  
4,7 Canadian Pacer Auto Receivables Trust A Series 2019 2.960%   6/19/24 4,170   4,343  
4,7 Canadian Pacer Auto Receivables Trust A Series 2020 1.830%   7/19/24 31,730   32,347  
4,7 Canadian Pacer Auto Receivables Trust A Series 2020 1.890%   3/19/25 6,810   6,924  
4 Capital One Auto Receivables Trust 2019-1 2.510%   11/15/23 38,950   39,924  
4 Capital One Auto Receivables Trust 2019-1 2.560%   10/15/24 13,130   13,791  
4 Capital One Auto Receivables Trust 2020-1 1.600%   11/15/24 141,500   144,293  
4 Capital One Auto Receivables Trust 2020-1 1.630%   8/15/25 25,320   26,171  
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   7,017  
4 CarMax Auto Owner Trust 2017-4 2.460%   8/15/23 4,830   4,936  
4 CarMax Auto Owner Trust 2017-4 2.700%   10/16/23 4,830   4,913  
4 CarMax Auto Owner Trust 2018-1 2.830%   9/15/23 19,890   20,525  
4 CarMax Auto Owner Trust 2018-1 2.950%   11/15/23 6,170   6,319  
4 CarMax Auto Owner Trust 2018-2 3.370%   10/16/23 4,755   4,958  
4 CarMax Auto Owner Trust 2018-2 3.570%   12/15/23 6,860   7,164  
4 CarMax Auto Owner Trust 2018-2 3.990%   4/15/25 5,300   5,426  
4 CarMax Auto Owner Trust 2018-3 3.270%   3/15/24 13,310   13,980  
4 CarMax Auto Owner Trust 2018-4 3.480%   2/15/24 6,780   7,221  
4 CarMax Auto Owner Trust 2018-4 3.670%   5/15/24 5,940   6,320  
4 CarMax Auto Owner Trust 2018-4 3.850%   7/15/24 4,030   4,256  
4 CarMax Auto Owner Trust 2018-4 4.150%   4/15/25 2,730   2,867  
4 CarMax Auto Owner Trust 2019-3 2.300%   4/15/25 7,570   7,922  
4 CarMax Auto Owner Trust 2019-3 2.500%   4/15/25 9,610   10,059  
4 CarMax Auto Owner Trust 2019-4 2.020%   11/15/24 49,210   50,610  
4 CarMax Auto Owner Trust 2019-4 2.130%   7/15/25 13,790   14,441  
4 CarMax Auto Owner Trust 2019-4 2.600%   9/15/25 4,240   4,384  
4 CarMax Auto Owner Trust 2020-1 2.030%   6/16/25 12,860   13,407  
4 CarMax Auto Owner Trust 2020-3 1.090%   3/16/26 7,740   7,749  
4 CarMax Auto Owner Trust 2020-3 1.690%   4/15/26 4,840   4,850  
4 CD 2016-CD1 Commercial Mortgage Trust 2.724%   8/10/49 3,650   3,900  
4 CD 2016-CD1 Commercial Mortgage Trust 3.631%   8/10/49 6,299   5,825  
4 CD 2017-CD3 Commercial Mortgage Trust 3.631%   2/10/50 22,955   25,843  
4 CD 2017-CD4 Commercial Mortgage Trust 3.514%   5/10/50 6,310   7,086  
4 CD 2017-CD6 Commercial Mortgage Trust 3.456%   11/13/50 6,715   7,542  
4 CenterPoint Energy Transition Bond Co. IV LLC 2012-1 2.161%   10/15/21 119   119  
4,7 CFCRE Commercial Mortgage Trust 2011-C2 5.739%   12/15/47 14,930   15,537  
4 CFCRE Commercial Mortgage Trust 2016-C4 3.283%   5/10/58 25,764   27,880  
4,7 Chesapeake Funding II LLC 2018-1 3.040%   4/15/30 13,455   13,642  
4,7 Chesapeake Funding II LLC 2019-1 2.940%   4/15/31 26,204   26,764  
4 CHL Mortgage Pass-Through Trust 2006-HYB1 3.308%   3/20/36 5,196   4,335  
4 CHL Mortgage Pass-Through Trust 2007-HYB2 3.433%   2/25/47 5,613   4,371  
4,7 Citigroup Commercial Mortgage Trust 2012-GC8 3.683%   9/10/45 2,100   2,122  
4 Citigroup Commercial Mortgage Trust 2013-GC11 3.093%   4/10/46 6,350   6,624  
4 Citigroup Commercial Mortgage Trust 2013-GC15 3.942%   9/10/46 4,687   4,880  
4 Citigroup Commercial Mortgage Trust 2013-GC15 4.371%   9/10/46 3,786   4,150  
4 Citigroup Commercial Mortgage Trust 2014-GC19 4.023%   3/10/47 19,843   21,536  
4 Citigroup Commercial Mortgage Trust 2014-GC21 3.575%   5/10/47 3,321   3,503  
4 Citigroup Commercial Mortgage Trust 2014-GC21 3.855%   5/10/47 41,720   45,422  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.356%   7/10/47 10,304   10,996  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.622%   7/10/47 25,685   27,795  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.863%   7/10/47 12,426   13,418  
4 Citigroup Commercial Mortgage Trust 2014-GC23 4.175%   7/10/47 5,394   5,778  
4 Citigroup Commercial Mortgage Trust 2014-GC23 4.432%   7/10/47 6,380   6,631  

 

 3 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4 Citigroup Commercial Mortgage Trust 2014-GC25 3.372%   10/10/47 18,100   19,316  
4 Citigroup Commercial Mortgage Trust 2014-GC25 3.635%   10/10/47 41,551   45,218  
4 Citigroup Commercial Mortgage Trust 2014-GC25 4.345%   10/10/47 6,146   6,511  
4 Citigroup Commercial Mortgage Trust 2014-GC25 4.525%   10/10/47 1,035   1,018  
4 Citigroup Commercial Mortgage Trust 2015-GC27 3.137%   2/10/48 38,271   41,023  
4 Citigroup Commercial Mortgage Trust 2015-GC31 3.762%   6/10/48 52,677   58,329  
4 Citigroup Commercial Mortgage Trust 2015-GC33 4.572%   9/10/58 4,000   3,922  
4 Citigroup Commercial Mortgage Trust 2017-C4 3.471%   10/12/50 19,500   21,991  
4 Citigroup Commercial Mortgage Trust 2017-P8 3.203%   9/15/50 2,641   2,889  
4 Citigroup Commercial Mortgage Trust 2017-P8 3.465%   9/15/50 41,283   46,637  
4 Citigroup Commercial Mortgage Trust 2017-P8 4.192%   9/15/50 9,500   10,160  
4 Citigroup Commercial Mortgage Trust 2017-P8 4.268%   9/15/50 9,500   8,905  
4 Citigroup Commercial Mortgage Trust 2018-C5 4.228%   6/10/51 8,750   10,332  
4 Citigroup Commercial Mortgage Trust 2018-C6 4.343%   11/10/51 10,960   12,665  
4 Citigroup Mortgage Loan Trust 2007-AR8 3.596%   7/25/37 426   381  
4,7 CLI Funding V LLC 2013-1A 2.830%   3/18/28 6,967   6,923  
4 COMM 2012-CCRE2 Mortgage Trust 3.147%   8/15/45 2,925   3,025  
4 COMM 2012-CCRE2 Mortgage Trust 3.791%   8/15/45 4,100   4,238  
4,7 COMM 2012-CCRE3 Mortgage Trust 3.416%   10/15/45 12,316   12,561  
4 COMM 2012-CCRE4 Mortgage Trust 2.853%   10/15/45 10,904   11,176  
4 COMM 2012-CCRE4 Mortgage Trust 3.251%   10/15/45 1,990   2,023  
4 COMM 2012-CCRE5 Mortgage Trust 2.771%   12/10/45 2,640   2,728  
4 COMM 2013-CCRE10 Mortgage Trust 3.795%   8/10/46 5,985   6,246  
4 COMM 2013-CCRE11 Mortgage Trust 3.983%   8/10/50 13,316   14,365  
4 COMM 2013-CCRE11 Mortgage Trust 4.258%   8/10/50 43,975   48,064  
4 COMM 2013-CCRE12 Mortgage Trust 3.623%   10/10/46 9,857   10,026  
4 COMM 2013-CCRE12 Mortgage Trust 3.765%   10/10/46 7,416   7,987  
4 COMM 2013-CCRE12 Mortgage Trust 4.046%   10/10/46 41,902   45,575  
4 COMM 2013-CCRE13 Mortgage Trust 4.194%   11/10/46 18,117   19,751  
4 COMM 2013-CCRE13 Mortgage Trust 4.887%   11/10/46 4,517   4,834  
4 COMM 2013-CCRE13 Mortgage Trust 4.887%   11/10/46 8,240   8,270  
4,7 COMM 2013-CCRE6 Mortgage Trust 3.147%   3/10/46 17,360   17,943  
4,7 COMM 2013-CCRE6 Mortgage Trust 3.397%   3/10/46 2,380   2,415  
4 COMM 2013-CCRE8 Mortgage Trust 3.334%   6/10/46 1,580   1,651  
4 COMM 2013-CCRE8 Mortgage Trust 3.612%   6/10/46 40,399   43,022  
4 COMM 2013-CCRE9 Mortgage Trust 4.220%   7/10/45 12,916   13,839  
4,7 COMM 2013-CCRE9 Mortgage Trust 4.244%   7/10/45 11,250   11,797  
4,7 COMM 2013-CCRE9 Mortgage Trust 4.244%   7/10/45 12,690   11,888  
4,7 COMM 2013-LC13 Mortgage Trust 3.774%   8/10/46 6,914   7,186  
4 COMM 2013-LC13 Mortgage Trust 4.205%   8/10/46 13,605   14,546  
4,7 COMM 2013-LC13 Mortgage Trust 4.557%   8/10/46 18,565   20,204  
4 COMM 2013-LC6 Mortgage Trust 2.941%   1/10/46 3,290   3,410  
4,7 COMM 2013-SFS Mortgage Trust 2.987%   4/12/35 11,600   11,391  
4,7 COMM 2014-277P Mortgage Trust 3.611%   8/10/49 33,245   35,680  
4 COMM 2014-CCRE14 Mortgage Trust 3.955%   2/10/47 1,915   2,079  
4 COMM 2014-CCRE14 Mortgage Trust 4.236%   2/10/47 18,995   20,780  
4 COMM 2014-CCRE15 Mortgage Trust 2.928%   2/10/47 4,956   4,968  
4 COMM 2014-CCRE15 Mortgage Trust 4.074%   2/10/47 20,250   22,175  
4 COMM 2014-CCRE15 Mortgage Trust 4.426%   2/10/47 13,450   14,716  
4 COMM 2014-CCRE17 Mortgage Trust 3.700%   5/10/47 1,876   2,018  
4 COMM 2014-CCRE17 Mortgage Trust 3.977%   5/10/47 47,740   52,291  
4 COMM 2014-CCRE17 Mortgage Trust 4.174%   5/10/47 27,380   29,476  
4 COMM 2014-CCRE17 Mortgage Trust 4.784%   5/10/47 10,175   9,979  
4 COMM 2014-CCRE18 Mortgage Trust 3.550%   7/15/47 9,663   10,316  
4 COMM 2014-CCRE18 Mortgage Trust 3.828%   7/15/47 30,571   33,356  
4 COMM 2014-CCRE20 Mortgage Trust 3.326%   11/10/47 21,620   23,082  
4 COMM 2014-LC17 Mortgage Trust 3.917%   10/10/47 11,922   13,142  
4 COMM 2015-CCRE22 Mortgage Trust 3.309%   3/10/48 36,015   38,870  
4 COMM 2015-CCRE24 Mortgage Trust 3.696%   8/10/48 11,921   13,245  
4 COMM 2015-CCRE25 Mortgage Trust 3.759%   8/10/48 39,667   43,724  
4 COMM 2015-CCRE26 Mortgage Trust 3.630%   10/10/48 22,007   24,391  
4 COMM 2015-CCRE27 Mortgage Trust 3.612%   10/10/48 11,974   13,267  
4 COMM 2015-CCRE27 Mortgage Trust 4.456%   10/10/48 8,118   8,384  
4 COMM 2015-LC19 Mortgage Trust 3.183%   2/10/48 9,930   10,741  

  

 4 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.504%   6/15/57 42,350   45,925  
4 CSAIL 2015-C3 Commercial Mortgage Trust 4.349%   8/15/48 10,600   9,751  
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.808%   11/15/48 41,832   46,343  
4 CSAIL 2016-C5 Commercial Mortgage Trust 4.572%   11/15/48 7,660   7,273  
4 CSAIL 2016-C7 Commercial Mortgage Trust 3.502%   11/15/49 57,943   63,922  
4 CSAIL 2017-C8 Commercial Mortgage Trust 3.392%   6/15/50 15,680   17,335  
4,7 Daimler Trucks Retail Trust 2019-1 2.790%   5/15/25 12,480   12,766  
4 DBGS Mortgage Trust 2018-C1 4.466%   10/15/51 31,390   37,749  
4 DBJPM 16-C1 Mortgage Trust 3.347%   5/10/49 2,050   1,840  
4 DBJPM 17-C6 Mortgage Trust 3.328%   6/10/50 21,940   24,473  
4,6,7 DELAM 2018-1, 1M USD LIBOR + 0.700% 0.887%   11/19/25 18,960   18,945  
4,7 DLL Securitization Trust Series 2018-A4 3.590%   6/20/24 8,550   8,798  
4,7 DLL Securitization Trust Series 2019-DA1 2.890%   4/20/23 24,900   25,416  
4,7 DLL Securitization Trust Series 2019-DA1 2.920%   4/20/27 24,750   25,914  
4,7 DLL Securitization Trust Series 2019-MA2 2.340%   9/20/23 27,810   28,426  
4,7 DLL Securitization Trust Series 2019-MT3 2.080%   2/21/23 25,700   26,213  
4,7 DLL Securitization Trust Series 2019-MT3 2.150%   9/21/26 14,700   15,102  
4,7 DRB Prime Student Loan Trust 2017-C 2.810%   11/25/42 15,719   16,021  
4,7 Drive Auto Receivables Trust 2016-C 4.180%   3/15/24 14,864   15,066  
4 Drive Auto Receivables Trust 2017-1 3.840%   3/15/23 1,461   1,483  
4 Drive Auto Receivables Trust 2018-2 3.630%   8/15/24 5,124   5,153  
4 Drive Auto Receivables Trust 2018-2 4.140%   8/15/24 28,740   29,788  
4 Drive Auto Receivables Trust 2018-3 3.720%   9/16/24 18,124   18,289  
4 Drive Auto Receivables Trust 2018-3 4.300%   9/16/24 16,140   16,599  
4 Drive Auto Receivables Trust 2018-5 3.680%   7/15/23 7,501   7,539  
4 Drive Auto Receivables Trust 2018-5 3.990%   1/15/25 28,750   29,460  
4 Drive Auto Receivables Trust 2018-5 4.300%   4/15/26 26,460   27,812  
4 Drive Auto Receivables Trust 2019-2 3.690%   8/17/26 15,870   16,537  
4 Drive Auto Receivables Trust 2020-1 2.020%   11/15/23 13,810   14,002  
4 Drive Auto Receivables Trust 2020-2 1.420%   3/17/25 6,950   7,029  
4 Drive Auto Receivables Trust 2020-2 2.280%   8/17/26 5,790   5,913  
4 Drive Auto Receivables Trust 2020-2 3.050%   5/15/28 6,160   6,353  
4,6,7 Edsouth Indenture No. 9 LLC 2015-1, 1M USD LIBOR + 0.800% 0.972%   10/25/56 12,656   12,317  
4,7 EDvestinU Private Education Loan Trust (EDVES) 2019-A 3.580%   11/25/38 7,662   8,001  
4,7 ELFI Graduate Loan Program 2018-A LLC 3.430%   8/25/42 15,491   16,110  
4,7 Enterprise Fleet Financing LLC Series 2019-1 2.980%   10/20/24 6,849   6,962  
4,7 Enterprise Fleet Financing LLC Series 2019-1 3.070%   10/20/24 13,690   14,316  
4,7 Enterprise Fleet Financing LLC Series 2020-1 1.780%   12/22/25 75,900   76,935  
4,7 Enterprise Fleet Financing LLC Series 2020-1 1.860%   12/22/25 15,000   15,382  
4,7 Fair Square Issuance Trust FSIT 2020-A 2.900%   9/20/24 14,400   14,383  
4,5,6,7 Fannie Mae Connecticut Avenue Securities 2019-R07, 1M USD LIBOR + 0.770% 0.942%   10/25/39 3,679   3,678  
4,5,6,7 Fannie Mae Connecticut Avenue Securities 2020-R02, 1M USD LIBOR + 0.750% 0.922%   1/25/40 63,170   62,957  
4,5 Fannie Mae Grantor Trust 2017-T1 2.898%   6/25/27 19,200   21,210  
4 First Horizon Mortgage Pass-Through Trust 2006-AR3 3.433%   11/25/36 3,092   2,466  
4 First Horizon Mortgage Pass-Through Trust 2006-AR4 3.981%   1/25/37 5,651   4,206  
4 Ford Credit Auto Lease Trust 2019-A 3.250%   7/15/22 25,150   25,736  
4 Ford Credit Auto Lease Trust 2020-B 1.000%   11/15/23 14,470   14,475  
4 Ford Credit Auto Lease Trust 2020-B 1.700%   2/15/25 9,840   9,844  
4,7 Ford Credit Auto Owner Trust 2017-2 2.360%   3/15/29 31,835   32,947  
4,7 Ford Credit Auto Owner Trust 2017-2 2.600%   3/15/29 6,826   6,956  
4,7 Ford Credit Auto Owner Trust 2017-2 2.750%   3/15/29 13,976   14,113  
4,7 Ford Credit Auto Owner Trust 2018-2 3.760%   1/15/30 7,305   7,571  
4,7 Ford Credit Auto Owner Trust 2018-REV1 3.190%   7/15/31 87,670   93,564  
4,7 Ford Credit Auto Owner Trust 2018-REV1 3.340%   7/15/31 32,080   33,867  
4,7 Ford Credit Auto Owner Trust 2018-REV2 3.470%   1/15/30 19,600   20,897  
4,7 Ford Credit Auto Owner Trust 2018-REV2 3.610%   1/15/30 16,295   17,150  
4,7 Ford Credit Auto Owner Trust 2019-1 3.520%   7/15/30 11,266   12,157  
4 Ford Credit Auto Owner Trust 2019-A 2.850%   8/15/24 26,820   28,217  
4 Ford Credit Auto Owner Trust 2019-A 3.020%   10/15/24 10,330   10,868  
4 Ford Credit Auto Owner Trust 2019-A 3.250%   9/15/25 10,980   11,406  

 

 5 

 

  

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4,7 Ford Credit Auto Owner Trust 2020-1 2.040%   8/15/31 21,100   21,817  
4,7 Ford Credit Auto Owner Trust 2020-1 2.290%   8/15/31 20,070   20,354  
4,7 Ford Credit Auto Owner Trust 2020-1 2.540%   8/15/31 24,724   24,528  
4 Ford Credit Auto Owner Trust 2020-B 1.190%   1/15/26 15,500   15,574  
4 Ford Credit Auto Owner Trust 2020-B 2.040%   12/15/26 8,650   8,692  
4 Ford Credit Floorplan Master Owner Trust 2019-A 2.440%   9/15/26 742   777  
4 Ford Credit Floorplan Master Owner Trust A 2019-3 2.230%   9/15/24 15,159   15,570  
4 Ford Credit Floorplan Master Owner Trust A Series 2018-1 2.950%   5/15/23 24,890   25,323  
4 Ford Credit Floorplan Master Owner Trust A Series 2018-3 3.520%   10/15/23 28,175   28,993  
4 Ford Credit Floorplan Master Owner Trust A Series 2019-1 2.840%   3/15/24 45,500   47,033  
4 Ford Credit Floorplan Master Owner Trust A Series 2019-2 3.250%   4/15/26 7,753   8,070  
4 Ford Credit Floorplan Master Owner Trust A Series 2019-3 2.420%   9/15/24 3,470   3,509  
4,5,7 Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1 3.723%   2/25/48 3,532   3,511  
4,5,6,7 Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA1, 1M USD LIBOR + 0.700% 0.872%   1/25/50 8,262   8,252  
4,5,6,7 Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA2, 1M USD LIBOR + 0.750% 0.922%   2/25/50 55,101   54,825  
4,5,6,7 Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA1, 1M USD LIBOR + 0.750% 0.922%   1/25/50 4,934   4,926  
4 GM Financial Automobile Leasing Trust 2020-1 1.700%   12/20/23 10,220   10,415  
4 GM Financial Automobile Leasing Trust 2020-1 1.840%   12/20/23 14,540   14,802  
4 GM Financial Automobile Leasing Trust 2020-1 2.040%   12/20/23 9,700   9,643  
4 GM Financial Automobile Leasing Trust 2020-1 2.280%   6/20/24 6,680   6,688  
4 GM Financial Automobile Leasing Trust 2020-2 1.560%   7/22/24 5,420   5,497  
4 GM Financial Automobile Leasing Trust 2020-2 2.560%   7/22/24 4,545   4,701  
4 GM Financial Automobile Leasing Trust 2020-2 3.210%   12/20/24 6,470   6,649  
4,7 GM Financial Consumer Automobile 2017-3 2.330%   3/16/23 2,650   2,692  
4 GM Financial Consumer Automobile 2018-3 3.160%   1/16/24 7,250   7,587  
4 GM Financial Consumer Automobile 2018-4 3.320%   6/17/24 6,690   7,080  
4 GM Financial Consumer Automobile 2019-4 1.750%   7/16/24 10,780   10,980  
4 GM Financial Consumer Automobile 2019-4 1.760%   1/16/25 5,070   5,219  
4 GMACM Mortgage Loan Trust 2005-AR6 3.812%   11/19/35 1,113   1,002  
4,7 GMF Floorplan Owner Revolving Trust 2019-1 2.700%   4/15/24 13,920   14,262  
4,7 Golden Credit Card Trust 2018-4A 3.440%   10/15/25 77,760   83,279  
4,6,7 Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450% 0.809%   8/25/60 6,833   6,822  
4,7 GRACE Mortgage Trust 2014-A 3.369%   6/10/28 20,500   20,715  
4,7 GreatAmerica Leasing Receivables Funding LLC Series 2019-1 3.210%   2/18/25 5,260   5,534  
4,7 GreatAmerica Leasing Receivables Funding LLC Series 2020-1 1.850%   2/16/26 13,200   13,334  
4,7 GS Mortgage Securities Trust 2010-C2 5.179%   12/10/43 3,530   3,526  
4,7 GS Mortgage Securities Trust 2011-GC3 5.566%   3/10/44 2,280   2,279  
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551%   4/10/34 32,716   33,028  
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954%   11/5/34 36,047   35,952  
4,7 GS Mortgage Securities Trust 2012-GC6 4.948%   1/10/45 1,000   1,034  
4 GS Mortgage Securities Trust 2012-GCJ7 5.704%   5/10/45 7,150   6,837  
4 GS Mortgage Securities Trust 2013-GC13 4.051%   7/10/46 22,934   24,826  
4,7 GS Mortgage Securities Trust 2013-GC13 4.084%   7/10/46 5,650   5,453  
4 GS Mortgage Securities Trust 2013-GCJ12 3.135%   6/10/46 13,060   13,698  
4 GS Mortgage Securities Trust 2013-GCJ12 3.777%   6/10/46 8,250   8,159  
4 GS Mortgage Securities Trust 2013-GCJ14 3.817%   8/10/46 4,954   5,136  
4 GS Mortgage Securities Trust 2013-GCJ14 3.955%   8/10/46 22,020   23,131  
4 GS Mortgage Securities Trust 2013-GCJ14 4.243%   8/10/46 49,405   53,339  
4 GS Mortgage Securities Trust 2014-GC20 3.998%   4/10/47 43,873   47,648  
4 GS Mortgage Securities Trust 2014-GC20 4.258%   4/10/47 1,410   1,509  
4 GS Mortgage Securities Trust 2014-GC24 3.931%   9/10/47 33,925   37,254  
4 GS Mortgage Securities Trust 2014-GC24 4.162%   9/10/47 13,246   14,227  

 

 6 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4 GS Mortgage Securities Trust 2014-GC24 4.511%   9/10/47 10,665   9,434  
4 GS Mortgage Securities Trust 2014-GC24 4.532%   9/10/47 17,556   14,913  
4 GS Mortgage Securities Trust 2014-GC26 3.364%   11/10/47 19,370   20,682  
4 GS Mortgage Securities Trust 2014-GC26 3.629%   11/10/47 16,700   18,208  
4 GS Mortgage Securities Trust 2015-GC28 3.136%   2/10/48 39,656   42,555  
4 GS Mortgage Securities Trust 2015-GC28 3.396%   2/10/48 35,733   38,752  
4 GS Mortgage Securities Trust 2015-GC30 3.382%   5/10/50 12,225   13,305  
4 GS Mortgage Securities Trust 2015-GC32 3.764%   7/10/48 4,636   5,151  
4 GS Mortgage Securities Trust 2015-GC34 3.244%   10/10/48 10,140   10,941  
4 GS Mortgage Securities Trust 2015-GC34 3.506%   10/10/48 17,922   19,755  
4 GS Mortgage Securities Trust 2015-GC34 4.650%   10/10/48 12,080   11,883  
4 GS Mortgage Securities Trust 2016-GS3 2.850%   10/10/49 11,930   12,769  
4 GS Mortgage Securities Trust 2017-GS6 3.433%   5/10/50 13,006   14,538  
4 GS Mortgage Securities Trust 2018-GS10 4.155%   7/10/51 8,565   10,188  
4 GS Mortgage Securities Trust 2018-GS9 3.992%   3/10/51 4,990   5,781  
4 GS Mortgage Securities Trust 2019-GC40 3.160%   7/10/52 3,920   4,404  
4 GS Mortgage Securities Trust 2019-GS4 3.001%   9/1/52 14,800   16,497  
4 GS Mortgage Securities Trust 2020-GC45 2.911%   2/13/53 4,625   5,130  
4,7 Hardee's Funding HNGRY 2018-1A 5.710%   6/20/48 24,857   25,440  
4,7 Harley Marine Financing LLC Barge 2018-1 5.682%   5/15/43 17,511   15,869  
4 Harley-Davidson Motorcycle Trust 2019-A 2.340%   2/15/24 40,800   41,635  
4 Harley-Davidson Motorcycle Trust 2019-A 2.390%   11/15/26 9,060   9,405  
4 Harley-Davidson Motorcycle Trust 2020-A 1.870%   10/15/24 25,690   26,226  
4 Harley-Davidson Motorcycle Trust 2020-A 1.930%   4/15/27 8,270   8,545  
4,7 Hertz Fleet Lease Funding LP 2018-1 3.230%   5/10/32 20,446   20,660  
4,7 Hertz Vehicle Financing II LP 2015-3A 2.670%   9/25/21 4,599   4,594  
4,7 Hertz Vehicle Financing II LP 2016-2A 2.950%   3/25/22 10,021   10,010  
4,7 Hilton USA Trust 2016-HHV 3.719%   11/5/38 3,950   4,150  
4 Honda Auto Receivables 2018-3 Owner Trust 3.070%   11/21/24 5,460   5,667  
4 Honda Auto Receivables 2018-4 Owner Trust 3.300%   7/15/25 7,720   8,091  
4 Honda Auto Receivables 2019-1 Owner Trust 2.900%   6/18/24 7,470   7,824  
4 Honda Auto Receivables 2019-3 Owner Trust 1.850%   8/15/25 12,600   12,997  
4 Honda Auto Receivables 2020-1 Owner Trust 1.630%   10/21/26 23,040   23,772  
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087%   3/5/37 40,670   41,378  
4,7 HPEFS Equipment Trust 2019-1 2.210%   9/20/29 2,300   2,339  
4,7 HPEFS Equipment Trust 2019-1 2.320%   9/20/29 6,820   6,937  
4,7 HPEFS Equipment Trust 2019-1 2.490%   9/20/29 3,800   3,843  
4,7 HPEFS Equipment Trust 2019-1 2.720%   9/20/29 1,700   1,709  
4,7 HPEFS Equipment Trust 2020-1A 1.760%   2/20/30 20,400   20,783  
4,7 HPEFS Equipment Trust 2020-1A 1.890%   2/20/30 8,400   8,534  
4,7 Hudson Yards 2019-30HY 3.228%   7/10/39 11,750   13,248  
4,7 Hudsons Bay Simon JV Trust 2015-HB7 3.914%   8/5/34 14,750   12,115  
4 Hyundai Auto Receivables Trust 2019-A 2.940%   5/15/25 5,655   5,964  
4 Hyundai Auto Receivables Trust 2019-B 1.940%   2/15/24 44,700   45,797  
4 Hyundai Auto Receivables Trust 2019-B 2.000%   4/15/25 12,600   13,094  
4 Hyundai Auto Receivables Trust 2019-B 2.210%   4/15/25 3,600   3,763  
4 Hyundai Auto Receivables Trust 2020-B 0.940%   12/15/25 3,870   3,875  
4 Hyundai Auto Receivables Trust 2020-B 1.600%   12/15/26 4,840   4,860  
4,7 Hyundai Floorplan Master Owner Trust Series 2019-1A 2.680%   4/15/24 17,400   17,793  
4,6,7 Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 0.850% 1.025%   12/17/36 26,613   26,269  
4,6,7 Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 1.150% 1.325%   12/17/36 9,957   9,850  
4,6,7 Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.700% 0.881%   3/17/37 36,775   36,023  
4,6,7 Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.950% 1.131%   3/17/37 9,890   9,689  
4,7 Irvine Core Office Trust 2013-IRV 3.173%   5/15/48 14,791   15,407  
4,7 Jackson Park Trust 2019-LIC 2.766%   10/14/39 17,540   18,756  
4 John Deere Owner Trust 2018-B 3.230%   6/16/25 10,350   10,757  
4 John Deere Owner Trust 2019-B 2.320%   5/15/26 9,460   9,858  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 4.070%   11/15/43 1,466   1,468  

 

 7 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 5.649%   11/15/43 6,225   6,206  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 5.649%   11/15/43 7,100   7,078  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 4.717%   2/15/46 17,165   17,293  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 5.425%   8/15/46 4,100   4,224  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1 4.717%   3/16/46 2,778   2,797  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 3.507%   5/15/45 12,691   13,134  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 2.829%   10/15/45 9,543   9,818  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 3.424%   10/15/45 4,030   4,053  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX 4.271%   6/15/45 27,000   28,174  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC 3.093%   7/5/32 5,428   5,553  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 2.840%   12/15/47 31,910   32,847  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 3.994%   1/15/46 13,421   14,404  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 4.078%   1/15/46 9,350   9,373  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 3.674%   12/15/46 6,171   6,448  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 3.881%   12/15/46 2,330   2,495  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.166%   12/15/46 14,880   16,202  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.517%   12/15/46 14,600   15,452  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.962%   12/15/46 21,150   22,481  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 5.027%   12/15/46 9,770   9,753  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 2.960%   4/15/46 15,186   15,835  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 3.461%   7/15/47 23,626   24,553  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 2.870%   8/15/49 18,116   19,626  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP5 3.723%   3/15/50 27,470   31,291  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.224%   7/15/50 16,690   18,455  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.490%   7/15/50 24,297   27,408  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 3.454%   9/15/50 10,675   12,056  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 3.664%   7/15/45 17,866   18,974  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 4.039%   7/15/45 7,520   7,951  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 3.761%   8/15/46 10,655   11,084  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 4.133%   8/15/46 13,870   14,951  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 3.659%   11/15/45 2,539   2,656  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 4.131%   11/15/45 27,200   29,591  

 

 8 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 4.927%   11/15/45 17,820   18,860  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 5.199%   11/15/45 13,495   13,463  
4 JPMBB Commercial Mortgage Securities Trust 2013-C17 4.199%   1/15/47 22,860   24,979  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.079%   2/15/47 28,340   30,776  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.439%   2/15/47 12,950   13,690  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.810%   2/15/47 13,200   13,710  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.810%   2/15/47 5,850   5,768  
4 JPMBB Commercial Mortgage Securities Trust 2014-C19 3.997%   4/15/47 1,975   2,150  
4 JPMBB Commercial Mortgage Securities Trust 2014-C24 3.639%   11/15/47 10,982   11,864  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.231%   1/15/48 28,373   30,385  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.494%   1/15/48 48,489   52,895  
4 JPMBB Commercial Mortgage Securities Trust 2015-C27 3.179%   2/15/48 17,150   18,357  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 3.551%   7/15/48 23,680   25,837  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 3.822%   7/15/48 51,660   57,632  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 4.226%   7/15/48 15,901   17,389  
4 JPMBB Commercial Mortgage Securities Trust 2015-C31 3.801%   8/15/48 21,082   23,377  
4 JPMBB Commercial Mortgage Securities Trust 2015-C32 3.598%   11/15/48 12,364   13,561  
4 JPMBB Commercial Mortgage Securities Trust 2015-C33 3.770%   12/15/48 22,187   24,851  
4 JPMDB Commercial Mortgage Securities Trust 2016-C4 3.141%   12/15/49 6,430   7,061  
4 JPMDB Commercial Mortgage Securities Trust 2017-C7 3.409%   10/15/50 5,693   6,419  
4 JPMDB Commercial Mortgage Securities Trust 2018-C8 4.211%   6/15/51 8,500   10,032  
4,7 Kubota Credit Owner Trust 2018-1 3.210%   1/15/25 5,840   6,058  
4,6,7 Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420% 0.778%   12/22/69 16,443   16,442  
4,6 Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% 0.778%   12/22/69 7,577   7,524  
4,7 Lanark Master Issuer plc 2020-1A 2.277%   12/22/69 9,405   9,550  
4,7 Laurel Road Prime Student Loan Trust 2018-B 3.540%   5/26/43 20,492   20,994  
4,7 LCCM Mortgage Trust 2014-A 3.388%   5/15/31 18,640   18,736  
4 MASTR Adjustable Rate Mortgages Trust 2004-3 3.530%   4/25/34 342   313  
4 Mercedes-Benz Auto Lease Trust 2020-A 1.880%   9/15/25 16,940   17,301  
4 Mercedes-Benz Auto Receivables Trust 2019-1 2.040%   1/15/26 17,140   17,805  
4,7 Mercedes-Benz Master Owner Trust 2019-B 2.610%   5/15/24 63,730   65,158  
4 Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2 1.867%   2/25/33 515   486  
4 Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A4 3.734%   7/25/33 279   265  
4,7 MMAF Equipment Finance LLC 2015-AA 2.490%   2/19/36 20,773   21,196  
4,7 MMAF Equipment Finance LLC 2018-A 3.390%   1/10/25 6,680   7,000  
4,7 MMAF Equipment Finance LLC 2018-A 3.610%   3/10/42 3,580   3,897  
4,7 MMAF Equipment Finance LLC 2019-A 3.080%   11/12/41 6,400   6,948  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 3.176%   8/15/45 21,548   22,223  

 

 9 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 )

Market
Value
($000

 )
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 3.792%   8/15/45 2,000   2,062  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 2.858%   11/15/45 4,726   4,854  
4,7 Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV 3.277%   10/15/30 34,485   28,330  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 4.082%   7/15/46 28,493   30,594  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 4.082%   7/15/46 3,372   3,187  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 3.960%   8/15/46 8,093   8,531  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 4.153%   8/15/46 24,216   26,174  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 3.824%   10/15/46 4,773   4,941  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 4.259%   10/15/46 3,830   4,117  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 4.039%   11/15/46 8,300   8,997  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 2.918%   2/15/46 6,400   6,614  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 3.214%   2/15/46 2,940   3,013  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 3.102%   5/15/46 27,425   28,769  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.064%   2/15/47 16,600   17,872  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.384%   2/15/47 17,500   18,792  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 3.773%   4/15/47 36,290   39,318  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 4.051%   4/15/47 11,920   13,048  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 4.907%   4/15/47 1,895   1,853  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 3.892%   6/15/47 21,398   23,277  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.094%   6/15/47 9,540   10,149  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.336%   6/15/47 22,920   24,151  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.769%   6/15/47 12,300   9,311  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 3.741%   8/15/47 16,794   18,181  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 4.011%   8/15/47 7,460   7,935  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 3.923%   10/15/47 13,400   14,658  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.326%   12/15/47 15,378   16,096  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.526%   12/15/47 23,220   25,062  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.069%   2/15/48 19,812   20,515  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.249%   2/15/48 37,941   40,491  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.451%   7/15/50 9,540   10,291  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.719%   7/15/50 18,458   20,485  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 3.479%   5/15/48 20,280   22,257  

   

 10 

 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 3.635%   10/15/48 8,498   9,423  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 3.325%   5/15/49 28,089   30,748  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 4.746%   5/15/49 2,210   2,038  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 3.720%   12/15/49 62,449   70,383  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 3.536%   11/15/52 19,660   22,058  
4 Morgan Stanley Capital I Trust 2012-C4 3.244%   3/15/45 16,052   16,350  
4 Morgan Stanley Capital I Trust 2012-C4 3.773%   3/15/45 2,500   2,530  
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201%   8/5/34 17,287   17,294  
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912%   9/9/32 27,955   30,189  
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350%   7/13/29 24,440   25,027  
4,7 Morgan Stanley Capital I Trust 2015-420 3.727%   10/12/50 28,264   30,340  
4 Morgan Stanley Capital I Trust 2015-UBS8 3.809%   12/15/48 41,942   46,429  
4 Morgan Stanley Capital I Trust 2015-UBS8 4.584%   12/15/48 11,440   9,226  
4 Morgan Stanley Capital I Trust 2016-BNK2 3.049%   11/15/49 11,960   13,044  
4 Morgan Stanley Capital I Trust 2016-UB11 2.782%   8/15/49 22,321   23,937  
4 Morgan Stanley Capital I Trust 2016-UBS9 3.594%   3/15/49 20,170   22,319  
4 Morgan Stanley Capital I Trust 2017-HR2 3.509%   12/15/50 5,420   5,938  
4 Morgan Stanley Capital I Trust 2017-HR2 3.587%   12/15/50 6,765   7,636  
4 Morgan Stanley Capital I Trust 2018-H4 4.247%   12/15/51 4,440   5,123  
4 Morgan Stanley Mortgage Loan Trust 2006-8AR 3.226%   6/25/36 2,755   2,559  
4,6,7 Motor plc 2017-1A, 1M USD LIBOR + 0.530% 0.702%   9/25/24 1,707   1,708  
4,6,7 Navient Student Loan Trust 2016-2, 1M USD LIBOR + 1.050% 1.222%   6/25/65 966   966  
4,6,7 Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850% 1.022%   6/25/65 1,104   1,104  
4,6,7 Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750% 0.922%   3/25/66 25,938   25,854  
4,7 Navient Student Loan Trust 2017-A 2.880%   12/16/58 14,398   14,727  
4,7 Navient Student Loan Trust 2018-BA 3.430%   12/15/59 12,505   12,564  
4,7 Navient Student Loan Trust 2018-BA 3.610%   12/15/59 12,954   13,471  
4,7 Navient Student Loan Trust 2018-BA 4.000%   12/15/59 63,650   66,430  
4,7 Navient Student Loan Trust 2018-CA 3.520%   6/16/42 54,450   56,214  
4,7 Navient Student Loan Trust 2018-DA 4.000%   12/15/59 38,720   41,338  
4,7 Navient Student Loan Trust 2019-B 3.390%   12/15/59 17,930   18,971  
6 New Mexico Educational Assistance Foundation, 1M USD LIBOR + 0.700% 0.871%   1/2/25 7,251   7,231  
4 Nissan Auto Lease Trust 2020-A 1.840%   1/17/23 14,440   14,652  
4 Nissan Auto Receivables 2019-A Owner Trust 3.160%   12/16/24 10,430   10,947  
4 Nissan Auto Receivables 2019-A Owner Trust 3.000%   9/15/25 7,290   7,706  
4 Nissan Auto Receivables 2019-B Owner Trust 2.540%   12/15/25 20,100   21,202  
4,7 One Bryant Park 2019 - OBP A 2.516%   9/15/54 17,640   18,781  
4,7 Palisades Center Trust 2016-PLSD 2.713%   4/13/33 8,360   5,979  
4,6,7 Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880% 1.057%   1/16/60 11,063   11,021  
4,6,7 Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 0.350% 1.187%   6/20/60 7,366   7,308  
4,6,7 Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950% 1.137%   8/18/60 5,505   5,481  
4,6,7 Permanent Master Issuer plc 2018-1A, 3M USD LIBOR + 0.380% 0.655%   7/15/58 3,050   3,046  
4,7 PFS Financing Corp. 2017-D 2.400%   10/17/22 21,050   21,122  
4,7 PFS Financing Corp. 2020-A 1.270%   6/15/25 29,400   29,634  
4,7 PFS Financing Corp. 2020-B 1.210%   6/15/24 17,600   17,699  
4,6,7 PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950% 1.122%   11/25/65 20,840   20,356  
4,7 Progress Residential 2017-SFR2 Trust 2.897%   12/17/34 15,511   15,575  
4,7 Progress Residential 2017-SFR2 Trust 3.196%   12/17/34 4,030   4,060  
4,7 Progress Residential 2018-SFR1 Trust 3.255%   3/17/35 17,796   17,994  
4,7 Progress Residential 2018-SFR1 Trust 3.484%   3/17/35 2,220   2,246  

 

 11 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 
    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4,7 Progress Residential 2018-SFR3 Trust 3.880%   10/17/35 23,335   24,058  
4,7 Progress Residential 2020-SFR2 Trust 2.078%   6/18/37 3,717   3,798  
4 Public Service New Hampshire Funding LLC 2018-1 3.094%   2/1/26 5,486   5,705  
4,6,7 Resimac Premier Series 2018-1A, 1M USD LIBOR + 0.800% 0.988%   11/10/49 13,578   13,537  
4,6,7 Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850% 1.014%   12/5/59 12,484   12,439  
4,6,7 Resimac Premier Series 2018-2, 1M USD LIBOR + 0.850% 1.038%   4/10/50 2,810   2,795  
4 RFMSI Series 2006-SA2 Trust 4.771%   8/25/36 8,388   7,140  
4 RFMSI Series 2006-SA3 Trust 5.082%   9/25/36 3,361   2,843  
4 Santander Drive Auto Receivables Trust 2017-3 2.760%   12/15/22 2,563   2,573  
4 Santander Drive Auto Receivables Trust 2018-1 2.960%   3/15/24 21,070   21,237  
4 Santander Drive Auto Receivables Trust 2018-1 3.320%   3/15/24 19,330   19,803  
4 Santander Drive Auto Receivables Trust 2018-3 4.070%   8/15/24 40,900   42,651  
4 Santander Drive Auto Receivables Trust 2018-4 3.980%   12/15/25 21,750   22,985  
4 Santander Drive Auto Receivables Trust 2018-5 4.190%   12/16/24 35,530   36,719  
4 Santander Drive Auto Receivables Trust 2020-2 0.960%   11/15/24 9,560   9,565  
4 Santander Drive Auto Receivables Trust 2020-2 1.460%   9/15/25 18,750   18,786  
4 Santander Drive Auto Receivables Trust 2020-2 2.220%   9/15/26 25,830   25,932  
4,7 Santander Retail Auto Lease Trust 2018-A 3.490%   5/20/22 21,865   22,057  
4,7 Santander Retail Auto Lease Trust 2020-A 1.740%   7/20/23 102,700   104,422  
4,7 Santander Retail Auto Lease Trust 2020-A 1.760%   3/20/24 29,990   30,805  
4,7 Santander Retail Auto Lease Trust 2020-A 2.520%   11/20/24 15,340   15,034  
4,7 Securitized Term Auto Receivables Trust 2018-1A 3.298%   11/25/22 5,360   5,488  
4,7 Securitized Term Auto Receivables Trust 2018-2A 3.544%   6/26/23 6,450   6,648  
4,7 SLM Private Education Loan Trust 2013-B 3.000%   5/16/44 2,216   2,219  
4,7 SLM Private Education Loan Trust 2014-A 3.500%   11/15/44 4,100   4,159  
4 SMART ABS Series 2016-2US Trust 2.050%   12/14/22 3,397   3,403  
4,7 SMB Private Education Loan Trust 2016-A 2.700%   5/15/31 7,209   7,325  
4,6,7 SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.500% 1.625%   2/17/32 6,766   6,797  
4,6,7 SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100% 1.275%   9/15/34 7,763   7,719  
4,6,7 SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900% 1.075%   9/15/34 10,666   10,555  
4,7 SMB Private Education Loan Trust 2017-B 2.820%   10/15/35 14,825   15,200  
4,7 SMB Private Education Loan Trust 2018-A 3.500%   2/15/36 49,876   52,021  
4,7 SMB Private Education Loan Trust 2018-B 3.600%   1/15/37 19,596   20,328  
4,7 SMB Private Education Loan Trust 2018-C 3.630%   11/15/35 23,926   24,875  
4,7 SoFi Professional Loan Program 2016-B LLC 2.740%   10/25/32 3,558   3,597  
4,7 SoFi Professional Loan Program 2016-C LLC 2.360%   12/27/32 3,310   3,321  
4,7 SoFi Professional Loan Program 2016-D LLC 2.340%   4/25/33 4,074   4,126  
4,6,7 SoFi Professional Loan Program 2016-D LLC, 1M USD LIBOR + 0.950% 1.122%   1/25/39 1,202   1,191  
4,7 SoFi Professional Loan Program 2017-A LLC 2.400%   3/26/40 1,256   1,270  
4,7 SoFi Professional Loan Program 2017-B LLC 2.740%   5/25/40 8,390   8,519  
4,6,7 SoFi Professional Loan Program 2017-C LLC, 1M USD LIBOR + 0.600% 0.772%   7/25/40 677   674  
4,7 SoFi Professional Loan Program 2017-D LLC 2.650%   9/25/40 9,044   9,251  
4,7 SoFi Professional Loan Program 2017-E LLC 2.720%   11/26/40 14,840   15,085  
4,7 SoFi Professional Loan Program 2017-F LLC 2.840%   1/25/41 11,278   11,533  
4,7 SoFi Professional Loan Program 2018-A LLC 2.390%   2/25/42 2,740   2,740  
4,7 SoFi Professional Loan Program 2018-A LLC 2.950%   2/25/42 15,490   15,957  
4,7 SoFi Professional Loan Program 2018-B LLC 3.340%   8/25/47 27,178   28,034  
4,7 SoFi Professional Loan Program 2018-C LLC 3.590%   1/25/48 34,620   36,495  
4,7 SoFi Professional Loan Program 2018-D LLC 3.600%   2/25/48 41,350   43,406  
4,7 SoFi Professional Loan Program 2019-B LLC 3.090%   8/17/48 16,050   16,744  
4,7 SoFi Professional Loan Program 2020-A LLC 2.060%   5/15/46 45,716   46,077  
4,7 Stack Infrastructure Issuer LLC 2019-1A 4.540%   2/25/44 12,631   13,078  
4 Synchrony Card Issuance Trust 2018-A1 3.380%   9/15/24 10,280   10,574  
4 Synchrony Card Issuance Trust 2019-2A 2.340%   6/15/25 45,993   47,317  
4 Synchrony Credit Card Master Note Trust 2016-2 2.950%   5/15/24 10,715   10,768  
4 Synchrony Credit Card Master Note Trust 2017-2 2.620%   10/15/25 66,395   68,682  

 

 12 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Synchrony Credit Card Master Note Trust 2017-2 2.820%   10/15/25 9,688   9,884  
4 Synchrony Credit Card Master Note Trust 2017-2 3.010%   10/15/25 13,000   13,177  
4,7 Taco Bell Funding LLC 2016-1A 4.377%   5/25/46 8,297   8,692  
4,7 Taco Bell Funding LLC 2016-1A 4.970%   5/25/46 5,291   5,595  
4,7 Tesla Auto Lease Trust 2018-A 2.160%   10/20/22 45,600   46,737  
4,7 Tesla Auto Lease Trust 2018-A 2.200%   11/21/22 11,600   11,952  
4,7 Tesla Auto Lease Trust 2018-B 4.120%   10/20/21 10,750   11,053  
4,7 Tesla Auto Lease Trust 2018-B 4.360%   10/20/21 10,340   10,612  
4,7 Tesla Auto Lease Trust 2020-A 0.780%   12/20/23 3,620   3,619  
4,7 Tesla Auto Lease Trust 2020-A 1.180%   1/22/24 5,960   5,959  
4,7 Tesla Auto Lease Trust 2020-A 1.680%   2/20/24 3,000   3,000  
4,7 Textainer Marine Containers Limited 2019-A 3.960%   4/20/44 10,008   10,205  
4,7 Tidewater Auto Receivables Trust 2018-AA 3.450%   11/15/24 3,337   3,355  
4,7 Tidewater Auto Receivables Trust 2018-AA 3.840%   11/15/24 6,913   7,061  
4,7 Tidewater Auto Receivables Trust 2018-AA 4.300%   11/15/24 2,059   2,104  
4,7 TMSQ 2014-1500 Mortgage Trust 3.680%   10/10/36 24,260   25,937  
4,7 Toyota Auto Loan Extended Note Trust 2019-1 2.560%   11/25/31 2,640   2,819  
4,7 Toyota Auto Loan Extended Note Trust 2020-1 1.350%   5/25/33 41,600   42,698  
4 Toyota Auto Receivables 2018-A Owner Trust 2.520%   5/15/23 7,287   7,468  
4 Toyota Auto Receivables 2019-A Owner Trust 3.000%   5/15/24 4,880   5,158  
4 Toyota Auto Receivables 2019-C Owner Trust 1.910%   9/15/23 19,050   19,475  
4 Toyota Auto Receivables 2019-D Owner Trust 1.990%   2/18/25 9,410   9,792  
4 Toyota Auto Receivables 2020-A Owner Trust 1.680%   5/15/25 29,200   30,162  
4,7 Trafigura Securitisation Finance plc 2018-1A 3.730%   3/15/22 49,490   50,024  
4,7 Trinity Rail Leasing LP 2018-1A 4.620%   6/17/48 21,060   22,231  
4,7 Trip Rail Master Funding LLC 2017-1A 2.709%   8/15/47 1,436   1,431  
4,7 Triton Container Finance LLC 2018-A2 4.190%   6/22/43 25,658   25,665  
4 UBS Commercial Mortgage Trust 2012-C1 4.171%   5/10/45 1,250   1,296  
4 UBS Commercial Mortgage Trust 2017-C7 3.679%   12/15/50 26,115   29,748  
4 UBS Commercial Mortgage Trust 2019-C16 3.460%   4/15/52 5,849   6,503  
4,7 UBS-BAMLL Trust 2012-WRM 3.663%   6/10/30 25,038   25,976  
4 UBS-Barclays Commercial Mortgage Trust 2012-C4 2.850%   12/10/45 9,054   9,377  
4 UBS-Barclays Commercial Mortgage Trust 2013-C6 3.244%   4/10/46 7,560   7,883  
4 UBS-Barclays Commercial Mortgage Trust 2013-C6 3.469%   4/10/46 2,304   2,353  
4 USAA Auto Owner Trust 2019-1 2.160%   7/17/23 12,220   12,385  
4,7 Vantage Data Centers LLC 2018-1A 4.072%   2/16/43 15,335   15,754  
4,7 Vantage Data Centers LLC 2019-1A 3.188%   7/15/44 5,945   5,984  
4 Verizon Owner Trust 2020-A 1.850%   7/22/24 83,526   85,752  
4 Verizon Owner Trust 2020-A 1.980%   7/22/24 16,635   16,768  
4,7 VNDO 2012-6AVE Mortgage Trust 2.996%   11/15/30 13,561   13,977  
4,7 VNDO 2013-PENN Mortgage Trust 3.808%   12/13/29 11,130   11,144  
4,7 VNDO 2013-PENN Mortgage Trust 3.947%   12/13/29 3,270   3,270  
4,7 VNDO 2013-PENN Mortgage Trust 3.947%   12/13/29 2,450   2,438  
4 Volkswagen Auto Loan Enhanced Trust 2018-1 3.150%   7/22/24 6,970   7,236  
4 Volkswagen Auto Loan Enhanced Trust 2018-2 3.330%   2/20/25 8,910   9,359  
4 WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust 4.016%   1/25/33 93   86  
4 WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust 2.681%   8/25/33 336   324  
4 WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust 4.302%   9/25/33 601   566  
4 Wells Fargo Commercial Mortgage Trust 2012-LC5 2.918%   10/15/45 26,438   27,239  
4 Wells Fargo Commercial Mortgage Trust 2012-LC5 3.539%   10/15/45 1,650   1,697  
4 Wells Fargo Commercial Mortgage Trust 2013-LC12 3.928%   7/15/46 5,435   5,672  
4 Wells Fargo Commercial Mortgage Trust 2013-LC12 4.218%   7/15/46 35,662   38,455  
4 Wells Fargo Commercial Mortgage Trust 2013-LC12 4.276%   7/15/46 4,906   5,198  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 3.817%   8/15/50 33,030   35,805  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.020%   8/15/50 7,100   7,572  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.322%   8/15/50 12,250   12,889  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.458%   8/15/50 6,830   6,607  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.405%   12/15/47 31,300   34,043  
4 Wells Fargo Commercial Mortgage Trust 2015-C27 3.190%   2/15/48 31,074   33,247  
4 Wells Fargo Commercial Mortgage Trust 2015-C29 3.637%   6/15/48 55,212   60,988  
4 Wells Fargo Commercial Mortgage Trust 2015-C29 4.216%   6/15/48 12,420   12,039  

 

 13 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Wells Fargo Commercial Mortgage Trust 2015-C30 3.411%   9/15/58 20,694   22,692  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 3.664%   9/15/58 20,610   22,871  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 4.067%   9/15/58 17,222   18,908  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 4.498%   9/15/58 11,490   11,263  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 3.839%   9/15/58 23,212   25,883  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 4.207%   9/15/58 8,550   9,398  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 4.536%   9/15/58 14,300   14,011  
4 Wells Fargo Commercial Mortgage Trust 2016-BNK1 2.652%   8/15/49 8,255   8,796  
4 Wells Fargo Commercial Mortgage Trust 2016-C32 3.560%   1/15/59 35,600   39,368  
4 Wells Fargo Commercial Mortgage Trust 2016-C37 3.525%   12/15/49 9,590   10,605  
4 Wells Fargo Commercial Mortgage Trust 2017-C38 3.453%   7/15/50 15,680   17,657  
4 Wells Fargo Commercial Mortgage Trust 2017-C39 3.157%   9/15/50 5,750   6,305  
4 Wells Fargo Commercial Mortgage Trust 2017-C40 3.581%   10/15/50 45,250   51,209  
4 Wells Fargo Commercial Mortgage Trust 2017-C41 3.472%   11/15/50 39,807   44,813  
4 Wells Fargo Commercial Mortgage Trust 2017-C42 3.589%   12/15/50 12,935   14,708  
4 Wells Fargo Commercial Mortgage Trust 2017-RC1 3.631%   1/15/60 7,660   8,633  
4 Wells Fargo Commercial Mortgage Trust 2018-C43 4.514%   3/15/51 5,973   5,534  
4 Wells Fargo Commercial Mortgage Trust 2018-C46 4.152%   8/15/51 14,035   16,538  
4 Wells Fargo Commercial Mortgage Trust 2018-C47 4.365%   9/15/61 22,110   25,562  
4 Wells Fargo Commercial Mortgage Trust 2018-C47 4.442%   9/15/61 17,740   21,290  
4 Wells Fargo Commercial Mortgage Trust 2018-C48 4.245%   1/15/52 6,553   7,542  
4 Wells Fargo Commercial Mortgage Trust 2019-C49 3.933%   3/15/52 7,894   9,064  
4 Wells Fargo Commercial Mortgage Trust 2019-C50 3.635%   5/15/52 10,300   11,684  
4 Wells Fargo Commercial Mortgage Trust 2019-C54 3.146%   12/15/52 18,770   21,143  
4 Wells Fargo Mortgage Backed Securities 2006-AR14 Trust 4.524%   10/25/36 4,405   4,090  
4,7 Wendys Funding LLC 2018-1 3.573%   3/15/48 6,328   6,533  
4,7 WFLD 2014-MONT Mortgage Trust 3.755%   8/10/31 35,485   34,333  
4,7 WFRBS Commercial Mortgage Trust 2011-C3 4.375%   3/15/44 11,142   11,300  
4 WFRBS Commercial Mortgage Trust 2012-C10 2.875%   12/15/45 10,955   11,306  
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431%   6/15/45 11,800   12,065  
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090%   6/15/45 5,056   5,207  
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001%   8/15/45 4,491   4,609  
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870%   11/15/45 21,367   21,936  
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388%   11/15/45 2,860   2,955  
4 WFRBS Commercial Mortgage Trust 2013-C13 3.345%   5/15/45 2,230   2,301  
4 WFRBS Commercial Mortgage Trust 2013-C15 3.720%   8/15/46 13,617   14,122  
4 WFRBS Commercial Mortgage Trust 2013-C15 4.153%   8/15/46 14,980   16,068  
4 WFRBS Commercial Mortgage Trust 2013-C16 4.415%   9/15/46 14,650   15,974  
4 WFRBS Commercial Mortgage Trust 2013-C17 3.558%   12/15/46 2,390   2,484  
4 WFRBS Commercial Mortgage Trust 2013-C17 4.023%   12/15/46 9,770   10,577  
4 WFRBS Commercial Mortgage Trust 2013-C18 3.676%   12/15/46 4,749   4,936  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.162%   12/15/46 27,830   30,375  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.688%   12/15/46 5,775   6,180  
4 WFRBS Commercial Mortgage Trust 2014-C19 3.829%   3/15/47 19,900   21,386  
4 WFRBS Commercial Mortgage Trust 2014-C19 4.101%   3/15/47 23,553   25,767  
4 WFRBS Commercial Mortgage Trust 2014-C20 3.995%   5/15/47 22,461   24,307  
4 WFRBS Commercial Mortgage Trust 2014-C20 4.378%   5/15/47 11,110   11,657  
4 WFRBS Commercial Mortgage Trust 2014-C20 4.513%   5/15/47 4,500   3,933  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.410%   8/15/47 1,706   1,811  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.678%   8/15/47 45,404   49,325  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.891%   8/15/47 7,130   7,713  
4 WFRBS Commercial Mortgage Trust 2014-C21 4.234%   8/15/47 12,290   11,781  
4 WFRBS Commercial Mortgage Trust 2014-C23 3.650%   10/15/57 12,363   13,256  
4 WFRBS Commercial Mortgage Trust 2014-C23 3.917%   10/15/57 10,655   11,749  
4 WFRBS Commercial Mortgage Trust 2014-C24 3.607%   11/15/47 17,438   18,965  
4 WFRBS Commercial Mortgage Trust 2014-LC14 3.766%   3/15/47 2,690   2,870  
4 WFRBS Commercial Mortgage Trust 2014-LC14 4.045%   3/15/47 37,269   40,668  
4 World Omni Auto Receivables Trust 2018-A 2.890%   4/15/25 8,670   8,931  
4 World Omni Auto Receivables Trust 2018-D 3.440%   12/16/24 3,660   3,902  
4 World Omni Auto Receivables Trust 2019-A 3.220%   6/16/25 6,060   6,432  
4 World Omni Auto Receivables Trust 2019-B 2.860%   6/16/25 5,210   5,467  
4 World Omni Auto Receivables Trust 2020-B 1.220%   3/16/26 4,350   4,365  

