N-CSRS 1 tm2126779d1_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, 2021—July 31, 2021

 

 

 

 

Item 1: Reports to Shareholders

 

 

 

 

Semiannual Report   |   July 31, 2021
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
Contents
About Your Fund’s Expenses
1
Short-Term Treasury Fund
3
Short-Term Federal Fund
18
Intermediate-Term Treasury Fund
35
Long-Term Treasury Fund
51
Trustees Approve Advisory Arrangements
66
Liquidity Risk Management
68
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, 2021      
  Beginning
Account Value
1/31/2021 		Ending
Account Value
7/31/2021 		Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Treasury Fund      
Investor Shares $1,000.00 $998.70 $0.99
Admiral™ Shares 1,000.00 999.20 0.50
Short-Term Federal Fund      
Investor Shares $1,000.00 $1,001.20 $0.99
Admiral Shares 1,000.00 1,001.70 0.50
Intermediate-Term Treasury Fund      
Investor Shares $1,000.00 $999.60 $0.99
Admiral Shares 1,000.00 1,000.10 0.50
Long-Term Treasury Fund      
Investor Shares $1,000.00 $991.80 $0.99
Admiral Shares 1,000.00 992.30 0.49
Based on Hypothetical 5% Yearly Return      
Short-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Short-Term Federal Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Intermediate-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Long-Term Treasury Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 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 (181/365).
2
Short-Term Treasury Fund
Fund Allocation
As of July 31, 2021
Asset-Backed/Commercial Mortgage-Backed Securities 0.1%
Government Mortgage-Backed Securities 0.8
U.S. Government Securities 99.1
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 Treasury Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (97.3%)
U.S. Government Securities (96.5%)
  U.S. Treasury Note/Bond   1.500%          9/15/22   100,000   101,578
  U.S. Treasury Note/Bond   0.125%          9/30/22    90,000    90,028
  U.S. Treasury Note/Bond   1.875%          9/30/22   150,000   153,070
  U.S. Treasury Note/Bond   1.375%         10/15/22   102,500   104,070
  U.S. Treasury Note/Bond   0.125%         10/31/22   200,000   200,062
  U.S. Treasury Note/Bond   1.875%         10/31/22   195,500   199,807
  U.S. Treasury Note/Bond   2.000%         10/31/22   175,000   179,102
  U.S. Treasury Note/Bond   1.625%         11/15/22   185,500   189,094
  U.S. Treasury Note/Bond   2.000%         11/30/22   135,500   138,887
  U.S. Treasury Note/Bond   0.125%         12/31/22   125,000   125,000
  U.S. Treasury Note/Bond   2.125%         12/31/22    77,300    79,474
  U.S. Treasury Note/Bond   1.500%          2/28/23   145,500   148,615
  U.S. Treasury Note/Bond   0.500%          3/15/23    50,000    50,289
  U.S. Treasury Note/Bond   0.125%          3/31/23   200,000   199,906
  U.S. Treasury Note/Bond   0.250%          4/15/23   300,000   300,516
  U.S. Treasury Note/Bond   0.125%          4/30/23   275,000   274,828
  U.S. Treasury Note/Bond   2.750%          4/30/23    16,500    17,245
  U.S. Treasury Note/Bond   1.750%          5/15/23   100,000   102,828
  U.S. Treasury Note/Bond   0.125%          5/31/23   200,000   199,844
  U.S. Treasury Note/Bond   1.625%          5/31/23   250,000   256,641
  U.S. Treasury Note/Bond   0.250%          6/15/23   375,000   375,527
  U.S. Treasury Note/Bond   0.125%          6/30/23   250,000   249,805
  U.S. Treasury Note/Bond   1.375%          6/30/23   173,500   177,485
  U.S. Treasury Note/Bond   2.750%          7/31/23    20,800    21,863
  U.S. Treasury Note/Bond   0.125%          9/15/23   100,000    99,828
  U.S. Treasury Note/Bond   1.375%          9/30/23   150,000   153,750
  U.S. Treasury Note/Bond   0.125%         10/15/23    25,000    24,949
  U.S. Treasury Note/Bond   2.875%         10/31/23    20,000    21,184
  U.S. Treasury Note/Bond   0.125%         12/15/23   150,000   149,578
  U.S. Treasury Note/Bond   2.250%         12/31/23   150,000   157,219
  U.S. Treasury Note/Bond   0.125%          1/15/24    93,700    93,407
  U.S. Treasury Note/Bond   2.250%          1/31/24    78,500    82,376
  U.S. Treasury Note/Bond   2.750%          2/15/24    40,500    43,044
  U.S. Treasury Note/Bond   2.125%          2/29/24    84,600    88,632
  U.S. Treasury Note/Bond   2.125%          3/31/24   100,000   104,859
  U.S. Treasury Note/Bond   0.375%          4/15/24   100,000   100,203
  U.S. Treasury Note/Bond   2.000%          4/30/24   210,000   219,712
  U.S. Treasury Note/Bond   2.250%          4/30/24   215,000   226,422
4
Short-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  U.S. Treasury Note/Bond   2.000%          5/31/24   185,000   193,730
1 U.S. Treasury Note/Bond   1.750%          6/30/24   155,000   161,345
  U.S. Treasury Note/Bond   2.000%          6/30/24   170,000   178,208
  U.S. Treasury Note/Bond   1.750%          7/31/24    90,000    93,783
  U.S. Treasury Note/Bond   2.125%          7/31/24   133,000   140,045
  U.S. Treasury Note/Bond   2.375%          8/15/24    85,000    90,180
  U.S. Treasury Note/Bond   1.250%          8/31/24   110,000   112,956
  U.S. Treasury Note/Bond   1.875%          8/31/24   100,000   104,609
  U.S. Treasury Note/Bond   1.500%          9/30/24    70,000    72,461
  U.S. Treasury Note/Bond   2.250%         10/31/24    12,427    13,169
  U.S. Treasury Note/Bond   1.500%         11/30/24   125,000   129,492
  U.S. Treasury Note/Bond   2.250%         12/31/24    13,145    13,954
  U.S. Treasury Note/Bond   1.375%          1/31/25    90,000    92,883
  U.S. Treasury Note/Bond   2.000%          2/15/25    90,900    95,800
  U.S. Treasury Note/Bond   1.125%          2/28/25   100,000   102,344
  U.S. Treasury Note/Bond   2.125%          5/15/25    15,000    15,909
  U.S. Treasury Note/Bond   0.250%          5/31/25    87,000    86,116
  U.S. Treasury Note/Bond   0.250%          6/30/25    15,000    14,836
  U.S. Treasury Note/Bond   2.750%          6/30/25    87,000    94,477
  U.S. Treasury Note/Bond   2.000%          8/15/25    60,000    63,469
  U.S. Treasury Note/Bond   2.750%          8/31/25    35,000    38,101
  U.S. Treasury Note/Bond   0.250%          9/30/25    16,000    15,788
  U.S. Treasury Note/Bond   0.250%         10/31/25    24,000    23,659
  U.S. Treasury Note/Bond   0.375%         12/31/25   100,000    98,969
  U.S. Treasury Note/Bond   0.375%          1/31/26    80,000    79,100
                   7,626,110
Conventional Mortgage-Backed Securities (0.0%)
2,3 Freddie Mac Gold Pool   6.000%   10/1/27–4/1/28        31        36
Nonconventional Mortgage-Backed Securities (0.8%)
2,3 Fannie Mae REMICS   1.750%          4/25/44     1,892     1,941
2,3 Fannie Mae REMICS   2.250% 10/25/43–6/25/44     5,090     5,239
2,3 Fannie Mae REMICS   2.500% 5/25/48–12/25/49     2,786     2,882
2,3 Fannie Mae REMICS   3.000% 2/25/44–12/25/48    11,042    11,753
2,3 Fannie Mae REMICS   4.000%         12/25/46     5,295     5,523
2,3 Freddie Mac REMICS   1.750%          4/15/43     2,539     2,586
2,3 Freddie Mac REMICS   2.250%  6/15/44–9/25/49     3,412     3,508
2,3 Freddie Mac REMICS   2.500%         12/25/49     1,273     1,328
2,3 Freddie Mac REMICS   3.500%         12/25/49     3,125     3,343
2,3 Freddie Mac Strips   3.000%          6/15/42     2,985     3,166
2 Ginnie Mae   2.500%          9/20/49     2,704     2,805
2 Ginnie Mae   2.750%  1/20/46–3/20/46     5,155     5,250
2 Ginnie Mae   3.000% 8/20/44–12/20/47    14,010    14,355
2 Ginnie Mae   4.000%         10/20/47     1,261     1,343
                   65,022
Total U.S. Government and Agency Obligations (Cost $7,682,642) 7,691,168
Asset-Backed/Commercial Mortgage-Backed Securities (0.1%)
2 U.S. Small Business Administration Class 1 Series 2002-20L   5.100%          12/1/22       148       152
2 U.S. Small Business Administration Class 1 Series 2004-20F   5.520%           6/1/24       344       363
2 U.S. Small Business Administration Class 1 Series 2004-20G   5.190%           7/1/24       148       156
2 U.S. Small Business Administration Class 1 Series 2007-20G   5.820%           7/1/27       703       777
5
Short-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 U.S. Small Business Administration Class 1 Series 2007-20I   5.560%           9/1/27     3,650     4,025
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $5,155) 5,473
          Shares  
Temporary Cash Investments (1.9%)
Money Market Fund (1.9%)
4 Vanguard Market Liquidity Fund (Cost $146,655)   0.064%                   1,466,547          146,655
Total Investments (99.3%) (Cost $7,834,452) 7,843,296
Other Assets and Liabilities—Net (0.7%) 56,361
Net Assets (100%) 7,899,657
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $1,346,000 have been segregated as initial margin for open futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4 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.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2021 1,390 306,712 258
 
Short Futures Contracts        
10-Year U.S. Treasury Note September 2021 (950) (127,730) (2,513)
5-Year U.S. Treasury Note September 2021 (1,580) (196,624) 21
Ultra 10-Year U.S. Treasury Note September 2021 (19) (2,855) (68)
        (2,560)
        (2,302)
  
See accompanying Notes, which are an integral part of the Financial Statements.
6
Short-Term Treasury Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $7,687,797) 7,696,641
Affiliated Issuers (Cost $146,655) 146,655
Total Investments in Securities 7,843,296
Investment in Vanguard 270
Cash 150
Receivables for Investment Securities Sold 202,234
Receivables for Accrued Income 24,783
Receivables for Capital Shares Issued 12,024
Other Assets 130
Total Assets 8,082,887
Liabilities  
Payables for Investment Securities Purchased 178,078
Payables for Capital Shares Redeemed 4,313
Payables for Distributions 342
Payables to Vanguard 375
Variation Margin Payable—Futures Contracts 122
Total Liabilities 183,230
Net Assets 7,899,657
At July 31, 2021, net assets consisted of:  
   
Paid-in Capital 7,897,171
Total Distributable Earnings (Loss) 2,486
Net Assets 7,899,657
 
Investor Shares—Net Assets  
Applicable to 61,192,208 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		655,626
Net Asset Value Per Share—Investor Shares $10.71
 
Admiral Shares—Net Assets  
Applicable to 676,115,088 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		7,244,031
Net Asset Value Per Share—Admiral Shares $10.71
  
See accompanying Notes, which are an integral part of the Financial Statements.
7
Short-Term Treasury Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 25,271
Total Income 25,271
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 461
Management and Administrative—Investor Shares 542
Management and Administrative—Admiral Shares 2,902
Marketing and Distribution—Investor Shares 56
Marketing and Distribution—Admiral Shares 274
Custodian Fees 41
Shareholders’ Reports—Investor Shares 34
Shareholders’ Reports—Admiral Shares 51
Trustees’ Fees and Expenses 3
Total Expenses 4,364
Net Investment Income 20,907
Realized Net Gain (Loss)  
Investment Securities Sold1 (1,588)
Futures Contracts 8,189
Options Purchased (725)
Options Written (5,223)
Realized Net Gain (Loss) 653
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (20,156)
Futures Contracts (4,876)
Options Purchased 31
Options Written (35)
Change in Unrealized Appreciation (Depreciation) (25,036)
Net Increase (Decrease) in Net Assets Resulting from Operations (3,476)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $54,000, $0, 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.
8
Short-Term Treasury Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 20,907   65,386
Realized Net Gain (Loss) 653   258,260
Change in Unrealized Appreciation (Depreciation) (25,036)   (34,555)
Net Increase (Decrease) in Net Assets Resulting from Operations (3,476)   289,091
Distributions      
Investor Shares (2,952)   (14,913)
Admiral Shares (35,920)   (173,458)
Total Distributions (38,872)   (188,371)
Capital Share Transactions      
Investor Shares (41,401)   36,739
Admiral Shares (535,025)   (517,391)
Net Increase (Decrease) from Capital Share Transactions (576,426)   (480,652)
Total Increase (Decrease) (618,774)   (379,932)
Net Assets      
Beginning of Period 8,518,431   8,898,363
End of Period 7,899,657   8,518,431
  
See accompanying Notes, which are an integral part of the Financial Statements.
9
Short-Term Treasury Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.77 $10.64 $10.48 $10.49 $10.65 $10.73
Investment Operations            
Net Investment Income .0231 .0701 .2451 .2271 .1271 .094
Net Realized and Unrealized Gain (Loss) on Investments (.036) .286 .160 (.009) (.160) (.048)
Total from Investment Operations (.013) .356 .405 .218 (.033) .046
Distributions            
Dividends from Net Investment Income (.023) (.070) (.245) (.228) (.127) (.094)
Distributions from Realized Capital Gains (.024) (.156) — — — (.032)
Total Distributions (.047) (.226) (.245) (.228) (.127) (.126)
Net Asset Value, End of Period $10.71 $10.77 $10.64 $10.48 $10.49 $10.65
Total Return2 -0.13% 3.35% 3.91% 2.11% -0.31% 0.43%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $656 $701 $655 $671 $737 $900
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 0.43% 0.64% 2.30% 2.18% 1.20% 0.87%
Portfolio Turnover Rate3 135% 357% 340% 282% 280% 249%
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 Includes 3%, 57%, 5%, 37%, 7%, and 3%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
10
Short-Term Treasury Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.77 $10.64 $10.48 $10.49 $10.65 $10.73
Investment Operations            
Net Investment Income .0281 .0791 .2541 .2381 .1381 .105
Net Realized and Unrealized Gain (Loss) on Investments (.036) .288 .162 (.010) (.160) (.048)
Total from Investment Operations (.008) .367 .416 .228 (.022) .057
Distributions            
Dividends from Net Investment Income (.028) (.081) (.256) (.238) (.138) (.105)
Distributions from Realized Capital Gains (.024) (.156) — — — (.032)
Total Distributions (.052) (.237) (.256) (.238) (.138) (.137)
Net Asset Value, End of Period $10.71 $10.77 $10.64 $10.48 $10.49 $10.65
Total Return2 -0.08% 3.46% 4.01% 2.21% -0.21% 0.53%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7,244 $7,818 $8,243 $7,385 $7,044 $6,805
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 0.53% 0.73% 2.40% 2.28% 1.30% 0.97%
Portfolio Turnover Rate3 135% 357% 340% 282% 280% 249%
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 Includes 3%, 57%, 5%, 37%, 7%, and 3%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
11
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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
12
Short-Term Treasury Fund
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 8% 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. Counterparty risk involving options on futures contracts 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 contracts 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period. The fund had no open options contracts on futures at July 31, 2021.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
13
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 also 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.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate 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
14
Short-Term Treasury Fund
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, 2021, 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, 2021, the fund had contributed to Vanguard capital in the amount of $270,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
15
Short-Term Treasury Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 7,691,168 — 7,691,168
Asset-Backed/Commercial Mortgage-Backed Securities — 5,473 — 5,473
Temporary Cash Investments 146,655 — — 146,655
Total 146,655 7,696,641 — 7,843,296
Derivative Financial Instruments         
Assets        
Futures Contracts1 279 — — 279
Liabilities        
Futures Contracts1 2,581 — — 2,581
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of July 31, 2021, 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 7,836,238
Gross Unrealized Appreciation 11,764
Gross Unrealized Depreciation (7,008)
Net Unrealized Appreciation (Depreciation) 4,756
E. During the six months ended July 31, 2021, the fund purchased $10,842,235,000 of investment securities and sold $11,536,029,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 83,893 7,816   502,974 46,442
Issued in Lieu of Cash Distributions 2,752 256   13,876 1,285
Redeemed (128,046) (11,932)   (480,111) (44,212)
Net Increase (Decrease)—Investor Shares (41,401) (3,860)   36,739 3,515
16
Short-Term Treasury Fund
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Admiral Shares          
Issued 755,083 70,382   4,620,655 426,251
Issued in Lieu of Cash Distributions 31,564 2,944   152,189 14,096
Redeemed (1,321,672) (123,157)   (5,290,235) (489,007)
Net Increase (Decrease)—Admiral Shares (535,025) (49,831)   (517,391) (48,660)
G. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
17
Short-Term Federal Fund
Fund Allocation
As of July 31, 2021
Agency Bonds and Notes 29.8%
Asset-Backed/Commercial Mortgage-Backed Securities 2.0
Government Mortgage-Backed Securities 11.3
Sovereign Bonds 0.1
U.S. Government Securities 56.8
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.
18
Short-Term Federal Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (99.0%)
U.S. Government Securities (57.4%)
  U.S. Treasury Note/Bond   0.125%           9/30/22 1,687,000 1,687,527
  U.S. Treasury Note/Bond   0.125%           3/31/23   550,000   549,742
  U.S. Treasury Note/Bond   0.125%           2/15/24   439,563   438,052
  U.S. Treasury Note/Bond   0.375%           4/15/24   605,000   606,229
  U.S. Treasury Note/Bond   1.375%           1/31/25   165,000   170,285
  U.S. Treasury Note/Bond   0.250%           7/31/25    50,000    49,422
  U.S. Treasury Note/Bond   0.250%          10/31/25    40,000    39,431
  U.S. Treasury Note/Bond   0.375%          11/30/25   522,200   517,223
  U.S. Treasury Note/Bond   0.375%          12/31/25   103,930   102,858
  U.S. Treasury Note/Bond   0.375%           1/31/26   270,000   266,963
  U.S. Treasury Note/Bond   0.750%           3/31/26    90,000    90,422
  U.S. Treasury Note/Bond   0.875%           6/30/26    21,135    21,330
  U.S. Treasury Note/Bond   0.500%           8/31/27     2,320     2,269
  U.S. Treasury Note/Bond   0.375%           9/30/27    14,700    14,254
1 U.S. Treasury Note/Bond   0.500%          10/31/27   247,000   241,057
  U.S. Treasury Note/Bond   1.125%           2/29/28     3,810     3,855
  U.S. Treasury Note/Bond   1.250%           4/30/28    29,300    29,840
  U.S. Treasury Note/Bond   1.625%           5/15/31     9,800    10,160
                   4,840,919
Agency Bonds and Notes (30.1%)
2 Fannie Mae Interest Strip   0.000%          11/15/25    72,402    70,331
2 Fannie Mae Interest Strip   0.000%           5/15/26    68,711    66,140
2,3 Fannie Mae Interest Strip   0.000%          10/25/40     7,614     7,235
2 Fannie Mae Principal Strip   0.000%           1/15/30    63,400    56,274
2 Fannie Mae Principal Strip   0.000%           5/15/30   174,215   153,505
2 Fannie Mae Principal Strip   0.000%          11/15/30     7,000     6,079
  Federal Farm Credit Banks Funding Corp.   0.125%          11/23/22    37,000    37,008
  Federal Farm Credit Banks Funding Corp.   0.680%            3/9/26   275,000   273,600
  Federal Home Loan Mortgage Corp.   0.250%           11/6/23   100,000   100,016
  Federal Home Loan Mortgage Corp.   1.500%           2/12/25   136,000   140,929
  Federal Home Loan Mortgage Corp.   0.640%          11/24/25   174,650   174,146
  Federal Home Loan Mortgage Corp.   0.700%          12/30/25   194,850   194,479
2 Federal National Mortgage Association   0.500%           6/17/25   110,000   109,819
2 Federal National Mortgage Association   0.375%           8/25/25   130,000   128,888
2 Federal National Mortgage Association   0.650%          12/17/25   138,500   138,102
2 Federal National Mortgage Association   0.650%          12/17/25   180,495   179,977
2 Freddie Mac Coupon Strips   0.000%           3/15/31     4,455     3,827
2 Freddie Mac Strips   0.000%           9/15/29    23,050    20,605
19
Short-Term Federal Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Freddie Mac Strips   0.000%           3/15/31    21,820    18,780
  Private Export Funding Corp.   4.300%          12/15/21     4,430     4,493
  Private Export Funding Corp.   3.550%           1/15/24     8,700     9,357
  Private Export Funding Corp.   1.400%           7/15/28    41,000    41,518
  Resolution Funding Corp. Interest Strip   0.000%           4/15/28     1,890     1,757
  Resolution Funding Corp. Interest Strip   0.000%           1/15/29     3,169     2,889
  Resolution Funding Corp. Interest Strip   0.000%           7/15/29    33,485    30,241
  Resolution Funding Corp. Interest Strip   0.000%          10/15/29    15,108    13,545
  Resolution Funding Corp. Interest Strip   0.000%           1/15/30     4,155     3,685
  Resolution Funding Corp. Principal Strip   0.000%           1/15/30   374,796   332,397
  Resolution Funding Corp. Principal Strip   0.000%           4/15/30   227,307   200,528
  Tennessee Valley Authority Principal Strip   0.000%           11/1/25    17,342    16,836
                   2,536,986
Conventional Mortgage-Backed Securities (8.8%)
2,3 Freddie Mac Gold Pool   2.000%     9/1/28–6/1/30     3,442     3,584
2,3 Freddie Mac Gold Pool   2.500%    6/1/22–10/1/31    11,077    11,671
2,3 Freddie Mac Gold Pool   3.000%    11/1/29–3/1/31    15,479    16,339
2,3 Freddie Mac Gold Pool   3.500%    10/1/25–8/1/29     6,205     6,662
2,3 Freddie Mac Gold Pool   4.000%     5/1/24–1/1/29     2,267     2,404
2,3 Freddie Mac Gold Pool   4.500%     8/1/22–9/1/26     1,689     1,773
2,3 Freddie Mac Gold Pool   5.000%    12/1/21–6/1/25       366       381
2,3,4 UMBS Pool   1.500%           9/16/36   226,500   230,464
2,3,4 UMBS Pool   2.000%   10/1/27–9/16/36   288,077   298,581
2,3 UMBS Pool   2.500%     2/1/28–9/1/31    45,765    48,049
2,3 UMBS Pool   3.000%    8/1/27–12/1/35    93,565    98,687
2,3 UMBS Pool   3.500%     3/1/22–5/1/30    15,271    16,285
2,3 UMBS Pool   4.000%    8/1/21–12/1/28     3,202     3,377
2,3 UMBS Pool   4.500%   11/1/22–10/1/25       270       283
2,3 UMBS Pool   5.000%     5/1/22–6/1/25       267       275
2,3 UMBS Pool   5.500%    11/1/21–1/1/25        17        16
                   738,831
Nonconventional Mortgage-Backed Securities (2.7%)
2,3 Fannie Mae REMICS   1.750%           4/25/44     5,977     6,133
2,3 Fannie Mae REMICS   2.000%          12/25/44     3,112     3,193
2,3 Fannie Mae REMICS   2.100%           4/25/43     2,280     2,319
2,3 Fannie Mae REMICS   2.250%   7/25/43–6/25/44    15,445    15,894
2,3 Fannie Mae REMICS   2.500%   6/25/40–1/25/50    25,248    26,211
2,3 Fannie Mae REMICS   3.000%   2/25/44–9/25/49    29,274    30,886
2,3 Fannie Mae REMICS   3.500% 11/25/45–10/25/48    13,084    13,791
2,3 Fannie Mae REMICS   4.000%          12/25/46     2,803     2,924
2,3 Fannie Mae REMICS   5.250%           9/25/41     3,131     3,505
2,3 Freddie Mac REMICS   1.500%          10/15/42     6,135     6,203
2,3 Freddie Mac REMICS   1.750%           4/15/43    10,614    10,809
2,3 Freddie Mac REMICS   2.250%   6/15/43–9/25/49    10,999    11,292
2,3 Freddie Mac REMICS   2.500% 10/25/49–12/25/49    18,723    19,596
2,3 Freddie Mac REMICS   2.750%  1/15/46–10/25/49     3,339     3,505
2,3 Freddie Mac REMICS   3.000% 10/15/45–12/15/47     5,784     5,983
2,3 Freddie Mac REMICS   3.500%          12/25/49     7,000     7,488
2,3 Freddie Mac Strips   3.000%           6/15/42     6,015     6,380
3,5 Ginnie Mae   2.035%          12/20/42     3,564     3,704
3 Ginnie Mae   2.500%           9/20/49     6,253     6,487
3 Ginnie Mae   2.750%   1/20/46–3/20/46    11,167    11,370
3 Ginnie Mae   3.000%   3/20/41–3/20/48    22,024    22,748
3 Ginnie Mae   3.500%   4/20/48–2/20/49     6,921     7,446
20
Short-Term Federal Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 Ginnie Mae   4.000%          10/20/47       679       723
                   228,590
Total U.S. Government and Agency Obligations (Cost $8,331,201) 8,345,326
Asset-Backed/Commercial Mortgage-Backed Securities (2.0%)
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K037   0.943%           1/25/24    60,177     1,207
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K043   0.523%          12/25/24    19,958       321
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K053   0.883%          12/25/25    10,133       346
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K054   1.166%           1/25/26   118,139     5,445
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K055   1.358%           3/25/26     3,840       211
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K057   1.175%           7/25/26   136,019     6,814
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K058   0.923%           8/25/26     6,803       283
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series K065   0.670%           4/25/27    35,971     1,259
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series KG02   1.018%           8/25/29    16,000     1,115
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series KG04   0.854%          11/25/30    10,995       753
2,3,5,6 Freddie Mac Multifamily Structured Pass Through Certificates Class X1 Series KG05   0.312%           1/25/31   114,000     3,149
3 U.S. Small Business Administration Class 1 Series 2002-20L   5.100%           12/1/22        91        94
3 U.S. Small Business Administration Class 1 Series 2004-20F   5.520%            6/1/24       315       334
3 U.S. Small Business Administration Class 1 Series 2004-20G   5.190%            7/1/24        91        96
3 U.S. Small Business Administration Class 1 Series 2005-20A   4.860%            1/1/25        96       101
3 U.S. Small Business Administration Class 1 Series 2005-20B   4.625%            2/1/25        54        57
3 U.S. Small Business Administration Class 1 Series 2005-20C   4.950%            3/1/25        39        42
3 U.S. Small Business Administration Class 1 Series 2005-20G   4.750%            7/1/25        27        29
3 U.S. Small Business Administration Class 1 Series 2007-20G   5.820%            7/1/27       431       476
3 U.S. Small Business Administration Class 1 Series 2007-20I   5.560%            9/1/27     2,250     2,481
3 U.S. Small Business Administration Class 1 Series 2007-20L   5.290%           12/1/27        29        32
3 U.S. Small Business Administration Class 1 Series 2008-20B   5.160%            2/1/28        70        77
3 U.S. Small Business Administration Class 1 Series 2008-20C   5.490%            3/1/28        64        71
3 U.S. Small Business Administration Class 1 Series 2008-20D   5.370%            4/1/28       153       167
3 U.S. Small Business Administration Class 1 Series 2008-20F   5.680%            6/1/28        43        47
3 U.S. Small Business Administration Class 1 Series 2008-20H   6.020%            8/1/28        50        56
21
Short-Term Federal Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
3 U.S. Small Business Administration Class 1 Series 2008-20J   5.630%           10/1/28        63        69
3 U.S. Small Business Administration Class 1 Series 2009-20A   5.720%            1/1/29        37        41
3 U.S. Small Business Administration Class 1 Series 2010-20H   3.520%            8/1/30       105       114
3 U.S. Small Business Administration Class 1 Series 2011-20B   4.220%            2/1/31       200       219
3 U.S. Small Business Administration Class 1 Series 2011-20H   3.290%            8/1/31        53        57
3 U.S. Small Business Administration Class 1 Series 2012-20I   2.200%            9/1/32        38        39
3 U.S. Small Business Administration Class 1 Series 2013-20G   3.150%            7/1/33        54        58
3 U.S. Small Business Administration Class 1 Series 2013-20K   3.380%           11/1/33        70        76
3 U.S. Small Business Administration Class 1 Series 2018-20B   3.220%            2/1/38    16,744    18,408
3 U.S. Small Business Administration Class 1 Series 2018-20D   3.310%            4/1/38    24,563    27,129
3 U.S. Small Business Administration Class 1 Series 2018-20E   3.500%            5/1/38     6,776     7,545
3 U.S. Small Business Administration Class 1 Series 2018-20F   3.600%            6/1/38    12,285    13,728
3 U.S. Small Business Administration Class 1 Series 2018-20J   3.770%           10/1/38    23,431    26,442
3 U.S. Small Business Administration Class 1 Series 2018-20K   3.870%           11/1/38    13,550    15,290
3 U.S. Small Business Administration Class 1 Series 2018-20L   3.540%           12/1/38    17,621    19,639
3 U.S. Small Business Administration Class 1 Series 2018-25F   3.670%           12/1/43     1,978     2,220
3 U.S. Small Business Administration Class 1 Series 2019-20A   3.370%            1/1/39     7,377     8,168
3 U.S. Small Business Administration Class 1 Series 2019-20C   3.200%            3/1/39     7,819     8,586
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $156,297) 172,891
Sovereign Bonds (0.1%)
7 State of Israel (Cost $6,254)   0.000%           11/1/24     6,905          6,707
22
Short-Term Federal Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (4.7%)
Money Market Fund (4.7%)
8 Vanguard Market Liquidity Fund (Cost $391,672)   0.064%                    3,916,761          391,676
Total Investments (105.8%) (Cost $8,885,424) 8,916,600
Other Assets and Liabilities—Net (-5.8%) (488,029)
Net Assets (100%) 8,428,571
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $29,280,000 have been segregated as initial margin for open futures contracts.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
5 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
6 Interest-only security.
7 U.S. government-guaranteed.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2021 1,313 289,722 221
 
Short Futures Contracts        
10-Year U.S. Treasury Note September 2021 (4,684) (629,778) (11,447)
5-Year U.S. Treasury Note September 2021 (8,064) (1,003,527) (7,771)
Long U.S. Treasury Bond September 2021 (86) (14,166) (740)
Ultra 10-Year U.S. Treasury Note September 2021 (5,248) (788,512) (30,272)
Ultra Long U.S. Treasury Bond September 2021 (9) (1,796) (127)
        (50,357)
        (50,136)
  
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Federal Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $8,493,752) 8,524,924
Affiliated Issuers (Cost $391,672) 391,676
Total Investments in Securities 8,916,600
Investment in Vanguard 285
Cash 811
Receivables for Investment Securities Sold 627,995
Receivables for Accrued Income 11,261
Receivables for Capital Shares Issued 38,401
Other Assets 111
Total Assets 9,595,464
Liabilities  
Payables for Investment Securities Purchased 1,154,740
Payables for Capital Shares Redeemed 7,914
Payables for Distributions 465
Payables to Vanguard 399
Variation Margin Payable—Futures Contracts 3,375
Total Liabilities 1,166,893
Net Assets 8,428,571
At July 31, 2021, net assets consisted of:  
   
Paid-in Capital 8,364,047
Total Distributable Earnings (Loss) 64,524
Net Assets 8,428,571
 
Investor Shares—Net Assets  
Applicable to 66,620,389 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		730,167
Net Asset Value Per Share—Investor Shares $10.96
 
Admiral Shares—Net Assets  
Applicable to 702,402,084 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		7,698,404
Net Asset Value Per Share—Admiral Shares $10.96
  
See accompanying Notes, which are an integral part of the Financial Statements.
24
Short-Term Federal Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 31,080
Total Income 31,080
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 308
Management and Administrative—Investor Shares 617
Management and Administrative—Admiral Shares 3,195
Marketing and Distribution—Investor Shares 47
Marketing and Distribution—Admiral Shares 178
Custodian Fees 50
Shareholders’ Reports—Investor Shares 30
Shareholders’ Reports—Admiral Shares 47
Trustees’ Fees and Expenses 2
Total Expenses 4,474
Net Investment Income 26,606
Realized Net Gain (Loss)  
Investment Securities Sold1 23,128
Futures Contracts 85,912
Options Purchased (527)
Options Written 379
Realized Net Gain (Loss) 108,892
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (51,482)
Futures Contracts (68,813)
Change in Unrealized Appreciation (Depreciation) (120,295)
Net Increase (Decrease) in Net Assets Resulting from Operations 15,203
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $487,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25
Short-Term Federal Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 26,606   80,150
Realized Net Gain (Loss) 108,892   102,324
Change in Unrealized Appreciation (Depreciation) (120,295)   44,479
Net Increase (Decrease) in Net Assets Resulting from Operations 15,203   226,953
Distributions      
Investor Shares (4,975)   (10,838)
Admiral Shares (54,041)   (98,386)
Total Distributions (59,016)   (109,224)
Capital Share Transactions      
Investor Shares (33,014)   130,437
Admiral Shares 458,309   2,804,847
Net Increase (Decrease) from Capital Share Transactions 425,295   2,935,284
Total Increase (Decrease) 381,482   3,053,013
Net Assets      
Beginning of Period 8,047,089   4,994,076
End of Period 8,428,571   8,047,089
  
See accompanying Notes, which are an integral part of the Financial Statements.
26
Short-Term Federal Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.02 $10.79 $10.57 $10.55 $10.70 $10.79
Investment Operations            
Net Investment Income .0301 .1251 .2461 .2081 .1421 .116
Net Realized and Unrealized Gain (Loss) on Investments (.016) .274 .221 .021 (.144) (.063)
Total from Investment Operations .014 .399 .467 .229 (.002) .053
Distributions            
Dividends from Net Investment Income (.030) (.127) (.247) (.209) (.142) (.116)
Distributions from Realized Capital Gains (.044) (.042) — — (.006) (.027)
Total Distributions (.074) (.169) (.247) (.209) (.148) (.143)
Net Asset Value, End of Period $10.96 $11.02 $10.79 $10.57 $10.55 $10.70
Total Return2 0.12% 3.71% 4.46% 2.20% -0.02% 0.49%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $730 $767 $623 $622 $719 $827
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 0.56% 1.14% 2.30% 1.98% 1.33% 1.07%
Portfolio Turnover Rate3 199% 663% 499% 327% 211% 304%
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 Includes 50%, 180%, 32%, 90%, 30%, and 38%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
27
Short-Term Federal Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.02 $10.79 $10.57 $10.55 $10.70 $10.79
Investment Operations            
Net Investment Income .0361 .1301 .2571 .2191 .1531 .127
Net Realized and Unrealized Gain (Loss) on Investments (.017) .280 .220 .020 (.144) (.063)
Total from Investment Operations .019 .410 .477 .239 .009 .064
Distributions            
Dividends from Net Investment Income (.035) (.138) (.257) (.219) (.153) (.127)
Distributions from Realized Capital Gains (.044) (.042) — — (.006) (.027)
Total Distributions (.079) (.180) (.257) (.219) (.159) (.154)
Net Asset Value, End of Period $10.96 $11.02 $10.79 $10.57 $10.55 $10.70
Total Return2 0.17% 3.81% 4.56% 2.30% 0.08% 0.59%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7,698 $7,280 $4,371 $3,963 $4,239 $4,819
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 0.66% 1.19% 2.40% 2.08% 1.43% 1.17%
Portfolio Turnover Rate3 199% 663% 499% 327% 211% 304%
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 Includes 50%, 180%, 32%, 90%, 30%, and 38%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
28
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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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.
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
29
Short-Term Federal Fund
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 5% and 26% 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. Counterparty risk involving options on futures contracts 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 contracts 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period. The fund had no open options contracts on futures at July 31, 2021.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
30
Short-Term Federal Fund
At July 31, 2021, counterparties had deposited in segregated accounts cash with a value of $3,098,000 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 also 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.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate rate agreed to by the fund and Vanguard.
31
Short-Term Federal 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, 2021, 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, 2021, the fund had contributed to Vanguard capital in the amount of $285,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
32
Short-Term Federal Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 8,345,326 — 8,345,326
Asset-Backed/Commercial Mortgage-Backed Securities — 172,891 — 172,891
Sovereign Bonds — 6,707 — 6,707
Temporary Cash Investments 391,676 — — 391,676
Total 391,676 8,524,924 — 8,916,600
Derivative Financial Instruments         
Assets        
Futures Contracts1 221 — — 221
Liabilities        
Futures Contracts1 50,357 — — 50,357
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of July 31, 2021, 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 8,893,650
Gross Unrealized Appreciation 41,433
Gross Unrealized Depreciation (68,619)
Net Unrealized Appreciation (Depreciation) (27,186)
E. During the six months ended July 31, 2021, the fund purchased $16,393,065,000 of investment securities and sold $15,193,048,000 of investment securities, other than temporary cash investments.
33
Short-Term Federal Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 135,382 12,336   541,122 49,278
Issued in Lieu of Cash Distributions 4,404 403   9,577 872
Redeemed (172,800) (15,747)   (420,262) (38,267)
Net Increase (Decrease)—Investor Shares (33,014) (3,008)   130,437 11,883
Admiral Shares          
Issued 1,998,838 182,199   5,382,618 490,282
Issued in Lieu of Cash Distributions 47,373 4,329   86,834 7,902
Redeemed (1,587,902) (144,801)   (2,664,605) (242,718)
Net Increase (Decrease)—Admiral Shares 458,309 41,727   2,804,847 255,466
G. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
34
Intermediate-Term Treasury Fund
Fund Allocation
As of July 31, 2021
Agency Bonds and Notes 3.7%
Asset-Backed/Commercial Mortgage-Backed Securities 2.7
Government Mortgage-Backed Securities 0.4
Sovereign Bonds 0.7
U.S. Government Securities 92.5
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.
35
Intermediate-Term Treasury Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (96.1%)
U.S. Government Securities (92.1%)
  U.S. Treasury Note/Bond   2.625%        12/31/23    39,000    41,224
  U.S. Treasury Note/Bond   2.125%         2/29/24    31,000    32,477
  U.S. Treasury Note/Bond   2.375%         2/29/24    39,500    41,623
  U.S. Treasury Note/Bond   2.125%         3/31/24    54,000    56,624
  U.S. Treasury Note/Bond   2.250%         4/30/24    46,200    48,654
  U.S. Treasury Note/Bond   2.000%         6/30/24    34,500    36,166
  U.S. Treasury Note/Bond   1.250%         8/31/24     6,600     6,777
  U.S. Treasury Note/Bond   1.875%         8/31/24    70,000    73,227
  U.S. Treasury Note/Bond   1.500%         9/30/24    82,600    85,504
  U.S. Treasury Note/Bond   2.125%         9/30/24    69,000    72,784
  U.S. Treasury Note/Bond   2.250%        10/31/24    47,700    50,547
  U.S. Treasury Note/Bond   2.250%        11/15/24    20,200    21,412
  U.S. Treasury Note/Bond   1.500%        11/30/24   102,500   106,184
  U.S. Treasury Note/Bond   1.750%        12/31/24    30,000    31,345
  U.S. Treasury Note/Bond   2.250%        12/31/24    26,400    28,025
  U.S. Treasury Note/Bond   2.000%         2/15/25   167,500   176,529
  U.S. Treasury Note/Bond   1.125%         2/28/25   209,130   214,031
  U.S. Treasury Note/Bond   2.750%         2/28/25   122,400   132,345
  U.S. Treasury Note/Bond   2.625%         3/31/25    45,300    48,825
  U.S. Treasury Note/Bond   0.375%         4/30/25    75,500    75,146
  U.S. Treasury Note/Bond   2.125%         5/15/25   121,600   128,972
  U.S. Treasury Note/Bond   0.250%         5/31/25    41,700    41,277
  U.S. Treasury Note/Bond   0.250%         6/30/25    73,200    72,399
  U.S. Treasury Note/Bond   0.250%         7/31/25   157,300   155,481
  U.S. Treasury Note/Bond   2.875%         7/31/25    74,100    80,931
  U.S. Treasury Note/Bond   2.000%         8/15/25    30,600    32,369
  U.S. Treasury Note/Bond   0.250%         8/31/25   130,800   129,165
  U.S. Treasury Note/Bond   2.750%         8/31/25    43,600    47,463
  U.S. Treasury Note/Bond   0.250%         9/30/25   101,400   100,053
  U.S. Treasury Note/Bond   0.250%        10/31/25   108,000   106,464
  U.S. Treasury Note/Bond   2.250%        11/15/25    49,000    52,453
  U.S. Treasury Note/Bond   0.375%        11/30/25   121,100   119,946
  U.S. Treasury Note/Bond   2.875%        11/30/25    44,000    48,283
  U.S. Treasury Note/Bond   0.375%        12/31/25    75,800    75,018
  U.S. Treasury Note/Bond   0.375%         1/31/26   162,300   160,474
  U.S. Treasury Note/Bond   1.625%         2/15/26    60,684    63,377
  U.S. Treasury Note/Bond   6.000%         2/15/26    17,000    21,083
  U.S. Treasury Note/Bond   0.500%         2/28/26   129,400   128,591
36
Intermediate-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  U.S. Treasury Note/Bond   0.750%         3/31/26    21,000    21,098
  U.S. Treasury Note/Bond   2.250%         3/31/26     7,450     7,999
  U.S. Treasury Note/Bond   2.375%         4/30/26    64,000    69,130
  U.S. Treasury Note/Bond   1.625%         5/15/26    90,300    94,364
  U.S. Treasury Note/Bond   0.750%         5/31/26    70,000    70,241
  U.S. Treasury Note/Bond   2.125%         5/31/26   110,300   117,918
  U.S. Treasury Note/Bond   1.875%         6/30/26    39,900    42,194
  U.S. Treasury Note/Bond   1.875%         7/31/26    36,000    38,087
  U.S. Treasury Note/Bond   1.500%         8/15/26   147,000   152,765
  U.S. Treasury Note/Bond   1.625%         9/30/26   136,400   142,666
  U.S. Treasury Note/Bond   2.000%        11/15/26   155,100   165,206
  U.S. Treasury Note/Bond   6.500%        11/15/26     5,000     6,491
  U.S. Treasury Note/Bond   2.250%         2/15/27   150,000   161,953
  U.S. Treasury Note/Bond   6.625%         2/15/27     7,000     9,216
  U.S. Treasury Note/Bond   1.125%         2/28/27    19,100    19,458
  U.S. Treasury Note/Bond   2.375%         5/15/27    34,000    37,002
  U.S. Treasury Note/Bond   2.250%         8/15/27    73,900    79,997
  U.S. Treasury Note/Bond   0.500%        10/31/27    66,000    64,412
  U.S. Treasury Note/Bond   2.250%        11/15/27    49,500    53,615
  U.S. Treasury Note/Bond   6.125%        11/15/27    14,000    18,489
  U.S. Treasury Note/Bond   0.625%        11/30/27   120,800   118,686
  U.S. Treasury Note/Bond   0.625%        12/31/27    75,500    74,108
  U.S. Treasury Note/Bond   0.750%         1/31/28    80,600    79,668
  U.S. Treasury Note/Bond   2.750%         2/15/28   143,500   160,092
  U.S. Treasury Note/Bond   1.125%         2/29/28    36,640    37,075
  U.S. Treasury Note/Bond   1.250%         3/31/28   118,900   121,148
  U.S. Treasury Note/Bond   1.250%         4/30/28    33,700    34,321
  U.S. Treasury Note/Bond   2.875%         5/15/28   109,700   123,515
  U.S. Treasury Note/Bond   1.250%         6/30/28    50,000    50,867
  U.S. Treasury Note/Bond   2.875%         8/15/28   184,700   208,336
  U.S. Treasury Note/Bond   5.500%         8/15/28    10,000    13,075
  U.S. Treasury Note/Bond   3.125%        11/15/28   203,500   233,516
  U.S. Treasury Note/Bond   5.250%        11/15/28    19,500    25,320
  U.S. Treasury Note/Bond   2.625%         2/15/29   127,900   142,449
  U.S. Treasury Note/Bond   5.250%         2/15/29    10,000    13,047
  U.S. Treasury Note/Bond   2.375%         5/15/29    16,500    18,096
  U.S. Treasury Note/Bond   1.500%         2/15/30    23,500    24,187
1 U.S. Treasury Note/Bond   0.625%         5/15/30    67,250    64,213
  U.S. Treasury Note/Bond   0.625%         8/15/30   114,200   108,740
  U.S. Treasury Note/Bond   0.875%        11/15/30   126,400   122,806
  U.S. Treasury Note/Bond   1.125%         2/15/31   113,500   112,578
                   6,201,392
Agency Bonds and Notes (3.7%)
2 Fannie Mae Interest Strip   0.000%         5/15/29    18,875    17,017
2 Fannie Mae Principal Strip   0.000%         1/15/30    16,000    14,202
2 Fannie Mae Principal Strip   0.000%         5/15/30    55,682    49,063
2 Fannie Mae Principal Strip   0.000%        11/15/30     6,000     5,210
2 Freddie Mac Strips   0.000%         3/15/31    28,909    24,882
  Private Export Funding Corp.   4.300%        12/15/21     4,150     4,209
  Private Export Funding Corp.   3.550%         1/15/24    10,300    11,078
  Private Export Funding Corp.   1.400%         7/15/28    34,000    34,429
  Resolution Funding Corp. Interest Strip   0.000%         4/15/28     2,260     2,100
  Resolution Funding Corp. Principal Strip   0.000%         4/15/30    98,000    86,455
                   248,645
37
Intermediate-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Nonconventional Mortgage-Backed Securities (0.3%)
2,3 Fannie Mae REMICS   1.750% 5/25/43–4/25/44     3,630     3,714
2,3 Fannie Mae REMICS   2.250%        10/25/43     4,136     4,259
2,3 Fannie Mae REMICS   2.500%         9/25/49     3,410     3,572
2,3 Fannie Mae REMICS   3.000%         2/25/43       136       140
2,3 Fannie Mae REMICS   3.500%         6/25/48     3,175     3,316
2,3 Freddie Mac REMICS   3.500%         6/15/38     1,388     1,404
3 Ginnie Mae   2.750%         1/20/46     1,862     1,896
3 Ginnie Mae   3.000% 8/20/46–2/20/48     2,455     2,583
3 Ginnie Mae   3.500% 6/20/48–2/20/49     2,452     2,677
                   23,561
Total U.S. Government and Agency Obligations (Cost $6,404,457) 6,473,598
Asset-Backed/Commercial Mortgage-Backed Securities (2.7%)
3 U.S. Small Business Administration Class 1 Series 2018-20B   3.220%          2/1/38    20,734    22,795
3 U.S. Small Business Administration Class 1 Series 2018-20D   3.310%          4/1/38    30,370    33,543
3 U.S. Small Business Administration Class 1 Series 2018-20E   3.500%          5/1/38     8,282     9,221
3 U.S. Small Business Administration Class 1 Series 2018-20F   3.600%          6/1/38    14,589    16,302
3 U.S. Small Business Administration Class 1 Series 2018-20J   3.770%         10/1/38    27,606    31,153
3 U.S. Small Business Administration Class 1 Series 2018-20K   3.870%         11/1/38    17,232    19,444
3 U.S. Small Business Administration Class 1 Series 2018-20L   3.540%         12/1/38    22,586    25,173
3 U.S. Small Business Administration Class 1 Series 2018-25F   3.670%         12/1/43     2,322     2,607
3 U.S. Small Business Administration Class 1 Series 2019-20A   3.370%          1/1/39     9,184    10,168
3 U.S. Small Business Administration Class 1 Series 2019-20C   3.200%          3/1/39     9,643    10,589
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $162,633) 180,995
Sovereign Bonds (0.7%)
4 State of Israel (Cost $45,714)   0.000%         11/1/24    50,000          48,564
38
Intermediate-Term Treasury Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (2.2%)
Money Market Fund (2.2%)
5 Vanguard Market Liquidity Fund (Cost $145,407)   0.064%                  1,454,072          145,407
Total Investments (101.7%) (Cost $6,758,211) 6,848,564
Other Assets and Liabilities—Net (-1.7%) (112,119)
Net Assets (100%) 6,736,445
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $2,557,000 have been segregated as initial margin for open futures contracts.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 U.S. government-guaranteed.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  REMICS—Real Estate Mortgage Investment Conduits.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
5-Year U.S. Treasury Note September 2021 723 89,974 76
Ultra 10-Year U.S. Treasury Note September 2021 682 102,471 502
        578
Short Futures Contracts        
10-Year U.S. Treasury Note September 2021 (1,002) (134,722) (1,825)
2-Year U.S. Treasury Note September 2021 (1,003) (221,318) (147)
Ultra Long U.S. Treasury Bond September 2021 (14) (2,793) 27
        (1,945)
        (1,367)
  
See accompanying Notes, which are an integral part of the Financial Statements.
39
Intermediate-Term Treasury Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $6,612,804) 6,703,157
Affiliated Issuers (Cost $145,407) 145,407
Total Investments in Securities 6,848,564
Investment in Vanguard 229
Cash 184
Receivables for Investment Securities Sold 107,478
Receivables for Accrued Income 34,047
Receivables for Capital Shares Issued 3,527
Variation Margin Receivable—Futures Contracts 369
Other Assets 67
Total Assets 6,994,465
Liabilities  
Payables for Investment Securities Purchased 252,090
Payables for Capital Shares Redeemed 4,607
Payables for Distributions 990
Payables to Vanguard 333
Total Liabilities 258,020
Net Assets 6,736,445
At July 31, 2021, net assets consisted of:  
   
Paid-in Capital 6,686,345
Total Distributable Earnings (Loss) 50,100
Net Assets 6,736,445
 
Investor Shares—Net Assets  
Applicable to 74,757,143 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		864,731
Net Asset Value Per Share—Investor Shares $11.57
 
Admiral Shares—Net Assets  
Applicable to 507,617,846 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		5,871,714
Net Asset Value Per Share—Admiral Shares $11.57
  
See accompanying Notes, which are an integral part of the Financial Statements.
40
Intermediate-Term Treasury Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 39,558
Total Income 39,558
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 361
Management and Administrative—Investor Shares 714
Management and Administrative—Admiral Shares 2,352
Marketing and Distribution—Investor Shares 63
Marketing and Distribution—Admiral Shares 201
Custodian Fees 24
Shareholders’ Reports—Investor Shares 50
Shareholders’ Reports—Admiral Shares 56
Trustees’ Fees and Expenses 3
Total Expenses 3,824
Net Investment Income 35,734
Realized Net Gain (Loss)  
Investment Securities Sold1 (35,886)
Futures Contracts 11,022
Options Purchased (610)
Options Written (4,394)
Realized Net Gain (Loss) (29,868)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (5,008)
Futures Contracts (5,248)
Options Purchased 27
Options Written (30)
Change in Unrealized Appreciation (Depreciation) (10,259)
Net Increase (Decrease) in Net Assets Resulting from Operations (4,393)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $17,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
41
Intermediate-Term Treasury Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 35,734   82,483
Realized Net Gain (Loss) (29,868)   392,594
Change in Unrealized Appreciation (Depreciation) (10,259)   (113,488)
Net Increase (Decrease) in Net Assets Resulting from Operations (4,393)   361,589
Distributions      
Investor Shares (5,806)   (45,250)
Admiral Shares (41,192)   (296,030)
Total Distributions (46,998)   (341,280)
Capital Share Transactions      
Investor Shares (81,301)   30,081
Admiral Shares (321,015)   771,609
Net Increase (Decrease) from Capital Share Transactions (402,316)   801,690
Total Increase (Decrease) (453,707)   821,999
Net Assets      
Beginning of Period 7,190,152   6,368,153
End of Period 6,736,445   7,190,152
  
See accompanying Notes, which are an integral part of the Financial Statements.
42
Intermediate-Term Treasury Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.65 $11.57 $10.96 $10.88 $11.11 $11.51
Investment Operations            
Net Investment Income .0551 .1291 .2551 .2601 .1981 .177
Net Realized and Unrealized Gain (Loss) on Investments (.061) .507 .611 .081 (.230) (.271)
Total from Investment Operations (.006) .636 .866 .341 (.032) (.094)
Distributions            
Dividends from Net Investment Income (.055) (.127) (.256) (.261) (.198) (.177)
Distributions from Realized Capital Gains (.019) (.429) — — — (.129)
Total Distributions (.074) (.556) (.256) (.261) (.198) (.306)
Net Asset Value, End of Period $11.57 $11.65 $11.57 $10.96 $10.88 $11.11
Total Return2 -0.04% 5.50% 7.98% 3.20% -0.31% -0.84%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $865 $953 $917 $837 $967 $1,185
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 0.97% 1.07% 2.27% 2.42% 1.78% 1.53%
Portfolio Turnover Rate3 127% 309% 214% 231% 181% 152%
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 Includes 3%, 37%, 5%, 35%, 6% and 3%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
43
Intermediate-Term Treasury Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.65 $11.57 $10.96 $10.88 $11.11 $11.51
Investment Operations            
Net Investment Income .0611 .1391 .2671 .2721 .2101 .188
Net Realized and Unrealized Gain (Loss) on Investments (.061) .509 .610 .080 (.230) (.271)
Total from Investment Operations — .648 .877 .352 (.020) (.083)
Distributions            
Dividends from Net Investment Income (.061) (.139) (.267) (.272) (.210) (.188)
Distributions from Realized Capital Gains (.019) (.429) — — — (.129)
Total Distributions (.080) (.568) (.267) (.272) (.210) (.317)
Net Asset Value, End of Period $11.57 $11.65 $11.57 $10.96 $10.88 $11.11
Total Return2 0.01% 5.60% 8.09% 3.30% -0.21% -0.74%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $5,872 $6,237 $5,452 $4,976 $5,100 $5,190
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 1.07% 1.16% 2.37% 2.52% 1.88% 1.63%
Portfolio Turnover Rate3 127% 309% 214% 231% 181% 152%
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 Includes 3%, 37%, 5%, 35%, 6% and 3%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
44
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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
45
Intermediate-Term Treasury Fund
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 8% and 6% 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. Counterparty risk involving options on futures contracts 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 contracts 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period. The fund had no open options contracts on futures at July 31, 2021.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
46
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 also 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.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate 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
47
Intermediate-Term Treasury Fund
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, 2021, 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, 2021, the fund had contributed to Vanguard capital in the amount of $229,000, representing less than 0.01% of the fund’s net assets and 0.09% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
48
Intermediate-Term Treasury Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 6,473,598 — 6,473,598
Asset-Backed/Commercial Mortgage-Backed Securities — 180,995 — 180,995
Sovereign Bonds — 48,564 — 48,564
Temporary Cash Investments 145,407 — — 145,407
Total 145,407 6,703,157 — 6,848,564
Derivative Financial Instruments         
Assets        
Futures Contracts1 605 — — 605
Liabilities        
Futures Contracts1 1,972 — — 1,972
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of July 31, 2021, 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 6,764,300
Gross Unrealized Appreciation 103,774
Gross Unrealized Depreciation (20,877)
Net Unrealized Appreciation (Depreciation) 82,897
E. During the six months ended July 31, 2021, the fund purchased $8,641,998,000 of investment securities and sold $9,380,104,000 of investment securities, other than temporary cash investments.
49
Intermediate-Term Treasury Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 71,300 6,210   430,736 35,860
Issued in Lieu of Cash Distributions 5,380 471   42,262 3,591
Redeemed (157,981) (13,781)   (442,917) (36,819)
Net Increase (Decrease)—Investor Shares (81,301) (7,100)   30,081 2,632
Admiral Shares          
Issued 747,210 65,184   2,920,648 242,850
Issued in Lieu of Cash Distributions 34,230 2,995   249,608 21,208
Redeemed (1,102,455) (96,145)   (2,398,647) (199,657)
Net Increase (Decrease)—Admiral Shares (321,015) (27,966)   771,609 64,401
G. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
50
Long-Term Treasury Fund
Fund Allocation
As of July 31, 2021
Agency Bonds and Notes 6.3%
Government Mortgage-Backed Securities 0.5
U.S. Government Securities 93.2
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.
51
Long-Term Treasury Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (97.8%)
U.S. Government Securities (91.1%)
  U.S. Treasury Note/Bond   1.250%         4/30/28  12,300    12,527
  U.S. Treasury Note/Bond   0.625%         5/15/30   1,700     1,623
  U.S. Treasury Note/Bond   1.125%         2/15/31  22,000    21,821
  U.S. Treasury Note/Bond   4.500%         2/15/36  39,100    54,899
  U.S. Treasury Note/Bond   4.750%         2/15/37  14,000    20,344
  U.S. Treasury Note/Bond   5.000%         5/15/37  15,000    22,378
  U.S. Treasury Note/Bond   4.375%         2/15/38  16,122    22,762
  U.S. Treasury Note/Bond   4.500%         5/15/38  11,000    15,761
  U.S. Treasury Note/Bond   4.250%         5/15/39  29,600    41,588
  U.S. Treasury Note/Bond   4.500%         8/15/39  16,667    24,117
  U.S. Treasury Note/Bond   4.375%        11/15/39  48,000    68,580
  U.S. Treasury Note/Bond   4.625%         2/15/40  24,700    36,394
  U.S. Treasury Note/Bond   1.125%         5/15/40  94,050    84,057
  U.S. Treasury Note/Bond   1.125%         8/15/40  90,300    80,438
  U.S. Treasury Note/Bond   3.875%         8/15/40   9,791    13,230
  U.S. Treasury Note/Bond   1.375%        11/15/40 100,900    93,790
  U.S. Treasury Note/Bond   1.875%         2/15/41 143,800   145,508
  U.S. Treasury Note/Bond   4.375%         5/15/41  20,863    30,114
  U.S. Treasury Note/Bond   3.750%         8/15/41  33,170    44,334
  U.S. Treasury Note/Bond   3.125%        11/15/41   4,300     5,280
  U.S. Treasury Note/Bond   3.125%         2/15/42  33,000    40,575
  U.S. Treasury Note/Bond   3.000%         5/15/42  15,000    18,098
  U.S. Treasury Note/Bond   2.750%         8/15/42  18,500    21,500
  U.S. Treasury Note/Bond   2.750%        11/15/42  56,000    65,074
  U.S. Treasury Note/Bond   3.125%         2/15/43  20,111    24,752
  U.S. Treasury Note/Bond   2.875%         5/15/43  63,446    75,224
  U.S. Treasury Note/Bond   3.625%         8/15/43  57,264    75,893
  U.S. Treasury Note/Bond   3.750%        11/15/43  20,557    27,790
  U.S. Treasury Note/Bond   3.125%         8/15/44  54,849    67,901
  U.S. Treasury Note/Bond   3.000%        11/15/44  55,251    67,095
  U.S. Treasury Note/Bond   2.500%         2/15/45 105,900   118,443
  U.S. Treasury Note/Bond   3.000%         5/15/45  91,705   111,709
  U.S. Treasury Note/Bond   2.875%         8/15/45  40,963    48,919
  U.S. Treasury Note/Bond   3.000%        11/15/45  13,600    16,613
  U.S. Treasury Note/Bond   2.500%         2/15/46  77,795    87,203
  U.S. Treasury Note/Bond   2.500%         5/15/46  66,810    74,952
  U.S. Treasury Note/Bond   2.250%         8/15/46  68,500    73,391
  U.S. Treasury Note/Bond   2.875%        11/15/46  85,969   103,230
52
Long-Term Treasury Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  U.S. Treasury Note/Bond   3.000%         2/15/47  73,198    89,942
  U.S. Treasury Note/Bond   3.000%         5/15/47  48,636    59,830
  U.S. Treasury Note/Bond   2.750%         8/15/47 124,117   146,187
  U.S. Treasury Note/Bond   2.750%        11/15/47  95,690   112,809
  U.S. Treasury Note/Bond   3.000%         2/15/48 115,804   142,837
  U.S. Treasury Note/Bond   3.125%         5/15/48  51,162    64,552
  U.S. Treasury Note/Bond   3.000%         8/15/48 114,533   141,537
  U.S. Treasury Note/Bond   3.375%        11/15/48 110,061   145,366
  U.S. Treasury Note/Bond   3.000%         2/15/49 120,420   149,245
1 U.S. Treasury Note/Bond   2.875%         5/15/49 120,761   146,499
  U.S. Treasury Note/Bond   2.250%         8/15/49 112,500   120,955
  U.S. Treasury Note/Bond   2.375%        11/15/49  92,400   102,073
  U.S. Treasury Note/Bond   2.000%         2/15/50 106,000   108,137
  U.S. Treasury Note/Bond   1.250%         5/15/50  43,600    37,108
  U.S. Treasury Note/Bond   1.375%         8/15/50 100,797    88,544
  U.S. Treasury Note/Bond   1.625%        11/15/50  60,012    56,101
  U.S. Treasury Note/Bond   1.875%         2/15/51  18,700    18,560
  U.S. Treasury Note/Bond   2.375%         5/15/51   3,400     3,772
                   3,691,961
Agency Bonds and Notes (6.2%)
2 Fannie Mae Interest Strip   0.000%         5/15/29   4,592     4,140
2 Fannie Mae Principal Strip   0.000%         5/15/30  60,829    53,598
2 Fannie Mae Principal Strip   0.000%          8/6/38   1,000       707
  Federal Home Loan Mortgage Corp.   0.000%        12/14/29  20,000    17,773
2 Federal National Mortgage Association   0.000%        11/15/30  55,000    47,717
2 Federal National Mortgage Association   0.000%         10/3/33   8,000     6,467
2 Freddie Mac Coupon Strips   0.000%         3/15/28   1,771     1,639
2 Freddie Mac Coupon Strips   0.000%         9/15/28   1,000       914
2 Freddie Mac Coupon Strips   0.000%         1/15/30  15,658    13,898
2 Freddie Mac Coupon Strips   0.000%         3/15/30  12,896    11,410
2 Freddie Mac Strips   0.000%         3/15/31  75,000    64,552
  Resolution Funding Corp. Interest Strip   0.000%         4/15/28   8,702     8,088
  Resolution Funding Corp. Principal Strip   0.000%         1/15/30  20,000    17,737
                   248,640
Conventional Mortgage-Backed Securities (0.0%)
2,3 UMBS Pool   6.000%  2/1/26–11/1/28       5         6
Nonconventional Mortgage-Backed Securities (0.5%)
2,3 Fannie Mae REMICS   3.000%         2/25/44   2,070     2,223
2,3 Fannie Mae REMICS   3.500%         4/25/43  13,342    14,885
3 Ginnie Mae   3.000%         8/20/46     200       217
3 Ginnie Mae   3.500% 6/20/48–2/20/49   1,984     2,165
3 Ginnie Mae   4.000%        10/20/47     582       620
                   20,110
Total U.S. Government and Agency Obligations (Cost $3,670,436) 3,960,717
53
Long-Term Treasury Fund
      Coupon   Shares Market
Value•

($000)
Temporary Cash Investments (1.7%)
Money Market Fund (1.7%)
4 Vanguard Market Liquidity Fund (Cost $70,106)   0.064%                  701,063          70,106
Total Investments (99.5%) (Cost $3,740,542) 4,030,823
Other Assets and Liabilities—Net (0.5%) 20,154
Net Assets (100%) 4,050,977
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $9,728,000 have been segregated as initial margin for open futures contracts.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 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.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2021 4 883 1
Long U.S. Treasury Bond September 2021 688 113,327 5,276
Ultra Long U.S. Treasury Bond September 2021 1,558 310,870 19,994
        25,271
Short Futures Contracts        
10-Year U.S. Treasury Note September 2021 (864) (116,168) (1,965)
5-Year U.S. Treasury Note September 2021 (825) (102,667) 7
Ultra 10-Year U.S. Treasury Note September 2021 (1,617) (242,954) (9,540)
        (11,498)
        13,773
  
See accompanying Notes, which are an integral part of the Financial Statements.
54
Long-Term Treasury Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,670,436) 3,960,717
Affiliated Issuers (Cost $70,106) 70,106
Total Investments in Securities 4,030,823
Investment in Vanguard 134
Cash 1
Receivables for Accrued Income 29,697
Receivables for Capital Shares Issued 1,230
Variation Margin Receivable—Futures Contracts 808
Other Assets 39
Total Assets 4,062,732
Liabilities  
Payables for Investment Securities Purchased 7,623
Payables for Capital Shares Redeemed 3,203
Payables for Distributions 716
Payables to Vanguard 213
Total Liabilities 11,755
Net Assets 4,050,977
At July 31, 2021, net assets consisted of:  
   
Paid-in Capital 3,912,117
Total Distributable Earnings (Loss) 138,860
Net Assets 4,050,977
 
Investor Shares—Net Assets  
Applicable to 65,137,457 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		842,622
Net Asset Value Per Share—Investor Shares $12.94
 
Admiral Shares—Net Assets  
Applicable to 248,017,207 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,208,355
Net Asset Value Per Share—Admiral Shares $12.94
  
See accompanying Notes, which are an integral part of the Financial Statements.
55
Long-Term Treasury Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 41,099
Total Income 41,099
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 236
Management and Administrative—Investor Shares 631
Management and Administrative—Admiral Shares 1,156
Marketing and Distribution—Investor Shares 64
Marketing and Distribution—Admiral Shares 116
Custodian Fees 17
Shareholders’ Reports—Investor Shares 61
Shareholders’ Reports—Admiral Shares 43
Trustees’ Fees and Expenses 2
Total Expenses 2,326
Net Investment Income 38,773
Realized Net Gain (Loss)  
Investment Securities Sold1 (85,439)
Futures Contracts (40,648)
Options Purchased (339)
Options Written (2,457)
Realized Net Gain (Loss) (128,883)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 22,805
Futures Contracts 25,130
Options Purchased 16
Options Written (18)
Change in Unrealized Appreciation (Depreciation) 47,933
Net Increase (Decrease) in Net Assets Resulting from Operations (42,177)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $13,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
56
Long-Term Treasury Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 38,773   85,062
Realized Net Gain (Loss) (128,883)   471,651
Change in Unrealized Appreciation (Depreciation) 47,933   (303,886)
Net Increase (Decrease) in Net Assets Resulting from Operations (42,177)   252,827
Distributions      
Investor Shares (30,347)   (96,568)
Admiral Shares (113,197)   (336,034)
Total Distributions (143,544)   (432,602)
Capital Share Transactions      
Investor Shares (45,046)   (10,665)
Admiral Shares 58,422   371,560
Net Increase (Decrease) from Capital Share Transactions 13,376   360,895
Total Increase (Decrease) (172,345)   181,120
Net Assets      
Beginning of Period 4,223,322   4,042,202
End of Period 4,050,977   4,223,322
  
See accompanying Notes, which are an integral part of the Financial Statements.
57
Long-Term Treasury Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $13.55 $14.05 $11.86 $11.96 $11.79 $12.80
Investment Operations            
Net Investment Income .1201 .2731 .3311 .3341 .3281 .332
Net Realized and Unrealized Gain (Loss) on Investments (.273) .677 2.226 (.100) .170 (.725)
Total from Investment Operations (.153) .950 2.557 .234 .498 (.393)
Distributions            
Dividends from Net Investment Income (.120) (.273) (.331) (.334) (.328) (.332)
Distributions from Realized Capital Gains (.337) (1.177) (.036) — — (.285)
Total Distributions (.457) (1.450) (.367) (.334) (.328) (.617)
Net Asset Value, End of Period $12.94 $13.55 $14.05 $11.86 $11.96 $11.79
Total Return2 -0.82% 6.41% 21.84% 2.05% 4.21% -3.21%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $843 $931 $971 $794 $882 $995
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 1.94% 1.79% 2.55% 2.89% 2.70% 2.53%
Portfolio Turnover Rate3 52% 172% 96%4 122% 103%4 94%
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 Includes 2%, 26%, 4%, 34%, 6%, and 3%, respectively, attributable to mortgage-dollar-roll activity.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
See accompanying Notes, which are an integral part of the Financial Statements.
58
Long-Term Treasury Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $13.55 $14.05 $11.86 $11.96 $11.79 $12.80
Investment Operations            
Net Investment Income .1261 .2881 .3441 .3461 .3401 .345
Net Realized and Unrealized Gain (Loss) on Investments (.273) .677 2.226 (.100) .170 (.725)
Total from Investment Operations (.147) .965 2.570 .246 .510 (.380)
Distributions            
Dividends from Net Investment Income (.126) (.288) (.344) (.346) (.340) (.345)
Distributions from Realized Capital Gains (.337) (1.177) (.036) — — (.285)
Total Distributions (.463) (1.465) (.380) (.346) (.340) (.630)
Net Asset Value, End of Period $12.94 $13.55 $14.05 $11.86 $11.96 $11.79
Total Return2 -0.77% 6.51% 21.96% 2.16% 4.32% -3.12%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,208 $3,292 $3,071 $2,532 $2,588 $2,509
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 2.04% 1.89% 2.65% 2.99% 2.80% 2.63%
Portfolio Turnover Rate3 52% 172% 96%4 122% 103%4 94%
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 Includes 2%, 26%, 4%, 34%, 6%, and 3%, respectively, attributable to mortgage-dollar-roll activity.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
See accompanying Notes, which are an integral part of the Financial Statements.
59
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. 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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been 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.
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 13% and 13% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
60
Long-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. Counterparty risk involving options on futures contracts 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 contracts 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period. The fund had no open options contracts on futures at July 31, 2021.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
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
61
Long-Term Treasury Fund
by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also 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.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate 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.
62
Long-Term Treasury Fund
For the six months ended July 31, 2021, 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. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. 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, 2021, the fund had contributed to Vanguard capital in the amount of $134,000, representing less than 0.01% of the fund’s net assets and 0.05% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
63
Long-Term Treasury Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 3,960,717 — 3,960,717
Temporary Cash Investments 70,106 — — 70,106
Total 70,106 3,960,717 — 4,030,823
Derivative Financial Instruments         
Assets        
Futures Contracts1 25,278 — — 25,278
Liabilities        
Futures Contracts1 11,505 — — 11,505
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. As of July 31, 2021, 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 3,772,644
Gross Unrealized Appreciation 330,994
Gross Unrealized Depreciation (59,042)
Net Unrealized Appreciation (Depreciation) 271,952
E. During the six months ended July 31, 2021, the fund purchased $2,027,716,000 of investment securities and sold $2,336,731,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 82,904 6,616   482,372 31,459
Issued in Lieu of Cash Distributions 28,671 2,402   90,861 6,323
Redeemed (156,621) (12,608)   (583,898) (38,201)
Net Increase (Decrease)—Investor Shares (45,046) (3,590)   (10,665) (419)
64
Long-Term Treasury Fund
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Admiral Shares          
Issued 563,584 45,340   1,745,042 113,843
Issued in Lieu of Cash Distributions 101,814 8,528   299,458 20,883
Redeemed (606,976) (48,826)   (1,672,940) (110,393)
Net Increase (Decrease)—Admiral Shares 58,422 5,042   371,560 24,333
G. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
65
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 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 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.
66
Cost
The board concluded that each fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that each fund’s advisory 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.
67
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 January 1, 2020, through December 31, 2020 (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.
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Q322 092021

 

 

Semiannual Report   |   July 31, 2021
Vanguard Corporate Bond Funds
Vanguard Short-Term Investment-Grade Fund
Vanguard Intermediate-Term Investment-Grade Fund
Vanguard Long-Term Investment-Grade Fund
Contents
About Your Fund’s Expenses
1
Short-Term Investment-Grade Fund
3
Intermediate-Term Investment-Grade Fund
38
Long-Term Investment-Grade Fund
67
Trustees Approve Advisory Arrangements
93
Liquidity Risk Management
95
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, 2021      
  Beginning
Account Value
1/31/2021 		Ending
Account Value
7/31/2021 		Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,005.10 $0.99
Admiral™ Shares 1,000.00 1,005.60 0.50
Institutional Shares 1,000.00 1,005.80 0.35
Intermediate-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,009.60 $1.00
Admiral Shares 1,000.00 1,010.10 0.50
Long-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,017.00 $1.10
Admiral Shares 1,000.00 1,017.50 0.60
Based on Hypothetical 5% Yearly Return      
Short-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Institutional Shares 1,000.00 1,024.45 0.35
Intermediate-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 0.50
Long-Term Investment-Grade Fund      
Investor Shares $1,000.00 $1,023.70 $1.10
Admiral Shares 1,000.00 1,024.20 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; and 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 (181/365).
2
Short-Term Investment-Grade Fund
Fund Allocation
As of July 31, 2021
Asset-Backed/Commercial Mortgage-Backed Securities 8.2%
Common Stocks 0.1
Corporate Bonds - Communications 5.6
Corporate Bonds - Consumer Discretionary 5.2
Corporate Bonds - Consumer Staples 3.3
Corporate Bonds - Energy 7.7
Corporate Bonds - Financials 28.2
Corporate Bonds - Health Care 7.3
Corporate Bonds - Industrials 5.4
Corporate Bonds - Materials 2.2
Corporate Bonds - Real Estate 3.5
Corporate Bonds - Technology 4.6
Corporate Bonds - Utilities 4.0
Sovereign Bonds 3.0
Taxable Municipal Bonds 0.0
U.S. Government and Agency Obligations 11.7
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.
3
Short-Term Investment-Grade Fund
Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of July 31, 2021
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000) 		Percentage
of Net
Assets
U.S. Government and Agency Obligations
U.S. Government Securities                  
  U.S. Treasury Note/Bond        0.750%          3/31/26   850,000    853,984   1.1%
  U.S. Treasury Note/Bond1        0.375%          1/31/26   850,000    840,438   1.1%
  U.S. Treasury Note/Bond1        0.125%         12/15/23   800,000    797,750   1.0%
  U.S. Treasury Note/Bond        0.375%          4/15/24   600,000    601,219   0.8%
  U.S. Treasury Note/Bond1        0.250%         10/31/25   600,000    591,469   0.8%
  U.S. Treasury Note/Bond        0.125%         10/31/22   500,000    500,156   0.7%
  U.S. Treasury Note/Bond        0.125%         11/30/22   500,000    500,078   0.7%
  U.S. Treasury Note/Bond2        0.125%         12/31/22   500,000    500,000   0.6%
  U.S. Treasury Note/Bond        0.125%          1/31/23   500,000    499,922   0.6%
  U.S. Treasury Note/Bond        0.125%          2/28/23   500,000    499,844   0.6%
  U.S. Treasury Note/Bond        0.125%          1/15/24   500,000    498,438   0.6%
  U.S. Treasury Note/Bond        0.625%          7/31/26   500,000    498,221   0.6%
  U.S. Treasury Note/Bond1        0.500%          2/28/26   500,000    496,875   0.6%
  U.S. Treasury Note/Bond3        0.250%          5/15/24   400,000    399,250   0.5%
  U.S. Treasury Note/Bond        1.500%         11/30/24   350,000    362,578   0.5%
  U.S. Treasury Note/Bond1        0.125%         10/15/23   250,000    249,492   0.3%
  U.S. Treasury Note/Bond        0.625%         12/31/27   180,000    176,681   0.2%
  U.S. Treasury Note/Bond        0.875%         11/15/30   100,000     97,156   0.1%
  8,963,551 11.4%
†Nonconventional Mortgage-Backed Securities4,5,6           147,715       0.2%
Total U.S. Government and Agency Obligations (Cost $9,093,602) 9,111,266 11.6%
Asset-Backed/Commercial Mortgage-Backed Securities    
  AmeriCredit Automobile Receivables Trust Class A3 Series 2021-24        0.340%         12/18/26    11,160     11,199   0.0%
4
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  AmeriCredit Automobile Receivables Trust Class D Series 2018-24        4.010%          7/18/24    19,450     20,365   0.0%
  AmeriCredit Automobile Receivables Trust Class D Series 2019-14        3.620%          3/18/25    21,620     22,645   0.1%
  Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS74        3.441%          9/15/48     6,999      7,506   0.0%
  Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK34        3.574%          2/15/50     4,760      5,315   0.0%
  Banc of America Commercial Mortgage Trust Class C Series 2015-UBS74,6        4.358%          9/15/48     1,600      1,602   0.0%
  Banc of America Funding Trust Class 2A2 Series 2006-H4,6        3.132%          9/20/46     5,064      4,061   0.0%
  Bank of America Mortgage Trust Class A2 Series 2002-J4,6        3.601%          9/25/32        14         13   0.0%
  Citigroup Mortgage Loan Trust Class 2A1A Series 2007-AR84,6        2.993%          7/25/37       299        280   0.0%
  Drive Auto Receivables Trust Class C Series 2018-54        3.990%          1/15/25    14,937     15,104   0.0%
  Drive Auto Receivables Trust Class C Series 2020-24        2.280%          8/17/26     5,790      5,945   0.0%
  Drive Auto Receivables Trust Class C Series 2021-14        1.020%          6/15/27    15,990     16,081   0.0%
  Drive Auto Receivables Trust Class D Series 2017-14        3.840%          3/15/23       199        199   0.0%
  Drive Auto Receivables Trust Class D Series 2018-34        4.300%          9/16/24    12,159     12,409   0.0%
  Drive Auto Receivables Trust Class D Series 2018-54        4.300%          4/15/26    26,460     27,487   0.1%
  Drive Auto Receivables Trust Class D Series 2019-24        3.690%          8/17/26    15,870     16,474   0.0%
  Drive Auto Receivables Trust Class D Series 2019-44        2.700%          2/16/27     5,010      5,165   0.0%
  Drive Auto Receivables Trust Class D Series 2020-14        2.700%          5/17/27     5,010      5,149   0.0%
  Drive Auto Receivables Trust Class D Series 2020-24        3.050%          5/15/28     6,160      6,415   0.0%
  GMF Floorplan Owner Revolving Trust Class A Series 2020-24,7        0.690%         10/15/25    46,850     46,999   0.1%
  GMF Floorplan Owner Revolving Trust Class B Series 2020-14,7        1.030%          8/15/25     3,940      3,975   0.0%
  GMF Floorplan Owner Revolving Trust Class B Series 2020-24,7        0.960%         10/15/25     8,220      8,278   0.0%
  GMF Floorplan Owner Revolving Trust Class C Series 2020-14,7        1.480%          8/15/25     3,210      3,254   0.0%
5
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  GMF Floorplan Owner Revolving Trust Class C Series 2020-24,7        1.310%         10/15/25     5,800      5,835   0.0%
  GS Mortgage Securities Corp. II Class A5 Series 2018-GS104,6        4.155%          7/10/51     3,865      4,486   0.0%
  GS Mortgage Securities Trust Class A3 Series 2015-GC344        3.244%         10/10/48     9,961     10,567   0.0%
  GS Mortgage Securities Trust Class A3 Series 2017-GS64        3.433%          5/10/50     2,501      2,776   0.0%
  GS Mortgage Securities Trust Class A4 Series 2013-GC124        3.135%          6/10/46    13,060     13,593   0.0%
  GS Mortgage Securities Trust Class A4 Series 2013-GC144        3.955%          8/10/46    21,631     22,434   0.1%
  GS Mortgage Securities Trust Class A4 Series 2014-GC264        3.364%         11/10/47    19,174     20,288   0.0%
  GS Mortgage Securities Trust Class A4 Series 2015-GC284        3.136%          2/10/48    38,431     40,655   0.1%
  GS Mortgage Securities Trust Class A4 Series 2015-GC304        3.382%          5/10/50    12,225     13,223   0.0%
  GS Mortgage Securities Trust Class A4 Series 2015-GC324        3.764%          7/10/48     4,636      5,097   0.0%
  GS Mortgage Securities Trust Class A4 Series 2015-GC344        3.506%         10/10/48    17,922     19,557   0.0%
  GS Mortgage Securities Trust Class A4 Series 2016-GS34        2.850%         10/10/49    11,930     12,839   0.0%
  GS Mortgage Securities Trust Class A4 Series 2018-GS94,6        3.992%          3/10/51     4,990      5,722   0.0%
  GS Mortgage Securities Trust Class A4 Series 2019-GC404        3.160%          7/10/52     3,920      4,326   0.0%
  GS Mortgage Securities Trust Class A5 Series 2013-GC134,6        4.052%          7/10/46    22,934     24,314   0.1%
  GS Mortgage Securities Trust Class A5 Series 2014-GC204        3.998%          4/10/47    13,757     14,739   0.0%
  GS Mortgage Securities Trust Class A5 Series 2014-GC244        3.931%          9/10/47    33,925     36,860   0.1%
  GS Mortgage Securities Trust Class A5 Series 2014-GC264        3.629%         11/10/47    16,700     18,057   0.0%
  GS Mortgage Securities Trust Class A5 Series 2015-GC284        3.396%          2/10/48    35,733     38,416   0.1%
  GS Mortgage Securities Trust Class AS Series 2012-GC64,7        4.948%          1/10/45     1,000      1,008   0.0%
6
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  GS Mortgage Securities Trust Class AS Series 2014-GC204        4.258%          4/10/47     1,410      1,519   0.0%
  GS Mortgage Securities Trust Class AS Series 2014-GC244,6        4.162%          9/10/47    13,246     14,355   0.0%
  GS Mortgage Securities Trust Class B Series 2013-GC124,6        3.777%          6/10/46     5,350      5,567   0.0%
  GS Mortgage Securities Trust Class B Series 2014-GC244,6        4.515%          9/10/47    10,665     11,161   0.0%
  GS Mortgage Securities Trust Class C Series 2013-GC134,6,7        4.085%          7/10/46     5,650      5,549   0.0%
  GS Mortgage Securities Trust Class C Series 2014-GC244,6        4.536%          9/10/47    17,556     16,666   0.0%
  GS Mortgage Securities Trust Class C Series 2015-GC344,6        4.648%         10/10/48    12,080     12,837   0.0%
  Merrill Lynch Mortgage Investors Trust MLMI Class 2A Series 2003-A44,6        2.444%          7/25/33       224        244   0.0%
  Merrill Lynch Mortgage Investors Trust MLMI Class 2A2 Series 2003-A2, 6M USD LIBOR + 1.500%4,6        1.661%          2/25/33       462        441   0.0%
  Morgan Stanley Capital I Class A4 Series 2017-HR24        3.587%         12/15/50     6,765      7,576   0.0%
  Morgan Stanley Capital I Class ASB Series 2017-HR24        3.509%         12/15/50     5,420      5,916   0.0%
  Morgan Stanley Capital I Trust Class A Series 2014-150E4,7        3.912%           9/9/32    15,955     17,151   0.0%
  Morgan Stanley Capital I Trust Class A Series 2015-4204,7        3.727%         10/12/50    15,360     16,393   0.0%
  Morgan Stanley Capital I Trust Class A4 Series 2015-UBS84        3.809%         12/15/48    41,942     46,425   0.1%
  Morgan Stanley Capital I Trust Class A4 Series 2016-BNK24        3.049%         11/15/49    11,960     13,024   0.0%
  Morgan Stanley Capital I Trust Class A4 Series 2016-UB114        2.782%          8/15/49     5,621      6,033   0.0%
  Morgan Stanley Capital I Trust Class AS Series 2012-C44        3.773%          3/15/45     2,500      2,520   0.0%
  Morgan Stanley Capital I Trust Class C Series 2015-UBS84,6        4.582%         12/15/48     5,740      5,632   0.0%
  Santander Drive Auto Receivables Trust Class C Series 2020-24        1.460%          9/15/25    18,750     18,951   0.0%
7
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  Santander Drive Auto Receivables Trust Class C Series 2020-34        1.120%          1/15/26    11,550     11,644   0.0%
  Santander Drive Auto Receivables Trust Class C Series 2021-14        0.750%          2/17/26    13,940     13,950   0.0%
  Santander Drive Auto Receivables Trust Class D Series 2018-34        4.070%          8/15/24    40,568     41,373   0.1%
  Santander Drive Auto Receivables Trust Class D Series 2018-44        3.980%         12/15/25    21,750     22,355   0.1%
  Santander Drive Auto Receivables Trust Class D Series 2018-54        4.190%         12/16/24    35,530     36,225   0.1%
  Santander Drive Auto Receivables Trust Class D Series 2020-24        2.220%          9/15/26    25,830     26,461   0.1%
  Santander Drive Auto Receivables Trust Class D Series 2021-14        1.130%         11/16/26    17,230     17,303   0.0%
  Santander Retail Auto Lease Trust Class A3 Series 2020-A4,7        1.740%          7/20/23    44,500     45,112   0.1%
  Santander Retail Auto Lease Trust Class A3 Series 2021-B4,7        0.510%          8/20/24    36,430     36,447   0.1%
  Santander Retail Auto Lease Trust Class A4 Series 2020-A4,7        1.760%          3/20/24    11,250     11,462   0.0%
  Santander Retail Auto Lease Trust Class A4 Series 2021-B4,7        0.540%          6/20/25     8,960      8,792   0.0%
  Santander Retail Auto Lease Trust Class C Series 2020-B4,7        1.180%         12/20/24     9,190      9,251   0.0%
  Santander Retail Auto Lease Trust Class D Series 2020-A4,7        2.520%         11/20/24    15,340     15,759   0.0%
  Santander Retail Auto Lease Trust Class D Series 2020-B4,7        1.980%         10/20/25    17,540     17,807   0.0%
  Santander Retail Auto Lease Trust Class D Series 2021-B4,7        1.410%         11/20/25    14,530     14,524   0.0%
† Asset-Backed/Commercial Mortgage-Backed Securities—Other4,5,6,7  5,327,293   6.7%
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,227,520) 6,424,430 8.2%
Corporate Bonds
  Communications                  
  AT&T Inc.        0.900%          3/25/24   291,305    292,078   0.4%
  AT&T Inc. 0.000%–4.450% 11/16/21–7/15/25   257,413    262,142   0.3%
  AT&T Inc.        1.700%          3/25/26   211,870    215,120   0.3%
  AT&T Inc.        0.406%         12/16/21   169,800    169,683   0.2%
  Charter Communications Operating LLC / Charter Communications Operating Capital        4.464%          7/23/22   251,829    259,866   0.3%
8
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  Charter Communications Operating LLC / Charter Communications Operating Capital        4.908%          7/23/25   209,067    237,166   0.3%
  DIRECTV Holdings LLC / DIRECTV Financing Co. Inc.7        5.875%          8/15/27       740        766   0.0%
  T-Mobile USA Inc.        3.500%          4/15/25   266,502    289,447   0.4%
  ViacomCBS Inc.        4.750%          5/15/25   154,386    174,940   0.2%
  Vodafone Group plc        3.750%          1/16/24   161,276    174,272   0.2%
† Communications—Other6,7,8,9,10  2,270,669   2.9%
  4,346,149 5.5%
  Consumer Discretionary                  
  American Honda Finance Corp.        0.550%          7/12/24   155,100    154,787   0.2%
  General Motors Co. 4.875%–6.125%  10/2/23–10/1/25   186,621    213,034   0.4%
  General Motors Financial Co. Inc. 1.250%–5.200%   9/25/21–1/8/26   603,555    635,898   0.8%
† Consumer Discretionary—Other7,8,10  3,041,514   3.7%
  4,045,233 5.1%
  Consumer Staples                  
  Reckitt Benckiser Treasury Services plc7        2.750%          6/26/24   170,933    180,499   0.2%
  Reynolds American Inc.        4.450%          6/12/25   147,838    164,267   0.2%
† Consumer Staples—Other7,8,9  2,254,615   2.9%
  2,599,381 3.3%
  Energy                  
  Cheniere Corpus Christi Holdings LLC        5.875%          3/31/25   146,738    167,723   0.2%
  Cheniere Corpus Christi Holdings LLC        7.000%          6/30/24   131,309    149,963   0.2%
† Energy—Other7,8  5,677,927   7.2%
  5,995,613 7.6%
  Financials                  
  American Express Co.        3.700%           8/3/23   155,698    165,664   0.2%
  Banco Santander SA 0.701%–5.179%  2/23/23–3/25/26   230,530    241,496   0.2%
  Banco Santander SA, 3M Australian Bank Bill Rate + 1.650%6,10        1.675%          1/19/23    14,400     10,696   0.0%
  Bank of America Corp.8 0.523%–4.450%  1/20/23–7/22/27 1,236,861  1,303,076   1.5%
  Bank of America Corp.        3.550%           3/5/24   156,731    164,111   0.2%
  Citibank NA, 3M Australian Bank Bill Rate + 0.750%6,10        0.793%          5/20/22    13,800     10,176   0.0%
  Citigroup Inc.8 0.776%–5.500%   1/14/22–6/9/27   760,757    796,176   1.0%
  Citigroup Inc., 3M Australian Bank Bill Rate + 1.720%6,10        1.745%         10/27/23     5,800      4,374   0.0%
  Goldman Sachs Group Inc.8 0.481%–4.250%  10/31/22–3/9/27   983,416  1,047,808   1.6%
  Goldman Sachs Group Inc.        0.657%          9/10/24   208,145    208,080   0.3%
  Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%6,10        1.239%          5/16/23    29,170     21,681   0.0%
  Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370%6,10        1.395%           9/8/21    19,280     14,163   0.0%
9
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  HSBC Holdings plc8,9,10,11 0.309%–4.292%  3/13/23–7/24/27   932,483    967,804   1.5%
  HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%6,10        1.139%          2/16/24    17,314     12,809   0.0%
  JPMorgan Chase & Co. 0.563%–4.023%   4/1/23–4/22/27 1,301,895  1,347,981   1.7%
  Morgan Stanley8 0.406%–5.000% 11/1/22–10/29/27 1,052,460  1,093,397   1.8%
  Morgan Stanley        3.125%          1/23/23   151,394    157,485   0.2%
  Royal Bank of Canada        2.250%          11/1/24   158,384    166,017   0.2%
  Royal Bank of Canada        2.550%          7/16/24   145,403    153,641   0.2%
  Santander Holdings USA Inc. 3.400%–4.500%  3/28/22–7/17/25   203,988    215,135   0.4%
  Santander UK Group Holdings plc 1.532%–4.796%  1/10/23–6/14/27   162,749    168,181   0.2%
  Santander UK plc7 4.000%–5.000%  11/7/23–3/13/24    61,198     66,668   0.1%
  Sumitomo Mitsui Financial Group Inc.        2.696%          7/16/24   176,740    186,629   0.2%
  Truist Bank        3.200%           4/1/24   142,122    152,014   0.2%
  Wells Fargo & Co.8,9,10 0.500%–4.750%  4/22/22–4/30/26   786,019    838,605   0.9%
  Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100%6,10        1.125%          4/27/22    21,453     15,843   0.0%
  Wells Fargo Bank NA9 2.082%–5.250%    9/9/22–8/1/23   140,560    157,745   0.2%
† Financials—Other6,7,8,9,10,12,13,14 12,315,745  15.2%
  22,003,200 28.0%
  Health Care                  
  AbbVie Inc.8 1.250%–5.000% 11/14/21–5/14/25   472,449    493,704   0.5%
  AbbVie Inc.        2.600%         11/21/24   307,610    325,128   0.4%
  AbbVie Inc.        2.300%         11/21/22   213,500    218,864   0.3%
  AbbVie Inc.        2.150%         11/19/21   161,500    162,415   0.2%
† Health Care—Other7,8  4,464,796   5.8%
  5,664,907 7.2%
  Industrials                  
  Boeing Co.        2.196%           2/4/26   388,100    391,445   0.5%
  Boeing Co.        1.433%           2/4/24   222,700    223,190   0.3%
  Boeing Co.        4.875%           5/1/25   182,695    204,862   0.3%
  Boeing Co.        4.508%           5/1/23   174,223    185,096   0.2%
  Boeing Co. 1.167%–2.850%    5/1/22–2/1/26    97,854    101,095   0.1%
  Raytheon Technologies Corp.        3.200%          3/15/24   142,359    151,613   0.2%
† Industrials—Other4,6,7,8,9,10,15  2,913,605   3.7%
  4,170,906 5.3%
† Materials7,8,9           1,708,213       2.2%
† Real Estate7,8,9,10           2,760,932       3.5%
  Technology                  
  Fiserv Inc.        2.750%           7/1/24   162,005    171,524   0.2%
  VMware Inc.        4.500%          5/15/25   149,682    167,677   0.2%
† Technology—Other7,8  3,209,076   4.1%
  3,548,277 4.5%
  Utilities                  
  Duke Energy Corp.        3.227%          3/11/22   290,625    295,641   0.4%
10
Short-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
† Utilities—Other6,7,8,9,10  2,795,168   3.5%
  3,090,809 3.9%
Total Corporate Bonds (Cost $58,836,821) 59,933,620 76.1%
Sovereign Bonds    
  Republic of Colombia        4.000%          2/26/24   174,399    182,870   0.2%
† Sovereign Bonds—Other4,7,8,16  2,121,079   2.7%
Total Sovereign Bonds (Cost $2,248,019) 2,303,949 2.9%
†Taxable Municipal Bonds (Cost $25,017)6,17 26,496 0.0%
          Shares    
Common Stocks
Exchange-Traded Fund                                             
  Vanguard Short-Term Corporate Bond ETF (Cost $78,302)18                                    967,764           80,199       0.1%
      Coupon        
Temporary Cash Investments
Money Market Fund    
  Vanguard Market Liquidity Fund (Cost $696,635)19        0.064%                   6,969,802           696,980       0.9%
    Counterparty Expiration
Date 		Exercise Rate Notional
Amount on
Underlying
Swap
($000) 		   
Options Purchased        
Over-the-Counter Swaptions
  Call Swaptions                                                                 
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually  NGFP       1/13/23           0.603%   624,374      1,806   0.0%
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually CITNA       1/17/23           0.608%   623,325      1,826   0.0%
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually BNPSW        2/3/23           0.603%   623,250      1,774   0.0%
11
Short-Term Investment-Grade Fund
    Counterparty Expiration
Date 		Exercise Rate Notional
Amount on
Underlying
Swap
($000) 		Market
Value•
($000) 		Percentage
of Net
Assets
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually  MSCS        2/3/23           0.630%   623,250      1,927   0.0%
                        7,333 0.0%
  Put Swaptions                                                                 
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly   GSI       8/18/21           1.060%    58,360         37   0.0%
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly   GSI       8/18/21           1.060%    38,860         24   0.0%
12
Short-Term Investment-Grade Fund
    Counterparty Expiration
Date 		Exercise Rate Notional
Amount on
Underlying
Swap
($000) 		Market
Value•
($000) 		Percentage
of Net
Assets
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly   GSI       8/18/21           1.060%    27,485         17   0.0%
                         78 0.0%
Total Options Purchased (Cost $12,100) 7,411 0.0%
Total Investments (Cost $77,218,016)   78,584,351 99.8%
Other Assets and Liabilities—Net   124,977 0.2%
Net Assets   78,709,328 100.0%
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.
1 Securities with a value of $41,886,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $37,907,000 have been segregated as initial margin for open centrally cleared swap contracts.
3 Securities with a value of $25,151,000 have been segregated as initial margin for open futures contracts.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
6 Variable-rate security; rate shown is effective rate at period end. Certain variable-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 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, the aggregate value was $9,748,138,000, representing 12.4% of net assets.
8 Certain securities have face amount denominated in euro.
9 Certain securities have face amount denominated in British pounds.
10 Certain securities have face amount denominated in Australian dollars.
11 Certain securities have face amount denominated in Canadian dollars.
12 Guaranteed by multiple countries.
13 Non-income-producing security—security in default.
14 Certain of the fund’s securities are valued using significant unobservable inputs.
15 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
16 Guaranteed by the Republic of Hungary.
17 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
18 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
19 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  3M—3-month.
  6M—6-month.
  BNPSW—BNP Paribas.
  CITNA—Citibank NA.
  GSI—Goldman Sachs International.
  LIBOR—London Interbank Offered Rate.
  MSCS—Morgan Stanley Capital Services LLC.
  NGFP—Nomura Global Financial Products Inc.
13
Short-Term Investment-Grade Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2021 7,754 1,710,969 (214)
5-Year U.S. Treasury Note September 2021 31,871 3,966,197 17,331
Long U.S. Treasury Bond September 2021 76 12,519 583
        17,700
Short Futures Contracts        
10-Year U.S. Treasury Note September 2021 (10,199) (1,371,287) (4,132)
5-Year Government of Canada Bond September 2021 (231) (23,248) (156)
AUD 10-Year Treasury Bond September 2021 (176) (18,779) (495)
AUD 3-Year Treasury Bond September 2021 (843) (72,428) (79)
Euro-Bobl September 2021 (5,298) (850,704) (7,670)
Euro-Bund September 2021 (443) (92,789) (2,623)
Euro-Buxl September 2021 (12) (3,061) (214)
Euro-Schatz September 2021 (3,754) (500,337) (870)
Long Gilt September 2021 (1,115) (201,155) (3,718)
Ultra 10-Year U.S. Treasury Note September 2021 (492) (73,923) (361)
        (20,318)
        (2,618)
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
Bank of America, N.A. 8/27/21 CAD 44 USD 35 — —
Deutsche Bank AG 8/27/21 CAD 22 USD 17 — —
Citibank, N.A. 8/27/21 EUR 29,539 USD 34,908 151 —
Deutsche Bank AG 8/27/21 EUR 12,409 USD 14,750 — (22)
Morgan Stanley Capital Services Inc. 8/27/21 EUR 12,265 USD 14,489 68 —
Barclays Bank plc 8/27/21 USD 339,145 AUD 459,987 1,533 —
State Street Bank & Trust Co. 8/27/21 USD 338,914 AUD 459,987 1,302 —
Bank of America, N.A. 8/27/21 USD 4,666 AUD 6,330 20 —
Citibank, N.A. 8/27/21 USD 43,049 CAD 54,265 — (444)
State Street Bank & Trust Co. 8/27/21 USD 1,377,326 EUR 1,168,069 — (9,040)
Goldman Sachs Bank USA 8/27/21 USD 534,134 EUR 453,843 — (4,526)
Bank of America, N.A. 8/27/21 USD 21,309 EUR 18,110 — (186)
State Street Bank & Trust Co. 8/27/21 USD 5,985 EUR 5,035 9 —
Toronto-Dominion Bank 8/27/21 USD 519,758 GBP 377,923 — (5,590)
14
Short-Term Investment-Grade Fund
Forward Currency Contracts (continued)
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
JPMorgan Chase Bank, N.A. 8/27/21 USD 27,154 GBP 19,592 — (80)
Toronto-Dominion Bank 8/27/21 USD 152 JPY 16,803 — (1)
            3,083 (19,889)
AUD—Australian dollar.
CAD—Canadian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-IG-S36-V1 6/21/24 USD 141,640 1.000 3,119 37
CDX-NA-IG-S36-V1 6/23/26 USD 1,481,800 1.000 37,727 4,994
          40,846 5,031
Credit Protection Purchased            
CDX-NA-HY-S36-V1 6/23/26 USD 38,860 (5.000) (3,837) 36
          37,009 5,067
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
    