 

 14 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 World Omni Automobile Lease Securitization Trust 2019-B 2.030%   11/15/22 33,750   34,459  
4 World Omni Automobile Lease Securitization Trust 2019-B 3.240%   7/15/24 7,630   7,783  
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $10,516,902)   10,931,519  
Corporate Bonds (69.7%)  
Finance (28.3%)  
  Banking (24.1%)  
8 ABN AMRO Bank NV 6.375%   4/27/21 14,550   17,908  
  Ally Financial Inc. 4.125%   2/13/22 7,230   7,501  
  Ally Financial Inc. 4.625%   5/19/22 4,800   5,058  
  Ally Financial Inc. 5.750%   11/20/25 4,850   5,474  
  American Express Co. 3.700%   11/5/21 72,400   75,202  
  American Express Co. 2.750%   5/20/22 34,000   35,321  
  American Express Co. 3.700%   8/3/23 168,248   183,183  
  American Express Co. 3.400%   2/22/24 19,400   21,196  
  American Express Co. 2.500%   7/30/24 47,390   50,547  
  American Express Credit Corp. 2.250%   5/5/21 5,978   6,055  
  Australia & New Zealand Banking Group Ltd. 2.625%   11/9/22 37,465   39,348  
4,7 Australia & New Zealand Banking Group Ltd. 2.950%   7/22/30 14,550   15,083  
6,9 Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.700% 2.798%   5/17/26 8,750   6,318  
7 Banco Santander Chile 2.500%   12/15/20 82,290   82,544  
  Banco Santander SA 3.125%   2/23/23 20,400   21,429  
  Banco Santander SA 2.706%   6/27/24 78,400   83,610  
  Banco Santander SA 2.746%   5/28/25 38,040   40,146  
6,9 Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% 1.750%   1/19/23 14,400   10,203  
7 Banco Votorantim SA 4.375%   7/29/25 3,971   3,976  
4 Bank of America Corp. 2.328%   10/1/21 83,670   83,928  
4 Bank of America Corp. 2.738%   1/23/22 34,000   34,358  
4,8 Bank of America Corp. 0.736%   2/7/22 14,550   17,190  
4 Bank of America Corp. 3.499%   5/17/22 58,972   60,297  
4 Bank of America Corp. 3.124%   1/20/23 44,075   45,619  
4 Bank of America Corp. 2.816%   7/21/23 19,500   20,320  
4 Bank of America Corp. 3.004%   12/20/23 99,768   104,955  
  Bank of America Corp. 4.125%   1/22/24 48,795   54,442  
4 Bank of America Corp. 3.550%   3/5/24 156,731   167,644  
  Bank of America Corp. 4.000%   4/1/24 14,195   15,853  
4 Bank of America Corp. 3.864%   7/23/24 23,000   25,060  
  Bank of America Corp. 4.200%   8/26/24 15,240   16,991  
  Bank of America Corp. 4.000%   1/22/25 14,900   16,639  
4 Bank of America Corp. 3.458%   3/15/25 9,700   10,597  
4 Bank of America Corp. 2.456%   10/22/25 19,250   20,388  
4 Bank of America Corp. 3.366%   1/23/26 6,133   6,769  
4 Bank of America Corp. 2.015%   2/13/26 24,350   25,357  
4 Bank of America Corp. 1.319%   6/19/26 47,655   48,191  
  Bank of Montreal 2.900%   3/26/22 41,265   42,974  
  Bank of Montreal 3.300%   2/5/24 134,729   146,945  
4 Bank of Montreal 4.338%   10/5/28 12,230   13,117  
  Bank of New York Mellon Corp. 1.950%   8/23/22 5,000   5,163  
  Bank of New York Mellon Corp. 1.850%   1/27/23 31,320   32,373  
  Bank of New York Mellon Corp. 2.950%   1/29/23 21,560   22,889  
4 Bank of New York Mellon Corp. 2.661%   5/16/23 4,850   5,037  
  Bank of New York Mellon Corp. 3.450%   8/11/23 80,977   88,305  
  Bank of New York Mellon Corp. 3.650%   2/4/24 16,500   18,180  
  Bank of New York Mellon Corp. 3.400%   5/15/24 19,330   21,379  
  Bank of New York Mellon Corp. 2.100%   10/24/24 1,300   1,380  
  Bank of New York Mellon Corp. 3.000%   2/24/25 9,200   10,131  
  Bank of New York Mellon Corp. 1.600%   4/24/25 37,300   38,943  
  Bank of Nova Scotia 1.950%   2/1/23 103,170   106,532  
  Bank of Nova Scotia 2.200%   2/3/25 48,440   51,257  

 

 15 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Bank of Nova Scotia 1.300%   6/11/25 26,610   27,154  
10 Banque Federative du Credit Mutuel SA 1.375%   12/20/21 17,600   23,301  
7 Banque Federative du Credit Mutuel SA 2.700%   7/20/22 27,015   28,103  
7 Banque Federative du Credit Mutuel SA 2.125%   11/21/22 44,250   45,743  
7 Banque Federative du Credit Mutuel SA 3.750%   7/20/23 69,105   75,101  
10 Barclays Bank plc 10.000%   5/21/21 47,365   66,325  
  Barclays plc 3.684%   1/10/23 4,260   4,416  
4 Barclays plc 4.610%   2/15/23 11,150   11,729  
4 Barclays plc 3.932%   5/7/25 36,000   39,244  
4 Barclays plc 2.852%   5/7/26 48,500   51,218  
4,7 BNP Paribas SA 2.819%   11/19/25 16,945   17,977  
4,7 BNP Paribas SA 2.219%   6/9/26 16,200   16,841  
  BPCE SA 2.750%   12/2/21 12,727   13,110  
7 BPCE SA 2.375%   1/14/25 25,750   26,955  
6,9 BPCE SA, 3M Australian Bank Bill Rate + 1.100% 1.202%   4/26/23 21,540   15,526  
  Canadian Imperial Bank of Commerce 2.550%   6/16/22 29,145   30,360  
4 Canadian Imperial Bank of Commerce 2.606%   7/22/23 23,183   24,041  
  Canadian Imperial Bank of Commerce 3.500%   9/13/23 121,780   133,085  
  Canadian Imperial Bank of Commerce 3.100%   4/2/24 27,720   29,920  
4 Capital One Bank USA NA 2.014%   1/27/23 67,900   69,143  
  Capital One Financial Corp. 3.050%   3/9/22 38,860   40,259  
  Capital One Financial Corp. 2.600%   5/11/23 33,865   35,512  
  Capital One NA 2.250%   9/13/21 15,602   15,868  
  Capital One NA 2.150%   9/6/22 9,590   9,875  
4 Citibank NA 2.844%   5/20/22 14,500   14,762  
  Citibank NA 3.650%   1/23/24 1,513   1,671  
6,9 Citibank NA, 3M Australian Bank Bill Rate + 0.750% 0.840%   5/20/22 13,800   9,889  
  Citigroup Inc. 4.500%   1/14/22 8,760   9,265  
8 Citigroup Inc. 0.500%   1/29/22 9,705   11,519  
  Citigroup Inc. 2.750%   4/25/22 66,150   68,551  
4 Citigroup Inc. 2.312%   11/4/22 62,640   63,878  
4 Citigroup Inc. 3.142%   1/24/23 64,332   66,505  
4 Citigroup Inc. 2.876%   7/24/23 47,810   49,852  
4 Citigroup Inc. 1.678%   5/15/24 16,110   16,533  
4 Citigroup Inc. 4.044%   6/1/24 50,475   54,874  
  Citigroup Inc. 3.750%   6/16/24 1,800   1,997  
4 Citigroup Inc. 3.352%   4/24/25 9,700   10,559  
  Citigroup Inc. 3.300%   4/27/25 11,650   12,916  
  Citigroup Inc. 4.400%   6/10/25 6,310   7,162  
4 Citigroup Inc. 3.106%   4/8/26 34,290   37,277  
  Citigroup Inc. 3.200%   10/21/26 7,025   7,823  
6,9 Citigroup Inc., 3M Australian Bank Bill Rate + 1.550% 1.649%   5/4/21 37,163   26,736  
6,9 Citigroup Inc., 3M Australian Bank Bill Rate + 1.720% 1.822%   10/27/23 5,800   4,221  
  Citizens Bank NA 3.250%   2/14/22 38,875   40,335  
7 Commonwealth Bank of Australia 2.750%   3/10/22 36,895   38,281  
7 Commonwealth Bank of Australia 2.500%   9/18/22 74,768   77,967  
7 Commonwealth Bank of Australia 3.450%   3/16/23 62,409   67,196  
7 Commonwealth Bank of Australia 3.350%   6/4/24 53,765   59,054  
6,9 Commonwealth Bank of Australia, 3M Australian Bank Bill Rate + 2.650% 2.750%   6/3/26 3,200   2,311  
  Cooperatieve Rabobank UA 2.750%   1/10/22 650   671  
  Cooperatieve Rabobank UA 3.875%   2/8/22 3,000   3,156  
  Cooperatieve Rabobank UA 2.750%   1/10/23 60,100   63,345  
7 Cooperatieve Rabobank UA 3.875%   9/26/23 76,820   84,243  
  Cooperatieve Rabobank UA 4.625%   12/1/23 76,000   84,019  
7 Cooperatieve Rabobank UA 2.625%   7/22/24 19,390   20,660  
  Credit Suisse AG 3.000%   10/29/21 4,650   4,799  
  Credit Suisse AG 2.100%   11/12/21 51,145   52,257  
  Credit Suisse AG 2.800%   4/8/22 55,350   57,470  
  Credit Suisse AG 1.000%   5/5/23 30,750   31,060  
7 Credit Suisse Group AG 3.574%   1/9/23 31,845   33,010  
4,7 Credit Suisse Group AG 4.207%   6/12/24 62,630   67,835  
4,7 Credit Suisse Group AG 2.193%   6/5/26 12,680   13,029  

 

 16 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
6,9 Credit Suisse Group AG, 3M Australian Bank Bill Rate + 1.250% 1.351%   3/8/24 9,240   6,552  
  Credit Suisse Group Funding Guernsey Ltd. 3.125%   12/10/20 60,290   60,844  
8 Credit Suisse Group Funding Guernsey Ltd. 1.250%   4/14/22 9,705   11,663  
  Credit Suisse Group Funding Guernsey Ltd. 3.800%   6/9/23 45,155   48,738  
7 Danske Bank A/S 2.750%   9/17/20 14,773   14,800  
7 Danske Bank A/S 2.000%   9/8/21 25,872   26,286  
8 Danske Bank A/S 1.375%   5/24/22 9,705   11,631  
4,7 Danske Bank A/S 3.001%   9/20/22 39,000   39,741  
7 Danske Bank A/S 3.875%   9/12/23 34,000   36,444  
  Discover Bank 4.200%   8/8/23 27,450   30,204  
7 DNB Bank ASA 2.150%   12/2/22 48,500   50,335  
  Fifth Third Bancorp 3.650%   1/25/24 29,100   31,937  
  Fifth Third Bank 2.875%   10/1/21 17,095   17,548  
  Fifth Third Bank 1.800%   1/30/23 27,200   28,025  
  First Republic Bank 2.500%   6/6/22 94,470   97,242  
4 First Republic Bank 1.912%   2/12/24 29,621   30,485  
  Goldman Sachs Group Inc. 2.750%   9/15/20 26,455   26,471  
  Goldman Sachs Group Inc. 2.600%   12/27/20 26,170   26,399  
  Goldman Sachs Group Inc. 2.875%   2/25/21 129,009   130,570  
  Goldman Sachs Group Inc. 2.350%   11/15/21 9,625   9,674  
  Goldman Sachs Group Inc. 5.750%   1/24/22 27,568   29,674  
  Goldman Sachs Group Inc. 3.000%   4/26/22 60,810   61,866  
8 Goldman Sachs Group Inc. 1.375%   7/26/22 9,705   11,701  
4 Goldman Sachs Group Inc. 2.876%   10/31/22 76,930   78,887  
4 Goldman Sachs Group Inc. 2.908%   6/5/23 48,238   50,097  
4 Goldman Sachs Group Inc. 2.905%   7/24/23 5,100   5,311  
  Goldman Sachs Group Inc. 3.625%   2/20/24 62,105   67,970  
  Goldman Sachs Group Inc. 4.000%   3/3/24 14,800   16,419  
  Goldman Sachs Group Inc. 3.850%   7/8/24 44,517   49,212  
  Goldman Sachs Group Inc. 3.500%   1/23/25 9,705   10,684  
  Goldman Sachs Group Inc. 3.500%   4/1/25 42,000   46,499  
4 Goldman Sachs Group Inc. 3.272%   9/29/25 70,036   76,315  
6,9 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% 1.298%   5/16/23 19,370   13,879  
6,9 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370% 1.471%   9/8/21 19,280   13,880  
  HSBC Holdings plc 2.950%   5/25/21 61,405   62,650  
  HSBC Holdings plc 2.650%   1/5/22 75,105   77,345  
  HSBC Holdings plc 4.000%   3/30/22 9,700   10,240  
4 HSBC Holdings plc 3.262%   3/13/23 73,945   76,631  
  HSBC Holdings plc 3.600%   5/25/23 13,595   14,606  
4 HSBC Holdings plc 3.033%   11/22/23 82,110   85,805  
11 HSBC Holdings plc 3.196%   12/5/23 48,400   38,162  
4 HSBC Holdings plc 3.950%   5/18/24 59,439   64,019  
4 HSBC Holdings plc 3.803%   3/11/25 48,605   52,659  
4 HSBC Holdings plc 2.633%   11/7/25 19,750   20,625  
4 HSBC Holdings plc 2.099%   6/4/26 49,370   50,481  
6,9 HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% 1.198%   2/16/24 4,800   3,381  
  Huntington Bancshares Inc. 4.350%   2/4/23 8,800   9,455  
  Huntington National Bank 2.500%   8/7/22 77,538   80,566  
  Huntington National Bank 3.550%   10/6/23 61,415   67,017  
7 ING Bank NV 2.050%   8/15/21 10,000   10,163  
  ING Groep NV 3.550%   4/9/24 4,800   5,248  
7 Intesa Sanpaolo SPA 3.250%   9/23/24 48,310   50,466  
  JPMorgan Chase & Co. 2.295%   8/15/21 5,427   5,433  
  JPMorgan Chase & Co. 4.500%   1/24/22 12,102   12,826  
4 JPMorgan Chase & Co. 3.514%   6/18/22 110,850   113,765  
8 JPMorgan Chase & Co. 2.750%   8/24/22 33,980   42,293  
  JPMorgan Chase & Co. 3.250%   9/23/22 8,200   8,699  
  JPMorgan Chase & Co. 2.972%   1/15/23 101,412   105,108  
4 JPMorgan Chase & Co. 3.207%   4/1/23 46,899   48,986  
4 JPMorgan Chase & Co. 2.776%   4/25/23 106,320   110,411  

 

 17 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  JPMorgan Chase & Co. 2.700%   5/18/23 44,265   46,827  
4 JPMorgan Chase & Co. 3.559%   4/23/24 69,475   74,893  
  JPMorgan Chase & Co. 3.625%   5/13/24 23,710   26,313  
4 JPMorgan Chase & Co. 1.514%   6/1/24 29,050   29,648  
4 JPMorgan Chase & Co. 3.797%   7/23/24 15,069   16,406  
4 JPMorgan Chase & Co. 4.023%   12/5/24 49,940   55,168  
  JPMorgan Chase & Co. 3.125%   1/23/25 4,850   5,318  
4 JPMorgan Chase & Co. 3.220%   3/1/25 113,528   122,937  
4 JPMorgan Chase & Co. 2.301%   10/15/25 98,300   103,829  
4 JPMorgan Chase & Co. 2.005%   3/13/26 39,050   40,758  
4 JPMorgan Chase & Co. 2.083%   4/22/26 26,475   27,730  
  KeyBank NA 2.500%   11/22/21 5,765   5,922  
  KeyBank NA 2.300%   9/14/22 14,580   15,120  
8 Leeds Building Society 2.625%   4/1/21 14,600   17,482  
8 Lloyds Banking Group plc 0.750%   11/9/21 14,550   17,272  
4 Lloyds Banking Group plc 2.858%   3/17/23 19,250   19,897  
4 Lloyds Banking Group plc 1.326%   6/15/23 33,890   33,959  
  Lloyds Banking Group plc 4.050%   8/16/23 53,550   58,553  
4 Lloyds Banking Group plc 2.907%   11/7/23 112,735   117,808  
  Lloyds Banking Group plc 3.900%   3/12/24 14,500   15,998  
4 Lloyds Banking Group plc 3.870%   7/9/25 10,660   11,724  
9 Macquarie Bank Ltd. 0.855%   6/21/22 54,720   39,369  
6,9 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.750% 1.750%   6/21/22 2,910   2,124  
9 Macquarie Group Ltd. 3.250%   12/15/21 6,400   4,685  
4,7 Macquarie Group Ltd. 3.189%   11/28/23 8,330   8,730  
4 Macquarie Group Ltd. 3.189%   11/28/23 29,040   30,436  
6,9 Macquarie Group Ltd., 3M Australian Bank Bill Rate + 1.150% 1.250%   12/15/22 33,920   24,237  
  Manufacturers & Traders Trust Co. 2.500%   5/18/22 21,660   22,442  
6 Manufacturers & Traders Trust Co., 3M USD LIBOR + 0.640% 0.990%   12/1/21 9,755   9,754  
  Mitsubishi UFJ Financial Group Inc. 3.218%   3/7/22 60,940   63,461  
  Mitsubishi UFJ Financial Group Inc. 2.623%   7/18/22 63,990   66,504  
  Mitsubishi UFJ Financial Group Inc. 2.665%   7/25/22 35,723   37,170  
  Mitsubishi UFJ Financial Group Inc. 3.761%   7/26/23 98,645   107,162  
  Mitsubishi UFJ Financial Group Inc. 2.527%   9/13/23 8,775   9,240  
  Mitsubishi UFJ Financial Group Inc. 3.407%   3/7/24 48,925   53,122  
  Mitsubishi UFJ Financial Group Inc. 2.801%   7/18/24 26,340   28,166  
  Mitsubishi UFJ Financial Group Inc. 2.193%   2/25/25 76,650   80,457  
  Mitsubishi UFJ Financial Group Inc. 1.412%   7/17/25 25,135   25,465  
7 Mizuho Bank Ltd. 2.950%   10/17/22 11,772   12,334  
  Mizuho Financial Group Inc. 2.273%   9/13/21 15,995   16,308  
  Mizuho Financial Group Inc. 2.953%   2/28/22 24,663   25,589  
4 Mizuho Financial Group Inc. 2.721%   7/16/23 58,200   60,245  
4 Mizuho Financial Group Inc. 1.241%   7/10/24 41,950   42,074  
4 Mizuho Financial Group Inc. 2.226%   5/25/26 19,200   19,910  
  Morgan Stanley 2.500%   4/21/21 12,000   12,191  
  Morgan Stanley 5.500%   7/28/21 26,000   27,316  
  Morgan Stanley 2.625%   11/17/21 217,779   223,907  
  Morgan Stanley 2.750%   5/19/22 100,468   104,470  
  Morgan Stanley 4.875%   11/1/22 22,234   24,174  
  Morgan Stanley 3.125%   1/23/23 151,394   160,988  
  Morgan Stanley 3.750%   2/25/23 24,275   26,232  
  Morgan Stanley 4.100%   5/22/23 33,000   35,937  
4 Morgan Stanley 3.737%   4/24/24 7,770   8,381  
  Morgan Stanley 3.875%   4/29/24 16,900   18,829  
  Morgan Stanley 3.700%   10/23/24 13,860   15,465  
4 Morgan Stanley 2.720%   7/22/25 110,850   118,300  
  Morgan Stanley 4.000%   7/23/25 14,550   16,704  
4 Morgan Stanley 2.188%   4/28/26 51,820   54,422  
  MUFG Americas Holdings Corp. 3.500%   6/18/22 21,000   22,152  
  MUFG Union Bank NA 3.150%   4/1/22 115,775   120,812  
  MUFG Union Bank NA 2.100%   12/9/22 37,000   38,287  

 

 18 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 National Bank of Canada 2.150%   10/7/22 45,250   46,565  
  National Bank of Canada 2.100%   2/1/23 42,000   43,302  
7 Nationwide Building Society 2.000%   1/27/23 45,600   47,101  
4,7 Nationwide Building Society 3.766%   3/8/24 6,900   7,351  
  Natwest Group plc 6.125%   12/15/22 8,274   9,062  
4 Natwest Group plc 3.498%   5/15/23 16,330   17,051  
  Natwest Group plc 6.100%   6/10/23 18,295   20,245  
  Natwest Group plc 3.875%   9/12/23 6,170   6,701  
  Natwest Group plc 6.000%   12/19/23 14,669   16,522  
4 Natwest Group plc 2.359%   5/22/24 9,680   9,970  
4 Natwest Group plc 4.519%   6/25/24 9,700   10,578  
4 Natwest Group plc 4.269%   3/22/25 63,840   70,103  
7 Nordea Bank Abp 1.000%   6/9/23 18,450   18,642  
8 Nykredit Realkredit A/S 0.250%   1/20/23 32,000   37,466  
  PNC Bank NA 2.550%   12/9/21 37,330   38,247  
  PNC Bank NA 2.625%   2/17/22 90,129   92,827  
  PNC Bank NA 2.700%   11/1/22 42,647   44,646  
4 PNC Bank NA 2.028%   12/9/22 25,610   26,140  
4 PNC Bank NA 1.743%   2/24/23 33,680   34,339  
  PNC Bank NA 3.800%   7/25/23 21,354   23,253  
  PNC Bank NA 3.300%   10/30/24 62,880   69,802  
  PNC Financial Services Group Inc. 2.854%   11/9/22 13,020   13,666  
  PNC Financial Services Group Inc. 3.900%   4/29/24 7,900   8,779  
  Regions Financial Corp. 2.750%   8/14/22 14,605   15,203  
  Royal Bank of Canada 1.600%   4/17/23 42,300   43,622  
  Royal Bank of Canada 3.700%   10/5/23 58,205   63,899  
  Royal Bank of Canada 2.550%   7/16/24 145,403   155,994  
  Royal Bank of Canada 2.250%   11/1/24 80,159   85,276  
  Royal Bank of Canada 1.150%   6/10/25 16,650   16,920  
  Santander Holdings USA Inc. 3.700%   3/28/22 78,501   81,347  
  Santander Holdings USA Inc. 3.400%   1/18/23 58,410   61,141  
  Santander Holdings USA Inc. 3.500%   6/7/24 12,000   12,771  
  Santander Holdings USA Inc. 3.450%   6/2/25 12,660   13,520  
4 Santander UK Group Holdings plc 3.373%   1/5/24 68,117   71,519  
4 Santander UK Group Holdings plc 4.796%   11/15/24 25,877   28,738  
  Santander UK plc 3.750%   11/15/21 43,750   45,503  
  Santander UK plc 2.100%   1/13/23 45,500   46,979  
7 Santander UK plc 5.000%   11/7/23 4,328   4,746  
  Santander UK plc 4.000%   3/13/24 56,870   63,026  
  Santander UK plc 2.875%   6/18/24 18,895   20,279  
4,8 Skandinaviska Enskilda Banken AB 2.500%   5/28/26 18,660   22,248  
4,7 State Street Corp. 2.825%   3/30/23 14,250   14,767  
  State Street Corp. 3.100%   5/15/23 9,600   10,290  
4 State Street Corp. 3.776%   12/3/24 24,700   27,276  
4 State Street Corp. 2.354%   11/1/25 42,084   44,872  
4,7 State Street Corp. 2.901%   3/30/26 9,130   9,952  
  Sumitomo Mitsui Financial Group Inc. 2.442%   10/19/21 80,467   82,407  
  Sumitomo Mitsui Financial Group Inc. 2.784%   7/12/22 99,325   103,507  
  Sumitomo Mitsui Financial Group Inc. 2.778%   10/18/22 46,780   48,778  
  Sumitomo Mitsui Financial Group Inc. 3.102%   1/17/23 72,358   76,807  
  Sumitomo Mitsui Financial Group Inc. 3.748%   7/19/23 67,572   73,325  
  Sumitomo Mitsui Financial Group Inc. 3.936%   10/16/23 5,370   5,894  
  Sumitomo Mitsui Financial Group Inc. 2.696%   7/16/24 181,830   193,685  
  Sumitomo Mitsui Financial Group Inc. 2.348%   1/15/25 34,200   36,331  
  Sumitomo Mitsui Financial Group Inc. 1.474%   7/8/25 28,390   28,873  
6,9 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.200% 1.301%   3/7/23 7,737   5,531  
6,9 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.250% 1.350%   10/16/24 22,565   16,006  
6,9 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270% 1.370%   3/29/22 41,051   29,464  
7 Svenska Handelsbanken AB 0.625%   6/30/23 38,730   38,714  
9 Svenska Handelsbanken AB 3.250%   9/27/23 12,610   9,649  
  Svenska Handelsbanken AB 3.900%   11/20/23 75,715   83,810  

 

 19 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
10 Swedbank AB 1.250%   12/29/21 19,410   25,662  
10 Swedbank AB 1.625%   12/28/22 38,080   51,128  
7 Swedbank AB 1.300%   6/2/23 32,265   32,661  
  Synchrony Bank 3.000%   6/15/22 11,600   11,906  
  Synchrony Financial 2.850%   7/25/22 32,785   33,284  
  Synchrony Financial 4.250%   8/15/24 965   1,023  
  Toronto-Dominion Bank 0.750%   6/12/23 92,500   93,156  
  Toronto-Dominion Bank 3.500%   7/19/23 160,340   175,043  
  Toronto-Dominion Bank 2.650%   6/12/24 28,609   30,780  
  Toronto-Dominion Bank 1.150%   6/12/25 30,170   30,776  
4 Truist Bank 3.525%   10/26/21 40,850   41,102  
  Truist Bank 2.625%   1/15/22 124,364   128,255  
  Truist Bank 2.800%   5/17/22 145,705   151,645  
  Truist Bank 2.450%   8/1/22 101,894   105,780  
4 Truist Bank 3.502%   8/2/22 3,000   3,084  
  Truist Bank 1.250%   3/9/23 8,713   8,871  
  Truist Bank 3.200%   4/1/24 112,672   123,347  
4 Truist Bank 3.689%   8/2/24 37,570   40,905  
  Truist Bank 2.150%   12/6/24 55,000   58,325  
  Truist Bank 1.500%   3/10/25 15,180   15,716  
  Truist Financial Corp. 2.700%   1/27/22 46,750   48,247  
  Truist Financial Corp. 3.950%   3/22/22 4,300   4,526  
  Truist Financial Corp. 3.050%   6/20/22 19,580   20,517  
  Truist Financial Corp. 2.200%   3/16/23 34,390   35,884  
  Truist Financial Corp. 3.750%   12/6/23 44,730   49,158  
  Truist Financial Corp. 2.500%   8/1/24 16,125   17,269  
  Truist Financial Corp. 2.850%   10/26/24 1,455   1,575  
  Truist Financial Corp. 1.200%   8/5/25 17,030   17,390  
7 UBS AG 1.750%   4/21/22 50,000   51,058  
4,7 UBS Group AG 1.008%   7/30/24 37,605   37,784  
7 UBS Group Funding Jersey Ltd. 3.000%   4/15/21 35,067   35,708  
7 UBS Group Funding Jersey Ltd. 2.650%   2/1/22 43,320   44,697  
7 UBS Group Funding Switzerland AG 3.491%   5/23/23 20,975   21,919  
4,7 UBS Group Funding Switzerland AG 2.859%   8/15/23 58,400   60,832  
8 Unione di Banche Italiane SPA 1.000%   7/22/22 9,705   11,489  
  US Bancorp 3.000%   3/15/22 27,522   28,661  
  US Bancorp 2.950%   7/15/22 17,225   18,036  
  US Bancorp 3.700%   1/30/24 42,450   46,947  
  US Bancorp 3.375%   2/5/24 50,925   55,728  
  US Bancorp 2.400%   7/30/24 89,765   96,051  
  US Bancorp 1.450%   5/12/25 36,620   37,980  
  US Bank NA 2.650%   5/23/22 54,773   56,944  
  US Bank NA 1.950%   1/9/23 47,958   49,731  
  US Bank NA 2.850%   1/23/23 4,780   5,055  
  US Bank NA 2.050%   1/21/25 32,903   34,922  
§,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   7,198  
  Wells Fargo & Co. 2.100%   7/26/21 41,205   41,877  
10 Wells Fargo & Co. 2.125%   4/22/22 21,365   28,531  
  Wells Fargo & Co. 2.625%   7/22/22 121,550   126,346  
  Wells Fargo & Co. 3.069%   1/24/23 47,122   48,726  
  Wells Fargo & Co. 3.450%   2/13/23 44,500   47,363  
  Wells Fargo & Co. 3.750%   1/24/24 85,675   93,927  
4 Wells Fargo & Co. 1.654%   6/2/24 49,050   49,908  
4 Wells Fargo & Co. 2.406%   10/30/25 57,030   59,870  
4 Wells Fargo & Co. 2.164%   2/11/26 48,210   50,258  
4 Wells Fargo & Co. 2.188%   4/30/26 58,675   61,242  
6,9 Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100% 1.202%   4/27/22 21,453   15,400  
6,9 Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.320% 1.422%   7/27/21 66,905   48,136  
  Wells Fargo Bank NA 3.625%   10/22/21 138,400   143,539  
4 Wells Fargo Bank NA 2.082%   9/9/22 108,010   109,714  

 

 20 

 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
10 Wells Fargo Bank NA 5.250%   8/1/23 13,100   19,240  
  Wells Fargo Bank NA 3.550%   8/14/23 139,186   151,258  
  Westpac Banking Corp. 2.000%   8/19/21 25,990   26,431  
  Westpac Banking Corp. 2.750%   1/11/23 157,175   165,623  
  Westpac Banking Corp. 2.000%   1/13/23 38,220   39,572  
  Westpac Banking Corp. 3.300%   2/26/24 102,680   112,011  
6,9 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% 1.905%   6/22/28 35,900   25,633  
6,9 Westpac Banking Corp., 3M Australian Bank Bill Rate + 3.100% 3.200%   3/10/26 36,000   25,992  
  Brokerage (0.5%)  
  Ameriprise Financial Inc. 3.000%   3/22/22 37,000   38,490  
  Ameriprise Financial Inc. 4.000%   10/15/23 2,138   2,381  
  Ameriprise Financial Inc. 3.000%   4/2/25 20,610   22,496  
7 Apollo Management Holdings LP 4.000%   5/30/24 4,835   5,304  
  BlackRock Inc. 3.375%   6/1/22 930   980  
  BlackRock Inc. 3.500%   3/18/24 1,450   1,601  
8 Blackstone Property Partners Europe Holdings Sarl 1.400%   7/6/22 26,785   31,915  
  Charles Schwab Corp. 3.550%   2/1/24 4,800   5,261  
  Charles Schwab Corp. 4.200%   3/24/25 16,295   18,787  
  CME Group Inc. 3.000%   9/15/22 2,460   2,594  
  Franklin Resources Inc. 2.800%   9/15/22 28,672   29,964  
  Intercontinental Exchange Inc. 4.000%   10/15/23 33,400   37,047  
  Invesco Finance plc 3.125%   11/30/22 29,485   31,263  
  Invesco Finance plc 4.000%   1/30/24 37,665   41,111  
§,12 Lehman Brothers Holdings E-Capital Trust I 3.589%   8/19/65 9,410   1  
  Nomura Holdings Inc. 2.648%   1/16/25 29,000   30,417  
  Nomura Holdings Inc. 1.851%   7/16/25 25,265   25,592  
  Stifel Financial Corp. 3.500%   12/1/20 14,595   14,629  
  TD Ameritrade Holding Corp. 2.950%   4/1/22 8,809   9,151  
  TD Ameritrade Holding Corp. 3.625%   4/1/25 2,939   3,299  
  Finance Companies (0.5%)  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.300%   1/23/23 6,550   6,454  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.125%   7/3/23 10,230   10,240  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.500%   9/15/23 43,285   43,939  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.500%   1/15/25 14,115   13,486  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.500%   7/15/25 21,735   23,256  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450%   10/1/25 4,425   4,297  
  Air Lease Corp. 2.250%   1/15/23 22,025   21,846  
  Air Lease Corp. 2.750%   1/15/23 7,588   7,556  
  Air Lease Corp. 3.875%   7/3/23 10,700   10,917  
  Air Lease Corp. 4.250%   2/1/24 18,766   19,296  
  Air Lease Corp. 2.300%   2/1/25 34,000   32,606  
  Air Lease Corp. 3.250%   3/1/25 2,910   2,924  
  Air Lease Corp. 3.375%   7/1/25 12,625   12,808  
9 GE Capital Australia Funding Pty Ltd. 5.250%   9/4/20 65,910   47,208  
7 GE Capital Funding LLC 3.450%   5/15/25 12,970   13,680  
7 SMBC Aviation Capital Finance DAC 2.650%   7/15/21 14,555   14,646  
7 USAA Capital Corp. 1.500%   5/1/23 13,620   14,011  
  Insurance (1.7%)  
  Aflac Inc. 3.625%   11/15/24 9,690   10,929  
7 AIG Global Funding 2.700%   12/15/21 13,080   13,458  
  American International Group Inc. 4.875%   6/1/22 13,300   14,334  
  American International Group Inc. 2.500%   6/30/25 37,076   39,571  
  American International Group Inc. 3.750%   7/10/25 13,580   15,265  
  Anthem Inc. 2.375%   1/15/25 8,000   8,547  
  Assurant Inc. 4.200%   9/27/23 9,700   10,378  

 

 21 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Berkshire Hathaway Inc. 2.750%   3/15/23 82,801   87,746  
  Centene Corp. 4.750%   5/15/22 8,295   8,409  
  Centene Corp. 4.750%   1/15/25 3,390   3,509  
7 Centene Corp. 5.375%   6/1/26 1,940   2,071  
  Centene Corp. 4.250%   12/15/27 3,870   4,122  
  Chubb INA Holdings Inc. 2.875%   11/3/22 20,275   21,293  
  Chubb INA Holdings Inc. 2.700%   3/13/23 22,645   23,925  
  Chubb INA Holdings Inc. 3.350%   5/15/24 94,408   103,987  
  Chubb INA Holdings Inc. 3.150%   3/15/25 5,281   5,890  
  Coventry Health Care Inc. 5.450%   6/15/21 8,200   8,425  
7 Five Corners Funding Trust 4.419%   11/15/23 88,012   98,135  
  Lincoln National Corp. 4.000%   9/1/23 5,000   5,470  
  Marsh & McLennan Cos. Inc. 4.800%   7/15/21 6,955   7,163  
  Marsh & McLennan Cos. Inc. 2.750%   1/30/22 4,850   5,008  
  Marsh & McLennan Cos. Inc. 3.300%   3/14/23 12,100   12,888  
  Marsh & McLennan Cos. Inc. 4.050%   10/15/23 9,700   10,673  
  Marsh & McLennan Cos. Inc. 3.500%   6/3/24 49,080   53,926  
7 MassMutual Global Funding II 2.750%   6/22/24 54,080   58,287  
  MetLife Inc. 3.600%   4/10/24 6,554   7,260  
7 Metropolitan Life Global Funding I 1.950%   1/13/23 10,485   10,851  
7 Metropolitan Life Global Funding I 0.900%   6/8/23 30,290   30,529  
7 Metropolitan Life Global Funding I 3.600%   1/11/24 13,720   15,062  
8 Metropolitan Life Global Funding I 0.375%   4/9/24 14,505   17,303  
7 New York Life Insurance Co. 1.100%   5/5/23 12,900   13,118  
  Progressive Corp. 3.750%   8/23/21 18,046   18,695  
  Prudential Financial Inc. 4.500%   11/16/21 14,589   15,335  
4 Prudential Financial Inc. 5.200%   3/15/44 2,415   2,581  
7 Reliance Standard Life Global Funding II 2.150%   1/21/23 14,600   14,950  
7 Reliance Standard Life Global Funding II 3.850%   9/19/23 40,630   43,793  
  Travelers Cos. Inc. 3.900%   11/1/20 4,300   4,327  
  UnitedHealth Group Inc. 2.375%   10/15/22 82,000   85,500  
  UnitedHealth Group Inc. 2.750%   2/15/23 11,600   12,212  
  UnitedHealth Group Inc. 2.875%   3/15/23 33,000   35,106  
  UnitedHealth Group Inc. 3.500%   2/15/24 46,430   51,177  
  UnitedHealth Group Inc. 2.375%   8/15/24 39,652   42,447  
  UnitedHealth Group Inc. 1.250%   1/15/26 10,320   10,634  
  Real Estate Investment Trusts (1.5%)  
9 Ale Direct Property Trust 4.000%   8/20/22 10,880   7,949  
  Alexandria Real Estate Equities Inc. 3.900%   6/15/23 24,595   26,626  
  Alexandria Real Estate Equities Inc. 4.000%   1/15/24 55,797   61,667  
  Alexandria Real Estate Equities Inc. 3.450%   4/30/25 45,115   50,714  
  AvalonBay Communities Inc. 2.850%   3/15/23 12,000   12,555  
  Brandywine Operating Partnership LP 4.100%   10/1/24 7,205   7,585  
  Brixmor Operating Partnership LP 3.875%   8/15/22 10,845   11,294  
  Brixmor Operating Partnership LP 3.650%   6/15/24 33,550   34,769  
  Camden Property Trust 2.950%   12/15/22 9,760   10,189  
  Camden Property Trust 4.875%   6/15/23 3,025   3,332  
  Camden Property Trust 4.250%   1/15/24 15,887   17,395  
  Camden Property Trust 3.500%   9/15/24 2,785   3,039  
  Corporate Office Properties LP 3.700%   6/15/21 6,016   6,108  
  Digital Realty Trust LP 3.950%   7/1/22 44,160   46,878  
  ERP Operating LP 3.000%   4/15/23 215   226  
  Federal Realty Investment Trust 2.550%   1/15/21 14,551   14,570  
  Federal Realty Investment Trust 3.000%   8/1/22 24,018   24,532  
  Federal Realty Investment Trust 2.750%   6/1/23 4,740   4,841  
  Healthcare Trust of America Holdings LP 3.700%   4/15/23 13,139   13,815  
  Healthpeak Properties Inc. 4.250%   11/15/23 27,918   30,577  
  Healthpeak Properties Inc. 4.200%   3/1/24 15,600   17,061  
  Healthpeak Properties Inc. 3.875%   8/15/24 6,850   7,599  
  Healthpeak Properties Inc. 3.400%   2/1/25 11,470   12,765  
  Highwoods Realty LP 3.200%   6/15/21 24,200   24,599  
  Highwoods Realty LP 3.625%   1/15/23 5,280   5,492  
  Kimco Realty Corp. 3.400%   11/1/22 6,715   7,010  

 

 22 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Kimco Realty Corp. 3.125%   6/1/23 22,900   23,733  
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.250%   2/1/27 1,595   1,344  
  Mid-America Apartments LP 4.300%   10/15/23 2,000   2,185  
  National Retail Properties Inc. 3.900%   6/15/24 12,079   13,109  
  National Retail Properties Inc. 4.000%   11/15/25 9,593   10,711  
  Omega Healthcare Investors Inc. 4.950%   4/1/24 7,635   8,067  
  Prologis LP 4.250%   8/15/23 1,070   1,183  
  Public Storage 2.370%   9/15/22 19,165   19,934  
  Realty Income Corp. 3.250%   10/15/22 93,670   98,360  
  Realty Income Corp. 3.875%   7/15/24 4,650   5,130  
  Realty Income Corp. 3.875%   4/15/25 19,295   21,492  
  Regency Centers Corp. 3.750%   11/15/22 7,750   8,080  
  Sabra Health Care LP / Sabra Capital Corp. 4.800%   6/1/24 33,004   33,390  
  Simon Property Group LP 2.500%   7/15/21 13,200   13,382  
  Simon Property Group LP 2.350%   1/30/22 28,290   28,822  
  Simon Property Group LP 2.625%   6/15/22 3,850   3,956  
  Simon Property Group LP 2.750%   2/1/23 5,300   5,518  
  Simon Property Group LP 3.750%   2/1/24 3,340   3,603  
  Simon Property Group LP 2.000%   9/13/24 54,940   56,594  
  Simon Property Group LP 3.375%   10/1/24 2,670   2,890  
  Simon Property Group LP 3.500%   9/1/25 8,515   9,377  
  Ventas Realty LP 3.750%   5/1/24 3,500   3,706  
  Weingarten Realty Investors 3.500%   4/15/23 4,850   4,990  
  Welltower Inc. 3.750%   3/15/23 22,347   23,633  
  Welltower Inc. 3.950%   9/1/23 36,855   40,016  
  Welltower Inc. 3.625%   3/15/24 19,435   20,846  
  Welltower Inc. 4.000%   6/1/25 9,258   10,313  
    18,099,609  
Industrial (37.7%)  
  Basic Industry (1.2%)  
7 Air Liquide Finance SA 2.250%   9/27/23 44,520   46,720  
  Air Products & Chemicals Inc. 2.750%   2/3/23 61   64  
  Air Products & Chemicals Inc. 1.500%   10/15/25 5,850   6,109  
7 Arconic Corp. 6.000%   5/15/25 1,058   1,128  
7 Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.750%   6/15/27 2,376   2,483  
  BHP Billiton Finance USA Ltd. 2.875%   2/24/22 6,846   7,095  
  BHP Billiton Finance USA Ltd. 3.850%   9/30/23 17,235   19,023  
7 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.300%   5/1/23 64,251   67,937  
  Dow Chemical Co. 3.500%   10/1/24 14,900   16,279  
  DuPont de Nemours Inc. 4.205%   11/15/23 105,179   115,975  
  DuPont de Nemours Inc. 4.493%   11/15/25 38,802   45,181  
  Eastman Chemical Co. 3.600%   8/15/22 19,770   20,693  
  Ecolab Inc. 4.350%   12/8/21 6,841   7,208  
  Ecolab Inc. 2.375%   8/10/22 14,666   15,229  
  EI du Pont de Nemours & Co. 1.700%   7/15/25 9,510   9,926  
  FMC Corp. 3.950%   2/1/22 19,660   20,355  
  Freeport-McMoRan Inc. 4.550%   11/14/24 1,920   2,064  
  Freeport-McMoRan Inc. 4.375%   8/1/28 3,880   3,996  
7 Georgia-Pacific LLC 1.750%   9/30/25 70,240   73,702  
7 Graphic Packaging International LLC 3.500%   3/15/28 1,325   1,345  
  International Paper Co. 3.650%   6/15/24 968   1,073  
  LYB International Finance BV 4.000%   7/15/23 22,923   24,992  
  LYB International Finance III LLC 2.875%   5/1/25 17,655   19,049  
  LyondellBasell Industries NV 6.000%   11/15/21 14,555   15,363  
  LyondellBasell Industries NV 5.750%   4/15/24 12,928   15,039  
  Newmont Corp. 3.625%   6/9/21 970   990  
  Newmont Corp. 3.500%   3/15/22 40   41  
  Newmont Corp. 3.700%   3/15/23 12,021   12,596  
7 Novelis Corp. 4.750%   1/30/30 1,849   1,928  
  Nucor Corp. 2.000%   6/1/25 14,030   14,780  

 

 23 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Nutrien Ltd. 3.150%   10/1/22 16,948   17,735  
  Nutrien Ltd. 1.900%   5/13/23 19,559   20,225  
  Nutrien Ltd. 3.500%   6/1/23 8,604   9,200  
  Nutrien Ltd. 3.625%   3/15/24 5,189   5,679  
  Nutrien Ltd. 3.375%   3/15/25 6,310   7,001  
7 OCI NV 5.250%   11/1/24 1,680   1,733  
  Packaging Corp. of America 3.650%   9/15/24 339   371  
  Praxair Inc. 2.200%   8/15/22 2,836   2,927  
  Sherwin-Williams Co. 4.200%   1/15/22 28   29  
  Sherwin-Williams Co. 3.125%   6/1/24 43   47  
  Steel Dynamics Inc. 2.800%   12/15/24 14,555   15,283  
  Steel Dynamics Inc. 2.400%   6/15/25 11,020   11,447  
  Vale Overseas Ltd. 6.250%   8/10/26 4,465   5,352  
8 Vale SA 3.750%   1/10/23 15,990   19,869  
  WestRock RKT Co. 4.900%   3/1/22 6,865   7,307  
  WestRock RKT Co. 4.000%   3/1/23 37,452   40,013  
7 WR Grace & Co-Conn 4.875%   6/15/27 1,804   1,921  
  WRKCo Inc. 3.000%   9/15/24 29,368   31,523  
  WRKCo Inc. 3.750%   3/15/25 8,107   9,044  
  Capital Goods (3.6%)  
  3M Co. 1.750%   2/14/23 20,670   21,416  
  3M Co. 2.250%   3/15/23 25,640   26,885  
  3M Co. 2.650%   4/15/25 22,180   24,175  
7 Airbus Finance BV 2.700%   4/17/23 5,982   6,261  
7 American Builders & Contractors Supply Co. Inc. 4.000%   1/15/28 1,000   1,029  
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 5.250%   4/30/25 2,294   2,435  
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 4.125%   8/15/26 1,085   1,126  
  Ball Corp. 5.000%   3/15/22 875   917  
  Ball Corp. 4.000%   11/15/23 7,285   7,740  
  Ball Corp. 4.875%   3/15/26 3,875   4,408  
  Berry Global Inc. 6.000%   10/15/22 262   263  
7 Berry Global Inc. 4.875%   7/15/26 6,265   6,635  
  Boeing Co. 2.700%   5/1/22 14,095   14,311  
  Boeing Co. 4.508%   5/1/23 174,223   182,283  
  Boeing Co. 1.875%   6/15/23 19,781   19,702  
  Boeing Co. 2.800%   3/1/24 28,830   29,369  
  Boeing Co. 2.850%   10/30/24 7,500   7,559  
  Boeing Co. 4.875%   5/1/25 75,125   81,438  
7 BWX Technologies Inc. 4.125%   6/30/28 1,201   1,255  
7 Carrier Global Corp. 1.923%   2/15/23 21,925   22,505  
7 Carrier Global Corp. 2.242%   2/15/25 54,905   57,330  
  Caterpillar Financial Services Corp. 1.850%   9/4/20 9,755   9,768  
  Caterpillar Financial Services Corp. 0.950%   5/13/22 69,000   69,696  
  Caterpillar Financial Services Corp. 2.400%   6/6/22 67,305   69,756  
  Caterpillar Financial Services Corp. 1.900%   9/6/22 119,280   123,023  
  Caterpillar Financial Services Corp. 1.950%   11/18/22 13,330   13,803  
  Caterpillar Financial Services Corp. 2.550%   11/29/22 20,470   21,469  
  Caterpillar Financial Services Corp. 2.625%   3/1/23 13,925   14,745  
  Caterpillar Financial Services Corp. 3.450%   5/15/23 1,070   1,160  
  Caterpillar Financial Services Corp. 3.750%   11/24/23 24,265   26,816  
  Caterpillar Financial Services Corp. 3.300%   6/9/24 21,550   23,739  
  Caterpillar Inc. 3.400%   5/15/24 14,500   15,950  
7 Clark Equipment Co. 5.875%   6/1/25 1,790   1,875  
7 Clean Harbors Inc. 4.875%   7/15/27 3,554   3,758  
7 Clean Harbors Inc. 5.125%   7/15/29 800   858  
  CNH Industrial Capital LLC 4.875%   4/1/21 3,830   3,916  
  CNH Industrial Capital LLC 3.875%   10/15/21 7,362   7,582  
  CNH Industrial Capital LLC 4.375%   4/5/22 22,700   23,779  
  CNH Industrial Capital LLC 1.950%   7/2/23 23,960   24,139  
  CNH Industrial NV 4.500%   8/15/23 33,895   36,610  
  Deere & Co. 2.750%   4/15/25 24,215   26,503  

 

 24 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Embraer Netherlands Finance BV 5.050%   6/15/25 6,200   5,737  
  Embraer Netherlands Finance BV 5.400%   2/1/27 2,365   2,161  
  Embraer Overseas Ltd. 5.696%   9/16/23 1,281   1,282  
  Embraer SA 5.150%   6/15/22 21,700   21,753  
  General Dynamics Corp. 2.250%   11/15/22 16,933   17,600  
  General Dynamics Corp. 3.375%   5/15/23 970   1,047  
  General Dynamics Corp. 1.875%   8/15/23 14,905   15,570  
  General Dynamics Corp. 2.375%   11/15/24 970   1,041  
  General Dynamics Corp. 3.250%   4/1/25 45,484   50,829  
  General Dynamics Corp. 3.500%   5/15/25 11,395   12,881  
7 GPC Merger Sub Inc. 7.125%   8/15/28 500   521  
  Honeywell International Inc. 2.150%   8/8/22 2,985   3,094  
8 Honeywell International Inc. 0.000%   3/10/24 7,500   8,787  
  Honeywell International Inc. 1.350%   6/1/25 37,370   38,669  
  Howmet Aerospace Inc. 6.875%   5/1/25 1,490   1,676  
7 Huntington Ingalls Industries Inc. 3.844%   5/1/25 29,055   32,193  
  Illinois Tool Works Inc. 3.375%   9/15/21 2,470   2,549  
  Illinois Tool Works Inc. 3.500%   3/1/24 390   429  
  John Deere Capital Corp. 3.900%   7/12/21 1,550   1,602  
  John Deere Capital Corp. 1.950%   6/13/22 22,550   23,201  
  John Deere Capital Corp. 1.200%   4/6/23 13,230   13,522  
  John Deere Capital Corp. 3.450%   6/7/23 485   526  
  John Deere Capital Corp. 2.650%   6/24/24 2,520   2,719  
8 John Deere Cash Management SA 1.375%   4/2/24 14,505   18,019  
  Johnson Controls International plc 3.750%   12/1/21 857   876  
  Johnson Controls International plc 3.625%   7/2/24 8,998   9,737  
  L3Harris Technologies Inc. 4.950%   2/15/21 24,327   24,794  
  L3Harris Technologies Inc. 3.850%   6/15/23 119,000   128,380  
  L3Harris Technologies Inc. 3.950%   5/28/24 5,300   5,829  
  Lennox International Inc. 1.350%   8/1/25 6,770   6,830  
  Lockheed Martin Corp. 3.100%   1/15/23 1,455   1,548  
  Lockheed Martin Corp. 2.900%   3/1/25 7,125   7,840  
7 Mueller Water Products Inc. 5.500%   6/15/26 1,700   1,772  
  Northrop Grumman Corp. 3.500%   3/15/21 5,136   5,231  
  Northrop Grumman Corp. 2.550%   10/15/22 84,314   88,060  
  Northrop Grumman Corp. 3.250%   8/1/23 11,000   11,912  
  Northrop Grumman Corp. 2.930%   1/15/25 65,480   71,288  
7 Otis Worldwide Corp. 2.056%   4/5/25 48,510   51,253  
  Parker-Hannifin Corp. 3.500%   9/15/22 5,800   6,155  
  Precision Castparts Corp. 2.500%   1/15/23 79,967   83,684  
7 Raytheon Technologies Corp. 2.800%   3/15/22 113,791   117,675  
7 Raytheon Technologies Corp. 2.500%   12/15/22 41,910   43,562  
  Raytheon Technologies Corp. 3.650%   8/16/23 10,178   11,051  
7 Raytheon Technologies Corp. 3.200%   3/15/24 92,210   100,013  
  Raytheon Technologies Corp. 3.950%   8/16/25 38,708   44,706  
  Republic Services Inc. 5.250%   11/15/21 1,090   1,156  
  Republic Services Inc. 4.750%   5/15/23 2,260   2,505  
  Republic Services Inc. 2.500%   8/15/24 1,182   1,267  
  Republic Services Inc. 3.200%   3/15/25 7,700   8,512  
6,7 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 3M USD LIBOR + 3.500% 3.775%   7/15/21 17,330   17,287  
7 Sealed Air Corp. 4.000%   12/1/27 700   721  
  Silgan Holdings Inc. 4.125%   2/1/28 4,235   4,341  
7 Standard Industries Inc. 4.375%   7/15/30 3,010   3,251  
  Stanley Black & Decker Inc. 3.400%   12/1/21 1,020   1,052  
  Stanley Black & Decker Inc. 2.900%   11/1/22 41,450   43,818  
7 Summit Materials LLC / Summit Materials Finance Corp. 5.250%   1/15/29 505   523  
8 Thales SA 0.000%   5/31/22 20,800   24,478  
  TransDigm Inc. 6.500%   5/15/25 1,500   1,481  
7 TransDigm Inc. 8.000%   12/15/25 1,325   1,441  
7 TransDigm Inc. 6.250%   3/15/26 3,630   3,830  
  TransDigm Inc. 5.500%   11/15/27 4,600   4,364  

 

 25 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Trivium Packaging Finance BV 5.500%   8/15/26 400   423  
7 Trivium Packaging Finance BV 8.500%   8/15/27 400   436  
  United Rentals North America Inc. 4.625%   10/15/25 8,230   8,467  
  United Rentals North America Inc. 6.500%   12/15/26 1,800   1,998  
  United Rentals North America Inc. 3.875%   11/15/27 3,950   4,147  
13 United Rentals North America Inc. 3.875%   2/15/31 1,975   1,975  
  Waste Management Inc. 2.900%   9/15/22 3,500   3,659  
  Waste Management Inc. 2.400%   5/15/23 1,600   1,672  
7 WESCO Distribution Inc. 7.250%   6/15/28 4,611   5,038  
  Communication (4.8%)  
  American Tower Corp. 3.000%   6/15/23 58,755   62,675  
8 AT&T Inc. 2.650%   12/17/21 14,550   17,650  
  AT&T Inc. 3.400%   6/15/22 1,200   1,265  
  AT&T Inc. 3.000%   6/30/22 36,594   38,170  
  AT&T Inc. 2.625%   12/1/22 9,800   10,229  
  AT&T Inc. 3.600%   2/17/23 107,218   114,866  
8 AT&T Inc. 1.950%   9/15/23 14,505   17,977  
  AT&T Inc. 4.050%   12/15/23 3,985   4,439  
  AT&T Inc. 4.450%   4/1/24 2,710   3,053  
  AT&T Inc. 3.400%   5/15/25 52,920   58,812  
  AT&T Inc. 3.600%   7/15/25 1,690   1,889  
  CC Holdings GS V LLC / Crown Castle GS III Corp. 3.849%   4/15/23 29,741   32,158  
7 CCO Holdings LLC / CCO Holdings Capital Corp. 4.500%   8/15/30 3,105   3,276  
7 CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%   2/1/31 830   865  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.464%   7/23/22 175,442   186,953  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.500%   2/1/24 59,747   66,310  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.908%   7/23/25 29,448   34,173  
  Comcast Cable Communications Holdings Inc. 9.455%   11/15/22 9,676   11,672  
  Comcast Corp. 2.850%   1/15/23 6,005   6,377  
  Comcast Corp. 2.750%   3/1/23 34,443   36,447  
  Comcast Corp. 3.600%   3/1/24 820   909  
  Comcast Corp. 3.700%   4/15/24 79,976   88,960  
  Comcast Corp. 3.375%   2/15/25 23,821   26,544  
  Comcast Corp. 3.100%   4/1/25 36,640   40,654  
  Comcast Corp. 3.375%   8/15/25 41,700   46,938  
  Comcast Corp. 3.950%   10/15/25 10,000   11,581  
7 Cox Communications Inc. 3.150%   8/15/24 27,090   29,483  
  Crown Castle International Corp. 5.250%   1/15/23 76,659   85,228  
  Crown Castle International Corp. 3.150%   7/15/23 41,835   44,719  
  Crown Castle International Corp. 3.200%   9/1/24 69,394   75,549  
  Crown Castle International Corp. 1.350%   7/15/25 27,840   28,402  
  CSC Holdings LLC 6.750%   11/15/21 4,888   5,181  
7 CSC Holdings LLC 5.375%   2/1/28 4,745   5,142  
7 CSC Holdings LLC 7.500%   4/1/28 1,100   1,254  
7 CSC Holdings LLC 5.750%   1/15/30 1,780   1,967  
7 CSC Holdings LLC 4.625%   12/1/30 1,780   1,869  
7 Deutsche Telekom International Finance BV 2.485%   9/19/23 15,700   16,470  
  Discovery Communications LLC 2.950%   3/20/23 55,062   57,948  
  Discovery Communications LLC 3.800%   3/13/24 17,074   18,685  
  Discovery Communications LLC 3.900%   11/15/24 28,005   31,022  
  Discovery Communications LLC 3.950%   6/15/25 3,180   3,592  
  Fox Corp. 3.666%   1/25/22 48,344   50,588  
  Fox Corp. 4.030%   1/25/24 28,567   31,687  
  Fox Corp. 3.050%   4/7/25 50,109   54,913  
7 Front Range BidCo Inc. 4.000%   3/1/27 445   445  
7 Front Range BidCo Inc. 6.125%   3/1/28 1,547   1,595  
  Interpublic Group of Cos. Inc. 3.500%   10/1/20 4,200   4,220  
  Interpublic Group of Cos. Inc. 3.750%   10/1/21 63,355   65,708  
  Interpublic Group of Cos. Inc. 4.200%   4/15/24 9,800   10,844  

 