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Ally Financial Inc./Ba1 12/23/25 GSI 3,270 1.000 37 21 16 —
American Express Co./A3 12/23/25 GSI 3,270 1.000 103 95 8 —
American International Group Inc./Baa2 12/23/25 GSI 3,270 1.000 71 40 31 —
Berkshire Hathaway Inc./Aa2 12/21/22 BARC 16,580 1.000 227 78 149 —
Berkshire Hathaway Inc./Aa2 6/21/22 BARC 32,955 1.000 307 98 209 —
Boeing Co./Baa2 12/23/25 GSI 3,270 1.000 (2) (17) 15 —
15
Short-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Boeing Co./Baa2 6/21/24 GSI 24,365 1.000 132 341 — (209)
Chubb INA Holdings Inc./A3 12/23/25 GSI 3,270 1.000 120 107 13 —
Comcast Corp./A3 12/23/25 GSI 3,270 1.000 93 85 8 —
CVS Health Corp./Baa2 12/23/25 GSI 3,270 1.000 96 67 29 —
Dominion Energy Inc./Baa2 12/23/25 GSI 3,270 1.000 101 83 18 —
Dow Chemical Co./Baa2 12/23/25 GSI 3,270 1.000 74 55 19 —
Enbridge Inc./Baa1 12/23/25 GSI 3,270 1.000 59 49 10 —
General Electric Co./Baa1 12/23/25 GSI 3,270 1.000 53 17 36 —
General Motors Co./Baa3 12/23/25 GSI 3,270 1.000 30 (3) 33 —
International Business Machines Corp./A2 12/23/25 GSI 3,270 1.000 102 88 14 —
Kroger Co./Baa1 12/23/25 GSI 3,270 1.000 88 67 21 —
Lincoln National Corp./Baa1 12/23/25 GSI 3,270 1.000 58 38 20 —
Lowe's Cos. Inc./Baa1 12/23/25 GSI 3,270 1.000 105 88 17 —
Marathon Petroleum Corp./Baa2 12/23/25 GSI 3,270 1.000 43 26 17 —
Marsh & McLennan Cos. Inc./Baa1 12/23/25 GSI 3,270 1.000 115 102 13 —
Metlife Inc./A3 12/23/25 GSI 3,270 1.000 80 65 15 —
Metlife Inc./A3 12/21/21 BARC 6,575 1.000 31 1 30 —
Mondelez International Inc./Baa1 12/23/25 GSI 3,270 1.000 100 79 21 —
People’s Republic of China/A1 6/21/24 GSI 20,715 1.000 495 275 220 —
People’s Republic of China/A1 6/21/22 BNPSW 26,335 1.000 246 40 206 —
Prudential Financial Inc./A3 12/23/25 GSI 3,270 1.000 80 65 15 —
Republic of Chile/A1 9/22/26 BARC 10,200 1.000 150 180 — (30)
Republic of Chile/A1 9/22/26 BARC 6,700 1.000 99 112 — (13)
16
Short-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Republic of Chile/A1 6/23/26 BOANA 6,092 1.000 94 87 7 —
Republic of Chile/A1 6/23/26 GSI 20,300 1.000 314 266 48 —
Republic of Chile/A1 6/23/26 MSCS 21,300 1.000 329 289 40 —
Republic of Indonesia/Baa2 6/23/26 MSCS 27,336 1.000 276 157 119 —
Republic of Peru/A3 6/23/26 BARC 5,600 1.000 — 16 — (16)
Republic of Peru/A3 6/23/26 JPMC 10,980 1.000 (1) 102 — (103)
Russian Federation/Baa3 6/23/26 GSI 19,100 1.000 136 (5) 141 —
Simon Property Group LP/A3 12/23/25 GSI 3,270 1.000 58 40 18 —
UnitedHealth Group Inc./A3 12/23/25 GSI 3,270 1.000 104 94 10 —
Verizon Communications Inc./Baa1 12/23/25 GSI 3,270 1.000 86 65 21 —
Verizon Communications Inc./Baa1 12/21/22 GSI 33,580 1.000 403 161 242 —
          5,092 3,614 1,849 (371)
Credit Protection Purchased
Bank of China Ltd. 6/21/23 BNPSW 19,485 (1.000) (313) (118) — (195)
Bank of China Ltd. 6/21/22 BNPSW 26,335 (1.000) (230) (1) — (229)
Bank of China Ltd. 12/21/21 BNPSW 13,100 (1.000) (61) 4 — (65)
Boeing Co. 12/21/24 JPMC 9,690 (1.000) (39) 555 — (594)
CVS Health Corp. 12/21/21 BARC 19,535 (1.000) (93) (50) — (43)
CVS Health Corp. 12/21/21 BARC 6,620 (1.000) (31) (16) — (15)
CVS Health Corp. 12/21/21 JPMC 29,300 (1.000) (139) (65) — (74)
Deutsche Bank AG 12/21/22 JPMC 20,120 (1.000) (206) (27) — (179)
Lincoln National Corp. 12/21/21 BARC 6,575 (1.000) (31) 1 — (32)
McDonald’s Corp. 6/22/22 GSI 26,675 (1.000) (254) (150) — (104)
Raytheon Co. 12/21/21 GSI 24,420 (1.000) (122) (69) — (53)
Raytheon Co. 12/21/21 GSI 24,415 (1.000) (122) (68) — (54)
17
Short-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Republic of Colombia 6/23/26 MSCS 3,720 (1.000) 79 55 24 —
Republic of Turkey 6/23/26 MSCS 5,960 (1.000) 725 568 157 —
Societe Generale SA 12/21/21 JPMC 9,765 (1.000) (40) (4) — (36)
Standard Chartered plc 12/21/21 JPMC 16,475 (1.000) (81) 3 — (84)
State of Qatar 6/21/22 BOANA 1,500 (1.000) (14) 3 — (17)
State of Qatar 6/21/22 CITNA 3,450 (1.000) (31) 7 — (38)
          (1,003) 628 181 (1,812)
          4,089 4,242 2,030 (2,183)
1 Periodic premium received/paid quarterly.
BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CITNA—Citibank NA.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
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.
At July 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $5,087,000 and cash of $7,767,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps
Termination
Date 		Future
Effective
Date 		Notional
Amount
($000) 		Interest
Rate
Received
(%) 		Interest
Rate
(Paid)
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
9/6/22 N/A 100 0.0901 (0.040)2 — —
6/16/23 N/A 11,458 0.0003 (0.049)4 (23) 1
6/16/23 N/A 11,458 0.0494 (0.124)3 — —
6/17/24 N/A 57,157 0.0003 (0.049)4 (413) 20
6/17/24 N/A 57,157 0.0494 (0.295)3 (34) (32)
          (470) (11)
1 Based on 1-Day USD Overnight Fed Funds Effective Rate as of the most recent payment date. Interest payment received/paid quarterly.
2 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid quarterly.
3 Interest payment received/paid annually.
4 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually.
  
See accompanying Notes, which are an integral part of the Financial Statements.
18
Short-Term Investment-Grade Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $76,443,079) 77,807,172
Affiliated Issuers (Cost $774,937) 777,179
Total Investments in Securities 78,584,351
Investment in Vanguard 2,693
Cash 3,381
Foreign Currency, at Value (Cost $13,221) 13,238
Receivables for Investment Securities Sold 636,903
Receivables for Accrued Income 462,514
Receivables for Capital Shares Issued 63,797
Swap Premiums Paid 4,835
Unrealized Appreciation—Forward Currency Contracts 3,083
Unrealized Appreciation—Over-the-Counter Swap Contracts 2,030
Other Assets 680
Total Assets 79,777,505
Liabilities  
Payables for Investment Securities Purchased 974,680
Payables for Capital Shares Redeemed 49,950
Payables for Distributions 16,597
Payables to Vanguard 3,646
Swap Premiums Received 593
Variation Margin Payable—Futures Contracts 398
Variation Margin Payable—Centrally Cleared Swap Contracts 241
Unrealized Depreciation—Forward Currency Contracts 19,889
Unrealized Depreciation—Over-the-Counter Swap Contracts 2,183
Total Liabilities 1,068,177
Net Assets 78,709,328
19
Short-Term Investment-Grade Fund
Statement of Assets and Liabilities (continued)
At July 31, 2021, net assets consisted of:  
($000s, except shares and per-share amounts) Amount
Paid-in Capital 77,098,556
Total Distributable Earnings (Loss) 1,610,772
Net Assets 78,709,328
 
Investor Shares—Net Assets  
Applicable to 823,312,885 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		9,044,896
Net Asset Value Per Share—Investor Shares $10.99
 
Admiral Shares—Net Assets  
Applicable to 5,028,036,853 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		55,237,896
Net Asset Value Per Share—Admiral Shares $10.99
 
Institutional Shares—Net Assets  
Applicable to 1,313,176,956 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		14,426,536
Net Asset Value Per Share—Institutional Shares $10.99
  
See accompanying Notes, which are an integral part of the Financial Statements.
20
Short-Term Investment-Grade Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Dividends—Affiliated Issuers 648
Interest—Unaffiliated Issuers 660,124
Interest—Affiliated Issuers 514
Total Income 661,286
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 3,118
Management and Administrative—Investor Shares 7,765
Management and Administrative—Admiral Shares 22,504
Management and Administrative—Institutional Shares 4,381
Marketing and Distribution—Investor Shares 388
Marketing and Distribution—Admiral Shares 1,279
Marketing and Distribution—Institutional Shares 175
Custodian Fees 176
Shareholders’ Reports—Investor Shares 83
Shareholders’ Reports—Admiral Shares 219
Shareholders’ Reports—Institutional Shares 10
Trustees’ Fees and Expenses 24
Total Expenses 40,122
Net Investment Income 621,164
Realized Net Gain (Loss)  
Investment Securities Sold—Unaffiliated Issuers 329,047
Futures Contracts 83,264
Options Purchased (3,632)
Options Written 3,075
Swap Contracts 36,735
Forward Currency Contracts 152,362
Foreign Currencies (12,634)
Realized Net Gain (Loss) 588,217
21
Short-Term Investment-Grade Fund
Statement of Operations (continued)
  Six Months Ended
July 31, 2021
  ($000)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities—Unaffiliated Issuers (695,839)
Investment Securities—Affiliated Issuers (232)
Futures Contracts (17,888)
Options Purchased (4,853)
Options Written (295)
Swap Contracts (10,405)
Forward Currency Contracts (62,147)
Foreign Currencies (514)
Change in Unrealized Appreciation (Depreciation) (792,173)
Net Increase (Decrease) in Net Assets Resulting from Operations 417,208
  
See accompanying Notes, which are an integral part of the Financial Statements.
22
Short-Term Investment-Grade Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 621,164   1,445,806
Realized Net Gain (Loss) 588,217   371,946
Change in Unrealized Appreciation (Depreciation) (792,173)   793,785
Net Increase (Decrease) in Net Assets Resulting from Operations 417,208   2,611,537
Distributions      
Investor Shares (68,377)   (175,858)
Admiral Shares (441,966)   (1,039,658)
Institutional Shares (125,003)   (255,366)
Total Distributions (635,346)   (1,470,882)
Capital Share Transactions      
Investor Shares 454,104   284,616
Admiral Shares 4,105,117   6,268,794
Institutional Shares 202,449   3,251,051
Net Increase (Decrease) from Capital Share Transactions 4,761,670   9,804,461
Total Increase (Decrease) 4,543,532   10,945,116
Net Assets      
Beginning of Period 74,165,796   63,220,680
End of Period 78,709,328   74,165,796
  
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Investment-Grade Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.02 $10.80 $10.50 $10.57 $10.65 $10.60
Investment Operations            
Net Investment Income .0841 .2331 .2971 .2831 .2241 .213
Net Realized and Unrealized Gain (Loss) on Investments (.028) .225 .304 (.069) (.087) .053
Total from Investment Operations .056 .458 .601 .214 .137 .266
Distributions            
Dividends from Net Investment Income (.086) (.238) (.301) (.284) (.215) (.205)
Distributions from Realized Capital Gains — — — — (.002) (.011)
Total Distributions (.086) (.238) (.301) (.284) (.217) (.216)
Net Asset Value, End of Period $10.99 $11.02 $10.80 $10.50 $10.57 $10.65
Total Return2 0.51% 4.29% 5.79% 2.07% 1.29% 2.52%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $9,045 $8,617 $8,179 $7,846 $9,333 $9,558
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 1.54% 2.14% 2.78% 2.71% 2.11% 2.00%
Portfolio Turnover Rate 38%3 89%3 76%3 71%3 86% 68%
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 Includes 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
24
Short-Term Investment-Grade Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.02 $10.80 $10.50 $10.57 $10.65 $10.60
Investment Operations            
Net Investment Income .0891 .2441 .3081 .2941 .2361 .224
Net Realized and Unrealized Gain (Loss) on Investments (.028) .225 .304 (.070) (.088) .053
Total from Investment Operations .061 .469 .612 .224 .148 .277
Distributions            
Dividends from Net Investment Income (.091) (.249) (.312) (.294) (.226) (.216)
Distributions from Realized Capital Gains — — — — (.002) (.011)
Total Distributions (.091) (.249) (.312) (.294) (.228) (.227)
Net Asset Value, End of Period $10.99 $11.02 $10.80 $10.50 $10.57 $10.65
Total Return2 0.56% 4.39% 5.90% 2.17% 1.39% 2.62%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $55,238 $51,282 $44,211 $40,218 $42,156 $38,564
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 1.64% 2.23% 2.88% 2.81% 2.21% 2.10%
Portfolio Turnover Rate 38%3 89%3 76%3 71%3 86% 68%
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 Includes 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25
Short-Term Investment-Grade Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.02 $10.80 $10.50 $10.57 $10.65 $10.60
Investment Operations            
Net Investment Income .0911 .2461 .3111 .2971 .2401 .227
Net Realized and Unrealized Gain (Loss) on Investments (.028) .226 .304 (.070) (.089) .053
Total from Investment Operations .063 .472 .615 .227 .151 .280
Distributions            
Dividends from Net Investment Income (.093) (.252) (.315) (.297) (.229) (.219)
Distributions from Realized Capital Gains — — — — (.002) (.011)
Total Distributions (.093) (.252) (.315) (.297) (.231) (.230)
Net Asset Value, End of Period $10.99 $11.02 $10.80 $10.50 $10.57 $10.65
Total Return 0.58% 4.42% 5.93% 2.20% 1.42% 2.65%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $14,427 $14,267 $10,830 $10,100 $11,566 $9,949
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 1.67% 2.25% 2.91% 2.84% 2.24% 2.13%
Portfolio Turnover Rate 38%2 89%2 76%2 71%2 86% 68%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes 3%, 13%, 1%, and 1%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
26
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 exposure. 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, as furnished by independent pricing services. 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).
27
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 6% and 4% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any 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 forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset
28
Short-Term Investment-Grade Fund
(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, 2021, the fund’s average investment in forward currency contracts represented 4% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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 either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rate, and receive a different 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 in 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 in 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, 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.
29
Short-Term Investment-Grade Fund
6. 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 either an amount that is a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, applied to a notional amount. In return, the counterparty agrees to pay a different floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
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.
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
30
Short-Term Investment-Grade Fund
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement 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.
During the six months ended July 31, 2021, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 3% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. 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.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
8. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys
31
Short-Term Investment-Grade Fund
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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate 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.
32
Short-Term Investment-Grade Fund
For the six months ended July 31, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
12. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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, 2021, the fund had contributed to Vanguard capital in the amount of $2,693,000, representing less than 0.01% of the fund’s net assets and 1.08% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
33
Short-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 9,111,266 — 9,111,266
Asset-Backed/Commercial Mortgage-Backed Securities — 6,424,430 — 6,424,430
Corporate Bonds — 59,933,617 3 59,933,620
Sovereign Bonds — 2,303,949 — 2,303,949
Taxable Municipal Bonds — 26,496 — 26,496
Common Stocks 80,199 — — 80,199
Temporary Cash Investments 696,980 — — 696,980
Options Purchased — 7,411 — 7,411
Total 777,179 77,807,169 3 78,584,351
Derivative Financial Instruments         
Assets        
Futures Contracts1 17,914 — — 17,914
Forward Currency Contracts — 3,083 — 3,083
Swap Contracts 5,0881 2,030 — 7,118
Total 23,002 5,113 — 28,115
Liabilities        
Futures Contracts1 20,532 — — 20,532
Forward Currency Contracts — 19,889 — 19,889
Swap Contracts 321 2,183 — 2,215
Total 20,564 22,072 — 42,636
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) 7,333 — 78 7,411
Swap Premiums Paid — — 4,835 4,835
Unrealized Appreciation—Futures Contracts1 17,914 — — 17,914
Unrealized Appreciation—Centrally Cleared Swap Contracts1 21 — 5,067 5,088
34
Short-Term Investment-Grade Fund
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Appreciation—Forward Currency Contracts — 3,083 — 3,083
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 2,030 2,030
Total Assets 25,268 3,083 12,010 40,361
         
Swap Premiums Received — — 593 593
Unrealized Depreciation—Futures Contracts1 20,532 — — 20,532
Unrealized Depreciation—Centrally Cleared Swap Contracts1 32 — — 32
Unrealized Depreciation—Forward Currency Contracts — 19,889 — 19,889
Unrealized Depreciation—
Over-the-Counter Swap Contracts 		— — 2,183 2,183
Total Liabilities 20,564 19,889 2,776 43,229
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2021, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts 83,264 — — 83,264
Options Purchased (55) — (3,577) (3,632)
Options Written — — 3,075 3,075
Swap Contracts 5,332 — 31,403 36,735
Forward Currency Contracts — 152,362 — 152,362
Realized Net Gain (Loss) on Derivatives 88,541 152,362 30,901 271,804
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts (17,888) — — (17,888)
Options Purchased (3,930) — (923) (4,853)
Options Written — — (295) (295)
Swap Contracts (1,215) — (9,190) (10,405)
Forward Currency Contracts — (62,147) — (62,147)
Change in Unrealized Appreciation (Depreciation) on Derivatives (23,033) (62,147) (10,408) (95,588)
35
Short-Term Investment-Grade Fund
E. As of July 31, 2021, 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 77,440,455
Gross Unrealized Appreciation 1,278,758
Gross Unrealized Depreciation (145,141)
Net Unrealized Appreciation (Depreciation) 1,133,617
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, 2021, the fund had available capital losses totaling $79,659,000 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, 2022; 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, 2021, the fund purchased $19,860,193,000 of investment securities and sold $13,672,235,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $11,148,638,000 and $14,527,342,000, 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 ended July 31, 2021, such purchases and sales were $4,069,898,000 and $1,070,703,000, 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
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 1,300,053 118,450   3,104,089 285,855
Issued in Lieu of Cash Distributions 64,229 5,854   164,257 15,072
Redeemed (910,178) (82,974)   (2,983,730) (276,021)
Net Increase (Decrease)—Investor Shares 454,104 41,330   284,616 24,906
Admiral Shares          
Issued 10,553,691 961,786   20,001,081 1,832,509
Issued in Lieu of Cash Distributions 351,249 32,018   828,429 76,003
Redeemed (6,799,823) (619,828)   (14,560,716) (1,346,688)
Net Increase (Decrease)—Admiral Shares 4,105,117 373,976   6,268,794 561,824
36
Short-Term Investment-Grade Fund
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Institutional Shares          
Issued 2,487,869 226,707   6,743,962 616,179
Issued in Lieu of Cash Distributions 116,101 10,584   234,890 21,546
Redeemed (2,401,521) (218,921)   (3,727,801) (345,374)
Net Increase (Decrease)—Institutional Shares 202,449 18,370   3,251,051 292,351
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,
2021
Market
Value
($000) 		Purchases
at Cost
($000) 		Proceeds
from
Securities
Sold
($000) 		Realized
Net
Gain
(Loss)
($000) 		Change in
Unrealized
App. (Dep.)
($000) 		Income
($000) 		Capital Gain
Distributions
Received
($000) 		Jul. 31,
2021
Market
Value
($000)
Vanguard Market Liquidity Fund 2,215,174 NA1 NA1 — — 514 — 696,980
Vanguard Short- Term Corporate Bond ETF 80,431 — — — (232) 648 — 80,199
Total 2,295,605     — (232) 1,162 — 777,179
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, 2021, that would require recognition or disclosure in these financial statements.
37
Intermediate-Term Investment-Grade Fund
Fund Allocation
As of July 31, 2021
Asset-Backed/Commercial Mortgage-Backed Securities 4.9%
Corporate Bonds - Communications 6.8
Corporate Bonds - Consumer Discretionary 5.1
Corporate Bonds - Consumer Staples 5.1
Corporate Bonds - Energy 7.2
Corporate Bonds - Financials 25.9
Corporate Bonds - Health Care 7.0
Corporate Bonds - Industrials 5.8
Corporate Bonds - Materials 2.0
Corporate Bonds - Real Estate 6.2
Corporate Bonds - Technology 6.8
Corporate Bonds - Utilities 5.3
Sovereign Bonds 4.4
Taxable Municipal Bonds 0.1
U.S. Government and Agency Obligations 7.4
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.
38
Intermediate-Term Investment-Grade Fund
Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of July 31, 2021
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000) 		Percentage
of Net
Assets
U.S. Government and Agency Obligations
U.S. Government Securities                  
  U.S. Treasury Note/Bond1        1.125%           2/15/31   600,000    595,125   1.6%
  U.S. Treasury Note/Bond2        1.250%           4/30/28   500,000    509,219   1.3%
  U.S. Treasury Note/Bond        1.625%           5/15/31   450,000    466,523   1.2%
  U.S. Treasury Note/Bond1,3        0.875%          11/15/30   375,000    364,336   1.0%
  U.S. Treasury Note/Bond1        1.250%           6/30/28   275,000    279,770   0.7%
  U.S. Treasury Note/Bond        1.250%           3/31/28   250,000    254,727   0.7%
  U.S. Treasury Note/Bond        1.250%           5/31/28   250,000    254,531   0.7%
  2,724,231 7.2%
†Agency Bonds and Notes4,5           3,871       0.0%
†Nonconventional Mortgage-Backed Securities4,5,6           24,003       0.1%
Total U.S. Government and Agency Obligations (Cost $2,696,263) 2,752,105 7.3%
Asset-Backed/Commercial Mortgage-Backed Securities    
  Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS74        3.441%           9/15/48     4,411      4,731   0.0%
  Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK34        3.574%           2/15/50     1,540      1,720   0.0%
  Banc of America Commercial Mortgage Trust Class C Series 2015-UBS74,6        4.358%           9/15/48       360        360   0.0%
39
Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  GS Mortgage Securities Corp. II Class A5 Series 2018-GS104,6        4.155%           7/10/51     1,065      1,236   0.0%
  GS Mortgage Securities Trust Class A3 Series 2015-GC344        3.244%          10/10/48     7,544      8,003   0.0%
  GS Mortgage Securities Trust Class A3 Series 2017-GS64        3.433%           5/10/50     5,920      6,570   0.0%
  GS Mortgage Securities Trust Class A4 Series 2013-GC124        3.135%           6/10/46     4,128      4,296   0.0%
  GS Mortgage Securities Trust Class A4 Series 2013-GC144        3.955%           8/10/46     5,899      6,118   0.0%
  GS Mortgage Securities Trust Class A4 Series 2014-GC264        3.364%          11/10/47     7,602      8,044   0.0%
  GS Mortgage Securities Trust Class A4 Series 2015-GC284        3.136%           2/10/48     8,999      9,520   0.1%
  GS Mortgage Securities Trust Class A4 Series 2015-GC304        3.382%           5/10/50     2,398      2,593   0.0%
  GS Mortgage Securities Trust Class A4 Series 2015-GC324        3.764%           7/10/48     4,615      5,074   0.0%
  GS Mortgage Securities Trust Class A4 Series 2016-GS34        2.850%          10/10/49     2,220      2,389   0.0%
  GS Mortgage Securities Trust Class A4 Series 2019-GC384        3.968%           2/10/52     3,080      3,553   0.0%
  GS Mortgage Securities Trust Class A4 Series 2019-GC404        3.160%           7/10/52     6,528      7,205   0.0%
  GS Mortgage Securities Trust Class A4 Series 2019-GC424        3.001%            9/1/52     7,000      7,651   0.0%
  GS Mortgage Securities Trust Class A5 Series 2013-GC134,6        4.052%           7/10/46       185        196   0.0%
  GS Mortgage Securities Trust Class A5 Series 2014-GC204        3.998%           4/10/47     6,289      6,738   0.0%
  GS Mortgage Securities Trust Class A5 Series 2020-GC454        2.911%           2/13/53    18,170     19,728   0.1%
  GS Mortgage Securities Trust Class AAB Series 2020-GC454        2.843%           2/13/53     7,336      7,954   0.0%
  GS Mortgage Securities Trust Class AS Series 2012-GC64,7        4.948%           1/10/45     1,025      1,033   0.0%
  GS Mortgage Securities Trust Class AS Series 2014-GC204        4.258%           4/10/47       570        614   0.0%
  GS Mortgage Securities Trust Class AS Series 2014-GC244,6        4.162%           9/10/47     6,520      7,066   0.0%
40
Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  GS Mortgage Securities Trust Class B Series 2013-GC124,6        3.777%           6/10/46     1,550      1,613   0.0%
  GS Mortgage Securities Trust Class B Series 2014-GC244,6        4.515%           9/10/47     2,610      2,731   0.0%
  GS Mortgage Securities Trust Class C Series 2013-GC134,6,7        4.085%           7/10/46     1,210      1,188   0.0%
  GS Mortgage Securities Trust Class C Series 2014-GC244,6        4.536%           9/10/47     4,615      4,381   0.0%
  GS Mortgage Securities Trust Class C Series 2015-GC344,6        4.648%          10/10/48     2,610      2,774   0.0%
  Morgan Stanley Capital I Class A4 Series 2017-HR24        3.587%          12/15/50     3,506      3,926   0.0%
  Morgan Stanley Capital I Class ASB Series 2017-HR24        3.509%          12/15/50     2,800      3,056   0.0%
  Morgan Stanley Capital I Trust Class A Series 2014-150E4,7        3.912%            9/9/32     3,670      3,945   0.0%
  Morgan Stanley Capital I Trust Class A Series 2015-4204,7        3.727%          10/12/50     2,308      2,463   0.0%
  Morgan Stanley Capital I Trust Class A3 Series 2016-BNK24        2.791%          11/15/49     8,300      8,839   0.0%
  Morgan Stanley Capital I Trust Class A4 Series 2016-BNK24        3.049%          11/15/49     5,260      5,728   0.0%
  Morgan Stanley Capital I Trust Class A4 Series 2016-UB114        2.782%           8/15/49     2,778      2,982   0.0%
  Morgan Stanley Capital I Trust Class A4 Series 2021-L64        2.444%           6/15/54     1,900      1,986   0.0%
  Morgan Stanley Capital I Trust Class AS Series 2012-C44        3.773%           3/15/45     2,440      2,460   0.0%
  Morgan Stanley Capital I Trust Class C Series 2015-UBS84,6        4.582%          12/15/48     1,610      1,580   0.0%
† Asset-Backed/Commercial Mortgage-Backed Securities—Other4,6,7  1,641,516   4.6%
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,739,213) 1,813,560 4.8%
Corporate Bonds
  Communications                  
  Comcast Corp.        4.150%          10/15/28    81,690     95,188   0.3%
  Fox Corp.        4.709%           1/25/29    61,320     72,511   0.2%
  T-Mobile USA Inc.        3.750%           4/15/27   134,017    149,429   0.4%
  T-Mobile USA Inc.        3.875%           4/15/30   130,135    147,055   0.4%
  Verizon Communications Inc.8 1.500%–4.500%   2/17/25–1/20/31   244,174    263,090   0.7%
  Verizon Communications Inc.        2.100%           3/22/28   138,235    142,286   0.4%
41
Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  Verizon Communications Inc.        2.550%           3/21/31    96,531    100,357   0.3%
† Communications—Other7,9,10  1,582,146   4.1%
  2,552,062 6.8%
  Consumer Discretionary                  
  Home Depot Inc.        2.950%           6/15/29    71,145     78,555   0.2%
  Nissan Motor Co. Ltd.7        4.345%           9/17/27    72,500     80,610   0.2%
† Consumer Discretionary—Other7,9  1,756,589   4.7%
  1,915,754 5.1%
  Consumer Staples                  
  7-Eleven Inc.7        1.300%           2/10/28    71,032     69,446   0.2%
  Anheuser-Busch InBev Worldwide Inc.        4.000%           4/13/28    68,436     78,410   0.2%
  BAT Capital Corp.        4.700%            4/2/27    62,771     71,443   0.2%
† Consumer Staples—Other7,9,10  1,689,950   4.4%
  1,909,249 5.0%
  Energy                  
  Exxon Mobil Corp.        2.610%          10/15/30    77,145     82,549   0.2%
  Sabine Pass Liquefaction LLC        4.200%           3/15/28    60,665     68,925   0.2%
  Shell International Finance BV        2.375%           11/7/29   117,219    123,156   0.3%
† Energy—Other7,9,11  2,423,841   6.4%
  2,698,471 7.1%
  Financials                  
  Bank of America Corp.9 0.654%–4.450%    3/3/26–3/15/50   743,615    793,441   2.4%
  Bank of America Corp.        3.419%          12/20/28    67,280     73,969   0.2%
  Citigroup Inc. 1.122%–6.625%    3/9/26–7/23/48   534,257    590,734   1.7%
  E*TRADE Financial Corp.        3.800%           8/24/27     3,003      3,370   0.0%
  Goldman Sachs Group Inc.9 1.000%–4.750% 10/21/25–10/21/45   454,309    504,073   1.6%
  Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550%6,8        1.570%            5/2/24    30,700     23,106   0.1%
  HSBC Holdings plc10 1.589%–4.950%   8/18/25–5/24/32   354,754    390,395   1.1%
  HSBC Holdings plc        4.041%           3/13/28    78,139     87,500   0.2%
  HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%6,8        1.139%           2/16/24    28,200     20,863   0.1%
  JPMorgan Chase & Co. 0.824%–4.493%    6/1/25–4/22/51   780,005    827,541   2.3%
  Lloyds Banking Group plc        3.750%           1/11/27    68,999     76,684   0.2%
  Morgan Stanley 0.985%–5.597%   7/23/25–3/24/51   361,253    390,576   1.1%
  Morgan Stanley        0.790%           5/30/25   107,221    107,092   0.3%
  Morgan Stanley        3.875%           1/27/26    84,720     95,006   0.3%
  Morgan Stanley        3.625%           1/20/27    68,607     76,640   0.2%
  Sumitomo Mitsui Financial Group Inc.        3.040%           7/16/29    84,077     90,941   0.2%
  Wells Fargo & Co.8,10 2.125%–5.013%    4/22/26–4/4/51   335,439    366,796   1.1%
  Wells Fargo & Co.        3.000%          10/23/26    75,315     81,720   0.2%
  Wells Fargo Bank NA10        5.250%            8/1/23    23,050     34,761   0.1%
† Financials—Other6,7,8,9,10,12,13,14  5,016,172  12.1%
  9,651,380 25.5%
  Health Care                  
  AbbVie Inc.        2.950%          11/21/26    74,412     80,590   0.2%
  Amgen Inc.        2.200%           2/21/27    65,841     69,047   0.2%
42
Intermediate-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  CVS Health Corp.        4.300%           3/25/28   109,084    126,309   0.3%
  CVS Health Corp.        3.625%            4/1/27    61,060     68,069   0.2%
  Takeda Pharmaceutical Co. Ltd.        2.050%           3/31/30    76,737     77,136   0.2%
† Health Care—Other7,9,15  2,188,713   5.8%
  2,609,864 6.9%
  Industrials                  
  Boeing Co.        5.040%            5/1/27    64,624     74,806   0.2%
  Boeing Co.        5.150%            5/1/30    61,541     73,266   0.2%
  Delta Air Lines Inc. / SkyMiles IP Ltd.4,7        4.750%          10/20/28    89,502    100,236   0.3%
  Northrop Grumman Corp.        3.250%           1/15/28    77,009     84,680   0.2%
† Industrials—Other4,6,7,8,9,10,15  1,820,986   4.8%
  2,153,974 5.7%
† Materials7,9,10           762,860       2.0%
† Real Estate7,9,10           2,293,366       6.1%
  Technology                  
  Apple Inc.        1.400%            8/5/28   115,000    115,123   0.3%
  Dell International LLC / EMC Corp. 4.900%–6.100%   6/15/26–7/15/27    79,825     96,579   0.3%
  Dell International LLC / EMC Corp.        5.300%           10/1/29    70,197     85,930   0.2%
  Dell International LLC / EMC Corp.        6.200%           7/15/30    65,551     85,161   0.2%
  Oracle Corp.        2.875%           3/25/31    90,937     96,155   0.3%
  Oracle Corp.        2.300%           3/25/28    92,518     95,979   0.3%
  Oracle Corp.        2.950%            4/1/30    70,260     75,016   0.2%
  QUALCOMM Inc.        3.250%           5/20/27    68,234     75,510   0.2%
  VMware Inc. 1.400%–4.700%   8/15/26–8/15/31    89,730     99,689   0.1%
  VMware Inc.        3.900%           8/21/27    72,562     81,708   0.2%
† Technology—Other7  1,618,355   4.4%
  2,525,205 6.7%
† Utilities6,7,8,9           1,992,049       5.3%
Total Corporate Bonds (Cost $29,911,770) 31,064,234 82.2%
Sovereign Bonds    
  KSA Sukuk Ltd.        3.628%           4/20/27    75,706     83,508   0.2%
  Republic of Colombia        4.500%           1/28/26    94,468    102,644   0.3%
  Republic of Indonesia        3.750%           4/25/22    87,775     89,864   0.2%
  United Mexican States        4.500%           4/22/29   141,380    161,054   0.4%
† Sovereign Bonds—Other4,7,9,16  1,195,862   3.2%
Total Sovereign Bonds (Cost $1,586,519) 1,632,932 4.3%
†Taxable Municipal Bonds (Cost $46,417)6,17 51,061 0.1%
          Shares    
Temporary Cash Investments
Money Market Fund    
  Vanguard Market Liquidity Fund (Cost $217,927)18        0.064%                    2,179,326           217,932       0.6%
43
Intermediate-Term Investment-Grade Fund
    Counterparty Expiration
Date 		Exercise Rate Notional
Amount on
Underlying
Swap
($000) 		Market
Value•
($000) 		Percentage
of Net
Assets
Options Purchased        
Over-the-Counter Swaptions
  Call Swaptions                                                                  
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually  NGFP       1/13/23            0.603%   317,328        918   0.0%
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually CITNA       1/17/23            0.608%   318,214        932   0.0%
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually BNPSW        2/3/23            0.603%   316,703        902   0.0%
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually  MSCS        2/3/23            0.630%   316,703        979   0.0%
                        3,731 0.0%
  Put Swaptions                                                                  
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly   GSI       8/18/21            1.060%    27,890         17   0.0%
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly   GSI       8/18/21            1.060%    18,510         12   0.0%
44
Intermediate-Term Investment-Grade Fund
    Counterparty Expiration
Date 		Exercise Rate Notional
Amount on
Underlying
Swap
($000) 		Market
Value•
($000) 		Percentage
of Net
Assets
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly   GSI       8/18/21            1.060%    13,090          8   0.0%
                         37 0.0%
Total Options Purchased (Cost $6,122) 3,768 0.0%
Total Investments (Cost $36,204,231)   37,535,592 99.3%
Other Assets and Liabilities—Net   260,749 0.7%
Net Assets   37,796,341 100.0%
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.
1 Securities with a value of $16,269,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $43,386,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $1,230,000 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 Variable-rate security; rate shown is effective rate at period end. Certain variable-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 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, the aggregate value was $3,487,764,000, representing 9.2% of net assets.
8 Certain securities have face amount denominated in Australian dollars.
9 Certain securities have face amount denominated in euro.
10 Certain securities have face amount denominated in British pounds.
11 Guaranteed by the Republic of Azerbaijan.
12 Guaranteed by multiple countries.
13 Non-income-producing security—security in default.
14 Certain of the fund’s securities are valued using significant unobservable inputs.
15 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
16 Guaranteed by the State of Qatar.
17 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
18 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  3M—3-month.
  BNPSW—BNP Paribas.
  CITNA—Citibank NA.
  GSI—Goldman Sachs International.
  LIBOR—London Interbank Offered Rate.
  MSCS—Morgan Stanley Capital Services LLC.
  NGFP—Nomura Global Financial Products Inc.
45
Intermediate-Term Investment-Grade Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
10-Year U.S. Treasury Note September 2021 18,137 2,438,576 31,009
Ultra 10-Year U.S. Treasury Note September 2021 8,894 1,336,324 11,192
        42,201
Short Futures Contracts        
2-Year U.S. Treasury Note September 2021 (2,402) (530,016) (121)
5-Year U.S. Treasury Note September 2021 (1,510) (187,912) 8
AUD 10-Year Treasury Bond September 2021 (351) (37,452) (1,051)
AUD 3-Year Treasury Bond September 2021 (1,070) (91,931) (101)
Euro-Bobl September 2021 (2,367) (380,071) (3,222)
Euro-Bund September 2021 (1,426) (298,684) (6,362)
Euro-Buxl September 2021 (276) (70,405) (4,148)
Euro-Schatz September 2021 (406) (54,112) (90)
Long Gilt September 2021 (1,244) (224,428) (1,864)
Long U.S. Treasury Bond September 2021 (1,434) (236,207) (10,091)
Ultra Long U.S. Treasury Bond September 2021 (1,787) (356,562) (21,003)
        (48,045)
        (5,844)
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
Morgan Stanley Capital Services Inc. 8/27/21 EUR 22,195 USD 26,240 103 —
UBS AG 8/27/21 MXN 37,453 USD 1,860 14 —
JPMorgan Chase Bank, N.A. 8/27/21 ZAR 23,919 USD 1,608 19 —
State Street Bank & Trust Co. 8/27/21 USD 164,321 AUD 223,028 627 —
Barclays Bank plc 8/27/21 USD 160,502 AUD 217,691 726 —
State Street Bank & Trust Co. 8/27/21 USD 471,867 EUR 400,867 — (3,917)
Goldman Sachs Bank USA 8/27/21 USD 471,786 EUR 400,867 — (3,998)
State Street Bank & Trust Co. 8/27/21 USD 16,234 EUR 13,657 24 —
JPMorgan Chase Bank, N.A. 8/27/21 USD 1,529 EUR 1,294 — (7)
Toronto-Dominion Bank 8/27/21 USD 326,036 GBP 237,066 — (3,506)
Morgan Stanley Capital Services Inc. 8/27/21 USD 50,553 GBP 36,588 — (308)
46
Intermediate-Term Investment-Grade Fund
Forward Currency Contracts (continued)
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
JPMorgan Chase Bank, N.A. 8/27/21 USD 8,021 GBP 5,827 — (79)
Toronto-Dominion Bank 8/27/21 USD 75 JPY 8,326 — —
            1,513 (11,815)
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
MXN—Mexican pesos.
USD—U.S. dollar.
ZAR—South African rand.
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-IG-S36-V1 6/21/24 USD 67,550 1.000 1,488 17
 
Credit Protection Purchased            
CDX-NA-HY-S36-V1 6/23/26 USD 18,510 (5.000) (1,828) 17
CDX-NA-IG-S36-V1 6/23/26 USD 42,018 (1.000) (1,070) (39)
          (2,898) (22)
          (1,410) (5)
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
    
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Ally Financial Inc./Ba1 12/23/25 GSI 1,630 1.000 18 10 8 —
America Movil SAB de CV/A3 12/21/22 BARC 15,000 1.000 146 (40) 186 —
American Express Co./A3 12/23/25 GSI 1,630 1.000 51 47 4 —
American International Group Inc./Baa2 12/23/25 GSI 1,630 1.000 35 20 15 —
Berkshire Hathaway Inc./Aa2 12/21/24 BARC 19,400 1.000 566 389 177 —
47
Intermediate-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Berkshire Hathaway Inc./Aa2 12/21/24 JPMC 9,400 1.000 274 182 92 —
Berkshire Hathaway Inc./Aa2 12/21/22 BARC 7,605 1.000 104 36 68 —
Berkshire Hathaway Inc./Aa2 6/21/22 BARC 15,760 1.000 147 47 100 —
Boeing Co./Baa2 12/23/25 GSI 1,630 1.000 (1) (8) 7 —
Chubb INA Holdings Inc./A3 12/23/25 GSI 1,630 1.000 59 53 6 —
Comcast Corp./A3 12/23/25 GSI 1,630 1.000 46 42 4 —
CVS Health Corp./Baa2 12/23/25 GSI 1,630 1.000 48 34 14 —
Dominion Energy Inc./Baa2 12/23/25 GSI 1,630 1.000 51 42 9 —
Dow Chemical Co./Baa2 12/23/25 GSI 1,630 1.000 37 27 10 —
Enbridge Inc./Baa1 12/23/25 GSI 1,630 1.000 29 24 5 —
General Electric Co./Baa1 12/23/25 GSI 1,630 1.000 26 8 18 —
General Motors Co./Baa3 12/23/25 GSI 1,630 1.000 16 (1) 17 —
International Business Machines Corp./A2 12/23/25 GSI 1,630 1.000 51 44 7 —
Kroger Co./Baa1 12/23/25 GSI 1,630 1.000 45 34 11 —
Lincoln National Corp./Baa1 12/23/25 GSI 1,630 1.000 29 19 10 —
Lowe's Cos. Inc./Baa1 12/23/25 GSI 1,630 1.000 52 44 8 —
Marathon Petroleum Corp./Baa2 12/23/25 GSI 1,630 1.000 21 13 8 —
Marsh & McLennan Cos. Inc./Baa1 12/23/25 GSI 1,630 1.000 57 51 6 —
Metlife Inc./A3 12/23/25 GSI 1,630 1.000 39 32 7 —
Metlife Inc./A3 6/21/24 BARC 24,300 1.000 535 13 522 —
Metlife Inc./A3 12/21/21 BARC 3,165 1.000 14 — 14 —
Mondelez International Inc./Baa1 12/23/25 GSI 1,630 1.000 50 39 11 —
People’s Republic of China/A1 6/21/22 BNPSW 22,800 1.000 213 35 178 —
48
Intermediate-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Prudential Financial Inc./A3 12/23/25 GSI 1,630 1.000 40 32 8 —
Republic of Chile/A1 6/23/26 JPMC 20,000 1.000 309 325 — (16)
Republic of Indonesia/Baa2 6/23/26 BARC 19,600 1.000 198 232 — (34)
Republic of Indonesia/Baa2 6/23/26 BARC 17,604 1.000 178 208 — (30)
Republic of Indonesia/Baa2 6/23/26 BARC 15,000 1.000 152 163 — (11)
Republic of Indonesia/Baa2 6/23/26 BARC 8,700 1.000 88 103 — (15)
Republic of Peru/A3 6/23/26 BARC 5,100 1.000 (1) 14 — (15)
Republic of Peru/A3 6/23/26 BNPSW 13,060 1.000 (1) 93 — (94)
Russian Federation/Baa3 6/23/26 GSI 21,614 1.000 155 (5) 160 —
Simon Property Group LP/A3 12/23/25 GSI 1,630 1.000 29 20 9 —
Unibail-Rodamco-Westfield SE/Baa1 6/23/26 GSI 12,1002 1.000 (17) (164) 147 —
UnitedHealth Group Inc./A3 12/23/25 GSI 1,630 1.000 52 47 5 —
Verizon Communications Inc./Baa1 12/23/25 GSI 1,630 1.000 43 32 11 —
Verizon Communications Inc./Baa1 12/21/22 GSI 15,585 1.000 187 75 112 —
          4,170 2,411 1,974 (215)
Credit Protection Purchased
Bank of China Ltd. 6/21/22 BNPSW 22,800 (1.000) (200) (1) — (199)
Bank of China Ltd. 12/21/21 BNPSW 6,200 (1.000) (29) 2 — (31)
CVS Health Corp. 12/21/21 BARC 3,220 (1.000) (15) (8) — (7)
CVS Health Corp. 12/21/21 BOANA 15,000 (1.000) (71) (38) — (33)
Deutsche Bank AG 12/21/22 JPMC 9,115 (1.000) (93) (12) — (81)
Federative Republic of Brazil 6/23/26 MSCS 9,220 (1.000) 321 332 — (11)
Lincoln National Corp. 12/21/21 BARC 3,165 (1.000) (15) 1 — (16)
McDonald’s Corp. 6/22/22 GSI 12,325 (1.000) (117) (69) — (48)
49
Intermediate-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps (continued)
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Republic of Philippines 6/23/26 BNPSW 7,940 (1.000) (196) (208) 12 —
Republic of Turkey 6/23/26 MSCS 3,055 (1.000) 371 291 80 —
Societe Generale SA 12/21/21 JPMC 14,675 (1.000) (61) (7) — (54)
Standard Chartered plc 12/21/21 JPMC 7,945 (1.000) (39) 1 — (40)
State of Qatar 6/21/22 BOANA 1,360 (1.000) (12) 3 — (15)
State of Qatar 6/21/22 CITNA 2,640 (1.000) (24) 5 — (29)
          (180) 292 92 (564)
          3,990 2,703 2,066 (779)
1 Periodic premium received/paid quarterly.
2 Notional amount denominated in euro.
BARC—Barclays Bank plc.
BNPSW—BNP Paribas.
BOANA—Bank of America, N.A.
CITNA—Citibank NA.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
MSCS—Morgan Stanley Capital Services LLC.
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.
At July 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $2,701,000 and cash of $5,342,000 in connection with open forward currency contracts and open over-the-counter swap contracts.
Centrally Cleared Interest Rate Swaps
Termination
Date 		Future
Effective
Date 		Notional
Amount
($000) 		Interest
Rate
Received
(%) 		Interest
Rate
(Paid)
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
6/16/23 N/A 3,603 0.0001 (0.049)2 (7) —
6/16/23 N/A 3,603 0.0492 (0.123)1 — —
6/17/24 N/A 12,946 0.0001 (0.049)2 (93) 5
6/17/24 N/A 12,946 0.0492 (0.294)1 (8) (7)
          (108) (2)
1 Interest payment received/paid annually.
2 Based on Secured Overnight Financing Rate (SOFR) as of the most recent payment date. Interest payment received/paid annually.
  
See accompanying Notes, which are an integral part of the Financial Statements.
50
Intermediate-Term Investment-Grade Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $35,986,304) 37,317,660
Affiliated Issuers (Cost $217,927) 217,932
Total Investments in Securities 37,535,592
Investment in Vanguard 1,273
Cash 3,028
Foreign Currency, at Value (Cost $15,059) 15,028
Receivables for Investment Securities Sold 304,154
Receivables for Accrued Income 260,423
Receivables for Capital Shares Issued 21,807
Swap Premiums Paid 3,264
Variation Margin Receivable—Futures Contracts 2,506
Variation Margin Receivable—Centrally Cleared Swap Contracts 92
Unrealized Appreciation—Forward Currency Contracts 1,513
Unrealized Appreciation—Over-the-Counter Swap Contracts 2,066
Other Assets 100
Total Assets 38,150,846
Liabilities  
Payables for Investment Securities Purchased 310,856
Payables for Capital Shares Redeemed 18,776
Payables for Distributions 9,973
Payables to Vanguard 1,745
Swap Premiums Received 561
Unrealized Depreciation—Forward Currency Contracts 11,815
Unrealized Depreciation—Over-the-Counter Swap Contracts 779
Total Liabilities 354,505
Net Assets 37,796,341
51
Intermediate-Term Investment-Grade Fund
Statement of Assets and Liabilities (continued)
At July 31, 2021, net assets consisted of:  
($000s, except shares and per-share amounts) Amount
Paid-in Capital 36,195,344
Total Distributable Earnings (Loss) 1,600,997
Net Assets 37,796,341
 
Investor Shares—Net Assets  
Applicable to 211,419,746 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		2,179,850
Net Asset Value Per Share—Investor Shares $10.31
 
Admiral Shares—Net Assets  
Applicable to 3,454,380,376 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		35,616,491
Net Asset Value Per Share—Admiral Shares $10.31
  
See accompanying Notes, which are an integral part of the Financial Statements.
52
Intermediate-Term Investment-Grade Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 435,593
Total Income 435,593
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,697
Management and Administrative—Investor Shares 1,885
Management and Administrative—Admiral Shares 14,390
Marketing and Distribution—Investor Shares 128
Marketing and Distribution—Admiral Shares 842
Custodian Fees 156
Shareholders’ Reports—Investor Shares 37
Shareholders’ Reports—Admiral Shares 190
Trustees’ Fees and Expenses 13
Total Expenses 19,338
Net Investment Income 416,255
Realized Net Gain (Loss)  
Investment Securities Sold1 231,718
Futures Contracts 49,566
Options Purchased (1,763)
Options Written 1,549
Swap Contracts 4,262
Forward Currency Contracts 54,539
Foreign Currencies (5,773)
Realized Net Gain (Loss) 334,098
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (346,250)
Futures Contracts (16,907)
Options Purchased (2,435)
Options Written (158)
Swap Contracts 2,563
Forward Currency Contracts (22,967)
Foreign Currencies (154)
Change in Unrealized Appreciation (Depreciation) (386,308)
Net Increase (Decrease) in Net Assets Resulting from Operations 364,045
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $192,000, $0, 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.
53
Intermediate-Term Investment-Grade Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 416,255   868,577
Realized Net Gain (Loss) 334,098   1,297,445
Change in Unrealized Appreciation (Depreciation) (386,308)   274,647
Net Increase (Decrease) in Net Assets Resulting from Operations 364,045   2,440,669
Distributions      
Investor Shares (37,940)   (130,968)
Admiral Shares (610,994)   (1,911,445)
Total Distributions (648,934)   (2,042,413)
Capital Share Transactions      
Investor Shares (104,359)   (190,626)
Admiral Shares 787,804   3,585,341
Net Increase (Decrease) from Capital Share Transactions 683,445   3,394,715
Total Increase (Decrease) 398,556   3,792,971
Net Assets      
Beginning of Period 37,397,785   33,604,814
End of Period 37,796,341   37,397,785
  
See accompanying Notes, which are an integral part of the Financial Statements.
54
Intermediate-Term Investment-Grade Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.39 $10.23 $9.52 $9.61 $9.66 $9.72
Investment Operations            
Net Investment Income .1101 .2521 .3001 .3001 .2771 .278
Net Realized and Unrealized Gain (Loss) on Investments (.015) .500 .711 (.087) (.034) .030
Total from Investment Operations .095 .752 1.011 .213 .243 .308
Distributions            
Dividends from Net Investment Income (.111) (.257) (.301) (.303) (.274) (.276)
Distributions from Realized Capital Gains (.064) (.335) — — (.016) (.092)
Total Distributions (.175) (.592) (.301) (.303) (.290) (.368)
Net Asset Value, End of Period $10.31 $10.39 $10.23 $9.52 $9.61 $9.66
Total Return2 0.96% 7.49% 10.76% 2.31% 2.47% 3.16%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,180 $2,305 $2,459 $2,115 $2,472 $2,671
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 2.19% 2.41% 3.03% 3.20% 2.84% 2.80%
Portfolio Turnover Rate 45%3 113%3,4 114%3 73%3 63% 68%
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 Includes 1%, 12%, 1% and 1%, respectively, attributable to mortgage-dollar-roll activity.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
See accompanying Notes, which are an integral part of the Financial Statements.
55
Intermediate-Term Investment-Grade Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.39 $10.23 $9.52 $9.61 $9.66 $9.72
Investment Operations            
Net Investment Income .1151 .2611 .3091 .3101 .2881 .288
Net Realized and Unrealized Gain (Loss) on Investments (.015) .501 .712 (.087) (.039) .030
Total from Investment Operations .100 .762 1.021 .223 .249 .318
Distributions            
Dividends from Net Investment Income (.116) (.267) (.311) (.313) (.283) (.286)
Distributions from Realized Capital Gains (.064) (.335) — — (.016) (.092)
Total Distributions (.180) (.602) (.311) (.313) (.299) (.378)
Net Asset Value, End of Period $10.31 $10.39 $10.23 $9.52 $9.61 $9.66
Total Return2 1.01% 7.59% 10.87% 2.41% 2.58% 3.27%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $35,616 $35,093 $31,146 $27,011 $27,000 $25,145
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 2.29% 2.50% 3.13% 3.30% 2.94% 2.90%
Portfolio Turnover Rate 45%3 113%3,4 114%3 73%3 63% 68%
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 Includes 1%, 12%, 1% and 1%, respectively, attributable to mortgage-dollar-roll activity.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
  
See accompanying Notes, which are an integral part of the Financial Statements.
56
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 exposure. 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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued 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
57
Intermediate-Term Investment-Grade Fund
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 clearing house 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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 9% and 5% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any 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 forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
58
Intermediate-Term Investment-Grade Fund
During the six months ended July 31, 2021, the fund’s average investment in forward currency contracts represented 3% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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 either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rate, and receive a different 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 in 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 in 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, 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.
6. 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.
59
Intermediate-Term Investment-Grade Fund
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 either an amount that is a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, applied to a notional amount. In return, the counterparty agrees to pay a different floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
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.
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
60
Intermediate-Term Investment-Grade 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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement 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.
During the six months ended July 31, 2021, 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 the notional amounts at each quarter-end during the period. 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.
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
8. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also 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
61
Intermediate-Term Investment-Grade Fund
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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate 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, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
62
Intermediate-Term Investment-Grade Fund
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, 2021, the fund had contributed to Vanguard capital in the amount of $1,273,000, representing less than 0.01% of the fund’s net assets and 0.51% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
63
Intermediate-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 2,752,105 — 2,752,105
Asset-Backed/Commercial Mortgage-Backed Securities — 1,813,560 — 1,813,560
Corporate Bonds — 31,064,231 3 31,064,234
Sovereign Bonds — 1,632,932 — 1,632,932
Taxable Municipal Bonds — 51,061 — 51,061
Temporary Cash Investments 217,932 — — 217,932
Options Purchased — 3,768 — 3,768
Total 217,932 37,317,657 3 37,535,592
Derivative Financial Instruments         
Assets        
Futures Contracts1 42,209 — — 42,209
Forward Currency Contracts — 1,513 — 1,513
Swap Contracts 391 2,066 — 2,105
Total 42,248 3,579 — 45,827
Liabilities        
Futures Contracts1 48,053 — — 48,053
Forward Currency Contracts — 11,815 — 11,815
Swap Contracts 461 779 — 825
Total 48,099 12,594 — 60,693
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) 3,731 — 37 3,768
Swap Premiums Paid — — 3,264 3,264
Unrealized Appreciation—Futures Contracts1 42,209 — — 42,209
Unrealized Appreciation—Centrally Cleared Swap Contracts1 5 — 34 39
64
Intermediate-Term Investment-Grade Fund
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Appreciation—Forward Currency Contracts — 1,513 — 1,513
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 2,066 2,066
Total Assets 45,945 1,513 5,401 52,859
         
Swap Premiums Received — — 561 561
Unrealized Depreciation—Futures Contracts1 48,053 — — 48,053
Unrealized Depreciation—Centrally Cleared Swap Contracts1 7 — 39 46
Unrealized Depreciation—Forward Currency Contracts — 11,815 — 11,815
Unrealized Depreciation—
Over-the-Counter Swap Contracts 		— — 779 779
Total Liabilities 48,060 11,815 1,379 61,254
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2021, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts 49,566 — — 49,566
Options Purchased (28) — (1,735) (1,763)
Options Written — — 1,549 1,549
Swap Contracts 1,322 — 2,940 4,262
Forward Currency Contracts — 54,539 — 54,539
Realized Net Gain (Loss) on Derivatives 50,860 54,539 2,754 108,153
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts (16,907) — — (16,907)
Options Purchased (1,998) — (437) (2,435)
Options Written — — (158) (158)
Swap Contracts (217) — 2,780 2,563
Forward Currency Contracts — (22,967) — (22,967)
Change in Unrealized Appreciation (Depreciation) on Derivatives (19,122) (22,967) 2,185 (39,904)
65
Intermediate-Term Investment-Grade Fund
E. As of July 31, 2021, 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 36,249,919
Gross Unrealized Appreciation 1,428,287
Gross Unrealized Depreciation (154,777)
Net Unrealized Appreciation (Depreciation) 1,273,510
F. During the six months ended July 31, 2021, the fund purchased $12,147,545,000 of investment securities and sold $10,083,631,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $4,980,562,000 and $6,198,376,000, 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 ended July 31, 2021, such purchases and sales were $60,900,000 and $3,968,685,000, 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
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 220,480 21,613   698,936 66,916
Issued in Lieu of Cash Distributions 33,917 3,362   117,483 11,322
Redeemed (358,756) (35,290)   (1,007,045) (96,799)
Net Increase (Decrease)—Investor Shares (104,359) (10,315)   (190,626) (18,561)
Admiral Shares          
Issued 4,522,226 444,638   9,955,217 951,905
Issued in Lieu of Cash Distributions 526,364 52,167   1,655,354 159,373
Redeemed (4,260,786) (418,815)   (8,025,230) (778,982)
Net Increase (Decrease)—Admiral Shares 787,804 77,990   3,585,341 332,296
H. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
66
Long-Term Investment-Grade Fund
Fund Allocation
As of July 31, 2021
Corporate Bonds - Communications 7.1%
Corporate Bonds - Consumer Discretionary 5.2
Corporate Bonds - Consumer Staples 4.8
Corporate Bonds - Energy 5.5
Corporate Bonds - Financials 18.5
Corporate Bonds - Health Care 11.8
Corporate Bonds - Industrials 3.9
Corporate Bonds - Materials 0.5
Corporate Bonds - Real Estate 0.5
Corporate Bonds - Technology 11.0
Corporate Bonds - Utilities 15.0
Sovereign Bonds 1.7
Taxable Municipal Bonds 8.9
U.S. Government and Agency Obligations 5.6
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.
67
Long-Term Investment-Grade Fund
Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of July 31, 2021
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.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000) 		Percentage
of Net
Assets
U.S. Government and Agency Obligations
U.S. Government Securities                  
  U.S. Treasury Note/Bond1 0.125%–5.250% 10/31/22–5/15/50   251,675    263,820   1.3%
  U.S. Treasury Note/Bond        0.625%          5/15/30   180,000    171,872   0.8%
  U.S. Treasury Note/Bond2        2.375%         11/15/49   100,000    110,469   0.5%
  U.S. Treasury Note/Bond1,2        1.375%          8/15/50   121,100    106,379   0.5%
  U.S. Treasury Note/Bond        4.750%          2/15/41    70,000    105,448   0.5%
  U.S. Treasury Note/Bond        1.125%          8/15/40    84,390     75,173   0.4%
  U.S. Treasury Note/Bond        3.750%          8/15/41    55,095     73,637   0.3%
  U.S. Treasury Note/Bond        4.750%          2/15/37    50,000     72,656   0.3%
  U.S. Treasury Note/Bond        3.000%         11/15/44    55,000     66,791   0.3%
† U.S. Government Securities—Other     26,817   0.1%
  1,073,062 5.0%
†Agency Bonds and Notes           63,911       0.3%
Total U.S. Government and Agency Obligations (Cost $1,109,663) 1,136,973 5.3%
Corporate Bonds
  Communications                  
  Comcast Corp. 2.450%–6.500%  6/15/35–8/15/62   321,224    388,398   1.8%
  Comcast Corp.        4.950%         10/15/58    85,850    121,548   0.6%
  Comcast Corp.        3.969%          11/1/47    85,688    102,018   0.5%
  Comcast Corp.        4.750%           3/1/44    62,715     81,946   0.4%
  Comcast Corp.        4.600%         10/15/38    64,153     80,713   0.4%
  NBCUniversal Media LLC 4.450%–5.950%   4/1/41–1/15/43    39,597     53,292   0.2%
  TWDC Enterprises 18 Corp. 3.000%–7.550%  7/30/46–7/15/93     8,349      9,000   0.0%
  Walt Disney Co. 2.750%–6.650%  12/15/34–9/1/49   164,738    191,176   0.9%
  Walt Disney Co.        3.600%          1/13/51    63,711     73,608   0.4%
68
Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
† Communications—Other3,4    339,827   1.5%
  1,441,526 6.7%
  Consumer Discretionary                  
  Amazon.com Inc. 2.500%–4.950%  8/22/37–5/12/61   196,087    227,967   1.1%
  Amazon.com Inc.        4.050%          8/22/47    95,075    117,819   0.6%
  Home Depot Inc. 3.125%–5.950% 12/16/36–9/15/56   146,074    193,954   0.8%
  Home Depot Inc.        4.875%          2/15/44    60,115     81,792   0.4%
† Consumer Discretionary—Other3,5,6    443,214   2.1%
  1,064,746 5.0%
  Consumer Staples                  
  Walmart Inc.        3.950%          6/28/38    96,757    117,905   0.6%
  Walmart Inc.        3.625%         12/15/47    69,145     82,468   0.4%
  Walmart Inc. 2.950%–5.625%   4/1/40–9/24/49    44,327     56,491   0.3%
† Consumer Staples—Other3,4,6    727,823   3.3%
  984,687 4.6%
  Energy                  
  Exxon Mobil Corp.6 1.408%–4.227%  6/26/39–4/15/51   113,798    129,741   0.7%
  Exxon Mobil Corp.        4.327%          3/19/50    68,181     86,600   0.4%
  Northern Natural Gas Co.3        3.400%         10/16/51     2,800      2,959   0.0%
  Shell International Finance BV 3.125%–6.375%   5/11/35–4/6/50   171,173    209,803   0.9%
  Shell International Finance BV        3.750%          9/12/46    63,375     73,409   0.4%
† Energy—Other3    606,204   2.8%
  1,108,716 5.2%
  Financials                  
  Bank of America Corp. 2.496%–5.875%  2/13/31–3/13/52   233,719    266,412   1.4%
  Bank of America Corp.        4.244%          4/24/38    80,255     95,779   0.5%
  Bank of America Corp.        3.946%          1/23/49    62,960     73,739   0.4%
  Bank of America Corp.        4.083%          3/20/51    57,390     69,394   0.3%
  Bank of America Corp.        3.311%          4/22/42    62,940     67,948   0.3%
  Bank of America NA        6.000%         10/15/36    20,450     29,045   0.1%
  Berkshire Hathaway Finance Corp.        4.250%          1/15/49    64,185     81,625   0.4%
  Berkshire Hathaway Finance Corp. 2.500%–4.400%  5/15/42–1/15/51    46,792     56,394   0.2%
  Berkshire Hathaway Inc.6 0.500%–4.500%  1/15/41–2/11/43    48,370     62,854   0.3%
  Citigroup Inc.        3.878%          1/24/39    70,730     82,662   0.4%
  Goldman Sachs Group Inc.        4.017%         10/31/38   139,440    165,221   0.8%
  Goldman Sachs Group Inc.6 1.000%–6.250% 3/18/33–10/21/45   131,536    157,689   0.8%
  HSBC Holdings plc        6.800%           6/1/38    48,749     70,774   0.3%
  JPMorgan Chase & Co. 3.109%–6.400%  5/15/38–4/22/52   336,922    407,279   2.0%
  JPMorgan Chase & Co.        3.964%         11/15/48    97,835    116,385   0.5%
  JPMorgan Chase & Co.        3.882%          7/24/38    67,662     79,268   0.4%
  MetLife Inc.        4.125%          8/13/42    56,081     68,593   0.3%
  Morgan Stanley 2.239%–7.250%   4/1/31–1/25/52   210,161    257,463   1.3%
  Morgan Stanley        3.971%          7/22/38   103,500    122,274   0.6%
  Wachovia Corp.        5.500%           8/1/35     2,322      3,071   0.0%
  Wells Fargo & Co.4 2.125%–5.013%   9/24/31–4/4/51   171,400    216,254   1.0%
  Wells Fargo & Co.        5.606%          1/15/44   130,765    182,757   0.9%
  Wells Fargo & Co.        5.375%          11/2/43    55,167     75,187   0.4%
  Wells Fargo Bank NA        6.600%          1/15/38       500        745   0.0%
† Financials—Other3,4,6    934,765   3.8%
  3,743,577 17.4%
69
Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  Health Care                  
  Abbott Laboratories        4.900%         11/30/46    76,140    106,702   0.5%
  Bristol-Myers Squibb Co.        4.250%         10/26/49   115,795    149,463   0.7%
  Bristol-Myers Squibb Co. 2.350%–4.550% 6/15/39–11/13/50   106,252    119,247   0.5%
  Johnson & Johnson 2.100%–3.750%    3/1/36–9/1/60   224,826    260,792   1.3%
  Merck & Co. Inc.        3.700%          2/10/45    75,455     89,170   0.4%
  Pfizer Inc. 2.700%–7.200%  9/15/38–5/28/50   190,257    250,743   1.3%
  UnitedHealth Group Inc. 2.300%–6.875%  5/15/31–8/15/59   286,000    346,752   1.8%
  UnitedHealth Group Inc.        4.750%          7/15/45    53,920     72,514   0.3%
  Wyeth LLC        5.950%           4/1/37    53,438     77,931   0.4%
  Wyeth LLC        6.500%           2/1/34     1,240      1,840   0.0%
† Health Care—Other3,5,6    912,430   3.9%
  2,387,584 11.1%
  Industrials                  
  Burlington Northern Santa Fe LLC 3.050%–7.950%  8/15/30–9/15/51   253,893    321,076   1.6%
† Industrials—Other3,4,5    472,118   2.1%
  793,194 3.7%
† Materials3,6           100,491       0.5%
† Real Estate3,4,6           104,137       0.5%
  Technology                  
  Apple Inc. 2.375%–4.650%   2/8/41–8/20/60   400,662    456,654   2.1%
  Apple Inc.        3.850%           5/4/43    63,204     76,237   0.4%
  Intel Corp. 3.100%–4.750%  5/19/46–2/15/60   193,258    219,302   0.9%
  International Business Machines Corp.        4.150%          5/15/39    95,670    115,544   0.5%
  Microsoft Corp.        2.525%           6/1/50   240,789    241,009   1.1%
  Microsoft Corp.        2.921%          3/17/52   134,575    145,198   0.7%
  Microsoft Corp. 3.041%–3.500%  2/12/35–3/17/62    72,707     81,873   0.5%
  Microsoft Corp.        2.675%           6/1/60    66,699     67,656   0.3%
  Oracle Corp. 3.600%–6.500%   7/8/34–5/15/55   173,740    216,644   1.1%
  QUALCOMM Inc.        4.300%          5/20/47    55,300     70,712   0.3%
† Technology—Other3,6    540,841   2.5%
  2,231,670 10.4%
  Utilities                  
  Baltimore Gas and Electric Co. 2.900%–6.350%  10/1/36–6/15/50    29,120     36,889   0.2%
  Berkshire Hathaway Energy Co. 2.850%–6.125%   4/1/36–5/15/51    91,427    118,497   0.6%
  Commonwealth Edison Co. 3.125%–5.900%  3/15/36–3/15/51   118,886    146,274   0.8%
  Duke Energy Carolinas LLC 3.200%–6.100%   6/1/37–4/15/51   122,642    153,386   0.8%
  Duke Energy Florida LLC 3.400%–6.350%  9/15/37–7/15/48     4,958      6,334   0.0%
  Duke Energy Indiana LLC 4.200%–6.450% 10/15/35–7/15/43    55,327     73,481   0.4%
  Duke Energy Ohio Inc. 3.700%–4.300%   6/15/46–2/1/49    11,325     13,169   0.1%
  Duke Energy Progress LLC 3.700%–4.200% 5/15/42–10/15/46   104,486    127,144   0.5%
  MidAmerican Energy Co. 2.700%–5.800%  10/15/36–8/1/52    70,479     90,785   0.4%
  Nevada Power Co. 5.375%–6.650%   4/1/36–5/15/41    43,880     60,541   0.2%
  Northern States Power Co. 2.600%–6.250%    6/1/36–6/1/51    67,877     86,821   0.5%
  PacifiCorp 3.300%–6.350%  6/15/35–3/15/51   161,141    218,016   1.0%
  PECO Energy Co. 3.050%–4.800% 10/15/43–3/15/51    75,156     89,630   0.5%
  Potomac Electric Power Co. 4.150%–7.900% 11/15/37–3/15/43    14,877     18,723   0.1%
70
Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  Public Service Co. of Colorado 3.200%–6.250%    9/1/37–3/1/50    66,796     81,080   0.3%
  Southwestern Public Service Co. 3.150%–4.500%   8/15/41–5/1/50    56,685     67,246   0.3%
  Virginia Electric and Power Co.        6.000%          5/15/37    57,203     81,192   0.4%
† Utilities—Other3,4,5,6  1,568,771   7.0%
  3,037,979 14.1%
Total Corporate Bonds (Cost $14,471,128) 16,998,307 79.2%
Sovereign Bonds    
  Republic of Chile        3.100%           5/7/41    78,715     79,649   0.4%
† Sovereign Bonds—Other3,5,6    259,312   1.2%
Total Sovereign Bonds (Cost $327,715) 338,961 1.6%
Taxable Municipal Bonds    
  California GO        7.600%          11/1/40    56,685    100,834   0.5%
  California GO        7.300%          10/1/39    47,286     76,788   0.4%
  California GO 2.500%–7.550%   10/1/29–4/1/39    42,950     54,066   0.3%
  Metropolitan Transportation Authority Miscellaneous Taxes Revenue        7.336%         11/15/39    50,780     84,163   0.4%
† Taxable Municipal Bonds—Other7,8,9  1,481,345   6.8%
Total Taxable Municipal Bonds (Cost $1,389,564) 1,797,196 8.4%
          Shares    
Temporary Cash Investments
Money Market Fund    
  Vanguard Market Liquidity Fund 10        0.064%                  3,759,065           375,907       1.7%
        Maturity
Date 		Face
Amount
($000) 		   
Repurchase Agreements    
  Bank of America Securities LLC
(Dated 7/30/21, Repurchase Value $149,001,000, collateralized by Federal Farm Credit Bank 2.710%–5.250%, 4/21/28–4/6/45, with a value of $151,981,000) 		       0.050%           8/2/21   149,000    149,000   0.7%
71
Long-Term Investment-Grade Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000) 		Percentage
of Net
Assets
  Barclays Capital Inc.
(Dated 7/30/21, Repurchase Value $228,501,000, collateralized by U.S. Treasury Bill 0.000%, 9/30/21, and U.S. Treasury Note/Bond 2.875%–3.750%, 11/15/43–5/15/49, with a value of $233,070,000) 		       0.050%           8/2/21   228,500    228,500   1.1%
  Citigroup Global Markets Inc.
(Dated 7/30/21, Repurchase Value $88,000,000, collateralized by U.S. Treasury Note/Bond 1.250%–2.875%, 2/15/45–11/15/50, with a value of $89,760,000) 		       0.050%           8/2/21    88,000     88,000   0.4%
  RBC Capital Markets LLC
(Dated 7/30/21, Repurchase Value $53,700,000, collateralized by Federal National Mortgage Association 2.000%, 5/1/51, and U.S. Treasury Note/Bond 0.125%, 1/31/23, with a value of $54,774,000) 		       0.050%           8/2/21    53,700     53,700   0.2%
  Wells Fargo & Co.
(Dated 7/30/21, Repurchase Value $227,101,000, collateralized by Federal National Mortgage Association 3.000%–6.000%, 6/1/28–2/1/49, with a value of $231,642,000) 		       0.060%           8/2/21   227,100    227,100   1.1%
  746,300 3.5%
Total Temporary Cash Investments (Cost $1,122,192) 1,122,207 5.2%
72
Long-Term Investment-Grade Fund
    Counterparty Expiration
Date 		Exercise Rate Notional
Amount on
Underlying
Swap
($000) 		Market
Value•
($000) 		Percentage
of Net
Assets
Options Purchased        
Over-the-Counter Swaptions
  Put Swaptions                                                               
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI       8/18/21           1.060%     1,735          1   0.0%
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI       8/18/21           1.060%     1,150          1   0.0%
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI       8/18/21           1.060%     2,435          1   0.0%
                         3 0.0%
Total Options Purchased (Cost $45) 3 0.0%
Total Investments (Cost $18,420,307)   21,393,647 99.7%
Other Assets and Liabilities—Net   69,212 0.3%
Net Assets   21,462,859 100.0%
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.
1 Securities with a value of $26,208,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $93,114,000 have been segregated as initial margin for open centrally cleared swap contracts.
3 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, the aggregate value was $917,404,000, representing 4.3% of net assets.
4 Certain securities have face amount denominated in British pounds.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Certain securities have face amount denominated in euro.
7 Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp.
8 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
9 Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp.
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.
  GO—General Obligation Bond.
  GSI—Goldman Sachs International.
73
Long-Term Investment-Grade Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
10-Year U.S. Treasury Note September 2021 262 35,227 207
5-Year U.S. Treasury Note September 2021 59 7,342 15
Long U.S. Treasury Bond September 2021 4,409 726,245 31,682
Ultra 10-Year U.S. Treasury Note September 2021 403 60,551 1,662
Ultra Long U.S. Treasury Bond September 2021 1,156 230,658 12,431
        45,997
Short Futures Contracts        
10-Year U.S. Treasury Note September 2021 (548) (73,680) (448)
2-Year U.S. Treasury Note September 2021 (174) (38,394) (16)
Euro-Bobl September 2021 (5) (803) (8)
Euro-Bund September 2021 (134) (28,067) (658)
Euro-Buxl September 2021 (49) (12,499) (704)
Euro-Schatz September 2021 (11) (1,466) (2)
Long Gilt September 2021 (161) (29,046) (569)
Ultra 10-Year U.S. Treasury Note September 2021 (3) (451) 1
Ultra Long U.S. Treasury Bond September 2021 (440) (87,794) (613)
        (3,017)
        42,980
    