 26 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Lamar Media Corp. 5.750%   2/1/26 884   926  
7 Lamar Media Corp. 3.750%   2/15/28 1,335   1,343  
7 Lamar Media Corp. 4.875%   1/15/29 630   661  
7 Lamar Media Corp. 4.000%   2/15/30 935   944  
7 Level 3 Financing Inc. 4.625%   9/15/27 2,760   2,901  
7 Level 3 Financing Inc. 4.250%   7/1/28 2,910   3,008  
  NBCUniversal Media LLC 2.875%   1/15/23 83,170   88,339  
7 Netflix Inc. 3.625%   6/15/25 1,195   1,267  
  Netflix Inc. 4.875%   4/15/28 5,296   6,157  
  Netflix Inc. 5.875%   11/15/28 354   440  
7 Nexstar Escrow Inc. 5.625%   7/15/27 3,875   4,127  
  Omnicom Group Inc. / Omnicom Capital Inc. 3.625%   5/1/22 112,940   119,119  
  Qwest Corp. 6.750%   12/1/21 33,857   36,129  
  Rogers Communications Inc. 3.000%   3/15/23 1,180   1,251  
7 SBA Communications Corp. 3.875%   2/15/27 1,785   1,847  
7 Sirius XM Radio Inc. 4.625%   7/15/24 7,470   7,862  
7 Sirius XM Radio Inc. 5.000%   8/1/27 700   745  
7 Sirius XM Radio Inc. 4.125%   7/1/30 1,809   1,904  
8 Sky Ltd. 1.500%   9/15/21 11,105   13,314  
7 Sky Ltd. 3.750%   9/16/24 29,345   33,077  
7 Sky plc 3.125%   11/26/22 50,680   53,746  
  Sprint Corp. 7.125%   6/15/24 10,496   12,228  
  Sprint Corp. 7.625%   3/1/26 3,640   4,523  
  T-Mobile USA Inc. 6.000%   3/1/23 25,187   25,281  
7 T-Mobile USA Inc. 3.500%   4/15/25 162,040   178,944  
  T-Mobile USA Inc. 4.500%   2/1/26 9,536   9,810  
  Telefonica Emisiones SAU 5.462%   2/16/21 14,200   14,573  
  Time Warner Entertainment Co. LP 8.375%   3/15/23 8,730   10,355  
7 Twitter Inc. 3.875%   12/15/27 1,786   1,893  
  Verizon Communications Inc. 2.450%   11/1/22 7,279   7,571  
9 Verizon Communications Inc. 3.500%   2/17/23 9,130   6,905  
  Verizon Communications Inc. 5.150%   9/15/23 48,250   55,194  
  Verizon Communications Inc. 4.150%   3/15/24 10,600   11,847  
  Verizon Communications Inc. 3.500%   11/1/24 19,300   21,450  
  Verizon Communications Inc. 3.376%   2/15/25 47,785   53,463  
6,9 Verizon Communications Inc., 3M Australian Bank Bill Rate + 1.220% 1.318%   2/17/23 33,310   23,809  
  ViacomCBS Inc. 3.375%   3/1/22 14,170   14,660  
  ViacomCBS Inc. 2.500%   2/15/23 13,525   14,008  
  ViacomCBS Inc. 2.900%   6/1/23 28,430   29,713  
  ViacomCBS Inc. 4.250%   9/1/23 136,705   149,587  
  ViacomCBS Inc. 3.500%   1/15/25 9,000   9,899  
  ViacomCBS Inc. 4.750%   5/15/25 30,294   34,871  
7 Virgin Media Finance plc 5.000%   7/15/30 2,940   3,058  
7 Virgin Media Vendor Financing Notes IV DAC 5.000%   7/15/28 3,425   3,566  
7 Virgin Media Secured Finance plc 4.500%   8/15/30 1,801   1,914  
8 Vivendi SA 0.000%   6/13/22 14,600   17,187  
  Vodafone Group plc 2.950%   2/19/23 21,212   22,409  
  Vodafone Group plc 3.750%   1/16/24 118,507   130,066  
6,9 Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050% 1.150%   12/13/22 4,360   3,102  
  Walt Disney Co. 4.500%   2/15/21 2,300   2,351  
  Walt Disney Co. 2.550%   2/15/22 1,940   2,003  
  Walt Disney Co. 1.650%   9/1/22 11,230   11,506  
  Walt Disney Co. 3.000%   9/15/22 7,190   7,574  
  Walt Disney Co. 2.350%   12/1/22 19,910   20,757  
  Walt Disney Co. 1.750%   8/30/24 107,627   112,704  
  Walt Disney Co. 3.700%   9/15/24 5,090   5,672  
  Walt Disney Co. 3.350%   3/24/25 81,990   91,633  
  WPP Finance 2010 3.625%   9/7/22 1,045   1,092  
  Consumer Cyclical (3.9%)  
7 1011778 BC ULC / New Red Finance Inc. 5.000%   10/15/25 6,855   7,026  
7 1011778 BC ULC / New Red Finance Inc. 3.875%   1/15/28 545   564  
7 1011778 BC ULC / New Red Finance Inc. 4.375%   1/15/28 2,210   2,298  

 

 27 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Alimentation Couche-Tard Inc. 2.700%   7/26/22 59,525   61,396  
7 Allison Transmission Inc. 5.000%   10/1/24 1,270   1,292  
7 Allison Transmission Inc. 4.750%   10/1/27 3,023   3,136  
7 Allison Transmission Inc. 5.875%   6/1/29 970   1,067  
  Amazon.com Inc. 2.800%   8/22/24 11,263   12,279  
  Amazon.com Inc. 5.200%   12/3/25 25,890   31,950  
  American Honda Finance Corp. 1.650%   7/12/21 9,900   10,019  
  American Honda Finance Corp. 1.700%   9/9/21 1,600   1,622  
  American Honda Finance Corp. 3.375%   12/10/21 87,100   90,388  
8 American Honda Finance Corp. 1.600%   4/20/22 20,300   24,526  
8 American Honda Finance Corp. 0.350%   8/26/22 76,605   90,719  
  American Honda Finance Corp. 2.600%   11/16/22 2,470   2,582  
  American Honda Finance Corp. 2.050%   1/10/23 9,900   10,247  
  American Honda Finance Corp. 1.950%   5/10/23 68,000   70,481  
  American Honda Finance Corp. 0.875%   7/7/23 72,000   72,608  
  American Honda Finance Corp. 3.450%   7/14/23 31,460   34,022  
  American Honda Finance Corp. 3.625%   10/10/23 112,000   122,441  
7 Asbury Automotive Group Inc. 4.500%   3/1/28 1,648   1,685  
7 Asbury Automotive Group Inc. 4.750%   3/1/30 615   632  
  AutoZone Inc. 2.875%   1/15/23 4,544   4,768  
  AutoZone Inc. 3.625%   4/15/25 33,697   38,011  
7 Burlington Coat Factory Warehouse Corp. 6.250%   4/15/25 1,345   1,429  
7 Carnival Corp. 11.500%   4/1/23 2,543   2,766  
7 Churchill Downs Inc. 5.500%   4/1/27 3,910   4,081  
7 Churchill Downs Inc. 4.750%   1/15/28 2,831   2,870  
7 Clarios Global LP 6.750%   5/15/25 1,200   1,290  
7 Colt Merger Sub Inc. 5.750%   7/1/25 602   627  
7 Colt Merger Sub Inc. 6.250%   7/1/25 2,420   2,535  
  Cummins Inc. 3.650%   10/1/23 7,300   8,034  
  Dana Inc. 5.375%   11/15/27 1,204   1,261  
  Dana Inc. 5.625%   6/15/28 1,791   1,849  
  Dollar General Corp. 3.250%   4/15/23 17,576   18,739  
7 Expedia Group Inc. 3.600%   12/15/23 4,840   4,876  
7 Expedia Group Inc. 6.250%   5/1/25 1,077   1,177  
7 Expedia Group Inc. 7.000%   5/1/25 995   1,077  
7 Expedia Group Inc. 4.625%   8/1/27 6,005   6,170  
8 FCA Bank SPA 1.000%   11/15/21 14,505   17,139  
8 FCA Bank SPA 1.250%   6/21/22 21,830   25,956  
8 FCA Bank SPA 0.625%   11/24/22 9,700   11,405  
  Ford Motor Co. 8.500%   4/21/23 6,468   7,171  
  Ford Motor Credit Co. LLC 3.339%   3/28/22 24,800   24,908  
  Ford Motor Credit Co. LLC 2.979%   8/3/22 1,819   1,833  
  Ford Motor Credit Co. LLC 3.087%   1/9/23 12,252   12,211  
  Ford Motor Credit Co. LLC 5.125%   6/16/25 4,809   5,115  
  Ford Motor Credit Co. LLC 3.815%   11/2/27 1,763   1,731  
  General Motors Co. 4.875%   10/2/23 32,904   35,861  
  General Motors Co. 5.400%   10/2/23 35,400   38,980  
  General Motors Co. 6.125%   10/1/25 47,750   55,667  
  General Motors Financial Co. Inc. 4.200%   3/1/21 44,231   44,783  
  General Motors Financial Co. Inc. 4.375%   9/25/21 59,030   60,971  
  General Motors Financial Co. Inc. 4.200%   11/6/21 43,800   45,241  
  General Motors Financial Co. Inc. 3.450%   4/10/22 15,908   16,351  
  General Motors Financial Co. Inc. 3.150%   6/30/22 4,900   5,041  
  General Motors Financial Co. Inc. 3.250%   1/5/23 19,510   20,147  
  General Motors Financial Co. Inc. 5.200%   3/20/23 92,650   100,784  
  General Motors Financial Co. Inc. 4.250%   5/15/23 9,800   10,443  
  General Motors Financial Co. Inc. 4.150%   6/19/23 5,500   5,826  
  General Motors Financial Co. Inc. 5.100%   1/17/24 45,250   49,561  
  General Motors Financial Co. Inc. 3.950%   4/13/24 24,350   25,906  
  General Motors Financial Co. Inc. 3.500%   11/7/24 37,700   40,262  
  General Motors Financial Co. Inc. 4.350%   4/9/25 9,216   10,005  
  General Motors Financial Co. Inc. 4.300%   7/13/25 6,000   6,532  
  Goodyear Tire & Rubber Co. 9.500%   5/31/25 2,510   2,774  
  Goodyear Tire & Rubber Co. 4.875%   3/15/27 3,633   3,588  

 

 28 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Harley-Davidson Financial Services Inc. 2.850%   1/15/21 6,244   6,275  
7 Harley-Davidson Financial Services Inc. 2.550%   6/9/22 28,944   29,331  
7 Harley-Davidson Financial Services Inc. 3.350%   6/8/25 14,500   15,154  
7 Hilton Domestic Operating Co. Inc. 5.375%   5/1/25 1,395   1,458  
  Hilton Domestic Operating Co. Inc. 5.125%   5/1/26 2,765   2,848  
7 Hilton Domestic Operating Co. Inc. 5.750%   5/1/28 860   918  
  Home Depot Inc. 3.750%   2/15/24 8,000   8,871  
7 International Game Technology plc 6.250%   1/15/27 540   575  
7 International Game Technology plc 5.250%   1/15/29 1,830   1,867  
7 L Brands Inc. 6.875%   7/1/25 790   851  
  Lennar Corp. 5.375%   10/1/22 2,565   2,735  
  Lennar Corp. 5.250%   6/1/26 700   784  
  Lennar Corp. 5.000%   6/15/27 875   984  
7 Live Nation Entertainment Inc. 6.500%   5/15/27 1,775   1,904  
7 Live Nation Entertainment Inc. 4.750%   10/15/27 1,361   1,252  
  Marriott International Inc. 5.750%   5/1/25 2,575   2,858  
  Marriott International Inc. 4.625%   6/15/30 6,836   7,293  
  Mastercard Inc. 3.375%   4/1/24 1,310   1,450  
7 Match Group Holdings II LLC 4.625%   6/1/28 2,035   2,096  
7 Mattamy Group Corp. 4.625%   3/1/30 885   902  
  McDonald's Corp. 2.625%   1/15/22 1,790   1,847  
  McDonald's Corp. 3.350%   4/1/23 9,000   9,655  
  McDonald's Corp. 3.375%   5/26/25 4,500   5,029  
  McDonald's Corp. 3.300%   7/1/25 48,201   54,006  
  McDonald's Corp. 1.450%   9/1/25 24,300   25,149  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625%   5/1/24 5,702   6,158  
7 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.625%   6/15/25 3,752   3,902  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.500%   9/1/26 1,822   1,895  
7 Nissan Motor Acceptance Corp. 1.900%   9/14/21 11,962   11,856  
7 Nissan Motor Acceptance Corp. 3.650%   9/21/21 17,140   17,269  
7 Panther BF Aggregator 2 LP / Panther Finance Co. Inc. 6.250%   5/15/26 1,800   1,926  
  PulteGroup Inc. 5.500%   3/1/26 2,323   2,660  
  PulteGroup Inc. 5.000%   1/15/27 1,310   1,487  
  Ralph Lauren Corp. 1.700%   6/15/22 9,800   10,000  
7 Royal Caribbean Cruises Ltd. 10.875%   6/1/23 592   625  
7 Royal Caribbean Cruises Ltd. 9.125%   6/15/23 596   609  
7 Royal Caribbean Cruises Ltd. 11.500%   6/1/25 1,185   1,305  
  Target Corp. 2.250%   4/15/25 17,035   18,343  
  TJX Cos. Inc. 3.500%   4/15/25 36,000   40,168  
  Toyota Motor Corp. 3.419%   7/20/23 1,750   1,896  
  Toyota Motor Credit Corp. 1.900%   4/8/21 3,610   3,646  
  Toyota Motor Credit Corp. 2.750%   5/17/21 18,210   18,544  
  Toyota Motor Credit Corp. 3.300%   1/12/22 7,100   7,396  
  Toyota Motor Credit Corp. 1.150%   5/26/22 57,000   57,829  
  Toyota Motor Credit Corp. 2.700%   1/11/23 7,080   7,444  
  Toyota Motor Credit Corp. 2.900%   3/30/23 105,000   111,337  
  Toyota Motor Credit Corp. 1.350%   8/25/23 72,000   73,801  
  Toyota Motor Credit Corp. 3.450%   9/20/23 97,255   105,837  
  Toyota Motor Credit Corp. 2.900%   4/17/24 2,130   2,304  
  Toyota Motor Credit Corp. 3.000%   4/1/25 41,000   45,131  
  TRI Pointe Group Inc. 5.700%   6/15/28 6,000   6,600  
7 Vail Resorts Inc. 6.250%   5/15/25 4,315   4,639  
8 Volkswagen Financial Services AG 2.500%   4/6/23 14,505   17,937  
9 Volkswagen Financial Services Australia Pty Ltd. 3.100%   4/17/23 8,050   5,910  
7 Volkswagen Group of America Finance LLC 2.500%   9/24/21 28,800   29,316  
7 Volkswagen Group of America Finance LLC 4.000%   11/12/21 63,563   66,145  
7 Volkswagen Group of America Finance LLC 2.900%   5/13/22 40,000   41,489  
7 Volkswagen Group of America Finance LLC 2.700%   9/26/22 65,420   67,999  
7 Volkswagen Group of America Finance LLC 3.125%   5/12/23 26,600   28,197  
7 Volkswagen Group of America Finance LLC 3.350%   5/13/25 4,500   4,914  
  Walmart Inc. 2.550%   4/11/23 8,409   8,867  

 

 29 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Walmart Inc. 3.300%   4/22/24 19,500   21,441  
  Walmart Inc. 2.850%   7/8/24 20,660   22,537  
7 William Carter Co. 5.500%   5/15/25 2,740   2,891  
  Consumer Noncyclical (12.1%)  
  AbbVie Inc. 3.375%   11/14/21 32,071   33,236  
7 AbbVie Inc. 2.150%   11/19/21 161,500   164,738  
7 AbbVie Inc. 5.000%   12/15/21 29,690   31,129  
7 AbbVie Inc. 3.450%   3/15/22 52,900   55,031  
7 AbbVie Inc. 3.250%   10/1/22 11,900   12,473  
  AbbVie Inc. 2.900%   11/6/22 99,170   104,129  
  AbbVie Inc. 3.200%   11/6/22 71,665   75,519  
7 AbbVie Inc. 2.300%   11/21/22 247,500   256,511  
7 AbbVie Inc. 2.800%   3/15/23 8,647   8,987  
  AbbVie Inc. 2.850%   5/14/23 2,900   3,064  
  AbbVie Inc. 3.750%   11/14/23 14,475   15,855  
8 AbbVie Inc. 1.250%   6/1/24 14,505   17,672  
7 AbbVie Inc. 3.850%   6/15/24 56,807   62,704  
7 AbbVie Inc. 2.600%   11/21/24 195,950   209,114  
  AbbVie Inc. 3.600%   5/14/25 4,492   5,023  
  Altria Group Inc. 3.490%   2/14/22 177,660   185,589  
  Altria Group Inc. 2.850%   8/9/22 24,480   25,587  
8 Altria Group Inc. 1.000%   2/15/23 14,505   17,396  
  Altria Group Inc. 4.000%   1/31/24 34,250   37,912  
  Altria Group Inc. 2.350%   5/6/25 18,450   19,634  
  Amgen Inc. 3.875%   11/15/21 5,883   6,089  
  Amgen Inc. 2.700%   5/1/22 16,240   16,810  
  Amgen Inc. 2.650%   5/11/22 30,800   31,962  
  Amgen Inc. 3.625%   5/15/22 7,200   7,542  
  Amgen Inc. 1.900%   2/21/25 19,500   20,547  
  Amgen Inc. 3.125%   5/1/25 3,900   4,301  
  Anheuser-Busch InBev Finance Inc. 3.300%   2/1/23 37,978   40,434  
  Anheuser-Busch InBev Worldwide Inc. 2.500%   7/15/22 4,367   4,557  
  Anheuser-Busch InBev Worldwide Inc. 4.150%   1/23/25 131,206   149,689  
7 Aramark Services Inc. 6.375%   5/1/25 4,065   4,278  
  Aramark Services Inc. 4.750%   6/1/26 1,440   1,436  
7 Aramark Services Inc. 5.000%   2/1/28 1,100   1,107  
  AstraZeneca plc 2.375%   6/12/22 2,810   2,905  
  AstraZeneca plc 3.500%   8/17/23 9,645   10,477  
  AstraZeneca plc 3.375%   11/16/25 20,583   23,344  
7 Avantor Funding Inc. 4.625%   7/15/28 1,800   1,904  
  BAT Capital Corp. 2.764%   8/15/22 136,300   141,598  
  BAT Capital Corp. 3.222%   8/15/24 54,806   59,050  
  BAT Capital Corp. 3.215%   9/6/26 6,000   6,526  
  BAT Capital Corp. 4.700%   4/2/27 10,000   11,617  
8 BAT International Finance plc 4.875%   2/24/21 13,350   16,130  
10 BAT International Finance plc 1.750%   7/5/21 14,538   19,183  
7 BAT International Finance plc 3.250%   6/7/22 41,373   43,238  
7 BAT International Finance plc 3.950%   6/15/25 55,200   61,745  
7 Bausch Health Cos. Inc. 7.000%   3/15/24 7,280   7,553  
7 Bausch Health Cos. Inc. 5.500%   11/1/25 1,840   1,904  
7 Bausch Health Cos. Inc. 5.750%   8/15/27 2,103   2,287  
7 Bausch Health Cos. Inc. 7.000%   1/15/28 1,100   1,199  
7 Bausch Health Cos. Inc. 5.000%   1/30/28 935   940  
  Baxalta Inc. 3.600%   6/23/22 1,984   2,071  
  Baxter International Inc. 1.700%   8/15/21 21,900   22,146  
7 Baxter International Inc. 3.750%   10/1/25 29,000   33,205  
7 Bayer US Finance II LLC 3.875%   12/15/23 23,000   25,134  
7 Bayer US Finance II LLC 4.250%   12/15/25 29,034   33,261  
  Becton Dickinson & Co. 3.125%   11/8/21 34,675   35,758  
  Becton Dickinson & Co. 2.894%   6/6/22 12,725   13,203  
  Becton Dickinson & Co. 3.363%   6/6/24 50,638   55,028  
8 Becton Dickinson Euro Finance Sarl 0.174%   6/4/21 65,491   76,974  
  Biogen Inc. 3.625%   9/15/22 37,267   39,737  

 

 30 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Boston Scientific Corp. 3.450%   3/1/24 46,016   50,265  
  Boston Scientific Corp. 1.900%   6/1/25 30,374   31,879  
  Bristol-Myers Squibb Co. 2.600%   5/16/22 80,390   83,499  
  Bristol-Myers Squibb Co. 2.000%   8/1/22 4,400   4,543  
  Bristol-Myers Squibb Co. 3.250%   8/15/22 63,902   66,300  
  Bristol-Myers Squibb Co. 3.550%   8/15/22 38,846   41,335  
  Bristol-Myers Squibb Co. 2.750%   2/15/23 48,084   50,845  
  Bristol-Myers Squibb Co. 3.250%   2/20/23 19,050   20,371  
  Bristol-Myers Squibb Co. 3.625%   5/15/24 29,017   32,134  
  Bristol-Myers Squibb Co. 2.900%   7/26/24 84,500   91,666  
  Campbell Soup Co. 3.650%   3/15/23 40,207   43,010  
  Cardinal Health Inc. 3.079%   6/15/24 9,000   9,688  
  Cigna Corp. 3.400%   9/17/21 20,000   20,625  
  Cigna Corp. 3.900%   2/15/22 28,500   29,924  
  Cigna Corp. 3.050%   11/30/22 38,085   40,086  
  Cigna Corp. 3.000%   7/15/23 59,164   62,823  
  Cigna Corp. 3.750%   7/15/23 54,310   59,068  
  Cigna Corp. 3.500%   6/15/24 42,500   46,248  
  Cigna Corp. 4.125%   11/15/25 66,900   77,386  
8 Coca-Cola Co. 0.125%   9/22/22 9,700   11,492  
  Coca-Cola Co. 1.750%   9/6/24 1,700   1,795  
  Coca-Cola Co. 2.950%   3/25/25 4,500   4,983  
  CommonSpirit Health 4.200%   8/1/23 1,900   2,042  
  CommonSpirit Health 2.760%   10/1/24 31,845   33,367  
  Conagra Brands Inc. 4.950%   8/15/20 2,679   2,682  
  Conagra Brands Inc. 4.300%   5/1/24 10,000   11,190  
  Constellation Brands Inc. 2.650%   11/7/22 33,800   35,292  
  Constellation Brands Inc. 4.250%   5/1/23 70,704   77,574  
  Constellation Brands Inc. 4.750%   11/15/24 9,500   11,040  
  Covidien International Finance SA 3.200%   6/15/22 13,200   13,797  
  CVS Health Corp. 3.500%   7/20/22 27,981   29,454  
  CVS Health Corp. 2.750%   12/1/22 44,825   46,789  
  CVS Health Corp. 3.700%   3/9/23 371,205   398,682  
  CVS Health Corp. 4.000%   12/5/23 53,500   58,867  
  CVS Health Corp. 2.625%   8/15/24 42,100   45,121  
  CVS Health Corp. 4.100%   3/25/25 32,000   36,408  
  DaVita Inc. 5.000%   5/1/25 400   410  
7 DaVita Inc. 4.625%   6/1/30 7,515   8,003  
  DH Europe Finance II Sarl 2.050%   11/15/22 72,600   75,065  
  DH Europe Finance II Sarl 2.200%   11/15/24 78,416   83,046  
8 DH Europe Finance SA 1.700%   1/4/22 9,000   10,837  
8 Diageo Finance plc 0.250%   10/22/21 24,145   28,544  
  Eli Lilly & Co. 2.350%   5/15/22 1,380   1,430  
  Encompass Health Corp. 4.500%   2/1/28 1,923   2,010  
  Estee Lauder Cos. Inc. 2.000%   12/1/24 9,750   10,355  
9 FBG Finance Pty Ltd. 3.750%   8/7/20 18,740   13,382  
  General Mills Inc. 2.600%   10/12/22 27,900   29,123  
  General Mills Inc. 3.700%   10/17/23 12,000   13,179  
  Gilead Sciences Inc. 3.250%   9/1/22 30,091   31,714  
  Gilead Sciences Inc. 2.500%   9/1/23 17,875   18,922  
  Gilead Sciences Inc. 3.700%   4/1/24 51,558   57,066  
  GlaxoSmithKline Capital Inc. 3.375%   5/15/23 11,129   12,022  
  GlaxoSmithKline Capital plc 2.875%   6/1/22 236,530   247,030  
  GlaxoSmithKline Capital plc 3.000%   6/1/24 84,589   92,112  
7 Grupo Bimbo SAB de CV 4.500%   1/25/22 11,180   11,739  
  Grupo Bimbo SAB de CV 4.500%   1/25/22 12,578   13,191  
  HCA Inc. 4.750%   5/1/23 14,000   15,312  
  HCA Inc. 5.000%   3/15/24 86,830   97,575  
  HCA Inc. 5.375%   2/1/25 5,023   5,638  
  HCA Inc. 5.375%   9/1/26 1,330   1,520  
  HCA Inc. 3.500%   9/1/30 3,052   3,205  
  Hershey Co. 0.900%   6/1/25 9,900   10,029  
7 Hill-Rom Holdings Inc. 4.375%   9/15/27 2,980   3,144  
7 Hologic Inc. 4.375%   10/15/25 12,135   12,454  

 

 31 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  JM Smucker Co. 3.500%   3/15/25 15,800   17,728  
  Kellogg Co. 3.125%   5/17/22 8,900   9,297  
  Kellogg Co. 2.650%   12/1/23 8,000   8,492  
  Keurig Dr Pepper Inc. 3.551%   5/25/21 93,652   95,997  
  Keurig Dr Pepper Inc. 4.057%   5/25/23 107,813   118,001  
  Keurig Dr Pepper Inc. 3.130%   12/15/23 15,320   16,540  
  Keurig Dr Pepper Inc. 4.417%   5/25/25 5,500   6,427  
  Kimberly-Clark Corp. 3.050%   8/15/25 4,800   5,331  
7 Kraft Heinz Foods Co. 3.875%   5/15/27 4,770   5,143  
7 Kraft Heinz Foods Co. 4.250%   3/1/31 855   943  
  Kroger Co. 2.600%   2/1/21 39,050   39,405  
  Kroger Co. 2.950%   11/1/21 33,537   34,504  
  Kroger Co. 3.400%   4/15/22 23,900   24,870  
  Kroger Co. 2.800%   8/1/22 35,058   36,622  
  Kroger Co. 3.850%   8/1/23 9,800   10,672  
  Kroger Co. 4.000%   2/1/24 19,700   21,769  
  Laboratory Corp. of America Holdings 3.750%   8/23/22 55,205   58,178  
  Laboratory Corp. of America Holdings 3.250%   9/1/24 7,780   8,520  
7 Lamb Weston Holdings Inc. 4.625%   11/1/24 7,283   7,638  
7 Lamb Weston Holdings Inc. 4.875%   11/1/26 1,924   2,018  
7 Lamb Weston Holdings Inc. 4.875%   5/15/28 2,210   2,448  
  McCormick & Co. Inc. 2.700%   8/15/22 5,900   6,141  
  McCormick & Co. Inc. 3.150%   8/15/24 10,250   11,176  
  McKesson Corp. 2.700%   12/15/22 70,452   73,456  
  McKesson Corp. 2.850%   3/15/23 24,315   25,475  
  McKesson Corp. 3.796%   3/15/24 44,765   49,194  
8 Medtronic Global Holdings SCA 0.000%   3/7/21 58,295   68,689  
  Medtronic Inc. 3.150%   3/15/22 700   731  
  Medtronic Inc. 3.500%   3/15/25 11,530   13,032  
  Merck & Co. Inc. 2.800%   5/18/23 90   96  
  Merck & Co. Inc. 2.900%   3/7/24 4,500   4,867  
  Merck & Co. Inc. 2.750%   2/10/25 15,255   16,632  
7 Mondelez International Holdings Netherlands BV 2.125%   9/19/22 4,800   4,969  
7 Mondelez International Holdings Netherlands BV 2.250%   9/19/24 44,080   46,579  
  Mondelez International Inc. 0.625%   7/1/22 62,000   62,395  
  Mondelez International Inc. 2.125%   4/13/23 36,550   38,140  
  Mondelez International Inc. 3.625%   5/7/23 13,000   14,060  
  Mondelez International Inc. 1.500%   5/4/25 43,130   44,789  
7 Mylan Inc. 3.125%   1/15/23 27,015   28,504  
  Mylan NV 3.150%   6/15/21 38,500   39,274  
8 Mylan NV 2.250%   11/22/24 7,080   8,835  
  Novartis Capital Corp. 2.400%   9/21/22 5,400   5,643  
  Novartis Capital Corp. 3.400%   5/6/24 2,520   2,785  
  Novartis Capital Corp. 1.750%   2/14/25 2,000   2,101  
  Novartis Capital Corp. 3.000%   11/20/25 1,348   1,502  
  PepsiCo Inc. 2.250%   3/19/25 46,565   50,151  
7 Performance Food Group Inc. 5.500%   6/1/24 3,371   3,396  
7 Performance Food Group Inc. 6.875%   5/1/25 997   1,067  
7 Performance Food Group Inc. 5.500%   10/15/27 2,807   2,898  
7 Pernod Ricard SA 5.750%   4/7/21 11,596   12,007  
7 Pernod Ricard SA 4.450%   1/15/22 11,785   12,419  
7 Pernod Ricard SA 4.250%   7/15/22 18,900   20,180  
  Pfizer Inc. 3.000%   6/15/23 3,750   4,023  
  Pfizer Inc. 2.950%   3/15/24 780   847  
  Pfizer Inc. 0.800%   5/28/25 47,030   47,692  
  Philip Morris International Inc. 2.500%   8/22/22 19,354   20,175  
  Philip Morris International Inc. 2.500%   11/2/22 22,005   22,973  
  Philip Morris International Inc. 2.625%   3/6/23 7,200   7,599  
  Philip Morris International Inc. 1.125%   5/1/23 35,600   36,223  
  Philip Morris International Inc. 2.125%   5/10/23 10,600   11,039  
  Philip Morris International Inc. 1.500%   5/1/25 18,500   19,152  
7 Post Holdings Inc. 5.750%   3/1/27 700   746  
7 Post Holdings Inc. 4.625%   4/15/30 885   931  
  Procter & Gamble Co. 2.450%   3/25/25 32,200   35,022  

 

 32 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Quest Diagnostics Inc. 4.700%   4/1/21 3,900   4,002  
7 Reckitt Benckiser Treasury Services plc 2.375%   6/24/22 178,598   184,547  
7 Reckitt Benckiser Treasury Services plc 2.750%   6/26/24 165,355   177,816  
  Reynolds American Inc. 4.000%   6/12/22 49,809   52,768  
  Reynolds American Inc. 4.450%   6/12/25 48,938   55,659  
  Shire Acquisitions Investments Ireland DAC 2.400%   9/23/21 71,973   73,415  
  Shire Acquisitions Investments Ireland DAC 2.875%   9/23/23 77,255   82,119  
  SSM Health Care Corp. 3.688%   6/1/23 45,250   48,908  
  Stryker Corp. 1.150%   6/15/25 48,500   49,263  
  Sysco Corp. 5.650%   4/1/25 13,000   15,399  
  Takeda Pharmaceutical Co. Ltd. 4.000%   11/26/21 174,970   182,422  
7 Takeda Pharmaceutical Co. Ltd. 2.450%   1/18/22 36,300   37,213  
  Takeda Pharmaceutical Co. Ltd. 4.400%   11/26/23 38,836   43,410  
7 Tenet Healthcare Corp. 4.625%   9/1/24 1,545   1,603  
7 Tenet Healthcare Corp. 7.500%   4/1/25 660   728  
7 Tenet Healthcare Corp. 4.875%   1/1/26 6,250   6,531  
  Thermo Fisher Scientific Inc. 3.000%   4/15/23 27,000   28,688  
  Thermo Fisher Scientific Inc. 4.133%   3/25/25 5,517   6,359  
  Tyson Foods Inc. 4.500%   6/15/22 22,599   24,052  
  Tyson Foods Inc. 3.900%   9/28/23 20,328   22,256  
  Tyson Foods Inc. 3.950%   8/15/24 52,199   58,164  
  Unilever Capital Corp. 2.600%   5/5/24 57,165   61,316  
7 Upjohn Inc. 1.125%   6/22/22 65,500   66,049  
7 Upjohn Inc. 1.650%   6/22/25 35,775   36,823  
  Zimmer Biomet Holdings Inc. 3.150%   4/1/22 11,000   11,413  
  Zoetis Inc. 3.250%   2/1/23 12,665   13,420  
  Energy (6.9%)  
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 2.773%   12/15/22 63,714   66,754  
  BP Capital Markets America Inc. 3.245%   5/6/22 56,620   59,312  
  BP Capital Markets America Inc. 2.520%   9/19/22 32,365   33,661  
  BP Capital Markets America Inc. 2.937%   4/6/23 33,895   35,964  
  BP Capital Markets America Inc. 2.750%   5/10/23 71,181   75,548  
  BP Capital Markets America Inc. 3.216%   11/28/23 50,765   54,776  
  BP Capital Markets America Inc. 3.790%   2/6/24 63,231   69,425  
  BP Capital Markets America Inc. 3.224%   4/14/24 48,592   52,491  
  BP Capital Markets America Inc. 3.194%   4/6/25 22,315   24,498  
  BP Capital Markets plc 3.062%   3/17/22 1,465   1,527  
  BP Capital Markets plc 3.814%   2/10/24 35,810   39,444  
  BP Capital Markets plc 3.535%   11/4/24 16,530   18,295  
  BP Capital Markets plc 3.506%   3/17/25 5,020   5,588  
  Buckeye Partners LP 4.150%   7/1/23 3,230   3,278  
  Canadian Natural Resources Ltd. 2.950%   1/15/23 39,634   41,170  
  Canadian Natural Resources Ltd. 2.050%   7/15/25 8,582   8,774  
  Cenovus Energy Inc. 3.000%   8/15/22 6,949   6,949  
  Cenovus Energy Inc. 5.375%   7/15/25 3,465   3,465  
  Cheniere Corpus Christi Holdings LLC 7.000%   6/30/24 100,187   115,591  
  Cheniere Corpus Christi Holdings LLC 5.875%   3/31/25 61,361   69,952  
  Chevron Corp. 1.141%   5/11/23 41,295   42,137  
  Chevron Corp. 1.554%   5/11/25 59,805   62,258  
  Cimarex Energy Co. 4.375%   6/1/24 6,805   7,256  
  Concho Resources Inc. 4.375%   1/15/25 13,666   14,076  
  ConocoPhillips Co. 2.400%   12/15/22 22,962   23,945  
  DCP Midstream Operating LP 5.625%   7/15/27 1,801   1,869  
  Diamondback Energy Inc. 2.875%   12/1/24 46,585   47,342  
  Diamondback Energy Inc. 4.750%   5/31/25 6,060   6,587  
  Dominion Energy Gas Holdings LLC 3.550%   11/1/23 12,700   13,750  
  Enbridge Energy Partners LP 5.875%   10/15/25 10,441   12,591  
  Enbridge Inc. 2.900%   7/15/22 12,898   13,393  
  Enbridge Inc. 4.000%   10/1/23 32,750   35,712  
  Enbridge Inc. 2.500%   1/15/25 25,250   26,586  
7 Endeavor Energy Resources LP / EER Finance Inc. 6.625%   7/15/25 1,196   1,257  
  Energy Transfer Operating LP 4.650%   6/1/21 35,235   35,896  

 

 33 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Energy Transfer Operating LP 5.200%   2/1/22 41,415   43,123  
  Energy Transfer Operating LP 3.600%   2/1/23 2,416   2,485  
  Energy Transfer Operating LP 4.250%   3/15/23 39,423   41,246  
  Energy Transfer Operating LP 4.200%   9/15/23 41,572   43,910  
  Energy Transfer Operating LP 5.875%   1/15/24 20,842   22,926  
  Energy Transfer Operating LP 4.900%   2/1/24 40,324   43,197  
  Energy Transfer Operating LP 4.500%   4/15/24 37,544   39,984  
7 Eni SPA 4.000%   9/12/23 77,305   83,718  
  Enterprise Products Operating LLC 3.500%   2/1/22 64,671   67,438  
  Enterprise Products Operating LLC 3.900%   2/15/24 28,502   31,345  
  EOG Resources Inc. 2.625%   3/15/23 19,350   20,336  
7 EQM Midstream Partners LP 6.000%   7/1/25 2,905   3,065  
  EQT Corp. 3.000%   10/1/22 6,890   6,812  
  Exxon Mobil Corp. 1.571%   4/15/23 72,605   74,805  
8 Exxon Mobil Corp. 0.142%   6/26/24 14,505   17,149  
  Exxon Mobil Corp. 2.019%   8/16/24 96,905   102,003  
  Exxon Mobil Corp. 2.992%   3/19/25 26,395   29,016  
  Husky Energy Inc. 3.950%   4/15/22 1,410   1,451  
  Kinder Morgan Energy Partners LP 5.800%   3/1/21 4,855   4,988  
  Kinder Morgan Energy Partners LP 5.000%   10/1/21 12,597   13,078  
  Kinder Morgan Energy Partners LP 4.150%   3/1/22 3,695   3,880  
  Kinder Morgan Energy Partners LP 3.950%   9/1/22 77,198   81,674  
  Kinder Morgan Energy Partners LP 3.450%   2/15/23 32,549   34,348  
  Kinder Morgan Energy Partners LP 3.500%   9/1/23 10,068   10,751  
  Kinder Morgan Energy Partners LP 4.150%   2/1/24 11,015   12,038  
  Kinder Morgan Energy Partners LP 4.300%   5/1/24 16,684   18,462  
  Kinder Morgan Energy Partners LP 4.250%   9/1/24 5,145   5,719  
7 Kinder Morgan Inc. 5.000%   2/15/21 29,644   30,168  
  Kinder Morgan Inc. 3.150%   1/15/23 88,311   92,727  
7 Kinder Morgan Inc. 5.625%   11/15/23 23,915   27,094  
  Kinder Morgan Inc. 4.300%   6/1/25 16,139   18,292  
  Marathon Oil Corp. 2.800%   11/1/22 82,425   83,043  
  Marathon Petroleum Corp. 3.400%   12/15/20 24,525   24,629  
  Marathon Petroleum Corp. 5.125%   3/1/21 28,926   29,541  
  Marathon Petroleum Corp. 4.500%   5/1/23 77,385   83,866  
  Marathon Petroleum Corp. 4.750%   12/15/23 45,572   50,300  
  Marathon Petroleum Corp. 3.625%   9/15/24 15,520   16,665  
7 MEG Energy Corp. 6.500%   1/15/25 3,748   3,682  
7 Midwest Connector Capital Co. LLC 3.625%   4/1/22 67,868   67,869  
7 Midwest Connector Capital Co. LLC 3.900%   4/1/24 39,743   39,803  
  MPLX LP 3.500%   12/1/22 41,490   43,305  
  MPLX LP 3.375%   3/15/23 15,115   15,814  
  MPLX LP 4.500%   7/15/23 2,230   2,408  
  MPLX LP 4.875%   12/1/24 29,939   33,644  
  Newfield Exploration Co. 5.750%   1/30/22 19,510   19,754  
  Newfield Exploration Co. 5.625%   7/1/24 8,776   8,776  
  Noble Energy Inc. 3.900%   11/15/24 17,750   19,725  
  Occidental Petroleum Corp. 2.600%   8/13/21 46,068   45,492  
  Occidental Petroleum Corp. 3.125%   2/15/22 17,706   17,440  
  Occidental Petroleum Corp. 2.700%   8/15/22 41,955   40,539  
  ONEOK Inc. 2.750%   9/1/24 28,145   28,602  
  ONEOK Inc. 2.200%   9/15/25 5,800   5,684  
  ONEOK Partners LP 3.375%   10/1/22 4,801   4,975  
  ONEOK Partners LP 5.000%   9/15/23 10,058   10,867  
  Ovintiv Inc. 3.900%   11/15/21 4,860   4,872  
7 Parsley Energy LLC / Parsley Finance Corp. 5.375%   1/15/25 1,900   1,950  
7 Parsley Energy LLC / Parsley Finance Corp. 5.250%   8/15/25 970   992  
  Phillips 66 4.300%   4/1/22 51,498   54,653  
  Phillips 66 3.700%   4/6/23 29,829   32,038  
  Plains All American Pipeline LP / PAA Finance Corp. 5.000%   2/1/21 20,908   21,063  
  Plains All American Pipeline LP / PAA Finance Corp. 3.650%   6/1/22 29,874   30,591  
  Plains All American Pipeline LP / PAA Finance Corp. 3.850%   10/15/23 10,132   10,615  
  Plains All American Pipeline LP / PAA Finance Corp. 3.600%   11/1/24 11,437   11,840  
7 Rattler Midstream LP 5.625%   7/15/25 1,053   1,106  

 

 34 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Regency Energy Partners LP / Regency Energy Finance Corp. 5.875%   3/1/22 83,408   87,587  
  Regency Energy Partners LP / Regency Energy Finance Corp. 5.000%   10/1/22 85,463   90,215  
  Regency Energy Partners LP / Regency Energy Finance Corp. 4.500%   11/1/23 63,587   67,542  
  Sabine Pass Liquefaction LLC 6.250%   3/15/22 53,378   56,981  
  Sabine Pass Liquefaction LLC 5.625%   4/15/23 83,467   91,714  
  Sabine Pass Liquefaction LLC 5.750%   5/15/24 48,939   55,741  
  Sabine Pass Liquefaction LLC 5.625%   3/1/25 51,037   59,162  
  Shell International Finance BV 2.250%   1/6/23 31,312   32,690  
  Shell International Finance BV 3.400%   8/12/23 3,880   4,216  
  Shell International Finance BV 2.000%   11/7/24 126,105   133,019  
  Shell International Finance BV 2.375%   4/6/25 14,865   15,931  
  Shell International Finance BV 3.250%   5/11/25 13,015   14,540  
  Southern Natural Gas Co. LLC / Southern Natural Issuing Corp. 4.400%   6/15/21 6,395   6,523  
  Spectra Energy Partners LP 3.500%   3/15/25 11,985   13,137  
  Suncor Energy Inc. 2.800%   5/15/23 45,715   48,069  
  Suncor Energy Inc. 3.600%   12/1/24 9,685   10,625  
  Sunoco Logistics Partners Operations LP 4.400%   4/1/21 54,012   54,957  
  Sunoco Logistics Partners Operations LP 3.450%   1/15/23 16,340   16,789  
  Sunoco Logistics Partners Operations LP 4.250%   4/1/24 43,668   45,961  
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.750%   3/15/24 2,910   2,972  
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.500%   7/15/27 1,760   1,883  
  Total Capital Canada Ltd. 2.750%   7/15/23 44,689   47,698  
  Total Capital International SA 2.875%   2/17/22 10,423   10,814  
  Total Capital International SA 2.700%   1/25/23 12,055   12,718  
  Total Capital International SA 3.700%   1/15/24 20,825   23,031  
  Total Capital International SA 2.434%   1/10/25 45,575   48,792  
  TransCanada PipeLines Ltd. 2.500%   8/1/22 60,016   62,139  
  TransCanada PipeLines Ltd. 3.750%   10/16/23 28,622   31,143  
  Valero Energy Corp. 2.700%   4/15/23 19,175   19,999  
  Western Midstream Operating LP 3.100%   2/1/25 14,555   14,409  
  Western Midstream Operating LP 4.050%   2/1/30 5,530   5,585  
  Williams Cos. Inc. 4.125%   11/15/20 35,615   35,621  
  Williams Cos. Inc. 7.875%   9/1/21 3,900   4,194  
  Williams Cos. Inc. 4.000%   11/15/21 11,585   11,745  
  Williams Cos. Inc. 3.600%   3/15/22 87,852   91,476  
  Williams Cos. Inc. 3.350%   8/15/22 9,730   10,131  
  Williams Cos. Inc. 3.700%   1/15/23 26,954   28,470  
  Williams Cos. Inc. 4.500%   11/15/23 9,000   9,870  
  Williams Cos. Inc. 4.550%   6/24/24 13,922   15,453  
  Williams Cos. Inc. 3.900%   1/15/25 1,332   1,460  
  Williams Cos. Inc. 4.000%   9/15/25 1,450   1,617  
  WPX Energy Inc. 5.875%   6/15/28 1,175   1,198  
  WPX Energy Inc. 4.500%   1/15/30 1,775   1,651  
  Other Industrial (0.2%)  
8 CK Hutchison Finance 16 Ltd. 1.250%   4/6/23 14,550   17,470  
7 CK Hutchison International 17 II Ltd. 2.250%   9/29/20 95,155   95,272  
  Hillenbrand Inc. 5.750%   6/15/25 1,689   1,820  
7 MasTec Inc. 4.500%   8/15/28 1,580   1,643  
  Technology (3.5%)  
  Adobe Inc. 1.700%   2/1/23 6,610   6,837  
  Apple Inc. 2.400%   1/13/23 6,990   7,331  
  Apple Inc. 2.850%   2/23/23 36,030   38,192  
  Apple Inc. 0.750%   5/11/23 15,355   15,515  
  Apple Inc. 3.000%   2/9/24 54,505   59,084  
  Apple Inc. 3.450%   5/6/24 58,796   65,165  
  Apple Inc. 2.850%   5/11/24 108,420   117,538  
7 Broadcom Inc. 3.125%   10/15/22 62,200   65,193  

 

 35 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Broadcom Inc. 3.625%   10/15/24 5,859   6,396  
7 BY Crown Parent LLC / BY Bond Finance Inc. 4.250%   1/31/26 600   614  
  CDW LLC / CDW Finance Corp. 4.125%   5/1/25 2,960   3,115  
  CDW LLC / CDW Finance Corp. 5.000%   9/1/25 1,516   1,573  
  CDW LLC / CDW Finance Corp. 4.250%   4/1/28 1,515   1,608  
  Cisco Systems Inc. 2.600%   2/28/23 2,745   2,905  
7 CommScope Finance LLC 5.500%   3/1/24 2,542   2,634  
7 CommScope Finance LLC 8.250%   3/1/27 612   659  
7 CommScope Inc. 6.000%   3/1/26 2,321   2,469  
7 CommScope Inc. 7.125%   7/1/28 1,801   1,891  
7 Dell International LLC / EMC Corp. 4.420%   6/15/21 52,210   53,644  
7 Dell International LLC / EMC Corp. 4.000%   7/15/24 9,725   10,507  
7 Dell International LLC / EMC Corp. 5.850%   7/15/25 18,643   21,762  
  Equifax Inc. 2.600%   12/1/24 29,100   31,036  
8 Fidelity National Information Services Inc. 0.125%   5/21/21 19,400   22,861  
8 Fidelity National Information Services Inc. 0.125%   12/3/22 32,000   37,807  
  Fidelity National Information Services Inc. 3.500%   4/15/23 23,200   24,799  
  Fiserv Inc. 3.800%   10/1/23 2,528   2,776  
  Fiserv Inc. 2.750%   7/1/24 162,005   174,878  
  Global Payments Inc. 3.800%   4/1/21 49,370   50,292  
  Hewlett Packard Enterprise Co. 4.400%   10/15/22 37,385   40,072  
  IBM Credit LLC 2.200%   9/8/22 5,690   5,905  
  IBM Credit LLC 3.000%   2/6/23 750   799  
  Intel Corp. 3.100%   7/29/22 1,845   1,947  
  Intel Corp. 3.400%   3/25/25 29,025   32,615  
  Intel Corp. 3.700%   7/29/25 9,600   10,951  
  International Business Machines Corp. 2.500%   1/27/22 24,000   24,775  
  International Business Machines Corp. 2.850%   5/13/22 135,282   141,409  
  International Business Machines Corp. 1.875%   8/1/22 11,415   11,759  
8 International Business Machines Corp. 0.375%   1/31/23 19,400   23,094  
  International Business Machines Corp. 3.375%   8/1/23 5,951   6,464  
  International Business Machines Corp. 3.625%   2/12/24 36,694   40,595  
  International Business Machines Corp. 3.000%   5/15/24 72,655   79,312  
  International Business Machines Corp. 3.300%   5/15/26 9,670   10,998  
  Intuit Inc. 0.650%   7/15/23 21,200   21,306  
  Marvell Technology Group Ltd. 4.200%   6/22/23 29,250   31,678  
7 NCR Corp. 8.125%   4/15/25 435   480  
7 NXP BV / NXP Funding LLC 3.875%   9/1/22 99,789   105,668  
7 NXP BV / NXP Funding LLC 4.625%   6/1/23 19,500   21,429  
7 NXP BV / NXP Funding LLC 4.875%   3/1/24 46,625   52,468  
  Oracle Corp. 2.500%   10/15/22 9,800   10,248  
  Oracle Corp. 2.625%   2/15/23 56,931   59,981  
  Oracle Corp. 3.625%   7/15/23 8,000   8,738  
  Oracle Corp. 2.400%   9/15/23 140,318   148,355  
  Oracle Corp. 2.500%   4/1/25 67,480   73,039  
  PayPal Holdings Inc. 2.200%   9/26/22 116,323   120,799  
7 Qorvo Inc. 4.375%   10/15/29 2,155   2,306  
  QUALCOMM Inc. 2.600%   1/30/23 107,050   112,563  
  QUALCOMM Inc. 3.450%   5/20/25 38,800   43,551  
7 Sabre GLBL Inc. 9.250%   4/15/25 1,305   1,435  
7 SS&C Technologies Inc. 5.500%   9/30/27 2,023   2,175  
  Tyco Electronics Group SA 4.875%   1/15/21 6,020   6,133  
  Tyco Electronics Group SA 3.500%   2/3/22 52,968   55,079  
  Tyco Electronics Group SA 3.450%   8/1/24 18,037   19,725  
  Verisk Analytics Inc. 5.800%   5/1/21 12,428   12,915  
  Verisk Analytics Inc. 4.125%   9/12/22 18,719   20,060  
  Verisk Analytics Inc. 4.000%   6/15/25 380   435  
  VMware Inc. 2.950%   8/21/22 47,867   49,978  
  Western Digital Corp. 4.750%   2/15/26 8,316   9,044  
  Transportation (1.5%)  
7 Air Canada 7.750%   4/15/21 49,123   49,369  
4,7 Air Canada 2013-1 Class B Pass Through Trust 5.375%   5/15/21 7,093   6,490  
9 Aurizon Network Pty Ltd. 5.750%   10/28/20 23,510   16,991  

 

 36 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
9 Aurizon Network Pty Ltd. 4.000%   6/21/24 9,320   7,161  
9 Australia Pacific Airports Melbourne Pty Ltd. 4.000%   9/15/22 12,690   9,383  
  Burlington Northern Santa Fe LLC 3.050%   3/15/22 2,760   2,862  
  Burlington Northern Santa Fe LLC 3.850%   9/1/23 7,220   7,904  
  Burlington Northern Santa Fe LLC 3.750%   4/1/24 11,420   12,626  
  Burlington Northern Santa Fe LLC 3.400%   9/1/24 6,335   7,018  
  Burlington Northern Santa Fe LLC 3.000%   4/1/25 1,590   1,771  
  Burlington Northern Santa Fe LLC 3.650%   9/1/25 1,610   1,836  
  Canadian National Railway Co. 2.850%   12/15/21 4,800   4,921  
  Canadian Pacific Railway Co. 2.900%   2/1/25 1,780   1,933  
7 Cargo Aircraft Management Inc. 4.750%   2/1/28 2,697   2,758  
4 Continental Airlines 2005-ERJ1 Pass Through Trust 9.798%   10/1/22 2,145   2,020  
4 Continental Airlines 2010-1 Class A Pass Through Trust 4.750%   7/12/22 3,088   2,981  
4 Continental Airlines 2012-2 Class B Pass Through Trust 5.500%   4/29/22 1,958   1,919  
  CSX Corp. 3.700%   11/1/23 6,253   6,888  
  CSX Corp. 3.400%   8/1/24 51,900   57,588  
4 CSX Transportation Inc. 6.251%   1/15/23 1,894   2,117  
4 Delta Air Lines 2007-1 Class A Pass Through Trust 6.821%   2/10/24 4,064   3,924  
4 Delta Air Lines 2007-1 Class B Pass Through Trust 8.021%   8/10/22 5,086   4,782  
  Delta Air Lines Inc. 3.800%   4/19/23 5,305   4,954  
  Delta Air Lines Inc. 2.900%   10/28/24 7,830   6,793  
7 Delta Air Lines Inc. 7.000%   5/1/25 10,180   10,880  
  Delta Air Lines Inc. 7.375%   1/15/26 4,735   4,694  
7 ERAC USA Finance LLC 2.600%   12/1/21 7,215   7,341  
7 ERAC USA Finance LLC 3.300%   10/15/22 34,000   35,451  
7 ERAC USA Finance LLC 2.700%   11/1/23 21,000   21,846  
  FedEx Corp. 3.400%   1/14/22 22,155   23,086  
4,7 Heathrow Funding Ltd. 4.875%   7/15/23 44,470   45,757  
4,7 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. 6.500%   6/20/27 7,206   7,458  
6,9 New Terminal Financing Co. Pty Ltd., 3M Australian Bank Bill Rate + 1.450% 1.556%   7/12/24 5,900   4,070  
  Norfolk Southern Corp. 3.250%   12/1/21 2,900   2,988  
  Norfolk Southern Corp. 2.903%   2/15/23 5,235   5,526  
  Norfolk Southern Corp. 3.650%   8/1/25 3,242   3,685  
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 3.300%   4/1/21 34,000   34,539  
9 Qantas Airways Ltd. 7.500%   6/11/21 41,500   30,899  
9 Qantas Airways Ltd. 7.750%   5/19/22 37,020   28,642  
  Ryder System Inc. 2.875%   6/1/22 43,650   45,224  
  Ryder System Inc. 2.500%   9/1/22 14,200   14,613  
  Ryder System Inc. 3.650%   3/18/24 72,895   79,363  
  Southwest Airlines Co. 2.750%   11/16/22 29,000   29,631  
  Southwest Airlines Co. 4.750%   5/4/23 24,200   25,259  
  Southwest Airlines Co. 5.250%   5/4/25 3,165   3,391  
4 UAL 2007-1 Pass Through Trust 6.636%   7/2/22 13,080   11,390  
  Union Pacific Corp. 3.200%   6/8/21 5,105   5,233  
  Union Pacific Corp. 2.950%   3/1/22 76,335   79,456  
  Union Pacific Corp. 4.163%   7/15/22 6,500   6,912  
  Union Pacific Corp. 2.950%   1/15/23 22,500   23,684  
  Union Pacific Corp. 3.500%   6/8/23 28,614   30,973  
  Union Pacific Corp. 3.646%   2/15/24 9,600   10,529  
  Union Pacific Corp. 3.150%   3/1/24 49,010   53,431  
  United Parcel Service Inc. 2.350%   5/16/22 7,030   7,262  
  United Parcel Service Inc. 2.450%   10/1/22 28,300   29,583  
4 US Airways 2001-1C Pass Through Trust 7.346%   9/20/23 5,064   4,229  
9 WSO Finance Pty Ltd. 3.500%   7/14/23 9,950   7,432  
    24,119,175  
Utilities (3.7%)  
  Electric (3.6%)  
  AEP Texas Inc. 2.400%   10/1/22 22,670   23,494  
  Ameren Corp. 2.500%   9/15/24 32,940   34,389  

 

 37 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Ameren Illinois Co. 2.700%   9/1/22 7,234   7,516  
  Baltimore Gas & Electric Co. 3.500%   11/15/21 9,535   9,862  
  Baltimore Gas & Electric Co. 2.800%   8/15/22 19,895   20,720  
  Baltimore Gas & Electric Co. 3.350%   7/1/23 13,212   14,175  
  Berkshire Hathaway Energy Co. 2.800%   1/15/23 60,050   63,218  
  Berkshire Hathaway Energy Co. 3.750%   11/15/23 81,317   89,069  
7 Berkshire Hathaway Energy Co. 4.050%   4/15/25 5,500   6,326  
7 Calpine Corp. 4.500%   2/15/28 4,030   4,191  
7 Calpine Corp. 5.125%   3/15/28 3,040   3,158  
7 Calpine Corp. 4.625%   2/1/29 505   509  
7 Calpine Corp. 5.000%   2/1/31 250   256  
  CenterPoint Energy Houston Electric LLC 2.250%   8/1/22 1,500   1,541  
  CenterPoint Energy Inc. 3.600%   11/1/21 39,595   41,180  
  CenterPoint Energy Inc. 2.500%   9/1/22 25,930   26,863  
  CenterPoint Energy Inc. 3.850%   2/1/24 4,935   5,417  
  Connecticut Light & Power Co. 2.500%   1/15/23 24,990   26,120  
  Dominion Energy Inc. 2.750%   9/15/22 35,582   36,874  
7 Dominion Energy Inc. 2.450%   1/15/23 1,890   1,968  
  Dominion Energy Inc. 3.300%   3/15/25 6,230   6,920  
7 DPL Inc. 4.125%   7/1/25 1,196   1,244  
  DTE Electric Co. 2.650%   6/15/22 970   1,004  
  DTE Energy Co. 2.600%   6/15/22 38,240   39,438  
  DTE Energy Co. 3.300%   6/15/22 32,818   34,214  
  DTE Energy Co. 2.250%   11/1/22 80,850   83,775  
  DTE Energy Co. 3.700%   8/1/23 67,545   73,049  
  DTE Energy Co. 3.850%   12/1/23 5,227   5,699  
  Duke Energy Corp. 3.227%   3/11/22 290,625   301,398  
  Duke Energy Corp. 3.950%   10/15/23 13,291   14,574  
  Duke Energy Corp. 3.750%   4/15/24 6,641   7,324  
  Duke Energy Ohio Inc. 3.800%   9/1/23 11,620   12,649  
  Duke Energy Progress LLC 3.250%   8/15/25 7,443   8,310  
8 E.ON SE 0.000%   10/24/22 19,590   23,089  
7 EDP Finance BV 5.250%   1/14/21 71,670   73,017  
  Entergy Arkansas Inc. 3.050%   6/1/23 7,190   7,606  
  Entergy Arkansas Inc. 3.700%   6/1/24 9,388   10,340  
  Entergy Corp. 4.000%   7/15/22 41,151   43,707  
  Entergy Louisiana LLC 4.800%   5/1/21 12,415   12,691  
  Entergy Louisiana LLC 3.300%   12/1/22 6,710   7,081  
  Entergy Louisiana LLC 4.050%   9/1/23 11,650   12,718  
  Evergy Inc. 2.450%   9/15/24 48,500   51,411  
  Exelon Corp. 2.450%   4/15/21 8,638   8,741  
  Exelon Generation Co. LLC 3.400%   3/15/22 7,500   7,821  
  Florida Power & Light Co. 2.850%   4/1/25 15,540   17,107  
6 Florida Power & Light Co., 3M USD LIBOR + 0.380% 0.641%   7/28/23 26,600   26,607  
8 innogy Finance BV 6.500%   8/10/21 12,600   15,813  
  ITC Holdings Corp. 2.700%   11/15/22 29,250   30,538  
  LG&E & KU Energy LLC 4.375%   10/1/21 9,505   9,815  
  MidAmerican Energy Co. 3.700%   9/15/23 5,335   5,831  
  MidAmerican Energy Co. 3.500%   10/15/24 200   222  
  National Rural Utilities Cooperative Finance Corp. 2.700%   2/15/23 9,777   10,230  
  National Rural Utilities Cooperative Finance Corp. 3.400%   11/15/23 5,923   6,428  
  National Rural Utilities Cooperative Finance Corp. 2.950%   2/7/24 800   857  
  NextEra Energy Capital Holdings Inc. 2.900%   4/1/22 71,085   73,964  
  NextEra Energy Capital Holdings Inc. 3.300%   8/15/22 202,344   213,906  
  NextEra Energy Capital Holdings Inc. 2.800%   1/15/23 5,820   6,127  
  Northern States Power Co. 2.600%   5/15/23 2,224   2,330  
  NRG Energy Inc. 7.250%   5/15/26 14,552   15,625  
  NSTAR Electric Co. 3.500%   9/15/21 16,700   17,107  
  NSTAR Electric Co. 2.375%   10/15/22 19,155   19,878  
  Oncor Electric Delivery Co. LLC 4.100%   6/1/22 7,500   7,914  
  Oncor Electric Delivery Co. LLC 2.750%   6/1/24 48,545   52,662  
  Oncor Electric Delivery Co. LLC 2.950%   4/1/25 10,452   11,425  
  Pacific Gas & Electric Co. 1.750%   6/16/22 167,935   168,333  
  Pacific Gas & Electric Co. 3.500%   6/15/25 9,665   10,317  

 

 38 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Pacific Gas & Electric Co. 3.450%   7/1/25 9,665   10,330  
  PacifiCorp 3.600%   4/1/24 16,160   17,624  
7 Pattern Energy Operations LP / Pattern Energy Operations Inc. 4.500%   8/15/28 1,040   1,095  
  PECO Energy Co. 2.375%   9/15/22 5,580   5,776  
  PECO Energy Co. 3.150%   10/15/25 3,885   4,299  
  PG&E Corp. 5.000%   7/1/28 3,875   3,991  
  Potomac Electric Power Co. 3.600%   3/15/24 10,425   11,419  
  PPL Capital Funding Inc. 4.200%   6/15/22 2,050   2,166  
  PPL Capital Funding Inc. 3.500%   12/1/22 9,215   9,756  
  Progress Energy Inc. 3.150%   4/1/22 17,667   18,310  
  Public Service Electric & Gas Co. 2.375%   5/15/23 2,660   2,787  
  Public Service Electric & Gas Co. 3.250%   9/1/23 3,330   3,598  
  Public Service Enterprise Group Inc. 2.650%   11/15/22 1,455   1,519  
  Public Service Enterprise Group Inc. 2.875%   6/15/24 53,918   58,329  
  Puget Energy Inc. 6.000%   9/1/21 4,135   4,341  
  Puget Energy Inc. 5.625%   7/15/22 47,334   50,651  
  Southwestern Electric Power Co. 3.550%   2/15/22 16,040   16,602  
  Southwestern Public Service Co. 3.300%   6/15/24 39,473   42,883  
  Tampa Electric Co. 5.400%   5/15/21 12,630   13,093  
9 United Energy Distribution Pty Ltd. 3.850%   10/23/24 24,200   18,999  
6,9 Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.280% 0.383%   1/15/22 56,190   39,675  
  Virginia Electric & Power Co. 3.450%   9/1/22 24,565   25,766  
  Virginia Electric & Power Co. 2.750%   3/15/23 4,599   4,813  
  Virginia Electric & Power Co. 3.450%   2/15/24 18,459   19,991  
7 Vistra Operations Co. LLC 5.500%   9/1/26 880   926  
7 Vistra Operations Co. LLC 5.625%   2/15/27 880   942  
7 Vistra Operations Co. LLC 5.000%   7/31/27 3,830   4,079  
  Natural Gas (0.1%)  
7 East Ohio Gas Co. 1.300%   6/15/25 6,315   6,490  
7 Engie SA 2.875%   10/10/22 7,269   7,511  
  Sempra Energy 2.900%   2/1/23 16,585   17,399  
  Southern Co. Gas Capital Corp. 2.450%   10/1/23 6,570   6,905  
    2,419,767  
Total Corporate Bonds (Cost $42,884,537)   44,638,551  
Sovereign Bonds (5.7%)  
  Arab Petroleum Investments Corp. 4.125%   9/18/23 14,518   15,717  
7 Avi Funding Co. Ltd. 2.850%   9/16/20 11,075   11,103  
  Avi Funding Co. Ltd. 2.850%   9/16/20 8,875   8,895  
7 Banco del Estado de Chile 2.704%   1/9/25 8,050   8,081  
7 Banque Ouest Africaine de Developpement 5.500%   5/6/21 6,500   6,646  
7 Banque Ouest Africaine de Developpement 5.000%   7/27/27 17,455   18,502  
7 Bermuda 4.138%   1/3/23 6,000   6,329  
7 Bermuda 4.854%   2/6/24 2,861   3,139  
7 BNG Bank NV 2.125%   12/14/20 36,883   37,128  
7 BOC Aviation Ltd. 2.375%   9/15/21 29,210   29,392  
7 CDP Financial Inc. 3.150%   7/24/24 24,580   26,906  
  CNOOC Finance 2012 Ltd. 3.875%   5/2/22 43,545   45,573  
  CNOOC Finance 2015 USA LLC 3.500%   5/5/25 17,163   18,883  
  CNOOC Nexen Finance 2014 ULC 4.250%   4/30/24 31,319   34,707  
  CNPC General Capital Ltd. 3.950%   4/19/22 2,147   2,247  
  Comision Federal de Electricidad 4.875%   5/26/21 10,200   10,423  
  Corp. Andina de Fomento 4.375%   6/15/22 17,129   18,050  
  Corp. Andina de Fomento 2.375%   5/12/23 29,050   29,714  
7 Corp. Financiera de Desarrollo SA 4.750%   2/8/22 4,523   4,710  
  Corp. Financiera de Desarrollo SA 4.750%   2/8/22 13,150   13,669  
  Corp. Financiera de Desarrollo SA 4.750%   7/15/25 18,465   20,445  
  Development Bank of Kazakhstan JSC 4.125%   12/10/22 38,730   40,726  
7 Dexia Credit Local SA 2.500%   1/25/21 97,550   98,523  
7,14 Dexia Credit Local SA 1.875%   9/15/21 9,765   9,924  
7 Dexia Credit Local SA 2.375%   9/20/22 5,800   6,007  

 

 39 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Dominican Republic 7.500%   5/6/21 1,707   1,767  
  Dominican Republic 6.600%   1/28/24 4,125   4,461  
4 Dominican Republic 5.875%   4/18/24 6,380   6,691  
  Ecopetrol SA 4.125%   1/16/25 4,110   4,280  
7 Electricite de France SA 4.500%   9/21/28 16,050   19,241  
7 Emirate of Abu Dhabi 2.125%   9/30/24 189,450   198,273  
7 Emirate of Abu Dhabi 2.500%   4/16/25 23,683   25,233  
  Emirate of Abu Dhabi 3.125%   10/11/27 6,450   7,223  
  Empresa Nacional del Petroleo 4.750%   12/6/21 7,877   8,159  
  Empresa Nacional del Petroleo 4.375%   10/30/24 9,675   10,459  
  Empresa Nacional del Petroleo 3.750%   8/5/26 8,245   8,691  
4 Empresa Nacional del Petroleo 5.250%   11/6/29 7,686   8,833  
  Equinor ASA 2.900%   11/8/20 10,000   10,062  
  Equinor ASA 3.150%   1/23/22 2,000   2,080  
  Export-Import Bank of India 2.750%   8/12/20 5,317   5,318  
  Export-Import Bank of Korea 4.000%   1/29/21 2,000   2,034  
  Export-Import Bank of Korea 2.750%   1/25/22 2,500   2,579  
  Fondo MIVIVIENDA SA 3.500%   1/31/23 19,570   20,178  
  Gazprom OAO Via Gaz Capital SA 6.510%   3/7/22 9,480   10,157  
  Harvest Operations Corp. 3.000%   9/21/22 2,875   2,996  
7 Indonesia Asahan Aluminium Persero PT 5.230%   11/15/21 20,675   21,605  
7 Indonesia Asahan Aluminium Persero PT 4.750%   5/15/25 24,212   26,633  
  Industrial & Commercial Bank of China Ltd. 2.905%   11/13/20 7,050   7,091  
6 Industrial & Commercial Bank of China Ltd., 3M USD LIBOR + 0.750% 1.198%   11/8/20 20,000   19,995  
15 Japan Finance Organization for Municipalities 4.000%   1/13/21 9,750   9,902  
7 KazMunayGas National Co. JSC 6.375%   10/24/48 2,800   3,738  
  Kingdom of Morocco 4.250%   12/11/22 9,695   10,173  
7 Kingdom of Saudi Arabia 2.375%   10/26/21 1,615   1,643  
  Kingdom of Saudi Arabia 2.375%   10/26/21 71,255   72,540  
  Korea Development Bank 4.625%   11/16/21 2,795   2,931  
  Korea Development Bank 3.250%   2/19/24 12,205   13,221  
  Korea Hydro & Nuclear Power Co. Ltd. 3.000%   9/19/22 11,764   12,309  
  Korea Midland Power Co. Ltd. 2.500%   7/21/21 4,267   4,340  
  Korea Midland Power Co. Ltd. 3.375%   1/22/22 27,758   28,779  
7 Korea National Oil Corp. 2.875%   3/27/22 9,400   9,718  
  Korea Western Power Co. Ltd. 2.375%   7/22/22 9,809   10,094  
  KSA Sukuk Ltd. 2.894%   4/20/22 43,361   44,761  
16 KSA Sukuk Ltd. 3.628%   4/20/27 17,676   19,743  
8 MFB Magyar Fejlesztesi Bank Zrt 1.375%   6/24/25 16,459   19,681  
  North American Development Bank 2.400%   10/26/22 711   737  
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.125%   3/20/22 54,524   55,776  
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.875%   3/20/27 6,000   6,444  
4 Oriental Republic of Uruguay 4.500%   8/14/24 6,037   6,669  
  Pertamina Persero PT 4.875%   5/3/22 31,389   33,390  
  Pertamina Persero PT 4.300%   5/20/23 5,550   5,939  
  Perusahaan Listrik Negara PT 5.500%   11/22/21 23,156   24,285  
  Perusahaan Penerbit SBSN Indonesia III 3.400%   3/29/21 7,275   7,375  
  Perusahaan Penerbit SBSN Indonesia III 3.400%   3/29/22 21,339   22,086  
  Perusahaan Penerbit SBSN Indonesia III 3.300%   11/21/22 3,800   3,953  
17 Perusahaan Penerbit SBSN Indonesia III 3.900%   8/20/24 4,850   5,268  
  Perusahaan Penerbit SBSN Indonesia III 4.350%   9/10/24 37,071   41,010  
  Petrobras Global Finance BV 6.250%   3/17/24 4,840   5,300  
  Petronas Capital Ltd. 3.125%   3/18/22 12,520   12,891  
  Petronas Capital Ltd. 7.875%   5/22/22 10,234   11,443  
7 Petronas Capital Ltd. 3.500%   4/21/30 5,835   6,663  
7 Province of Alberta 1.750%   8/26/20 149,451   149,639  
  Province of Alberta 1.750%   8/26/20 1,300   1,301  
  Province of Nova Scotia 8.250%   7/30/22 12,785   14,725  
  Province of Quebec 2.750%   8/25/21 16,785   17,228  
4,7 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298%   9/30/20 547   552  
4 Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.298%   9/30/20 1,728   1,734  
  Republic of Azerbaijan 4.750%   3/18/24 10,807   11,653  
8 Republic of Chile 1.625%   1/30/25 19,817   24,561  

 

 40 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Republic of Colombia 4.375%   7/12/21 2,000   2,057  
4 Republic of Colombia 2.625%   3/15/23 20,200   20,754  
  Republic of Colombia 4.000%   2/26/24 95,456   102,022  
4 Republic of Colombia 4.500%   1/28/26 36,578   40,771  
  Republic of Colombia 10.375%   1/28/33 2,501   3,950  
  Republic of Croatia 6.375%   3/24/21 37,143   38,434  
  Republic of Guatemala 5.750%   6/6/22 14,243   15,039  
  Republic of Honduras 8.750%   12/16/20 15,128   15,405  
  Republic of Hungary 6.375%   3/29/21 116,482   120,983  
  Republic of Hungary 5.375%   2/21/23 51,242   56,680  
  Republic of Hungary 5.750%   11/22/23 36,629   42,073  
8 Republic of Hungary 1.125%   4/28/26 38,700   47,333  
  Republic of Indonesia 3.700%   1/8/22 2,100   2,178  
7 Republic of Indonesia 3.700%   1/8/22 10,072   10,449  
  Republic of Indonesia 3.750%   4/25/22 45,545   47,459  
  Republic of Indonesia 5.875%   1/15/24 42,763   49,145  
  Republic of Indonesia 4.125%   1/15/25 21,301   23,707  
  Republic of Indonesia 4.750%   1/8/26 5,300   6,123  
  Republic of Lithuania 6.125%   3/9/21 54,670   56,470  
7 Republic of Lithuania 6.125%   3/9/21 8,205   8,481  
  Republic of Lithuania 6.625%   2/1/22 35,220   38,284  
4 Republic of Panama 4.000%   9/22/24 37,400   41,280  
4 Republic of Panama 3.750%   3/16/25 21,642   23,752  
  Republic of Panama 7.125%   1/29/26 8,942   11,401  
  Republic of Paraguay 4.625%   1/25/23 26,800   28,645  
  Republic of Peru 7.350%   7/21/25 32,392   41,983  
  Republic of Poland 5.125%   4/21/21 31,520   32,619  
  Republic of Poland 5.000%   3/23/22 46,710   50,219  
  Republic of Poland 3.000%   3/17/23 1,266   1,345  
  Republic of Romania 6.750%   2/7/22 2,672   2,886  
  Republic of Romania 4.375%   8/22/23 12,480   13,431  
  Republic of Romania 4.875%   1/22/24 7,934   8,767  
8 Republic of Romania 2.750%   2/26/26 17,080   21,315  
8 Republic of Romania 2.000%   12/8/26 38,926   46,900  
8 Republic of Romania 2.124%   7/16/31 2,500   2,871  
7,8 Republic of Romania 2.000%   1/28/32 35,873   40,249  
  Republic of Serbia 7.250%   9/28/21 76,590   81,479  
7,8 Republic of Serbia 3.125%   5/15/27 12,857   16,100  
  Republic of Slovenia 5.500%   10/26/22 11,740   12,932  
  Republic of Slovenia 5.850%   5/10/23 2,100   2,384  
7 Republic of Slovenia 5.250%   2/18/24 8,600   9,894  
  Republic of South Africa 5.875%   9/16/25 25,820   27,627  
  Republic of South Africa 4.875%   4/14/26 6,325   6,376  
  Republic of South Africa 4.850%   9/27/27 8,800   8,723  
  Republic of South Africa 4.300%   10/12/28 4,240   3,987  
8 Republic of the Philippines 0.000%   2/3/23 39,801   46,386  
  Russian Federation 4.750%   5/27/26 55,400   63,918  
  Sharjah Sukuk Program Ltd. 3.854%   4/3/26 21,160   23,032  
  Sinopec Group Overseas Development 2012 Ltd. 3.900%   5/17/22 8,873   9,321  
7 Sinopec Group Overseas Development 2013 Ltd. 4.375%   10/17/23 21,800   23,989  
  Sinopec Group Overseas Development 2013 Ltd. 4.375%   10/17/23 30,630   33,705  
  Sinopec Group Overseas Development 2015 Ltd. 3.250%   4/28/25 10,000   10,905  
  Sinopec Group Overseas Development 2017 Ltd. 2.500%   9/13/22 38,173   39,240  
7 Slovak Republic 4.375%   5/21/22 5,500   5,879  
  Slovak Republic 4.375%   5/21/22 3,000   3,204  
  State Grid Overseas Investment 2014 Ltd. 4.125%   5/7/24 8,654   9,621  
  State Grid Overseas Investment 2016 Ltd. 2.750%   5/4/22 16,600   17,088  
  State Grid Overseas Investment 2016 Ltd. 3.750%   5/2/23 10,775   11,559  
  State of Israel 3.150%   6/30/23 26,725   28,641  
  State of Israel 2.750%   7/3/30 6,730   7,450  
  State of Kuwait 2.750%   3/20/22 69,122   71,373  
  State of Kuwait 3.500%   3/20/27 7,863   8,903  
  State of Qatar 4.500%   1/20/22 14,555   15,318  
  State of Qatar 3.400%   4/16/25 47,167   52,064  

 

 41 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  State Oil Co. of the Azerbaijan Republic 4.750%   3/13/23 6,595   6,917  
7 Temasek Financial I Ltd. 2.375%   1/23/23 5,000   5,232  
  United Mexican States 4.000%   10/2/23 10,610   11,405  
4 United Mexican States 3.900%   4/27/25 90,557   98,046  
  United Mexican States 4.150%   3/28/27 44,585   49,022  
Total Sovereign Bonds (Cost $3,509,735)   3,630,853  
Taxable Municipal Bonds (0.1%)  
18 New Jersey Economic Development Authority Revenue (State Pension Funding) 7.425%   2/15/29 24,945   31,049  
  Research Foundation of State University of New York 4.248%   9/1/35 4,800   5,267  
Total Taxable Municipal Bonds (Cost $36,364)   36,316  

 

      Shares      
Common Stocks (0.1%)  
Exchange-Traded Fund (0.1%)  
19 Vanguard Short-Term Corporate Bond ETF
(Cost $78,302)		     967,764   80,421  
Temporary Cash Investment (2.0%)  
Money Market Fund (2.0%)  
20 Vanguard Market Liquidity Fund
(Cost $1,270,829)		 0.194%     12,711,736   1,271,174  
Total Investments (100.4%) (Cost $61,909,098)   64,243,917  
Other Assets and Liabilities—Net (-0.4%)   (264,456 ) 
Net Assets (100%)   63,979,461  

 

Cost is in $000.
§ 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 July 31, 2020.
1 Securities with a value of $73,937,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $16,054,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $78,622,000 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 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 July 31, 2020, the aggregate value of these securities was $10,711,265,000, representing 16.7% of net assets.
8 Face amount denominated in euro.
9 Face amount denominated in Australian dollars.
10 Face amount denominated in British pounds.
11 Face amount denominated in Canadian dollars.
12 Non-income-producing security—security in default.
13 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2020.
14 Guaranteed by multiple countries.
15 Guaranteed by the Government of Japan.
16 Guaranteed by the Kingdom of Saudi Arabia.
17 Guaranteed by the Republic of Indonesia.
18 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
19 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
20 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

 42 

 

 

Vanguard® Short-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

  CMT—Constant Maturing Treasury Rate.
  LIBOR—London Interbank Offered Rate.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.

 

 43 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
U.S. Government and Agency Obligations (7.7%)  
U.S. Government Securities (6.1%)  
  United States Treasury Note/Bond 1.250% 8/31/24 233,055   243,251  
1 United States Treasury Note/Bond 1.500% 1/31/27 247,931   266,060  
2 United States Treasury Note/Bond 1.125% 2/28/27 148,759   156,081  
3 United States Treasury Note/Bond 0.625% 3/31/27 123,965   125,999  
  United States Treasury Note/Bond 0.500% 4/30/27 49,586   49,981  
  United States Treasury Note/Bond 0.500% 5/31/27 250,000   251,915  
3 United States Treasury Note/Bond 1.500% 2/15/30 580,158   633,098  
  United States Treasury Note/Bond 0.625% 5/15/30 400,000   403,248  
    2,129,633  
Agency Notes (0.0%)  
4 Fannie Mae Interest Strip 0.000% 10/25/40 6,602   6,313  
               
Conventional Mortgage-Backed Securities (1.1%)  
4,5 Fannie Mae Pool 3.000% 10/1/49–12/1/49 138,385   143,748  
4,5 Fannie Mae Pool 3.500% 12/1/49 5,119   5,298  
4 Ginnie Mae II Pool 3.000% 9/20/49 60,230   62,843  
4 UMBS Pool 2.000% 9/1/50 178,000   184,036  
4 UMBS Pool 3.500% 4/1/49 563   595  
    396,520  
Nonconventional Mortgage-Backed Securities (0.5%)  
4,5 Fannie Mae REMICS 3.500% 3/25/43–7/25/48 22,750   26,075  
4,5 Fannie Mae REMICS 4.000% 10/25/48 7,936   8,926  
4,5 Fannie Mae REMICS 5.250% 9/25/41 13,597   15,920  
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893% 4.143% 9/1/32 115   119  
4,5,6 Freddie Mac Non Gold Pool, 1Y CMT + 2.250% 4.291% 8/1/32 176   183  
4,5 Freddie Mac REMICS 4.000% 8/15/47–5/15/49 43,195   48,451  
4 Ginnie Mae REMICS 3.000% 11/20/45–8/20/46 20,518   23,098  
4 Ginnie Mae REMICS 3.500% 6/20/48–5/20/49 30,434   33,744  
    156,516  
Total U.S. Government and Agency Obligations (Cost $2,652,465)   2,688,982  
Asset-Backed/Commercial Mortgage-Backed Securities (10.0%)      
4 Ally Auto Receivables Trust 2019-1 3.020% 4/15/24 3,030   3,186  
4,7 American Homes 4 Rent 2014-SFR2 3.786% 10/17/36 3,788   4,066  
4,7 American Homes 4 Rent 2014-SFR2 4.290% 10/17/36 1,060   1,146  
4,7 American Homes 4 Rent 2014-SFR3 3.678% 12/17/36 6,361   6,814  
4,7 American Homes 4 Rent 2015-SFR1 3.467% 4/17/52 4,964   5,296  
4,7 American Homes 4 Rent 2015-SFR2 3.732% 10/17/52 2,685   2,913  
4,7 American Homes 4 Rent 2015-SFR2 4.295% 10/17/52 1,070   1,175  
4 AmeriCredit Automobile Receivables Trust 2018-2 4.010% 7/18/24 9,460   9,832  
4 AmeriCredit Automobile Receivables Trust 2019-1 3.620% 3/18/25 7,240   7,600  
4,7 AOA Mortgage Trust 2015-1177 2.957% 12/13/29 1,330   1,344  
4,7 Applebee's Funding LLC / IHOP Funding LLC 2019-1 4.194% 6/7/49 2,260   1,937  
4,7 ARL Second LLC 2014-1A 2.920% 6/15/44 3,413   3,342  
4,7 Aventura Mall Trust 2018-AVM 4.112% 7/5/40 35,881   37,990  
4,7 Avis Budget Rental Car Funding AESOP LLC 2017-1A 3.070% 9/20/23 4,220   4,240  
4,7 BAMLL Commercial Mortgage Securities Trust 2012-PARK 2.959% 12/10/30 4,975   4,986  
4,7 BAMLL Commercial Mortgage Securities Trust 2019-BPR 3.112% 11/5/32 22,800   21,407  
4,7 BAMLL Commercial Mortgage Securities Trust 2019-BPR 3.287% 11/5/32 5,700   5,434  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.429% 9/15/48 3,350   3,560  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 3.441% 9/15/48 4,447   4,895  
4 Banc of America Commercial Mortgage Trust 2015-UBS7 4.360% 9/15/48 360   337  
4 Banc of America Commercial Mortgage Trust 2017-BNK3 3.574% 2/15/50 1,540   1,724  

   

 44 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 BANK 2017 - BNK4 3.625% 5/15/50 1,661   1,869  
4 BANK 2017 - BNK6 3.254% 7/15/60 9,760   10,759  
4 BANK 2017 - BNK6 3.518% 7/15/60 5,760   6,459  
4 BANK 2017 - BNK6 3.741% 7/15/60 1,310   1,476  
4 BANK 2017 - BNK7 3.175% 9/15/60 51,629   56,832  
4 BANK 2017 - BNK7 3.435% 9/15/60 5,890   6,599  
4 BANK 2017 - BNK8 3.488% 11/15/50 11,570   13,117  
4 BANK 2018 - BNK10 3.641% 2/15/61 4,430   4,920  
4 BANK 2018 - BNK12 4.255% 5/15/61 3,960   4,692  
4 BANK 2018 - BNK14 4.185% 9/15/60 2,205   2,518  
4 BANK 2018 - BNK14 4.231% 9/15/60 4,985   5,935  
4 BANK 2019 - BNK17 3.623% 4/15/52 1,437   1,630  
4 BANK 2019 - BNK17 3.714% 4/15/52 5,604   6,557  
4 BANK 2019 - BNK20 3.011% 9/15/62 7,060   7,898  
4 BANK 2019 - BNK23 2.846% 12/15/52 9,970   10,916  
4 BANK 2019 - BNK23 2.920% 12/15/52 32,053   35,612  
4 BBCMS Mortgage Trust 2020-C6 2.639% 2/15/53 9,600   10,485  
4 Benchmark 2018-B1 Mortgage Trust 3.602% 1/15/51 2,910   3,235  
4 Benchmark 2018-B1 Mortgage Trust 3.878% 1/15/51 2,350   2,665  
4 Benchmark 2018-B1 Mortgage Trust 4.059% 1/15/51 6,320   6,951  
4 Benchmark 2018-B1 Mortgage Trust 4.116% 1/15/51 9,810   9,584  
4 Benchmark 2018-B6 Mortgage Trust 4.170% 10/10/51 3,047   3,481  
4 Benchmark 2018-B6 Mortgage Trust 4.261% 10/10/51 6,770   8,091  
4 Benchmark 2019-B10 Mortgage Trust 3.615% 3/15/62 1,532   1,726  
4 Benchmark 2019-B15 Mortgage Trust 2.859% 12/15/72 6,735   7,321  
4 Benchmark 2019-B15 Mortgage Trust 2.928% 12/15/72 27,986   31,238  
4 Benchmark 2020-B16 Mortgage Trust 2.732% 2/15/53 13,660   15,028  
4,7 BX Trust 2019-OC11 3.202% 12/9/41 6,800   7,168  
4,7 CAL Funding II Ltd. Series 2018-2A 4.340% 9/25/43 5,790   5,813  
4 California Republic Auto Receivables Trust 2016-1 4.560% 12/15/22 8,320   8,331  
4,7 Canadian Pacer Auto Receivables Trust A Series 2018 3.220% 9/19/22 3,310   3,361  
4,7 Canadian Pacer Auto Receivables Trust A Series 2018 3.270% 12/19/22 2,859   2,881  
4,7 Canadian Pacer Auto Receivables Trust A Series 2018 3.440% 8/21/23 1,280   1,324  
4,7 Canadian Pacer Auto Receivables Trust A Series 2019 2.960% 6/19/24 2,090   2,176  
4 Cantor Commercial Real Estate Lending 2019-CF3 3.006% 1/15/53 14,800   16,503  
4 Capital One Auto Receivables Trust 2019-1 2.560% 10/15/24 5,890   6,186  
4 CarMax Auto Owner Trust 2017-4 2.330% 5/15/23 3,460   3,539  
4 CarMax Auto Owner Trust 2018-1 2.830% 9/15/23 5,020   5,180  
4 CarMax Auto Owner Trust 2018-1 2.950% 11/15/23 1,560   1,598  
4 CarMax Auto Owner Trust 2018-2 3.370% 10/16/23 2,140   2,231  
4 CarMax Auto Owner Trust 2018-2 3.570% 12/15/23 3,090   3,227  
4 CarMax Auto Owner Trust 2018-2 3.990% 4/15/25 2,390   2,447  
4 CarMax Auto Owner Trust 2018-3 3.270% 3/15/24 6,740   7,079  
4 CarMax Auto Owner Trust 2018-4 3.480% 2/15/24 3,370   3,589  
4 CarMax Auto Owner Trust 2018-4 3.670% 5/15/24 2,960   3,149  
4 CarMax Auto Owner Trust 2018-4 3.850% 7/15/24 2,010   2,123  
4 CarMax Auto Owner Trust 2018-4 4.150% 4/15/25 1,360   1,428  
4 CarMax Auto Owner Trust 2019-3 2.300% 4/15/25 4,760   4,981  
4 CarMax Auto Owner Trust 2019-3 2.500% 4/15/25 6,040   6,322  
4 CarMax Auto Owner Trust 2019-4 2.130% 7/15/25 4,510   4,723  
4 CarMax Auto Owner Trust 2019-4 2.600% 9/15/25 2,690   2,781  
4 CD 2016-CD1 Commercial Mortgage Trust 2.724% 8/10/49 18,170   19,415  
4 CD 2016-CD1 Commercial Mortgage Trust 3.631% 8/10/49 5,510   5,096  
4 CD 2017-CD3 Commercial Mortgage Trust 3.631% 2/10/50 7,765   8,742  
4 CD 2017-CD4 Commercial Mortgage Trust 3.514% 5/10/50 2,470   2,774  
4 CD 2017-CD6 Commercial Mortgage Trust 3.456% 11/13/50 2,341   2,629  
4,7 CFCRE Commercial Mortgage Trust 2011-C2 5.739% 12/15/47 5,260   5,474  
4 CFCRE Commercial Mortgage Trust 2016-C4 3.283% 5/10/58 4,826   5,222  
4,7 Citigroup Commercial Mortgage Trust 2012-GC8 3.683% 9/10/45 2,017   2,038  
4 Citigroup Commercial Mortgage Trust 2013-GC11 3.093% 4/10/46 6,015   6,275  
4 Citigroup Commercial Mortgage Trust 2013-GC15 3.942% 9/10/46 566   589  
4 Citigroup Commercial Mortgage Trust 2013-GC15 4.371% 9/10/46 1,910   2,094  
4 Citigroup Commercial Mortgage Trust 2014-GC19 3.753% 3/10/47 476   509  
4 Citigroup Commercial Mortgage Trust 2014-GC19 4.023% 3/10/47 16,273   17,661  

  

 45 

 

  

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Citigroup Commercial Mortgage Trust 2014-GC21 3.575% 5/10/47 13,456   14,189  
4 Citigroup Commercial Mortgage Trust 2014-GC21 3.855% 5/10/47 9,397   10,230  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.356% 7/10/47 4,073   4,347  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.622% 7/10/47 8,949   9,684  
4 Citigroup Commercial Mortgage Trust 2014-GC23 3.863% 7/10/47 2,020   2,181  
4 Citigroup Commercial Mortgage Trust 2014-GC23 4.175% 7/10/47 800   857  
4 Citigroup Commercial Mortgage Trust 2014-GC23 4.432% 7/10/47 1,250   1,299  
4 Citigroup Commercial Mortgage Trust 2014-GC25 3.372% 10/10/47 4,729   5,047  
4 Citigroup Commercial Mortgage Trust 2014-GC25 3.635% 10/10/47 13,275   14,447  
4 Citigroup Commercial Mortgage Trust 2014-GC25 4.345% 10/10/47 2,170   2,299  
4 Citigroup Commercial Mortgage Trust 2014-GC25 4.525% 10/10/47 3,270   3,215  
4 Citigroup Commercial Mortgage Trust 2015-GC27 3.137% 2/10/48 6,418   6,879  
4 Citigroup Commercial Mortgage Trust 2015-GC31 3.762% 6/10/48 38,449   42,574  
4 Citigroup Commercial Mortgage Trust 2015-GC33 4.572% 9/10/58 900   882  
4 Citigroup Commercial Mortgage Trust 2016-GC37 3.050% 4/10/49 12,530   13,289  
4 Citigroup Commercial Mortgage Trust 2017-C4 3.471% 10/12/50 6,425   7,246  
4 Citigroup Commercial Mortgage Trust 2017-P8 3.203% 9/15/50 1,530   1,674  
4 Citigroup Commercial Mortgage Trust 2017-P8 3.465% 9/15/50 13,370   15,104  
4 Citigroup Commercial Mortgage Trust 2017-P8 4.192% 9/15/50 3,150   3,369  
4 Citigroup Commercial Mortgage Trust 2017-P8 4.268% 9/15/50 3,150   2,953  
4 Citigroup Commercial Mortgage Trust 2018-C5 4.228% 6/10/51 900   1,063  
4 Citigroup Commercial Mortgage Trust 2018-C6 4.343% 11/10/51 7,300   8,436  
4 Citigroup Commercial Mortgage Trust 2019-C7 2.860% 12/15/72 13,420   14,818  
4 Citigroup Commercial Mortgage Trust 2019-C7 3.042% 12/15/72 11,228   12,448  
4,7 CLI Funding V LLC 2013-1A 2.830% 3/18/28 1,555   1,546  
4 COMM 2012-CCRE2 Mortgage Trust 3.147% 8/15/45 2,971   3,073  
4 COMM 2012-CCRE2 Mortgage Trust 3.791% 8/15/45 3,900   4,032  
4,7 COMM 2012-CCRE3 Mortgage Trust 3.416% 10/15/45 6,160   6,283  
4 COMM 2012-CCRE4 Mortgage Trust 2.853% 10/15/45 6,857   7,028  
4 COMM 2012-CCRE4 Mortgage Trust 3.251% 10/15/45 420   427  
4 COMM 2012-CCRE5 Mortgage Trust 2.771% 12/10/45 2,919   3,016  
4,7 COMM 2013-300P Mortgage Trust 4.353% 8/10/30 12,270   13,156  
4 COMM 2013-CCRE10 Mortgage Trust 3.795% 8/10/46 503   525  
4 COMM 2013-CCRE11 Mortgage Trust 3.983% 8/10/50 4,875   5,259  
4 COMM 2013-CCRE11 Mortgage Trust 4.258% 8/10/50 4,757   5,199  
4 COMM 2013-CCRE12 Mortgage Trust 3.623% 10/10/46 1,169   1,189  
4 COMM 2013-CCRE12 Mortgage Trust 3.765% 10/10/46 5,579   6,008  
4 COMM 2013-CCRE12 Mortgage Trust 4.046% 10/10/46 13,127   14,277  
4 COMM 2013-CCRE13 Mortgage Trust 4.887% 11/10/46 855   915  
4 COMM 2013-CCRE13 Mortgage Trust 4.887% 11/10/46 3,025   3,036  
4,7 COMM 2013-CCRE6 Mortgage Trust 3.147% 3/10/46 9,240   9,551  
4,7 COMM 2013-CCRE6 Mortgage Trust 3.397% 3/10/46 1,400   1,421  
4 COMM 2013-CCRE8 Mortgage Trust 3.334% 6/10/46 554   579  
4 COMM 2013-CCRE8 Mortgage Trust 3.612% 6/10/46 8,560   9,116  
4 COMM 2013-CCRE9 Mortgage Trust 4.220% 7/10/45 5,493   5,885  
4,7 COMM 2013-CCRE9 Mortgage Trust 4.244% 7/10/45 2,780   2,604  
4,7 COMM 2013-LC13 Mortgage Trust 3.774% 8/10/46 846   879  
4 COMM 2013-LC13 Mortgage Trust 4.205% 8/10/46 585   625  
4 COMM 2013-LC6 Mortgage Trust 2.941% 1/10/46 3,116   3,230  
4,7 COMM 2013-SFS Mortgage Trust 2.987% 4/12/35 9,492   9,321  
4,7 COMM 2014-277P Mortgage Trust 3.611% 8/10/49 18,320   19,662  
4 COMM 2014-CCRE14 Mortgage Trust 3.955% 2/10/47 500   543  
4 COMM 2014-CCRE14 Mortgage Trust 4.236% 2/10/47 4,932   5,395  
4 COMM 2014-CCRE15 Mortgage Trust 2.928% 2/10/47 487   488  
4 COMM 2014-CCRE15 Mortgage Trust 4.074% 2/10/47 4,350   4,763  
4 COMM 2014-CCRE15 Mortgage Trust 4.426% 2/10/47 1,300   1,422  
4 COMM 2014-CCRE17 Mortgage Trust 3.700% 5/10/47 982   1,056  
4 COMM 2014-CCRE17 Mortgage Trust 3.977% 5/10/47 6,398   7,008  
4 COMM 2014-CCRE17 Mortgage Trust 4.174% 5/10/47 1,290   1,389  
4 COMM 2014-CCRE17 Mortgage Trust 4.784% 5/10/47 4,400   4,315  
4 COMM 2014-CCRE18 Mortgage Trust 3.550% 7/15/47 6,320   6,747  
4 COMM 2014-CCRE18 Mortgage Trust 3.828% 7/15/47 11,585   12,641  
4 COMM 2014-CCRE20 Mortgage Trust 3.326% 11/10/47 13,080   13,964  
4 COMM 2014-LC17 Mortgage Trust 3.917% 10/10/47 2,512   2,769  

 

 46 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 COMM 2015-CCRE24 Mortgage Trust 3.696% 8/10/48 2,590   2,878  
4 COMM 2015-CCRE25 Mortgage Trust 3.759% 8/10/48 4,187   4,616  
4 COMM 2015-CCRE27 Mortgage Trust 3.612% 10/10/48 3,748   4,153  
4 COMM 2015-CCRE27 Mortgage Trust 4.456% 10/10/48 1,760   1,818  
4 COMM 2015-LC19 Mortgage Trust 3.183% 2/10/48 10,403   11,252  
4 COMM 2019-G44 Mortgage Trust 2.873% 8/15/57 10,864   11,892  
4 CSAIL 2015-C2 Commercial Mortgage Trust 3.504% 6/15/57 6,650   7,211  
4 CSAIL 2015-C3 Commercial Mortgage Trust 4.349% 8/15/48 2,160   1,987  
4 CSAIL 2015-C4 Commercial Mortgage Trust 3.808% 11/15/48 11,274   12,489  
4 CSAIL 2016-C5 Commercial Mortgage Trust 4.572% 11/15/48 3,620   3,437  
4 CSAIL 2016-C7 Commercial Mortgage Trust 3.502% 11/15/49 17,308   19,094  
4 CSAIL 2017-C8 Commercial Mortgage Trust 3.392% 6/15/50 6,995   7,733  
4 CSAIL 2019-C18 Commercial Mortgage Trust 2.868% 12/15/52 10,783   11,807  
4 CSAIL 2020-C19 Commercial Mortgage Trust 2.561% 3/15/53 15,250   16,432  
4,7 Daimler Trucks Retail Trust 2019-1 2.790% 5/15/25 5,700   5,831  
4 DBGS Mortgage Trust 2018-C1 4.466% 10/15/51 12,600   15,152  
4 DBJPM 16-C1 Mortgage Trust 3.347% 5/10/49 1,250   1,122  
4 DBJPM 17-C6 Mortgage Trust 3.328% 6/10/50 11,540   12,872  
4,6,7 DELAM 2018-1, 1M USD LIBOR + 0.700% 0.887% 11/19/25 10,290   10,282  
4,7 DLL Securitization Trust Series 2019-DA1 2.920% 4/20/27 10,910   11,423  
4,7 DLL Securitization Trust Series 2019-MT3 2.150% 9/21/26 9,600   9,862  
4,7 DRB Prime Student Loan Trust 2017-C 2.810% 11/25/42 7,662   7,810  
4,7 Drive Auto Receivables Trust 2016-C 4.180% 3/15/24 6,785   6,877  
4 Drive Auto Receivables Trust 2017-1 3.840% 3/15/23 998   1,013  
4 Drive Auto Receivables Trust 2018-3 4.300% 9/16/24 8,070   8,300  
4 Drive Auto Receivables Trust 2018-5 4.300% 4/15/26 13,430   14,116  
4 Drive Auto Receivables Trust 2019-2 3.690% 8/17/26 5,630   5,867  
4,6,7 Edsouth Indenture No. 9 LLC 2015-1, 1M USD LIBOR + 0.800% 0.972% 10/25/56 4,316   4,200  
4,7 EDvestinU Private Education Loan Trust (EDVES) 2019-A 3.580% 11/25/38 3,367   3,516  
4,7 ELFI Graduate Loan Program 2018-A LLC 3.430% 8/25/42 6,554   6,816  
4,7 Enterprise Fleet Financing LLC Series 2019-1 3.070% 10/20/24 4,970   5,197  
4,7 Enterprise Fleet Financing LLC Series 2020-1 1.860% 12/22/25 1,600   1,641  
4,7 Fair Square Issuance Trust FSIT 2020-A 2.900% 9/20/24 6,790   6,782  
4,5 Fannie Mae Grantor Trust 2017-T1 2.898% 6/25/27 10,238   11,310  
4,7 Fontainebleau Miami Beach Trust 2019-FBLU 3.144% 12/10/36 29,325   29,758  
4,7 Ford Credit Auto Owner Trust 2017-2 2.360% 3/15/29 21,890   22,654  
4,7 Ford Credit Auto Owner Trust 2017-2 2.600% 3/15/29 4,800   4,892  
4,7 Ford Credit Auto Owner Trust 2017-2 2.750% 3/15/29 9,830   9,926  
4,7 Ford Credit Auto Owner Trust 2018-2 3.760% 1/15/30 3,660   3,794  
4,7 Ford Credit Auto Owner Trust 2018-REV1 3.190% 7/15/31 19,160   20,448  
4,7 Ford Credit Auto Owner Trust 2018-REV1 3.340% 7/15/31 7,010   7,401  
4,7 Ford Credit Auto Owner Trust 2018-REV2 3.470% 1/15/30 9,790   10,438  
4,7 Ford Credit Auto Owner Trust 2018-REV2 3.610% 1/15/30 8,140   8,567  
4,7 Ford Credit Auto Owner Trust 2019-1 3.520% 7/15/30 6,393   6,899  
4 Ford Credit Auto Owner Trust 2019-A 2.850% 8/15/24 11,040   11,615  
4 Ford Credit Auto Owner Trust 2019-A 3.020% 10/15/24 4,250   4,471  
4 Ford Credit Auto Owner Trust 2019-A 3.250% 9/15/25 4,520   4,696  
4,7 Ford Credit Auto Owner Trust 2020-1 2.040% 8/15/31 8,520   8,809  
4,7 Ford Credit Auto Owner Trust 2020-1 2.290% 8/15/31 8,090   8,204  
4,7 Ford Credit Auto Owner Trust 2020-1 2.540% 8/15/31 9,960   9,881  
4 Ford Credit Floorplan Master Owner Trust 2019-A 2.440% 9/15/26 350   367  
4 Ford Credit Floorplan Master Owner Trust A Series 2019-1 2.840% 3/15/24 19,500   20,157  
4 Ford Credit Floorplan Master Owner Trust A Series 2019-2 3.250% 4/15/26 3,330   3,466  
4,5,7 Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1 3.723% 2/25/48 1,526   1,517  
4,7 GM Financial Consumer Automobile 2017-3 2.330% 3/16/23 1,640   1,666  
4 GM Financial Consumer Automobile 2018-3 3.160% 1/16/24 3,690   3,862  
4 GM Financial Consumer Automobile 2018-4 3.320% 6/17/24 4,120   4,360  
4 GM Financial Consumer Automobile 2019-4 1.760% 1/16/25 3,240   3,336  
4,7 GMF Floorplan Owner Revolving Trust 2019-1 2.700% 4/15/24 5,900   6,045  

  

 47 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4,7 Golden Credit Card Trust 2018-4A 3.440% 10/15/25 42,208   45,204  
4,7 GRACE Mortgage Trust 2014-A 3.369% 6/10/28 1,000   1,010  
4,7 GreatAmerica Leasing Receivables Funding LLC Series 2019-1 3.210% 2/18/25 2,540   2,672  
4,7 GS Mortgage Securities Trust 2010-C2 5.179% 12/10/43 1,370   1,369  
4,7 GS Mortgage Securities Trust 2011-GC3 5.566% 3/10/44 2,650   2,648  
4,7 GS Mortgage Securities Trust 2012-ALOHA 3.551% 4/10/34 5,430   5,482  
4,7 GS Mortgage Securities Trust 2012-BWTR 2.954% 11/5/34 7,625   7,605  
4,7 GS Mortgage Securities Trust 2012-GC6 4.948% 1/10/45 1,025   1,060  
4 GS Mortgage Securities Trust 2012-GCJ7 5.704% 5/10/45 2,140   2,046  
4 GS Mortgage Securities Trust 2013-GC13 4.051% 7/10/46 185   200  
4,7 GS Mortgage Securities Trust 2013-GC13 4.084% 7/10/46 1,210   1,168  
4 GS Mortgage Securities Trust 2013-GCJ12 3.135% 6/10/46 4,128   4,330  
4 GS Mortgage Securities Trust 2013-GCJ12 3.777% 6/10/46 1,550   1,533  
4 GS Mortgage Securities Trust 2013-GCJ14 3.817% 8/10/46 484   502  
4 GS Mortgage Securities Trust 2013-GCJ14 3.955% 8/10/46 6,005   6,308  
4 GS Mortgage Securities Trust 2013-GCJ14 4.243% 8/10/46 105   113  
4 GS Mortgage Securities Trust 2014-GC20 3.998% 4/10/47 11,289   12,260  
4 GS Mortgage Securities Trust 2014-GC20 4.258% 4/10/47 570   610  
4 GS Mortgage Securities Trust 2014-GC24 4.162% 9/10/47 6,520   7,003  
4 GS Mortgage Securities Trust 2014-GC24 4.511% 9/10/47 2,610   2,309  
4 GS Mortgage Securities Trust 2014-GC24 4.532% 9/10/47 4,615   3,920  
4 GS Mortgage Securities Trust 2014-GC26 3.364% 11/10/47 7,680   8,200  
4 GS Mortgage Securities Trust 2015-GC28 3.136% 2/10/48 9,286   9,964  
4 GS Mortgage Securities Trust 2015-GC30 3.382% 5/10/50 2,398   2,609  
4 GS Mortgage Securities Trust 2015-GC32 3.764% 7/10/48 4,615   5,127  
4 GS Mortgage Securities Trust 2015-GC34 3.244% 10/10/48 7,680   8,286  
4 GS Mortgage Securities Trust 2015-GC34 4.650% 10/10/48 2,610   2,568  
4 GS Mortgage Securities Trust 2016-GS3 2.850% 10/10/49 2,220   2,376  
4 GS Mortgage Securities Trust 2017-GS6 3.433% 5/10/50 10,220   11,424  
4 GS Mortgage Securities Trust 2018-GS10 4.155% 7/10/51 5,335   6,346  
4 GS Mortgage Securities Trust 2019-GC38 3.968% 2/10/52 3,080   3,612  
4 GS Mortgage Securities Trust 2019-GC40 3.160% 7/10/52 6,528   7,333  
4 GS Mortgage Securities Trust 2019-GS4 3.001% 9/1/52 13,130   14,635  
4 GS Mortgage Securities Trust 2020-GC45 2.911% 2/13/53 18,170   20,152  
4 GS Mortgage Securities Trust-2020-GC45 2.843% 2/13/53 7,336   7,993  
4,7 Hardee's Funding HNGRY 2018-1A 5.710% 6/20/48 11,279   11,544  
4,7 Harley Marine Financing LLC Barge 2018-1 5.682% 5/15/43 7,417   6,721  
4 Harley-Davidson Motorcycle Trust 2019-A 2.390% 11/15/26 4,110   4,267  
4,7 Hilton USA Trust 2016-HHV 3.719% 11/5/38 7,780   8,174  
4,6,7 Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360% 0.635% 10/15/54 2,366   2,365  
4,6,7 Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% 0.695% 10/15/54 4,716   4,711  
4 Honda Auto Receivables 2018-4 Owner Trust 3.300% 7/15/25 4,180   4,381  
4 Honda Auto Receivables 2019-1 Owner Trust 2.900% 6/18/24 2,480   2,597  
4 Honda Auto Receivables 2019-3 Owner Trust 1.850% 8/15/25 9,400   9,696  
4,7 Houston Galleria Mall Trust 2015-HGLR 3.087% 3/5/37 10,910   11,100  
4,7 HPEFS Equipment Trust 2019-1 2.490% 9/20/29 2,600   2,630  
4,7 HPEFS Equipment Trust 2019-1 2.720% 9/20/29 1,200   1,206  
4,7 HPEFS Equipment Trust 2020-1A 1.890% 2/20/30 2,300   2,337  
4,7 Hudson Yards 2019-30HY 3.228% 7/10/39 4,590   5,175  
4,7 Hudsons Bay Simon JV Trust 2015-HB7 3.914% 8/5/34 4,750   3,902  
4 Hyundai Auto Receivables Trust 2019-A 2.940% 5/15/25 2,490   2,626  
4 Hyundai Auto Receivables Trust 2019-B 2.000% 4/15/25 1,850   1,923  
4 Hyundai Auto Receivables Trust 2019-B 2.210% 4/15/25 530   554  
4,7 Hyundai Floorplan Master Owner Trust Series 2019-1A 2.680% 4/15/24 7,380   7,547  
4,6,7 Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 0.850% 1.025% 12/17/36 13,265   13,094  
4,6,7 Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 1.150% 1.325% 12/17/36 4,930   4,877  
4,6,7 Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.700% 0.881% 3/17/37 8,377   8,206  

 

 48 

 

   

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4,6,7 Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.950% 1.131% 3/17/37 2,250   2,204  
4,7 Irvine Core Office Trust 2013-IRV 3.173% 5/15/48 6,631   6,907  
4,7 Jackson Park Trust 2019-LIC 2.766% 10/14/39 6,930   7,411  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 4.070% 11/15/43 475   475  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 5.649% 11/15/43 2,313   2,306  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2 5.649% 11/15/43 2,730   2,722  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 4.717% 2/15/46 4,756   4,791  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 5.425% 8/15/46 4,000   4,121  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1 4.717% 3/16/46 920   926  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 3.507% 5/15/45 3,088   3,196  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 2.829% 10/15/45 3,592   3,696  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 3.424% 10/15/45 22,430   22,557  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX 4.271% 6/15/45 1,350   1,409  
4,7 JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC 3.093% 7/5/32 5,672   5,802  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 2.840% 12/15/47 3,713   3,823  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 3.994% 1/15/46 286   307  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 4.078% 1/15/46 2,550   2,556  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 3.674% 12/15/46 779   814  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 3.881% 12/15/46 651   697  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.166% 12/15/46 29,563   32,189  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 4.962% 12/15/46 2,135   2,269  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 5.027% 12/15/46 960   958  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 3.461% 7/15/47 9,360   9,727  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 2.870% 8/15/49 5,088   5,512  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP5 3.723% 3/15/50 9,680   11,027  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.224% 7/15/50 13,590   15,027  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6 3.490% 7/15/50 11,640   13,130  
4 JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 3.454% 9/15/50 4,680   5,285  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 3.363% 7/15/45 5,108   5,315  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 3.664% 7/15/45 5,515   5,857  
4 JPMBB Commercial Mortgage Securities Trust 2013-C12 4.039% 7/15/45 5,000   5,287  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 3.761% 8/15/46 963   1,001  
4 JPMBB Commercial Mortgage Securities Trust 2013-C14 4.133% 8/15/46 6,118   6,595  

 

 49 

 

  

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 3.659% 11/15/45 251   262  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 4.927% 11/15/45 1,750   1,852  
4 JPMBB Commercial Mortgage Securities Trust 2013-C15 5.199% 11/15/45 1,340   1,337  
4 JPMBB Commercial Mortgage Securities Trust 2013-C17 4.199% 1/15/47 4,363   4,767  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.439% 2/15/47 600   634  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.810% 2/15/47 2,500   2,597  
4 JPMBB Commercial Mortgage Securities Trust 2014-C18 4.810% 2/15/47 1,000   986  
4 JPMBB Commercial Mortgage Securities Trust 2014-C19 3.997% 4/15/47 3,680   4,006  
4 JPMBB Commercial Mortgage Securities Trust 2014-C21 3.493% 8/15/47 5,402   5,709  
4 JPMBB Commercial Mortgage Securities Trust 2014-C24 3.639% 11/15/47 6,021   6,505  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.231% 1/15/48 12,689   13,589  
4 JPMBB Commercial Mortgage Securities Trust 2014-C26 3.494% 1/15/48 5,121   5,586  
4 JPMBB Commercial Mortgage Securities Trust 2015-C27 3.179% 2/15/48 9,941   10,641  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 3.551% 7/15/48 4,640   5,063  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 3.822% 7/15/48 3,700   4,128  
4 JPMBB Commercial Mortgage Securities Trust 2015-C30 4.226% 7/15/48 2,245   2,455  
4 JPMBB Commercial Mortgage Securities Trust 2015-C31 3.801% 8/15/48 11,540   12,796  
4 JPMBB Commercial Mortgage Securities Trust 2015-C32 3.598% 11/15/48 3,878   4,253  
4 JPMBB Commercial Mortgage Securities Trust 2015-C33 3.770% 12/15/48 7,300   8,177  
4 JPMDB Commercial Mortgage Securities Trust 2016-C4 3.141% 12/15/49 2,840   3,119  
4 JPMDB Commercial Mortgage Securities Trust 2017-C7 3.409% 10/15/50 1,860   2,097  
4 JPMDB Commercial Mortgage Securities Trust 2018-C8 4.211% 6/15/51 150   177  
4,6,7 Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420% 0.778% 12/22/69 3,672   3,672  
4,6 Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420% 0.778% 12/22/69 3,825   3,798  
4,7 Lanark Master Issuer plc 2020-1A 2.277% 12/22/69 3,100   3,148  
4,7 Laurel Road Prime Student Loan Trust 2018-B 3.540% 5/26/43 8,967   9,187  
4,7 Laurel Road Prime Student Loan Trust 2019-A 2.730% 10/25/48 10,339   10,605  
4,7 LCCM Mortgage Trust 2014-A 3.388% 5/15/31 910   915  
4 Mercedes-Benz Auto Receivables Trust 2019-1 2.040% 1/15/26 11,600   12,050  
4,7 Mercedes-Benz Master Owner Trust 2019-B 2.610% 5/15/24 24,396   24,943  
4,7 MMAF Equipment Finance LLC 2018-A 3.610% 3/10/42 1,580   1,720  
4,7 MMAF Equipment Finance LLC 2019-A 3.080% 11/12/41 2,630   2,855  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 3.176% 8/15/45 8,462   8,727  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 3.792% 8/15/45 16,040   16,539  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 2.858% 11/15/45 5,167   5,307  
4,7 Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV 3.277% 10/15/30 10,100   8,297  

  

 50 

 

  

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 4.082% 7/15/46 1,244   1,336  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 4.082% 7/15/46 1,830   1,730  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 3.960% 8/15/46 10,951   11,543  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 4.153% 8/15/46 3,937   4,255  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 3.824% 10/15/46 594   615  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 4.259% 10/15/46 1,940   2,085  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 4.039% 11/15/46 400   434  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 2.918% 2/15/46 2,470   2,553  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 3.214% 2/15/46 2,000   2,050  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 3.102% 5/15/46 12,980   13,616  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.064% 2/15/47 2,300   2,476  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 4.384% 2/15/47 1,600   1,718  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 3.773% 4/15/47 9,869   10,693  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 4.051% 4/15/47 11,275   12,342  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 4.907% 4/15/47 1,140   1,115  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 3.892% 6/15/47 4,798   5,220  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.094% 6/15/47 935   995  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.336% 6/15/47 7,090   7,471  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 4.769% 6/15/47 2,400   1,817  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 4.011% 8/15/47 1,380   1,468  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 3.923% 10/15/47 5,430   5,940  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.326% 12/15/47 6,098   6,383  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 3.526% 12/15/47 3,940   4,252  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.069% 2/15/48 7,852   8,131  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 3.249% 2/15/48 10,453   11,155  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.451% 7/15/50 5,530   5,966  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 3.719% 7/15/50 3,870   4,295  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 3.479% 5/15/48 4,300   4,719  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 3.635% 10/15/48 8,263   9,163  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 3.325% 5/15/49 20,409   22,341  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 4.746% 5/15/49 1,090   1,005  
4 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 3.720% 12/15/49 30,274   34,120  

 

 51 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 3.536% 11/15/52 6,550   7,349  
4 Morgan Stanley Capital I Trust 2012-C4 3.244% 3/15/45 2,260   2,302  
4 Morgan Stanley Capital I Trust 2012-C4 3.773% 3/15/45 2,440   2,469  
4,7 Morgan Stanley Capital I Trust 2012-STAR 3.201% 8/5/34 6,407   6,410  
4,7 Morgan Stanley Capital I Trust 2014-150E 3.912% 9/9/32 6,370   6,879  
4,7 Morgan Stanley Capital I Trust 2014-CPT 3.350% 7/13/29 2,795   2,862  
4,7 Morgan Stanley Capital I Trust 2015-420 3.727% 10/12/50 4,337   4,655  
4 Morgan Stanley Capital I Trust 2015-UBS8 4.584% 12/15/48 3,210   2,589  
4 Morgan Stanley Capital I Trust 2016-BNK2 3.049% 11/15/49 5,260   5,737  
4 Morgan Stanley Capital I Trust 2016-BNK2 2.791% 11/15/49 8,300   8,770  
4 Morgan Stanley Capital I Trust 2016-UB11 2.782% 8/15/49 20,478   21,961  
4 Morgan Stanley Capital I Trust 2016-UBS9 3.594% 3/15/49 10,920   12,084  
4 Morgan Stanley Capital I Trust 2017-HR2 3.509% 12/15/50 2,800   3,068  
4 Morgan Stanley Capital I Trust 2017-HR2 3.587% 12/15/50 3,506   3,957  
4 Morgan Stanley Capital I Trust 2018-H4 4.247% 12/15/51 6,730   7,765  
4,6,7 Motor plc 2017-1A, 1M USD LIBOR + 0.530% 0.702% 9/25/24 1,170   1,171  
4,6,7 Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850% 1.022% 6/25/65 283   283  
4,7 Navient Student Loan Trust 2017-A 2.880% 12/16/58 7,322   7,489  
4,7 Navient Student Loan Trust 2018-BA 3.430% 12/15/59 6,423   6,453  
4,7 Navient Student Loan Trust 2018-BA 3.610% 12/15/59 5,688   5,915  
4,7 Navient Student Loan Trust 2018-BA 4.000% 12/15/59 32,419   33,835  
4,7 Navient Student Loan Trust 2018-CA 3.520% 6/16/42 23,320   24,076  
4,7 Navient Student Loan Trust 2018-DA 4.000% 12/15/59 19,280   20,584  
4,7 Navient Student Loan Trust 2019-B 3.390% 12/15/59 6,510   6,888  
6 New Mexico Educational Assistance Foundation, 1M USD LIBOR + 0.700% 0.871% 1/2/25 1,311   1,307  
4 Nissan Auto Receivables 2019-A Owner Trust 3.160% 12/16/24 5,220   5,479  
4 Nissan Auto Receivables 2019-A Owner Trust 3.000% 9/15/25 3,520   3,721  
4 Nissan Auto Receivables 2019-B Owner Trust 2.540% 12/15/25 9,540   10,063  
4,7 One Bryant Park 2019 - OBP A 2.516% 9/15/54 6,830   7,272  
4,7 Palisades Center Trust 2016-PLSD 2.713% 4/13/33 8,980   6,423  
4,6,7 Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880% 1.057% 1/16/60 5,609   5,588  
4,6,7 Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 0.350% 1.187% 6/20/60 3,867   3,837  
4,6,7 Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950% 1.137% 8/18/60 1,822   1,814  
4,6,7 Permanent Master Issuer Plc 2018-1A, 3M USD LIBOR + 0.380% 0.655% 7/15/58 1,635   1,633  
4,7 PFS Financing Corp. 2017-D 2.400% 10/17/22 10,620   10,656  
4,6,7 PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950% 1.122% 11/25/65 9,199   8,986  
4,7 Progress Residential 2017-SFR2 Trust 2.897% 12/17/34 7,756   7,787  
4,7 Progress Residential 2017-SFR2 Trust 3.196% 12/17/34 2,020   2,035  
4,7 Progress Residential 2018-SFR1 Trust 3.255% 3/17/35 4,574   4,625  
4,7 Progress Residential 2018-SFR1 Trust 3.484% 3/17/35 580   587  
4,7 Progress Residential 2018-SFR3 Trust 3.880% 10/17/35 15,061   15,527  
4,7 Progress Residential 2020-SFR2 Trust 2.078% 6/18/37 1,800   1,839  
4 Public Service New Hampshire Funding LLC 2018-1 3.094% 2/1/26 2,506   2,606  
4,6,7 Resimac Premier Series 2018-1A, 1M USD LIBOR + 0.800% 0.988% 11/10/49 5,976   5,958  
4,6,7 Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850% 1.014% 12/5/59 6,314   6,291  
4,6,7 Resimac Premier Series 2018-2, 1M USD LIBOR + 0.850% 1.038% 4/10/50 1,453   1,445  
4 Santander Drive Auto Receivables Trust 2017-3 2.760% 12/15/22 1,771   1,778  
4 Santander Drive Auto Receivables Trust 2018-1 2.960% 3/15/24 5,636   5,681  
4 Santander Drive Auto Receivables Trust 2018-3 4.070% 8/15/24 21,750   22,681  
4 Santander Drive Auto Receivables Trust 2018-4 3.980% 12/15/25 11,000   11,625  
4 Santander Drive Auto Receivables Trust 2018-5 4.190% 12/16/24 17,580   18,168  
4,7 Santander Retail Auto Lease Trust 2018-A 3.490% 5/20/22 7,760   7,828  
4,7 Securitized Term Auto Receivables Trust 2018-1A 3.298% 11/25/22 2,350   2,406  