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
State Street Bank & Trust Co. 8/27/21 USD 91 AUD 124 — —
Barclays Bank plc 8/27/21 USD 91 AUD 124 — —
State Street Bank & Trust Co. 8/27/21 USD 21,329 EUR 18,120 — (177)
Goldman Sachs Bank USA 8/27/21 USD 21,326 EUR 18,120 — (181)
Bank of America, N.A. 8/27/21 USD 4,563 EUR 3,878 — (40)
JPMorgan Chase Bank, N.A. 8/27/21 USD 103 EUR 87 — —
Toronto-Dominion Bank 8/27/21 USD 24,449 GBP 17,777 — (263)
State Street Bank & Trust Co. 8/27/21 USD 1,374 GBP 999 — (14)
74
Long-Term Investment-Grade Fund
Forward Currency Contracts (continued)
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
Toronto-Dominion Bank 8/27/21 USD 4 JPY 447 — —
Citibank, N.A. 8/27/21 USD — MXN 4 — —
            — (675)
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
JPY—Japanese yen.
MXN—Mexican pesos.
USD—U.S. dollar.
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-IG-S36-V1 6/21/24 USD 14,660 1.000 323 4
CDX-NA-IG-S36-V1 6/23/26 USD 2,804,172 1.000 71,394 10,436
          71,717 10,440
Credit Protection Purchased            
CDX-NA-HY-S36-V1 6/23/26 USD 1,150 (5.000) (113) 1
          71,604 10,441
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
75
Long-Term Investment-Grade Fund
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Metlife Inc./A3 12/21/21 GSI 10,000 1.000 48 3 45 —
 
Credit Protection Purchased
Bank of China Ltd. 12/21/21 BNPSW 300 (1.000) (2) — — (2)
          46 3 45 (2)
1 Periodic premium received/paid quarterly.
BNPSW—BNP Paribas.
GSI—Goldman Sachs International.
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.
At July 31, 2021, the counterparties had deposited in segregated accounts cash of $40,000 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.
76
Long-Term Investment-Grade Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $18,044,415) 21,017,740
Affiliated Issuers (Cost $375,892) 375,907
Total Investments in Securities 21,393,647
Investment in Vanguard 724
Foreign Currency, at Value (Cost $334) 333
Receivables for Investment Securities Sold 11,446
Receivables for Accrued Income 180,530
Receivables for Capital Shares Issued 4,641
Swap Premiums Paid 3
Variation Margin Receivable—Futures Contracts 2,953
Unrealized Appreciation—Over-the-Counter Swap Contracts 45
Other Assets 54
Total Assets 21,594,376
Liabilities  
Due to Custodian 1,495
Payables for Investment Securities Purchased 97,321
Payables to Investment Advisor 754
Payables for Capital Shares Redeemed 20,267
Payables for Distributions 7,276
Payables to Vanguard 1,177
Variation Margin Payable—Centrally Cleared Swap Contracts 2,550
Unrealized Depreciation—Forward Currency Contracts 675
Unrealized Depreciation—Over-the-Counter Swap Contracts 2
Total Liabilities 131,517
Net Assets 21,462,859
77
Long-Term Investment-Grade Fund
Statement of Assets and Liabilities (continued)
At July 31, 2021, net assets consisted of:  
($000s, except shares and per-share amounts) Amount
Paid-in Capital 18,347,222
Total Distributable Earnings (Loss) 3,115,637
Net Assets 21,462,859
 
Investor Shares—Net Assets  
Applicable to 473,901,999 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		5,396,729
Net Asset Value Per Share—Investor Shares $11.39
 
Admiral Shares—Net Assets  
Applicable to 1,410,812,256 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		16,066,130
Net Asset Value Per Share—Admiral Shares $11.39
  
See accompanying Notes, which are an integral part of the Financial Statements.
78
Long-Term Investment-Grade Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 325,405
Total Income 325,405
Expenses  
Investment Advisory Fees—Note B 1,589
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 4,746
Management and Administrative—Admiral Shares 6,997
Marketing and Distribution—Investor Shares 207
Marketing and Distribution—Admiral Shares 387
Custodian Fees 84
Shareholders’ Reports—Investor Shares 52
Shareholders’ Reports—Admiral Shares 25
Trustees’ Fees and Expenses 15
Total Expenses 14,102
Net Investment Income 311,303
Realized Net Gain (Loss)  
Investment Securities Sold1 153,092
Futures Contracts (57,858)
Options Purchased (221)
Options Written 228
Swap Contracts 19,340
Forward Currency Contracts 1,823
Foreign Currencies (169)
Realized Net Gain (Loss) 116,235
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (91,878)
Futures Contracts 52,414
Options Purchased (35)
Options Written (26)
Swap Contracts 9,685
Forward Currency Contracts (957)
Foreign Currencies (5)
Change in Unrealized Appreciation (Depreciation) (30,802)
Net Increase (Decrease) in Net Assets Resulting from Operations 396,736
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $209,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
79
Long-Term Investment-Grade Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 311,303   620,349
Realized Net Gain (Loss) 116,235   856,736
Change in Unrealized Appreciation (Depreciation) (30,802)   (178,659)
Net Increase (Decrease) in Net Assets Resulting from Operations 396,736   1,298,426
Distributions      
Investor Shares (99,095)   (334,548)
Admiral Shares (303,125)   (1,083,369)
Total Distributions (402,220)   (1,417,917)
Capital Share Transactions      
Investor Shares 326,436   140,872
Admiral Shares 616,593   227,298
Net Increase (Decrease) from Capital Share Transactions 943,029   368,170
Total Increase (Decrease) 937,545   248,679
Net Assets      
Beginning of Period 20,525,314   20,276,635
End of Period 21,462,859   20,525,314
  
See accompanying Notes, which are an integral part of the Financial Statements.
80
Long-Term Investment-Grade Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.42 $11.48 $9.79 $10.40 $10.06 $10.00
Investment Operations            
Net Investment Income .1631 .3491 .3811 .3971 .4051 .416
Net Realized and Unrealized Gain (Loss) on Investments .019 .399 1.854 (.560) .520 .260
Total from Investment Operations .182 .748 2.235 (.163) .925 .676
Distributions            
Dividends from Net Investment Income (.172) (.368) (.399) (.413) (.421) (.435)
Distributions from Realized Capital Gains (.040) (.440) (.146) (.034) (.164) (.181)
Total Distributions (.212) (.808) (.545) (.447) (.585) (.616)
Net Asset Value, End of Period $11.39 $11.42 $11.48 $9.79 $10.40 $10.06
Total Return2 1.70% 6.54% 23.31% -1.45% 9.28% 6.71%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $5,397 $5,070 $4,942 $4,098 $4,570 $4,069
Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets 3.01% 2.97% 3.57% 4.08% 3.87% 3.92%
Portfolio Turnover Rate 10% 30% 34%3 32%3 27% 24%
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 Includes 1% and 0%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
81
Long-Term Investment-Grade Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $11.42 $11.48 $9.79 $10.40 $10.06 $10.00
Investment Operations            
Net Investment Income .1691 .3611 .3921 .4071 .4151 .426
Net Realized and Unrealized Gain (Loss) on Investments .019 .399 1.853 (.560) .520 .260
Total from Investment Operations .188 .760 2.245 (.153) .935 .686
Distributions            
Dividends from Net Investment Income (.178) (.380) (.409) (.423) (.431) (.445)
Distributions from Realized Capital Gains (.040) (.440) (.146) (.034) (.164) (.181)
Total Distributions (.218) (.820) (.555) (.457) (.595) (.626)
Net Asset Value, End of Period $11.39 $11.42 $11.48 $9.79 $10.40 $10.06
Total Return2 1.75% 6.64% 23.43% -1.35% 9.39% 6.82%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $16,066 $15,455 $15,335 $12,820 $11,925 $10,336
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12% 0.12% 0.12% 0.11%
Ratio of Net Investment Income to Average Net Assets 3.11% 3.07% 3.67% 4.18% 3.97% 4.03%
Portfolio Turnover Rate 10% 30% 34%3 32%3 27% 24%
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 Includes 1% and 0%, respectively, attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
82
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 exposure. 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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued 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
83
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 7% and 2% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any 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 forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
84
Long-Term Investment-Grade Fund
During the six months ended July 31, 2021, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period.
5. 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 either a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rate, and receive a different 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 in 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 in 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. The notional amounts of option contracts are not recorded in the Statement of Assets and Liabilities. 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, 2021, 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.
6. 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.
85
Long-Term Investment-Grade Fund
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 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.
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation
86
Long-Term Investment-Grade Fund
(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.
During the six months ended July 31, 2021, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 17% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
7. 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 also 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.
8. 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.
9. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
87
Long-Term Investment-Grade Fund
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 alternate 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, 2021, 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.
88
Long-Term Investment-Grade Fund
B. Wellington Management Company llp provides investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor.
Vanguard provides investment advisory services to a portion of the fund as described below; the fund paid Vanguard advisory fees of $97,000 for the six months ended July 31, 2021.
For the six months ended July 31, 2021, 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, 2021, the fund had contributed to Vanguard capital in the amount of $724,000, representing less than 0.01% of the fund’s net assets and 0.29% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
89
Long-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 1,136,973 — 1,136,973
Corporate Bonds — 16,998,307 — 16,998,307
Sovereign Bonds — 338,961 — 338,961
Taxable Municipal Bonds — 1,797,196 — 1,797,196
Temporary Cash Investments 375,907 746,300 — 1,122,207
Options Purchased — 3 — 3
Total 375,907 21,017,740 — 21,393,647
Derivative Financial Instruments         
Assets        
Futures Contracts1 45,998 — — 45,998
Swap Contracts 10,4411 45 — 10,486
Total 56,439 45 — 56,484
Liabilities        
Futures Contracts1 3,018 — — 3,018
Forward Currency Contracts — 675 — 675
Swap Contracts — 2 — 2
Total 3,018 677 — 3,695
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Investments in Secuties, at Value—Unaffiliated Issuers (Options Purchased) — — 3 3
Swap Premiums Paid — — 3 3
Unrealized Appreciation—Futures Contracts1 45,998 — — 45,998
Unrealized Appreciation—Centrally Cleared Swap Contracts1 — — 10,441 10,441
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 45 45
Total Assets 45,998 — 10,492 56,490
         
90
Long-Term Investment-Grade Fund
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Depreciation—Futures Contracts1 3,018 — — 3,018
Unrealized Depreciation—Forward Currency Contracts — 675 — 675
Unrealized Depreciation—
Over-the-Counter Swap Contracts 		— — 2 2
Total Liabilities 3,018 675 2 3,695
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2021, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts (57,858) — — (57,858)
Options Purchased — — (221) (221)
Options Written — — 228 228
Swap Contracts — — 19,340 19,340
Forward Currency Contracts — 1,823 — 1,823
Realized Net Gain (Loss) on Derivatives (57,858) 1,823 19,347 (36,688)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts 52,414 — — 52,414
Options Purchased — — (35) (35)
Options Written — — (26) (26)
Swap Contracts — — 9,685 9,685
Forward Currency Contracts — (957) — (957)
Change in Unrealized Appreciation (Depreciation) on Derivatives 52,414 (957) 9,624 61,081
F. As of July 31, 2021, 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 18,436,467
Gross Unrealized Appreciation 3,068,625
Gross Unrealized Depreciation (58,653)
Net Unrealized Appreciation (Depreciation) 3,009,972
91
Long-Term Investment-Grade Fund
G. During the six months ended July 31, 2021, the fund purchased $2,758,899,000 of investment securities and sold $1,834,435,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $276,190,000 and $161,054,000, respectively.
H. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 477,629 43,951   1,693,476 147,409
Issued in Lieu of Cash Distributions 96,392 8,883   324,064 27,749
Redeemed (247,585) (22,742)   (1,876,668) (161,919)
Net Increase (Decrease)—Investor Shares 326,436 30,092   140,872 13,239
Admiral Shares          
Issued 2,100,748 194,040   3,924,902 333,278
Issued in Lieu of Cash Distributions 252,035 23,219   889,842 76,206
Redeemed (1,736,190) (159,308)   (4,587,446) (392,663)
Net Increase (Decrease)—Admiral Shares 616,593 57,951   227,298 16,821
I. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
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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
93
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 in 1973.
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 and since-inception performance of each fund and advisor, as applicable, 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.
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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 January 1, 2020, through December 31, 2020 (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.
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Q392 092021

 

 