  

 52 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4,7 Securitized Term Auto Receivables Trust 2018-2A 3.544% 6/26/23 3,370   3,473  
4,7 SLM Private Education Loan Trust 2013-B 3.000% 5/16/44 452   453  
4,7 SLM Private Education Loan Trust 2014-A 3.500% 11/15/44 800   812  
4 SMART ABS Series 2016-2US Trust 2.050% 12/14/22 1,300   1,303  
4,7 SMB Private Education Loan Trust 2016-A 2.700% 5/15/31 3,189   3,240  
4,6,7 SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.500% 1.625% 2/17/32 2,389   2,399  
4,6,7 SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100% 1.275% 9/15/34 3,365   3,346  
4,6,7 SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900% 1.075% 9/15/34 5,565   5,507  
4,7 SMB Private Education Loan Trust 2017-B 2.820% 10/15/35 7,315   7,500  
4,7 SMB Private Education Loan Trust 2018-A 3.500% 2/15/36 17,711   18,472  
4,7 SMB Private Education Loan Trust 2018-B 3.600% 1/15/37 9,547   9,904  
4,7 SMB Private Education Loan Trust 2018-C 3.630% 11/15/35 13,968   14,522  
4,7 SoFi Professional Loan Program 2016-B LLC 2.740% 10/25/32 1,531   1,548  
4,7 SoFi Professional Loan Program 2016-C LLC 2.360% 12/27/32 1,334   1,339  
4,6,7 SoFi Professional Loan Program 2016-D LLC, 1M USD LIBOR + 0.950% 1.122% 1/25/39 439   436  
4,7 SoFi Professional Loan Program 2017-A LLC 2.400% 3/26/40 761   770  
4,7 SoFi Professional Loan Program 2017-B LLC 2.740% 5/25/40 4,251   4,317  
4,6,7 SoFi Professional Loan Program 2017-C LLC, 1M USD LIBOR + 0.600% 0.772% 7/25/40 366   365  
4,7 SoFi Professional Loan Program 2017-F LLC 2.840% 1/25/41 5,603   5,729  
4,7 SoFi Professional Loan Program 2018-A LLC 2.950% 2/25/42 5,660   5,830  
4,7 SoFi Professional Loan Program 2018-B LLC 3.340% 8/25/47 8,850   9,129  
4,7 SoFi Professional Loan Program 2018-C LLC 3.590% 1/25/48 17,140   18,068  
4,7 SoFi Professional Loan Program 2018-D LLC 3.600% 2/25/48 19,000   19,945  
4,7 SoFi Professional Loan Program 2019-B LLC 3.090% 8/17/48 6,930   7,230  
4,7 Stack Infrastructure Issuer LLC 2019-1A 4.540% 2/25/44 5,592   5,789  
4 Synchrony Card Issuance Trust 2019-2A 2.340% 6/15/25 13,530   13,920  
4 Synchrony Credit Card Master Note Trust 2016-2 2.950% 5/15/24 5,300   5,326  
4 Synchrony Credit Card Master Note Trust 2017-2 2.620% 10/15/25 15,680   16,220  
4 Synchrony Credit Card Master Note Trust 2017-2 2.820% 10/15/25 4,770   4,867  
4 Synchrony Credit Card Master Note Trust 2017-2 3.010% 10/15/25 6,390   6,477  
4,7 Taco Bell Funding LLC 2016-1A 4.377% 5/25/46 3,589   3,760  
4,7 Taco Bell Funding LLC 2016-1A 4.970% 5/25/46 2,212   2,339  
4,7 Tesla Auto Lease Trust 2018-A 2.200% 11/21/22 7,000   7,212  
4,7 Tesla Auto Lease Trust 2018-B 4.120% 10/20/21 5,650   5,809  
4,7 Textainer Marine Containers Limited 2019-A 3.960% 4/20/44 5,004   5,102  
4,7 TMSQ 2014-1500 Mortgage Trust 3.680% 10/10/36 2,800   2,994  
4 Toyota Auto Receivables 2018-A Owner Trust 2.520% 5/15/23 1,590   1,629  
4 Toyota Auto Receivables 2019-A Owner Trust 3.000% 5/15/24 2,350   2,484  
4 Toyota Auto Receivables 2019-D Owner Trust 1.990% 2/18/25 5,980   6,223  
4,7 Trafigura Securitisation Finance plc 2018-1A 3.730% 3/15/22 21,540   21,772  
4,7 Trinity Rail Leasing LP 2018-1A 4.620% 6/17/48 10,260   10,830  
4,7 Trip Rail Master Funding LLC 2017-1A 2.709% 8/15/47 1,111   1,108  
4,7 Triton Container Finance LLC 2018-A2 4.190% 6/22/43 12,493   12,496  
4 UBS Commercial Mortgage Trust 2012-C1 4.171% 5/10/45 1,200   1,244  
4 UBS Commercial Mortgage Trust 2017-C7 3.679% 12/15/50 10,673   12,158  
4 UBS Commercial Mortgage Trust 2019-C16 3.460% 4/15/52 2,287   2,543  
4,7 UBS-BAMLL Trust 2012-WRM 3.663% 6/10/30 6,673   6,923  
4 UBS-Barclays Commercial Mortgage Trust 2012-C4 2.850% 12/10/45 5,703   5,906  
4 UBS-Barclays Commercial Mortgage Trust 2013-C6 3.244% 4/10/46 3,970   4,140  
4 UBS-Barclays Commercial Mortgage Trust 2013-C6 3.469% 4/10/46 1,160   1,185  
4,7 Vantage Data Centers LLC 2018-1A 4.072% 2/16/43 6,089   6,255  
4,7 Vantage Data Centers LLC 2019-1A 3.188% 7/15/44 2,279   2,294  
4,7 VNDO 2012-6AVE Mortgage Trust 2.996% 11/15/30 9,070   9,348  
4,7 VNDO 2013-PENN Mortgage Trust 3.808% 12/13/29 1,100   1,101  
4,7 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 650   650  
4,7 VNDO 2013-PENN Mortgage Trust 3.947% 12/13/29 490   488  
4 Volkswagen Auto Loan Enhanced Trust 2018-2 3.330% 2/20/25 4,510   4,737  
4 Wells Fargo Commercial Mortgage Trust 2012-LC5 2.918% 10/15/45 5,637   5,807  
4 Wells Fargo Commercial Mortgage Trust 2012-LC5 3.539% 10/15/45 7,210   7,416  

  

 53 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 Wells Fargo Commercial Mortgage Trust 2013-LC12 3.928% 7/15/46 642   670  
4 Wells Fargo Commercial Mortgage Trust 2013-LC12 4.218% 7/15/46 7,973   8,597  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.020% 8/15/50 700   746  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.322% 8/15/50 2,400   2,525  
4 Wells Fargo Commercial Mortgage Trust 2014-LC16 4.458% 8/15/50 1,450   1,403  
4 Wells Fargo Commercial Mortgage Trust 2014-LC18 3.405% 12/15/47 13,210   14,367  
4 Wells Fargo Commercial Mortgage Trust 2015-C29 3.637% 6/15/48 16,693   18,439  
4 Wells Fargo Commercial Mortgage Trust 2015-C29 4.216% 6/15/48 2,310   2,239  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 3.411% 9/15/58 6,800   7,457  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 3.664% 9/15/58 4,380   4,860  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 4.067% 9/15/58 2,250   2,470  
4 Wells Fargo Commercial Mortgage Trust 2015-C30 4.498% 9/15/58 2,740   2,686  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 3.839% 9/15/58 10,834   12,081  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 4.207% 9/15/58 2,045   2,248  
4 Wells Fargo Commercial Mortgage Trust 2015-LC22 4.536% 9/15/58 5,225   5,119  
4 Wells Fargo Commercial Mortgage Trust 2016-BNK1 2.652% 8/15/49 4,470   4,763  
4 Wells Fargo Commercial Mortgage Trust 2016-C32 3.560% 1/15/59 9,166   10,136  
4 Wells Fargo Commercial Mortgage Trust 2016-C37 3.525% 12/15/49 2,990   3,307  
4 Wells Fargo Commercial Mortgage Trust 2017-C38 3.453% 7/15/50 6,905   7,776  
4 Wells Fargo Commercial Mortgage Trust 2017-C39 3.157% 9/15/50 1,400   1,535  
4 Wells Fargo Commercial Mortgage Trust 2017-C40 3.581% 10/15/50 15,380   17,406  
4 Wells Fargo Commercial Mortgage Trust 2017-C41 3.472% 11/15/50 12,360   13,914  
4 Wells Fargo Commercial Mortgage Trust 2017-C42 3.589% 12/15/50 6,745   7,670  
4 Wells Fargo Commercial Mortgage Trust 2017-RC1 3.631% 1/15/60 2,712   3,056  
4 Wells Fargo Commercial Mortgage Trust 2018-C43 4.514% 3/15/51 12,380   11,469  
4 Wells Fargo Commercial Mortgage Trust 2018-C46 4.152% 8/15/51 4,315   5,085  
4 Wells Fargo Commercial Mortgage Trust 2018-C47 4.365% 9/15/61 5,600   6,474  
4 Wells Fargo Commercial Mortgage Trust 2018-C47 4.442% 9/15/61 6,390   7,669  
4 Wells Fargo Commercial Mortgage Trust 2018-C48 4.245% 1/15/52 11,180   12,867  
4 Wells Fargo Commercial Mortgage Trust 2019-C49 3.933% 3/15/52 3,250   3,731  
4 Wells Fargo Commercial Mortgage Trust 2019-C50 3.635% 5/15/52 3,710   4,209  
4 Wells Fargo Commercial Mortgage Trust 2019-C54 3.146% 12/15/52 7,390   8,324  
4,7 Wendys Funding LLC 2018-1 3.573% 3/15/48 3,120   3,221  
4,7 WFLD 2014-MONT Mortgage Trust 3.755% 8/10/31 4,640   4,489  
4,7 WFRBS Commercial Mortgage Trust 2011-C3 4.375% 3/15/44 5,897   5,980  
4 WFRBS Commercial Mortgage Trust 2012-C10 2.875% 12/15/45 5,280   5,449  
4 WFRBS Commercial Mortgage Trust 2012-C7 3.431% 6/15/45 6,130   6,268  
4 WFRBS Commercial Mortgage Trust 2012-C7 4.090% 6/15/45 4,170   4,295  
4 WFRBS Commercial Mortgage Trust 2012-C8 3.001% 8/15/45 3,789   3,888  
4 WFRBS Commercial Mortgage Trust 2012-C9 2.870% 11/15/45 9,924   10,189  
4 WFRBS Commercial Mortgage Trust 2012-C9 3.388% 11/15/45 2,870   2,965  
4 WFRBS Commercial Mortgage Trust 2013-C13 3.345% 5/15/45 2,220   2,291  
4 WFRBS Commercial Mortgage Trust 2013-C15 3.720% 8/15/46 1,291   1,339  
4 WFRBS Commercial Mortgage Trust 2013-C15 4.153% 8/15/46 6,044   6,483  
4 WFRBS Commercial Mortgage Trust 2013-C17 3.558% 12/15/46 244   253  
4 WFRBS Commercial Mortgage Trust 2013-C18 3.676% 12/15/46 1,498   1,557  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.162% 12/15/46 7,778   8,489  
4 WFRBS Commercial Mortgage Trust 2013-C18 4.688% 12/15/46 1,085   1,161  
4 WFRBS Commercial Mortgage Trust 2014-C19 4.101% 3/15/47 10,595   11,591  
4 WFRBS Commercial Mortgage Trust 2014-C20 3.995% 5/15/47 8,175   8,847  
4 WFRBS Commercial Mortgage Trust 2014-C20 4.378% 5/15/47 2,410   2,529  
4 WFRBS Commercial Mortgage Trust 2014-C20 4.513% 5/15/47 1,410   1,232  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.410% 8/15/47 1,558   1,653  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.678% 8/15/47 13,286   14,433  
4 WFRBS Commercial Mortgage Trust 2014-C21 3.891% 8/15/47 700   757  
4 WFRBS Commercial Mortgage Trust 2014-C21 4.234% 8/15/47 2,410   2,310  
4 WFRBS Commercial Mortgage Trust 2014-C23 3.917% 10/15/57 4,167   4,595  
4 WFRBS Commercial Mortgage Trust 2014-LC14 3.766% 3/15/47 920   982  
4 World Omni Auto Receivables Trust 2018-A 2.890% 4/15/25 3,820   3,935  
4 World Omni Auto Receivables Trust 2018-D 3.440% 12/16/24 1,770   1,887  
4 World Omni Auto Receivables Trust 2019-A 3.220% 6/16/25 3,060   3,248  
4 World Omni Auto Receivables Trust 2019-B 2.860% 6/16/25 2,510   2,634  
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,376,054)   3,521,009  

  

 54 

 

   

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
Corporate Bonds (73.6%)  
Finance (29.5%)  
  Banking (21.0%)  
  American Express Co. 3.400% 2/22/24 39,669   43,342  
  American Express Co. 2.500% 7/30/24 48,079   51,281  
  American Express Co. 3.000% 10/30/24 35,092   38,381  
  American Express Co. 4.200% 11/6/25 16,815   19,618  
  American Express Co. 3.125% 5/20/26 6,745   7,591  
  American Express Credit Corp. 3.300% 5/3/27 10,000   11,495  
4,7 Australia & New Zealand Banking Group Ltd. 2.950% 7/22/30 20,360   21,106  
  Banco Santander SA 2.746% 5/28/25 20,520   21,656  
  Banco Santander SA 3.800% 2/23/28 30,200   33,552  
  Banco Santander SA 4.379% 4/12/28 4,415   5,085  
  Banco Santander SA 3.306% 6/27/29 59,700   65,765  
  Banco Santander SA 3.490% 5/28/30 19,850   22,026  
  Bank of America Corp. 4.000% 1/22/25 11,889   13,277  
  Bank of America Corp. 3.875% 8/1/25 4,795   5,481  
4 Bank of America Corp. 3.093% 10/1/25 57,416   62,277  
4 Bank of America Corp. 3.366% 1/23/26 47,241   52,140  
4 Bank of America Corp. 2.015% 2/13/26 42,644   44,408  
4 Bank of America Corp. 1.319% 6/19/26 12,890   13,035  
4 Bank of America Corp. 3.559% 4/23/27 28,981   32,479  
4 Bank of America Corp. 3.248% 10/21/27 19,628   21,898  
4 Bank of America Corp. 3.824% 1/20/28 51,829   59,296  
4 Bank of America Corp. 3.705% 4/24/28 29,256   33,362  
4 Bank of America Corp. 3.593% 7/21/28 9,000   10,252  
4 Bank of America Corp. 3.419% 12/20/28 62,280   70,384  
4 Bank of America Corp. 3.970% 3/5/29 40,165   46,746  
4 Bank of America Corp. 4.271% 7/23/29 24,049   28,516  
4 Bank of America Corp. 3.194% 7/23/30 15,000   16,752  
4 Bank of America Corp. 2.884% 10/22/30 13,500   14,780  
4 Bank of America Corp. 2.496% 2/13/31 27,446   29,134  
4 Bank of America Corp. 2.592% 4/29/31 15,990   17,097  
4 Bank of America Corp. 1.898% 7/23/31 50,000   50,687  
  Bank of New York Mellon Corp. 3.250% 9/11/24 11,142   12,263  
  Bank of New York Mellon Corp. 2.100% 10/24/24 20,800   22,079  
  Bank of New York Mellon Corp. 3.000% 2/24/25 15,800   17,399  
  Bank of New York Mellon Corp. 1.600% 4/24/25 10,000   10,440  
  Bank of New York Mellon Corp. 2.800% 5/4/26 17,641   19,760  
  Bank of New York Mellon Corp. 2.450% 8/17/26 19,000   20,838  
  Bank of New York Mellon Corp. 3.250% 5/16/27 14,500   16,515  
  Bank of New York Mellon Corp. 3.400% 1/29/28 11,250   13,133  
4 Bank of New York Mellon Corp. 3.442% 2/7/28 65,305   75,636  
  Bank of New York Mellon Corp. 3.850% 4/28/28 1,500   1,844  
  Bank of New York Mellon Corp. 3.000% 10/30/28 7,000   7,909  
  Bank of Nova Scotia 2.200% 2/3/25 33,259   35,193  
  Bank of Nova Scotia 1.300% 6/11/25 20,400   20,817  
  Bank of Nova Scotia 2.700% 8/3/26 32,211   35,534  
7 Banque Federative du Credit Mutuel SA 2.375% 11/21/24 23,800   25,220  
  Barclays plc 4.375% 1/12/26 14,811   16,812  
4 Barclays plc 2.852% 5/7/26 49,586   52,365  
  Barclays plc 4.337% 1/10/28 17,500   19,823  
4 Barclays plc 4.972% 5/16/29 5,000   5,956  
  Barclays plc 2.645% 6/24/31 10,000   10,252  
4,7 BNP Paribas SA 2.819% 11/19/25 11,680   12,391  
4,7 BNP Paribas SA 2.219% 6/9/26 8,830   9,179  
7 BNP Paribas SA 3.500% 11/16/27 15,000   16,647  
  BPCE SA 3.375% 12/2/26 10,000   11,250  
7 BPCE SA 3.250% 1/11/28 19,800   22,055  
6,8 BPCE SA, 3M Australian Bank Bill Rate + 1.600% 1.700% 6/5/25 4,500   3,306  
4 Capital One Bank USA NA 2.280% 1/28/26 32,297   33,506  
  Capital One Financial Corp. 3.750% 3/9/27 9,732   10,930  
  Capital One Financial Corp. 3.800% 1/31/28 10,000   11,270  

 

 55 

 

   

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Citigroup Inc. 4.400% 6/10/25 3,480   3,950  
  Citigroup Inc. 4.600% 3/9/26 8,304   9,639  
4 Citigroup Inc. 3.106% 4/8/26 25,190   27,385  
  Citigroup Inc. 3.400% 5/1/26 39,669   44,378  
  Citigroup Inc. 3.200% 10/21/26 53,796   59,908  
9 Citigroup Inc. 1.750% 10/23/26 5,700   7,684  
  Citigroup Inc. 4.450% 9/29/27 3,403   3,961  
4 Citigroup Inc. 3.887% 1/10/28 20,800   23,711  
4 Citigroup Inc. 3.668% 7/24/28 28,200   32,028  
4 Citigroup Inc. 3.520% 10/27/28 39,227   44,153  
4 Citigroup Inc. 4.075% 4/23/29 8,500   9,908  
4 Citigroup Inc. 3.980% 3/20/30 24,793   29,032  
4 Citigroup Inc. 2.976% 11/5/30 33,915   36,992  
4 Citigroup Inc. 2.666% 1/29/31 12,659   13,503  
4 Citigroup Inc. 4.412% 3/31/31 29,752   36,123  
4 Citigroup Inc. 2.572% 6/3/31 10,000   10,625  
7 Commonwealth Bank of Australia 3.150% 9/19/27 26,712   30,215  
  Cooperatieve Rabobank UA 3.750% 7/21/26 5,500   6,145  
  Credit Suisse AG 3.625% 9/9/24 66,594   74,022  
  Credit Suisse AG 2.950% 4/9/25 28,100   30,682  
4,7 Credit Suisse Group AG 2.193% 6/5/26 6,900   7,090  
  Credit Suisse Group Funding Guernsey Ltd. 3.750% 3/26/25 5,000   5,536  
4,7 Danske Bank A/S 3.244% 12/20/25 11,500   12,259  
  Discover Bank 4.650% 9/13/28 21,600   25,365  
  Discover Financial Services 4.500% 1/30/26 10,000   11,574  
  Discover Financial Services 4.100% 2/9/27 10,000   11,093  
  Fifth Third Bank 2.250% 2/1/27 19,800   21,132  
  Goldman Sachs Group Inc. 3.500% 1/23/25 42,995   47,331  
  Goldman Sachs Group Inc. 3.500% 4/1/25 15,000   16,607  
  Goldman Sachs Group Inc. 3.750% 5/22/25 85,781   95,786  
4 Goldman Sachs Group Inc. 3.272% 9/29/25 30,342   33,062  
  Goldman Sachs Group Inc. 3.750% 2/25/26 24,793   28,085  
  Goldman Sachs Group Inc. 3.850% 1/26/27 23,300   26,496  
4 Goldman Sachs Group Inc. 3.691% 6/5/28 41,207   46,925  
4 Goldman Sachs Group Inc. 3.814% 4/23/29 9,069   10,462  
4 Goldman Sachs Group Inc. 4.223% 5/1/29 16,231   19,176  
  Goldman Sachs Group Inc. 2.600% 2/7/30 28,416   30,429  
6,8 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550% 1.645% 5/2/24 30,700   22,147  
4 HSBC Holdings plc 2.633% 11/7/25 26,370   27,538  
  HSBC Holdings plc 4.300% 3/8/26 25,735   29,362  
  HSBC Holdings plc 3.900% 5/25/26 30,758   34,558  
4 HSBC Holdings plc 2.099% 6/4/26 26,801   27,404  
4 HSBC Holdings plc 4.292% 9/12/26 20,350   22,756  
4 HSBC Holdings plc 4.041% 3/13/28 78,139   87,209  
4 HSBC Holdings plc 4.583% 6/19/29 41,640   48,482  
  HSBC Holdings plc 4.950% 3/31/30 17,320   21,325  
4 HSBC Holdings plc 3.973% 5/22/30 29,752   33,538  
4,9 HSBC Holdings plc 3.000% 5/29/30 2,900   4,074  
4 HSBC Holdings plc 2.848% 6/4/31 36,495   38,320  
6,8 HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% 1.198% 2/16/24 28,200   19,866  
  Huntington Bancshares Inc. 2.550% 2/4/30 10,000   10,480  
  ING Groep NV 3.950% 3/29/27 25,636   29,801  
  ING Groep NV 4.550% 10/2/28 4,500   5,537  
  ING Groep NV 4.050% 4/9/29 28,264   33,838  
7 Intesa Sanpaolo SPA 3.250% 9/23/24 3,250   3,395  
7 Intesa Sanpaolo SPA 4.000% 9/23/29 21,525   23,258  
9 Intesa Sanpaolo SPA 2.500% 1/15/30 2,300   2,988  
  JPMorgan Chase & Co. 3.125% 1/23/25 16,865   18,493  
  JPMorgan Chase & Co. 3.900% 7/15/25 30,684   34,946  
4 JPMorgan Chase & Co. 2.301% 10/15/25 11,500   12,147  
4 JPMorgan Chase & Co. 2.005% 3/13/26 8,000   8,350  
  JPMorgan Chase & Co. 3.300% 4/1/26 1,070   1,204  

 

 56 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 JPMorgan Chase & Co. 2.083% 4/22/26 39,520   41,393  
  JPMorgan Chase & Co. 3.200% 6/15/26 36,273   40,630  
4 JPMorgan Chase & Co. 3.782% 2/1/28 24,793   28,364  
4 JPMorgan Chase & Co. 3.540% 5/1/28 42,267   47,937  
4 JPMorgan Chase & Co. 3.509% 1/23/29 42,057   47,799  
4 JPMorgan Chase & Co. 4.005% 4/23/29 46,001   54,092  
4 JPMorgan Chase & Co. 4.452% 12/5/29 22,800   27,705  
4 JPMorgan Chase & Co. 3.702% 5/6/30 27,661   32,087  
4 JPMorgan Chase & Co. 2.739% 10/15/30 27,471   29,866  
4 JPMorgan Chase & Co. 4.493% 3/24/31 12,100   14,974  
4 JPMorgan Chase & Co. 2.522% 4/22/31 20,000   21,554  
4 JPMorgan Chase & Co. 2.956% 5/13/31 18,300   19,820  
4 JPMorgan Chase & Co. 3.882% 7/24/38 5,640   6,932  
  KeyBank NA 3.300% 6/1/25 19,800   22,178  
  KeyCorp 4.100% 4/30/28 15,000   17,655  
8 Lloyds Banking Group plc 4.000% 3/7/25 2,300   1,788  
  Lloyds Banking Group plc 4.450% 5/8/25 28,760   33,062  
4 Lloyds Banking Group plc 2.438% 2/5/26 15,000   15,738  
  Lloyds Banking Group plc 3.750% 1/11/27 68,999   78,055  
  Lloyds Banking Group plc 4.375% 3/22/28 29,752   35,336  
  Lloyds Banking Group plc 4.550% 8/16/28 23,800   28,685  
4 Lloyds Banking Group plc 3.574% 11/7/28 10,873   12,171  
6,8 Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 0.000% 1.501% 3/7/25 19,000   13,401  
8 Macquarie Bank Ltd. 1.750% 8/7/24 9,640   7,122  
6,8 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.800% 0.895% 8/7/24 35,000   25,185  
6,8 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.840% 0.930% 2/12/25 25,000   18,023  
  Mitsubishi UFJ Financial Group Inc. 2.193% 2/25/25 20,800   21,833  
  Mitsubishi UFJ Financial Group Inc. 3.777% 3/2/25 90,274   100,454  
  Mitsubishi UFJ Financial Group Inc. 1.412% 7/17/25 13,260   13,434  
  Mitsubishi UFJ Financial Group Inc. 3.850% 3/1/26 3,491   3,996  
  Mitsubishi UFJ Financial Group Inc. 2.757% 9/13/26 11,555   12,578  
  Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27 4,920   5,584  
  Mitsubishi UFJ Financial Group Inc. 3.287% 7/25/27 750   837  
  Mitsubishi UFJ Financial Group Inc. 3.961% 3/2/28 8,136   9,473  
  Mitsubishi UFJ Financial Group Inc. 4.050% 9/11/28 1,000   1,180  
  Mitsubishi UFJ Financial Group Inc. 3.741% 3/7/29 43,090   49,505  
  Mitsubishi UFJ Financial Group Inc. 3.195% 7/18/29 41,735   46,579  
  Mitsubishi UFJ Financial Group Inc. 2.559% 2/25/30 26,949   28,867  
  Mitsubishi UFJ Financial Group Inc. 2.048% 7/17/30 36,300   37,218  
7 Mizuho Bank Ltd. 3.750% 4/16/24 5,340   5,850  
7 Mizuho Bank Ltd. 3.600% 9/25/24 8,700   9,542  
4 Mizuho Financial Group Inc. 2.555% 9/13/25 29,752   31,302  
7 Mizuho Financial Group Inc. 3.477% 4/12/26 10,000   11,097  
4 Mizuho Financial Group Inc. 2.226% 5/25/26 10,200   10,577  
  Mizuho Financial Group Inc. 2.839% 9/13/26 3,525   3,815  
  Mizuho Financial Group Inc. 3.663% 2/28/27 750   843  
  Mizuho Financial Group Inc. 3.170% 9/11/27 8,525   9,372  
  Mizuho Financial Group Inc. 4.018% 3/5/28 5,750   6,665  
4 Mizuho Financial Group Inc. 3.153% 7/16/30 21,400   23,633  
4 Mizuho Financial Group Inc. 2.591% 5/25/31 19,607   20,803  
4 Mizuho Financial Group Inc. 2.201% 7/10/31 10,000   10,299  
  Morgan Stanley 3.700% 10/23/24 15,525   17,323  
  Morgan Stanley 4.000% 7/23/25 29,187   33,508  
  Morgan Stanley 3.875% 1/27/26 84,720   97,168  
4 Morgan Stanley 2.188% 4/28/26 40,335   42,361  
  Morgan Stanley 3.125% 7/27/26 6,054   6,752  
  Morgan Stanley 3.625% 1/20/27 68,607   78,796  
4 Morgan Stanley 3.591% 7/22/28 47,390   54,143  
4 Morgan Stanley 4.431% 1/23/30 10,000   12,138  
4 Morgan Stanley 2.699% 1/22/31 74,081   80,408  
4 Morgan Stanley 3.622% 4/1/31 31,735   36,992  

 

 57 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  MUFG Americas Holdings Corp. 3.000% 2/10/25 9,600   10,224  
4 Natwest Group plc 3.073% 5/22/28 12,400   13,275  
4 Natwest Group plc 4.892% 5/18/29 12,750   15,227  
9 NIBC Bank NV 3.125% 11/15/23 4,700   6,352  
10 NIBC Bank NV 0.875% 7/8/25 7,600   8,803  
  Northern Trust Corp. 1.950% 5/1/30 20,893   22,156  
4,10 OP Corporate Bank plc 1.625% 6/9/30 6,310   7,506  
  PNC Bank NA 2.950% 2/23/25 31,030   34,106  
  PNC Bank NA 3.250% 6/1/25 60,547   67,409  
  PNC Bank NA 3.100% 10/25/27 74,625   85,112  
  PNC Bank NA 3.250% 1/22/28 28,085   32,433  
  PNC Bank NA 2.700% 10/22/29 29,415   32,105  
  PNC Financial Services Group Inc. 2.600% 7/23/26 32,212   35,629  
  PNC Financial Services Group Inc. 3.150% 5/19/27 15,500   17,534  
  PNC Financial Services Group Inc. 3.450% 4/23/29 40,332   47,518  
  PNC Financial Services Group Inc. 2.550% 1/22/30 15,000   16,586  
  Royal Bank of Canada 2.250% 11/1/24 80,011   85,119  
  Royal Bank of Canada 1.150% 6/10/25 13,550   13,770  
  Santander Holdings USA Inc. 3.500% 6/7/24 34,710   36,940  
  Santander Holdings USA Inc. 3.450% 6/2/25 6,925   7,395  
  Santander Holdings USA Inc. 4.400% 7/13/27 6,222   6,908  
  State Street Corp. 3.300% 12/16/24 39,592   44,199  
  State Street Corp. 3.550% 8/18/25 33,846   38,715  
4 State Street Corp. 2.354% 11/1/25 29,256   31,194  
4,7 State Street Corp. 2.901% 3/30/26 6,320   6,889  
  State Street Corp. 2.400% 1/24/30 26,777   29,327  
4,7 State Street Corp. 3.152% 3/30/31 8,250   9,539  
  Sumitomo Mitsui Financial Group Inc. 1.474% 7/8/25 14,810   15,062  
  Sumitomo Mitsui Financial Group Inc. 3.784% 3/9/26 34,710   39,466  
  Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26 51,114   55,324  
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26 5,975   6,605  
  Sumitomo Mitsui Financial Group Inc. 3.446% 1/11/27 23,965   26,775  
  Sumitomo Mitsui Financial Group Inc. 3.364% 7/12/27 19,491   21,818  
  Sumitomo Mitsui Financial Group Inc. 3.352% 10/18/27 4,000   4,462  
  Sumitomo Mitsui Financial Group Inc. 3.544% 1/17/28 8,870   10,037  
  Sumitomo Mitsui Financial Group Inc. 3.944% 7/19/28 4,870   5,674  
  Sumitomo Mitsui Financial Group Inc. 4.306% 10/16/28 750   898  
  Sumitomo Mitsui Financial Group Inc. 3.040% 7/16/29 82,627   91,230  
  Sumitomo Mitsui Financial Group Inc. 2.750% 1/15/30 32,727   35,566  
  Sumitomo Mitsui Financial Group Inc. 2.130% 7/8/30 26,045   26,968  
  SVB Financial Group 3.125% 6/5/30 7,000   7,726  
  Synchrony Financial 3.700% 8/4/26 19,720   20,562  
  Synchrony Financial 3.950% 12/1/27 1,035   1,090  
  Toronto-Dominion Bank 1.150% 6/12/25 27,540   28,093  
4 Toronto-Dominion Bank 3.625% 9/15/31 3,750   4,266  
  Truist Bank 3.200% 4/1/24 30,473   33,360  
  Truist Bank 2.150% 12/6/24 25,500   27,041  
  Truist Bank 1.500% 3/10/25 20,800   21,534  
  Truist Bank 3.625% 9/16/25 22,245   24,974  
  Truist Bank 4.050% 11/3/25 34,710   40,241  
  Truist Bank 2.250% 3/11/30 34,140   35,945  
  Truist Financial Corp. 2.500% 8/1/24 63,222   67,707  
  Truist Financial Corp. 2.850% 10/26/24 5,000   5,412  
  Truist Financial Corp. 4.000% 5/1/25 19,351   22,132  
  Truist Financial Corp. 1.200% 8/5/25 9,380   9,578  
  Truist Financial Corp. 1.125% 8/3/27 21,765   21,808  
  Truist Financial Corp. 3.875% 3/19/29 10,000   11,689  
  Truist Financial Corp. 1.950% 6/5/30 11,250   11,816  
4,7 UBS Group AG 1.364% 1/30/27 30,835   31,110  
7 UBS Group Funding Switzerland AG 4.125% 9/24/25 14,257   16,364  
7 UBS Group Funding Switzerland AG 4.125% 4/15/26 8,500   9,799  
7 UBS Group Funding Switzerland AG 4.253% 3/23/28 19,469   22,608  
4 United Overseas Bank Ltd. 2.880% 3/8/27 3,000   3,052  
  US Bancorp 3.600% 9/11/24 14,800   16,540  

 

 58 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  US Bancorp 1.450% 5/12/25 13,190   13,680  
  US Bancorp 3.950% 11/17/25 19,550   22,777  
  US Bancorp 3.100% 4/27/26 10,454   11,740  
  US Bancorp 2.375% 7/22/26 36,223   39,692  
  US Bancorp 3.150% 4/27/27 30,644   35,023  
  US Bancorp 3.900% 4/26/28 2,250   2,739  
  US Bancorp 3.000% 7/30/29 21,800   24,387  
  US Bancorp 1.375% 7/22/30 30,000   30,208  
  US Bank NA 2.050% 1/21/25 1,810   1,921  
  US Bank NA 2.800% 1/27/25 14,400   15,742  
§,11 Washington Mutual Bank / Debt not acquired by JPMorgan 5.500% 1/15/13 6,147   1  
§,11 Washington Mutual Bank / Debt not acquired by JPMorgan 5.650% 8/15/14 7,500   1  
§,11 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   17,827  
  Wells Fargo & Co. 3.000% 2/19/25 65,156   70,859  
  Wells Fargo & Co. 3.550% 9/29/25 17,459   19,649  
4 Wells Fargo & Co. 2.406% 10/30/25 34,165   35,866  
4 Wells Fargo & Co. 2.164% 2/11/26 42,644   44,456  
  Wells Fargo & Co. 3.000% 4/22/26 60,337   66,115  
4 Wells Fargo & Co. 2.188% 4/30/26 14,700   15,343  
  Wells Fargo & Co. 3.000% 10/23/26 65,315   71,654  
4 Wells Fargo & Co. 3.196% 6/17/27 21,350   23,396  
4 Wells Fargo & Co. 3.584% 5/22/28 39,256   43,993  
4 Wells Fargo & Co. 2.393% 6/2/28 10,730   11,253  
  Wells Fargo & Co. 4.150% 1/24/29 13,949   16,516  
4,10 Wells Fargo & Co. 1.741% 5/4/30 10,600   13,087  
4 Wells Fargo & Co. 2.879% 10/30/30 39,832   43,277  
4 Wells Fargo & Co. 2.572% 2/11/31 39,900   42,175  
9 Wells Fargo Bank NA 5.250% 8/1/23 6,500   9,547  
  Westpac Banking Corp. 2.350% 2/19/25 32,727   35,048  
  Westpac Banking Corp. 2.850% 5/13/26 23,595   26,224  
  Westpac Banking Corp. 3.350% 3/8/27 63,262   72,932  
  Westpac Banking Corp. 3.400% 1/25/28 10,000   11,708  
  Westpac Banking Corp. 2.650% 1/16/30 15,000   16,838  
4 Westpac Banking Corp. 2.894% 2/4/30 21,125   21,669  
4 Westpac Banking Corp. 4.322% 11/23/31 20,031   22,710  
  Westpac Banking Corp. 4.110% 7/24/34 11,175   12,565  
6,8 Westpac Banking Corp., 3M Australian Bank Bill Rate + 3.100% 3.200% 3/10/26 2,600   1,877  
  Brokerage (2.0%)  
  Affiliated Managers Group Inc. 3.300% 6/15/30 33,223   35,547  
  Ameriprise Financial Inc. 3.700% 10/15/24 24,793   27,624  
  Ameriprise Financial Inc. 3.000% 4/2/25 35,217   38,439  
  Ameriprise Financial Inc. 2.875% 9/15/26 1,986   2,198  
  BlackRock Inc. 3.200% 3/15/27 21,980   25,065  
  BlackRock Inc. 3.250% 4/30/29 15,488   18,163  
  BlackRock Inc. 2.400% 4/30/30 37,785   41,913  
  BlackRock Inc. 1.900% 1/28/31 6,950   7,357  
10 Blackstone Property Partners Europe Holdings Sarl 0.500% 9/12/23 18,700   21,794  
  Brookfield Asset Management Inc. 4.000% 1/15/25 19,800   21,877  
  Brookfield Finance Inc. 4.250% 6/2/26 2,901   3,303  
  Brookfield Finance Inc. 3.900% 1/25/28 19,925   22,475  
  Brookfield Finance Inc. 4.850% 3/29/29 13,297   15,965  
  Brookfield Finance Inc. 4.350% 4/15/30 13,000   15,206  
  Charles Schwab Corp. 3.850% 5/21/25 50,605   57,780  
  Charles Schwab Corp. 3.200% 3/2/27 4,043   4,576  
  Charles Schwab Corp. 3.200% 1/25/28 24,693   27,949  
  Charles Schwab Corp. 4.000% 2/1/29 17,652   21,244  
  Charles Schwab Corp. 3.250% 5/22/29 26,339   30,412  
  Charles Schwab Corp. 4.625% 3/22/30 5,805   7,448  

 

 59 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Intercontinental Exchange Inc. 3.750% 12/1/25 18,987   21,855  
  Intercontinental Exchange Inc. 3.100% 9/15/27 2,770   3,147  
  Intercontinental Exchange Inc. 3.750% 9/21/28 14,100   16,830  
  Intercontinental Exchange Inc. 2.100% 6/15/30 26,033   27,557  
  Invesco Finance plc 3.750% 1/15/26 11,166   12,513  
  Lazard Group LLC 4.500% 9/19/28 31,409   36,216  
  Nomura Holdings Inc. 1.851% 7/16/25 13,910   14,090  
  Nomura Holdings Inc. 3.103% 1/16/30 18,600   19,895  
7 Nuveen Finance LLC 4.125% 11/1/24 14,863   16,839  
  Stifel Financial Corp. 4.250% 7/18/24 14,785   15,882  
  TD Ameritrade Holding Corp. 3.625% 4/1/25 45,947   51,576  
  TD Ameritrade Holding Corp. 3.300% 4/1/27 20,837   23,664  
  Finance Companies (0.2%)  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.500% 1/15/25 7,120   6,803  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.500% 7/15/25 11,970   12,808  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450% 10/1/25 2,425   2,355  
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.650% 7/21/27 3,000   2,745  
  Air Lease Corp. 3.375% 7/1/25 6,960   7,061  
  Air Lease Corp. 3.750% 6/1/26 5,000   5,073  
  Air Lease Corp. 3.625% 12/1/27 2,427   2,379  
  Air Lease Corp. 4.625% 10/1/28 3,955   4,085  
  Air Lease Corp. 3.250% 10/1/29 2,000   1,926  
  Air Lease Corp. 3.000% 2/1/30 14,782   13,882  
7 GE Capital Funding LLC 3.450% 5/15/25 5,000   5,274  
7 GE Capital Funding LLC 4.400% 5/15/30 14,460   15,209  
7 USAA Capital Corp. 2.125% 5/1/30 3,600   3,856  
  Insurance (2.9%)  
  Aetna Inc. 3.500% 11/15/24 10,000   11,030  
  Aflac Inc. 3.625% 11/15/24 11,940   13,467  
  Aflac Inc. 3.250% 3/17/25 5,995   6,657  
  Aflac Inc. 3.600% 4/1/30 4,500   5,348  
  American International Group Inc. 2.500% 6/30/25 14,355   15,321  
  American International Group Inc. 3.900% 4/1/26 14,297   16,396  
  American International Group Inc. 3.400% 6/30/30 14,925   16,571  
  Anthem Inc. 2.375% 1/15/25 16,760   17,906  
  Anthem Inc. 3.650% 12/1/27 10,000   11,529  
  Anthem Inc. 2.875% 9/15/29 34,704   38,237  
  Aon Corp. 2.800% 5/15/30 19,800   21,668  
  Berkshire Hathaway Finance Corp. 1.850% 3/12/30 18,150   19,250  
  Berkshire Hathaway Inc. 3.125% 3/15/26 30,166   34,108  
  Centene Corp. 4.750% 1/15/25 1,300   1,345  
  Centene Corp. 4.250% 12/15/27 2,595   2,764  
  Chubb INA Holdings Inc. 3.150% 3/15/25 35,584   39,689  
  Chubb INA Holdings Inc. 3.350% 5/3/26 38,414   44,009  
  CNA Financial Corp. 3.450% 8/15/27 12,300   13,586  
  Enstar Group Ltd. 4.950% 6/1/29 20,380   22,411  
7 Five Corners Funding Trust II 2.850% 5/15/30 15,000   16,181  
9 Hastings Group Finance plc 3.000% 5/24/25 7,700   10,588  
  Humana Inc. 3.950% 3/15/27 7,300   8,406  
  Lincoln National Corp. 3.625% 12/12/26 12,463   13,967  
  Markel Corp. 3.350% 9/17/29 7,000   7,665  
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 2   2  
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 30,382   33,731  
  Marsh & McLennan Cos. Inc. 4.375% 3/15/29 40,305   49,969  
  Marsh & McLennan Cos. Inc. 2.250% 11/15/30 7,550   8,090  
  MetLife Inc. 4.550% 3/23/30 15,600   19,964  
7 Metropolitan Life Global Funding I 3.450% 12/18/26 12,520   14,375  
4,7 Nippon Life Insurance Co. 3.400% 1/23/50 8,000   8,520  
9 Phoenix Group Holdings 6.625% 12/18/25 3,275   5,048  

 

 60 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
9 Phoenix Group Holdings plc 5.625% 4/28/31 1,800   2,675  
  Principal Financial Group Inc. 3.100% 11/15/26 6,110   6,724  
  Principal Financial Group Inc. 3.700% 5/15/29 11,855   13,763  
  Progressive Corp. 2.450% 1/15/27 3,150   3,413  
  Progressive Corp. 4.000% 3/1/29 1,070   1,301  
  Progressive Corp. 3.200% 3/26/30 20,272   23,694  
7 Protective Life Corp. 4.300% 9/30/28 22,700   25,724  
  Prudential Financial Inc. 1.500% 3/10/26 13,000   13,445  
  Prudential Financial Inc. 2.100% 3/10/30 9,345   9,922  
4 Prudential Financial Inc. 5.375% 5/15/45 3,575   3,861  
  Prudential plc 3.125% 4/14/30 1,500   1,662  
  UnitedHealth Group Inc. 2.375% 8/15/24 16,640   17,813  
  UnitedHealth Group Inc. 3.750% 7/15/25 46,306   53,178  
  UnitedHealth Group Inc. 1.250% 1/15/26 11,530   11,881  
  UnitedHealth Group Inc. 3.100% 3/15/26 5,933   6,686  
  UnitedHealth Group Inc. 3.450% 1/15/27 13,800   15,909  
  UnitedHealth Group Inc. 3.375% 4/15/27 29,038   33,511  
  UnitedHealth Group Inc. 2.950% 10/15/27 38,725   43,994  
  UnitedHealth Group Inc. 3.850% 6/15/28 29,398   35,275  
  UnitedHealth Group Inc. 3.875% 12/15/28 35,288   42,696  
  UnitedHealth Group Inc. 2.875% 8/15/29 43,166   49,005  
  UnitedHealth Group Inc. 2.000% 5/15/30 22,300   23,690  
  Voya Financial Inc. 3.650% 6/15/26 750   844  
  Voya Financial Inc. 5.700% 7/15/43 3,758   5,136  
  Willis North America Inc. 2.950% 9/15/29 25,900   28,276  
  Other Finance (0.1%)  
9 Aroundtown SA 3.625% 4/10/31 3,000   4,179  
10 Logicor Financing Sarl 3.250% 11/13/28 3,500   4,579  
10 Samhallsbyggnadsbolaget i Norden AB 1.000% 8/12/27 7,000   7,714  
  Real Estate Investment Trusts (3.3%)  
  Alexandria Real Estate Equities Inc. 3.450% 4/30/25 24,734   27,804  
  Alexandria Real Estate Equities Inc. 3.950% 1/15/28 1,975   2,297  
  Alexandria Real Estate Equities Inc. 2.750% 12/15/29 15,000   16,370  
  Alexandria Real Estate Equities Inc. 1.875% 2/1/33 14,500   14,589  
  AvalonBay Communities Inc. 2.950% 5/11/26 19,800   21,729  
  AvalonBay Communities Inc. 2.900% 10/15/26 6,500   7,136  
  AvalonBay Communities Inc. 3.350% 5/15/27 12,040   13,606  
  AvalonBay Communities Inc. 3.200% 1/15/28 18,750   21,144  
  AvalonBay Communities Inc. 3.300% 6/1/29 5,000   5,737  
  AvalonBay Communities Inc. 2.300% 3/1/30 29,752   31,816  
  Boston Properties LP 3.250% 1/30/31 10,000   11,069  
  Brixmor Operating Partnership LP 4.050% 7/1/30 15,025   15,729  
  CubeSmart LP 4.375% 2/15/29 12,000   14,179  
  Digital Realty Trust LP 4.750% 10/1/25 5,645   6,619  
  Digital Realty Trust LP 3.700% 8/15/27 16,675   19,144  
  Digital Realty Trust LP 3.600% 7/1/29 19,800   23,132  
  Duke Realty LP 2.875% 11/15/29 5,000   5,596  
  ERP Operating LP 3.375% 6/1/25 20,800   22,988  
  ERP Operating LP 2.850% 11/1/26 8,211   9,076  
  ERP Operating LP 3.500% 3/1/28 8,836   10,120  
  ERP Operating LP 4.150% 12/1/28 27,426   33,227  
  ERP Operating LP 3.000% 7/1/29 10,000   11,284  
  ERP Operating LP 2.500% 2/15/30 12,570   13,660  
  Essex Portfolio LP 3.000% 1/15/30 10,000   10,990  
  Federal Realty Investment Trust 3.950% 1/15/24 8,269   8,818  
  Federal Realty Investment Trust 3.250% 7/15/27 3,665   3,904  
  Federal Realty Investment Trust 3.200% 6/15/29 10,000   10,625  
  Healthpeak Properties Inc. 3.400% 2/1/25 5,605   6,238  
  Healthpeak Properties Inc. 4.000% 6/1/25 14,105   15,726  
  Healthpeak Properties Inc. 3.500% 7/15/29 12,542   14,004  
  Healthpeak Properties Inc. 3.000% 1/15/30 16,700   17,978  
  Healthpeak Properties Inc. 2.875% 1/15/31 4,000   4,265  
  Highwoods Realty LP 3.875% 3/1/27 19,500   21,315  

 

 61 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Kilroy Realty LP 4.750% 12/15/28 6,705   7,902  
  Kimco Realty Corp. 3.300% 2/1/25 19,940   21,310  
  Kimco Realty Corp. 2.800% 10/1/26 7,148   7,418  
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.250% 2/1/27 1,620   1,365  
  Mid-America Apartments LP 4.000% 11/15/25 7,620   8,601  
  Mid-America Apartments LP 3.600% 6/1/27 6,000   6,773  
  Mid-America Apartments LP 2.750% 3/15/30 19,800   21,470  
  National Retail Properties Inc. 4.000% 11/15/25 10,605   11,840  
  National Retail Properties Inc. 3.500% 10/15/27 8,830   9,343  
  National Retail Properties Inc. 2.500% 4/15/30 10,000   9,831  
  Omega Healthcare Investors Inc. 4.500% 1/15/25 1,016   1,054  
  Omega Healthcare Investors Inc. 5.250% 1/15/26 23,324   25,516  
  Omega Healthcare Investors Inc. 4.750% 1/15/28 5,637   6,016  
  Omega Healthcare Investors Inc. 3.625% 10/1/29 10,000   10,052  
10 Prologis Euro Finance LLC 1.500% 9/10/49 2,900   3,416  
  Prologis LP 3.750% 11/1/25 1,070   1,230  
  Prologis LP 2.125% 4/15/27 8,400   8,990  
  Prologis LP 4.375% 2/1/29 15,000   18,830  
  Prologis LP 2.250% 4/15/30 10,000   10,807  
  Public Storage 3.094% 9/15/27 7,137   8,155  
  Public Storage 3.385% 5/1/29 31,980   37,395  
  Realty Income Corp. 3.875% 4/15/25 24,932   27,771  
  Realty Income Corp. 4.125% 10/15/26 45,976   53,314  
  Realty Income Corp. 3.650% 1/15/28 18,669   20,984  
  Regency Centers LP 2.950% 9/15/29 3,150   3,293  
  Sabra Health Care LP 5.125% 8/15/26 40,846   43,352  
  Sabra Health Care LP 3.900% 10/15/29 21,580   20,119  
  Sabra Health Care LP / Sabra Capital Corp. 4.800% 6/1/24 18,600   18,818  
  Simon Property Group LP 3.750% 2/1/24 28,230   30,457  
  Simon Property Group LP 2.000% 9/13/24 25,586   26,356  
  Simon Property Group LP 3.375% 10/1/24 4,000   4,330  
  Simon Property Group LP 3.500% 9/1/25 20,797   22,901  
  Simon Property Group LP 3.300% 1/15/26 9,920   10,889  
  Simon Property Group LP 3.250% 11/30/26 24,342   26,692  
  Simon Property Group LP 3.375% 6/15/27 16,390   17,802  
  Simon Property Group LP 3.375% 12/1/27 22,964   25,226  
  Simon Property Group LP 2.450% 9/13/29 18,700   18,968  
  Simon Property Group LP 2.650% 7/15/30 7,000   7,139  
  Ventas Realty LP 3.500% 2/1/25 4,920   5,211  
  VEREIT Operating Partnership LP 3.400% 1/15/28 8,170   8,400  
  VEREIT Operating Partnership LP 3.100% 12/15/29 15,000   15,081  
  Welltower Inc. 4.000% 6/1/25 13,753   15,320  
  Welltower Inc. 2.700% 2/15/27 10,970   11,476  
  Welltower Inc. 4.250% 4/15/28 2,540   2,908  
  Welltower Inc. 3.100% 1/15/30 4,000   4,205  
  Welltower Inc. 2.750% 1/15/31 10,000   10,145  
            10,322,552  
Industrial (39.4%)  
  Basic Industry (1.7%)  
7 Air Liquide Finance SA 2.500% 9/27/26 19,650   21,612  
  Air Products & Chemicals Inc. 1.500% 10/15/25 2,385   2,490  
  Air Products & Chemicals Inc. 1.850% 5/15/27 5,380   5,734  
10 Air Products & Chemicals Inc. 0.500% 5/5/28 3,845   4,583  
7 Arconic Corp. 6.000% 5/15/25 770   821  
7 Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.750% 6/15/27 1,319   1,378  
7 Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co. LP 3.400% 12/1/26 27,256   29,654  
7 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.700% 6/1/28 23,646   25,724  
  Dow Chemical Co. 4.550% 11/30/25 6,350   7,367  
  Dow Chemical Co. 3.625% 5/15/26 76,513   85,288  

 

 62 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020 

 

    Coupon Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
10 Dow Chemical Co. 0.500% 3/15/27 6,140   6,897  
10 Dow Chemical Co. 1.125% 3/15/32 3,000   3,331  
  DuPont de Nemours Inc. 4.493% 11/15/25 25,398   29,573  
  Eastman Chemical Co. 3.800% 3/15/25 23,057   25,520  
  EI du Pont de Nemours & Co. 1.700% 7/15/25 5,175   5,402  
  FMC Corp. 3.200% 10/1/26 14,475   15,934  
  Freeport-McMoRan Inc. 4.625% 8/1/30 2,560   2,682  
7 Georgia-Pacific LLC 2.100% 4/30/27 24,793   26,330  
7 Georgia-Pacific LLC 2.300% 4/30/30 7,000   7,558  
7 Graphic Packaging International LLC 3.500% 3/15/28 1,412   1,433  
7 Industrias Penoles SAB de CV 4.750% 8/6/50 2,338   2,432  
  LYB International Finance III LLC 2.875% 5/1/25 11,645   12,564  
  LYB International Finance III LLC 3.375% 5/1/30 19,010   20,942  
  Newmont Corp. 2.800% 10/1/29 23,675   26,028  
  Newmont Corp. 2.250% 10/1/30 19,215   20,290  
7 Novelis Corp. 4.750% 1/30/30 970   1,011  
  Nucor Corp. 2.700% 6/1/30 14,060   15,248  
  Nutrien Ltd. 3.375% 3/15/25 13,485   14,963  
7 OCI NV 5.250% 11/1/24 2,650   2,733  
  Packaging Corp. of America 3.400% 12/15/27 1,250   1,404  
  Packaging Corp. of America 3.000% 12/15/29 14,000   15,472  
  PPG Industries Inc. 2.550% 6/15/30 10,435   11,239  
  Rio Tinto Finance USA Ltd. 3.750% 6/15/25 6,720   7,649  
  Sherwin-Williams Co. 3.450% 6/1/27 19,878   22,786  
  Sherwin-Williams Co. 2.950% 8/15/29 17,585   19,618  
  Steel Dynamics Inc. 3.450% 4/15/30 9,200   10,286  
  Steel Dynamics Inc. 3.250% 1/15/31 7,000   7,612  
7 Suzano Austria GmbH 7.000% 3/16/47 3,000   3,405  
  Vale Overseas Ltd. 6.250% 8/10/26 3,791   4,544  
  Vale Overseas Ltd. 3.750% 7/8/30 4,304   4,618  
10 Vale SA 3.750% 1/10/23 10,030   12,463  
7 WR Grace & Co-Conn 4.875% 6/15/27 990   1,054  
  WRKCo Inc. 3.000% 9/15/24 9,485   10,181  
  WRKCo Inc. 4.650% 3/15/26 25,054   29,446  
  WRKCo Inc. 4.000% 3/15/28 6,100   6,972  
  WRKCo Inc. 3.900% 6/1/28 9,821   11,248  
  Capital Goods (3.7%)  
  3M Co. 2.000% 2/14/25 16,675   17,716  
  3M Co. 2.250% 9/19/26 22,783   24,801  
  3M Co. 3.050% 4/15/30 5,000   5,804  
10 Airbus Finance BV 1.375% 5/13/31 4,785   5,695  
7 Airbus SE 3.150% 4/10/27 26,527   28,098  
7 American Builders & Contractors Supply Co. Inc. 5.875% 5/15/26 477   504  
7 American Builders & Contractors Supply Co. Inc. 4.000% 1/15/28 2,600   2,675  
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 5.250% 4/30/25 1,839   1,952  
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 4.125% 8/15/26 660   685  
  Ball Corp. 5.000% 3/15/22 940   985  
  Ball Corp. 4.875% 3/15/26 3,445   3,919  
7 Berry Global Inc. 4.875% 7/15/26 5,915   6,264  
  Boeing Co. 4.875% 5/1/25 69,362   75,190  
  Boeing Co. 5.040% 5/1/27 29,752   32,170  
  Boeing Co. 3.250% 3/1/28 1,131   1,127  
  Boeing Co. 5.150% 5/1/30 10,000   10,962  
7 BWX Technologies Inc. 4.125% 6/30/28 660   690  
7 Carrier Global Corp. 2.242% 2/15/25 31,953   33,364  
7 Carrier Global Corp. 2.493% 2/15/27 28,244   29,693  
7 Carrier Global Corp. 2.722% 2/15/30 15,000   15,800  
  Caterpillar Financial Services Corp. 3.300% 6/9/24 305   336  
  Caterpillar Financial Services Corp. 2.150% 11/8/24 19,800   21,069  
  Caterpillar Financial Services Corp. 2.400% 8/9/26 2,000   2,186  
  Caterpillar Inc. 2.600% 9/19/29 8,000   8,955  
  

 63 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Clark Equipment Co. 5.875%   6/1/25 1,572   1,647  
7 Clean Harbors Inc. 4.875%   7/15/27 3,965   4,193  
7 Clean Harbors Inc. 5.125%   7/15/29 925   992  
10 CNH Industrial Finance Europe SA 1.750%   3/25/27 4,280   5,024  
  Embraer Netherlands Finance BV 5.050%   6/15/25 19,200   17,768  
  Embraer Netherlands Finance BV 5.400%   2/1/27 4,100   3,746  
  Embraer Overseas Ltd. 5.696%   9/16/23 582   582  
  Embraer SA 5.150%   6/15/22 8,000   8,019  
  Emerson Electric Co. 1.800%   10/15/27 19,800   21,021  
  General Dynamics Corp. 3.250%   4/1/25 8,080   9,030  
  General Dynamics Corp. 3.500%   5/15/25 20,765   23,473  
  General Dynamics Corp. 3.500%   4/1/27 11,500   13,342  
  General Dynamics Corp. 2.625%   11/15/27 20,295   22,462  
  General Dynamics Corp. 3.750%   5/15/28 20,545   24,399  
  General Dynamics Corp. 3.625%   4/1/30 17,272   20,732  
  General Electric Co. 3.450%   5/1/27 5,000   5,255  
7 GPC Merger Sub Inc. 7.125%   8/15/28 365   380  
  Honeywell International Inc. 1.350%   6/1/25 9,050   9,365  
  Honeywell International Inc. 2.500%   11/1/26 6,921   7,665  
  Honeywell International Inc. 2.700%   8/15/29 14,138   16,151  
  Honeywell International Inc. 1.950%   6/1/30 34,214   36,602  
  Howmet Aerospace Inc. 6.875%   5/1/25 1,145   1,288  
7 Huntington Ingalls Industries Inc. 3.844%   5/1/25 10,000   11,080  
  Illinois Tool Works Inc. 2.650%   11/15/26 10,933   12,105  
  John Deere Capital Corp. 2.250%   9/14/26 9,960   10,867  
  John Deere Capital Corp. 1.750%   3/9/27 5,000   5,272  
  Johnson Controls International plc 3.900%   2/14/26 2,621   2,877  
  L3Harris Technologies Inc. 3.950%   5/28/24 8,682   9,549  
  L3Harris Technologies Inc. 3.832%   4/27/25 4,775   5,383  
  L3Harris Technologies Inc. 3.850%   12/15/26 26,665   30,894  
  L3Harris Technologies Inc. 4.400%   6/15/28 14,925   18,066  
  Lennox International Inc. 1.700%   8/1/27 7,000   7,082  
  Lockheed Martin Corp. 2.900%   3/1/25 11,882   13,075  
  Lockheed Martin Corp. 3.550%   1/15/26 58,134   66,763  
  Lockheed Martin Corp. 1.850%   6/15/30 10,300   10,867  
7 Mueller Water Products Inc. 5.500%   6/15/26 4,123   4,298  
  Northrop Grumman Corp. 3.250%   1/15/28 61,443   70,272  
  Northrop Grumman Corp. 4.400%   5/1/30 31,125   38,872  
7 Otis Worldwide Corp. 2.056%   4/5/25 5,000   5,283  
7 Otis Worldwide Corp. 2.293%   4/5/27 23,520   25,140  
7 Otis Worldwide Corp. 2.565%   2/15/30 10,000   10,789  
  Parker-Hannifin Corp. 3.300%   11/21/24 10,060   11,080  
7 Raytheon Technologies Corp. 3.200%   3/15/24 15,000   16,269  
  Raytheon Technologies Corp. 3.950%   8/16/25 11,532   13,319  
7 Raytheon Technologies Corp. 3.500%   3/15/27 28,417   32,344  
  Raytheon Technologies Corp. 3.125%   5/4/27 75,336   84,293  
  Raytheon Technologies Corp. 4.125%   11/16/28 28,623   34,381  
  Raytheon Technologies Corp. 2.250%   7/1/30 17,984   19,291  
  Republic Services Inc. 3.200%   3/15/25 4,150   4,588  
7 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.125%   7/15/23 341   345  
6,7 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 3M USD LIBOR + 3.500% 3.775%   7/15/21 2,972   2,965  
  Roper Technologies Inc. 2.000%   6/30/30 21,800   22,658  
7 Sealed Air Corp. 4.000%   12/1/27 1,775   1,828  
  Silgan Holdings Inc. 4.125%   2/1/28 3,097   3,174  
7 Standard Industries Inc. 4.375%   7/15/30 1,645   1,777  
  Stanley Black & Decker Inc. 3.400%   3/1/26 31,735   36,186  
  Stanley Black & Decker Inc. 2.300%   3/15/30 39,074   42,227  
7 Summit Materials LLC / Summit Materials Finance Corp. 5.250%   1/15/29 370   383  
7 TransDigm Inc. 8.000%   12/15/25 540   587  
7 TransDigm Inc. 6.250%   3/15/26 4,510   4,758  

 

64

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  TransDigm Inc. 5.500%   11/15/27 3,009   2,855  
7 Trivium Packaging Finance BV 5.500%   8/15/26 910   962  
7 Trivium Packaging Finance BV 8.500%   8/15/27 1,755   1,915  
  United Rentals North America Inc. 4.625%   10/15/25 5,615   5,776  
  United Rentals North America Inc. 6.500%   12/15/26 2,675   2,969  
  United Rentals North America Inc. 3.875%   11/15/27 2,925   3,071  
  United Rentals North America Inc. 3.875%   2/15/31 1,440   1,440  
7 WESCO Distribution Inc. 7.250%   6/15/28 4,463   4,876  
  Communication (5.5%)              
  American Tower Corp. 2.400%   3/15/25 19,800   21,157  
  American Tower Corp. 2.750%   1/15/27 22,600   24,641  
  American Tower Corp. 3.550%   7/15/27 11,315   12,893  
  American Tower Corp. 3.600%   1/15/28 10,000   11,488  
  AT&T Inc. 3.950%   1/15/25 10,000   11,237  
  AT&T Inc. 3.400%   5/15/25 5,299   5,889  
  AT&T Inc. 3.875%   1/15/26 7,380   8,404  
  AT&T Inc. 4.125%   2/17/26 59,093   68,028  
  AT&T Inc. 4.250%   3/1/27 19,000   22,210  
  AT&T Inc. 2.300%   6/1/27 49,586   52,515  
  AT&T Inc. 1.650%   2/1/28 10,000   10,178  
  AT&T Inc. 4.300%   2/15/30 23,800   28,468  
  AT&T Inc. 2.750%   6/1/31 7,000   7,495  
  AT&T Inc. 2.250%   2/1/32 20,000   20,502  
7 CCO Holdings LLC / CCO Holdings Capital Corp. 4.750%   3/1/30 4,730   5,049  
7 CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%   2/1/31 940   980  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.908%   7/23/25 14,313   16,610  
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.200%   3/15/28 5,900   6,771  
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.050%   3/30/29 13,053   15,850  
  Comcast Corp. 3.375%   8/15/25 51,419   57,878  
  Comcast Corp. 3.150%   3/1/26 54,105   60,746  
  Comcast Corp. 2.350%   1/15/27 53,381   57,700  
  Comcast Corp. 3.300%   2/1/27 2,000   2,272  
  Comcast Corp. 3.300%   4/1/27 10,000   11,408  
  Comcast Corp. 3.150%   2/15/28 35,747   40,832  
  Comcast Corp. 3.550%   5/1/28 10,000   11,709  
  Comcast Corp. 4.150%   10/15/28 60,520   74,313  
  Comcast Corp. 3.400%   4/1/30 37,386   43,830  
  Comcast Corp. 4.250%   10/15/30 3,753   4,720  
  Comcast Corp. 1.950%   1/15/31 18,598   19,445  
  Crown Castle International Corp. 4.450%   2/15/26 37,166   43,337  
  Crown Castle International Corp. 3.700%   6/15/26 47,555   53,991  
  Crown Castle International Corp. 3.300%   7/1/30 10,000   11,283  
  Crown Castle International Corp. 2.250%   1/15/31 13,715   14,226  
7 CSC Holdings LLC 5.375%   2/1/28 1,980   2,146  
7 CSC Holdings LLC 6.500%   2/1/29 5,790   6,630  
7 CSC Holdings LLC 5.750%   1/15/30 3,725   4,116  
7 CSC Holdings LLC 4.625%   12/1/30 988   1,037  
7 Deutsche Telekom International Finance BV 4.375%   6/21/28 9,350   11,241  
  Discovery Communications LLC 3.450%   3/15/25 1,168   1,285  
  Discovery Communications LLC 3.950%   6/15/25 3,715   4,196  
  Discovery Communications LLC 4.900%   3/11/26 29,563   34,675  
  Discovery Communications LLC 3.625%   5/15/30 25,835   28,673  
  Fox Corp. 3.050%   4/7/25 11,727   12,851  
  Fox Corp. 4.709%   1/25/29 43,522   53,001  
  Fox Corp. 3.500%   4/8/30 10,000   11,389  
7 Front Range BidCo Inc. 4.000%   3/1/27 475   475  
7 Front Range BidCo Inc. 6.125%   3/1/28 1,665   1,717  
  Lamar Media Corp. 5.750%   2/1/26 935   979  
7 Lamar Media Corp. 3.750%   2/15/28 1,400   1,409  
7 Lamar Media Corp. 4.875%   1/15/29 703   738  

 

65

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Lamar Media Corp. 4.000%   2/15/30 880   889  
7 Level 3 Financing Inc. 4.625%   9/15/27 6,088   6,400  
7 Level 3 Financing Inc. 4.250%   7/1/28 1,645   1,701  
7 Netflix Inc. 3.625%   6/15/25 660   700  
  Netflix Inc. 4.875%   4/15/28 4,114   4,783  
7 Nexstar Escrow Inc. 5.625%   7/15/27 5,225   5,565  
  Qwest Corp. 7.250%   9/15/25 4,554   5,248  
  RELX Capital Inc. 3.000%   5/22/30 13,800   15,324  
  S&P Global Inc. 4.000%   6/15/25 6,905   7,925  
  S&P Global Inc. 4.400%   2/15/26 21,220   25,291  
  S&P Global Inc. 2.950%   1/22/27 10,649   11,926  
7 SBA Communications Corp. 3.875%   2/15/27 985   1,019  
7 Sirius XM Radio Inc. 4.625%   7/15/24 2,100   2,210  
7 Sirius XM Radio Inc. 5.000%   8/1/27 1,810   1,925  
7 Sirius XM Radio Inc. 4.125%   7/1/30 985   1,037  
7 Sky Ltd. 3.750%   9/16/24 19,800   22,318  
  Sprint Corp. 7.125%   6/15/24 5,555   6,472  
  Sprint Corp. 7.625%   3/1/26 1,085   1,348  
7 T-Mobile USA Inc. 3.500%   4/15/25 19,800   21,866  
  T-Mobile USA Inc. 4.500%   2/1/26 4,320   4,444  
7 T-Mobile USA Inc. 3.750%   4/15/27 90,487   102,612  
7 T-Mobile USA Inc. 3.875%   4/15/30 62,735   71,631  
  Telefonica Emisiones SAU 4.103%   3/8/27 9,470   10,993  
7 Twitter Inc. 3.875%   12/15/27 4,216   4,469  
8 Verizon Communications Inc. 4.050%   2/17/25 15,310   12,195  
  Verizon Communications Inc. 4.125%   3/16/27 44,892   53,655  
  Verizon Communications Inc. 3.000%   3/22/27 56,875   64,003  
8 Verizon Communications Inc. 4.500%   8/17/27 3,500   2,959  
  Verizon Communications Inc. 4.329%   9/21/28 20,128   24,758  
  Verizon Communications Inc. 3.150%   3/22/30 25,000   28,664  
10 Verizon Communications Inc. 2.875%   1/15/38 4,700   6,998  
  ViacomCBS Inc. 3.875%   4/1/24 1,073   1,172  
  ViacomCBS Inc. 4.750%   5/15/25 17,403   20,032  
  ViacomCBS Inc. 4.950%   1/15/31 10,000   12,067  
  ViacomCBS Inc. 4.200%   5/19/32 18,225   21,014  
7 Virgin Media Finance plc 5.000%   7/15/30 1,650   1,716  
7 Virgin Media Secured Finance plc 4.500%   8/15/30 988   1,050  
7 Virgin Media Vendor Financing Notes IV DAC 5.000%   7/15/28 2,085   2,171  
  Vodafone Group plc 4.125%   5/30/25 11,300   12,918  
  Vodafone Group plc 4.375%   5/30/28 39,173   47,526  
  Walt Disney Co. 3.350%   3/24/25 21,340   23,850  
  Walt Disney Co. 3.700%   10/15/25 6,535   7,446  
  Walt Disney Co. 1.750%   1/13/26 52,590   54,906  
  Walt Disney Co. 3.000%   2/13/26 5,580   6,205  
  Walt Disney Co. 3.375%   11/15/26 44,928   50,844  
  Walt Disney Co. 3.700%   3/23/27 14,162   16,426  
  Walt Disney Co. 2.200%   1/13/28 5,160   5,460  
  Walt Disney Co. 2.000%   9/1/29 42,462   44,050  
  Walt Disney Co. 2.650%   1/13/31 10,000   10,863  
9 WPP Finance SA 3.750%   5/19/32 1,800   2,520  
  Consumer Cyclical (4.4%)              
7 1011778 BC ULC / New Red Finance Inc. 5.000%   10/15/25 1,800   1,845  
7 1011778 BC ULC / New Red Finance Inc. 3.875%   1/15/28 2,470   2,556  
7 1011778 BC ULC / New Red Finance Inc. 4.375%   1/15/28 4,661   4,847  
7 Alimentation Couche-Tard Inc. 3.550%   7/26/27 26,507   29,191  
7 Allison Transmission Inc. 5.000%   10/1/24 315   321  
7 Allison Transmission Inc. 4.750%   10/1/27 5,165   5,359  
  Amazon.com Inc. 1.200%   6/3/27 19,752   20,299  
  Amazon.com Inc. 3.150%   8/22/27 47,015   54,363  
  Amazon.com Inc. 1.500%   6/3/30 19,800   20,458  
  American Honda Finance Corp. 2.900%   2/16/24 7,500   8,037  
  American Honda Finance Corp. 2.150%   9/10/24 44,628   47,099  
  American Honda Finance Corp. 1.200%   7/8/25 19,800   20,100  

 

66

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Asbury Automotive Group Inc. 4.500%   3/1/28 1,754   1,793  
7 Asbury Automotive Group Inc. 4.750%   3/1/30 669   687  
  AutoZone Inc. 3.625%   4/15/25 15,000   16,920  
  AutoZone Inc. 3.750%   6/1/27 12,000   13,722  
  BorgWarner Inc. 2.650%   7/1/27 46,483   49,235  
7 Burlington Coat Factory Warehouse Corp. 6.250%   4/15/25 1,551   1,648  
7 Carnival Corp. 11.500%   4/1/23 2,767   3,009  
7 Churchill Downs Inc. 5.500%   4/1/27 2,240   2,338  
7 Churchill Downs Inc. 4.750%   1/15/28 5,339   5,412  
7 Clarios Global LP 6.750%   5/15/25 650   699  
7 Colt Merger Sub Inc. 5.750%   7/1/25 329   343  
7 Colt Merger Sub Inc. 8.125%   7/1/27 2,168   2,195  
  Costco Wholesale Corp. 3.000%   5/18/27 16,539   18,887  
  Costco Wholesale Corp. 1.375%   6/20/27 18,000   18,653  
  Costco Wholesale Corp. 1.600%   4/20/30 10,000   10,360  
  Dana Inc. 5.375%   11/15/27 658   689  
  Dana Inc. 5.625%   6/15/28 985   1,017  
  Dollar General Corp. 4.125%   5/1/28 4,650   5,534  
  Dollar General Corp. 3.500%   4/3/30 29,752   34,301  
  eBay Inc. 2.700%   3/11/30 19,800   21,402  
7 Expedia Group Inc. 6.250%   5/1/25 1,006   1,099  
7 Expedia Group Inc. 7.000%   5/1/25 765   828  
7 Expedia Group Inc. 4.625%   8/1/27 3,295   3,386  
10 FCE Bank plc 1.660%   2/11/21 7,200   8,378  
  Ford Motor Co. 8.500%   4/21/23 2,035   2,256  
  Ford Motor Credit Co. LLC 2.979%   8/3/22 980   987  
  Ford Motor Credit Co. LLC 3.087%   1/9/23 1,200   1,196  
  Ford Motor Credit Co. LLC 5.125%   6/16/25 2,635   2,803  
  Ford Motor Credit Co. LLC 3.815%   11/2/27 1,020   1,001  
  General Motors Co. 6.125%   10/1/25 15,000   17,487  
  General Motors Co. 5.000%   10/1/28 15,000   16,838  
  General Motors Financial Co. Inc. 3.500%   11/7/24 15,685   16,751  
  General Motors Financial Co. Inc. 4.000%   1/15/25 5,000   5,333  
  General Motors Financial Co. Inc. 2.900%   2/26/25 24,793   25,684  
  General Motors Financial Co. Inc. 4.350%   4/9/25 25,537   27,724  
  General Motors Financial Co. Inc. 4.300%   7/13/25 14,123   15,376  
  General Motors Financial Co. Inc. 4.000%   10/6/26 10,000   10,726  
  General Motors Financial Co. Inc. 4.350%   1/17/27 10,000   10,826  
  Goodyear Tire & Rubber Co. 9.500%   5/31/25 1,181   1,305  
  Goodyear Tire & Rubber Co. 4.875%   3/15/27 4,232   4,179  
  Harley-Davidson Inc. 3.500%   7/28/25 17,000   18,029  
7 Hilton Domestic Operating Co. Inc. 5.375%   5/1/25 1,390   1,453  
7 Hilton Domestic Operating Co. Inc. 5.750%   5/1/28 942   1,006  
  Home Depot Inc. 2.500%   4/15/27 21,800   24,152  
  Home Depot Inc. 2.800%   9/14/27 23,443   26,537  
  Home Depot Inc. 3.900%   12/6/28 26,033   31,625  
  Home Depot Inc. 2.950%   6/15/29 61,528   70,489  
7 International Game Technology plc 6.250%   1/15/27 385   410  
7 International Game Technology plc 5.250%   1/15/29 1,360   1,387  
7 L Brands Inc. 6.875%   7/1/25 575   620  
  Lennar Corp. 5.250%   6/1/26 1,560   1,747  
  Lennar Corp. 5.000%   6/15/27 1,366   1,537  
  Lennar Corp. 4.750%   11/29/27 145   167  
7 Live Nation Entertainment Inc. 5.625%   3/15/26 545   522  
7 Live Nation Entertainment Inc. 6.500%   5/15/27 975   1,046  
7 Live Nation Entertainment Inc. 4.750%   10/15/27 1,615   1,486  
  Lowe's Cos. Inc. 3.125%   9/15/24 7,505   8,246  
  Lowe's Cos. Inc. 2.500%   4/15/26 5,067   5,520  
  Lowe's Cos. Inc. 3.100%   5/3/27 10,000   11,292  
  Magna International Inc. 2.450%   6/15/30 19,800   20,853  
  Marriott International Inc. 5.750%   5/1/25 4,439   4,927  
  Marriott International Inc. 4.625%   6/15/30 4,010   4,278  
  Mastercard Inc. 3.300%   3/26/27 19,800   22,861  
  Mastercard Inc. 2.950%   6/1/29 19,000   21,740  

 

67

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Match Group Holdings II LLC 4.625%   6/1/28 1,598   1,646  
7 Mattamy Group Corp. 4.625%   3/1/30 939   957  
  McDonald's Corp. 3.375%   5/26/25 7,455   8,332  
  McDonald's Corp. 1.450%   9/1/25 5,000   5,175  
  McDonald's Corp. 3.700%   1/30/26 15,000   17,150  
  McDonald's Corp. 2.625%   9/1/29 21,550   23,657  
  McDonald's Corp. 3.600%   7/1/30 24,000   28,006  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625%   5/1/24 3,010   3,251  
7 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.625%   6/15/25 2,578   2,681  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.500%   9/1/26 2,417   2,514  
  O'Reilly Automotive Inc. 3.600%   9/1/27 9,000   10,381  
7 Panther BF Aggregator 2 LP / Panther Finance Co. Inc. 8.500%   5/15/27 3,545   3,718  
  PulteGroup Inc. 5.500%   3/1/26 4,570   5,233  
  PulteGroup Inc. 5.000%   1/15/27 1,410   1,600  
7 Royal Caribbean Cruises Ltd. 10.875%   6/1/23 325   343  
7 Royal Caribbean Cruises Ltd. 9.125%   6/15/23 325   332  
7 Royal Caribbean Cruises Ltd. 11.500%   6/1/25 655   721  
  Starbucks Corp. 2.000%   3/12/27 5,200   5,453  
  Starbucks Corp. 2.250%   3/12/30 10,000   10,564  
  Target Corp. 2.250%   4/15/25 5,500   5,922  
  Target Corp. 3.375%   4/15/29 20,300   23,880  
  Target Corp. 2.350%   2/15/30 10,000   11,004  
  Target Corp. 2.650%   9/15/30 15,000   16,855  
  TJX Cos. Inc. 3.500%   4/15/25 19,800   22,092  
  TJX Cos. Inc. 2.250%   9/15/26 46,214   49,590  
  TJX Cos. Inc. 3.875%   4/15/30 21,436   25,801  
  Toyota Motor Credit Corp. 3.000%   4/1/25 7,000   7,705  
  Toyota Motor Credit Corp. 3.200%   1/11/27 2,000   2,268  
  Toyota Motor Credit Corp. 3.650%   1/8/29 33,466   40,039  
  Toyota Motor Credit Corp. 3.375%   4/1/30 25,000   29,566  
  TRI Pointe Group Inc. 5.700%   6/15/28 3,290   3,619  
7 Vail Resorts Inc. 6.250%   5/15/25 3,813   4,099  
  Visa Inc. 3.150%   12/14/25 106,820   120,198  
  Visa Inc. 1.900%   4/15/27 19,800   21,141  
  Visa Inc. 2.050%   4/15/30 29,752   32,279  
7 Volkswagen Group of America Finance LLC 3.200%   9/26/26 5,000   5,469  
  Walmart Inc. 3.050%   7/8/26 44,086   50,036  
  Walmart Inc. 3.700%   6/26/28 37,669   45,330  
  Walmart Inc. 3.250%   7/8/29 14,929   17,588  
7 William Carter Co. 5.500%   5/15/25 2,649   2,795  
  Consumer Noncyclical (11.7%)              
  Abbott Laboratories 3.750%   11/30/26 16,142   18,957  
  Abbott Laboratories 1.150%   1/30/28 10,000   10,263  
  Abbott Laboratories 1.400%   6/30/30 7,500   7,636  
7 AbbVie Inc. 2.600%   11/21/24 61,487   65,618  
7 AbbVie Inc. 3.800%   3/15/25 31,537   35,346  
7 AbbVie Inc. 2.950%   11/21/26 79,437   87,548  
7 AbbVie Inc. 3.200%   11/21/29 37,547   42,287  
  Agilent Technologies Inc. 3.050%   9/22/26 2,000   2,212  
  Agilent Technologies Inc. 2.750%   9/15/29 10,000   10,949  
7 Alcon Finance Corp. 2.750%   9/23/26 15,000   16,344  
  Altria Group Inc. 2.350%   5/6/25 13,907   14,799  
  Altria Group Inc. 4.400%   2/14/26 19,150   22,197  
  Altria Group Inc. 2.625%   9/16/26 11,076   11,926  
  Altria Group Inc. 4.800%   2/14/29 37,462   45,102  
  Altria Group Inc. 3.400%   5/6/30 8,000   8,942  
  AmerisourceBergen Corp. 3.450%   12/15/27 14,716   16,881  
  Amgen Inc. 2.200%   2/21/27 54,966   58,790  
  Amgen Inc. 2.450%   2/21/30 400   432  

 

68

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 3.650%   2/1/26 39,669   44,865  
  Anheuser-Busch InBev Finance Inc. 3.650%   2/1/26 29,921   33,891  
  Anheuser-Busch InBev Worldwide Inc. 4.000%   4/13/28 41,714   48,809  
  Anheuser-Busch InBev Worldwide Inc. 4.750%   1/23/29 16,000   19,638  
  Anheuser-Busch InBev Worldwide Inc. 3.500%   6/1/30 20,000   22,954  
  Aramark Services Inc. 4.750%   6/1/26 1,140   1,137  
7 Aramark Services Inc. 5.000%   2/1/28 2,610   2,626  
  Ascension Health 2.532%   11/15/29 2,500   2,724  
  AstraZeneca plc 3.375%   11/16/25 5,500   6,238  
  AstraZeneca plc 3.125%   6/12/27 19,875   22,289  
10 Auchan Holding SA 2.875%   1/29/26 3,600   4,327  
7 Avantor Funding Inc. 4.625%   7/15/28 990   1,047  
  BAT Capital Corp. 3.215%   9/6/26 23,800   25,885  
  BAT Capital Corp. 4.700%   4/2/27 56,771   65,951  
  BAT Capital Corp. 3.557%   8/15/27 18,000   19,707  
7 Bausch Health Cos. Inc. 5.500%   11/1/25 970   1,004  
7 Bausch Health Cos. Inc. 5.750%   8/15/27 1,589   1,728  
7 Bausch Health Cos. Inc. 7.000%   1/15/28 2,715   2,959  
7 Bausch Health Cos. Inc. 5.000%   1/30/28 995   1,000  
  Baxalta Inc. 4.000%   6/23/25 14,504   16,527  
7 Baxter International Inc. 3.950%   4/1/30 8,000   9,674  
7 Bayer US Finance II LLC 4.375%   12/15/28 27,367   32,358  
  Becton Dickinson & Co. 3.700%   6/6/27 40,444   46,202  
  Biogen Inc. 4.050%   9/15/25 15,000   17,316  
  Biogen Inc. 2.250%   5/1/30 15,000   15,612  
  Boston Scientific Corp. 1.900%   6/1/25 12,700   13,329  
  Boston Scientific Corp. 4.000%   3/1/29 10,000   11,813  
  Boston Scientific Corp. 2.650%   6/1/30 10,000   10,808  
  Bristol-Myers Squibb Co. 3.625%   5/15/24 2,650   2,935  
  Bristol-Myers Squibb Co. 2.900%   7/26/24 39,669   43,033  
  Bristol-Myers Squibb Co. 3.875%   8/15/25 20,976   24,154  
  Bristol-Myers Squibb Co. 3.200%   6/15/26 82,238   92,061  
  Bristol-Myers Squibb Co. 3.450%   11/15/27 63,799   74,297  
  Bristol-Myers Squibb Co. 3.900%   2/20/28 21,800   25,814  
  Bristol-Myers Squibb Co. 3.400%   7/26/29 45,317   53,317  
10 Carrefour SA 2.625%   12/15/27 9,500   12,760  
  CHRISTUS Health 4.341%   7/1/28 19,800   22,472  
  Cigna Corp. 4.500%   2/25/26 10,000   11,735  
  Cigna Corp. 3.400%   3/1/27 28,951   32,599  
  Cigna Corp. 4.375%   10/15/28 26,027   31,426  
  Cigna Corp. 2.400%   3/15/30 15,000   15,881  
  Clorox Co. 1.800%   5/15/30 15,000   15,604  
  Coca-Cola Co. 1.650%   6/1/30 25,000   26,045  
  CommonSpirit Health 2.760%   10/1/24 16,415   17,199  
  Constellation Brands Inc. 4.750%   12/1/25 4,215   5,016  
  Constellation Brands Inc. 3.500%   5/9/27 19,885   22,536  
  Constellation Brands Inc. 3.600%   2/15/28 12,590   14,288  
  Constellation Brands Inc. 4.650%   11/15/28 18,615   22,607  
  Constellation Brands Inc. 2.875%   5/1/30 7,000   7,627  
  CVS Health Corp. 2.625%   8/15/24 9,800   10,503  
  CVS Health Corp. 4.100%   3/25/25 49,487   56,303  
  CVS Health Corp. 2.875%   6/1/26 24,793   27,076  
  CVS Health Corp. 3.000%   8/15/26 39,371   43,480  
  CVS Health Corp. 3.625%   4/1/27 50,181   57,480  
  CVS Health Corp. 4.300%   3/25/28 86,736   102,368  
  DaVita Inc. 5.000%   5/1/25 1,015   1,040  
7 DaVita Inc. 4.625%   6/1/30 4,110   4,377  
  DH Europe Finance II Sarl 2.200%   11/15/24 17,710   18,756  
  DH Europe Finance II Sarl 2.600%   11/15/29 13,000   14,266  
  Diageo Capital plc 3.875%   5/18/28 8,000   9,548  
  Diageo Capital plc 2.375%   10/24/29 14,465   15,785  
  Diageo Capital plc 2.000%   4/29/30 11,765   12,483  
  Dignity Health 3.812%   11/1/24 1,000   1,042  

 

69

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Eli Lilly & Co. 3.100%   5/15/27 2,000   2,268  
  Eli Lilly & Co. 3.375%   3/15/29 23,300   27,375  
  Encompass Health Corp. 4.500%   2/1/28 3,202   3,346  
  Estee Lauder Cos. Inc. 2.375%   12/1/29 5,250   5,734  
  General Mills Inc. 2.875%   4/15/30 27,085   30,317  
  Gilead Sciences Inc. 3.500%   2/1/25 80,832   90,577  
  Gilead Sciences Inc. 3.650%   3/1/26 51,890   59,631  
  Gilead Sciences Inc. 2.950%   3/1/27 982   1,109  
  GlaxoSmithKline Capital Inc. 3.875%   5/15/28 35,702   43,112  
  GlaxoSmithKline Capital plc 3.375%   6/1/29 47,669   55,648  
  Grupo Bimbo SAB de CV 4.500%   1/25/22 4,060   4,258  
  HCA Inc. 5.375%   2/1/25 4,630   5,197  
  HCA Inc. 5.250%   4/15/25 7,000   8,129  
  HCA Inc. 5.250%   6/15/26 30,245   35,523  
  HCA Inc. 5.375%   9/1/26 1,405   1,605  
  HCA Inc. 4.500%   2/15/27 18,400   21,068  
  HCA Inc. 3.500%   9/1/30 1,625   1,706  
  Hershey Co. 1.700%   6/1/30 5,000   5,227  
7 Hill-Rom Holdings Inc. 4.375%   9/15/27 3,510   3,703  
  Hormel Foods Corp. 4.125%   4/15/21 625   635  
  Hormel Foods Corp. 1.800%   6/11/30 34,710   36,429  
10 JAB Holdings BV 2.500%   4/17/27 7,800   9,960  
  JM Smucker Co. 3.375%   12/15/27 32,727   36,758  
  JM Smucker Co. 2.375%   3/15/30 5,225   5,507  
  Kaiser Foundation Hospitals 3.150%   5/1/27 2,500   2,823  
  Kellogg Co. 4.300%   5/15/28 16,000   19,217  
  Kellogg Co. 2.100%   6/1/30 18,735   19,551  
  Keurig Dr Pepper Inc. 3.200%   5/1/30 11,000   12,495  
  Kimberly-Clark Corp. 3.625%   8/1/20 2,300   2,300  
  Kimberly-Clark Corp. 3.100%   3/26/30 37,768   43,946  
7 Kraft Heinz Foods Co. 3.875%   5/15/27 2,590   2,793  
7 Kraft Heinz Foods Co. 4.250%   3/1/31 942   1,039  
  Kroger Co. 3.500%   2/1/26 27,470   31,275  
  Kroger Co. 3.700%   8/1/27 13,225   15,450  
  Kroger Co. 2.200%   5/1/30 22,000   23,501  
  Laboratory Corp. of America Holdings 3.250%   9/1/24 5,000   5,476  
  Laboratory Corp. of America Holdings 3.600%   2/1/25 12,000   13,325  
7 Lamb Weston Holdings Inc. 4.625%   11/1/24 1,310   1,374  
7 Lamb Weston Holdings Inc. 4.875%   11/1/26 2,178   2,284  
7 Lamb Weston Holdings Inc. 4.875%   5/15/28 1,455   1,611  
7 Mars Inc. 0.875%   7/16/26 10,000   10,030  
7 Mars Inc. 1.625%   7/16/32 13,500   13,682  
  McCormick & Co. Inc. 3.400%   8/15/27 17,985   20,382  
  McCormick & Co. Inc. 2.500%   4/15/30 5,450   5,928  
  McKesson Corp. 2.850%   3/15/23 5,000   5,239  
  McKesson Corp. 3.950%   2/16/28 10,000   11,706  
  McKesson Corp. 4.750%   5/30/29 11,429   14,084  
  Mead Johnson Nutrition Co. 4.125%   11/15/25 5,000   5,778  
  Medtronic Global Holdings SCA 3.350%   4/1/27 13,835   16,044  
  Medtronic Inc. 3.500%   3/15/25 48,837   55,199  
  Merck & Co. Inc. 3.400%   3/7/29 39,669   46,816  
  Merck & Co. Inc. 1.450%   6/24/30 19,800   20,314  
  Mercy Health 4.302%   7/1/28 12,500   14,355  
  Mondelez International Inc. 1.500%   5/4/25 18,695   19,414  
  Mondelez International Inc. 2.750%   4/13/30 24,793   27,543  
  Mylan Inc. 4.550%   4/15/28 19,800   23,475  
10 Mylan NV 2.250%   11/22/24 6,000   7,487  
  Mylan NV 3.950%   6/15/26 29,800   33,958  
10 Mylan NV 3.125%   11/22/28 1,500   2,018  
7 Nestle Holdings Inc. 3.500%   9/24/25 15,555   17,694  
7 Nestle Holdings Inc. 3.625%   9/24/28 11,819   14,030  
  Novartis Capital Corp. 2.000%   2/14/27 18,750   20,039  
  Novartis Capital Corp. 3.100%   5/17/27 9,700   11,029  
  Novartis Capital Corp. 2.200%   8/14/30 25,110   27,363  

 

70

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  PepsiCo Inc. 2.625%   3/19/27 7,500   8,365  
  PepsiCo Inc. 3.000%   10/15/27 2,500   2,849  
  PepsiCo Inc. 2.750%   3/19/30 42,317   48,120  
  PepsiCo Inc. 1.625%   5/1/30 11,000   11,476  
7 Performance Food Group Inc. 5.500%   6/1/24 1,645   1,657  
7 Performance Food Group Inc. 6.875%   5/1/25 765   819  
7 Performance Food Group Inc. 5.500%   10/15/27 4,818   4,975  
  Perrigo Finance Unlimited Co. 3.900%   12/15/24 6,000   6,511  
  Perrigo Finance Unlimited Co. 3.150%   6/15/30 12,500   13,331  
  Pfizer Inc. 2.750%   6/3/26 3,500   3,917  
  Pfizer Inc. 3.000%   12/15/26 24,232   27,709  
  Pfizer Inc. 3.450%   3/15/29 45,721   54,531  
  Pfizer Inc. 2.625%   4/1/30 17,500   19,740  
  Pfizer Inc. 1.700%   5/28/30 21,270   22,254  
  Philip Morris International Inc. 2.875%   5/1/24 10,000   10,813  
  Philip Morris International Inc. 1.500%   5/1/25 9,000   9,317  
  Philip Morris International Inc. 3.375%   8/11/25 10,000   11,197  
  Philip Morris International Inc. 2.750%   2/25/26 16,057   17,797  
  Philip Morris International Inc. 3.125%   8/17/27 10,000   11,391  
  Philip Morris International Inc. 3.125%   3/2/28 20,382   23,111  
  Philip Morris International Inc. 3.375%   8/15/29 25,460   29,527  
  Philip Morris International Inc. 2.100%   5/1/30 19,800   20,948  
7 Post Holdings Inc. 5.750%   3/1/27 1,780   1,896  
7 Post Holdings Inc. 4.625%   4/15/30 940   989  
  Procter & Gamble Co. 2.800%   3/25/27 19,800   22,378  
  Providence St. Joseph Health Obligated Group 2.746%   10/1/26 7,500   8,181  
  Providence St. Joseph Health Obligated Group 2.532%   10/1/29 5,000   5,392  
  Quest Diagnostics Inc. 3.500%   3/30/25 12,000   13,296  
  Quest Diagnostics Inc. 3.450%   6/1/26 6,900   7,879  
  Quest Diagnostics Inc. 2.800%   6/30/31 6,655   7,238  
7 Reckitt Benckiser Treasury Services plc 3.000%   6/26/27 27,571   30,447  
  Reynolds American Inc. 4.450%   6/12/25 71,809   81,671  
  Shire Acquisitions Investments Ireland DAC 3.200%   9/23/26 76,935   86,453  
  Stanford Health Care 3.310%   8/15/30 17,000   19,284  
  Stryker Corp. 3.375%   5/15/24 5,000   5,457  
  Stryker Corp. 3.375%   11/1/25 15,000   16,898  
  Stryker Corp. 1.950%   6/15/30 15,000   15,622  
  Sysco Corp. 5.650%   4/1/25 3,300   3,909  
  Sysco Corp. 2.400%   2/15/30 4,000   4,024  
  Takeda Pharmaceutical Co. Ltd. 5.000%   11/26/28 790   989  
  Takeda Pharmaceutical Co. Ltd. 2.050%   3/31/30 29,752   30,587  
10 Takeda Pharmaceutical Co. Ltd. 1.375%   7/9/32 9,500   11,578  
7 Tenet Healthcare Corp. 4.625%   9/1/24 360   374  
7 Tenet Healthcare Corp. 7.500%   4/1/25 270   298  
7 Tenet Healthcare Corp. 4.875%   1/1/26 3,474   3,630  
7 Tenet Healthcare Corp. 5.125%   11/1/27 2,685   2,853  
  Thermo Fisher Scientific Inc. 2.950%   9/19/26 5,000   5,584  
  Thermo Fisher Scientific Inc. 3.200%   8/15/27 15,870   18,053  
  Tyson Foods Inc. 4.000%   3/1/26 41,652   48,171  
  Tyson Foods Inc. 3.550%   6/2/27 10,400   11,854  
  Tyson Foods Inc. 4.350%   3/1/29 31,083   37,737  
  Unilever Capital Corp. 2.900%   5/5/27 7,000   7,835  
  Unilever Capital Corp. 2.125%   9/6/29 35,206   37,927  
7 Upjohn Inc. 1.650%   6/22/25 10,000   10,293  
7 Upjohn Inc. 2.300%   6/22/27 22,800   23,997  
7 Upjohn Inc. 2.700%   6/22/30 15,000   15,959  
  Zimmer Biomet Holdings Inc. 3.550%   4/1/25 25,785   28,546  
  Zoetis Inc. 3.900%   8/20/28 13,700   16,424  
  Zoetis Inc. 2.000%   5/15/30 10,000   10,585  
  Energy (5.4%)              
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 3.337%   12/15/27 29,752   32,822  
  BP Capital Markets America Inc. 3.194%   4/6/25 29,752   32,662  

 

71

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  BP Capital Markets America Inc. 3.796%   9/21/25 41,635   47,230  
  BP Capital Markets America Inc. 3.410%   2/11/26 53,200   59,536  
  BP Capital Markets America Inc. 3.119%   5/4/26 65,745   72,675  
  BP Capital Markets America Inc. 3.017%   1/16/27 29,711   32,745  
  BP Capital Markets America Inc. 3.588%   4/14/27 2,000   2,261  
  BP Capital Markets America Inc. 3.937%   9/21/28 8,690   10,179  
  BP Capital Markets plc 3.506%   3/17/25 8,665   9,645  
  BP Capital Markets plc 3.279%   9/19/27 46,649   52,330  
  BP Capital Markets plc 3.723%   11/28/28 7,905   9,245  
  Canadian Natural Resources Ltd. 3.800%   4/15/24 9,250   9,967  
  Cenovus Energy Inc. 3.000%   8/15/22 2,750   2,750  
  Cenovus Energy Inc. 5.375%   7/15/25 2,550   2,550  
  Cheniere Corpus Christi Holdings LLC 5.875%   3/31/25 62,135   70,834  
  Cheniere Corpus Christi Holdings LLC 5.125%   6/30/27 5,028   5,672  
  Chevron Corp. 1.554%   5/11/25 58,824   61,237  
  Chevron Corp. 3.326%   11/17/25 18,125   20,441  
  Chevron Corp. 1.995%   5/11/27 25,190   26,886  
  Chevron Corp. 2.236%   5/11/30 10,000   10,771  
  Cimarex Energy Co. 3.900%   5/15/27 7,460   7,591  
  Concho Resources Inc. 4.375%   1/15/25 13,000   13,390  
  ConocoPhillips Co. 4.950%   3/15/26 67,315   81,657  
  DCP Midstream Operating LP 5.625%   7/15/27 988   1,025  
  Devon Energy Corp. 5.850%   12/15/25 7,000   7,814  
  Diamondback Energy Inc. 4.750%   5/31/25 3,435   3,734  
  Diamondback Energy Inc. 3.250%   12/1/26 35,618   36,464  
  Dominion Energy Gas Holdings LLC 2.500%   11/15/24 5,000   5,354  
  Dominion Energy Gas Holdings LLC 3.600%   12/15/24 19,800   22,057  
  Enbridge Inc. 3.700%   7/15/27 2,000   2,225  
  Enbridge Inc. 3.125%   11/15/29 18,000   19,416  
7 Endeavor Energy Resources LP / EER Finance Inc. 6.625%   7/15/25 658   692  
7 Endeavor Energy Resources LP / EER Finance Inc. 5.750%   1/30/28 2,670   2,757  
  Energy Transfer Operating LP 4.050%   3/15/25 14,738   15,549  
  Energy Transfer Operating LP 2.900%   5/15/25 2,000   2,022  
  Energy Transfer Operating LP 4.750%   1/15/26 3,250   3,518  
  Energy Transfer Operating LP 4.200%   4/15/27 16,115   16,840  
  Energy Transfer Operating LP 5.500%   6/1/27 34,968   38,552  
  Energy Transfer Partners LP 4.950%   6/15/28 1,645   1,756  
  Enterprise Products Operating LLC 3.950%   2/15/27 2,000   2,287  
  Enterprise Products Operating LLC 4.150%   10/16/28 5,500   6,436  
  Enterprise Products Operating LLC 3.125%   7/31/29 10,000   10,991  
  Enterprise Products Operating LLC 2.800%   1/31/30 10,000   10,701  
  EOG Resources Inc. 3.150%   4/1/25 29,803   32,809  
  EOG Resources Inc. 4.150%   1/15/26 4,255   4,960  
7 EQM Midstream Partners LP 6.500%   7/1/27 2,604   2,871  
  EQT Corp. 3.000%   10/1/22 2,690   2,660  
  Exxon Mobil Corp. 2.709%   3/6/25 7,598   8,245  
  Exxon Mobil Corp. 2.992%   3/19/25 23,665   26,015  
  Exxon Mobil Corp. 2.275%   8/16/26 64,462   69,831  
  Exxon Mobil Corp. 3.482%   3/19/30 10,000   11,739  
  Exxon Mobil Corp. 2.610%   10/15/30 39,669   43,819  
10 Exxon Mobil Corp. 1.408%   6/26/39 5,700   6,720  
  Kinder Morgan Inc. 4.300%   3/1/28 9,840   11,464  
  Kinder Morgan Inc. 2.000%   2/15/31 20,000   19,882  
  Marathon Oil Corp. 3.850%   6/1/25 9,000   9,146  
  Marathon Petroleum Corp. 4.700%   5/1/25 46,626   52,921  
  Marathon Petroleum Corp. 5.125%   12/15/26 34,710   40,914  
7 MEG Energy Corp. 6.500%   1/15/25 1,591   1,563  
  MPLX LP 4.250%   12/1/27 13,500   14,715  
  Newfield Exploration Co. 5.625%   7/1/24 9,340   9,340  
  Noble Energy Inc. 3.850%   1/15/28 6,735   7,678  
  Occidental Petroleum Corp. 2.600%   8/13/21 1,798   1,776  
  Occidental Petroleum Corp. 2.700%   8/15/22 3,580   3,459  
  Occidental Petroleum Corp. 5.550%   3/15/26 2,559   2,569  
  ONEOK Inc. 2.200%   9/15/25 3,000   2,940  

 

72

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  ONEOK Inc. 3.400%   9/1/29 10,000   9,787  
  Phillips 66 3.850%   4/9/25 24,150   27,103  
  Phillips 66 Partners LP 3.605%   2/15/25 7,605   8,151  
  Plains All American Pipeline LP / PAA Finance Corp. 4.500%   12/15/26 23,290   25,079  
7 Rattler Midstream LP 5.625%   7/15/25 775   814  
  Sabine Pass Liquefaction LLC 5.875%   6/30/26 47,786   57,463  
  Shell International Finance BV 3.250%   5/11/25 61,931   69,187  
  Shell International Finance BV 2.875%   5/10/26 52,795   58,647  
  Shell International Finance BV 2.500%   9/12/26 2,000   2,183  
  Shell International Finance BV 2.375%   11/7/29 70,145   75,624  
  Suncor Energy Inc. 3.100%   5/15/25 18,215   19,775  
  Sunoco Logistics Partners Operations LP 5.950%   12/1/25 2,000   2,282  
  Sunoco Logistics Partners Operations LP 3.900%   7/15/26 13,648   14,143  
  Sunoco Logistics Partners Operations LP 4.000%   10/1/27 13,741   14,033  
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.500%   7/15/27 2,440   2,611  
  Total Capital International SA 2.434%   1/10/25 31,953   34,208  
  Total Capital International SA 3.455%   2/19/29 18,494   21,524  
  Total Capital International SA 2.829%   1/10/30 23,165   26,056  
  Total Capital SA 3.883%   10/11/28 16,600   19,775  
  TransCanada PipeLines Ltd. 4.875%   1/15/26 29,264   34,951  
  TransCanada PipeLines Ltd. 4.250%   5/15/28 17,345   20,203  
7 Transcontinental Gas Pipe Line Co. LLC 3.250%   5/15/30 14,065   15,345  
  Valero Energy Corp. 2.850%   4/15/25 14,470   15,388  
  Valero Energy Corp. 4.350%   6/1/28 7,960   9,204  
  Western Midstream Operating LP 5.050%   2/1/30 7,585   7,661  
  Williams Cos. Inc. 3.900%   1/15/25 5,116   5,608  
  Williams Cos. Inc. 3.750%   6/15/27 29,395   32,216  
  WPX Energy Inc. 5.875%   6/15/28 655   668  
  WPX Energy Inc. 4.500%   1/15/30 1,878   1,747  
  Other Industrial (0.1%)              
  CBRE Services Inc. 4.875%   3/1/26 10,000   11,638  
4 Duke University 2.682%   10/1/44 3,850   4,202  
  Hillenbrand Inc. 5.750%   6/15/25 1,076   1,159  
7 MasTec Inc. 4.500%   8/15/28 1,155   1,201  
  Technology (5.6%)              
  Adobe Inc. 1.900%   2/1/25 8,000   8,475  
  Adobe Inc. 2.150%   2/1/27 46,259   50,230  
  Apple Inc. 2.750%   1/13/25 65,301   71,407  
  Apple Inc. 3.250%   2/23/26 87,421   99,173  
  Apple Inc. 2.450%   8/4/26 69,162   75,764  
  Apple Inc. 2.050%   9/11/26 69,421   74,844  
  Apple Inc. 3.350%   2/9/27 40,834   46,989  
  Apple Inc. 3.200%   5/11/27 55,622   63,669  
  Apple Inc. 2.900%   9/12/27 50,615   57,291  
  Apple Inc. 3.000%   11/13/27 15,000   17,112  
  Applied Materials Inc. 3.300%   4/1/27 33,037   38,091  
  Autodesk Inc. 3.500%   6/15/27 9,000   10,287  
  Autodesk Inc. 2.850%   1/15/30 15,000   16,819  
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.125%   1/15/25 19,450   20,905  
7 Broadcom Inc. 3.625%   10/15/24 59,811   65,291  
7 Broadcom Inc. 4.250%   4/15/26 9,320   10,537  
7 Broadcom Inc. 4.110%   9/15/28 4,000   4,523  
7 Broadcom Inc. 5.000%   4/15/30 5,000   5,935  
7 BY Crown Parent LLC / BY Bond Finance Inc. 4.250%   1/31/26 329   337  
10 Capgemini SE 2.000%   4/15/29 9,700   12,644  
  CDW LLC / CDW Finance Corp. 4.125%   5/1/25 1,645   1,731  
  CDW LLC / CDW Finance Corp. 5.000%   9/1/25 810   840  
  CDW LLC / CDW Finance Corp. 4.250%   4/1/28 3,133   3,325  
7 CommScope Finance LLC 5.500%   3/1/24 350   363  
7 CommScope Finance LLC 8.250%   3/1/27 2,130   2,295  
7 CommScope Inc. 6.000%   3/1/26 1,210   1,287  
7 CommScope Inc. 7.125%   7/1/28 988   1,037  

 

73

 

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Dell International LLC / EMC Corp. 4.000%   7/15/24 10,000   10,804  
7 Dell International LLC / EMC Corp. 6.100%   7/15/27 17,810   21,075  
7 Dell International LLC / EMC Corp. 5.300%   10/1/29 13,472   15,452  
7 Dell International LLC / EMC Corp. 6.200%   7/15/30 8,096   9,874  
  Equifax Inc. 2.600%   12/15/25 10,000   10,751  
  Equinix Inc. 1.800%   7/15/27 15,000   15,433  
  Fiserv Inc. 3.200%   7/1/26 44,918   50,611  
7 Gartner Inc. 4.500%   7/1/28 2,604   2,741  
  Hewlett Packard Enterprise Co. 4.900%   10/15/25 19,990   23,101  
  Intel Corp. 3.700%   7/29/25 16,950   19,335  
  Intel Corp. 2.600%   5/19/26 28,134   31,080  
  Intel Corp. 3.750%   3/25/27 5,340   6,279  
  Intel Corp. 2.450%   11/15/29 53,413   58,886  
  Intel Corp. 3.900%   3/25/30 8,363   10,229  
  International Business Machines Corp. 3.300%   5/15/26 115,734   131,624  
  International Business Machines Corp. 1.700%   5/15/27 1,271   1,322  
  International Business Machines Corp. 3.500%   5/15/29 35,444   41,692  
  International Business Machines Corp. 1.950%   5/15/30 20,000   20,867  
  Intuit Inc. 0.950%   7/15/25 12,720   12,889  
  Intuit Inc. 1.350%   7/15/27 15,630   16,016  
  Juniper Networks Inc. 4.350%   6/15/25 5,000   5,640  
  Juniper Networks Inc. 3.750%   8/15/29 28,357   32,626  
  Microsoft Corp. 2.700%   2/12/25 72,990   80,069  
  Microsoft Corp. 3.125%   11/3/25 37,857   42,689  
  Microsoft Corp. 2.400%   8/8/26 55,919   61,554  
  Microsoft Corp. 3.300%   2/6/27 10,771   12,475  
7 NCR Corp. 8.125%   4/15/25 470   518  
  NVIDIA Corp. 2.850%   4/1/30 5,000   5,572  
7 NXP BV / NXP Funding LLC 5.350%   3/1/26 18,000   21,577  
  Oracle Corp. 3.400%   7/8/24 22,200   24,479  
  Oracle Corp. 2.950%   11/15/24 44,504   48,849  
  Oracle Corp. 2.500%   4/1/25 19,840   21,474  
  Oracle Corp. 2.950%   5/15/25 39,263   43,301  
  Oracle Corp. 2.650%   7/15/26 35,687   39,357  
7 Qorvo Inc. 4.375%   10/15/29 3,785   4,050  
  QUALCOMM Inc. 3.250%   5/20/27 68,234   78,306  
7 Sabre GLBL Inc. 9.250%   4/15/25 1,400   1,540  
7 Seagate HDD Cayman 4.125%   1/15/31 4,100   4,408  
7 SS&C Technologies Inc. 5.500%   9/30/27 2,498   2,685  
  Texas Instruments Inc. 1.375%   3/12/25 6,245   6,494  
  Texas Instruments Inc. 1.750%   5/4/30 10,755   11,237  
  Tyco Electronics Group SA 3.450%   8/1/24 8,710   9,525  
  Tyco Electronics Group SA 3.700%   2/15/26 25,054   28,268  
  Tyco Electronics Group SA 3.125%   8/15/27 28,541   31,470  
  Verisk Analytics Inc. 4.000%   6/15/25 16,000   18,306  
  Verisk Analytics Inc. 4.125%   3/15/29 21,490   25,914  
  VMware Inc. 4.650%   5/15/27 5,000   5,710  
  VMware Inc. 4.700%   5/15/30 10,040   11,765  
  Western Digital Corp. 4.750%   2/15/26 4,065   4,421  
  Transportation (1.3%)              
7 Air Canada 7.750%   4/15/21 2,646   2,659  
8 Aurizon Network Pty Ltd. 4.000%   6/21/24 34,840   26,770  
  Burlington Northern Santa Fe LLC 3.400%   9/1/24 25,043   27,745  
  Burlington Northern Santa Fe LLC 7.000%   12/15/25 16,231   21,234  
  Burlington Northern Santa Fe LLC 3.250%   6/15/27 11,850   13,701  
  Canadian National Railway Co. 2.750%   3/1/26 10,950   12,006  
  Canadian Pacific Railway Co. 2.900%   2/1/25 8,058   8,749  
7 Cargo Aircraft Management Inc. 4.750%   2/1/28 2,099   2,146  
  CSX Corp. 3.350%   11/1/25 6,161   7,072  
  CSX Corp. 2.600%   11/1/26 9,940   10,988  
  CSX Corp. 3.250%   6/1/27 42,259   48,231  
  CSX Corp. 3.800%   3/1/28 18,470   21,891  
4 Delta Air Lines 2020-1 Class AA Pass Through Trust 2.000%   6/10/28 10,000   9,559  

 

74

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Delta Air Lines Inc. 2.900%   10/28/24 14,815   12,852  
7 Delta Air Lines Inc. 7.000%   5/1/25 5,575   5,958  
  Delta Air Lines Inc. 7.375%   1/15/26 2,640   2,617  
7 ERAC USA Finance LLC 3.850%   11/15/24 8,000   8,692  
7 ERAC USA Finance LLC 3.800%   11/1/25 9,000   9,929  
8 Lonsdale Finance Pty Ltd. 2.450%   11/20/26 2,500   1,808  
4,7 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. 6.500%   6/20/27 3,951   4,089  
  Norfolk Southern Corp. 3.650%   8/1/25 4,770   5,422  
  Norfolk Southern Corp. 2.900%   6/15/26 10,400   11,591  
  Norfolk Southern Corp. 3.800%   8/1/28 10,000   11,869  
  Southwest Airlines Co. 5.250%   5/4/25 1,730   1,853  
  Southwest Airlines Co. 3.000%   11/15/26 7,000   6,816  
  Southwest Airlines Co. 7.375%   3/1/27 4,930   5,528  
  Southwest Airlines Co. 5.125%   6/15/27 3,500   3,672  
  Southwest Airlines Co. 3.450%   11/16/27 3,800   3,742  
  Southwest Airlines Co. 2.625%   2/10/30 7,200   6,544  
  Union Pacific Corp. 3.250%   1/15/25 1,465   1,615  
  Union Pacific Corp. 3.250%   8/15/25 7,102   7,930  
  Union Pacific Corp. 2.750%   3/1/26 9,017   9,920  
  Union Pacific Corp. 2.150%   2/5/27 37,190   40,003  
  Union Pacific Corp. 3.950%   9/10/28 17,242   20,750  
  Union Pacific Corp. 3.700%   3/1/29 4,750   5,651  
  United Parcel Service Inc. 2.200%   9/1/24 24,793   26,388  
  United Parcel Service Inc. 2.800%   11/15/24 4,450   4,841  
  United Parcel Service Inc. 3.050%   11/15/27 29,935   34,111  
              13,784,238  
Utilities (4.7%)              
  Electric (4.4%)              
  AEP Transmission Co. LLC 3.100%   12/1/26 16,300   18,376  
  Ameren Corp. 3.500%   1/15/31 19,800   22,993  
  Ameren Illinois Co. 3.250%   3/1/25 11,680   12,859  
  Appalachian Power Co. 3.300%   6/1/27 2,860   3,117  
  Arizona Public Service Co. 2.600%   8/15/29 8,530   9,373  
6,8 Ausgrid Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.220% 1.320%   10/30/24 9,160   6,555  
7 Berkshire Hathaway Energy Co. 4.050%   4/15/25 17,000   19,551  
  Berkshire Hathaway Energy Co. 3.250%   4/15/28 16,025   18,380  
7 Berkshire Hathaway Energy Co. 3.700%   7/15/30 19,800   24,035  
7 Calpine Corp. 4.500%   2/15/28 3,780   3,931  
7 Calpine Corp. 5.125%   3/15/28 3,360   3,490  
7 Calpine Corp. 4.625%   2/1/29 370   373  
7 Calpine Corp. 5.000%   2/1/31 185   190  
7 Clearway Energy Operating LLC 4.750%   3/15/28 1,725   1,850  
  Commonwealth Edison Co. 3.100%   11/1/24 5,790   6,291  
  Commonwealth Edison Co. 2.550%   6/15/26 2,955   3,228  
  Commonwealth Edison Co. 2.950%   8/15/27 2,000   2,240  
  Commonwealth Edison Co. 2.200%   3/1/30 2,900   3,140  
  Connecticut Light & Power Co. 3.200%   3/15/27 15,760   17,671  
  Consolidated Edison Co. of New York Inc. 3.350%   4/1/30 10,000   11,717  
  Dominion Energy Inc. 3.300%   3/15/25 3,410   3,787  
  Dominion Energy Inc. 3.375%   4/1/30 5,600   6,470  
7 DPL Inc. 4.125%   7/1/25 660   686  
  DTE Electric Co. 3.375%   3/1/25 448   498  
  DTE Electric Co. 2.250%   3/1/30 24,694   26,754  
  DTE Electric Co. 2.625%   3/1/31 20,126   22,563  
  DTE Energy Co. 3.800%   3/15/27 17,355   19,499  
  Duke Energy Carolinas LLC 2.950%   12/1/26 24,813   27,952  
  Duke Energy Carolinas LLC 3.950%   11/15/28 13,339   16,397  
  Duke Energy Carolinas LLC 2.450%   8/15/29 11,375   12,582  
  Duke Energy Carolinas LLC 2.450%   2/1/30 21,890   24,297  
  Duke Energy Corp. 3.150%   8/15/27 7,485   8,441  
  Duke Energy Florida LLC 3.200%   1/15/27 17,455   19,859  

 