Semiannual Report   |   July 31, 2021
Vanguard Ultra-Short-Term Bond Fund
Contents
About Your Fund’s Expenses
1
Financial Statements
4
Trustees Approve Advisory Arrangement
45
Liquidity Risk Management
47
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, 2021      
  Beginning
Account Value
1/31/2021 		Ending
Account Value
7/31/2021 		Expenses
Paid During
Period
Based on Actual Fund Return      
Ultra-Short-Term Bond Fund      
Investor Shares $1,000.00 $1,002.00 $0.99
Admiral™ Shares 1,000.00 1,002.90 0.50
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.80 $1.00
Admiral Shares 1,000.00 1,024.30 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 (181/365).
2
Ultra-Short-Term Bond Fund
Fund Allocation
As of July 31, 2021
Asset-Backed/Commercial Mortgage-Backed Securities 14.7%
Corporate Bonds 69.4
Short-Term Reserves 9.8
Sovereign Bonds 3.6
Taxable Municipal Bonds 0.0
Treasury/Agency 2.2
Commercial Paper 0.3
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, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Asset-Backed/Commercial Mortgage-Backed Securities (14.8%)
1,2 American Credit Acceptance Receivables Trust Class A Series 2020-3   0.620% 10/13/23       4,301      4,303
1,2 American Credit Acceptance Receivables Trust Class A Series 2020-4   0.530%  3/13/24      10,154     10,164
1,2 American Credit Acceptance Receivables Trust Class A Series 2021-1   0.350%  5/13/24      12,585     12,588
1,2 American Credit Acceptance Receivables Trust Class A Series 2021-2   0.370% 10/15/24      10,925     10,927
1,2 American Credit Acceptance Receivables Trust Class A Series 2021-3   0.330%  6/13/25      28,250     28,262
1,2 American Credit Acceptance Receivables Trust Class B Series 2020-3   1.150%  8/13/24      10,000     10,035
1,2 American Credit Acceptance Receivables Trust Class B Series 2020-4   0.850% 12/13/24      18,000     18,051
1,2 American Credit Acceptance Receivables Trust Class B Series 2021-1   0.610%  3/13/25       6,250      6,260
1,2 American Credit Acceptance Receivables Trust Class B Series 2021-2   0.680%  5/13/25       3,500      3,510
1,2 American Credit Acceptance Receivables Trust Class B Series 2021-3   0.660%  2/13/26      11,750     11,756
2 Americredit Automobile Receivables Trust Class A2 Series 2021-2   0.260% 11/18/24      34,000     34,026
2 AmeriCredit Automobile Receivables Trust Class A3 Series 2020-2   0.660% 12/18/24       5,270      5,289
2 AmeriCredit Automobile Receivables Trust Class A3 Series 2020-3   0.530%  6/18/25      13,020     13,060
2 AmeriCredit Automobile Receivables Trust Class A3 Series 2021-1   0.370%  8/18/25      14,240     14,239
2 AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2   0.340% 12/18/26       8,320      8,349
2 AmeriCredit Automobile Receivables Trust Class B Series 2019-3   2.130%  7/18/25      23,085     23,533
2 Americredit Automobile Receivables Trust Class C Series 2018-2   3.590%  6/18/24       3,390      3,491
2 AmeriCredit Automobile Receivables Trust Class C Series 2020-2   1.480%  2/18/26       2,520      2,558
1,2 ARI Fleet Lease Trust Class A2 Series 2018-B   3.220%  8/16/27       1,163      1,172
1,2 ARI Fleet Lease Trust Class A2 Series 2020-A   1.770%  8/15/28       6,973      7,011
1,2 ARI Fleet Lease Trust Class A2 Series 2021-A   0.370%  3/15/30       7,500      7,503
1,2 Avis Budget Rental Car Funding AESOP LLC Class A Series 2016-2A   2.720% 11/20/22       7,397      7,436
4
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2 Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A   3.070%  9/20/23       5,940      6,091
1,2 Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-2A   2.970%  3/20/24       9,350      9,692
2 BMW Vehicle Owner Trust Class A3 Series 2020-A   0.480% 10/25/24      27,070     27,144
2 BMW Vehicle Owner Trust Class A4 Series 2020-A   0.620%  4/26/27       4,230      4,250
1,2,3 Brass No. 10 plc Class A1 Series 10A   0.669%  4/16/69      14,591     14,687
2,3 Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800%   0.947%  2/25/30          59         60
2 California Republic Auto Receivables Trust Class B Series 2018-1   3.560%  3/15/23       2,219      2,226
1,2 Canadian Pacer Auto Receivables Trust Class A2A Series 2020-1A   1.770% 11/21/22       5,217      5,228
2 Carmax Auto Owner Trust Class A2A Series 2019-4   2.010%  3/15/23       2,025      2,027
2 CarMax Auto Owner Trust Class A2A Series 2021-2   0.270%  6/17/24      10,000     10,001
2 CarMax Auto Owner Trust Class A2A Series 2021-3   0.290%  9/16/24      35,250     35,258
2 CarMax Auto Owner Trust Class A3 Series 2018-3   3.130%  6/15/23       4,058      4,092
2 Carmax Auto Owner Trust Class A3 Series 2019-1   3.050%  3/15/24       1,027      1,041
2 CarMax Auto Owner Trust Class A3 Series 2020-3   0.620%  3/17/25      41,050     41,226
2 CarMax Auto Owner Trust Class A4 Series 2020-3   0.770%  3/16/26       4,660      4,693
1,2 Chesapeake Funding II LLC Class A1 Series 2018-2A   3.230%  8/15/30      21,245     21,349
1,2 Chesapeake Funding II LLC Class A1 Series 2019-1A   2.940%  4/15/31      17,084     17,220
1,2 Chesapeake Funding II LLC Class A1 Series 2020-1A   0.870%  8/16/32      12,991     13,058
2 CNH Equipment Trust Class A3 Series 2020-A   1.160%  6/16/25       8,340      8,415
2 CNH Equipment Trust Class A4 Series 2020-A   1.510%  4/15/27       2,250      2,307
2 COMM Mortgage Trust Class A2 Series 2014-CR14   3.147%  2/10/47          29         30
2 COMM Mortgage Trust Class ASB Series 2014-CCRE16   3.653%  4/10/47       3,535      3,672
1,2 Dell Equipment Finance Trust Class A2 Series 2020-2   0.470% 10/24/22      22,531     22,558
1,2 Dell Equipment Finance Trust Class A2 Series 2021-1   0.330%  5/22/26      29,000     29,033
1,2 Dell Equipment Finance Trust Class A3 Series 2019-1   2.830%  3/22/24       5,781      5,812
1,2 Dell Equipment Finance Trust Class A3 Series 2020-2   0.570% 10/23/23      23,000     23,083
1,2 DLL LLC Class A3 Series 2019-DA1   2.890%  4/20/23       4,910      4,940
1,2 DLLAA LLC Class A2 Series 2021-1A   0.360%  5/17/24      17,000     17,011
1,2 DLLAD LLC Class A2 Series 2021-1A   0.350%  9/20/24      21,250     21,256
1,2 Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2   0.560% 12/11/34      11,500     11,521
2 Drive Auto Receivables Trust Class A3 Series 2020-2   0.830%  5/15/24       7,270      7,282
2 Drive Auto Receivables Trust Class A3 Series 2021-1   0.440% 11/15/24       9,200      9,220
2 Drive Auto Receivables Trust Class B Series 2019-4   2.230%  1/16/24       6,649      6,663
2 Drive Auto Receivables Trust Class B Series 2021-1   0.650%  7/15/25      14,500     14,533
2 Drive Auto Receivables Trust Class C Series 2018-5   3.990%  1/15/25       2,332      2,358
2 Drive Auto Receivables Trust Class C Series 2020-2   2.280%  8/17/26       1,520      1,561
2 Drive Auto Receivables Trust Class D Series 2017-1   3.840%  3/15/23         468        469
2 Drive Auto Receivables Trust Class D Series 2018-1   3.810%  5/15/24       5,496      5,561
2 Drive Auto Receivables Trust Class D Series 2018-3   4.300%  9/16/24       8,658      8,836
2 Drive Auto Receivables Trust Class D Series 2018-5   4.300%  4/15/26         300        312
2 Drive Auto Receivables Trust Class D Series 2019-1   4.090%  6/15/26       1,510      1,563
2 Drive Auto Receivables Trust Class D Series 2019-4   2.700%  2/16/27       2,130      2,196
2 Drive Auto Receivables Trust Class D Series 2020-1   2.700%  5/17/27       2,130      2,189
1,2 DT Auto Owner Trust Class A Series 2020-1A   1.940%  9/15/23       2,046      2,050
1,2 DT Auto Owner Trust Class A Series 2020-2A   1.140%  1/16/24       2,121      2,127
1,2 DT Auto Owner Trust Class A Series 2020-3A   0.540%  4/15/24      13,454     13,469
1,2 DT Auto Owner Trust Class A Series 2021-1A   0.350%  1/15/25      15,358     15,368
1,2 DT Auto Owner Trust Class A Series 2021-2A   0.410%  3/17/25      21,344     21,366
1,2 Enterprise Fleet Financing LLC Class A2 Series 2018-3   3.380%  5/20/24       1,662      1,671
5
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2 Enterprise Fleet Financing LLC Class A2 Series 2020-2   0.610%  7/20/26      20,195     20,270
1,2 Enterprise Fleet Financing LLC Class A2 Series 2021-1   0.440% 12/21/26       7,000      7,006
1,2 Enterprise Fleet Financing LLC Class A2 Series 2021-2   0.480%  5/20/27      16,560     16,561
2 Exeter Automobile Receivables Trust Class A3 Series 2020-3A   0.520% 10/16/23      10,098     10,104
2 Exeter Automobile Receivables Trust Class A3 Series 2021-1A   0.340%  3/15/24      11,400     11,404
2 Exeter Automobile Receivables Trust Class A3 Series 2021-2A   0.300% 10/15/24       8,000      8,001
1,2 Fair Square Issuance Trust Class A Series 2020-AA   2.900%  9/20/24       3,060      3,090
1,2 Flagship Credit Auto Trust Class A Series 2020-2   1.490%  7/15/24       2,602      2,617
1,2 Flagship Credit Auto Trust Class A Series 2020-3   0.700%  4/15/25      15,985     16,027
1,2 Flagship Credit Auto Trust Class A Series 2021-1   0.310%  6/16/25      13,262     13,264
1,2 Flagship Credit Auto Trust Class A Series 2021-2   0.370% 12/15/26      31,999     32,005
2 Ford Credit Auto Lease Trust Class A3 Series 2020-B   0.620%  8/15/23      44,064     44,191
2 Ford Credit Auto Lease Trust Class A4 Series 2020-B   0.690% 10/15/23       7,150      7,187
2 Ford Credit Auto Lease Trust Class B Series 2020-B   1.000% 11/15/23       4,790      4,838
2 Ford Credit Auto Lease Trust Class C Series 2021-A   0.780%  9/15/25       4,300      4,294
2 Ford Credit Auto Owner Trust Class A3 Series 2020-A   1.040%  8/15/24       8,160      8,216
2 Ford Credit Auto Owner Trust Class A3 Series 2020-B   0.560% 10/15/24      58,200     58,417
2 Ford Credit Auto Owner Trust Class A4 Series 2020-A   1.350%  7/15/25       2,340      2,389
2 Ford Credit Floorplan Master Owner Trust A Class A Series 2019-1   2.840%  3/15/24       2,294      2,331
2 Ford Credit Floorplan Master Owner Trust A Class A1 Series 2018-3   3.520% 10/15/23      38,086     38,343
2 Ford Credit Floorplan Master Owner Trust A Class C Series 2020-1   1.420%  9/15/25       4,790      4,844
2 Ford Credit Floorplan Master Owner Trust Class A Series 2017-3   2.480%  9/15/24       8,875      9,097
2 Ford Credit Floorplan Master Owner Trust Class A1 Series 2019-3   2.230%  9/15/24       5,020      5,131
2 Ford Credit Floorplan Master Owner Trust Class A1 Series 2020-1   0.700%  9/15/25      52,100     52,387
2 Ford Credit Floorplan Master Owner Trust Class D Series 2020-1   2.120%  9/15/25       6,730      6,893
1,2,3,4 Freddie Mac STACR REMIC Trust Class M1 Series 2020-DNA2, 1M USD LIBOR + 0.750%   0.839%  2/25/50       1,182      1,182
1,2,3,4 Freddie Mac STACR REMIC Trust Class M1 Series 2021-DNA5, SOFR + 0.650%   0.700%  1/25/34       4,000      4,000
1,2 GLS Auto Receivables Issuer Trust Class A Series 2020-3A   0.690% 10/16/23       4,678      4,684
1,2 GLS Auto Receivables Issuer Trust Class A Series 2020-4A   0.520%  2/15/24       8,721      8,729
1,2 GLS Auto Receivables Issuer Trust Class A Series 2021-1A   0.340%  5/15/24      14,985     14,991
1,2 GLS Auto Receivables Trust Class A Series 2021-2A   0.310% 11/15/24      22,621     22,620
2 GM Financial Automobile Leasing Trust Class A3 Series 2019-3   2.030%  6/20/22       4,539      4,547
2 GM Financial Automobile Leasing Trust Class A3 Series 2020-2   0.800%  7/20/23      15,170     15,245
2 GM Financial Automobile Leasing Trust Class A3 Series 2020-3   0.450%  8/21/23      23,600     23,654
2 GM Financial Automobile Leasing Trust Class A3 Series 2021-2   0.340%  5/20/24      37,500     37,468
6
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 GM Financial Automobile Leasing Trust Class A4 Series 2020-2   1.010%  7/22/24       2,010      2,030
2 GM Financial Automobile Leasing Trust Class A4 Series 2020-3   0.510% 10/21/24       6,440      6,465
2 GM Financial Automobile Leasing Trust Class C Series 2020-2   2.560%  7/22/24       1,180      1,217
2 GM Financial Automobile Leasing Trust Class D Series 2020-2   3.210% 12/20/24       1,680      1,745
2 GM Financial Automobile Leasing Trust Class D Series 2020-3   1.710%  2/20/25       4,760      4,826
2 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2020-2   1.490% 12/16/24      15,000     15,173
2 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2018-3   3.160%  1/16/24       7,500      7,662
2 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2020-2   1.740%  8/18/25       9,000      9,250
2 GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3   0.810%  1/16/26       2,100      2,097
2 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3   1.370%  1/16/26         900        912
1,2 GMF Floorplan Owner Revolving Trust Class A Series 2019-1   2.700%  4/15/24       1,200      1,221
1,2 GMF Floorplan Owner Revolving Trust Class A Series 2020-1   0.680%  8/15/25      10,940     10,973
1,2 GMF Floorplan Owner Revolving Trust Class A Series 2020-2   0.690% 10/15/25      29,460     29,554
1,2 GMF Floorplan Owner Revolving Trust Class A1 Series 2018-4   3.500%  9/15/23      71,625     71,908
1,2 GMF Floorplan Owner Revolving Trust Class B Series 2020-1   1.030%  8/15/25       1,670      1,685
1,2 GMF Floorplan Owner Revolving Trust Class C Series 2020-1   1.480%  8/15/25       1,360      1,379
1,2,3 Gosforth Funding plc Class A1 Series 2018-1A, 3M USD LIBOR + 0.450%   0.597%  8/25/60       5,456      5,462
1,2,3 Gosforth Funding plc Class A1A Series 2017-1A, 3M USD LIBOR + 0.470%   0.605%  9/20/21          31         31
1,2 GreatAmerica Leasing Receivables Funding LLC Class A2 Series 2020-1   1.760%  6/15/22      18,107     18,162
1,2 GreatAmerica Leasing Receivables Funding LLC Class A4 Series 2018-1   2.830%  6/17/24         520        523
1,2 GS Mortgage Securities Corp. Trust Class A Series 2012-ALOH   3.551%  4/10/34      10,000     10,060
2 Harley-Davidson Motorcycle Trust Class A3 Series 2021-A   0.370%  4/15/26      10,330     10,333
2 Honda Auto Receivables Owner Trust Class A3 Series 2019-1   2.830%  3/20/23       1,973      1,993
2 Honda Auto Receivables Owner Trust Class A3 Series 2020-1   1.610%  4/22/24       2,580      2,614
2 Honda Auto Receivables Owner Trust Class A3 Series 2020-2   0.820%  7/15/24      18,250     18,348
2 Honda Auto Receivables Owner Trust Class A4 Series 2019-4   1.870%  1/20/26       1,900      1,948
2 Honda Auto Receivables Owner Trust Class A4 Series 2020-2   1.090% 10/15/26       4,730      4,805
2 Honda Auto Receivables Owner Trust Class A4 Series 2020-3   0.460%  4/19/27      10,740     10,751
1,2 HPEFS Equipment Trust Class A2 Series 2020-1A   1.730%  2/20/30       5,267      5,281
1,2 HPEFS Equipment Trust Class A2 Series 2021-1A   0.270%  3/20/31      33,500     33,515
7
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2 HPEFS Equipment Trust Class A2 Series 2021-2A   0.300%  9/20/28      17,000     17,005
1,2 HPEFS Equipment Trust Class A3 Series 2019-1A   2.210%  9/20/29       1,158      1,161
1,2 HPEFS Equipment Trust Class A3 Series 2021-2A   0.360%  9/20/28      10,500     10,499
1,2 Hyundai Auto Lease Securitization Trust Class A3 Series 2020-B   0.510%  9/15/23      29,990     30,083
1,2 Hyundai Auto Lease Securitization Trust Class A3 Series 2021-A   0.330%  1/16/24      19,500     19,517
1,2 Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B   0.330%  6/17/24       3,970      3,970
1,2 Hyundai Auto Lease Securitization Trust Class A4 Series 2020-B   0.580%  6/17/24       5,030      5,053
1,2 Hyundai Auto Lease Securitization Trust Class A4 Series 2021-A   0.420% 12/16/24       4,280      4,286
2 Hyundai Auto Receivables Trust Class A2 Series 2021-B   0.240%  5/15/24      40,620     40,701
2 Hyundai Auto Receivables Trust Class A3 Series 2020-A   1.410% 11/15/24      14,760     14,952
2 Hyundai Auto Receivables Trust Class A3 Series 2020-B   0.480% 12/16/24      36,200     36,305
2 Hyundai Auto Receivables Trust Class A4 Series 2019-B   2.000%  4/15/25       4,727      4,866
2 Hyundai Auto Receivables Trust Class A4 Series 2020-A   1.720%  6/15/26       9,260      9,555
2 Hyundai Auto Receivables Trust Class A4 Series 2020-B   0.620% 12/15/25       8,020      8,061
2 John Deere Owner Trust Class A3 Series 2020-B   0.510% 11/15/24      14,550     14,593
2 John Deere Owner Trust Class A4 Series 2020-B   0.720%  6/15/27       3,820      3,849
1,2 JPMorgan Chase Bank NA - CACLN Class B Series 2021-1   0.875%  9/25/28      23,753     23,775
1,2 JPMorgan Chase Bank NA - CACLN Class B Series 2021-2   0.889% 12/26/28      13,000     13,011
1,2 JPMorgan Chase Bank NA - CACLN Class C Series 2020-2   1.139%  2/25/28       2,507      2,517
1,2 JPMorgan Chase Bank NA - CACLN Class C Series 2021-1   1.024%  9/25/28      14,727     14,756
1,2 JPMorgan Chase Bank NA Class B Series 2020-1   0.991%  1/25/28      16,929     16,916
1,2 JPMorgan Chase Bank NA Class C Series 2020-1   1.389%  1/25/28       1,774      1,775
1,2 JPMorgan Chase Bank NA Class D Series 2020-1   1.886%  1/25/28       1,391      1,396
1,2 Kubota Credit Owner Trust Class A3 Series 2020-1   1.960%  3/15/24       7,540      7,675
1,2 Kubota Credit Owner Trust Class A3 Series 2020-2   0.590% 10/15/24      17,700     17,722
1,2 Kubota Credit Owner Trust Class A4 Series 2020-2   0.730%  6/15/26       4,810      4,806
1,2,3 Lanark Master Issuer plc Class 1A Series 2020-1A   2.277% 12/22/69         720        736
1,2 Master Credit Card Trust II Class A Series 2020-1   1.990%  9/21/24       5,320      5,463
2 Mercedes-Benz Auto Lease Trust Class A3 Series 2019-B   2.000% 10/17/22      10,816     10,880
2 Mercedes-Benz Auto Lease Trust Class A3 Series 2020-A   1.840% 12/15/22      18,728     18,847
2 Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B   0.400% 11/15/24      20,110     20,126
2 Mercedes-Benz Auto Lease Trust Class A4 Series 2020-B   0.500%  6/15/26       4,775      4,788
2 Mercedes-Benz Auto Receivables Trust Class A3 Series 2020-1   0.550%  2/18/25      25,830     25,937
1,2 MMAF Equipment Finance LLC Class A2 Series 2019-B   2.070% 10/12/22       4,379      4,397
1,2 MMAF Equipment Finance LLC Class A2 Series 2020-A   0.740%   4/9/24       8,424      8,455
8
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2 MMAF Equipment Finance LLC Class A5 Series 2015-AA   2.490%  2/19/36       2,117      2,133
2 Nissan Auto Lease Trust Class A3 Series 2019-B   2.270%  7/15/22       6,930      6,943
2 Nissan Auto Lease Trust Class A3 Series 2020-B   0.430% 10/16/23      30,050     30,116
2 Nissan Auto Lease Trust Class A4 Series 2020-B   0.490%  1/15/26       6,930      6,948
2 Nissan Auto Receivables Owner Trust Class A3 Series 2019-B   2.500% 11/15/23       6,600      6,695
2 Nissan Auto Receivables Owner Trust Class A3 Series 2020-A   1.380% 12/16/24      20,640     20,874
2 Nissan Auto Receivables Owner Trust Class A3 Series 2020-B   0.550%  7/15/24      50,050     50,210
2 Nissan Auto Receivables Owner Trust Class A4 Series 2017-C   2.280%  2/15/24         200        201
2 Nissan Auto Receivables Owner Trust Class A4 Series 2018-C   3.270%  6/16/25       1,870      1,930
2 Nissan Auto Receivables Owner Trust Class A4 Series 2020-A   1.700%  5/17/27       6,830      7,042
2 Nissan Auto Receivables Owner Trust Class A4 Series 2020-B   0.710%  2/16/27       7,030      7,084
1,2,3 Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880%   0.971%  1/16/60       2,822      2,829
1,2,3 Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000%   1.084%  6/20/60       4,748      4,747
1,2,3 Pepper Residential Securities Trust No. 24 Class A1U Series 24A, 1M USD LIBOR + 0.900%   0.989%  8/18/21       4,099      4,089
1,2 PFS Financing Corp. Class A Series 2020-A   1.270%  6/15/25       4,100      4,162
1,2,3 RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850%   0.953%  12/5/59       3,848      3,856
1,2 RESIMAC Premier Class A1B Series 2020-1   1.274%   2/7/52       4,039      4,040
1,2 Santander Consumer Auto Receivables Trust Class A Series 2020-A   1.370% 10/15/24       6,857      6,899
2 Santander Drive Auto Receivables Trust Class A2 Series 2021-2   0.280%  4/15/24      22,000     22,001
2 Santander Drive Auto Receivables Trust Class A3 Series 2020-2   0.670%  4/15/24       5,664      5,669
2 Santander Drive Auto Receivables Trust Class A3 Series 2020-3   0.520%  7/15/24      24,290     24,320
2 Santander Drive Auto Receivables Trust Class A3 Series 2020-4   0.480%  7/15/24      12,150     12,171
2 Santander Drive Auto Receivables Trust Class A3 Series 2021-1   0.320%  9/16/24      14,000     14,020
2 Santander Drive Auto Receivables Trust Class A3 Series 2021-2   0.340%  2/18/25       9,000      9,013
2 Santander Drive Auto Receivables Trust Class A3 Series 2021-3   0.330%  3/17/25      27,890     27,924
2 Santander Drive Auto Receivables Trust Class B Series 2021-2   0.590%  9/15/25      12,500     12,529
2 Santander Drive Auto Receivables Trust Class B Series 2021-3   0.600% 12/15/25      16,000     16,017
2 Santander Drive Auto Receivables Trust Class C Series 2020-2   1.460%  9/15/25       6,120      6,185
2 Santander Drive Auto Receivables Trust Class C Series 2020-3   1.120%  1/15/26      11,050     11,140
2 Santander Drive Auto Receivables Trust Class C Series 2021-1   0.750%  2/17/26       7,620      7,626
2 Santander Drive Auto Receivables Trust Class D Series 2017-2   3.490%  7/17/23       2,720      2,722
9
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1,2 Santander Retail Auto Lease Trust Class A2 Series 2021-B   0.310%  1/22/24      33,000     33,002
1,2 Santander Retail Auto Lease Trust Class A2A Series 2019-C   1.890%  9/20/22       3,208      3,211
1,2 Santander Retail Auto Lease Trust Class A3 Series 2019-A   2.770%  6/20/22      23,875     23,940
1,2 Santander Retail Auto Lease Trust Class A3 Series 2021-B   0.510%  8/20/24      22,600     22,611
1,2 Santander Retail Auto Lease Trust Class A4 Series 2020-B   0.650% 12/20/24       9,950      9,999
1,2 Securitized Term Auto Receivables Trust Class A4 Series 2018-1A   3.298% 11/25/22       1,039      1,046
1,2 SoFi Professional Loan Program LLC Class A1FX Series 2019-C   2.130% 11/16/48         153        153
1,2 SoFi Professional Loan Program Trust Class A1FX Series 2020-A   2.060%  5/15/46       2,052      2,058
2 Synchrony Card Issuance Trust Class A Series 2018-A1   3.380%  9/15/24      52,155     52,352
2 Synchrony Credit Card Master Note Trust Class A Series 2017-2   2.620% 10/15/25       1,970      2,027
1,2 Tesla Auto Lease Trust Class A2 Series 2019-A   2.130%  4/20/22       8,704      8,737
1,2 Tesla Auto Lease Trust Class A3 Series 2020-A   0.680% 12/20/23      14,140     14,216
1,2 Tesla Auto Lease Trust Class A4 Series 2020-A   0.780% 12/20/23       1,270      1,279
1,2 Tesla Auto Lease Trust Class B Series 2020-A   1.180%  1/22/24       2,080      2,102
1,2 Tesla Auto Lease Trust Class C Series 2020-A   1.680%  2/20/24       1,050      1,066
1,2 Tidewater Auto Receivables Trust Class A2 Series 2020-A   1.390%  8/15/24       7,265      7,282
1,2 Toyota Auto Loan Extended Note Trust Class A Series 2019-1A   2.560% 11/25/31         860        908
2 Toyota Auto Receivables Owner Trust Class A3 Series 2020-A   1.660%  5/15/24       5,355      5,418
2 Toyota Auto Receivables Owner Trust Class A3 Series 2020-B   1.360%  8/15/24      11,700     11,827
2 Toyota Auto Receivables Owner Trust Class A4 Series 2020-B   1.660%  9/15/25       4,460      4,585
2 Toyota Auto Receivables Owner Trust Class A4 Series 2020-C   0.570% 10/15/25       7,530      7,554
1,2 Toyota Lease Owner Trust Class A2 Series 2021-A   0.270%  9/20/23      21,000     21,012
1,2 Toyota Lease Owner Trust Class A3 Series 2021-B   0.420% 10/21/24      19,800     19,804
2 USAA Auto Owner Trust Series Class A3 2019-1   2.160%  7/17/23       2,634      2,646
2 Verizon Owner Trust Class A Series 2020-B   0.470%  2/20/25      43,360     43,507
2 Verizon Owner Trust Class A1A Series 2019-A   2.930%  9/20/23      26,161     26,437
2 Verizon Owner Trust Class A1A Series 2019-B   2.330% 12/20/23       3,770      3,811
2 Verizon Owner Trust Class A1A Series 2020-A   1.850%  7/22/24      46,445     47,195
2 Verizon Owner Trust Class B Series 2018-A   3.380%  4/20/23      28,149     28,620
2 Verizon Owner Trust Class B Series 2020-A   1.980%  7/22/24      16,280     16,754
2 Verizon Owner Trust Class B Series 2020-B   0.680%  2/20/25      13,620     13,677
2 Verizon Owner Trust Class C Series 2018-A   3.550%  4/20/23       5,000      5,120
2 Verizon Owner Trust Class C Series 2019-C   2.160%  4/22/24      11,000     11,221
2 Verizon Owner Trust Class C Series 2020-A   2.060%  7/22/24      14,500     14,886
2 Verizon Owner Trust Class C Series 2020-B   0.830%  2/20/25       4,550      4,575
2 Volkswagen Auto Loan Enhanced Trust Class A3 Series 2018-1   3.020% 11/21/22         211        212
2 Volkswagen Auto Loan Enhanced Trust Class A3 Series 2020-1   0.980% 11/20/24      24,510     24,680
2 Volkswagen Auto Loan Enhanced Trust Class A4 Series 2018-2   3.330%  2/20/25       2,850      2,913
10
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Volkswagen Auto Loan Enhanced Trust Class A4 Series 2020-1   1.260%  8/20/26       3,590      3,662
1,2 Volvo Financial Equipment LLC Class A3 Series 2020-1A   0.510% 10/15/24      24,000     24,078
1,2 Volvo Financial Equipment LLC Class A4 Series 2020-1A   0.600%  3/15/28       4,700      4,750
1,2 Westlake Automobile Receivables Trust Class A2A Series 2021-1A   0.390% 10/15/24      44,500     44,534
1,2 Westlake Automobile Receivables Trust Class A2A Series 2021-2A   0.320%  4/15/25      28,000     28,011
1,2 Wheels SPV 2 LLC Class A2 Series 2020-1A   0.510%  8/20/29       9,421      9,424
1,2 Wheels SPV 2 LLC Class A3 Series 2020-1A   0.620%  8/20/29       3,475      3,479
2 World Omni Auto Receivables Trust Class A3 Series 2018-A   2.500%  4/17/23       1,150      1,155
2 World Omni Auto Receivables Trust Class A3 Series 2020-A   1.100%  4/15/25       1,375      1,386
2 World Omni Auto Receivables Trust Class A3 Series 2020-B   0.630%  5/15/25      34,560     34,723
2 World Omni Automobile Lease Securitization Trust Class B Series 2020-B   0.700%  2/17/26       5,000      5,018
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,976,828) 2,982,480
Corporate Bonds (70.0%)
Communications (3.5%)
  America Movil SAB de CV   3.125%  7/16/22      42,510     43,553
  AT&T Inc.   0.395% 11/16/21     105,000    104,945
  AT&T Inc.   0.436% 12/14/21      16,000     15,989
  AT&T Inc.   3.000%  6/30/22         700        714
  AT&T Inc.   2.625%  12/1/22         185        190
  AT&T Inc.   1.700%  3/25/26          20         20
  Charter Communications Operating LLC / Charter Communications Operating Capital   4.464%  7/23/22     117,764    121,522
1 Deutsche Telekom International Finance BV   2.485%  9/19/23       1,050      1,091
  Discovery Communications LLC   2.950%  3/20/23      21,231     22,033
  Fox Corp.   3.666%  1/25/22      58,374     59,318
  Interpublic Group of Cos. Inc.   3.750%  10/1/21      72,256     72,661
1 NTT Finance Corp.   0.373%   3/3/23     147,500    147,543
5 Optus Finance Pty Ltd.   3.250%  8/23/22       7,500      5,671
1 Sky Ltd.   3.125% 11/26/22      10,960     11,361
5 Verizon Communications Inc.   3.500%  2/17/23      40,880     31,307
5 Vodafone Group plc   3.250% 12/13/22      53,840     40,937
3,5 Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050%   1.074% 12/13/22       4,970      3,661
  Walt Disney Co.   0.283%  9/15/21      15,000     14,995
  Walt Disney Co.   0.283%  10/1/21      15,000     14,993
  Walt Disney Co.   1.650%   9/1/22       2,599      2,640
                   715,144
Consumer Discretionary (4.9%)
  Amazon.com Inc.   2.500% 11/29/22       1,238      1,269
6 Amazon.com Inc.   0.250%  5/12/23      30,000     30,014
  American Honda Finance Corp.   2.200%  6/27/22       2,680      2,728
  American Honda Finance Corp.   0.400% 10/21/22      53,271     53,376
  American Honda Finance Corp.   2.050%  1/10/23       7,691      7,892
  American Honda Finance Corp.   0.875%   7/7/23      51,135     51,663
  American Honda Finance Corp.   3.450%  7/14/23       1,355      1,436
  American Honda Finance Corp.   0.650%   9/8/23      49,057     49,323
11
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  American Honda Finance Corp.   3.625% 10/10/23       1,550      1,659
  American Honda Finance Corp.   3.550%  1/12/24         300        322
  AutoZone Inc.   3.125%  7/15/23      14,980     15,658
1 BMW U.S. Capital LLC   3.450%  4/12/23       3,099      3,251
1 Daimler Finance North America LLC   3.750%  11/5/21       7,223      7,288
1 Daimler Finance North America LLC   2.850%   1/6/22      24,250     24,517
1 Daimler Finance North America LLC   3.400%  2/22/22      20,699     21,054
1 Daimler Finance North America LLC   2.550%  8/15/22      13,103     13,400
1 Daimler Finance North America LLC   3.350%  2/22/23       2,653      2,770
1 Daimler Finance North America LLC   1.750%  3/10/23      11,369     11,596
1 Daimler Finance North America LLC   3.700%   5/4/23         400        422
  DR Horton Inc.   4.750%  2/15/23       6,266      6,596
1 ERAC USA Finance LLC   3.300% 10/15/22         471        487
1 ERAC USA Finance LLC   2.700%  11/1/23      21,025     21,955
  General Motors Co.   4.875%  10/2/23         500        543
  General Motors Co.   5.400%  10/2/23       9,000      9,871
  General Motors Financial Co. Inc.   4.375%  9/25/21      18,840     18,950
  General Motors Financial Co. Inc.   4.200%  11/6/21      45,714     46,172
  General Motors Financial Co. Inc.   3.450%  1/14/22      14,350     14,509
  General Motors Financial Co. Inc.   3.450%  4/10/22       7,145      7,258
  General Motors Financial Co. Inc.   3.150%  6/30/22       2,928      2,993
  General Motors Financial Co. Inc.   3.550%   7/8/22      16,494     16,967
  General Motors Financial Co. Inc.   3.250%   1/5/23       1,179      1,222
  General Motors Financial Co. Inc.   5.200%  3/20/23       2,130      2,284
  General Motors Financial Co. Inc.   3.700%   5/9/23         572        599
  General Motors Financial Co. Inc.   4.250%  5/15/23         100        106
  General Motors Financial Co. Inc.   4.150%  6/19/23         975      1,034
  General Motors Financial Co. Inc.   1.700%  8/18/23      14,220     14,510
1 Harley-Davidson Financial Services Inc.   3.350%  2/15/23         500        519
  Lennar Corp.   4.875% 12/15/23       8,327      9,045
1 Nissan Motor Co. Ltd.   3.043%  9/15/23      34,851     36,350
  Ralph Lauren Corp.   1.700%  6/15/22      19,289     19,525
  Starbucks Corp.   2.700%  6/15/22      53,546     54,460
  Starbucks Corp.   3.100%   3/1/23      10,000     10,409
5 Toyota Finance Australia Ltd.   3.100%  5/19/22      10,378      7,787
3,5 Toyota Finance Australia Ltd., 3M Australian Bank Bill Rate + 0.780%   0.821% 11/22/21      11,400      8,385
  Toyota Motor Credit Corp.   1.150%  5/26/22      53,922     54,338
  Toyota Motor Credit Corp.   0.450%  7/22/22      25,630     25,701
  Toyota Motor Credit Corp.   0.350% 10/14/22      22,000     22,042
  Toyota Motor Credit Corp.   2.900%  3/30/23      17,000     17,741
  Toyota Motor Credit Corp.   0.400%   4/6/23      40,000     40,068
  Toyota Motor Credit Corp.   0.500%  8/14/23      20,000     20,079
  Toyota Motor Credit Corp.   0.450%  1/11/24      40,000     39,999
5 Volkswagen Financial Services Australia Pty Ltd.   3.300%  2/28/22       3,790      2,824
3,5 Volkswagen Financial Services Australia Pty Ltd., 3M Australian Bank Bill Rate + 1.300%   1.324%  9/14/22       7,800      5,757
1 Volkswagen Group of America Finance LLC   2.500%  9/24/21      19,100     19,161
1 Volkswagen Group of America Finance LLC   4.000% 11/12/21      27,059     27,339
1 Volkswagen Group of America Finance LLC   2.900%  5/13/22      49,850     50,827
1 Volkswagen Group of America Finance LLC   2.700%  9/26/22      18,308     18,788
1 Volkswagen Group of America Finance LLC   4.250% 11/13/23       8,429      9,090
1 Volkswagen Group of America Finance LLC   0.875% 11/22/23      12,000     12,056
                   977,984
12
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Consumer Staples (2.9%)
1 7-Eleven Inc.   0.625%  2/10/23      40,485     40,509
1 7-Eleven Inc.   0.800%  2/10/24         365        365
  Altria Group Inc.   2.950%   5/2/23       2,000      2,083
3,5 Anheuser-Busch InBev Worldwide Inc., 3M Australian Bank Bill Rate + 0.970%   0.995%   9/6/22      27,790     20,531
  BAT Capital Corp.   2.764%  8/15/22       1,600      1,635
  Campbell Soup Co.   2.500%   8/2/22       9,450      9,648
  Campbell Soup Co.   3.650%  3/15/23      24,646     25,844
1 Cargill Inc.   3.250%   3/1/23         500        523
  Clorox Co.   3.050%  9/15/22      36,599     37,481
1 Coca-Cola Europacific Partners plc   0.500%   5/5/23      17,000     16,993
  Constellation Brands Inc.   2.700%   5/9/22      13,543     13,753
  Constellation Brands Inc.   2.650%  11/7/22      38,678     39,721
  Constellation Brands Inc.   3.200%  2/15/23      17,617     18,315
  Dollar General Corp.   3.250%  4/15/23          62         64
  Dollar Tree Inc.   3.700%  5/15/23      16,340     17,224
  General Mills Inc.   3.150% 12/15/21      15,000     15,050
  General Mills Inc.   2.600% 10/12/22       1,075      1,102
  Hormel Foods Corp.   0.650%   6/3/24       5,000      5,017
  JM Smucker Co.   3.500% 10/15/21      19,208     19,331
  Keurig Dr Pepper Inc.   4.057%  5/25/23      26,068     27,739
  Keurig Dr Pepper Inc.   0.750%  3/15/24      15,000     15,020
  Kimberly-Clark Corp.   2.400%   3/1/22       4,000      4,051
  Kroger Co.   2.800%   8/1/22       8,175      8,360
  McCormick & Co. Inc.   2.700%  8/15/22      21,612     22,103
1 Mondelez International Holdings Netherlands BV   2.000% 10/28/21      25,582     25,652
1 Mondelez International Holdings Netherlands BV   2.125%  9/19/22      45,474     46,389
  Mondelez International Inc.   0.625%   7/1/22      32,336     32,459
5 New Zealand Milk Australasia Pty Ltd.   5.250%  5/23/22       5,000      3,816
  Philip Morris International Inc.   2.625%   3/6/23       1,000      1,038
  Philip Morris International Inc.   1.125%   5/1/23      25,000     25,352
  Philip Morris International Inc.   2.125%  5/10/23       1,860      1,914
1 Reckitt Benckiser Treasury Services plc   2.375%  6/24/22      57,400     58,399
1 Reckitt Benckiser Treasury Services plc   3.625%  9/21/23         434        460
  Reynolds American Inc.   4.850%  9/15/23         300        326
  Tyson Foods Inc.   4.500%  6/15/22      30,080     30,843
                   589,110
Energy (5.7%)
  BP Capital Markets America Inc.   2.937%   4/6/23      19,000     19,809
  BP Capital Markets America Inc.   2.750%  5/10/23      31,277     32,584
  BP Capital Markets America Inc.   3.216% 11/28/23       4,084      4,330
  BP Capital Markets plc   2.500%  11/6/22      10,000     10,287
  BP Capital Markets plc   3.814%  2/10/24       2,700      2,915
  Canadian Natural Resources Ltd.   2.950%  1/15/23         100        103
  Chevron USA Inc.   0.426%  8/11/23      20,360     20,416
  Diamondback Energy Inc.   0.900%  3/24/23      13,460     13,455
  Ecopetrol SA   5.875%  9/18/23      15,135     16,304
  Empresa Nacional del Petroleo   4.750%  12/6/21      63,117     63,914
  Enbridge Inc.   2.900%  7/15/22      15,384     15,724
  Enbridge Inc.   4.000%  10/1/23       3,130      3,339
3 Enbridge Inc., SOFR + 0.400%   0.435%  2/17/23      20,000     20,040
  Energy Transfer LP   4.650%  2/15/22      15,236     15,577
  Energy Transfer LP   3.600%   2/1/23       1,550      1,605
  Energy Transfer LP   4.250%  3/15/23       2,262      2,369
13
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Energy Transfer LP / Regency Energy Finance Corp.   5.875%   3/1/22       3,515      3,576
  Enterprise Products Operating LLC   3.500%   2/1/22      28,403     28,854
  Enterprise Products Operating LLC   4.050%  2/15/22      21,939     22,373
  Enterprise Products Operating LLC   3.350%  3/15/23      19,627     20,404
  EOG Resources Inc.   2.625%  3/15/23      23,227     23,965
7 Exxon Mobil Corp.   1.902%  8/16/22       5,545      5,644
  Gulf South Pipeline Co. LP   4.000%  6/15/22          70         71
  Kinder Morgan Energy Partners LP   4.150%   3/1/22       1,385      1,415
  Kinder Morgan Energy Partners LP   3.950%   9/1/22      29,881     30,764
  Kinder Morgan Energy Partners LP   3.450%  2/15/23       1,887      1,958
  Kinder Morgan Energy Partners LP   3.500%   9/1/23         250        263
  Kinder Morgan Inc.   3.150%  1/15/23      34,661     35,964
1 Kinder Morgan Inc.   5.625% 11/15/23       8,538      9,376
  Marathon Petroleum Corp.   4.500%   5/1/23      15,891     16,898
  MPLX LP   4.500%  7/15/23       4,000      4,268
  ONEOK Partners LP   3.375%  10/1/22          75         77
  Pertamina Persero PT   4.875%   5/3/22      70,926     73,155
  Petronas Capital Ltd.   7.875%  5/22/22      44,568     47,196
  Phillips 66   4.300%   4/1/22      85,507     87,725
  Phillips 66   3.700%   4/6/23      12,750     13,424
  Pioneer Natural Resources Co.   0.550%  5/15/23      27,500     27,531
  Plains All American Pipeline LP / PAA Finance Corp.   3.650%   6/1/22      60,846     61,924
  Sabine Pass Liquefaction LLC   6.250%  3/15/22      29,275     29,885
  Sabine Pass Liquefaction LLC   5.625%  4/15/23       3,200      3,428
  Schlumberger Investment SA   3.650%  12/1/23       5,000      5,332
  Shell International Finance BV   2.375%  8/21/22       6,000      6,135
  Shell International Finance BV   2.250%   1/6/23       4,887      5,025
  Shell International Finance BV   0.375%  9/15/23      13,275     13,288
  Sinopec Group Overseas Development 2012 Ltd.   3.900%  5/17/22      25,637     26,294
  Sinopec Group Overseas Development 2016 Ltd.   2.000%  9/29/21      40,084     40,172
  Sinopec Group Overseas Development 2017 Ltd.   3.000%  4/12/22       8,601      8,740
  Sinopec Group Overseas Development 2017 Ltd.   2.500%  9/13/22      34,372     35,077
1 Southern Natural Gas Co. LLC   0.625%  4/28/23      13,500     13,503
  Spectra Energy Partners LP   4.750%  3/15/24       1,129      1,238
  Thai Oil PCL   3.625%  1/23/23       2,520      2,607
  Thaioil Treasury Center Co. Ltd.   3.625%  1/23/23      10,220     10,563
5 TotalEnergies Capital International SA   4.250% 11/26/21      15,000     11,142
  TotalEnergies Capital International SA   2.875%  2/17/22       6,072      6,158
  TotalEnergies Capital SA   4.250% 12/15/21      43,425     44,075
  TransCanada PipeLines Ltd.   2.500%   8/1/22       9,655      9,865
  TransCanada PipeLines Ltd.   3.750% 10/16/23       4,000      4,254
  Williams Cos. Inc.   4.000% 11/15/21      23,250     23,279
  Williams Cos. Inc.   3.600%  3/15/22      63,649     64,563
  Williams Cos. Inc.   3.350%  8/15/22      25,163     25,749
  Williams Cos. Inc.   3.700%  1/15/23       1,117      1,161
                   1,151,129
Financials (30.3%)
  ABN AMRO Bank NV   6.250%  4/27/22       4,261      4,437
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.625%   7/1/22       2,831      2,935
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust   3.300%  1/23/23      12,371     12,797
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.125%   7/3/23      32,340     34,221
14
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.500%  9/15/23      11,345     12,146
1 AIG Global Funding   2.700% 12/15/21       6,685      6,746
1 AIG Global Funding   2.300%   7/1/22       2,560      2,606
1 AIG Global Funding   0.800%   7/7/23      16,265     16,401
1 AIG Global Funding   0.450%  12/8/23      15,000     14,999
  Air Lease Corp.   2.250%  1/15/23         865        887
  Air Lease Corp.   2.750%  1/15/23       2,634      2,715
  Air Lease Corp.   3.875%   7/3/23       9,573     10,142
  Air Lease Corp.   3.000%  9/15/23       1,843      1,926
  Allstate Corp.   3.150%  6/15/23       7,966      8,383
  Ally Financial Inc.   3.050%   6/5/23       7,152      7,459
  Ally Financial Inc.   1.450%  10/2/23      23,463     23,819
  American Express Co.   3.700%  11/5/21      30,429     30,612
  American Express Co.   2.750%  5/20/22      11,884     12,097
  American Express Co.   2.500%   8/1/22      27,067     27,624
  American Express Co.   3.400%  2/27/23      37,935     39,665
  American International Group Inc.   4.875%   6/1/22       7,972      8,266
  American International Group Inc.   4.125%  2/15/24      21,967     23,877
  Ameriprise Financial Inc.   3.000%  3/22/22      22,503     22,903
  Ameriprise Financial Inc.   4.000% 10/15/23      11,775     12,699
1 ANZ New Zealand International Ltd.   1.900%  2/13/23       6,160      6,310
  Aon Corp.   2.200% 11/15/22      19,045     19,504
  Aon plc   4.000% 11/27/23      28,060     30,065
1 Athene Global Funding   4.000%  1/25/22      16,764     17,059
1 Athene Global Funding   3.000%   7/1/22      16,670     17,070
1 Athene Global Funding   2.800%  5/26/23      51,891     54,044
1 Athene Global Funding   1.200% 10/13/23       7,940      8,044
1 Athene Global Funding   0.950%   1/8/24      52,152     52,540
  Australia & New Zealand Banking Group Ltd.   2.050% 11/21/22       5,000      5,119
5 Australia & New Zealand Banking Group Ltd.   4.750%  5/13/27       6,994      5,291
  Banco Santander SA   3.500%  4/11/22      20,400     20,852
  Banco Santander SA   3.125%  2/23/23         500        520
  Banco Santander SA   0.701%  6/30/24      20,000     20,063
  Bank of America Corp.   5.700%  1/24/22      15,000     15,393
  Bank of America Corp.   3.300%  1/11/23       1,812      1,891
  Bank of America Corp.   3.124%  1/20/23      31,531     31,936
  Bank of America Corp.   2.881%  4/24/23      11,007     11,207
  Bank of America Corp.   2.816%  7/21/23      27,895     28,542
  Bank of America Corp.   3.004% 12/20/23      44,849     46,392
  Bank of America Corp.   4.125%  1/22/24       2,703      2,940
3,5 Bank of America Corp., 3M Australian Bank Bill Rate + 1.550%   1.590%   8/5/21       5,000      3,669
  Bank of Montreal   2.900%  3/26/22      21,237     21,612
  Bank of Montreal   2.050%  11/1/22       4,515      4,618
  Bank of New York Mellon Corp.   2.661%  5/16/23       6,444      6,565
  Bank of Nova Scotia   2.000% 11/15/22      29,537     30,204
  Bank of Nova Scotia   2.375%  1/18/23      13,000     13,401
  Bank of Nova Scotia   1.950%   2/1/23      15,000     15,378
  Bank of Nova Scotia   1.625%   5/1/23       2,177      2,228
  Bank of Nova Scotia   3.400%  2/11/24       8,293      8,882
1 Banque Federative du Credit Mutuel SA   2.700%  7/20/22      40,980     41,944
1 Banque Federative du Credit Mutuel SA   2.125% 11/21/22      61,179     62,629
1 Banque Federative du Credit Mutuel SA   3.750%  7/20/23      82,566     87,799
1 Banque Federative du Credit Mutuel SA   0.650%  2/27/24      11,610     11,614
  Barclays Bank plc   1.700%  5/12/22      15,000     15,155
15
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Barclays plc   3.200%  8/10/21      18,399     18,410
  Barclays plc   3.684%  1/10/23      19,480     19,757
  Barclays plc   4.610%  2/15/23      75,151     76,819
1 BNP Paribas SA   2.950%  5/23/22       3,487      3,562
1 BNP Paribas SA   3.500%   3/1/23      28,017     29,353
  BNP Paribas SA   3.250%   3/3/23       4,434      4,641
3,5 BNP Paribas SA, 3M Australian Bank Bill Rate + 1.750%   1.772% 12/16/22       5,650      4,213
1 BNZ International Funding Ltd.   3.375%   3/1/23         400        419
  BPCE SA   2.750%  12/2/21       2,450      2,471
1 BPCE SA   3.000%  5/22/22      65,834     67,272
1 BPCE SA   5.700% 10/22/23      12,210     13,481
3,5 BPCE SA, 3M Australian Bank Bill Rate + 1.100%   1.125%  4/26/23       9,590      7,137
  Canadian Imperial Bank of Commerce   0.450%  6/22/23      31,610     31,615
  Canadian Imperial Bank of Commerce   0.950%  6/23/23       7,260      7,336
  Canadian Imperial Bank of Commerce   2.606%  7/22/23      66,446     67,900
  Canadian Imperial Bank of Commerce   3.500%  9/13/23      27,000     28,803
  Canadian Imperial Bank of Commerce   3.100%   4/2/24      13,274     14,139
  Capital One Bank USA NA   2.014%  1/27/23      17,371     17,507
  Capital One Bank USA NA   3.375%  2/15/23      32,344     33,783
  Capital One Financial Corp.   3.050%   3/9/22       1,350      1,369
  Capital One NA   2.250%  9/13/21       1,505      1,507
  Capital One NA   2.650%   8/8/22       5,000      5,109
  Charles Schwab Corp.   2.650%  1/25/23       2,090      2,159
  Chubb INA Holdings Inc.   2.875%  11/3/22      12,990     13,365
  Chubb INA Holdings Inc.   2.700%  3/13/23       1,687      1,752
3,5 Citibank NA, 3M Australian Bank Bill Rate + 0.750%   0.793%  5/20/22      25,000     18,434
  Citigroup Inc.   2.900%  12/8/21      10,000     10,071
  Citigroup Inc.   2.750%  4/25/22      22,800     23,165
  Citigroup Inc.   4.050%  7/30/22       8,721      9,039
  Citigroup Inc.   2.700% 10/27/22      26,907     27,640
  Citigroup Inc.   2.312%  11/4/22      50,186     50,437
  Citigroup Inc.   3.142%  1/24/23      20,068     20,335
  Citigroup Inc.   3.500%  5/15/23       1,950      2,051
  Citigroup Inc.   2.876%  7/24/23      11,000     11,262
  Citigroup Inc.   3.875% 10/25/23       3,500      3,769
  Citigroup Inc.   1.678%  5/15/24       1,422      1,451
  Cooperatieve Rabobank UA   3.950%  11/9/22      64,476     67,366
  Credit Suisse AG   2.100% 11/12/21       7,900      7,942
  Credit Suisse AG   2.800%   4/8/22      11,014     11,208
  Credit Suisse AG   0.495%   2/2/24       9,000      8,979
  Credit Suisse Group AG   3.800%  9/15/22      23,561     24,462
1 Credit Suisse Group AG   3.574%   1/9/23      19,392     19,656
1 Credit Suisse Group AG   2.997% 12/14/23      20,620     21,272
1 Danske Bank A/S   5.000%  1/12/22      34,604     35,276
1 Danske Bank A/S   2.700%   3/2/22       9,469      9,596
1 Danske Bank A/S   5.000%  1/12/23       3,120      3,180
1 Danske Bank A/S   1.226%  6/22/24      36,006     36,400
  Danske Bank A/S   1.226%  6/22/24       4,760      4,812
  Deutsche Bank AG   3.300% 11/16/22      13,363     13,814
  Development Bank of Kazakhstan JSC   4.125% 12/10/22      16,006     16,680
  Discover Bank   3.350%   2/6/23      33,861     35,263
  Discover Bank   4.200%   8/8/23      27,811     29,877
  Discover Financial Services   5.200%  4/27/22       2,500      2,587
  Discover Financial Services   3.850% 11/21/22       8,505      8,883
16
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  E*TRADE Financial Corp.   2.950%  8/24/22      19,738     20,243
  Enstar Group Ltd.   4.500%  3/10/22       1,129      1,151
1 Equitable Financial Life Global Funding   0.500%   4/6/23      13,450     13,484
1 Equitable Financial Life Global Funding   0.500% 11/17/23      50,154     50,204
  Equitable Holdings Inc.   3.900%  4/20/23      45,983     48,550
  Fidelity National Financial Inc.   5.500%   9/1/22         550        580
  Fifth Third Bancorp   3.500%  3/15/22       5,000      5,087
  Fifth Third Bancorp   4.300%  1/16/24         919        996
  Fifth Third Bank NA   2.875%  10/1/21       5,000      5,010
  Fifth Third Bank NA   1.800%  1/30/23         250        255
  First Republic Bank   2.500%   6/6/22       5,525      5,618
1 Five Corners Funding Trust   4.419% 11/15/23       9,989     10,863
  GATX Corp.   4.750%  6/15/22      10,330     10,692
5 Goldman Sachs Group Inc.   4.700%   9/8/21       8,790      6,476
  Goldman Sachs Group Inc.   5.750%  1/24/22      31,941     32,777
  Goldman Sachs Group Inc.   2.876% 10/31/22      75,373     75,809
  Goldman Sachs Group Inc.   3.625%  1/22/23       3,750      3,929
  Goldman Sachs Group Inc.   0.481%  1/27/23      25,000     25,010
  Goldman Sachs Group Inc.   3.200%  2/23/23       8,000      8,328
  Goldman Sachs Group Inc.   0.523%   3/8/23       9,000      9,006
  Goldman Sachs Group Inc.   2.908%   6/5/23      54,133     55,262
  Goldman Sachs Group Inc.   2.905%  7/24/23      22,764     23,296
  Goldman Sachs Group Inc.   0.627% 11/17/23       4,711      4,714
3,5 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%   1.239%  5/16/23       2,800      2,081
1 Guardian Life Global Funding   3.400%  4/25/23      18,931     19,934
  HSBC Bank Inc.   0.366%  10/1/21      19,500     19,492
  HSBC Bank Inc.   0.366%  10/7/21      42,249     42,230
  HSBC Holdings plc   3.262%  3/13/23      64,223     65,357
  HSBC Holdings plc   3.600%  5/25/23      11,000     11,634
  HSBC Holdings plc   3.033% 11/22/23      10,000     10,343
  HSBC Holdings plc   3.950%  5/18/24      35,682     37,832
  HSBC USA Inc.   0.315%  2/22/22      60,000     59,905
  Huntington National Bank   2.500%   8/7/22      35,000     35,735
  Huntington National Bank   3.550%  10/6/23         850        906
1 ING Bank NV   2.050%  8/15/21       7,000      7,004
  ING Groep NV   3.150%  3/29/22      34,884     35,544
  Intercontinental Exchange Inc.   2.350%  9/15/22      30,886     31,530
  Intercontinental Exchange Inc.   0.700%  6/15/23      34,482     34,681
  Intercontinental Exchange Inc.   3.450%  9/21/23       1,000      1,063
  Intercontinental Exchange Inc.   4.000% 10/15/23      46,989     50,579
  International Finance Corp.   5.875%  8/15/22         221        233
  Invesco Finance plc   3.125% 11/30/22      36,237     37,537
1 Jackson National Life Global Funding   2.100% 10/25/21       1,590      1,597
1 Jackson National Life Global Funding   3.300%   2/1/22       7,000      7,107
1 Jackson National Life Global Funding   2.375%  9/15/22         500        511
  JPMorgan Chase & Co.   3.250%  9/23/22      29,693     30,707
  JPMorgan Chase & Co.   2.972%  1/15/23      64,835     65,640
  JPMorgan Chase & Co.   3.207%   4/1/23       5,131      5,230
  JPMorgan Chase & Co.   2.776%  4/25/23      42,095     42,842
  JPMorgan Chase & Co.   3.375%   5/1/23       8,605      9,032
  JPMorgan Chase & Co.   0.697%  3/16/24      10,000     10,038
  JPMorgan Chase & Co.   1.514%   6/1/24      23,139     23,586
  JPMorgan Chase & Co.   0.563%  2/16/25       4,500      4,488
  KeyBank NA   2.300%  9/14/22         500        511
17
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  KeyBank NA   1.250%  3/10/23       5,005      5,082
  KeyBank NA   0.423%   1/3/24       8,330      8,339
  Lincoln National Corp.   4.000%   9/1/23       4,168      4,465
5 Lloyds Bank plc   1.650%  8/12/22      10,000      7,436
  Lloyds Banking Group plc   3.000%  1/11/22      16,000     16,194
  Lloyds Banking Group plc   2.858%  3/17/23      44,889     45,568
  Lloyds Banking Group plc   1.326%  6/15/23      22,053     22,217
  Lloyds Banking Group plc   4.050%  8/16/23      77,829     83,271
  Lloyds Banking Group plc   2.907%  11/7/23      24,800     25,544
  Lloyds Banking Group plc   0.695%  5/11/24      12,375     12,419
  Loews Corp.   2.625%  5/15/23       3,000      3,104
5 Macquarie Bank Ltd.   1.750%  6/21/22       7,570      5,626
1 Macquarie Bank Ltd.   0.441% 12/16/22       2,625      2,630
3,5 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.750%   0.778%  6/21/22      19,500     14,379
5 Macquarie Group Ltd.   3.250% 12/15/22      87,950     65,152
1 Macquarie Group Ltd.   3.189% 11/28/23      16,883     17,463
3,5 Macquarie Group Ltd., 3M Australian Bank Bill Rate + 1.150%   1.174% 12/15/22       2,500      1,840
  Manufacturers & Traders Trust Co.   2.500%  5/18/22      25,000     25,402
  Marsh & McLennan Cos. Inc.   2.750%  1/30/22      15,405     15,565
  Marsh & McLennan Cos. Inc.   3.300%  3/14/23         305        318
  Marsh & McLennan Cos. Inc.   4.050% 10/15/23       4,853      5,189
1 MassMutual Global Funding II   2.500% 10/17/22      17,142     17,606
1 MassMutual Global Funding II   0.850%   6/9/23      44,362     44,820
1 MassMutual Global Funding II   0.480%  8/28/23      65,560     65,709
1 Met Tower Global Funding   0.550%  7/13/22       1,000      1,002
  MetLife Inc.   4.368%  9/15/23       2,150      2,325
1 Metropolitan Life Global Funding I   1.950%  9/15/21      29,826     29,888
1 Metropolitan Life Global Funding I   3.450%  10/9/21      30,000     30,180
1 Metropolitan Life Global Funding I   3.375%  1/11/22       4,905      4,974
1 Metropolitan Life Global Funding I   2.650%   4/8/22       5,000      5,083
1 Metropolitan Life Global Funding I   2.400%  6/17/22       2,240      2,283
1 Metropolitan Life Global Funding I   3.000%  1/10/23       5,692      5,911
1 Metropolitan Life Global Funding I   1.950%  1/13/23      22,000     22,530
1 Metropolitan Life Global Funding I   0.900%   6/8/23      54,346     54,943
1 Metropolitan Life Global Funding I   0.400%   1/7/24      36,380     36,326
1 Metropolitan Life Global Funding I   3.600%  1/11/24         185        199
  Mitsubishi UFJ Financial Group Inc.   2.190%  9/13/21      17,124     17,162
  Mitsubishi UFJ Financial Group Inc.   2.998%  2/22/22       7,732      7,851
  Mitsubishi UFJ Financial Group Inc.   3.218%   3/7/22      32,165     32,736
  Mitsubishi UFJ Financial Group Inc.   2.623%  7/18/22      82,460     84,336
  Mitsubishi UFJ Financial Group Inc.   2.665%  7/25/22         500        512
  Mitsubishi UFJ Financial Group Inc.   3.455%   3/2/23      15,750     16,516
  Mitsubishi UFJ Financial Group Inc.   3.761%  7/26/23      20,000     21,310
  Mitsubishi UFJ Financial Group Inc.   2.527%  9/13/23      16,150     16,869
  Mitsubishi UFJ Financial Group Inc.   0.848%  9/15/24      27,680     27,815
  Mizuho Financial Group Inc.   2.273%  9/13/21      16,545     16,584
  Mizuho Financial Group Inc.   2.953%  2/28/22      35,100     35,649
  Mizuho Financial Group Inc.   2.601%  9/11/22      22,545     23,120
  Mizuho Financial Group Inc.   3.549%   3/5/23       5,500      5,777
  Mizuho Financial Group Inc.   2.721%  7/16/23      48,402     49,503
  Mizuho Financial Group Inc.   1.241%  7/10/24       5,661      5,737
  Mizuho Financial Group Inc.   0.849%   9/8/24      42,631     42,858
5 Morgan Stanley   5.000%  9/30/21       2,090      1,545
  Morgan Stanley   2.625% 11/17/21      31,120     31,337
18
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Morgan Stanley   2.750%  5/19/22      20,191     20,598
  Morgan Stanley   4.875%  11/1/22      61,024     64,352
  Morgan Stanley   3.125%  1/23/23      20,130     20,940
  Morgan Stanley   3.750%  2/25/23      14,158     14,893
  Morgan Stanley   4.100%  5/22/23      10,636     11,305
  Morgan Stanley   0.560% 11/10/23      12,323     12,346
  Morgan Stanley   0.529%  1/25/24       3,994      3,995
  Morgan Stanley   0.731%   4/5/24      15,395     15,447
  Morgan Stanley   3.737%  4/24/24      10,000     10,553
  Morgan Stanley   0.791%  1/22/25       7,500      7,513
3 Morgan Stanley, SOFR + 0.700%   0.750%  1/20/23      20,000     20,046
1 MUFG Bank Ltd.   2.850%   9/8/21      22,000     22,058
1 MUFG Bank Ltd.   3.200%  2/26/23       7,960      8,311
  MUFG Union Bank NA   3.150%   4/1/22      11,085     11,275
  MUFG Union Bank NA   2.100%  12/9/22       4,200      4,295
  Nasdaq Inc.   0.445% 12/21/22      10,613     10,618
3,5 National Australia Bank Ltd., 3M Australian Bank Bill Rate + 2.400%   2.428%  9/21/26      10,450      7,689
1 National Bank of Canada   2.150%  10/7/22      13,405     13,692
  National Bank of Canada   2.100%   2/1/23       7,650      7,844
  National Bank of Canada   0.900%  8/15/23       8,474      8,515
1 Nationwide Building Society   2.000%  1/27/23      53,975     55,331
1 Nationwide Building Society   3.622%  4/26/23      26,771     27,393
1 New York Life Global Funding   2.300%  6/10/22         850        865
1 New York Life Global Funding   1.100%   5/5/23      12,170     12,349
1 New York Life Global Funding   0.550%  4/26/24         350        351
1 Nordea Bank Abp   4.250%  9/21/22         780        813
1 Nordea Bank Abp   1.000%   6/9/23       3,000      3,036
1 Nordea Bank Abp   3.750%  8/30/23      29,322     31,297
  Nordea Bank Abp   3.750%  8/30/23      12,061     12,873
  PNC Bank NA   2.950%  1/30/23       1,600      1,658
  PNC Bank NA   1.743%  2/24/23      11,000     11,088
  PNC Bank NA   3.800%  7/25/23      13,920     14,802
1 Pricoa Global Funding I   3.450%   9/1/23      22,549     23,999
  Principal Financial Group Inc.   3.300%  9/15/22       5,440      5,615
  Principal Financial Group Inc.   3.125%  5/15/23       6,641      6,962
1 Principal Life Global Funding II   2.375% 11/21/21         750        755
1 Principal Life Global Funding II   0.500%   1/8/24       9,500      9,506
1 Protective Life Global Funding   0.502%  4/12/23       3,730      3,738
1 Protective Life Global Funding   1.082%   6/9/23      12,230     12,390
1 Protective Life Global Funding   0.391%   7/7/23      31,000     30,985
1 Protective Life Global Funding   0.631% 10/13/23       1,891      1,899
  Protective Life Global Funding   0.631% 10/13/23      12,200     12,254
1 Protective Life Global Funding   0.473%  1/12/24         470        469
1 Reliance Standard Life Global Funding II   2.625%  7/22/22         970        992
1 Reliance Standard Life Global Funding II   2.150%  1/21/23       5,515      5,647
1 Reliance Standard Life Global Funding II   3.850%  9/19/23       9,475     10,122
  Royal Bank of Canada   1.950%  1/17/23       3,433      3,517
  Royal Bank of Canada   1.600%  4/17/23       5,794      5,923
  Royal Bank of Canada   3.700%  10/5/23      18,700     20,020
  Royal Bank of Canada   0.425%  1/19/24      25,000     25,010
  Santander Holdings USA Inc.   3.700%  3/28/22      41,100     41,841
  Santander UK Group Holdings plc   2.875%   8/5/21      38,486     38,491
  Santander UK Group Holdings plc   3.571%  1/10/23      10,000     10,137
  Shinhan Bank Co. Ltd.   3.875%  12/7/26      15,000     15,134
19
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
1 Skandinaviska Enskilda Banken AB   3.050%  3/25/22      13,750     14,001
1 Skandinaviska Enskilda Banken AB   2.200% 12/12/22      19,750     20,264
1 Skandinaviska Enskilda Banken AB   0.550%   9/1/23      20,000     20,066
1 Standard Chartered plc   2.744%  9/10/22       4,364      4,374
1 Standard Chartered plc   4.247%  1/20/23      66,800     67,954
1 Standard Chartered plc   1.319% 10/14/23      50,943     51,366
  State Street Corp.   2.825%  3/30/23       9,620      9,783
  Sumitomo Mitsui Banking Corp.   4.850%   3/1/22      17,435     17,869
  Sumitomo Mitsui Banking Corp.   3.950%  1/10/24         302        328
3,5 Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.660%   0.700%  8/18/22      15,000     11,068
3,5 Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.730%   0.766% 11/29/22      10,000      7,396
  Sumitomo Mitsui Financial Group Inc.   2.442% 10/19/21      39,080     39,270
5 Sumitomo Mitsui Financial Group Inc.   3.662%  3/29/22      10,000      7,499
  Sumitomo Mitsui Financial Group Inc.   2.784%  7/12/22      91,217     93,379
  Sumitomo Mitsui Financial Group Inc.   2.778% 10/18/22      31,925     32,885
  Sumitomo Mitsui Financial Group Inc.   3.102%  1/17/23       5,000      5,204
  Sumitomo Mitsui Financial Group Inc.   3.748%  7/19/23      19,030     20,270
  Sumitomo Mitsui Financial Group Inc.   0.508%  1/12/24       1,670      1,668
3,5 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270%   1.300%  3/29/22       3,080      2,275
  Svenska Handelsbanken AB   1.875%   9/7/21       9,230      9,245
5 Swedbank AB   3.500%  2/17/22       6,180      4,607
1 Swedbank AB   2.800%  3/14/22       4,174      4,240
  Toronto-Dominion Bank   1.900%  12/1/22      44,457     45,442
  Toronto-Dominion Bank   0.750%  6/12/23      10,270     10,350
  Toronto-Dominion Bank   0.450%  9/11/23      11,324     11,340
  Toronto-Dominion Bank   0.550%   3/4/24       8,240      8,253
  Truist Bank   2.800%  5/17/22       2,632      2,680
  Truist Bank   3.502%   8/2/22      12,201     12,201
  Truist Bank   1.250%   3/9/23       1,595      1,619
  Truist Financial Corp.   2.750%   4/1/22      11,682     11,855
  Truist Financial Corp.   3.050%  6/20/22       7,214      7,376
  Truist Financial Corp.   2.200%  3/16/23       9,000      9,265
1 UBS AG   1.750%  4/21/22      21,178     21,391
1 UBS AG   0.450%   2/9/24      10,000      9,967
1 UBS Group AG   2.650%   2/1/22      35,000     35,415
1 UBS Group AG   3.491%  5/23/23      45,828     46,971
1 UBS Group AG   2.859%  8/15/23      68,817     70,506
1 USAA Capital Corp.   1.500%   5/1/23       2,548      2,601
  Wells Fargo & Co.   3.500%   3/8/22       2,544      2,594
8 Wells Fargo & Co.   2.125%  4/22/22       2,930      4,119
5 Wells Fargo & Co.   5.250%   9/7/22      13,920     10,748
  Wells Fargo & Co.   3.069%  1/24/23      50,000     50,670
  Wells Fargo & Co.   3.750%  1/24/24      40,919     43,985
  Wells Fargo & Co.   1.654%   6/2/24      55,429     56,630
  Wells Fargo Bank NA   2.082%   9/9/22      16,500     16,529
  Wells Fargo Bank NA   3.550%  8/14/23       9,000      9,568
  Westpac Banking Corp.   2.500%  6/28/22         380        388
  Westpac Banking Corp.   2.750%  1/11/23      25,155     26,063
5 Westpac Banking Corp.   4.500%  3/11/27       3,466      2,600
3,5 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800%   1.824%  6/22/28      13,100      9,810
  Willis North America Inc.   3.600%  5/15/24      15,566     16,701
20
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Zions Bancorp NA   3.500%  8/27/21      15,360     15,391
                   6,111,662
Health Care (5.9%)
  AbbVie Inc.   2.150% 11/19/21       5,000      5,028
  AbbVie Inc.   5.000% 12/15/21       6,000      6,033
  AbbVie Inc.   3.450%  3/15/22      40,000     40,573
  AbbVie Inc.   3.250%  10/1/22      27,474     28,202
  AbbVie Inc.   2.900%  11/6/22          24         25
  AbbVie Inc.   3.200%  11/6/22       5,579      5,752
  AbbVie Inc.   2.300% 11/21/22      37,009     37,939
  AbbVie Inc.   2.850%  5/14/23       4,650      4,833
  AbbVie Inc.   3.750% 11/14/23       6,600      7,067
  Aetna Inc.   2.750% 11/15/22      33,729     34,564
  Aetna Inc.   2.800%  6/15/23       9,028      9,384
  AmerisourceBergen Corp.   0.737%  3/15/23      54,960     55,059
  Amgen Inc.   3.625%  5/15/22      10,655     10,844
  Anthem Inc.   3.125%  5/15/22      10,000     10,223
  Anthem Inc.   2.950%  12/1/22      12,900     13,325
  Anthem Inc.   3.300%  1/15/23      38,155     39,764
  Astrazeneca Finance LLC   0.700%  5/28/24      19,000     19,025
  AstraZeneca plc   2.375%  6/12/22      33,100     33,661
  AstraZeneca plc   3.500%  8/17/23         105        111
1 Bayer U.S. Finance II LLC   3.875% 12/15/23      21,047     22,517
1 Bayer U.S. Finance LLC   3.000%  10/8/21       6,220      6,250
  Biogen Inc.   3.625%  9/15/22       5,786      5,997
  Bristol-Myers Squibb Co.   2.600%  5/16/22       5,140      5,238
  Bristol-Myers Squibb Co.   2.000%   8/1/22         750        763
  Bristol-Myers Squibb Co.   3.550%  8/15/22       3,975      4,110
  Bristol-Myers Squibb Co.   0.537% 11/13/23      40,000     40,027
  Cardinal Health Inc.   2.616%  6/15/22         519        528
  Cardinal Health Inc.   3.200%  3/15/23       3,040      3,172
  Cigna Corp.   3.050% 11/30/22      31,392     32,450
  Cigna Corp.   3.750%  7/15/23      63,501     67,402
  Cigna Corp.   0.613%  3/15/24      10,000     10,003
  CVS Health Corp.   3.500%  7/20/22       3,412      3,499
  CVS Health Corp.   2.750%  12/1/22      44,239     45,413
  CVS Health Corp.   4.750%  12/1/22       1,795      1,879
  CVS Health Corp.   3.700%   3/9/23       3,783      3,973
  Gilead Sciences Inc.   4.400%  12/1/21       9,397      9,428
  Gilead Sciences Inc.   3.250%   9/1/22      25,449     26,141
  Gilead Sciences Inc.   0.750%  9/29/23      35,140     35,161
  GlaxoSmithKline Capital plc   2.850%   5/8/22       4,984      5,085
  GlaxoSmithKline Capital plc   2.875%   6/1/22       4,660      4,753
  GlaxoSmithKline Capital plc   0.534%  10/1/23      38,022     38,113
  Humana Inc.   3.150%  12/1/22      28,310     29,150
  Humana Inc.   2.900% 12/15/22      65,131     67,206
  Humana Inc.   0.650%   8/3/23      20,000     20,000
  Illumina Inc.   0.550%  3/23/23      28,917     28,967
  McKesson Corp.   2.700% 12/15/22       7,947      8,151
  McKesson Corp.   2.850%  3/15/23       3,609      3,724
1 Mylan Inc.   3.125%  1/15/23      20,916     21,669
  Mylan Inc.   4.200% 11/29/23       9,000      9,645
  Stryker Corp.   0.600%  12/1/23      25,000     25,008
  Takeda Pharmaceutical Co. Ltd.   4.400% 11/26/23      42,453     46,013
  UnitedHealth Group Inc.   2.875%  3/15/22       9,315      9,407
21
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  UnitedHealth Group Inc.   2.375% 10/15/22      14,049     14,405
  UnitedHealth Group Inc.   2.750%  2/15/23         775        800
  UnitedHealth Group Inc.   3.500%  6/15/23       1,624      1,720
  UnitedHealth Group Inc.   3.500%  2/15/24         225        242
  Viatris Inc.   0.477% 10/15/21      32,000     31,969
1 Viatris Inc.   1.125%  6/22/22      88,114     88,648
  Zimmer Biomet Holdings Inc.   3.150%   4/1/22      18,910     19,176
  Zimmer Biomet Holdings Inc.   3.700%  3/19/23          20         21
  Zoetis Inc.   3.250%   2/1/23      22,006     22,791
                   1,182,026
Industrials (3.6%)
5 Australia Pacific Airports Melbourne Pty Ltd.   4.000%  9/15/22       5,000      3,772
  Block Financial LLC   5.500%  11/1/22       8,000      8,291
  Boeing Co.   2.700%   5/1/22      55,731     56,655
  Boeing Co.   2.200% 10/30/22         500        508
  Boeing Co.   1.167%   2/4/23      44,000     44,141
  Boeing Co.   2.800%   3/1/23         500        516
  Boeing Co.   4.508%   5/1/23      31,581     33,552
  Burlington Northern Santa Fe LLC   3.750%   4/1/24       3,600      3,884
  Caterpillar Financial Services Corp.   1.931%  10/1/21       9,140      9,167
  Caterpillar Financial Services Corp.   0.950%  5/13/22      18,150     18,259
  Caterpillar Financial Services Corp.   1.900%   9/6/22      21,180     21,577
  Caterpillar Financial Services Corp.   2.550% 11/29/22         630        650
  Caterpillar Financial Services Corp.   0.650%   7/7/23      40,000     40,273
  CNH Industrial Capital LLC   3.875% 10/15/21         952        958
  CNH Industrial Capital LLC   4.375%   4/5/22       4,645      4,763
  CNH Industrial Capital LLC   1.950%   7/2/23       1,220      1,251
  CNH Industrial Capital LLC   4.200%  1/15/24         190        206
  CNH Industrial NV   4.500%  8/15/23         638        686
5 ConnectEast Finance Pty Ltd.   4.250%  2/25/22      17,730     13,168
  General Dynamics Corp.   2.250% 11/15/22         500        510
  General Electric Co.   2.700%  10/9/22         525        539
  General Electric Co.   3.100%   1/9/23         750        779
6 Honeywell International Inc.   0.483%  8/19/22     108,575    108,586
  L3Harris Technologies Inc.   3.850%  6/15/23      21,533     22,845
  Norfolk Southern Corp.   3.850%  1/15/24       1,000      1,071
  Northrop Grumman Corp.   3.250%   8/1/23       7,654      8,082
  PACCAR Financial Corp.   0.350%  8/11/23      10,000     10,007
1 Penske Truck Leasing Co. LP / PTL Finance Corp.   4.875%  7/11/22         397        413
1 Penske Truck Leasing Co. LP / PTL Finance Corp.   4.250%  1/17/23         720        758
1 Penske Truck Leasing Co. LP / PTL Finance Corp.   2.700%  3/14/23       2,120      2,189
1 Penske Truck Leasing Co. LP / PTL Finance Corp.   4.125%   8/1/23         655        698
1 Penske Truck Leasing Co. LP / PTL Finance Corp.   3.900%   2/1/24         747        802
5 QPH Finance Co. Pty Ltd.   3.750%   6/7/23       9,520      7,282
  Raytheon Technologies Corp.   2.800%  3/15/22      68,142     69,067
  Raytheon Technologies Corp.   2.500% 12/15/22      13,865     14,206
  Ryder System Inc.   2.875%   6/1/22      18,574     18,931
  Ryder System Inc.   3.875%  12/1/23      17,810     19,118
1 Siemens Financieringsmaatschappij NV   0.400%  3/11/23      75,000     75,142
  Southwest Airlines Co.   4.750%   5/4/23      88,086     94,349
2 Southwest Airlines Co. Series 2007-1 Pass Through Trust   6.650%   8/1/22       1,954      2,000
  Teledyne Technologies Inc.   0.650%   4/1/23         550        550
  Tyco Electronics Group SA   3.500%   2/3/22       1,520      1,532
  United Parcel Service Inc.   2.450%  10/1/22       1,060      1,087
22
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 US Airways Series 2001-1C Pass Through Trust   7.346%  9/20/23       1,992      2,002
  Waste Management Inc.   2.900%  9/15/22       4,000      4,090
                   728,912
Materials (1.6%)
1 Air Liquide Finance SA   1.750%  9/27/21      31,660     31,699
1 Berry Global Inc.   0.950%  2/15/24       5,500      5,515
  BHP Billiton Finance USA Ltd.   3.850%  9/30/23      16,700     17,956
1 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP   3.300%   5/1/23       7,400      7,762
  DuPont de Nemours Inc.   4.205% 11/15/23      19,235     20,768
  Eastman Chemical Co.   3.500%  12/1/21      18,332     18,524
  Ecolab Inc.   3.250%  1/14/23       5,000      5,186
  EI du Pont de Nemours and Co.   0.000% 12/15/21     130,000    129,897
  GC Treasury Center Co. Ltd.   4.250%  9/19/22       4,930      5,106
  Indonesia Asahan Aluminium Persero PT   5.230% 11/15/21       1,000      1,013
1 International Flavors & Fragrances Inc.   0.697%  9/15/22       3,035      3,039
  Linde Inc.   2.200%  8/15/22          25         25
  LYB International Finance BV   4.000%  7/15/23      12,255     13,076
  Martin Marietta Materials Inc.   0.650%  7/15/23      15,000     15,028
  Newmont Corp.   3.500%  3/15/22       2,000      2,022
  Nucor Corp.   4.125%  9/15/22       4,237      4,377
  Nutrien Ltd.   3.150%  10/1/22      10,516     10,780
  Nutrien Ltd.   1.900%  5/13/23       8,635      8,846
  Nutrien Ltd.   3.625%  3/15/24         641        685
  Packaging Corp. of America   4.500%  11/1/23      20,557     22,176
  PPG Industries Inc.   3.200%  3/15/23       7,000      7,298
  Sherwin-Williams Co.   4.200%  1/15/22         602        607
                   331,385
Real Estate (2.1%)
  American Tower Corp.   2.250%  1/15/22       9,154      9,232
  American Tower Corp.   3.500%  1/31/23       1,230      1,287
  American Tower Corp.   3.000%  6/15/23      12,640     13,229
  AvalonBay Communities Inc.   2.950%  9/15/22       9,225      9,437
  AvalonBay Communities Inc.   2.850%  3/15/23      17,450     18,013
  AvalonBay Communities Inc.   4.200% 12/15/23      25,272     27,269
  Boston Properties LP   3.850%   2/1/23      23,523     24,496
  Boston Properties LP   3.125%   9/1/23      20,350     21,311
  Boston Properties LP   3.800%   2/1/24       4,672      4,997
  Brandywine Operating Partnership LP   3.950%  2/15/23       2,730      2,851
  Camden Property Trust   2.950% 12/15/22       6,289      6,473
  Crown Castle International Corp.   3.150%  7/15/23       1,000      1,050
  ERP Operating LP   0.303%   9/8/21      59,190     59,179
  ERP Operating LP   3.000%  4/15/23      68,415     71,091
  Essex Portfolio LP   3.250%   5/1/23       8,470      8,819
  Essex Portfolio LP   3.875%   5/1/24       1,050      1,132
  Federal Realty Investment Trust   2.750%   6/1/23       1,800      1,864
  Federal Realty Investment Trust   3.950%  1/15/24      20,984     22,501
  Highwoods Realty LP   3.625%  1/15/23       2,736      2,826
  Kimco Realty Corp.   3.400%  11/1/22      11,221     11,587
  Kimco Realty Corp.   3.125%   6/1/23       9,290      9,679
  Mid-America Apartments LP   4.300% 10/15/23       3,100      3,325
  Public Storage   2.370%  9/15/22       9,110      9,312
3 Public Storage, SOFR + 0.470%   0.520%  4/23/24       8,845      8,862
  Realty Income Corp.   4.650%   8/1/23      18,770     20,151
  Simon Property Group LP   2.750%   6/1/23      17,465     18,107
23
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Simon Property Group LP   3.750%   2/1/24       7,965      8,529
  SL Green Operating Partnership LP   3.250% 10/15/22         300        309
  Ventas Realty LP   3.125%  6/15/23       5,155      5,365
  Ventas Realty LP   3.500%  4/15/24       2,371      2,534
  Ventas Realty LP / Ventas Capital Corp.   3.250%  8/15/22       1,885      1,939
  Weingarten Realty Investors   3.500%  4/15/23       1,160      1,207
  Welltower Inc.   4.500%  1/15/24       9,995     10,844
  Welltower Inc.   3.625%  3/15/24       1,495      1,603
                   420,410
Technology (3.4%)
  Broadcom Corp. / Broadcom Cayman Finance Ltd.   3.625%  1/15/24      17,246     18,388
  Dell International LLC / EMC Corp.   5.450%  6/15/23      38,632     41,746
  Equifax Inc.   3.300% 12/15/22      14,895     15,377
  Equifax Inc.   3.950%  6/15/23       2,175      2,308
  Fidelity National Information Services Inc.   0.375%   3/1/23      50,000     50,005
5 Intel Corp.   4.000%  12/1/22      32,710     25,168
  Micron Technology Inc.   2.497%  4/24/23      59,600     61,545
  Moody's Corp.   4.500%   9/1/22       5,440      5,624
  Moody's Corp.   2.625%  1/15/23       1,425      1,469
  NVIDIA Corp.   0.309%  6/15/23     172,550    172,635
1 NXP BV / NXP Funding LLC   4.625%   6/1/23         640        686
  Oracle Corp.   1.900%  9/15/21       8,095      8,105
  Oracle Corp.   2.500%  5/15/22       7,604      7,708
  Oracle Corp.   2.400%  9/15/23      70,687     73,221
  PayPal Holdings Inc.   2.200%  9/26/22      71,556     73,172
  PayPal Holdings Inc.   1.350%   6/1/23      24,301     24,753
  Roper Technologies Inc.   0.450%  8/15/22      10,000     10,010
  Roper Technologies Inc.   3.650%  9/15/23       3,087      3,286
  Skyworks Solutions Inc.   0.900%   6/1/23       2,870      2,881
  VMware Inc.   2.950%  8/21/22      87,818     89,974
  VMware Inc.   0.600%  8/15/23       4,000      4,007
                   692,068
Utilities (6.1%)
  American Electric Power Co. Inc.   0.750%  11/1/23      10,000     10,007
  Atmos Energy Corp.   0.625%   3/9/23       9,260      9,262
5 AusNet Services Holdings Pty Ltd.   5.750%  6/28/22      33,130     25,460
  Baltimore Gas and Electric Co.   3.350%   7/1/23       4,810      5,045
  Berkshire Hathaway Energy Co.   2.800%  1/15/23         500        517
  CenterPoint Energy Houston Electric LLC   2.250%   8/1/22         500        507
  CenterPoint Energy Inc.   2.500%   9/1/22      24,040     24,548
  CenterPoint Energy Resources Corp.   0.700%   3/2/23       8,046      8,047
  CenterPoint Energy Resources Corp.   3.550%   4/1/23      12,500     13,113
  Consolidated Edison Inc.   0.650%  12/1/23      34,357     34,374
1 Dominion Energy Inc.   2.450%  1/15/23      69,850     71,883
3 Dominion Energy Inc., 3M USD LIBOR + 0.530%   0.649%  9/15/23       6,090      6,093
  DTE Energy Co.   0.550%  11/1/22      60,220     60,410
  DTE Energy Co.   2.250%  11/1/22      25,900     26,491
  Duke Energy Corp.   1.800%   9/1/21         328        328
  Duke Energy Corp.   2.400%  8/15/22      11,528     11,757
  Duke Energy Corp.   3.050%  8/15/22       9,087      9,278
  Duke Energy Progress LLC   3.000%  9/15/21       1,175      1,177
3 Duke Energy Progress LLC, 3M USD LIBOR + 0.180%   0.335%  2/18/22      29,000     29,000
  Eastern Energy Gas Holdings LLC   3.550%  11/1/23       9,867     10,448
  Edison International   2.400%  9/15/22       1,826      1,855
24
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Edison International   3.125% 11/15/22         960        988
  Edison International   2.950%  3/15/23       1,342      1,385
  Enel Finance America LLC   0.356%  5/12/22      24,340     24,268
  Enel Finance America LLC   0.351%  5/18/22      29,000     28,911
  Enel Finance America LLC   0.356%  5/19/22      19,400     19,341
  Enel Finance America LLC   0.321%  6/14/22      48,030     47,864
  Enel Finance America LLC   0.322%  6/17/22      47,930     47,763
1 Engie SA   2.875% 10/10/22       4,640      4,774
  Entergy Corp.   4.000%  7/15/22       7,719      7,939
  Entergy Louisiana LLC   0.620% 11/17/23      26,750     26,764
3,5 ETSA Utilities Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.020%   1.056%  8/29/22      14,900     10,988
  Eversource Energy   2.750%  3/15/22      62,800     63,631
  Eversource Energy   2.800%   5/1/23      44,715     46,271
  Georgia Power Co.   2.850%  5/15/22         500        510
  NextEra Energy Capital Holdings Inc.   2.900%   4/1/22      27,982     28,474
  NextEra Energy Capital Holdings Inc.   2.800%  1/15/23       3,422      3,535
  NextEra Energy Capital Holdings Inc.   0.650%   3/1/23      45,500     45,668
3 NextEra Energy Capital Holdings Inc., 3M USD LIBOR + 0.270%   0.420%  2/22/23      40,000     39,985
  Northern States Power Co.   2.600%  5/15/23      11,145     11,472
  NSTAR Electric Co.   2.375% 10/15/22       1,200      1,223
  NTPC Ltd.   4.750%  10/3/22       6,890      7,183
  Oncor Electric Delivery Co. LLC   4.100%   6/1/22       4,200      4,289
  ONE Gas Inc.   0.850%  3/11/23      65,000     65,016
  PECO Energy Co.   1.700%  9/15/21       2,295      2,297
  PECO Energy Co.   2.375%  9/15/22       3,595      3,659
  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara   5.500% 11/22/21      55,193     55,952
  Progress Energy Inc.   3.150%   4/1/22      13,709     13,871
  PSEG Power LLC   3.850%   6/1/23      10,688     11,317
  Public Service Electric and Gas Co.   2.375%  5/15/23      10,870     11,211
  Public Service Enterprise Group Inc.   2.650% 11/15/22      74,500     76,607
  Puget Energy Inc.   6.000%   9/1/21       7,829      7,861
  Sempra Energy   2.900%   2/1/23       5,768      5,965
  Sempra Energy   4.050%  12/1/23      11,670     12,511
  Southern California Edison Co.   0.700%   4/3/23      20,000     20,056
3 Southern California Edison Co., SOFR + 0.350%   0.398%  6/13/22      24,020     24,061
  Southern Co. Gas Capital Corp.   2.450%  10/1/23          80         83
  State Grid Overseas Investment 2013 Ltd.   3.125%  5/22/23       2,377      2,482
  State Grid Overseas Investment 2016 Ltd.   2.750%   5/4/22      19,705     20,012
5 United Energy Distribution Pty Ltd.   3.500%  9/12/23      18,230     14,018
  Virginia Electric and Power Co.   2.750%  3/15/23      30,143     31,148
  WEC Energy Group Inc.   0.550%  9/15/23      13,710     13,732
  Xcel Energy Inc.   0.500% 10/15/23       9,705      9,716
                   1,234,401
Total Corporate Bonds (Cost $14,120,345) 14,134,231
Sovereign Bonds (3.6%)
  Corp. Andina de Fomento   3.250%  2/11/22      26,585     26,981
  Corp. Andina de Fomento   4.375%  6/15/22      15,419     15,938
  Corp. Andina de Fomento   2.375%  5/12/23      10,000     10,296
  Corp. Financiera de Desarrollo SA   4.750%   2/8/22       6,200      6,313
1 Corp. Financiera de Desarrollo SA   4.750%   2/8/22       1,838      1,867
  Export-Import Bank of India   4.000%  1/14/23      19,168     19,994
25
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Fondo MIVIVIENDA SA   3.500%  1/31/23       8,453      8,713
  Kingdom of Saudi Arabia   2.375% 10/26/21      61,214     61,468
9 Korea Monetary Stabilization Bond   1.315%  10/2/21  50,000,000     43,513
9 Korea Monetary Stabilization Bond   0.000% 10/19/21 150,000,000    130,214
9 Korea Monetary Stabilization Bond   0.880%   7/9/22 100,000,000     86,918
  KSA Sukuk Ltd.   2.894%  4/20/22      45,310     46,053
  Kuwait   2.750%  3/20/22      15,693     15,923
  Perusahaan Penerbit SBSN Indonesia III   3.400%  3/29/22      50,866     51,761
  Perusahaan Penerbit SBSN Indonesia III   3.300% 11/21/22      19,409     20,082
  Republic of Chile   2.250% 10/30/22       4,700      4,806
  Republic of Colombia   2.625%  3/15/23      30,405     30,855
  Republic of Croatia   5.500%   4/4/23       3,155      3,414
  Republic of Hungary   5.375%  2/21/23      22,492     24,235
  Republic of Hungary   5.750% 11/22/23       8,000      8,960
  Republic of Indonesia   3.750%  4/25/22      46,856     47,971
  Republic of Indonesia   2.950%  1/11/23       2,500      2,588
  Republic of Panama   4.000%  9/22/24      13,047     14,174
  Republic of Serbia   7.250%  9/28/21       3,678      3,718
  Romania   6.750%   2/7/22      27,481     28,357
10 SoQ Sukuk A QSC   3.241%  1/18/23      11,847     12,340
  State of Israel   4.000%  6/30/22         300        310
  State of Qatar   3.875%  4/23/23      10,000     10,587
Total Sovereign Bonds (Cost $739,076) 738,349
Taxable Municipal Bonds (0.0%)
3 New Mexico Educational Assistance Foundation Student Loan Revenue, 1M USD LIBOR + 0.700% (Cost $20)   0.800%   1/2/25          19           20
Total Taxable Municipal Bonds (Cost $20) 20
          Shares  
Temporary Cash Investments (12.4%)
Money Market Fund (9.9%)
11 Vanguard Market Liquidity Fund    0.064%           19,990,449  1,999,045
        Maturity
Date 		Face
Amount
($000) 		 
Commercial Paper (0.3%)
  General Motors Financial Co. Inc.   0.325%  9/10/21      20,000     19,991
  Humana Inc.   0.274% 10/20/21      35,000     34,975
26
Ultra-Short-Term Bond Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (2.2%)
12 U.S. Treasury Bill   0.073%  7/14/22     450,000    449,719
Total Temporary Cash Investments (Cost $2,503,597) 2,503,730
Total Investments (100.8%) (Cost $20,339,866) 20,358,810
Other Assets and Liabilities—Net (-0.8%) (154,940)
Net Assets (100%) 20,203,870
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 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, 2021, the aggregate value was $4,044,781,000, representing 20.0% of net assets.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Face amount denominated in Australian dollars.
6 Securities with a value of $5,467,000 have been segregated as initial margin for open futures contracts.
7 Securities with a value of $811,000 have been segregated as initial margin for open centrally cleared swap contracts.
8 Face amount denominated in British pounds.
9 Face amount denominated in Korean won.
10 Guaranteed by the State of Qatar.
11 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
12 Securities with a value of $870,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
  1M—1-month.
  3M—3-month.
  LIBOR—London Interbank Offered Rate.
  SOFR—Secured Overnight Financing Rate.
  
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
2-Year U.S. Treasury Note September 2021 2,766 610,335 (5)
 
Short Futures Contracts        
5-Year U.S. Treasury Note September 2021 (4,235) (527,026) (3,074)
AUD 3-Year Treasury Bond September 2021 (952) (81,792) (240)
        (3,314)
        (3,319)
    
27
Ultra-Short-Term Bond Fund
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
BNP Paribas 8/27/21 AUD 403 USD 297 — (1)
JPMorgan Chase Bank, N.A. 8/27/21 AUD 155 USD 114 — —
JPMorgan Chase Bank, N.A. 8/27/21 EUR 34 USD 40 — —
State Street Bank & Trust Co. 8/27/21 USD 229,326 AUD 311,271 866 —
Barclays Bank plc 8/27/21 USD 220,624 AUD 299,236 997 —
Royal Bank of Canada 8/27/21 USD 258 AUD 350 1 —
BNP Paribas 8/27/21 USD 153 AUD 207 1 —
Toronto-Dominion Bank 8/27/21 USD 4,112 GBP 2,990 — (44)
State Street Bank & Trust Co. 9/15/21 USD 89,325 KRW 100,000,000 2,451 —
BNP Paribas 9/15/21 USD 53,111 KRW 60,000,000 987 —
Standard Chartered Bank 9/15/21 USD 44,462 KRW 50,000,000 1,025 —
Citibank, N.A. 9/15/21 USD 44,117 KRW 50,000,000 681 —
JPMorgan Chase Bank, N.A. 9/15/21 USD 40,251 KRW 45,000,000 1,160 —
            8,169 (45)
AUD—Australian dollar.
EUR—euro.
GBP—British pound.
KRW—Korean won.
USD—U.S. dollar.
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Purchased            
CDX-NA-IG-S35-V1 12/23/25 USD 60,000 (1.000) (1,507) (81)
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
28
Ultra-Short-Term Bond Fund
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
Republic of Indonesia/Baa2 6/23/26 JPMC 4,500 1.000 45 30 15 —
1 Periodic premium received/paid quarterly.
JPMC—JPMorgan Chase Bank, N.A.
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.
At July 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $4,594,000 and cash of $740,000 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.
29
Ultra-Short-Term Bond Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $18,340,925) 18,359,765
Affiliated Issuers (Cost $1,998,941) 1,999,045
Total Investments in Securities 20,358,810
Investment in Vanguard 676
Cash 812
Foreign Currency, at Value (Cost $5,436) 5,430
Receivables for Accrued Income 90,592
Receivables for Capital Shares Issued 61,867
Swap Premiums Paid 30
Variation Margin Receivable—Centrally Cleared Swap Contracts 24
Unrealized Appreciation—Forward Currency Contracts 8,169
Unrealized Appreciation—Over-the-Counter Swap Contracts 15
Total Assets 20,526,425
Liabilities  
Payables for Investment Securities Purchased 288,745
Payables for Capital Shares Redeemed 30,732
Payables for Distributions 1,596
Payables to Vanguard 911
Variation Margin Payable—Futures Contracts 526
Unrealized Depreciation—Forward Currency Contracts 45
Total Liabilities 322,555
Net Assets 20,203,870
30
Ultra-Short-Term Bond Fund
Statement of Assets and Liabilities (continued)
At July 31, 2021, net assets consisted of:  
($000s, except shares and per-share amounts) Amount
Paid-in Capital 20,154,379
Total Distributable Earnings (Loss) 49,491
Net Assets 20,203,870
 
Investor Shares—Net Assets  
Applicable to 82,674,316 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		832,375
Net Asset Value Per Share—Investor Shares $10.07
 
Admiral Shares—Net Assets  
Applicable to 961,840,622 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		19,371,495
Net Asset Value Per Share—Admiral Shares $20.14
  
See accompanying Notes, which are an integral part of the Financial Statements.
31
Ultra-Short-Term Bond Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 70,054
Total Income 70,054
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 396
Management and Administrative—Investor Shares 729
Management and Administrative—Admiral Shares 8,236
Marketing and Distribution—Investor Shares 29
Marketing and Distribution—Admiral Shares 240
Custodian Fees 25
Shareholders’ Reports—Investor Shares 3
Shareholders’ Reports—Admiral Shares 13
Trustees’ Fees and Expenses 2
Total Expenses 9,673
Net Investment Income 60,381
Realized Net Gain (Loss)  
Investment Securities Sold1 6,491
Futures Contracts 13,912
Swap Contracts (65)
Forward Currency Contracts 41,632
Foreign Currencies (9,408)
Realized Net Gain (Loss) 52,562
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (60,674)
Futures Contracts (3,737)
Swap Contracts (106)
Forward Currency Contracts 1,515
Foreign Currencies (20)
Change in Unrealized Appreciation (Depreciation) (63,022)
Net Increase (Decrease) in Net Assets Resulting from Operations 49,921
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $721,000, $0, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
  
See accompanying Notes, which are an integral part of the Financial Statements.
32
Ultra-Short-Term Bond Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 60,381   138,925
Realized Net Gain (Loss) 52,562   (14,627)
Change in Unrealized Appreciation (Depreciation) (63,022)   56,809
Net Increase (Decrease) in Net Assets Resulting from Operations 49,921   181,107
Distributions      
Investor Shares (2,351)   (6,698)
Admiral Shares (61,577)   (136,565)
Total Distributions (63,928)   (143,263)
Capital Share Transactions      
Investor Shares 104,820   255,196
Admiral Shares 3,324,998   9,580,899
Net Increase (Decrease) from Capital Share Transactions 3,429,818   9,836,095
Total Increase (Decrease) 3,415,811   9,873,939
Net Assets      
Beginning of Period 16,788,059   6,914,120
End of Period 20,203,870   16,788,059
  
See accompanying Notes, which are an integral part of the Financial Statements.
33
Ultra-Short-Term Bond Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.08 $10.04 $9.98 $9.97 $10.00 $9.99
Investment Operations            
Net Investment Income .0281 .1271 .2521 .2271 .1541 .106
Net Realized and Unrealized Gain (Loss) on Investments (.008) .053 .065 .003 (.037) .006
Total from Investment Operations .020 .180 .317 .230 .117 .112
Distributions            
Dividends from Net Investment Income (.030) (.140) (.257) (.220) (.145) (.102)
Distributions from Realized Capital Gains — — — — (.002) —
Total Distributions (.030) (.140) (.257) (.220) (.147) (.102)
Net Asset Value, End of Period $10.07 $10.08 $10.04 $9.98 $9.97 $10.00
Total Return2 0.20% 1.81% 3.21% 2.34% 1.17% 1.13%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $832 $728 $471 $309 $179 $131
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 0.56% 1.27% 2.53% 2.28% 1.54% 1.11%
Portfolio Turnover Rate 26%3 60%3 70% 61% 70% 81%
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 Includes 1% and 3% attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
34
Ultra-Short-Term Bond Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $20.15 $20.08 $19.96 $19.94 $20.00 $19.98
Investment Operations            
Net Investment Income .0651 .2631 .5271 .4731 .3281 .228
Net Realized and Unrealized Gain (Loss) on Investments (.006) .107 .126 .008 (.077) .015
Total from Investment Operations .059 .370 .653 .481 .251 .243
Distributions            
Dividends from Net Investment Income (.069) (.300) (.533) (.461) (.307) (.223)
Distributions from Realized Capital Gains — — — — (.004) —
Total Distributions (.069) (.300) (.533) (.461) (.311) (.223)
Net Asset Value, End of Period $20.14 $20.15 $20.08 $19.96 $19.94 $20.00
Total Return2 0.29% 1.86% 3.31% 2.44% 1.26% 1.22%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $19,371 $16,060 $6,443 $5,244 $3,474 $2,024
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10% 0.12%
Ratio of Net Investment Income to Average Net Assets 0.65% 1.31% 2.63% 2.38% 1.64% 1.19%
Portfolio Turnover Rate 26%3 60%3 70% 61% 70% 81%
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 Includes 1% and 3% attributable to mortgage-dollar-roll activity.
  
See accompanying Notes, which are an integral part of the Financial Statements.
35
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. 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 exposure. 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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its
36
Ultra-Short-Term Bond Fund
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2021, the fund’s average investments in long and short futures contracts represented 4% and 5% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any 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 forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended July 31, 2021, the fund’s average investment in forward currency contracts represented 4% of net assets, based on the average of the notional amounts at each quarter-end during the period.
37
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 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.
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.
38
Ultra-Short-Term Bond Fund
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement 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.
During the six months ended July 31, 2021, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
6. 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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
7. 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 also 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.
39
Ultra-Short-Term Bond Fund
8. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
9. 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.
10. 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 alternate 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, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
11. 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
40
Ultra-Short-Term Bond 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. 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, 2021, the fund had contributed to Vanguard capital in the amount of $676,000, representing less than 0.01% of the fund’s net assets and 0.27% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
41
Ultra-Short-Term Bond Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Asset-Backed/Commercial Mortgage-Backed Securities — 2,982,480 — 2,982,480
Corporate Bonds — 14,134,231 — 14,134,231
Sovereign Bonds — 738,349 — 738,349
Taxable Municipal Bonds — 20 — 20
Temporary Cash Investments 1,999,045 504,685 — 2,503,730
Total 1,999,045 18,359,765 — 20,358,810
Derivative Financial Instruments         
Assets        
Forward Currency Contracts — 8,169 — 8,169
Swap Contracts —1 15 — 15
Total — 8,184 — 8,184
Liabilities        
Futures Contracts1 3,319 — — 3,319
Forward Currency Contracts — 45 — 45
Swap Contracts 811 — — 81
Total 3,400 45 — 3,445
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
D. At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Swap Premiums Paid — — 30 30
Unrealized Appreciation—Forward Currency Contracts — 8,169 — 8,169
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— — 15 15
Total Assets — 8,169 45 8,214
         
Unrealized Depreciation—Futures Contracts1 3,319 — — 3,319
Unrealized Depreciation—Centrally Cleared Swap Contracts1 — — 81 81
42
Ultra-Short-Term Bond Fund
Statement of Assets and Liabilities Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Unrealized Depreciation—Forward Currency Contracts — 45 — 45
Total Liabilities 3,319 45 81 3,445
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2021, were:
Realized Net Gain (Loss) on Derivatives Interest Rate
Contracts
($000) 		Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Futures Contracts 13,912 — — 13,912
Swap Contracts — — (65) (65)
Forward Currency Contracts — 41,632 — 41,632
Realized Net Gain (Loss) on Derivatives 13,912 41,632 (65) 55,479
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts (3,737) — — (3,737)
Swap Contracts — — (106) (106)
Forward Currency Contracts — 1,515 — 1,515
Change in Unrealized Appreciation (Depreciation) on Derivatives (3,737) 1,515 (106) (2,328)
E. As of July 31, 2021, 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 20,360,056
Gross Unrealized Appreciation 33,139
Gross Unrealized Depreciation (29,616)
Net Unrealized Appreciation (Depreciation) 3,523
F. During the six months ended July 31, 2021, the fund purchased $5,823,730,000 of investment securities and sold $2,674,906,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $756,285,000 and $1,046,924,000, 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 ended July 31, 2021, such purchases and sales were $820,772,000 and $0,
43
Ultra-Short-Term Bond Fund
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
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 409,829 40,686   885,690 88,050
Issued in Lieu of Cash Distributions 2,110 210   6,094 607
Redeemed (307,119) (30,491)   (636,588) (63,338)
Net Increase (Decrease)—Investor Shares 104,820 10,405   255,196 25,319
Admiral Shares          
Issued 9,320,147 462,559   16,385,112 814,372
Issued in Lieu of Cash Distributions 50,327 2,498   110,723 5,511
Redeemed (6,045,476) (300,056)   (6,914,936) (343,906)
Net Increase (Decrease)—Admiral Shares 3,324,998 165,001   9,580,899 475,977
H. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
44
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; it also 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 short-term and since-inception 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.
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.
45
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.
46
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 January 1, 2020, through December 31, 2020 (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.
47
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
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.
© 2021 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q14922 092021

 

 