75

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Duke Energy Florida LLC 3.800%   7/15/28 28,923   34,643  
  Duke Energy Florida LLC 2.500%   12/1/29 30,560   33,980  
  Duke Energy Florida LLC 1.750%   6/15/30 34,710   36,350  
  Duke Energy Ohio Inc. 2.125%   6/1/30 10,000   10,768  
  Duke Energy Progress LLC 3.250%   8/15/25 4,920   5,493  
  Duke Energy Progress LLC 3.700%   9/1/28 5,781   6,865  
  Duke Energy Progress LLC 3.450%   3/15/29 2,221   2,613  
  Edison International 5.750%   6/15/27 4,000   4,655  
  Edison International 4.125%   3/15/28 2,000   2,150  
  Entergy Arkansas Inc. 3.500%   4/1/26 24,212   27,422  
  Entergy Corp. 2.800%   6/15/30 19,800   21,751  
  Entergy Gulf States Louisiana LLC 5.590%   10/1/24 22,680   26,942  
  Entergy Louisiana LLC 5.400%   11/1/24 8,562   10,149  
  Entergy Louisiana LLC 2.400%   10/1/26 18,176   19,705  
  Entergy Louisiana LLC 3.120%   9/1/27 26,412   29,451  
  Exelon Corp. 3.950%   6/15/25 23,452   27,002  
  Exelon Corp. 3.400%   4/15/26 845   942  
  Exelon Corp. 4.050%   4/15/30 20,075   23,999  
  Florida Power & Light Co. 2.850%   4/1/25 8,530   9,390  
  Georgia Power Co. 2.200%   9/15/24 24,793   26,219  
  ITC Holdings Corp. 3.250%   6/30/26 9,700   10,743  
  ITC Holdings Corp. 3.350%   11/15/27 18,745   21,225  
  Kallpa Generacion SA 4.875%   5/24/26 3,290   3,513  
  Kallpa Generacion SA 4.125%   8/16/27 16,575   17,064  
  MidAmerican Energy Co. 3.100%   5/1/27 4,181   4,752  
  MidAmerican Energy Co. 3.650%   4/15/29 4,315   5,234  
  National Rural Utilities Cooperative Finance Corp. 2.850%   1/27/25 697   755  
  National Rural Utilities Cooperative Finance Corp. 3.050%   4/25/27 2,000   2,233  
  National Rural Utilities Cooperative Finance Corp. 3.400%   2/7/28 9,680   11,166  
  National Rural Utilities Cooperative Finance Corp. 3.700%   3/15/29 37,027   44,050  
  National Rural Utilities Cooperative Finance Corp. 2.400%   3/15/30 14,740   16,251  
  Nevada Power Co. 2.400%   5/1/30 11,640   12,786  
  NextEra Energy Capital Holdings Inc. 3.150%   4/1/24 35,801   38,871  
  NextEra Energy Capital Holdings Inc. 2.750%   5/1/25 36,793   40,307  
  NextEra Energy Capital Holdings Inc. 3.550%   5/1/27 1,926   2,231  
  NextEra Energy Capital Holdings Inc. 3.500%   4/1/29 7,275   8,516  
  NRG Energy Inc. 7.250%   5/15/26 1,810   1,943  
  NSTAR Electric Co. 3.250%   11/15/25 10,000   11,133  
  NSTAR Electric Co. 3.200%   5/15/27 50,419   57,285  
  Oncor Electric Delivery Co. LLC 2.950%   4/1/25 2,500   2,733  
  Oncor Electric Delivery Co. LLC 3.700%   11/15/28 44,826   53,480  
  Oncor Electric Delivery Co. LLC 5.750%   3/15/29 19,475   25,937  
11 Pacific Gas & Electric Co. 3.300%   12/1/27 10,000   10,562  
  Pacific Gas & Electric Co. 3.150%   1/1/26 20,000   20,961  
  Pacific Gas & Electric Co. 2.500%   2/1/31 15,000   15,040  
  PacifiCorp 3.350%   7/1/25 17,720   19,479  
  PacifiCorp 3.500%   6/15/29 19,585   23,107  
  PacifiCorp 2.700%   9/15/30 13,815   15,643  
7 Pattern Energy Operations LP / Pattern Energy Operations Inc. 4.500%   8/15/28 760   800  
  PG&E Corp. 5.250%   7/1/30 2,604   2,708  
  Potomac Electric Power Co. 3.050%   4/1/22 2,270   2,367  
  Public Service Electric & Gas Co. 3.000%   5/15/25 9,615   10,568  
  Public Service Electric & Gas Co. 3.000%   5/15/27 4,700   5,258  
  Public Service Electric & Gas Co. 3.700%   5/1/28 1,725   2,038  
  Public Service Electric & Gas Co. 3.200%   5/15/29 31,239   36,113  
  Public Service Electric & Gas Co. 2.450%   1/15/30 7,500   8,252  
  Puget Energy Inc. 3.650%   5/15/25 13,665   14,597  
  Southern California Edison Co. 3.700%   8/1/25 13,871   15,533  
  Southern California Edison Co. 4.200%   3/1/29 9,000   10,577  
  Southwestern Electric Power Co. 4.100%   9/15/28 24,793   29,012  
10 SSE plc 1.750%   4/16/30 6,270   8,023  
  Union Electric Co. 2.950%   6/15/27 12,861   14,385  
  Union Electric Co. 3.500%   3/15/29 4,517   5,317  

 

76

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Union Electric Co. 2.950%   3/15/30 18,000   20,676  
  Virginia Electric & Power Co. 3.100%   5/15/25 8,885   9,755  
  Virginia Electric & Power Co. 3.150%   1/15/26 12,295   13,833  
  Virginia Electric & Power Co. 2.950%   11/15/26 56,282   62,589  
  Virginia Electric & Power Co. 3.500%   3/15/27 16,267   18,735  
7 Vistra Operations Co. LLC 5.500%   9/1/26 939   988  
7 Vistra Operations Co. LLC 5.625%   2/15/27 939   1,005  
7 Vistra Operations Co. LLC 5.000%   7/31/27 4,945   5,266  
  Westar Energy Inc. 2.550%   7/1/26 16,615   17,912  
  Westar Energy Inc. 3.100%   4/1/27 5,800   6,345  
  Natural Gas (0.2%)              
  Atmos Energy Corp. 3.000%   6/15/27 9,165   10,205  
7 East Ohio Gas Co. 1.300%   6/15/25 3,475   3,571  
7 Engie SA 2.875%   10/10/22 3,480   3,596  
  Piedmont Natural Gas Co. Inc. 3.500%   6/1/29 15,000   17,377  
  Sempra Energy 3.250%   6/15/27 6,360   7,170  
  Southern California Gas Co. 2.600%   6/15/26 19,630   21,455  
  Southern California Gas Co. 2.550%   2/1/30 5,790   6,396  
  Southern Co. Gas Capital Corp. 3.250%   6/15/26 4,125   4,464  
  Other Utility (0.1%)              
8 DBNGP Finance Co. Pty Ltd. 4.225%   5/28/25 30,550   24,213  
              1,657,733  
Total Corporate Bonds (Cost $23,730,354)           25,764,523  
Sovereign Bonds (7.7%)              
7,10 Albania 3.500%   6/16/27 6,000   7,220  
7 Banque Ouest Africaine de Developpement 5.000%   7/27/27 1,329   1,409  
7 Banque Ouest Africaine de Developpement 4.700%   10/22/31 4,150   4,264  
7 Bermuda 4.138%   1/3/23 10,964   11,564  
7 Bermuda 4.854%   2/6/24 3,517   3,859  
  Bermuda 4.854%   2/6/24 8,791   9,638  
4 Bermuda 4.750%   2/15/29 12,860   15,040  
7 CDP Financial Inc. 3.150%   7/24/24 8,000   8,757  
  CNOOC Finance 2015 USA LLC 3.750%   5/2/23 8,231   8,810  
  CNOOC Finance 2015 USA LLC 3.500%   5/5/25 2,105   2,316  
  CNOOC Nexen Finance 2014 ULC 4.250%   4/30/24 35,415   39,245  
7 CNPC General Capital Ltd. 3.400%   4/16/23 1,000   1,060  
  Corp. Financiera de Desarrollo SA 4.750%   7/15/25 10,100   11,183  
  Corp. Nacional del Cobre de Chile 4.500%   9/16/25 1,808   2,049  
  Development Bank of Kazakhstan JSC 4.125%   12/10/22 8,605   9,048  
7,12 Dexia Credit Local SA 1.875%   9/15/21 10,000   10,163  
7 Dexia Credit Local SA 2.375%   9/20/22 1,750   1,812  
4 Dominican Republic 6.850%   1/27/45 3,250   3,430  
  Dominican Republic 6.500%   2/15/48 879   894  
  Dominican Republic 6.400%   6/5/49 1,306   1,319  
  Ecopetrol SA 4.125%   1/16/25 2,000   2,082  
  Ecopetrol SA 5.375%   6/26/26 5,412   5,973  
7 Electricite de France SA 4.500%   9/21/28 5,000   5,994  
7 Emirate of Abu Dhabi 2.125%   9/30/24 23,419   24,510  
7 Emirate of Abu Dhabi 2.500%   4/16/25 23,608   25,153  
  Emirate of Abu Dhabi 3.125%   10/11/27 13,250   14,838  
  Emirate of Abu Dhabi 2.500%   9/30/29 31,704   34,231  
7 Emirate of Abu Dhabi 3.125%   4/16/30 23,800   26,822  
  Emirate of Abu Dhabi 3.125%   4/16/30 3,910   4,409  
7 Emirate of Abu Dhabi 3.125%   9/30/49 21,675   24,269  
  Emirate of Abu Dhabi 3.125%   9/30/49 8,615   9,649  
  Empresa Nacional del Petroleo 4.375%   10/30/24 13,883   15,008  
  Empresa Nacional del Petroleo 3.750%   8/5/26 2,257   2,379  
4 Empresa Nacional del Petroleo 5.250%   11/6/29 49,252   56,601  
  Equinor ASA 3.150%   1/23/22 3,000   3,120  
  Equinor ASA 2.450%   1/17/23 1,705   1,789  
  Equinor ASA 3.950%   5/15/43 3,191   3,950  

 

77

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Export-Import Bank of India 3.875%   3/12/24 3,900   4,124  
  Export-Import Bank of India 3.375%   8/5/26 3,000   3,172  
7 Export-Import Bank of India 3.875%   2/1/28 9,675   10,126  
  Export-Import Bank of India 3.875%   2/1/28 10,000   10,466  
  Export-Import Bank of Korea 3.000%   11/1/22 37,991   39,940  
  Federative Republic of Brazil 3.875%   6/12/30 19,708   19,700  
  Fondo MIVIVIENDA SA 3.500%   1/31/23 12,050   12,424  
  Gazprom OAO Via Gaz Capital SA 6.510%   3/7/22 2,650   2,839  
  Gazprom PJSC Via Gaz Capital SA 5.150%   2/11/26 9,000   10,020  
  ICBCIL Finance Co. Ltd. 3.200%   11/10/20 5,000   5,020  
  ICBCIL Finance Co. Ltd. 3.375%   4/5/22 10,000   10,279  
7 KazMunayGas National Co. JSC 6.375%   10/24/48 5,400   7,209  
7 Kingdom of Saudi Arabia 2.375%   10/26/21 785   799  
  Kingdom of Saudi Arabia 2.375%   10/26/21 129,992   132,336  
  Kingdom of Saudi Arabia 4.000%   4/17/25 13,500   15,101  
  Kingdom of Saudi Arabia 2.500%   2/3/27 18,000   18,914  
  Kingdom of Saudi Arabia 4.375%   4/16/29 3,150   3,747  
  Kingdom of Saudi Arabia 3.250%   10/22/30 15,400   17,021  
  Korea Hydro & Nuclear Power Co. Ltd. 3.000%   9/19/22 2,800   2,930  
13 KSA Sukuk Ltd. 3.628%   4/20/27 14,914   16,658  
  North American Development Bank 2.400%   10/26/22 343   356  
  NTPC Ltd. 4.250%   2/26/26 6,250   6,590  
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.125%   3/20/22 6,000   6,138  
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.875%   3/20/27 7,000   7,518  
7 Ontario Teachers' Cadillac Fairview Properties Trust 4.125%   2/1/29 11,900   13,246  
4 Oriental Republic of Uruguay 4.375%   10/27/27 2,000   2,357  
7,10 Perusahaan Listrik Negara PT 1.875%   11/5/31 13,940   15,769  
  Perusahaan Penerbit SBSN Indonesia III 4.350%   9/10/24 24,793   27,427  
  Perusahaan Penerbit SBSN Indonesia III 4.325%   5/28/25 12,330   13,810  
  Perusahaan Penerbit SBSN Indonesia III 4.550%   3/29/26 32,604   37,128  
  Perusahaan Penerbit SBSN Indonesia III 4.150%   3/29/27 28,066   31,364  
  Petrobras Global Finance BV 8.750%   5/23/26 7,850   9,803  
  Petrobras Global Finance BV 5.999%   1/27/28 6,855   7,523  
  Petrobras Global Finance BV 6.750%   6/3/50 11,085   11,861  
7 Petronas Capital Ltd. 3.500%   4/21/30 6,029   6,885  
  Petronas Capital Ltd. 3.500%   4/21/30 23,770   27,206  
4 Republic of Azerbaijan 3.500%   9/1/32 17,746   17,651  
  Republic of Colombia 4.000%   2/26/24 30,248   32,329  
4 Republic of Colombia 4.500%   1/28/26 110,019   122,632  
4 Republic of Colombia 3.875%   4/25/27 6,810   7,412  
  Republic of Colombia 10.375%   1/28/33 33,694   53,218  
  Republic of Croatia 6.375%   3/24/21 7,250   7,502  
10 Republic of Croatia 1.125%   6/19/29 22,630   27,316  
10 Republic of Croatia 1.500%   6/17/31 18,602   22,802  
  Republic of Guatemala 4.500%   5/3/26 8,972   9,589  
4 Republic of Guatemala 5.375%   4/24/32 3,862   4,388  
  Republic of Honduras 6.250%   1/19/27 8,637   9,324  
  Republic of Hungary 6.375%   3/29/21 13,614   14,140  
  Republic of Hungary 5.375%   2/21/23 28,264   31,264  
  Republic of Hungary 5.750%   11/22/23 22,042   25,318  
10 Republic of Hungary 1.125%   4/28/26 16,000   19,569  
10 Republic of Hungary 1.750%   6/5/35 4,740   5,864  
7 Republic of Indonesia 3.700%   1/8/22 3,124   3,241  
  Republic of Indonesia 3.750%   4/25/22 87,775   91,463  
  Republic of Indonesia 5.375%   10/17/23 6,400   7,194  
  Republic of Indonesia 4.750%   1/8/26 34,348   39,681  
  Republic of Indonesia 4.350%   1/8/27 19,800   22,681  
  Republic of Indonesia 4.450%   4/15/70 17,520   21,832  
  Republic of Lithuania 6.125%   3/9/21 42,212   43,602  
7 Republic of Lithuania 6.125%   3/9/21 7,400   7,649  
  Republic of Lithuania 6.625%   2/1/22 12,000   13,044  
7,10 Republic of North Macedonia 3.675%   6/3/26 2,250   2,804  
4 Republic of Panama 4.000%   9/22/24 38,317   42,292  
4 Republic of Panama 3.750%   3/16/25 30,016   32,943  

 

78

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Republic of Panama 7.125%   1/29/26 33,913   43,239  
  Republic of Panama 8.875%   9/30/27 1,350   1,937  
  Republic of Panama 8.125%   4/28/34 9,236   14,016  
4,7 Republic of Paraguay 4.950%   4/28/31 4,450   5,051  
  Republic of Peru 7.350%   7/21/25 12,414   16,090  
4 Republic of Peru 2.392%   1/23/26 6,555   6,861  
  Republic of Peru 4.125%   8/25/27 3,150   3,723  
  Republic of Poland 5.125%   4/21/21 10,505   10,871  
  Republic of Romania 4.375%   8/22/23 1,000   1,076  
7,10 Republic of Romania 3.624%   5/26/30 5,850   7,610  
7,10 Republic of Romania 3.375%   1/28/50 6,196   7,462  
10 Republic of Romania 3.375%   1/28/50 9,358   11,270  
  Republic of Serbia 7.250%   9/28/21 6,531   6,948  
10 Republic of Serbia 3.125%   5/15/27 3,700   4,633  
7,10 Republic of Serbia 3.125%   5/15/27 18,643   23,346  
  Republic of Slovenia 5.500%   10/26/22 36,251   39,932  
  Republic of South Africa 5.875%   9/16/25 25,322   27,094  
  Republic of South Africa 4.875%   4/14/26 3,460   3,488  
  Republic of South Africa 4.850%   9/27/27 13,320   13,203  
  Republic of South Africa 4.300%   10/12/28 2,310   2,172  
  Republic of the Philippines 4.200%   1/21/24 5,508   6,086  
  Republic of the Philippines 7.750%   1/14/31 2,887   4,500  
  Republic of Trinidad & Tobago 4.500%   8/4/26 9,246   9,449  
  Republic of Turkey 5.750%   5/11/47 3,950   3,116  
  Russian Federation 4.750%   5/27/26 63,600   73,379  
7 SABIC Capital II BV 4.000%   10/10/23 15,288   16,457  
  SABIC Capital II BV 4.000%   10/10/23 12,000   12,920  
  Sharjah Sukuk Program Ltd. 3.854%   4/3/26 3,720   4,049  
  Sinopec Capital 2013 Ltd. 3.125%   4/24/23 13,170   13,796  
  Sinopec Group Overseas Development 2016 Ltd. 3.500%   5/3/26 5,000   5,562  
7 Sinopec Group Overseas Development 2017 Ltd. 3.625%   4/12/27 12,500   13,924  
  Sinopec Group Overseas Development 2017 Ltd. 3.625%   4/12/27 13,770   15,412  
  Sinopec Group Overseas Development 2017 Ltd. 3.250%   9/13/27 51,371   56,328  
7 Sinopec Group Overseas Development 2018 Ltd. 2.950%   11/12/29 1,349   1,471  
  Socialist Republic of Vietnam 4.800%   11/19/24 10,000   11,080  
  SoQ Sukuk A QSC 3.241%   1/18/23 1,000   1,055  
14 Southern Gas Corridor CJSC 6.875%   3/24/26 10,873   12,781  
  State Grid Overseas Investment 2014 Ltd. 4.125%   5/7/24 4,005   4,452  
  State Grid Overseas Investment 2016 Ltd. 3.750%   5/2/23 5,245   5,627  
  State Grid Overseas Investment 2016 Ltd. 3.500%   5/4/27 16,000   18,007  
  State of Israel 3.150%   6/30/23 2,000   2,143  
  State of Israel 3.375%   1/15/50 17,960   20,663  
  State of Israel 4.500%   4/3/20 11,895   17,112  
  State of Kuwait 3.500%   3/20/27 29,200   33,063  
  State of Qatar 2.375%   6/2/21 775   785  
  State of Qatar 3.875%   4/23/23 31,735   34,234  
  State of Qatar 3.400%   4/16/25 18,915   20,879  
  State of Qatar 4.500%   4/23/28 3,484   4,211  
  State of Qatar 4.000%   3/14/29 19,875   23,540  
  State of Qatar 3.750%   4/16/30 11,800   13,888  
7 Temasek Financial I Ltd. 2.375%   1/23/23 1,000   1,046  
4 United Mexican States 3.900%   4/27/25 50,767   54,965  
  United Mexican States 4.150%   3/28/27 9,397   10,332  
  United Mexican States 3.750%   1/11/28 20,000   21,409  
  United Mexican States 4.500%   4/22/29 97,632   109,308  
15 United Mexican States 10.000%   11/20/36 300,000   18,391  
15 United Mexican States 8.500%   11/18/38 1,014,000   55,032  
Total Sovereign Bonds (Cost $2,566,993)           2,700,881  
Taxable Municipal Bonds (0.2%)              
  Allentown PA Neighborhood Improvement Zone Development Authority Revenue 5.420%   5/1/21 4,000   4,055  

 

79

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  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   19,212  
  New York City NY Transitional Finance Authority Future Tax Revenue 5.125%   2/1/24 1,500   1,714  
  New York State Dormitory Authority Revenue (Employer Assessment) 3.892%   12/1/24 2,000   2,197  
  New York State Urban Development Corp. Revenue (Personal Income Tax) 3.900%   3/15/33 400   462  
  Port Authority of New York & New Jersey Revenue 5.859%   12/1/24 2,000   2,385  
  Research Foundation of State University of New York 4.248%   9/1/35 5,000   5,487  
  San Diego County CA Regional Airport Authority Revenue 3.730%   7/1/21 800   814  
  San Diego County CA Regional Airport Authority Revenue 5.594%   7/1/43 6,200   6,566  
  Sonoma County CA Pension Obligation Revenue 6.000%   12/1/29 4,765   5,855  
  Texas GO 3.682%   8/1/24 2,000   2,119  
  Texas Private Activity Surface Transportation Corp. Revenue (NTE Mobility Partners) 3.922%   12/31/49 8,550   9,451  
  University of California Revenue 2.300%   5/15/21 1,000   1,016  
Total Taxable Municipal Bonds (Cost $59,472)           62,343  
                 
          Shares      
Temporary Cash Investment (2.4%)              
Money Market Fund (2.4%)              
17 Vanguard Market Liquidity Fund
(Cost $820,422)		 0.194%     8,204,364   820,436  
Total Investments (101.6%) (Cost $33,205,760)           35,558,174  
Other Assets and Liabilities—Net (-1.6%)           (553,917 ) 
Net Assets (100%)           35,004,257  

 

Cost is in $000.

§ Security value determined using significant unobservable inputs.
1 Securities with a value of $17,037,000 and cash of $81,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $17,076,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $55,683,000 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 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 July 31, 2020, the aggregate value of these securities was $3,492,614,000, representing 10.0% of net assets.
8 Face amount denominated in Australian dollars.
9 Face amount denominated in British pounds.
10 Face amount denominated in euro.
11 Non-income-producing security—security in default.
12 Guaranteed by multiple countries.
13 Guaranteed by the Kingdom of Saudi Arabia.
14 Guaranteed by the Republic of Azerbaijan.
15 Face amount denominated in Mexican pesos.
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.

 

80

 

 

Vanguard® Intermediate-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

  CMT—Constant Maturing Treasury Rate.
  GO—General Obligation Bond.
  LIBOR—London Interbank Offered Rate.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.

 

81

 

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
U.S. Government and Agency Obligations (4.7%)              
U.S. Government Securities (4.4%)              
1 United States Treasury Note/Bond 0.250%   4/15/23 15,000   15,052  
  United States Treasury Note/Bond 0.625%   3/31/27 22,000   22,361  
  United States Treasury Note/Bond 5.250%   2/15/29 27,875   39,034  
  United States Treasury Note/Bond 1.500%   2/15/30 72,000   78,570  
2,3 United States Treasury Note/Bond 4.500%   2/15/36 114,585   178,574  
  United States Treasury Note/Bond 4.750%   2/15/37 50,000   81,226  
2 United States Treasury Note/Bond 4.750%   2/15/41 70,000   119,492  
  United States Treasury Note/Bond 4.375%   5/15/41 4,890   8,011  
3 United States Treasury Note/Bond 3.750%   8/15/41 35,360   53,814  
  United States Treasury Note/Bond 3.125%   2/15/43 10,130   14,258  
  United States Treasury Note/Bond 2.875%   5/15/43 35,000   47,529  
  United States Treasury Note/Bond 3.000%   11/15/44 55,000   76,673  
3 United States Treasury Note/Bond 3.000%   11/15/45 9,882   13,872  
  United States Treasury Note/Bond 2.375%   11/15/49 100,000   129,344  
  United States Treasury Note/Bond 2.000%   2/15/50 25,000   30,024  
2 United States Treasury Strip Principal 0.000%   2/15/48 45,000   31,932  
              939,766  
Agency Bonds and Notes (0.3%)              
  Tennessee Valley Authority 5.250%   9/15/39 33,800   53,304  
  Tennessee Valley Authority 4.250%   9/15/65 10,000   15,802  
              69,106  
Nonconventional Mortgage-Backed Securities (0.0%)            
4 Ginnie Mae REMICS 3.000%   8/20/47 4   4  
Total U.S. Government and Agency Obligations (Cost $846,638)         1,008,876  
Corporate Bonds (80.6%)              
Finance (17.8%)              
  Banking (11.5%)              
4 Bank of America Corp. 2.496%   2/13/31 30,170   32,026  
4 Bank of America Corp. 4.244%   4/24/38 80,255   101,058  
4 Bank of America Corp. 4.078%   4/23/40 30,700   38,477  
4 Bank of America Corp. 2.676%   6/19/41 60,163   63,998  
  Bank of America Corp. 5.875%   2/7/42 19,230   29,783  
4 Bank of America Corp. 4.443%   1/20/48 26,455   35,713  
4 Bank of America Corp. 3.946%   1/23/49 62,960   81,514  
4 Bank of America Corp. 4.330%   3/15/50 32,536   44,067  
4 Bank of America Corp. 4.083%   3/20/51 55,890   72,570  
  Bank of America NA 6.000%   10/15/36 20,450   30,350  
  Bank One Corp. 8.000%   4/29/27 7,080   9,810  
4 Citigroup Inc. 2.976%   11/5/30 14,175   15,461  
4 Citigroup Inc. 3.878%   1/24/39 69,980   84,693  
4 Citigroup Inc. 5.316%   3/26/41 10,000   14,351  
  Citigroup Inc. 4.650%   7/30/45 13,142   17,953  
4 Citigroup Inc. 4.281%   4/24/48 13,570   17,958  
  Citigroup Inc. 4.650%   7/23/48 43,012   60,391  
  Cooperatieve Rabobank UA 5.250%   5/24/41 1,375   2,090  
4 Goldman Sachs Group Inc. 4.017%   10/31/38 139,440   169,266  
4 Goldman Sachs Group Inc. 4.411%   4/23/39 41,172   52,477  
  Goldman Sachs Group Inc. 6.250%   2/1/41 13,370   21,068  
  Goldman Sachs Group Inc. 4.800%   7/8/44 15,000   20,672  
  Goldman Sachs Group Inc. 4.750%   10/21/45 864   1,194  
4,5 HSBC Holdings plc 3.000%   5/29/30 1,200   1,686  
  HSBC Holdings plc 7.625%   5/17/32 15,263   21,464  
  HSBC Holdings plc 6.500%   9/15/37 25,272   35,543  
  HSBC Holdings plc 6.800%   6/1/38 48,749   71,757  
5 HSBC Holdings plc 6.000%   3/29/40 400   678  
  HSBC Holdings plc 6.100%   1/14/42 9,720   14,333  
4 JPMorgan Chase & Co. 2.956%   5/13/31 3,330   3,607  
  JPMorgan Chase & Co. 6.400%   5/15/38 44,499   70,881  
4 JPMorgan Chase & Co. 3.882%   7/24/38 67,332   82,752  

 

82

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  JPMorgan Chase & Co. 5.500%   10/15/40 25,390   38,058  
  JPMorgan Chase & Co. 5.600%   7/15/41 11,247   17,222  
4 JPMorgan Chase & Co. 4.260%   2/22/48 36,921   49,129  
4 JPMorgan Chase & Co. 4.032%   7/24/48 32,890   43,382  
4 JPMorgan Chase & Co. 3.964%   11/15/48 96,335   124,519  
4 JPMorgan Chase & Co. 3.897%   1/23/49 43,395   55,725  
4 JPMorgan Chase & Co. 3.109%   4/22/51 16,160   18,298  
  Mitsubishi UFJ Financial Group Inc. 4.153%   3/7/39 2,150   2,670  
  Morgan Stanley 7.250%   4/1/32 6,870   10,677  
4 Morgan Stanley 3.971%   7/22/38 103,500   128,949  
4 Morgan Stanley 4.457%   4/22/39 4,600   6,045  
  Morgan Stanley 6.375%   7/24/42 33,160   55,007  
  Morgan Stanley 4.300%   1/27/45 30,041   40,680  
  Morgan Stanley 4.375%   1/22/47 44,780   62,490  
4 Morgan Stanley 5.597%   3/24/51 15,000   23,858  
4,6 OP Corporate Bank plc 1.625%   6/9/30 1,125   1,338  
  Wachovia Corp. 5.500%   8/1/35 2,322   3,139  
4,6 Wells Fargo & Co. 1.741%   5/4/30 1,400   1,728  
4 Wells Fargo & Co. 2.572%   2/11/31 19,390   20,496  
4 Wells Fargo & Co. 3.068%   4/30/41 4,140   4,513  
  Wells Fargo & Co. 5.375%   11/2/43 55,167   78,083  
  Wells Fargo & Co. 5.606%   1/15/44 130,765   183,881  
  Wells Fargo & Co. 4.650%   11/4/44 2,957   3,753  
  Wells Fargo & Co. 3.900%   5/1/45 3,837   4,764  
  Wells Fargo & Co. 4.900%   11/17/45 19,485   25,681  
  Wells Fargo & Co. 4.400%   6/14/46 31,792   39,876  
  Wells Fargo & Co. 4.750%   12/7/46 42,559   55,822  
4 Wells Fargo & Co. 5.013%   4/4/51 32,980   47,505  
  Wells Fargo Bank NA 6.600%   1/15/38 500   757  
  Brokerage (0.2%)              
  Brookfield Finance LLC 3.450%   4/15/50 1,470   1,531  
7 FMR LLC 6.450%   11/15/39 16,010   24,654  
  Intercontinental Exchange Inc. 4.250%   9/21/48 7,225   9,832  
  Intercontinental Exchange Inc. 3.000%   6/15/50 3,375   3,882  
  Invesco Finance plc 5.375%   11/30/43 3,893   4,835  
  Insurance (5.8%)              
  ACE Capital Trust II 9.700%   4/1/30 3,745   5,430  
  Aflac Inc. 4.000%   10/15/46 947   1,157  
7 AIA Group Ltd. 4.500%   3/16/46 6,550   8,114  
  Allstate Corp. 4.200%   12/15/46 14,385   19,037  
  Allstate Corp. 3.850%   8/10/49 2,595   3,337  
  American International Group Inc. 4.375%   6/30/50 1,205   1,482  
  Anthem Inc. 3.125%   5/15/50 13,710   15,201  
  Berkshire Hathaway Finance Corp. 4.400%   5/15/42 2,000   2,757  
  Berkshire Hathaway Finance Corp. 4.200%   8/15/48 31,695   43,429  
  Berkshire Hathaway Finance Corp. 4.250%   1/15/49 67,922   93,337  
  Berkshire Hathaway Inc. 4.500%   2/11/43 47,747   67,184  
  Centene Corp. 4.750%   1/15/25 75   78  
  Centene Corp. 4.250%   12/15/27 150   160  
  Chubb INA Holdings Inc. 4.150%   3/13/43 1,500   1,996  
  Chubb INA Holdings Inc. 4.350%   11/3/45 6,460   9,122  
7 Jackson National Life Insurance Co. 8.150%   3/15/27 189   254  
  Marsh & McLennan Cos. Inc. 4.750%   3/15/39 19,219   26,190  
  Marsh & McLennan Cos. Inc. 4.350%   1/30/47 22,580   30,125  
  Marsh & McLennan Cos. Inc. 4.900%   3/15/49 23,101   34,293  
7 Massachusetts Mutual Life Insurance Co. 3.729%   10/15/70 15,356   17,755  
  MetLife Inc. 4.125%   8/13/42 56,081   72,924  
  MetLife Inc. 4.875%   11/13/43 10,000   14,072  
  MetLife Inc. 4.050%   3/1/45 3,236   4,150  
  MetLife Inc. 4.600%   5/13/46 9,700   13,414  
7 Nationwide Mutual Insurance Co. 9.375%   8/15/39 24,046   40,312  
7 Nationwide Mutual Insurance Co. 4.950%   4/22/44 13,215   15,541  
7 Nationwide Mutual Insurance Co. 4.350%   4/30/50 14,765   16,834  
 

83

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 New York Life Insurance Co. 5.875%   5/15/33 36,125   50,447  
7 New York Life Insurance Co. 3.750%   5/15/50 6,120   7,460  
7 New York Life Insurance Co. 4.450%   5/15/69 3,880   5,155  
4,7 Nippon Life Insurance Co. 3.400%   1/23/50 1,400   1,491  
7 Northwestern Mutual Life Insurance Co. 3.850%   9/30/47 8,944   10,890  
7 Northwestern Mutual Life Insurance Co. 3.625%   9/30/59 33,074   39,705  
4,7 Pacific Life Insurance Co. 4.300%   10/24/67 6,295   6,755  
5 Phoenix Group Holdings plc 5.625%   4/28/31 300   446  
  Progressive Corp. 4.125%   4/15/47 2,920   3,984  
  Progressive Corp. 4.200%   3/15/48 2,867   3,981  
  Progressive Corp. 3.950%   3/26/50 15,525   21,166  
  Prudential Financial Inc. 5.700%   12/14/36 973   1,402  
  Prudential Financial Inc. 4.600%   5/15/44 1,139   1,492  
4 Prudential Financial Inc. 5.375%   5/15/45 128   138  
  Prudential Financial Inc. 3.905%   12/7/47 1,420   1,710  
  Prudential Financial Inc. 3.935%   12/7/49 10,205   12,325  
  Prudential Financial Inc. 3.700%   3/13/51 39,424   47,128  
7 Securian Financial Group Inc. 4.800%   4/15/48 5,706   6,998  
  Travelers Cos. Inc. 4.600%   8/1/43 1,100   1,521  
  Travelers Cos. Inc. 3.750%   5/15/46 954   1,196  
  Travelers Cos. Inc. 4.000%   5/30/47 4,222   5,520  
  Travelers Cos. Inc. 4.100%   3/4/49 15,000   20,013  
  Travelers Cos. Inc. 2.550%   4/27/50 14,295   15,305  
  UnitedHealth Group Inc. 5.800%   3/15/36 34,886   52,023  
  UnitedHealth Group Inc. 6.875%   2/15/38 10,130   16,870  
  UnitedHealth Group Inc. 3.500%   8/15/39 18,296   22,479  
  UnitedHealth Group Inc. 2.750%   5/15/40 5,135   5,765  
  UnitedHealth Group Inc. 4.375%   3/15/42 23,917   32,097  
  UnitedHealth Group Inc. 3.950%   10/15/42 1,042   1,341  
  UnitedHealth Group Inc. 4.750%   7/15/45 53,920   77,068  
  UnitedHealth Group Inc. 4.250%   4/15/47 12,111   16,532  
  UnitedHealth Group Inc. 3.750%   10/15/47 23,860   30,582  
  UnitedHealth Group Inc. 4.250%   6/15/48 26,467   36,064  
  UnitedHealth Group Inc. 4.450%   12/15/48 2,891   4,083  
  UnitedHealth Group Inc. 3.700%   8/15/49 19,722   25,427  
  UnitedHealth Group Inc. 2.900%   5/15/50 9,840   11,144  
  UnitedHealth Group Inc. 3.875%   8/15/59 30,185   40,297  
  UnitedHealth Group Inc. 3.125%   5/15/60 32,325   37,648  
6 Zurich Finance Ireland Designated Activity Co. 1.625%   6/17/39 970   1,302  
  Other Finance (0.0%)              
5 Aroundtown SA 3.625%   4/10/31 1,200   1,672  
  Real Estate Investment Trusts (0.3%)              
  Alexandria Real Estate Equities Inc. 1.875%   2/1/33 3,335   3,355  
  Alexandria Real Estate Equities Inc. 4.850%   4/15/49 1,500   2,131  
  Alexandria Real Estate Equities Inc. 4.000%   2/1/50 3,837   5,019  
  Camden Property Trust 3.350%   11/1/49 3,298   3,840  
  ERP Operating LP 4.500%   7/1/44 289   394  
  Essex Portfolio LP 2.650%   3/15/32 3,000   3,247  
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.250%   2/1/27 90   76  
  National Retail Properties Inc. 3.100%   4/15/50 2,400   2,223  
6 Prologis Euro Finance LLC 1.500%   9/10/49 500   589  
  Prologis LP 3.000%   4/15/50 3,600   4,141  
  Simon Property Group LP 4.250%   10/1/44 715   821  
  Simon Property Group LP 3.250%   9/13/49 42,000   42,109  
  Simon Property Group LP 3.800%   7/15/50 1,750   1,911  
7 Trust Fibra Uno 6.390%   1/15/50 3,135   3,190  
              3,821,773  
Industrial (47.7%)              
  Basic Industry (0.5%)              
6 Air Products & Chemicals Inc. 0.800%   5/5/32 1,085   1,301  
  Air Products & Chemicals Inc. 2.700%   5/15/40 2,495   2,806  
 

84

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Arconic Corp. 6.000%   5/15/25 45   48  
7 Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.750%   6/15/27 75   78  
  BHP Billiton Finance USA Ltd. 4.125%   2/24/42 15,947   20,818  
  BHP Billiton Finance USA Ltd. 5.000%   9/30/43 4,311   6,349  
6 Dow Chemical Co. 0.500%   3/15/27 890   1,000  
6 Dow Chemical Co. 1.125%   3/15/32 450   500  
  Freeport-McMoRan Inc. 4.625%   8/1/30 145   152  
7 Graphic Packaging International LLC 3.500%   3/15/28 80   81  
7 Industrias Penoles SAB de CV 4.750%   8/6/50 2,800   2,912  
7 Novelis Corp. 4.750%   1/30/30 55   57  
7 OCI NV 5.250%   11/1/24 160   165  
  Praxair Inc. 3.550%   11/7/42 1,849   2,244  
  Rio Tinto Finance USA Ltd. 5.200%   11/2/40 9,295   13,700  
  Rio Tinto Finance USA plc 4.125%   8/21/42 44,895   60,042  
  Sherwin-Williams Co. 3.300%   5/15/50 3,370   3,826  
7 Suzano Austria GmbH 7.000%   3/16/47 1,000   1,135  
  Vale Overseas Ltd. 6.250%   8/10/26 181   217  
7 WR Grace & Co-Conn 4.875%   6/15/27 55   59  
  WRKCo Inc. 3.000%   6/15/33 2,695   2,912  
  Capital Goods (2.4%)              
  3M Co. 3.700%   4/15/50 34,740   45,329  
6 Airbus Finance BV 1.375%   5/13/31 540   643  
7 American Builders & Contractors Supply Co. Inc. 5.875%   5/15/26 30   32  
7 American Builders & Contractors Supply Co. Inc. 4.000%   1/15/28 150   154  
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 5.250%   4/30/25 102   108  
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 4.125%   8/15/26 35   36  
  Ball Corp. 5.000%   3/15/22 55   58  
  Ball Corp. 4.875%   3/15/26 180   204  
7 Berry Global Inc. 4.875%   7/15/26 337   357  
  Boeing Co. 5.150%   5/1/30 2,475   2,713  
7 BWX Technologies Inc. 4.125%   6/30/28 35   37  
7 Carrier Global Corp. 2.700%   2/15/31 6,000   6,287  
  Caterpillar Inc. 6.050%   8/15/36 5,138   7,659  
  Caterpillar Inc. 3.803%   8/15/42 26,112   33,339  
  Caterpillar Inc. 3.250%   9/19/49 17,294   20,671  
  Caterpillar Inc. 3.250%   4/9/50 18,175   21,878  
  Caterpillar Inc. 4.750%   5/15/64 16,334   24,782  
7 Clark Equipment Co. 5.875%   6/1/25 90   94  
7 Clean Harbors Inc. 4.875%   7/15/27 227   240  
7 Clean Harbors Inc. 5.125%   7/15/29 55   59  
  Deere & Co. 3.750%   4/15/50 3,620   4,774  
  General Dynamics Corp. 4.250%   4/1/40 2,825   3,740  
  General Dynamics Corp. 4.250%   4/1/50 701   974  
7 GPC Merger Sub Inc. 7.125%   8/15/28 20   21  
  Honeywell International Inc. 5.700%   3/15/36 10,300   15,118  
  Honeywell International Inc. 5.700%   3/15/37 6,250   9,405  
  Honeywell International Inc. 2.800%   6/1/50 4,000   4,669  
  Howmet Aerospace Inc. 6.875%   5/1/25 125   141  
  Lockheed Martin Corp. 3.600%   3/1/35 3,000   3,724  
  Lockheed Martin Corp. 4.500%   5/15/36 7,189   9,687  
  Lockheed Martin Corp. 4.070%   12/15/42 4,784   6,424  
  Lockheed Martin Corp. 3.800%   3/1/45 8,571   11,157  
  Lockheed Martin Corp. 4.700%   5/15/46 1,844   2,684  
  Lockheed Martin Corp. 2.800%   6/15/50 32,945   37,044  
  Lockheed Martin Corp. 4.090%   9/15/52 37,742   52,593  
7 Mueller Water Products Inc. 5.500%   6/15/26 210   219  
  Northrop Grumman Corp. 4.030%   10/15/47 8,321   10,774  
  Northrop Grumman Corp. 5.250%   5/1/50 700   1,066  
7 Otis Worldwide Corp. 3.112%   2/15/40 15,830   17,679  
7 Otis Worldwide Corp. 3.362%   2/15/50 2,915   3,401  
 

85

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Raytheon Technologies Corp. 6.125%   7/15/38 7,535   11,414  
7 Raytheon Technologies Corp. 4.700%   12/15/41 29,685   39,321  
7 Raytheon Technologies Corp. 4.200%   12/15/44 1,000   1,218  
  Raytheon Technologies Corp. 3.750%   11/1/46 22,160   27,249  
  Raytheon Technologies Corp. 4.625%   11/16/48 10,850   15,275  
  Raytheon Technologies Corp. 3.125%   7/1/50 2,000   2,303  
  Republic Services Inc. 3.050%   3/1/50 3,605   4,034  
7 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 5.125%   7/15/23 20   20  
7 Sealed Air Corp. 4.000%   12/1/27 100   103  
  Silgan Holdings Inc. 4.125%   2/1/28 170   174  
7 Standard Industries Inc. 4.375%   7/15/30 90   97  
  Stanley Black & Decker Inc. 4.850%   11/15/48 32,025   46,410  
7 Summit Materials LLC / Summit Materials Finance Corp. 5.250%   1/15/29 20   21  
7 TransDigm Inc. 8.000%   12/15/25 30   33  
7 TransDigm Inc. 6.250%   3/15/26 248   262  
  TransDigm Inc. 5.500%   11/15/27 160   152  
7 Trivium Packaging Finance BV 5.500%   8/15/26 50   53  
7 Trivium Packaging Finance BV 8.500%   8/15/27 105   115  
  United Rentals North America Inc. 4.625%   10/15/25 104   107  
  United Rentals North America Inc. 6.500%   12/15/26 229   254  
  United Rentals North America Inc. 3.875%   11/15/27 165   173  
  United Rentals North America Inc. 3.875%   2/15/31 85   85  
7 WESCO Distribution Inc. 7.250%   6/15/28 260   284  
  Communication (7.7%)              
  America Movil SAB de CV 4.375%   4/22/49 49,405   65,187  
  AT&T Inc. 3.500%   6/1/41 12,300   13,304  
  AT&T Inc. 3.100%   2/1/43 20,910   21,514  
  AT&T Inc. 4.350%   6/15/45 920   1,088  
  AT&T Inc. 4.750%   5/15/46 2,069   2,562  
  AT&T Inc. 4.500%   3/9/48 3,685   4,503  
  AT&T Inc. 3.650%   6/1/51 8,290   9,119  
  AT&T Inc. 3.300%   2/1/52 31,415   32,526  
  AT&T Inc. 3.850%   6/1/60 8,255   9,195  
7 CCO Holdings LLC / CCO Holdings Capital Corp. 4.750%   3/1/30 264   282  
7 CCO Holdings LLC / CCO Holdings Capital Corp. 4.250%   2/1/31 50   52  
  Comcast Corp. 5.650%   6/15/35 29,942   43,634  
  Comcast Corp. 6.500%   11/15/35 4,320   6,801  
  Comcast Corp. 3.200%   7/15/36 16,810   19,557  
  Comcast Corp. 3.900%   3/1/38 39,335   48,989  
  Comcast Corp. 6.400%   5/15/38 3,452   5,477  
  Comcast Corp. 4.600%   10/15/38 54,153   73,247  
  Comcast Corp. 3.250%   11/1/39 3,000   3,537  
  Comcast Corp. 3.750%   4/1/40 8,040   10,000  
  Comcast Corp. 4.650%   7/15/42 1,000   1,375  
  Comcast Corp. 4.500%   1/15/43 1,184   1,619  
  Comcast Corp. 4.750%   3/1/44 59,170   83,247  
  Comcast Corp. 4.600%   8/15/45 29,645   40,807  
  Comcast Corp. 3.400%   7/15/46 20,295   24,040  
  Comcast Corp. 4.000%   8/15/47 18,875   24,473  
  Comcast Corp. 3.969%   11/1/47 85,688   109,553  
  Comcast Corp. 4.000%   3/1/48 25,340   33,133  
  Comcast Corp. 4.700%   10/15/48 54,270   77,663  
  Comcast Corp. 3.999%   11/1/49 28,176   36,934  
  Comcast Corp. 3.450%   2/1/50 13,230   16,102  
  Comcast Corp. 2.800%   1/15/51 8,285   9,031  
  Comcast Corp. 4.049%   11/1/52 23,810   31,358  
  Comcast Corp. 4.950%   10/15/58 95,851   147,817  
  Crown Castle International Corp. 4.150%   7/1/50 1,850   2,335  
7 CSC Holdings LLC 5.375%   2/1/28 245   266  
7 CSC Holdings LLC 6.500%   2/1/29 195   223  
7 CSC Holdings LLC 5.750%   1/15/30 230   254  
 

86

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 CSC Holdings LLC 4.625%   12/1/30 56   59  
7 Deutsche Telekom AG 3.625%   1/21/50 3,180   3,767  
  Discovery Communications LLC 4.650%   5/15/50 12,440   14,929  
  Fox Corp. 5.576%   1/25/49 966   1,410  
7 Front Range BidCo Inc. 4.000%   3/1/27 30   30  
7 Front Range BidCo Inc. 6.125%   3/1/28 50   52  
5 Koninklijke KPN NV 5.750%   9/17/29 1,280   2,140  
  Lamar Media Corp. 5.750%   2/1/26 55   58  
7 Lamar Media Corp. 3.750%   2/15/28 80   80  
7 Lamar Media Corp. 4.875%   1/15/29 40   42  
7 Lamar Media Corp. 4.000%   2/15/30 60   61  
7 Level 3 Financing Inc. 4.625%   9/15/27 353   371  
7 Level 3 Financing Inc. 4.250%   7/1/28 95   98  
  NBCUniversal Media LLC 5.950%   4/1/41 16,947   26,558  
  NBCUniversal Media LLC 4.450%   1/15/43 22,650   30,735  
7 Netflix Inc. 3.625%   6/15/25 40   42  
  Netflix Inc. 4.875%   4/15/28 283   329  
7 Nexstar Escrow Inc. 5.625%   7/15/27 297   316  
  S&P Global Inc. 3.250%   12/1/49 2,000   2,412  
7 SBA Communications Corp. 3.875%   2/15/27 55   57  
7 Sirius XM Radio Inc. 4.625%   7/15/24 104   110  
7 Sirius XM Radio Inc. 5.000%   8/1/27 99   106  
7 Sirius XM Radio Inc. 4.125%   7/1/30 55   58  
  Sprint Corp. 7.125%   6/15/24 345   402  
  Sprint Corp. 7.625%   3/1/26 60   75  
  T-Mobile USA Inc. 4.500%   2/1/26 225   231  
7 T-Mobile USA Inc. 4.375%   4/15/40 12,780   15,612  
7 T-Mobile USA Inc. 4.500%   4/15/50 15,940   19,959  
  Telefonica Emisiones SA 4.895%   3/6/48 2,475   3,087  
  Telefonica Emisiones SAU 4.665%   3/6/38 950   1,157  
  Time Warner Cable LLC 6.550%   5/1/37 11,975   16,583  
7 Twitter Inc. 3.875%   12/15/27 270   286  
  Verizon Communications Inc. 4.500%   8/10/33 10,000   13,079  
  Verizon Communications Inc. 5.250%   3/16/37 2,845   3,994  
  Verizon Communications Inc. 4.812%   3/15/39 20,605   28,195  
  Verizon Communications Inc. 4.862%   8/21/46 14,990   21,422  
  Verizon Communications Inc. 4.000%   3/22/50 6,970   9,377  
  Verizon Communications Inc. 5.012%   8/21/54 510   790  
  Verizon Communications Inc. 4.672%   3/15/55 47,540   69,074  
  ViacomCBS Inc. 4.200%   5/19/32 3,000   3,459  
  ViacomCBS Inc. 4.900%   8/15/44 2,596   3,038  
7 Virgin Media Finance plc 5.000%   7/15/30 90   94  
7 Virgin Media Secured Finance plc 4.500%   8/15/30 56   59  
7 Virgin Media Vendor Financing Notes IV DAC 5.000%   7/15/28 120   125  
  Vodafone Group plc 5.250%   5/30/48 2,090   2,825  
  Walt Disney Co. 6.200%   12/15/34 3,326   4,931  
  Walt Disney Co. 6.400%   12/15/35 17,218   26,485  
  Walt Disney Co. 6.650%   11/15/37 2,650   4,091  
  Walt Disney Co. 4.625%   3/23/40 11,720   15,335  
  Walt Disney Co. 3.500%   5/13/40 56,715   65,167  
  Walt Disney Co. 4.750%   9/15/44 5,474   7,389  
  Walt Disney Co. 3.000%   7/30/46 3,837   4,229  
  Walt Disney Co. 2.750%   9/1/49 78,835   81,036  
  Walt Disney Co. 4.700%   3/23/50 2,000   2,767  
  Walt Disney Co. 3.600%   1/13/51 83,651   98,468  
  Walt Disney Co. 3.800%   5/13/60 9,174   11,277  
  Walt Disney Co. 7.550%   7/15/93 15,662   18,216  
5 WPP Finance SA 3.750%   5/19/32 500   700  
  Consumer Cyclical (6.6%)              
7 1011778 BC ULC / New Red Finance Inc. 5.000%   10/15/25 119   122  
7 1011778 BC ULC / New Red Finance Inc. 3.875%   1/15/28 140   145  
7 1011778 BC ULC / New Red Finance Inc. 4.375%   1/15/28 270   281  
  Alibaba Group Holding Ltd. 4.000%   12/6/37 31,000   37,655  
 

87

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Alibaba Group Holding Ltd. 4.200%   12/6/47 21,815   28,950  
  Alibaba Group Holding Ltd. 4.400%   12/6/57 25,180   35,350  
7 Allison Transmission Inc. 5.000%   10/1/24 20   20  
7 Allison Transmission Inc. 4.750%   10/1/27 291   301  
  Amazon.com Inc. 4.800%   12/5/34 8,154   11,484  
  Amazon.com Inc. 3.875%   8/22/37 50,000   64,588  
3 Amazon.com Inc. 4.950%   12/5/44 6,000   9,049  
  Amazon.com Inc. 4.050%   8/22/47 93,075   127,345  
  Amazon.com Inc. 2.500%   6/3/50 18,520   20,254  
  Amazon.com Inc. 4.250%   8/22/57 49,348   72,200  
  Amazon.com Inc. 2.700%   6/3/60 18,830   20,813  
7 Asbury Automotive Group Inc. 4.500%   3/1/28 99   101  
7 Asbury Automotive Group Inc. 4.750%   3/1/30 40   41  
7 Burlington Coat Factory Warehouse Corp. 6.250%   4/15/25 70   74  
7 Carnival Corp. 11.500%   4/1/23 160   174  
7 Churchill Downs Inc. 5.500%   4/1/27 305   318  
7 Churchill Downs Inc. 4.750%   1/15/28 243   246  
7 Clarios Global LP 6.750%   5/15/25 35   38  
7 Colt Merger Sub Inc. 5.750%   7/1/25 18   19  
7 Colt Merger Sub Inc. 8.125%   7/1/27 121   123  
  Costco Wholesale Corp. 1.750%   4/20/32 2,000   2,092  
  Dana Inc. 5.375%   11/15/27 36   38  
  Dana Inc. 5.625%   6/15/28 55   57  
  Dollar General Corp. 4.125%   4/3/50 1,250   1,584  
7 Expedia Group Inc. 6.250%   5/1/25 140   153  
7 Expedia Group Inc. 7.000%   5/1/25 80   87  
7 Expedia Group Inc. 4.625%   8/1/27 185   190  
5 Experian Finance plc 3.250%   4/7/32 400   622  
  Ford Motor Co. 8.500%   4/21/23 110   122  
  Ford Motor Credit Co. LLC 2.979%   8/3/22 55   55  
  Ford Motor Credit Co. LLC 3.087%   1/9/23 110   110  
  Ford Motor Credit Co. LLC 5.125%   6/16/25 145   154  
  Ford Motor Credit Co. LLC 3.815%   11/2/27 60   59  
  Goodyear Tire & Rubber Co. 9.500%   5/31/25 60   66  
  Goodyear Tire & Rubber Co. 4.875%   3/15/27 255   252  
7 Hilton Domestic Operating Co. Inc. 5.375%   5/1/25 70   73  
7 Hilton Domestic Operating Co. Inc. 5.750%   5/1/28 55   59  
  Home Depot Inc. 5.875%   12/16/36 40,370   62,122  
  Home Depot Inc. 3.300%   4/15/40 4,660   5,545  
  Home Depot Inc. 5.400%   9/15/40 947   1,411  
  Home Depot Inc. 5.950%   4/1/41 18,480   29,129  
  Home Depot Inc. 4.200%   4/1/43 6,035   7,956  
  Home Depot Inc. 4.875%   2/15/44 60,115   86,594  
  Home Depot Inc. 4.400%   3/15/45 12,900   17,569  
  Home Depot Inc. 4.250%   4/1/46 21,515   28,909  
  Home Depot Inc. 3.900%   6/15/47 24,950   32,259  
  Home Depot Inc. 4.500%   12/6/48 22,560   31,756  
  Home Depot Inc. 3.125%   12/15/49 2,450   2,902  
  Home Depot Inc. 3.350%   4/15/50 7,180   8,746  
  Home Depot Inc. 3.500%   9/15/56 7,632   9,593  
7 International Game Technology plc 6.250%   1/15/27 20   21  
7 International Game Technology plc 5.250%   1/15/29 75   77  
7 L Brands Inc. 6.875%   7/1/25 35   38  
  Lennar Corp. 5.250%   6/1/26 142   159  
  Lennar Corp. 5.000%   6/15/27 80   90  
7 Live Nation Entertainment Inc. 5.625%   3/15/26 29   28  
7 Live Nation Entertainment Inc. 6.500%   5/15/27 55   59  
7 Live Nation Entertainment Inc. 4.750%   10/15/27 70   64  
  Lowe's Cos. Inc. 3.700%   4/15/46 39,425   46,715  
  Marriott International Inc. 5.750%   5/1/25 250   277  
  Marriott International Inc. 4.625%   6/15/30 225   240  
  Mastercard Inc. 3.950%   2/26/48 25,075   33,539  
  Mastercard Inc. 3.650%   6/1/49 2,422   3,083  
  Mastercard Inc. 3.850%   3/26/50 6,150   8,232  
 

88

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Match Group Holdings II LLC 4.625%   6/1/28 90   93  
7 Mattamy Group Corp. 4.625%   3/1/30 55   56  
  McDonald's Corp. 4.450%   9/1/48 10,000   13,196  
  McDonald's Corp. 3.625%   9/1/49 6,000   7,067  
  McDonald's Corp. 4.200%   4/1/50 1,000   1,279  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625%   5/1/24 112   121  
7 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.625%   6/15/25 167   174  
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.500%   9/1/26 255   266  
  NIKE Inc. 3.250%   3/27/40 9,055   10,623  
  NIKE Inc. 3.625%   5/1/43 30,604   37,671  
  NIKE Inc. 3.875%   11/1/45 23,710   30,305  
  NIKE Inc. 3.375%   11/1/46 19,840   23,798  
  NIKE Inc. 3.375%   3/27/50 10,695   12,990  
7 Panther BF Aggregator 2 LP / Panther Finance Co. Inc. 8.500%   5/15/27 185   194  
  PulteGroup Inc. 5.500%   3/1/26 280   321  
  PulteGroup Inc. 5.000%   1/15/27 75   85  
7 Royal Caribbean Cruises Ltd. 10.875%   6/1/23 20   21  
7 Royal Caribbean Cruises Ltd. 9.125%   6/15/23 20   20  
7 Royal Caribbean Cruises Ltd. 11.500%   6/1/25 35   39  
  Target Corp. 7.000%   1/15/38 1,050   1,767  
  Target Corp. 4.000%   7/1/42 473   634  
  Target Corp. 3.625%   4/15/46 663   860  
  TRI Pointe Group Inc. 5.700%   6/15/28 185   203  
7 Vail Resorts Inc. 6.250%   5/15/25 220   236  
  Visa Inc. 4.150%   12/14/35 20,145   26,781  
  Visa Inc. 2.700%   4/15/40 2,500   2,832  
  Visa Inc. 4.300%   12/14/45 35,986   51,119  
  Visa Inc. 3.650%   9/15/47 35,820   47,118  
  Walmart Inc. 3.950%   6/28/38 96,757   126,999  
  Walmart Inc. 5.625%   4/1/40 1,840   2,883  
  Walmart Inc. 4.875%   7/8/40 1,944   2,818  
  Walmart Inc. 5.000%   10/25/40 1,610   2,377  
  Walmart Inc. 5.625%   4/15/41 3,695   5,875  
  Walmart Inc. 4.000%   4/11/43 1,326   1,772  
  Walmart Inc. 3.625%   12/15/47 64,145   84,823  
  Walmart Inc. 4.050%   6/29/48 38,245   53,326  
  Walmart Inc. 2.950%   9/24/49 7,018   8,437  
7 William Carter Co. 5.500%   5/15/25 155   164  
  Consumer Noncyclical (12.7%)              
  Abbott Laboratories 4.750%   11/30/36 19,130   26,872  
  Abbott Laboratories 4.900%   11/30/46 38,690   58,634  
7 AbbVie Inc. 4.050%   11/21/39 14,445   17,716  
  AbbVie Inc. 4.875%   11/14/48 358   492  
  Advocate Health & Hospitals Corp. 4.272%   8/15/48 6,315   8,329  
  Advocate Health & Hospitals Corp. 3.387%   10/15/49 8,935   10,193  
  Allina Health System 3.887%   4/15/49 3,569   4,411  
  Altria Group Inc. 5.800%   2/14/39 2,250   2,956  
  Altria Group Inc. 4.450%   5/6/50 1,130   1,342  
  Amgen Inc. 3.150%   2/21/40 1,250   1,415  
  Amgen Inc. 3.375%   2/21/50 45,545   53,217  
  Anheuser-Busch Cos. LLC 6.750%   12/15/27 400   531  
  Anheuser-Busch Cos. LLC \ Anheuser-Busch InBev Worldwide Inc. 4.700%   2/1/36 43,510   53,256  
  Anheuser-Busch InBev Finance Inc. 4.000%   1/17/43 21,400   24,547  
  Anheuser-Busch InBev Worldwide Inc. 8.200%   1/15/39 12,383   20,410  
  Anheuser-Busch InBev Worldwide Inc. 3.750%   7/15/42 16,330   18,262  
  Aramark Services Inc. 4.750%   6/1/26 125   125  
7 Aramark Services Inc. 5.000%   2/1/28 104   105  
  Archer-Daniels-Midland Co. 4.500%   3/15/49 28,749   42,303  
  Ascension Health 3.106%   11/15/39 3,000   3,397  
 

89

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 Avantor Funding Inc. 4.625%   7/15/28 55   58  
  BAT Capital Corp. 4.390%   8/15/37 1,375   1,568  
  BAT Capital Corp. 4.540%   8/15/47 1,535   1,769  
  BAT Capital Corp. 5.282%   4/2/50 2,500   3,182  
7 Bausch Health Cos. Inc. 5.500%   11/1/25 50   52  
7 Bausch Health Cos. Inc. 5.750%   8/15/27 85   92  
7 Bausch Health Cos. Inc. 7.000%   1/15/28 156   170  
7 Bausch Health Cos. Inc. 5.000%   1/30/28 55   55  
  Baxter International Inc. 3.500%   8/15/46 8,215   9,733  
  Biogen Inc. 3.150%   5/1/50 2,450   2,590  
  Boston Scientific Corp. 4.700%   3/1/49 1,364   1,924  
  Bristol-Myers Squibb Co. 4.125%   6/15/39 47,137   62,667  
  Bristol-Myers Squibb Co. 4.500%   3/1/44 3,605   5,239  
  Bristol-Myers Squibb Co. 4.350%   11/15/47 2,000   2,786  
  Bristol-Myers Squibb Co. 4.250%   10/26/49 88,695   127,839  
7 Cargill Inc. 4.760%   11/23/45 20,000   27,424  
6 Carrefour SA 2.625%   12/15/27 1,000   1,343  
  Children's Health System of Texas 2.511%   8/15/50 2,500   2,545  
  Cigna Corp. 3.200%   3/15/40 2,000   2,232  
  City of Hope 5.623%   11/15/43 1,944   2,824  
  City of Hope 4.378%   8/15/48 1,671   2,134  
  Coca-Cola Co. 2.600%   6/1/50 30,500   32,711  
  Coca-Cola Co. 2.750%   6/1/60 14,000   15,232  
4 CommonSpirit Health 4.350%   11/1/42 16,260   17,383  
  CVS Health Corp. 4.780%   3/25/38 1,657   2,134  
  CVS Health Corp. 4.125%   4/1/40 6,700   8,164  
  CVS Health Corp. 4.250%   4/1/50 800   1,016  
7 DaVita Inc. 4.625%   6/1/30 235   250  
  DH Europe Finance II Sarl 3.250%   11/15/39 2,500   2,896  
  Dignity Health 4.500%   11/1/42 1,042   1,130  
  Dignity Health 5.267%   11/1/64 758   954  
  Eli Lilly & Co. 3.950%   3/15/49 18,330   25,090  
  Eli Lilly & Co. 4.150%   3/15/59 23,420   33,615  
  Eli Lilly & Co. 2.250%   5/15/50 48,255   49,160  
  Encompass Health Corp. 4.500%   2/1/28 184   192  
  Estee Lauder Cos. Inc. 3.125%   12/1/49 23,964   28,357  
  Fomento Economico Mexicano SAB de CV 3.500%   1/16/50 4,050   4,496  
  Gilead Sciences Inc. 4.600%   9/1/35 20,416   27,977  
  Gilead Sciences Inc. 5.650%   12/1/41 8,686   13,468  
  Gilead Sciences Inc. 4.800%   4/1/44 29,545   42,141  
  Gilead Sciences Inc. 4.500%   2/1/45 36,730   50,688  
  Gilead Sciences Inc. 4.750%   3/1/46 25,040   36,318  
  Gilead Sciences Inc. 4.150%   3/1/47 45,050   61,626  
  GlaxoSmithKline Capital Inc. 6.375%   5/15/38 37,532   60,637  
  HCA Inc. 5.375%   2/1/25 255   286  
  HCA Inc. 5.375%   9/1/26 80   91  
  HCA Inc. 3.500%   9/1/30 90   94  
  HCA Inc. 5.250%   6/15/49 817   1,084  
  Hershey Co. 3.125%   11/15/49 25,500   30,085  
  Hershey Co. 2.650%   6/1/50 2,000   2,208  
7 Hill-Rom Holdings Inc. 4.375%   9/15/27 294   310  
6 JAB Holdings BV 2.250%   12/19/39 800   957  
  Johnson & Johnson 3.550%   3/1/36 47,310   57,768  
  Johnson & Johnson 3.625%   3/3/37 53,652   67,925  
  Johnson & Johnson 3.400%   1/15/38 43,125   53,748  
  Johnson & Johnson 3.700%   3/1/46 26,329   34,510  
  Johnson & Johnson 3.750%   3/3/47 18,356   24,638  
  Kaiser Foundation Hospitals 4.875%   4/1/42 9,920   13,987  
  Kaiser Foundation Hospitals 4.150%   5/1/47 14,564   19,527  
  Kimberly-Clark Corp. 6.625%   8/1/37 4,800   7,821  
  Kimberly-Clark Corp. 3.200%   7/30/46 19,400   23,327  
  Kimberly-Clark Corp. 2.875%   2/7/50 20,685   24,223  
7 Kraft Heinz Foods Co. 3.875%   5/15/27 145   156  
7 Kraft Heinz Foods Co. 4.250%   3/1/31 55   61  
 

90

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Kroger Co. 3.950%   1/15/50 2,000   2,474  
7 Lamb Weston Holdings Inc. 4.625%   11/1/24 80   84  
7 Lamb Weston Holdings Inc. 4.875%   11/1/26 210   220  
7 Lamb Weston Holdings Inc. 4.875%   5/15/28 80   89  
7 Mars Inc. 2.375%   7/16/40 3,500   3,600  
4 Mayo Clinic 3.774%   11/15/43 11,795   14,185  
  McKesson Corp. 4.883%   3/15/44 1,450   1,840  
  Mead Johnson Nutrition Co. 4.600%   6/1/44 3,571   4,839  
  Medtronic Inc. 4.375%   3/15/35 28,178   38,283  
  Medtronic Inc. 4.625%   3/15/45 13,809   19,964  
  Memorial Sloan-Kettering Cancer Center 5.000%   7/1/42 700   993  
  Memorial Sloan-Kettering Cancer Center 4.125%   7/1/52 2,355   3,226  
  Merck & Co. Inc. 3.900%   3/7/39 30,000   39,059  
  Merck & Co. Inc. 3.600%   9/15/42 4,900   6,156  
  Merck & Co. Inc. 4.150%   5/18/43 2,385   3,244  
  Merck & Co. Inc. 3.700%   2/10/45 75,455   98,080  
  Merck & Co. Inc. 4.000%   3/7/49 26,229   36,246  
4 Mount Sinai Hospitals Group Inc. 3.737%   7/1/49 2,225   2,501  
7 Nestle Holdings Inc. 3.900%   9/24/38 49,785   65,903  
7 Nestle Holdings Inc. 4.000%   9/24/48 23,255   32,397  
  New York & Presbyterian Hospital 4.063%   8/1/56 3,743   5,070  
  New York & Presbyterian Hospital 4.763%   8/1/16 5,250   6,799  
  Northwell Healthcare Inc. 4.800%   11/1/42 1,042   1,224  
  Northwell Healthcare Inc. 3.979%   11/1/46 1,944   2,137  
  Northwell Healthcare Inc. 4.260%   11/1/47 947   1,112  
  Northwell Healthcare Inc. 3.809%   11/1/49 9,789   11,078  
  Novartis Capital Corp. 4.400%   5/6/44 24,840   35,159  
  Novartis Capital Corp. 2.750%   8/14/50 19,960   22,718  
  NYU Langone Hospitals 4.784%   7/1/44 1,944   2,362  
  Partners Healthcare System Inc. 3.192%   7/1/49 3,825   4,159  
  Partners Healthcare System Inc. 3.342%   7/1/60 33,000   37,704  
  PeaceHealth Obligated Group 4.787%   11/15/48 6,015   8,256  
  PepsiCo Inc. 4.000%   3/5/42 2,038   2,730  
  PepsiCo Inc. 3.600%   8/13/42 947   1,214  
  PepsiCo Inc. 4.450%   4/14/46 31,574   44,852  
  PepsiCo Inc. 3.450%   10/6/46 40,155   49,561  
  PepsiCo Inc. 4.000%   5/2/47 23,435   31,483  
  PepsiCo Inc. 3.375%   7/29/49 22,294   27,704  
  PepsiCo Inc. 2.875%   10/15/49 12,285   14,188  
  PepsiCo Inc. 3.875%   3/19/60 2,415   3,363  
7 Performance Food Group Inc. 6.875%   5/1/25 80   86  
7 Performance Food Group Inc. 5.500%   10/15/27 250   258  
  Pfizer Inc. 4.100%   9/15/38 34,780   45,807  
  Pfizer Inc. 3.900%   3/15/39 34,185   44,313  
  Pfizer Inc. 7.200%   3/15/39 34,632   61,017  
  Pfizer Inc. 2.550%   5/28/40 3,195   3,530  
  Pfizer Inc. 4.300%   6/15/43 7,780   10,541  
  Pfizer Inc. 4.400%   5/15/44 8,615   11,921  
  Pfizer Inc. 4.125%   12/15/46 15,541   21,331  
  Pfizer Inc. 4.200%   9/15/48 24,916   34,590  
  Pfizer Inc. 4.000%   3/15/49 16,334   22,165  
  Pfizer Inc. 2.700%   5/28/50 5,475   6,109  
  Philip Morris International Inc. 6.375%   5/16/38 5,802   9,121  
  Philip Morris International Inc. 4.375%   11/15/41 2,891   3,736  
  Philip Morris International Inc. 3.875%   8/21/42 10,120   12,173  
  Philip Morris International Inc. 4.125%   3/4/43 20,170   25,007  
  Philip Morris International Inc. 4.875%   11/15/43 22,345   30,536  
  Philip Morris International Inc. 4.250%   11/10/44 20,675   26,570  
7 Post Holdings Inc. 5.750%   3/1/27 105   112  
7 Post Holdings Inc. 4.625%   4/15/30 55   58  
  Procter & Gamble Co. 3.550%   3/25/40 8,255   10,545  
  Procter & Gamble Co. 3.500%   10/25/47 20,060   26,464  
  Procter & Gamble Co. 3.600%   3/25/50 2,860   3,859  
4 Providence St. Joseph Health Obligated Group 3.744%   10/1/47 4,605   5,351  
 

91

 

 

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
7 SC Johnson & Son Inc. 4.000%   5/15/43 28,110    35,071  
7 SC Johnson & Son Inc. 4.750%   10/15/46 1,940   2,748  
6 Takeda Pharmaceutical Co. Ltd. 1.375%   7/9/32 1,400   1,706  
  Takeda Pharmaceutical Co. Ltd. 3.025%   7/9/40 10,840   11,779  
  Takeda Pharmaceutical Co. Ltd. 3.175%   7/9/50 1,875   2,051  
7 Tenet Healthcare Corp. 4.625%   9/1/24 20   21  
7 Tenet Healthcare Corp. 7.500%   4/1/25 15   17  
7 Tenet Healthcare Corp. 4.875%   1/1/26 192   201  
7 Tenet Healthcare Corp. 5.125%   11/1/27 155   165  
7 Upjohn Inc. 3.850%   6/22/40 2,000   2,280  
  Wyeth LLC 6.500%   2/1/34 1,240   1,953  
  Wyeth LLC 5.950%   4/1/37 53,438   82,032  
  Energy (3.1%)  
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 4.080%   12/15/47 3,837   4,165  
  BP Capital Markets America Inc. 3.000%   2/24/50 600   649  
7 Cameron LNG LLC 3.701%   1/15/39 1,300   1,474  
  Cenovus Energy Inc. 3.000%   8/15/22 150   150  
  Cenovus Energy Inc. 5.375%   7/15/25 150   150  
  Chevron Corp. 2.978%   5/11/40 14,790   16,827  
  Chevron Corp. 3.078%   5/11/50 19,305   22,342  
  ConocoPhillips 7.000%   3/30/29 5,830   7,968  
  ConocoPhillips 5.900%   10/15/32 1,326   1,868  
  ConocoPhillips 6.500%   2/1/39 34,532   53,451  
  ConocoPhillips Canada Funding Co. I 5.950%   10/15/36 1,420   2,022  
  ConocoPhillips Co. 4.300%   11/15/44 2,000   2,662  
  ConocoPhillips Co. 5.950%   3/15/46 13,270   20,817  
  DCP Midstream Operating LP 5.625%   7/15/27 56   58  
7 Endeavor Energy Resources LP / EER Finance Inc. 6.625%   7/15/25 37   39  
7 Endeavor Energy Resources LP / EER Finance Inc. 5.750%   1/30/28 150   155  
  EOG Resources Inc. 4.950%   4/15/50 4,165   5,722  
7 EQM Midstream Partners LP 6.500%   7/1/27 145   160  
  EQT Corp. 3.000%   10/1/22 160   158  
6 Exxon Mobil Corp. 1.408%   6/26/39 900   1,061  
  Exxon Mobil Corp. 2.995%   8/16/39 6,678   7,462  
  Exxon Mobil Corp. 4.227%   3/19/40 26,210   33,526  
  Exxon Mobil Corp. 3.567%   3/6/45 7,700   9,226  
  Exxon Mobil Corp. 4.114%   3/1/46 32,010   41,114  
  Exxon Mobil Corp. 4.327%   3/19/50 48,740   64,747  
  Exxon Mobil Corp. 3.452%   4/15/51 31,835   37,687  
7 MEG Energy Corp. 6.500%   1/15/25 93   91  
  Occidental Petroleum Corp. 2.600%   8/13/21 105   104  
  Occidental Petroleum Corp. 2.700%   8/15/22 200   193  
  Occidental Petroleum Corp. 5.550%   3/15/26 145   146  
7 Rattler Midstream LP 5.625%   7/15/25 45   47  
  Shell International Finance BV 4.125%   5/11/35 30,406   38,687  
  Shell International Finance BV 6.375%   12/15/38 2,121   3,311  
  Shell International Finance BV 5.500%   3/25/40 13,990   20,747  
  Shell International Finance BV 4.550%   8/12/43 18,195   24,144  
  Shell International Finance BV 4.375%   5/11/45 46,905   61,542  
  Shell International Finance BV 4.000%   5/10/46 30,177   37,706  
  Shell International Finance BV 3.750%   9/12/46 44,355   53,424  
  Shell International Finance BV 3.125%   11/7/49 5,000   5,613  
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.500%   7/15/27 158   170  
  Total Capital International SA 2.986%   6/29/41 24,165   26,931  
  Total Capital International SA 3.461%   7/12/49 500   597  
  Total Capital International SA 3.127%   5/29/50 30,205   34,298  
  TransCanada PipeLines Ltd. 6.100%   6/1/40 15,775   22,218  
  Western Midstream Operating LP 5.050%   2/1/30 180   182  
  WPX Energy Inc. 5.875%   6/15/28 35   36  
  WPX Energy Inc. 4.500%   1/15/30 100   93  

92

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Other Industrial (0.9%)  
4 American University 3.672%   4/1/49 2,563   2,974  
  Bowdoin College 4.693%   7/1/12 2,500   2,993  
4 Duke University 2.682%   10/1/44 7,600   8,294  
4 Duke University 2.832%   10/1/55 9,635   10,991  
  Georgetown University 4.315%   4/1/49 6,995   9,154  
  Georgetown University 2.943%   4/1/50 15,535   17,000  
  Georgetown University 5.215%   10/1/18 940   1,356  
  Hillenbrand Inc. 5.750%   6/15/25 59   64  
4 Johns Hopkins University 2.813%   1/1/60 2,690   3,061  
4 Massachusetts Institute of Technology 3.959%   7/1/38 24,140   30,573  
  Massachusetts Institute of Technology 5.600%   7/1/11 1,042   1,945  
7 MasTec Inc. 4.500%   8/15/28 65   68  
4 Northwestern University 2.640%   12/1/50 6,700   7,481  
  President & Fellows of Harvard College 5.625%   10/1/38 2,500   3,924  
  President & Fellows of Harvard College 4.875%   10/15/40 750   1,085  
  President & Fellows of Harvard College 3.150%   7/15/46 17,450   21,237  
7 President & Fellows of Harvard College 6.500%   1/15/39 3,710   6,259  
4 University of Chicago 2.761%   4/1/45 11,735   12,665  
  University of Pennsylvania 3.610%   2/15/19 20,230   24,648  
4 William Marsh Rice University 2.598%   5/15/50 3,775   3,999  
  Yale University 2.402%   4/15/50 19,845   21,767  
  Technology (11.4%)  
  Apple Inc. 4.500%   2/23/36 5,000   6,830  
  Apple Inc. 3.850%   5/4/43 53,204   69,011  
  Apple Inc. 3.450%   2/9/45 38,360   47,259  
  Apple Inc. 4.375%   5/13/45 47,166   65,976  
  Apple Inc. 4.650%   2/23/46 40,667   58,852  
  Apple Inc. 3.850%   8/4/46 40,245   51,991  
  Apple Inc. 4.250%   2/9/47 39,099   53,696  
  Apple Inc. 3.750%   11/13/47 24,095   31,127  
  Apple Inc. 2.950%   9/11/49 29,025   33,529  
  Apple Inc. 2.650%   5/11/50 9,930   10,995  
  Applied Materials Inc. 5.100%   10/1/35 95   136  
  Applied Materials Inc. 4.350%   4/1/47 1,775   2,550  
7 BY Crown Parent LLC / BY Bond Finance Inc. 4.250%   1/31/26 19   19  
6 Capgemini SE 2.000%   4/15/29 800   1,043  
  CDW LLC / CDW Finance Corp. 4.125%   5/1/25 95   100  
  CDW LLC / CDW Finance Corp. 5.000%   9/1/25 45   47  
  CDW LLC / CDW Finance Corp. 4.250%   4/1/28 177   187  
  Cisco Systems Inc. 5.900%   2/15/39 28,465   44,950  
  Cisco Systems Inc. 5.500%   1/15/40 16,122   25,099  
7 CommScope Finance LLC 5.500%   3/1/24 20   21  
7 CommScope Finance LLC 8.250%   3/1/27 120   129  
7 CommScope Inc. 6.000%   3/1/26 65   69  
7 CommScope Inc. 7.125%   7/1/28 56   59  
7 Gartner Inc. 4.500%   7/1/28 145   153  
  Intel Corp. 4.600%   3/25/40 5,000   6,887  
  Intel Corp. 4.100%   5/19/46 18,330   23,930  
  Intel Corp. 4.100%   5/11/47 34,841   45,313  
  Intel Corp. 3.734%   12/8/47 56,122   70,156  
  Intel Corp. 3.250%   11/15/49 45,560   54,205  
  Intel Corp. 4.750%   3/25/50 3,500   5,110  
  Intel Corp. 3.100%   2/15/60 26,905   31,451  
  Intel Corp. 4.950%   3/25/60 2,475   3,828  
  International Business Machines Corp. 4.150%   5/15/39 104,215   131,703  
  International Business Machines Corp. 4.000%   6/20/42 10,633   13,528  
  International Business Machines Corp. 4.250%   5/15/49 89,470   116,735  
  International Business Machines Corp. 2.950%   5/15/50 6,715   7,373  
  Lam Research Corp. 2.875%   6/15/50 6,795   7,654  
  Microsoft Corp. 3.500%   2/12/35 7,688   9,702  
  Microsoft Corp. 3.450%   8/8/36 36,770   45,949  

 

93

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Microsoft Corp. 4.100%   2/6/37 33,369   44,469  
  Microsoft Corp. 3.500%   11/15/42 1,657   2,093  
  Microsoft Corp. 3.700%   8/8/46 85,523   111,676  
  Microsoft Corp. 2.525%   6/1/50 248,789   273,989  
  Microsoft Corp. 3.950%   8/8/56 38,023   53,280  
  Microsoft Corp. 2.675%   6/1/60 66,699   73,900  
7 NCR Corp. 8.125%   4/15/25 25   28  
  NVIDIA Corp. 3.500%   4/1/40 20,705   24,748  
  NVIDIA Corp. 3.500%   4/1/50 20,875   25,207  
  NVIDIA Corp. 3.700%   4/1/60 12,270   15,511  
  Oracle Corp. 4.300%   7/8/34 3,000   3,843  
  Oracle Corp. 3.850%   7/15/36 5,250   6,447  
  Oracle Corp. 3.800%   11/15/37 34,500   41,945  
  Oracle Corp. 6.500%   4/15/38 47,155   76,223  
  Oracle Corp. 6.125%   7/8/39 12,073   18,761  
  Oracle Corp. 3.600%   4/1/40 44,485   52,737  
  Oracle Corp. 5.375%   7/15/40 46,418   67,686  
  Oracle Corp. 4.125%   5/15/45 32,856   41,819  
  Oracle Corp. 4.000%   7/15/46 81,361   101,363  
  Oracle Corp. 4.000%   11/15/47 49,655   62,580  
  Oracle Corp. 3.600%   4/1/50 11,615   13,878  
  Oracle Corp. 4.375%   5/15/55 25,000   33,517  
  Oracle Corp. 3.850%   4/1/60 35,040   43,943  
7 Qorvo Inc. 4.375%   10/15/29 215   230  
  QUALCOMM Inc. 4.650%   5/20/35 1,648   2,274  
  QUALCOMM Inc. 4.800%   5/20/45 12,300   17,563  
  QUALCOMM Inc. 4.300%   5/20/47 60,300   80,776  
  QUALCOMM Inc. 3.250%   5/20/50 15,805   18,723  
7 Sabre GLBL Inc. 9.250%   4/15/25 75   82  
7 SS&C Technologies Inc. 5.500%   9/30/27 130   140  
7 Tencent Holdings Ltd. 3.925%   1/19/38 33,420   39,575  
7 Tencent Holdings Ltd. 3.240%   6/3/50 12,130   13,542  
7 Tencent Holdings Ltd. 3.290%   6/3/60 4,100   4,676  
  Texas Instruments Inc. 3.875%   3/15/39 5,056   6,594  
  Western Digital Corp. 4.750%   2/15/26 214   233  
  Transportation (2.4%)  
7 Air Canada 7.750%   4/15/21 150   151  
  Burlington Northern Santa Fe LLC 7.950%   8/15/30 1,658   2,548  
  Burlington Northern Santa Fe LLC 5.750%   5/1/40 15,000   22,634  
  Burlington Northern Santa Fe LLC 4.400%   3/15/42 24,790   33,087  
  Burlington Northern Santa Fe LLC 4.375%   9/1/42 41,150   55,280  
  Burlington Northern Santa Fe LLC 4.450%   3/15/43 11,200   15,169  
  Burlington Northern Santa Fe LLC 5.150%   9/1/43 500   738  
  Burlington Northern Santa Fe LLC 4.900%   4/1/44 18,000   26,232  
  Burlington Northern Santa Fe LLC 4.550%   9/1/44 43,085   59,821  
  Burlington Northern Santa Fe LLC 4.150%   4/1/45 12,335   16,549  
  Burlington Northern Santa Fe LLC 3.900%   8/1/46 7,265   9,502  
  Burlington Northern Santa Fe LLC 4.125%   6/15/47 11,910   16,086  
  Burlington Northern Santa Fe LLC 4.050%   6/15/48 3,141   4,238  
  Burlington Northern Santa Fe LLC 4.150%   12/15/48 16,290   22,288  
  Burlington Northern Santa Fe LLC 3.550%   2/15/50 29,445   37,233  
  Burlington Northern Santa Fe LLC 3.050%   2/15/51 6,410   7,525  
  Canadian National Railway Co. 3.200%   8/2/46 1,000   1,195  
  Canadian National Railway Co. 3.650%   2/3/48 28,169   35,946  
  Canadian National Railway Co. 4.450%   1/20/49 13,410   19,523  
  Canadian National Railway Co. 2.450%   5/1/50 7,405   7,940  
7 Cargo Aircraft Management Inc. 4.750%   2/1/28 140   143  
  Delta Air Lines Inc. 2.900%   10/28/24 70   61  
7 Delta Air Lines Inc. 7.000%   5/1/25 330   353  
  Delta Air Lines Inc. 7.375%   1/15/26 145   144  
  FedEx Corp. 5.250%   5/15/50 11,120   14,934  
4 JetBlue 2019-1 Class AA Pass Through Trust 2.750%   5/15/32 1,413   1,326  

 

94

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4,7 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. 6.500%   6/20/27 222   230  
  Norfolk Southern Corp. 4.100%   5/15/49 2,891   3,755  
  Norfolk Southern Corp. 3.050%   5/15/50 7,760   8,740  
  Union Pacific Corp. 3.250%   2/5/50 12,085   14,239  
  Union Pacific Corp. 4.375%   11/15/65 20,655   28,136  
  Union Pacific Corp. 4.100%   9/15/67 15,550   20,205  
  Union Pacific Corp. 3.750%   2/5/70 2,160   2,638  
4 United Airlines 2019-2 Class AA Pass Through Trust 2.700%   11/1/33 1,944   1,759  
  United Parcel Service Inc. 6.200%   1/15/38 4,311   6,852  
  United Parcel Service Inc. 4.875%   11/15/40 2,700   3,796  
  United Parcel Service Inc. 3.625%   10/1/42 5,820   6,995  
  United Parcel Service Inc. 3.400%   9/1/49 3,837   4,528  
    10,237,151  
Utilities (15.1%)  
  Electric (14.4%)  
  AEP Texas Inc. 3.800%   10/1/47 2,455   3,026  
  AEP Texas Inc. 4.150%   5/1/49 947   1,198  
  AEP Transmission Co. LLC 4.000%   12/1/46 2,575   3,320  
  AEP Transmission Co. LLC 3.750%   12/1/47 33,643   41,818  
  AEP Transmission Co. LLC 4.250%   9/15/48 5,580   7,443  
  AEP Transmission Co. LLC 3.800%   6/15/49 2,057   2,604  
  AEP Transmission Co. LLC 3.650%   4/1/50 4,500   5,676  
  Alabama Power Co. 6.000%   3/1/39 7,535   11,531  
  Alabama Power Co. 5.500%   3/15/41 26,874   38,436  
  Alabama Power Co. 5.200%   6/1/41 14,920   20,395  
  Alabama Power Co. 3.850%   12/1/42 1,065   1,322  
  Alabama Power Co. 3.750%   3/1/45 22,325   27,685  
  Alabama Power Co. 4.300%   7/15/48 5,285   7,203  
  Alabama Power Co. 3.450%   10/1/49 6,944   8,458  
  Ameren Illinois Co. 3.700%   12/1/47 10,000   12,545  
  Ameren Illinois Co. 4.500%   3/15/49 26,150   37,323  
  Appalachian Power Co. 6.700%   8/15/37 32,970   47,102  
  Appalachian Power Co. 3.700%   5/1/50 1,660   1,960  
  Baltimore Gas & Electric Co. 6.350%   10/1/36 1,165   1,749  
  Baltimore Gas & Electric Co. 4.250%   9/15/48 26,475   35,796  
  Baltimore Gas & Electric Co. 3.200%   9/15/49 1,944   2,265  
  Baltimore Gas & Electric Co. 2.900%   6/15/50 795   886  
  Berkshire Hathaway Energy Co. 6.125%   4/1/36 11,612   17,529  
  Berkshire Hathaway Energy Co. 5.950%   5/15/37 2,891   4,293  
  Berkshire Hathaway Energy Co. 5.150%   11/15/43 25,000   36,117  
  Berkshire Hathaway Energy Co. 4.500%   2/1/45 43,625   59,801  
7 Berkshire Hathaway Energy Co. 4.250%   10/15/50 3,485   4,762  
7 Calpine Corp. 4.500%   2/15/28 210   218  
7 Calpine Corp. 5.125%   3/15/28 185   192  
7 Calpine Corp. 4.625%   2/1/29 20   20  
7 Calpine Corp. 5.000%   2/1/31 10   10  
  CenterPoint Energy Houston Electric LLC 2.900%   7/1/50 3,400   3,918  
7 Clearway Energy Operating LLC 4.750%   3/15/28 100   107  
  Commonwealth Edison Co. 5.900%   3/15/36 2,370   3,529  
  Commonwealth Edison Co. 3.800%   10/1/42 20,733   26,024  
  Commonwealth Edison Co. 4.600%   8/15/43 15,205   20,835  
  Commonwealth Edison Co. 4.700%   1/15/44 15,891   22,169  
  Commonwealth Edison Co. 3.700%   3/1/45 17,765   22,029  
  Commonwealth Edison Co. 4.350%   11/15/45 11,060   14,999  
  Commonwealth Edison Co. 3.650%   6/15/46 11,553   14,499  
  Commonwealth Edison Co. 4.000%   3/1/48 8,765   11,522  
  Commonwealth Edison Co. 4.000%   3/1/49 13,485   18,025  
  Connecticut Light & Power Co. 6.350%   6/1/36 14,382   21,196  
  Connecticut Light & Power Co. 4.300%   4/15/44 890   1,193  
  Connecticut Light & Power Co. 4.150%   6/1/45 17,480   23,132  
  Consolidated Edison Co. of New York Inc. 5.100%   6/15/33 691   883  
  Consolidated Edison Co. of New York Inc. 5.850%   3/15/36 9,947   13,977  

 

95

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Consolidated Edison Co. of New York Inc. 6.200%   6/15/36 10,637   15,491  
  Consolidated Edison Co. of New York Inc. 6.750%   4/1/38 9,600   15,187  
  Consolidated Edison Co. of New York Inc. 5.500%   12/1/39 8,668   12,433  
  Consolidated Edison Co. of New York Inc. 5.700%   6/15/40 7,947   11,705  
  Consolidated Edison Co. of New York Inc. 4.200%   3/15/42 10,501   13,149  
  Consolidated Edison Co. of New York Inc. 3.950%   3/1/43 8,740   10,831  
  Consolidated Edison Co. of New York Inc. 4.450%   3/15/44 47,016   61,869  
  Consolidated Edison Co. of New York Inc. 4.500%   12/1/45 5,715   7,629  
  Consolidated Edison Co. of New York Inc. 3.850%   6/15/46 2,000   2,464  
  Consolidated Edison Co. of New York Inc. 3.875%   6/15/47 1,000   1,243  
  Consolidated Edison Co. of New York Inc. 4.650%   12/1/48 1,000   1,387  
  Consolidated Edison Co. of New York Inc. 4.125%   5/15/49 5,085   6,675  
  Consolidated Edison Co. of New York Inc. 3.950%   4/1/50 16,725   21,571  
  Consolidated Edison Co. of New York Inc. 4.300%   12/1/56 17,545   23,662  
  Consolidated Edison Co. of New York Inc. 4.500%   5/15/58 13,947   18,807  
  Consumers Energy Co. 3.750%   2/15/50 1,944   2,572  
  Consumers Energy Co. 3.100%   8/15/50 31,227   37,371  
  Consumers Energy Co. 2.500%   5/1/60 1,350   1,438  
  Dominion Energy South Carolina Inc. 6.050%   1/15/38 11,775   17,689  
  Dominion Energy South Carolina Inc. 5.450%   2/1/41 3,000   4,361  
  Dominion Energy South Carolina Inc. 4.600%   6/15/43 2,340   3,174  
7 DPL Inc. 4.125%   7/1/25 35   36  
  DTE Electric Co. 3.700%   3/15/45 1,911   2,401  
  DTE Electric Co. 4.050%   5/15/48 947   1,268  
  DTE Electric Co. 2.950%   3/1/50 2,235   2,571  
  Duke Energy Carolinas LLC 6.450%   10/15/32 758   1,102  
  Duke Energy Carolinas LLC 6.100%   6/1/37 32,973   51,026  
  Duke Energy Carolinas LLC 5.300%   2/15/40 8,910   13,077  
  Duke Energy Carolinas LLC 4.250%   12/15/41 16,200   21,707  
  Duke Energy Carolinas LLC 4.000%   9/30/42 42,092   54,193  
  Duke Energy Carolinas LLC 3.750%   6/1/45 1,643   2,073  
  Duke Energy Carolinas LLC 3.200%   8/15/49 20,922   25,270  
  Duke Energy Florida LLC 6.350%   9/15/37 758   1,205  
  Duke Energy Florida LLC 5.650%   4/1/40 1,200   1,820  
  Duke Energy Florida LLC 4.200%   7/15/48 1,000   1,372  
  Duke Energy Indiana LLC 6.120%   10/15/35 5,614   7,747  
  Duke Energy Indiana LLC 6.350%   8/15/38 775   1,232  
  Duke Energy Indiana LLC 6.450%   4/1/39 10,411   16,763  
  Duke Energy Indiana LLC 4.200%   3/15/42 12,700   16,089  
  Duke Energy Indiana LLC 4.900%   7/15/43 28,514   40,402  
  Duke Energy Ohio Inc. 3.700%   6/15/46 9,825   12,377  
  Duke Energy Ohio Inc. 4.300%   2/1/49 2,784   3,840  
  Duke Energy Progress LLC 4.100%   5/15/42 2,250   2,927  
  Duke Energy Progress LLC 4.100%   3/15/43 23,186   30,075  
  Duke Energy Progress LLC 4.150%   12/1/44 29,945   39,354  
  Duke Energy Progress LLC 4.200%   8/15/45 22,105   29,387  
  Duke Energy Progress LLC 3.700%   10/15/46 27,000   34,156  
  Entergy Louisiana LLC 3.120%   9/1/27 322   359  
  Entergy Louisiana LLC 4.000%   3/15/33 651   827  
  Entergy Louisiana LLC 4.950%   1/15/45 1,046   1,162  
  Entergy Louisiana LLC 4.200%   4/1/50 3,000   4,124  
  Entergy Louisiana LLC 2.900%   3/15/51 3,600   4,089  
  Florida Power & Light Co. 5.960%   4/1/39 947   1,497  
  Florida Power & Light Co. 5.690%   3/1/40 663   1,028  
  Florida Power & Light Co. 5.250%   2/1/41 21,109   31,314  
  Florida Power & Light Co. 4.125%   2/1/42 9,000   11,988  
  Florida Power & Light Co. 3.800%   12/15/42 22,370   28,844  
  Florida Power & Light Co. 3.950%   3/1/48 1,944   2,663  
  Florida Power & Light Co. 3.990%   3/1/49 2,891   4,003  
  Florida Power & Light Co. 3.150%   10/1/49 1,944   2,386  
  Georgia Power Co. 4.750%   9/1/40 33,945   43,144  
  Georgia Power Co. 4.300%   3/15/42 13,561   16,720  
  Georgia Power Co. 3.700%   1/30/50 7,495   8,982  
5 innogy Finance BV 4.750%   1/31/34 500   891  

 

96

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
4 John Sevier Combined Cycle Generation LLC 4.626%   1/15/42 20,605   26,467  
  Kentucky Utilities Co. 5.125%   11/1/40 947   1,336  
  Kentucky Utilities Co. 4.650%   11/15/43 947   1,266  
  Kentucky Utilities Co. 4.375%   10/1/45 18,000   23,475  
  Kentucky Utilities Co. 3.300%   6/1/50 1,900   2,244  
  Louisville Gas & Electric Co. 4.250%   4/1/49 17,050   22,717  
7 Massachusetts Electric Co. 4.004%   8/15/46 10,890   13,624  
  MidAmerican Energy Co. 5.800%   10/15/36 473   700  
  MidAmerican Energy Co. 4.800%   9/15/43 27,525   39,181  
  MidAmerican Energy Co. 4.250%   5/1/46 24,721   33,461  
  MidAmerican Energy Co. 4.250%   7/15/49 15,510   21,818  
  MidAmerican Energy Co. 3.150%   4/15/50 1,000   1,214  
7 Monongahela Power Co. 5.400%   12/15/43 15,640   23,410  
5 National Grid Electricity Transmission plc 2.000%   4/17/40 1,550   2,196  
  National Rural Utilities Cooperative Finance Corp. 8.000%   3/1/32 1,000   1,604  
  National Rural Utilities Cooperative Finance Corp. 4.023%   11/1/32 2,100   2,583  
  National Rural Utilities Cooperative Finance Corp. 4.300%   3/15/49 13,955   19,190  
  Nevada Power Co. 6.650%   4/1/36 5,830   8,840  
  Nevada Power Co. 5.375%   9/15/40 16,430   22,774  
  Nevada Power Co. 5.450%   5/15/41 21,620   30,425  
  Nevada Power Co. 3.125%   8/1/50 1,870   2,207  
  Northern States Power Co. 6.250%   6/1/36 780   1,226  
  Northern States Power Co. 6.200%   7/1/37 27,844   43,544  
  Northern States Power Co. 5.350%   11/1/39 758   1,130  
  Northern States Power Co. 4.000%   8/15/45 805   1,063  
  Northern States Power Co. 3.600%   9/15/47 9,675   12,335  
  Northern States Power Co. 2.600%   6/1/51 14,765   16,182  
  Northern States Power Co. 4.200%   9/1/48 12,250   15,748  
  NRG Energy Inc. 7.250%   5/15/26 99   107  
  NSTAR Electric Co. 4.400%   3/1/44 2,630   3,549  
  Oglethorpe Power Corp. 4.200%   12/1/42 16,677   17,880  
  Ohio Power Co. 4.000%   6/1/49 734   942  
  Oklahoma Gas & Electric Co. 4.550%   3/15/44 473   580  
  Oncor Electric Delivery Co. LLC 7.250%   1/15/33 1,231   1,900  
  Oncor Electric Delivery Co. LLC 7.500%   9/1/38 1,420   2,418  
  Oncor Electric Delivery Co. LLC 5.250%   9/30/40 3,104   4,423  
  Oncor Electric Delivery Co. LLC 4.550%   12/1/41 6,300   8,536  
  Oncor Electric Delivery Co. LLC 3.750%   4/1/45 7,120   9,045  
  Oncor Electric Delivery Co. LLC 3.800%   9/30/47 16,908   22,000  
  Oncor Electric Delivery Co. LLC 3.800%   6/1/49 1,420   1,888  
  PacifiCorp 5.250%   6/15/35 1,232   1,776  
  PacifiCorp 6.100%   8/1/36 14,920   22,112  
  PacifiCorp 6.250%   10/15/37 7,773   11,905  
  PacifiCorp 6.350%   7/15/38 35,944   56,261  
  PacifiCorp 6.000%   1/15/39 32,206   49,085  
  PacifiCorp 4.100%   2/1/42 19,700   25,085  
  PacifiCorp 4.125%   1/15/49 3,837   5,119  
  PacifiCorp 4.150%   2/15/50 44,426   60,285  
  PacifiCorp 3.300%   3/15/51 4,955   6,088  
7 Pattern Energy Operations LP / Pattern Energy Operations Inc. 4.500%   8/15/28 60   63  
  PECO Energy Co. 4.800%   10/15/43 10,365   14,517  
  PECO Energy Co. 4.150%   10/1/44 396   521  
  PECO Energy Co. 3.700%   9/15/47 15,500   19,833  
  PECO Energy Co. 3.900%   3/1/48 27,241   36,029  
  PG&E Corp. 5.250%   7/1/30 145   151  
  Potomac Electric Power Co. 6.500%   11/15/37 1,160   1,805  
  Potomac Electric Power Co. 7.900%   12/15/38 142   224  
  Potomac Electric Power Co. 4.150%   3/15/43 13,575   17,395  
  PPL Electric Utilities Corp. 6.450%   8/15/37 10,200   15,410  
  PPL Electric Utilities Corp. 6.250%   5/15/39 10,924   16,790  
  PPL Electric Utilities Corp. 5.200%   7/15/41 1,184   1,647  
  PPL Electric Utilities Corp. 3.950%   6/1/47 12,500   16,283  
  Public Service Co. of Colorado 6.250%   9/1/37 860   1,345  

 

97

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Public Service Co. of Colorado 3.600%   9/15/42 20,555   25,240  
  Public Service Co. of Colorado 4.300%   3/15/44 2,761   3,725  
  Public Service Co. of Colorado 3.800%   6/15/47 570   739  
  Public Service Co. of Colorado 4.050%   9/15/49 32,010   43,614  
  Public Service Co. of Colorado 3.200%   3/1/50 2,891   3,498  
  Public Service Electric & Gas Co. 3.650%   9/1/42 21,083   26,149  
  Public Service Electric & Gas Co. 3.850%   5/1/49 2,891   3,860  
  Public Service Electric & Gas Co. 3.200%   8/1/49 1,065   1,297  
  Puget Sound Energy Inc. 5.483%   6/1/35 189   257  
  Puget Sound Energy Inc. 6.274%   3/15/37 473   697  
  Puget Sound Energy Inc. 5.757%   10/1/39 1,042   1,551  
  Puget Sound Energy Inc. 5.795%   3/15/40 15,992   23,894  
  Puget Sound Energy Inc. 4.434%   11/15/41 1,425   1,842  
  Puget Sound Energy Inc. 4.300%   5/20/45 379   497  
  Puget Sound Energy Inc. 4.223%   6/15/48 29,820   40,758  
  Puget Sound Energy Inc. 3.250%   9/15/49 5,595   6,561  
  San Diego Gas & Electric Co. 4.100%   6/15/49 2,081   2,737  
  San Diego Gas & Electric Co. 3.320%   4/15/50 3,795   4,541  
  Southern California Edison Co. 6.000%   1/15/34 1,000   1,365  
  Southern California Edison Co. 5.625%   2/1/36 925   1,184  
  Southern California Edison Co. 5.950%   2/1/38 11,060   15,108  
  Southern California Edison Co. 4.500%   9/1/40 14,228   17,275  
  Southern California Edison Co. 3.900%   12/1/41 7,660   8,358  
  Southern California Edison Co. 4.050%   3/15/42 1,704   1,985  
  Southern California Edison Co. 3.900%   3/15/43 21,775   25,049  
  Southern California Edison Co. 4.650%   10/1/43 20,739   26,491  
  Southern California Edison Co. 3.600%   2/1/45 3,837   4,305  
  Southern California Edison Co. 4.000%   4/1/47 32,884   39,016  
  Southern California Edison Co. 4.125%   3/1/48 36,182   43,462  
  Southern California Edison Co. 3.650%   2/1/50 20,870   23,758  
  Southern Co. 4.400%   7/1/46 590   747  
  Southwestern Public Service Co. 4.500%   8/15/41 23,975   30,978  
  Southwestern Public Service Co. 3.400%   8/15/46 3,500   4,107  
  Southwestern Public Service Co. 3.700%   8/15/47 20,540   25,128  
  Southwestern Public Service Co. 3.750%   6/15/49 1,420   1,804  
  Southwestern Public Service Co. 3.150%   5/1/50 10,750   12,580  
6 SSE plc 1.750%   4/16/30 860   1,100  
  Tampa Electric Co. 6.150%   5/15/37 12,220   17,323  
  Union Electric Co. 3.900%   9/15/42 3,326   4,230  
  Union Electric Co. 4.000%   4/1/48 20,250   26,852  
  Union Electric Co. 3.250%   10/1/49 3,265   3,877  
  Virginia Electric & Power Co. 6.000%   5/15/37 57,203   85,902  
  Virginia Electric & Power Co. 6.350%   11/30/37 1,944   3,033  
  Virginia Electric & Power Co. 4.450%   2/15/44 12,490   17,016  
  Virginia Electric & Power Co. 4.000%   11/15/46 8,725   11,551  
  Virginia Electric & Power Co. 3.800%   9/15/47 29,319   37,592  
  Virginia Electric & Power Co. 4.600%   12/1/48 9,310   13,399  
  Virginia Electric & Power Co. 3.300%   12/1/49 2,000   2,463  
7 Vistra Operations Co. LLC 5.500%   9/1/26 50   53  
7 Vistra Operations Co. LLC 5.625%   2/15/27 50   54  
7 Vistra Operations Co. LLC 5.000%   7/31/27 280   298  
  Westar Energy Inc. 4.125%   3/1/42 1,113   1,398  
  Westar Energy Inc. 4.625%   9/1/43 1,231   1,557  
  Westar Energy Inc. 3.250%   9/1/49 6,650   7,848  
  Wisconsin Electric Power Co. 5.625%   5/15/33 521   731  
  Wisconsin Public Service Corp. 3.300%   9/1/49 1,944   2,286  
  Natural Gas (0.6%)  
  Atmos Energy Corp. 4.150%   1/15/43 1,420   1,826  
  Atmos Energy Corp. 3.375%   9/15/49 2,891   3,440  
7 Brooklyn Union Gas Co. 4.487%   3/4/49 35,000   47,648  
7 KeySpan Gas East Corp. 5.819%   4/1/41 1,500   2,130  
  Sempra Energy 4.000%   2/1/48 2,685   3,271  
  Southern California Gas Co. 5.125%   11/15/40 1,870   2,588  

 

98

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  Southern California Gas Co. 4.125%   6/1/48 30,835   41,144  
  Southern California Gas Co. 4.300%   1/15/49 14,075   19,597  
  Southern California Gas Co. 3.950%   2/15/50 947   1,259  
  Other Utility (0.1%)  
  American Water Capital Corp. 3.450%   5/1/50 10,630   13,147  
  3,222,646  

Total Corporate Bonds (Cost $13,480,031)

  

17,281,570

  

Sovereign Bonds (1.5%)

  
7 Banque Ouest Africaine de Developpement 4.700%   10/22/31 670   688  
  Bermuda 4.854%   2/6/24 632   693  
4 Bermuda 3.717%   1/25/27 2,910   3,151  
4 Bermuda 4.750%   2/15/29 1,750   2,047  
7 CDP Financial Inc. 5.600%   11/25/39 1,500   2,280  
  CNOOC Nexen Finance 2014 ULC 4.875%   4/30/44 200   277  
7 Emirate of Abu Dhabi 3.125%   9/30/49 13,395   14,998  
  Equinor ASA 3.625%   4/6/40 19,225   23,233  
  Equinor ASA 4.250%   11/23/41 1,944   2,502  
  Equinor ASA 3.950%   5/15/43 35,350   43,761  
  Equinor ASA 3.250%   11/18/49 8,640   9,960  
  Equinor ASA 3.700%   4/6/50 9,800   12,180  
7 Export-Import Bank of India 3.875%   2/1/28 960   1,005  
7 Kingdom of Saudi Arabia 4.500%   4/22/60 8,780   11,525  
7 Ontario Teachers' Cadillac Fairview Properties Trust 4.125%   2/1/29 3,000   3,339  
6,7 Perusahaan Listrik Negara PT 1.875%   11/5/31 1,690   1,912  
  Petrobras Global Finance BV 6.750%   6/3/50 2,215   2,370  
  Petronas Capital Ltd. 3.500%   4/21/30 4,460   5,105  
4 Republic of Chile 3.500%   1/25/50 59,702   72,647  
4 Republic of Colombia 4.500%   3/15/29 8,300   9,387  
  Republic of Colombia 10.375%   1/28/33 1,259   1,989  
6 Republic of Hungary 1.750%   6/5/35 2,430   3,006  
  Republic of Indonesia 4.450%   4/15/70 3,700   4,611  
4 Republic of Panama 3.875%   3/17/28 7,445   8,608  
4 Republic of Panama 4.500%   4/1/56 350   473  
6, 7 Republic of Romania 3.375%   1/28/50 921   1,109  
  Sinopec Group Overseas Development 2012 Ltd. 4.875%   5/17/42 1,569   2,151  
  State of Israel 3.375%   1/15/50 6,160   7,087  
  State of Israel 3.875%   7/3/50 22,910   28,350  
  State of Israel 4.500%   4/3/20 4,600   6,617  
7 State of Qatar 4.400%   4/16/50 16,720   22,746  
4 United Mexican States 4.750%   4/27/32 8,734   9,912  
8 United Mexican States 8.500%   11/18/38 200,000   10,855  

Total Sovereign Bonds (Cost $278,699)

  

330,574

  

Taxable Municipal Bonds (9.3%)

  
  Allentown PA Neighborhood Improvement Zone Development Authority Revenue 5.420%   5/1/21 1,000   1,014  
  Allentown PA Neighborhood Improvement Zone Development Authority Revenue 5.620%   5/1/22 1,930   1,995  
  American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project) 6.270%   2/15/50 43,316   63,518  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 3.552%   4/1/54 8,595   9,329  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 6.793%   4/1/30 1,579   2,003  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 6.918%   4/1/40 23,745   38,099  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 6.263%   4/1/49 10,420   18,669  
  Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area) 7.043%   4/1/50 1,326   2,472  
  California GO 2.500%   10/1/29 4,500   4,951  
  California GO 7.500%   4/1/34 16,172   27,163  

 

99

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  California GO 4.600%   4/1/38 36,195   42,741  
  California GO 7.550%   4/1/39 14,310   25,982  
  California GO 7.300%   10/1/39 58,756   100,021  
  California GO 7.350%   11/1/39 189   324  
  California GO 7.600%   11/1/40 62,535   117,391  
  California Institute of Technology 3.650%   9/1/19 3,875   4,563  
  California Public Works Board Lease Revenue (Various Capital Projects) 8.361%   10/1/34 1,136   1,902  
  California State University Systemwide Revenue 2.975%   11/1/51 27,825   30,872  
  Chicago IL O'Hare International Airport Revenue 4.472%   1/1/49 11,525   15,518  
  Chicago IL Transit Authority Sales Tax Receipts Revenue 6.899%   12/1/40 9,620   13,837  
  Chicago IL Transit Authority Transfer Tax Receipts Revenue 6.899%   12/1/40 43,340   62,340  
  Commonwealth Financing Authority Pennsylvania Revenue 4.144%   6/1/38 17,060   20,864  
9 Commonwealth Financing Authority Pennsylvania Revenue 5.197%   6/1/26 2,417   2,741  
  Commonwealth Financing Authority Pennsylvania Revenue 3.864%   6/1/38 19,285   23,175  
  Commonwealth of Massachusetts 2.514%   7/1/41 5,570   5,880  
  Dallas TX Area Rapid Transit Revenue 5.999%   12/1/44 189   311  
  Dallas/Fort Worth International Airport Revenue 3.089%   11/1/40 4,195   4,256  
  District of Columbia Water & Sewer Authority Public Utility Revenue 4.814%   10/1/14 1,944   3,046  
  Duke University North Carolina Revenue 5.850%   4/1/37 29,490   41,710  
  George Washington University 4.300%   9/15/44 2,891   3,686  
  Georgia Municipal Electric Power Authority Revenue 6.637%   4/1/57 933   1,419  
  Georgia Municipal Electric Power Authority Revenue 6.655%   4/1/57 337   517  
  Grand Parkway Transportation Corp. Texas System Toll Revenue 5.184%   10/1/42 1,420   2,086  
  Houston TX GO 6.290%   3/1/32 2,092   2,702  
  Illinois Toll Highway Authority Revenue 6.184%   1/1/34 10,330   14,980  
  Kansas Development Finance Authority Revenue 4.727%   4/15/37 2,417   3,011  
  Kansas Development Finance Authority Revenue 4.927%   4/15/45 20,480   27,751  
  Los Angeles CA Department of Water & Power Revenue 5.716%   7/1/39 379   586  
  Los Angeles CA Department of Water & Power Revenue 6.008%   7/1/39 1,136   1,586  
  Los Angeles CA Department of Water & Power Revenue 6.574%   7/1/45 15,715   27,892  
  Los Angeles CA Department of Water & Power Revenue 6.603%   7/1/50 1,849   3,419  
  Los Angeles CA Unified School District GO 5.755%   7/1/29 1,944   2,504  
  Los Angeles CA Unified School District GO 5.750%   7/1/34 852   1,203  
  Los Angeles CA Unified School District GO 6.758%   7/1/34 31,139   46,958  
  Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue 5.735%   6/1/39 15,020   21,776  
  Massachusetts GO 2.813%   9/1/43 40,910   46,012  
  Massachusetts GO 2.900%   9/1/49 1,275   1,449  
10 New Jersey Economic Development Authority Revenue (State Pension Funding) 7.425%   2/15/29 11,279   14,039  
  New Jersey Turnpike Authority Revenue 3.729%   1/1/36 6,750   8,084  
  New Jersey Turnpike Authority Revenue 7.414%   1/1/40 947   1,670  
  New Jersey Turnpike Authority Revenue 7.102%   1/1/41 42,407   72,841  
  New York Metropolitan Transportation Authority Revenue 5.175%   11/15/49 4,900   5,742  
  New York City NY GO 6.271%   12/1/37 550   847  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.724%   6/15/42 12,711   20,745  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.952%   6/15/42 18,114   29,328  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 6.011%   6/15/42 6,843   11,377  

 

100

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 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   677  
  New York City NY Municipal Water Finance Authority Water & Sewer System Revenue 5.882%   6/15/44 32,580   55,068  
  New York City NY Transitional Finance Authority Future Tax Revenue 5.508%   8/1/37 2,859   4,097  
  New York City NY Transitional Finance Authority Future Tax Secured Revenue 3.430%   8/1/30 14,540   16,356  
  New York Metropolitan Transportation Authority Revenue 6.814%   11/15/40 750   992  
  New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) 7.336%   11/15/39 52,254   85,666  
  New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund) 6.089%   11/15/40 3,833   5,400  
  New York Metropolitan Transportation Authority Revenue (Transit Revenue) 5.871%   11/15/39 210   249  
  New York State Dormitory Authority Revenue (Personal Income Tax) 3.190%   2/15/43 7,295   8,374  
  New York State Dormitory Authority Revenue (Personal Income Tax) 5.289%   3/15/33 7,288   9,358  
  New York State Dormitory Authority Revenue (Personal Income Tax) 3.110%   2/15/39 8,465   9,616  
  New York State Dormitory Authority Revenue (Personal Income Tax) 5.628%   3/15/39 15,919   21,706  
  New York State Dormitory Authority Revenue (Personal Income Tax) 5.600%   3/15/40 189   276  
  New York State GO 5.590%   3/1/35 947   1,339  
  New York State Thruway Authority Revenue 3.500%   1/1/42 10,945   11,354  
  New York State Urban Development Corp Revenue 3.370%   3/15/30 8,405   9,394  
  New York State Urban Development Corp. Revenue (Personal Income Tax) 3.900%   3/15/33 21,250   24,556  
  North Texas Tollway Authority System Revenue 6.718%   1/1/49 22,942   41,998  
  Ohio State University General Receipts Revenue 4.910%   6/1/40 12,300   18,007  
  Ohio State University General Receipts Revenue 4.800%   6/1/11 17,635   28,073  
11 Oregon School Boards Association GO 4.759%   6/30/28 947   1,077  
  Port Authority of New York & New Jersey Revenue 6.040%   12/1/29 13,763   18,793  
  Port Authority of New York & New Jersey Revenue 5.647%   11/1/40 10,176   15,047  
  Port Authority of New York & New Jersey Revenue 5.647%   11/1/40 15,253   22,555  
  Port Authority of New York & New Jersey Revenue 5.310%   8/1/46 5,000   5,590  
  Port Authority of New York & New Jersey Revenue 4.926%   10/1/51 25,005   36,113  
  Port Authority of New York & New Jersey Revenue 4.458%   10/1/62 35,940   49,839  
  Port Authority of New York & New Jersey Revenue 3.287%   8/1/69 29,094   32,608  
  Rutgers State University New Jersey Revenue 3.915%   5/1/19 48,580   64,340  
  Sacramento CA Municipal Utility District Revenue 6.156%   5/15/36 857   1,190  
  Sales Tax Securitization Corp. Illinois Revenue 4.637%   1/1/40 15,870   18,696  
  Sales Tax Securitization Corp. Illinois Revenue 3.587%   1/1/43 36,460   38,936  
  Sales Tax Securitization Corp. Illinois Revenue 4.787%   1/1/48 4,990   6,387  
  San Antonio TX Electric & Gas Systems Revenue 5.985%   2/1/39 10,450   15,810  
  San Antonio TX Electric & Gas Systems Revenue 4.427%   2/1/42 1,326   1,719  
  San Diego County CA Regional Airport Authority Revenue 5.594%   7/1/43 758   802  
  San Francisco CA City & County Public Utilities Commission Water Revenue 6.950%   11/1/50 1,326   2,326  
  Sonoma County CA Pension Obligation Revenue 6.000%   12/1/29 453   557  
  Texas Private Activity Surface Transportation Corp. Revenue (NTE Mobility Partners) 3.922%   12/31/49 4,150   4,588  
  University of California Regents Medical Center Revenue 6.548%   5/15/48 16,093   26,286  
  University of California Regents Medical Center Revenue 6.583%   5/15/49 852   1,376  
  University of California Revenue 3.931%   5/15/45 17,840   20,942  
  University of California Revenue 4.601%   5/15/31 2,142   2,632  
  University of California Revenue 5.770%   5/15/43 473   692  
  University of California Revenue 4.858%   5/15/12 32,223   49,529  

 

101

 

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

    Coupon   Maturity
Date		 Face
Amount
($000		 ) Market
Value
($000		 )
  University of California Revenue 4.767%   5/15/15 14,875   22,364  
  University of North Carolina University System Revenue 3.327%   12/1/36 6,730   8,011  
  University of Pittsburgh-of the Commonwealth System of Higher Education 3.555%   9/15/19 14,400   18,081  
  University of Texas System Revenue Financing System Revenue 5.262%   7/1/39 11,500   17,235  
  University of Texas System Revenue Financing System Revenue 4.794%   8/15/46 8,915   12,499  
  University of Virginia Revenue 2.256%   9/1/50 14,605   15,231  
  University of Virginia Revenue 3.227%   9/1/19 35,640   39,913  
  Washington GO 5.481%   8/1/39 852   1,240  
  Wisconsin Annual Appropriation Revenue 3.954%   5/1/36 3,364   3,709  
9 Wisconsin GO 5.700%   5/1/26 1,828   2,101  
Total Taxable Municipal Bonds (Cost $1,472,854)   1,992,267  

 

     
Shares

Temporary Cash Investments (3.5%)              
Money Market Fund (2.0%)              
12 Vanguard Market Liquidity Fund 0.194%   4,281,175   428,118  
                 
          Face
Amount
($000		 )    
Repurchase Agreements (1.5%)  
 

Bank of America Securities, LLC

(Dated 7/31/20, Repurchased Value $78,601,000, collateralized by Federal National Mortgage Assn. 2.000%-6.000%, 10/1/28-8/1/50, and Federal Home Loan Mortgage Corp. 2.350%-5.500%, 4/1/23-3/1/50, with a value of $80,172,000)

 0.100%   8/3/20 78,600   78,600  
 

Barclays Capital Inc.

(Dated 7/31/20, Repurchased Value $90,201,000, collateralized by U.S. Treasury Note/Bond 2.625%, 6/15/21, with a value of $90,004,000)

 0.070%   8/3/20 90,200   90,200  
 

Citigroup Global Markets Inc.

(Dated 7/31/20, Repurchased Value $55,100,000, collateralized by U.S. Treasury Bill/Note/Bond 0.000%-1.125%, 9/29/20-6/30/21, with a value of $56,202,000)

 0.070%   8/3/20 55,100   55,100  
 

RBC Capital Markets LLC

(Dated 7/31/20, Repurchased Value $53,300,000, collateralized by Federal National Mortgage Assn. 2.500%-5.500%, 7/1/28-5/1/58, with a value of $54,366,000)

 0.080%   8/3/20 53,300   53,300  
 

Wells Fargo & Co.

(Dated 7/31/20, Repurchased Value $57,701,000, collateralized by U.S. Treasury Note/Bond 2.375%-2.500%, 5/15/46-11/15/49, with a value of $58,854,000)

 0.100%   8/3/20 57,700   57,700  
    334,900  
Total Temporary Cash Investments (Cost $762,946)   763,018  
Total Investments (99.6%) (Cost $16,841,168)   21,376,305  
Other Assets and Liabilities—Net (0.4%)   76,739  
Net Assets (100%)   21,453,044  
Cost is in $000.  

• See Note A in Notes to Financial Statements.

 

102

 

 

Vanguard® Long-Term Investment-Grade Fund

Schedule of Investments

July 31, 2020

 

1 Securities with a value of $755,000 have been segregated as collateral for open over-the-counter swap contracts.
2 Securities with a value of $157,050,000 have been segregated as initial margin for open centrally cleared swap contracts.
3 Securities with a value of $45,528,000 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 Face amount denominated in British pounds.
6 Face amount denominated in euro.
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 July 31, 2020, the aggregate value of these securities was $786,606,000, representing 3.7% of net assets.
8 Face amount denominated in Mexican pesos.
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.
  GO—General Obligation Bond.
  REMICS—Real Estate Mortgage Investment Conduits.
                       

103

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

© 2020 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

SNA392 092020

 

 

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. In March 2020, a third-party service provider began performing certain administrative and accounting services for Vanguard Real Estate II Index Fund. There were no other significant changes in the 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)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: September 22, 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: September 22, 2020

 

 

  VANGUARD FIXED INCOME SECURITIES FUNDS  
     
BY: /s/ JOHN BENDL*  
  JOHN BENDL  
  CHIEF FINANCIAL OFFICER  

 

Date: September 22, 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.