Semiannual Report   |   July 31, 2021
Vanguard High-Yield Corporate Fund
Contents
About Your Fund’s Expenses
1
Financial Statements
4
Trustees Approve Advisory Arrangement
33
Liquidity Risk Management
35
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, 2021      
  Beginning
Account Value
1/31/2021 		Ending
Account Value
7/31/2021 		Expenses
Paid During
Period
Based on Actual Fund Return      
High-Yield Corporate Fund      
Investor Shares $1,000.00 $1,027.80 $1.16
Admiral™ Shares 1,000.00 1,028.30 0.65
Based on Hypothetical 5% Yearly Return      
Investor Shares $1,000.00 $1,023.65 $1.15
Admiral Shares 1,000.00 1,024.15 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 (181/365).
2
High-Yield Corporate Fund
Fund Allocation
As of July 31, 2021
Corporate Bonds - Communications 18.7%
Corporate Bonds - Consumer Discretionary 14.6
Corporate Bonds - Consumer Staples 4.0
Corporate Bonds - Energy 8.5
Corporate Bonds - Financials 9.0
Corporate Bonds - Health Care 9.6
Corporate Bonds - Industrials 6.3
Corporate Bonds - Materials 9.6
Corporate Bonds - Real Estate 1.2
Corporate Bonds - Technology 11.9
Corporate Bonds - Utilities 1.7
Preferred Stock 0.0
U.S. Government and Agency Obligations 4.9
The table reflects the fund’s investments, except for short-term investments and derivatives.
3
High-Yield Corporate Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
U.S. Government and Agency Obligations (4.7%)
U.S. Government Securities (4.7%)
  U.S. Treasury Note/Bond   2.875% 10/15/21 275,000    276,547
1 U.S. Treasury Note/Bond   1.500%  1/31/22 275,000    276,934
  U.S. Treasury Note/Bond   0.125%  4/30/22 275,000    275,086
  U.S. Treasury Note/Bond   2.000%  7/31/22 275,000    280,242
  U.S. Treasury Note/Bond   1.375% 10/15/22 275,000    279,211
Total U.S. Government and Agency Obligations (Cost $1,387,866) 1,388,020
Corporate Bonds (91.0%)
Communications (17.9%)
2 Altice Financing SA   7.500%  5/15/26  25,000     26,002
2,3 Altice France SA   2.125%  2/15/25  11,415     13,213
2 Altice France SA   7.375%   5/1/26  78,140     81,240
2 Altice France SA   8.125%   2/1/27     600        650
2 Altice France SA   5.500%  1/15/28  19,790     20,284
2 Altice France SA   5.125%  7/15/29 100,720    101,414
  Belo Corp.   7.750%   6/1/27  29,475     34,754
  Belo Corp.   7.250%  9/15/27  24,707     29,103
2 CCO Holdings LLC / CCO Holdings Capital Corp.   5.750%  2/15/26  23,480     24,276
2 CCO Holdings LLC / CCO Holdings Capital Corp.   5.500%   5/1/26  60,288     62,320
2 CCO Holdings LLC / CCO Holdings Capital Corp.   5.125%   5/1/27  17,527     18,340
2 CCO Holdings LLC / CCO Holdings Capital Corp.   5.000%   2/1/28  34,125     35,783
2 CCO Holdings LLC / CCO Holdings Capital Corp.   4.500%  8/15/30  50,355     52,906
2 CCO Holdings LLC / CCO Holdings Capital Corp.   4.250%   2/1/31  68,465     70,603
  CCO Holdings LLC / CCO Holdings Capital Corp.   4.500%   5/1/32 116,373    121,738
  Charter Communications Operating LLC / Charter Communications Operating Capital   6.484% 10/23/45   4,215      5,936
  Charter Communications Operating LLC / Charter Communications Operating Capital   5.375%   5/1/47  31,500     38,964
  Charter Communications Operating LLC / Charter Communications Operating Capital   5.125%   7/1/49  20,000     24,191
  CSC Holdings LLC   6.750% 11/15/21  44,262     44,931
  CSC Holdings LLC   5.875%  9/15/22   6,058      6,337
2 CSC Holdings LLC   5.500%  4/15/27  82,015     85,819
2 CSC Holdings LLC   6.500%   2/1/29  35,323     39,050
2 CSC Holdings LLC   4.125%  12/1/30 123,394    123,716
2 CSC Holdings LLC   4.625%  12/1/30   1,275      1,255
2 CSC Holdings LLC   3.375%  2/15/31  82,190     78,078
2 CSC Holdings LLC   4.500% 11/15/31 142,670    143,906
  DISH DBS Corp.   5.875%  7/15/22 105,934    109,712
4
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  DISH DBS Corp.   5.000%  3/15/23  48,242     50,435
  DISH DBS Corp.   5.875% 11/15/24  87,950     94,813
  DISH DBS Corp.   7.750%   7/1/26 121,605    138,889
  DISH DBS Corp.   7.375%   7/1/28  88,115     95,352
2 DISH DBS Corp.   5.125%   6/1/29  65,475     64,906
  Embarq Corp.   7.995%   6/1/36  28,550     31,983
2 Frontier Communications Holdings LLC   5.875% 10/15/27  26,240     28,139
2 Frontier Communications Holdings LLC   5.000%   5/1/28 167,919    173,796
2 Frontier Communications Holdings LLC   6.750%   5/1/29  78,962     84,674
  Frontier Communications Holdings LLC   5.875%  11/1/29 102,602    105,249
2 Go Daddy Operating Co. LLC / GD Finance Co. Inc.   3.500%   3/1/29 116,540    116,653
2 Gray Television Inc.   5.875%  7/15/26  60,725     62,682
  Lamar Media Corp.   3.750%  2/15/28  31,890     32,491
  Lamar Media Corp.   4.000%  2/15/30  75,500     77,062
2 Lamar Media Corp.   3.625%  1/15/31  55,653     55,020
2,3 Lorca Telecom Bondco SA   4.000%  9/18/27  24,420     29,726
  Lumen Technologies Inc.   5.800%  3/15/22  15,178     15,583
  Lumen Technologies Inc.   6.750%  12/1/23  23,920     26,448
  Lumen Technologies Inc.   7.500%   4/1/24  17,708     19,909
  Netflix Inc.   5.875%  2/15/25  13,420     15,453
2 Netflix Inc.   3.625%  6/15/25  22,115     23,761
  Netflix Inc.   4.375% 11/15/26   1,455      1,652
  Netflix Inc.   5.875% 11/15/28   4,860      6,039
2 Outfront Media Capital LLC / Outfront Media Capital Corp.   6.250%  6/15/25  21,912     23,305
2 Outfront Media Capital LLC / Outfront Media Capital Corp.   5.000%  8/15/27  18,291     18,750
2 Outfront Media Capital LLC / Outfront Media Capital Corp.   4.625%  3/15/30  75,178     75,764
  Quebecor Media Inc.   5.750%  1/15/23 122,547    131,324
2 Scripps Escrow II Inc.   3.875%  1/15/29  62,485     62,497
2 Scripps Escrow II Inc.   5.375%  1/15/31   8,550      8,548
2 Sirius XM Radio Inc.   4.625%  7/15/24  55,185     56,637
2 Sirius XM Radio Inc.   5.375%  7/15/26  15,825     16,340
2 Sirius XM Radio Inc.   4.000%  7/15/28  35,170     36,261
2 Sirius XM Radio Inc.   4.125%   7/1/30  75,495     77,926
  Sprint Capital Corp.   6.875% 11/15/28  24,215     31,220
  Sprint Capital Corp.   8.750%  3/15/32  13,969     21,535
  Sprint Communications Inc.   6.000% 11/15/22  13,000     13,757
  Sprint Corp.   7.250%  9/15/21   5,000      5,037
  Sprint Corp.   7.875%  9/15/23 288,614    326,641
  Sprint Corp.   7.125%  6/15/24  70,886     81,517
  Sprint Corp.   7.625%  2/15/25  53,661     63,317
  Telecom Italia Capital SA   6.375% 11/15/33  12,326     14,596
  Telecom Italia Capital SA   6.000%  9/30/34  36,250     41,647
  Telecom Italia Capital SA   7.721%   6/4/38  37,725     50,648
2 Telecom Italia SPA   5.303%  5/30/24   6,555      7,111
2 Telenet Finance Luxembourg Notes Sarl   5.500%   3/1/28 129,600    136,528
  Time Warner Cable LLC   5.500%   9/1/41  20,846     26,318
  T-Mobile USA Inc.   4.500%   2/1/26  14,640     14,990
  T-Mobile USA Inc.   5.375%  4/15/27  98,340    104,020
2 T-Mobile USA Inc.   3.375%  4/15/29  63,900     66,589
2 T-Mobile USA Inc.   3.500%  4/15/31  74,430     78,141
2 UPC Broadband Finco BV   4.875%  7/15/31  91,040     92,837
2 UPC Holding BV   5.500%  1/15/28  74,560     78,452
  ViacomCBS Inc.   5.875%  2/28/57  82,651     84,236
5
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  ViacomCBS Inc.   6.250%  2/28/57  33,146     37,892
2 Videotron Ltd.   5.375%  6/15/24  12,673     14,001
2 Videotron Ltd.   5.125%  4/15/27   1,500      1,564
2,4 Videotron Ltd.   3.625%  6/15/28  97,435     78,391
2 Videotron Ltd.   3.625%  6/15/29  46,245     47,541
2 Virgin Media Secured Finance plc   5.500%  5/15/29  43,280     46,251
2 Virgin Media Secured Finance plc   4.500%  8/15/30  42,595     42,900
2,5 Virgin Media Vendor Financing Notes III DAC   4.875%  7/15/28  38,910     54,991
2 Virgin Media Vendor Financing Notes IV DAC   5.000%  7/15/28  38,325     39,047
2 Vmed O2 UK Financing I plc   4.250%  1/31/31  94,695     93,722
2 VTR Comunicaciones SPA   5.125%  1/15/28  20,592     21,492
2 VTR Finance NV   6.375%  7/15/28   9,055      9,606
2,3 WMG Acquisition Corp.   3.625% 10/15/26   7,030      8,534
2,3 WMG Acquisition Corp.   2.750%  7/15/28  18,490     22,462
2 WMG Acquisition Corp.   3.875%  7/15/30  58,405     60,001
2 WMG Acquisition Corp.   3.000%  2/15/31  62,070     60,097
2 Ziggo BV   5.500%  1/15/27  46,075     47,809
2 Ziggo BV   4.875%  1/15/30  66,840     68,851
                   5,346,877
Consumer Discretionary (13.9%)
2 1011778 BC ULC / New Red Finance Inc.   3.875%  1/15/28  48,119     48,521
2 1011778 BC ULC / New Red Finance Inc.   3.500%  2/15/29  45,540     45,336
2 1011778 BC ULC / New Red Finance Inc.   4.000% 10/15/30 114,019    113,736
2 Adient Global Holdings Ltd.   4.875%  8/15/26  29,277     29,936
2 American Builders & Contractors Supply Co. Inc.   4.000%  1/15/28  38,713     39,732
2 American Builders & Contractors Supply Co. Inc.   3.875% 11/15/29  66,970     66,783
  Asbury Automotive Group Inc.   4.500%   3/1/28  22,880     23,803
  Asbury Automotive Group Inc.   4.750%   3/1/30  13,388     14,233
2 Beacon Roofing Supply Inc.   4.125%  5/15/29  17,080     17,118
6,7 Beacon Roofing Supply Inc. Bank Loan, 1M USD LIBOR + 2.500%   2.592%  8/31/21  27,882     27,688
  Boyd Gaming Corp.   4.750%  12/1/27 128,570    133,216
2 Builders Firstsource Inc.   4.250%   2/1/32  32,815     33,583
2 Caesars Entertainment Inc.   6.250%   7/1/25  64,450     67,995
2 Caesars Entertainment Inc.   8.125%   7/1/27  64,390     70,902
2 Caesars Resort Collection LLC / CRC Finco Inc.   5.750%   7/1/25  21,605     22,695
2 Caesars Resort Collection LLC / CRC Finco Inc.   5.250% 10/15/25 167,363    168,631
2 Carnival Corp.   4.000%   8/1/28  98,194     97,961
  Cedar Fair LP   5.250%  7/15/29  55,656     56,632
  Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp.   5.375%   6/1/24  15,675     15,807
  Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op   5.375%  4/15/27  27,005     27,566
2 Cinemark USA Inc.   5.250%  7/15/28   5,000      4,701
2,3 Cirsa Finance International Sarl   6.250% 12/20/23  46,210     55,421
2 Cirsa Finance International Sarl   7.875% 12/20/23  66,800     68,009
2 Clarios Global LP / Clarios US Finance Co.   6.250%  5/15/26  28,738     30,418
2 Clarios Global LP / Clarios US Finance Co.   8.500%  5/15/27  26,491     28,598
6,7 Clarios Global LP Bank Loan, 1M USD LIBOR + 3.250%   3.342%  8/31/21  23,511     23,306
  Ford Motor Credit Co. LLC   5.875%   8/2/21  47,989     47,989
  Ford Motor Credit Co. LLC   3.813% 10/12/21  14,320     14,395
  Ford Motor Credit Co. LLC   5.596%   1/7/22  28,855     29,396
  Ford Motor Credit Co. LLC   3.219%   1/9/22  11,970     12,070
  Ford Motor Credit Co. LLC   3.339%  3/28/22   5,750      5,822
  Ford Motor Credit Co. LLC   2.979%   8/3/22   9,735      9,873
6
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Ford Motor Credit Co. LLC   4.250%  9/20/22  21,255     21,905
  Ford Motor Credit Co. LLC   3.350%  11/1/22  41,781     42,715
  Ford Motor Credit Co. LLC   3.087%   1/9/23  25,291     25,807
  Ford Motor Credit Co. LLC   4.140%  2/15/23     500        517
  Ford Motor Credit Co. LLC   3.096%   5/4/23   6,346      6,488
  Ford Motor Credit Co. LLC   4.375%   8/6/23     210        220
  Ford Motor Credit Co. LLC   3.370% 11/17/23  10,105     10,464
  Ford Motor Credit Co. LLC   4.134%   8/4/25  15,275     16,345
  Ford Motor Credit Co. LLC   3.375% 11/13/25  16,070     16,788
  Ford Motor Credit Co. LLC   4.389%   1/8/26   4,800      5,202
  Ford Motor Credit Co. LLC   3.815%  11/2/27   6,000      6,315
7 Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.080%   1.198%   8/3/22  21,625     21,545
7 Ford Motor Credit Co. LLC, 3M USD LIBOR + 1.235%   1.391%  2/15/23   5,100      5,069
6,7 Great Outdoors Group LLC Bank Loan, 6M USD LIBOR + 4.250%   5.000%  9/30/21  74,486     74,486
2 Group 1 Automotive Inc.   4.000%  8/15/28   4,054      4,160
2 Hanesbrands Inc.   4.625%  5/15/24  21,770     23,054
2 Hanesbrands Inc.   5.375%  5/15/25  23,690     24,848
2 Hanesbrands Inc.   4.875%  5/15/26  93,794    101,343
6,7 IRB Holding Corp. Bank Loan, 3M USD LIBOR + 3.250%   4.250%  9/15/21  90,853     90,480
2 Jacobs Entertainment Inc.   7.875%   2/1/24  26,555     27,651
2 JELD-WEN Inc.   4.625% 12/15/25   8,571      8,734
2 JELD-WEN Inc.   4.875% 12/15/27  18,700     19,449
2 KAR Auction Services Inc.   5.125%   6/1/25  89,923     91,986
  KB Home   7.500%  9/15/22   6,935      7,412
  KB Home   7.625%  5/15/23  41,775     45,038
  KB Home   4.800% 11/15/29  15,825     17,285
  KB Home   4.000%  6/15/31  43,745     45,483
2 KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC   4.750%   6/1/27  32,810     34,287
  L Brands Inc.   6.694%  1/15/27  13,000     15,422
2 L Brands Inc.   6.625%  10/1/30  68,730     79,274
  Lennar Corp.   4.125%  1/15/22  27,575     27,766
  Lennar Corp.   4.875% 12/15/23  21,825     23,706
  Lennar Corp.   4.500%  4/30/24 112,404    122,388
  Lennar Corp.   5.250%   6/1/26   4,600      5,343
  Lennar Corp.   5.000%  6/15/27  35,955     42,060
  Lennar Corp.   4.750% 11/29/27  12,005     14,010
2 Lithia Motors Inc.   5.250%   8/1/25   5,708      5,858
2 Lithia Motors Inc.   4.625% 12/15/27  69,275     73,701
2 Lithia Motors Inc.   4.375%  1/15/31  23,480     25,586
  Macy's Retail Holdings LLC   2.875%  2/15/23   3,738      3,773
  Macy's Retail Holdings LLC   3.625%   6/1/24  32,971     33,806
2 Macy's Retail Holdings LLC   5.875%   4/1/29  50,591     53,398
  Macy's Retail Holdings LLC   4.500% 12/15/34  13,975     12,942
  Macy's Retail Holdings LLC   5.125%  1/15/42   6,915      6,324
  Macy's Retail Holdings LLC   4.300%  2/15/43  31,200     25,634
2 Masonite International Corp.   3.500%  2/15/30  12,420     12,513
2 Mattel Inc.   3.375%   4/1/26  18,470     19,208
2 Mattel Inc.   5.875% 12/15/27  76,280     83,370
2 Mattel Inc.   3.750%   4/1/29  25,585     26,965
  MGM Resorts International   6.000%  3/15/23  12,554     13,261
  MGM Resorts International   5.750%  6/15/25  32,801     35,707
2 Michaels Cos. Inc.   5.250%   5/1/28  32,860     34,005
2 Michaels Cos. Inc.   7.875%   5/1/29  59,525     61,742
2 NMG Holding Co. Inc. / Neiman Marcus Group LLC   7.125%   4/1/26  15,825     16,890
7
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Penn National Gaming Inc.   4.125%   7/1/29  56,620     55,807
2 Petsmart Inc.   4.750%  2/15/28  29,580     30,667
2 Petsmart Inc.   7.750%  2/15/29   7,735      8,481
  PulteGroup Inc.   5.500%   3/1/26  26,182     30,668
  PVH Corp.   4.625%  7/10/25  35,890     39,974
2 Scientific Games International Inc.   7.000%  5/15/28  67,625     72,977
  Service Corp. International   4.625% 12/15/27  27,935     29,465
  Service Corp. International   5.125%   6/1/29  44,190     47,890
  Service Corp. International   3.375%  8/15/30  26,810     26,732
  Service Corp. International   4.000%  5/15/31  65,605     67,890
2 Speedway Motorsports LLC / Speedway Funding II Inc.   4.875%  11/1/27  20,000     20,421
6,7 SRAM LLC Bank Loan, 3M USD LIBOR + 2.750%   3.250%  9/30/21  23,655     23,526
2 Taylor Morrison Communities Inc.   5.875%  6/15/27   9,642     10,932
2 Taylor Morrison Communities Inc.   5.125%   8/1/30  37,717     41,012
  Toll Brothers Finance Corp.   5.875%  2/15/22   2,325      2,356
  Toll Brothers Finance Corp.   4.375%  4/15/23  10,000     10,448
  Toll Brothers Finance Corp.   4.875% 11/15/25   9,595     10,749
  Toll Brothers Finance Corp.   4.875%  3/15/27  68,200     77,435
  Toll Brothers Finance Corp.   3.800%  11/1/29  56,775     61,383
  Under Armour Inc.   3.250%  6/15/26  66,860     69,400
2 William Carter Co.   5.500%  5/15/25   8,785      9,249
2 William Carter Co.   5.625%  3/15/27  12,968     13,568
2 Williams Scotsman International Inc.   4.625%  8/15/28   5,695      5,886
2 WW International Inc.   4.500%  4/15/29  50,400     51,280
6,7 WW International Inc. Bank Loan, 1M USD LIBOR + 3.500%   4.000%  8/31/21  11,185     11,159
2 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.   5.500%   3/1/25  67,416     71,463
2 Yum! Brands Inc.   7.750%   4/1/25   5,165      5,589
2 Yum! Brands Inc.   4.750%  1/15/30  37,170     40,710
  Yum! Brands Inc.   3.625%  3/15/31  93,497     95,382
                   4,164,099
Consumer Staples (3.9%)
  B&G Foods Inc.   5.250%   4/1/25  60,337     61,977
  B&G Foods Inc.   5.250%  9/15/27  58,175     60,567
2,5 Bellis Acquisition Co. plc   3.250%  2/16/26  17,494     24,258
2,3 Darling Global Finance BV   3.625%  5/15/26  12,945     15,623
2 Darling Ingredients Inc.   5.250%  4/15/27  10,305     10,789
2 Energizer Holdings Inc.   4.750%  6/15/28  54,462     56,022
2 Energizer Holdings Inc.   4.375%  3/31/29  70,760     71,091
6,7 Froneri International Ltd. Bank Loan, 1M USD LIBOR + 2.250%   2.342%  8/30/21  30,606     30,027
  Kraft Heinz Foods Co.   4.250%   3/1/31  38,000     43,781
  Kraft Heinz Foods Co.   5.200%  7/15/45 102,325    129,647
  Kraft Heinz Foods Co.   4.875%  10/1/49  35,730     44,453
2 Lamb Weston Holdings Inc.   4.875%  11/1/26   8,550      8,819
2 Lamb Weston Holdings Inc.   4.875%  5/15/28   3,090      3,436
2 Performance Food Group Inc.   6.875%   5/1/25   6,645      7,070
2 Performance Food Group Inc.   5.500% 10/15/27  86,710     90,376
2 Performance Food Group Inc.   4.250%   8/1/29  66,570     67,716
2 Post Holdings Inc.   5.750%   3/1/27  27,091     28,229
2 Post Holdings Inc.   5.625%  1/15/28  90,650     95,635
2 Post Holdings Inc.   5.500% 12/15/29  16,000     17,140
2 Post Holdings Inc.   4.625%  4/15/30  69,934     71,254
2 Post Holdings Inc.   4.500%  9/15/31 100,565    101,735
8
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
6,7 Revlon Consumer Products Corp. Bank Loan, 3M USD LIBOR + 3.500%   4.250%  8/30/21  25,379     14,339
  TreeHouse Foods Inc.   4.000%   9/1/28  74,100     74,154
2 United Natural Foods Inc.   6.750% 10/15/28  24,310     26,252
                   1,154,390
Energy (8.1%)
  Apache Corp.   4.875% 11/15/27  33,350     35,893
  Apache Corp.   4.250%  1/15/30   2,330      2,436
  Apache Corp.   5.100%   9/1/40  37,550     40,272
  Apache Corp.   5.250%   2/1/42  16,724     17,990
  Apache Corp.   4.750%  4/15/43  48,945     50,413
  Apache Corp.   4.250%  1/15/44  23,927     23,515
  Apache Corp.   5.350%   7/1/49  47,762     50,419
2 Blue Racer Midstream LLC / Blue Racer Finance Corp.   7.625% 12/15/25  15,055     16,219
2 Blue Racer Midstream LLC / Blue Racer Finance Corp.   6.625%  7/15/26  24,310     25,219
2 Buckeye Partners LP   4.125%   3/1/25  30,350     31,457
2 Buckeye Partners LP   4.500%   3/1/28  61,806     63,701
  Cheniere Corpus Christi Holdings LLC   7.000%  6/30/24  26,612     30,392
  Cheniere Corpus Christi Holdings LLC   5.875%  3/31/25  39,084     44,673
  Cheniere Corpus Christi Holdings LLC   5.125%  6/30/27  23,885     27,977
  Cheniere Energy Partners LP   4.500%  10/1/29  38,654     41,692
  Continental Resources Inc.   4.375%  1/15/28  54,925     61,282
2 Continental Resources Inc.   5.750%  1/15/31  48,530     58,515
  Continental Resources Inc.   4.900%   6/1/44  82,859     95,688
  DCP Midstream Operating LP   4.950%   4/1/22  38,299     38,849
  DCP Midstream Operating LP   3.875%  3/15/23  31,988     32,827
  DCP Midstream Operating LP   5.600%   4/1/44  26,895     30,895
2 DT Midstream Inc.   4.125%  6/15/29  23,760     24,364
2 DT Midstream Inc.   4.375%  6/15/31  28,125     29,185
  EnLink Midstream Partners LP   5.050%   4/1/45  30,827     28,705
  EQM Midstream Partners LP   4.750%  7/15/23  10,970     11,435
  EQM Midstream Partners LP   4.000%   8/1/24  13,880     14,233
2 EQM Midstream Partners LP   6.000%   7/1/25  56,531     61,516
2 EQM Midstream Partners LP   6.500%   7/1/27  61,070     68,564
  EQM Midstream Partners LP   5.500%  7/15/28  15,541     16,840
2 EQM Midstream Partners LP   4.500%  1/15/29  34,140     34,701
2 EQM Midstream Partners LP   4.750%  1/15/31  34,110     34,844
  EQT Corp.   3.000%  10/1/22  13,375     13,558
  EQT Corp.   6.625%   2/1/25   4,855      5,610
  EQT Corp.   3.900%  10/1/27   4,925      5,336
  EQT Corp.   7.500%   2/1/30  23,887     31,379
2 EQT Corp.   3.625%  5/15/31  22,785     24,123
6,7 NorthRiver Midstream Finance LP Bank Loan, 3M USD LIBOR + 3.250%   3.395%  10/1/21  23,048     22,815
  Occidental Petroleum Corp.   3.400%  4/15/26  12,500     12,632
  Occidental Petroleum Corp.   3.200%  8/15/26   3,380      3,368
  Occidental Petroleum Corp.   6.375%   9/1/28   8,265      9,645
  Occidental Petroleum Corp.   3.500%  8/15/29  19,414     19,363
  Occidental Petroleum Corp.   6.125%   1/1/31  23,416     27,686
  Occidental Petroleum Corp.   4.400%  4/15/46   5,650      5,549
  Occidental Petroleum Corp.   4.100%  2/15/47   4,675      4,425
  Occidental Petroleum Corp.   4.200%  3/15/48   4,675      4,477
  Ovintiv Inc.   7.200%  11/1/31   4,457      5,957
  Ovintiv Inc.   7.375%  11/1/31  43,158     58,285
  Ovintiv Inc.   6.500%  8/15/34  25,560     34,034
9
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Ovintiv Inc.   6.500%   2/1/38  23,025     31,378
2 Range Resources Corp.   8.250%  1/15/29  23,160     25,651
2 Rockies Express Pipeline LLC   4.950%  7/15/29  10,603     10,923
2 Rockies Express Pipeline LLC   4.800%  5/15/30   8,522      8,670
2 Rockies Express Pipeline LLC   7.500%  7/15/38  38,048     42,171
2 Rockies Express Pipeline LLC   6.875%  4/15/40  13,880     14,597
  Sunoco LP / Sunoco Finance Corp.   5.500%  2/15/26  72,984     75,115
  Sunoco LP / Sunoco Finance Corp.   6.000%  4/15/27  70,255     73,328
  Sunoco LP / Sunoco Finance Corp.   5.875%  3/15/28  18,335     19,287
  Sunoco LP / Sunoco Finance Corp.   4.500%  5/15/29  31,095     31,791
2 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.   5.500%  9/15/24  16,214     16,454
2 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.   5.500%  1/15/28  84,770     87,001
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.   5.375%   2/1/27   5,340      5,542
  Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.875%  1/15/29  32,470     36,462
2 Targa Resources Partners LP / Targa Resources Partners Finance Corp.   4.875%   2/1/31  48,850     52,801
2,8 Transocean Guardian Ltd.   5.875%  1/15/24  39,176     37,116
2,8 Transocean Phoenix 2 Ltd.   7.750% 10/15/24  16,517     16,626
2,8 Transocean Pontus Ltd.   6.125%   8/1/25  29,865     29,453
2,8 Transocean Proteus Ltd.   6.250%  12/1/24  19,026     18,835
2 Venture Global Calcasieu Pass LLC   3.875%  8/15/29  43,770     44,706
2 Venture Global Calcasieu Pass LLC   4.125%  8/15/31  61,945     63,884
  Western Midstream Operating LP   4.350%   2/1/25  15,585     16,350
  Western Midstream Operating LP   3.950%   6/1/25  14,570     15,081
  Western Midstream Operating LP   4.650%   7/1/26  39,380     42,197
  Western Midstream Operating LP   4.500%   3/1/28   3,250      3,498
  Western Midstream Operating LP   4.750%  8/15/28   7,215      7,849
  Western Midstream Operating LP   5.450%   4/1/44  21,255     23,859
  Western Midstream Operating LP   5.300%   3/1/48  53,203     58,649
  Western Midstream Operating LP   6.500%   2/1/50  63,863     75,135
                   2,417,362
Financials (8.6%)
2 Acrisure LLC / Acrisure Finance Inc.   4.250%  2/15/29 117,770    114,717
2 AerCap Global Aviation Trust   6.500%  6/15/45 125,050    134,628
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust   4.500%  9/15/23  37,320     39,954
  Aircastle Ltd.   5.000%   4/1/23  33,700     36,010
  Aircastle Ltd.   4.125%   5/1/24  53,980     57,759
2 AmWINS Group Inc.   4.875%  6/30/29   9,190      9,371
6,7,9,10 Asurion LLC Bank Loan       —%  7/31/27  48,720     47,827
6,7 Asurion LLC Bank Loan, 1M USD LIBOR + 3.000%   3.092%  8/31/21  98,300     96,632
2 Avolon Holdings Funding Ltd.   5.250%  5/15/24  50,695     55,806
  BNP Paribas SA   6.750% 12/29/49  71,120     73,298
2 Carlyle Aviation Elevate   7.000% 10/15/24  20,132     20,190
  CIT Group Inc.   5.000%  8/15/22  68,866     71,760
2 Compass Group Diversified Holdings LLC   5.250%  4/15/29  16,230     16,850
  Credit Acceptance Corp.   6.625%  3/15/26   3,000      3,171
  Credit Suisse Group AG   6.250% 12/29/49 195,295    213,283
2 DAE Funding LLC   5.250% 11/15/21  26,185     26,419
2 DAE Funding LLC   4.500%   8/1/22  52,168     52,168
2 DAE Funding LLC   5.000%   8/1/24  80,610     82,625
2 Enact Holdings Inc.   6.500%  8/15/25  70,125     76,102
2 Freedom Mortgage Corp.   8.125% 11/15/24   9,198      9,433
10
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Freedom Mortgage Corp.   8.250%  4/15/25  44,768     46,582
2 Freedom Mortgage Corp.   7.625%   5/1/26   2,652      2,721
  Genworth Holdings Inc.   4.900%  8/15/23  49,580     49,841
  Genworth Holdings Inc.   4.800%  2/15/24  15,900     15,825
2 goeasy Ltd.   4.375%   5/1/26  48,048     49,500
2 Home Point Capital Inc.   5.000%   2/1/26  24,104     22,231
  ING Groep NV   6.875% 12/29/49  84,910     88,009
2 Intesa Sanpaolo SPA   5.017%  6/26/24  43,740     47,426
2 Intesa Sanpaolo SPA   5.710%  1/15/26 110,000    124,215
2 LD Holdings Group LLC   6.500%  11/1/25  15,880     16,230
2 LD Holdings Group LLC   6.125%   4/1/28   7,585      7,530
  MGIC Investment Corp.   5.750%  8/15/23  23,315     25,113
  MGIC Investment Corp.   5.250%  8/15/28  23,805     25,338
2 Nationstar Mortgage Holdings Inc.   5.125% 12/15/30 123,360    123,900
  Navient Corp.   6.500%  6/15/22 135,749    141,617
  Navient Corp.   5.500%  1/25/23  31,790     33,392
  Navient Corp.   7.250%  9/25/23  15,065     16,594
  Navient Corp.   6.750%  6/15/26   1,460      1,638
  OneMain Finance Corp.   8.250%  10/1/23  12,466     14,110
  OneMain Finance Corp.   6.125%  3/15/24  24,420     26,282
  OneMain Finance Corp.   7.125%  3/15/26  98,626    116,070
  OneMain Finance Corp.   3.500%  1/15/27  20,735     21,086
  OneMain Finance Corp.   4.000%  9/15/30  48,500     48,361
2 Park Aerospace Holdings Ltd.   5.500%  2/15/24  20,000     22,039
2 PennyMac Financial Services Inc.   5.375% 10/15/25  62,863     65,988
2 PennyMac Financial Services Inc.   4.250%  2/15/29  64,300     62,344
  Radian Group Inc.   4.500%  10/1/24  73,175     78,159
  Radian Group Inc.   6.625%  3/15/25  10,000     11,221
  Radian Group Inc.   4.875%  3/15/27  36,000     39,117
                   2,580,482
Health Care (9.2%)
2 Acadia Healthcare Co. Inc.   5.500%   7/1/28  38,630     41,327
2 Acadia Healthcare Co. Inc.   5.000%  4/15/29  37,507     39,416
2,3 Avantor Funding Inc.   2.625%  11/1/25  76,630     93,238
2 Avantor Funding Inc.   4.625%  7/15/28  97,290    102,414
2 Bausch Health Americas Inc.   9.250%   4/1/26  17,325     18,720
2 Bausch Health Americas Inc.   8.500%  1/31/27  60,700     65,701
2 Bausch Health Cos. Inc.   6.125%  4/15/25 120,400    123,012
2 Bausch Health Cos. Inc.   5.500%  11/1/25  51,675     52,794
2 Bausch Health Cos. Inc.   9.000% 12/15/25  26,760     28,569
2 Bausch Health Cos. Inc.   5.750%  8/15/27  12,790     13,460
2 Bausch Health Cos. Inc.   7.000%  1/15/28  18,060     18,951
2 Bausch Health Cos. Inc.   5.000%  1/30/28  43,125     41,228
2 Bausch Health Cos. Inc.   4.875%   6/1/28  33,380     34,434
2 Bausch Health Cos. Inc.   7.250%  5/30/29   1,940      2,009
2 Bausch Health Cos. Inc.   5.250%  1/30/30  65,205     61,423
2,3 CAB SELAS   3.375%   2/1/28  21,403     25,581
  CAB SELAS   3.375%   2/1/28  24,950     29,820
2 Catalent Pharma Solutions Inc.   5.000%  7/15/27  21,270     22,318
2,3 Catalent Pharma Solutions Inc.   2.375%   3/1/28  45,735     54,544
2 Catalent Pharma Solutions Inc.   3.125%  2/15/29  12,215     11,974
2 Centene Corp.   5.375%   6/1/26  10,000     10,416
2 Centene Corp.   5.375%  8/15/26  10,000     10,421
  Centene Corp.   4.250% 12/15/27  80,915     85,263
  Centene Corp.   4.625% 12/15/29  41,455     45,464
11
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Centene Corp.   3.000% 10/15/30  18,435     19,176
9 Centene Corp.   2.625%   8/1/31  28,960     28,988
2 Charles River Laboratories International Inc.   4.250%   5/1/28  43,614     45,587
2 Charles River Laboratories International Inc.   3.750%  3/15/29  24,860     25,485
2 Charles River Laboratories International Inc.   4.000%  3/15/31  22,050     23,239
2 CHS/Community Health Systems Inc.   6.625%  2/15/25  33,710     35,366
2 CHS/Community Health Systems Inc.   5.625%  3/15/27  44,915     47,570
2 CHS/Community Health Systems Inc.   6.000%  1/15/29  26,435     28,130
2 CHS/Community Health Systems Inc.   4.750%  2/15/31  28,895     29,335
2,3 Grifols SA   1.625%  2/15/25  27,965     33,461
2,3 Grifols SA   2.250% 11/15/27  42,955     51,861
  HCA Inc.   5.875%   5/1/23  35,722     38,677
  HCA Inc.   5.375%   2/1/25  31,390     35,538
  HCA Inc.   7.690%  6/15/25   4,510      5,503
  HCA Inc.   5.875%  2/15/26 110,595    128,878
  HCA Inc.   5.625%   9/1/28  12,585     15,132
  HCA Inc.   5.875%   2/1/29  39,095     47,824
  HCA Inc.   3.500%   9/1/30 207,655    224,814
2 HCRX Investments Holdco LP   4.500%   8/1/29   9,640      9,838
2 Hill-Rom Holdings Inc.   4.375%  9/15/27   9,690     10,133
2 Hologic Inc.   3.250%  2/15/29  48,275     48,749
6,7 ICON Luxembourg Sarl Bank Loan, 3M USD LIBOR + 2.500%   3.000%  9/27/21  23,248     23,190
6,7 ICON Luxembourg Sarl Bank Loan, 3M USD LIBOR + 2.500%   3.000%  9/27/21   5,792      5,778
2 IQVIA Inc.   5.000% 10/15/26  46,310     47,701
2 IQVIA Inc.   5.000%  5/15/27  99,992    104,290
2,3 IQVIA Inc.   2.250%  1/15/28  41,670     50,010
2,3 IQVIA Inc.   2.875%  6/15/28  61,595     75,593
2 Jaguar Holding Co. II / Pharmaceutical Product Development LP   4.625%  6/15/25  13,115     13,754
2 Jaguar Holding Co. II / Pharmaceutical Product Development LP   5.000%  6/15/28  15,565     16,816
2 Jazz Securities DAC   4.375%  1/15/29  16,780     17,513
2 Organon & Co. / Organon Foreign Debt Co.-Issuer BV   4.125%  4/30/28  71,270     73,091
2 Organon & Co. / Organon Foreign Debt Co.-Issuer BV   5.125%  4/30/31  36,240     37,334
2 Par Pharmaceutical Inc.   7.500%   4/1/27  24,913     25,435
2 Teleflex Inc.   4.250%   6/1/28  31,312     32,647
  Tenet Healthcare Corp.   4.625%  7/15/24   9,660      9,792
2 Tenet Healthcare Corp.   4.625%   9/1/24  27,250     27,889
2 Tenet Healthcare Corp.   7.500%   4/1/25  13,440     14,452
2 Tenet Healthcare Corp.   4.875%   1/1/26   8,930      9,238
2 Tenet Healthcare Corp.   4.625%  6/15/28   8,020      8,289
  Teva Pharmaceutical Finance Co. BV   2.950% 12/18/22  13,080     13,146
  Teva Pharmaceutical Finance Netherlands III BV   3.150%  10/1/26  94,130     90,319
  Teva Pharmaceutical Finance Netherlands III BV   6.750%   3/1/28  75,000     83,385
                   2,745,443
Industrials (6.1%)
2 APX Group Inc.   5.750%  7/15/29  15,735     15,794
6,7,9,10 APX Group Inc. Bank Loan       —%  7/10/28  37,215     36,936
2 Aramark Services Inc.   5.000%   4/1/25  54,020     55,437
2 Aramark Services Inc.   5.000%   2/1/28  21,627     22,491
2 Ashtead Capital Inc.   4.125%  8/15/25  46,175     47,174
2 Ashtead Capital Inc.   5.250%   8/1/26  17,715     18,422
2 Ashtead Capital Inc.   4.375%  8/15/27  46,175     48,488
12
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Brand Industrial Services Inc.   8.500%  7/15/25 118,790    121,005
6,7 Brown Group Holding LLC Bank Loan, 3M USD LIBOR + 2.750%   3.250%   9/9/21  96,888     96,126
2 BWX Technologies Inc.   4.125%  6/30/28  28,086     28,795
2 BWX Technologies Inc.   4.125%  4/15/29  48,280     49,453
2 Clean Harbors Inc.   4.875%  7/15/27  47,390     49,771
2 Clean Harbors Inc.   5.125%  7/15/29  25,851     28,256
2 Core & Main LP   6.125%  8/15/25   5,535      5,627
6,7 Core & Main LP Bank Loan, 3M USD LIBOR + 2.750%   3.750% 10/27/21   9,172      9,157
2 First Student Bidco Inc. / First Transit Parent Inc.   4.000%  7/31/29  68,058     68,172
2 Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.   5.750%  1/20/26  17,345     18,178
2 Herc Holdings Inc.   5.500%  7/15/27 197,742    207,443
2,3 Loxam SAS   4.250%  4/15/24   5,520      6,607
3 Loxam SAS   2.875%  4/15/26  19,380     22,916
3 Loxam SAS   3.750%  7/15/26  23,820     28,856
2 Mueller Water Products Inc.   4.000%  6/15/29   6,225      6,443
2,3 Q-Park Holding I BV   1.500%   3/1/25  27,380     30,961
2,3 Q-Park Holding I BV   2.000%   3/1/27  35,245     39,374
2 Sensata Technologies BV   4.875% 10/15/23  10,000     10,704
2 Sensata Technologies BV   5.625%  11/1/24  19,290     21,498
2 Sensata Technologies BV   5.000%  10/1/25  52,750     58,863
2 Sensata Technologies Inc.   4.375%  2/15/30  12,765     13,658
2 Sensata Technologies Inc.   3.750%  2/15/31  61,723     62,186
2 Spirit AeroSystems Inc.   5.500%  1/15/25  24,250     25,513
2,3 SSANGYONG C&E Co. Ltd.   4.375%  7/15/27   8,900     11,035
2 Stericycle Inc.   3.875%  1/15/29   8,425      8,534
2 TK Elevator U.S. Newco Inc.   5.250%  7/15/27  46,205     48,810
2 TransDigm Inc.   6.250%  3/15/26  20,000     20,998
2 United Airlines Inc.   4.375%  4/15/26   9,000      9,259
2 United Airlines Inc.   4.625%  4/15/29  10,230     10,527
  United Rentals North America Inc.   5.875%  9/15/26  62,210     64,302
  United Rentals North America Inc.   5.500%  5/15/27  76,330     80,300
  United Rentals North America Inc.   4.875%  1/15/28  71,121     75,192
  United Rentals North America Inc.   5.250%  1/15/30  24,410     26,681
  United Rentals North America Inc.   4.000%  7/15/30  57,240     59,515
  United Rentals North America Inc.   3.875%  2/15/31  48,454     49,874
9 United Rentals North America Inc.   3.750%  1/15/32  32,110     32,110
2,3 Verisure Holding AB   3.250%  2/15/27  23,594     28,067
2,3 Verisure Midholding AB   5.250%  2/15/29   7,557      9,231
2,3 Vertical Holdco GmbH   6.625%  7/15/28   6,200      7,822
2 Vertical Holdco GmbH   7.625%  7/15/28   2,130      2,312
2 WESCO Distribution Inc.   7.125%  6/15/25  10,000     10,774
                   1,809,647
Materials (9.2%)
2 ARD Finance SA   6.500%  6/30/27  18,990     20,020
2 Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc   3.250%   9/1/28  42,625     42,683
2 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   6.000%  2/15/25 135,016    139,177
2 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   4.125%  8/15/26  51,375     53,018
2,5 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   4.750%  7/15/27   5,520      7,841
2 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   5.250%  8/15/27  34,795     35,574
13
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
2 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.   5.250%  8/15/27  80,280     81,999
3 Ball Corp.   1.500%  3/15/27  68,205     82,308
2 Berry Global Inc.   4.500%  2/15/26  36,204     36,928
2 Berry Global Inc.   4.875%  7/15/26  53,380     56,302
2 Berry Global Inc.   5.625%  7/15/27   7,055      7,445
  Cemex SAB de CV   7.375%   6/5/27  17,810     20,156
2 Cemex SAB de CV   5.450% 11/19/29   2,000      2,196
  Cemex SAB de CV   5.450% 11/19/29  18,910     20,754
2 Cemex SAB de CV   3.875%  7/11/31  45,620     47,175
2,3 CeramTec BondCo GmbH   5.250% 12/15/25  13,800     16,649
  CF Industries Inc.   4.950%   6/1/43   6,026      7,418
  CF Industries Inc.   5.375%  3/15/44  17,636     22,676
  Chemours Co.   7.000%  5/15/25  88,595     91,441
  Chemours Co.   5.375%  5/15/27  31,740     34,452
  Commercial Metals Co.   4.875%  5/15/23   6,540      6,878
  Commercial Metals Co.   5.375%  7/15/27  20,685     21,823
  Commercial Metals Co.   3.875%  2/15/31   4,660      4,696
2 Constellium SE   5.875%  2/15/26  31,780     32,606
2 Constellium SE   5.625%  6/15/28  11,954     12,788
2 Constellium SE   3.750%  4/15/29  26,650     26,631
  Crown Americas LLC / Crown Americas Capital Corp. IV   4.500%  1/15/23  61,200     64,070
  Crown Americas LLC / Crown Americas Capital Corp. V   4.250%  9/30/26  16,434     17,654
  Crown Americas LLC / Crown Americas Capital Corp. VI   4.750%   2/1/26  20,130     20,840
2,3 Crown European Holdings SA   2.875%   2/1/26  51,200     64,773
2,3 Diamond BC BV   5.625%  8/15/25 102,750    123,590
2 Flex Acquisition Co. Inc.   6.875%  1/15/25 127,475    129,070
2 Flex Acquisition Co. Inc.   7.875%  7/15/26  33,275     34,728
  Graphic Packaging International LLC   4.125%  8/15/24  23,440     25,030
2 Graphic Packaging International LLC   4.750%  7/15/27   7,870      8,526
2 Graphic Packaging International LLC   3.500%  3/15/28  74,555     75,644
2 Graphic Packaging International LLC   3.500%   3/1/29  17,280     17,215
2 Novelis Corp.   5.875%  9/30/26  68,673     71,229
2,9 Novelis Corp.   3.250% 11/15/26  24,245     24,586
2 Novelis Corp.   4.750%  1/30/30  51,958     55,347
2,9 Novelis Corp.   3.875%  8/15/31  24,990     25,271
2,3 OCI NV   3.125%  11/1/24  31,590     38,117
2 OCI NV   5.250%  11/1/24  60,643     62,393
2 OCI NV   4.625% 10/15/25  22,145     22,941
2 OI European Group BV   4.000%  3/15/23  22,215     22,899
  Olin Corp.   5.125%  9/15/27  61,215     63,844
  Olin Corp.   5.625%   8/1/29  56,960     62,494
  Olin Corp.   5.000%   2/1/30  35,955     38,471
2 Owens-Brockway Glass Container Inc.   5.875%  8/15/23  70,800     75,965
2 Owens-Brockway Glass Container Inc.   5.375%  1/15/25  29,319     31,380
2 Owens-Brockway Glass Container Inc.   6.375%  8/15/25  42,000     46,923
2 Owens-Brockway Glass Container Inc.   6.625%  5/13/27  42,690     46,216
2 Sealed Air Corp.   4.000%  12/1/27   8,853      9,460
  Silgan Holdings Inc.   4.750%  3/15/25   4,222      4,281
  Silgan Holdings Inc.   4.125%   2/1/28  14,225     14,763
3 Silgan Holdings Inc.   2.250%   6/1/28  43,070     51,343
2 Standard Industries Inc.   5.000%  2/15/27  23,785     24,620
2 Standard Industries Inc.   4.750%  1/15/28  26,914     28,010
2 Standard Industries Inc.   4.375%  7/15/30  99,980    102,816
2 Standard Industries Inc.   3.375%  1/15/31 119,950    115,949
14
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
6,7 Starfruit Finco B.V. Bank Loan, 1M USD LIBOR + 2.750%   2.835%  8/23/21  16,789     16,563
2,3 Trivium Packaging Finance BV   3.750%  8/15/26   6,095      7,305
2 Trivium Packaging Finance BV   5.500%  8/15/26  59,455     62,279
2 Tronox Inc.   4.625%  3/15/29  70,115     71,386
2 Valvoline Inc.   3.625%  6/15/31  35,760     35,582
                   2,745,207
Real Estate (1.2%)
  GLP Capital LP / GLP Financing II Inc.   5.250%   6/1/25   5,000      5,642
  GLP Capital LP / GLP Financing II Inc.   5.375%  4/15/26  27,875     32,249
  Hospitality Properties Trust   5.250%  2/15/26   6,650      6,718
  Hospitality Properties Trust   4.950%  2/15/27   7,565      7,454
  Hospitality Properties Trust   3.950%  1/15/28   6,790      6,368
  Hospitality Properties Trust   4.375%  2/15/30  17,714     16,601
2 Iron Mountain Inc.   4.875%  9/15/27  26,970     27,972
2 Iron Mountain Inc.   4.875%  9/15/29  67,770     70,952
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.   5.625%   5/1/24   5,000      5,420
  Service Properties Trust   7.500%  9/15/25   3,945      4,448
  Service Properties Trust   4.750%  10/1/26  32,558     31,971
  Service Properties Trust   5.500% 12/15/27  32,810     34,911
  Service Properties Trust   4.950%  10/1/29   2,884      2,802
2 VICI Properties LP / VICI Note Co. Inc.   4.250%  12/1/26  54,048     56,211
2 VICI Properties LP / VICI Note Co. Inc.   3.750%  2/15/27  15,724     16,185
2 VICI Properties LP / VICI Note Co. Inc.   4.625%  12/1/29  23,225     24,885
                   350,789
Technology (11.3%)
2 Black Knight InfoServ LLC   3.625%   9/1/28  69,188     69,393
2 Booz Allen Hamilton Inc.   3.875%   9/1/28  10,820     11,040
2 Booz Allen Hamilton Inc.   4.000%   7/1/29  14,295     14,735
2 BY Crown Parent LLC / BY Bond Finance Inc.   4.250%  1/31/26  45,480     47,930
  CDK Global Inc.   5.000% 10/15/24   6,015      6,628
  CDK Global Inc.   4.875%   6/1/27  39,837     41,944
2 CDK Global Inc.   5.250%  5/15/29  46,725     50,897
  CDW LLC / CDW Finance Corp.   5.500%  12/1/24  12,007     13,246
  CDW LLC / CDW Finance Corp.   4.125%   5/1/25  61,233     63,577
  CDW LLC / CDW Finance Corp.   4.250%   4/1/28  77,724     80,872
  CDW LLC / CDW Finance Corp.   3.250%  2/15/29 101,684    102,408
2 Change Healthcare Holdings LLC / Change Healthcare Finance Inc.   5.750%   3/1/25 111,020    112,521
2 Dun & Bradstreet Corp.   6.875%  8/15/26  16,624     17,619
6,7 Dun & Bradstreet Corp. Bank Loan, 1M USD LIBOR + 3.250%   3.336%  8/27/21 102,057    101,148
2 Entegris Inc.   4.375%  4/15/28  67,165     70,583
2 Entegris Inc.   3.625%   5/1/29  20,155     20,677
2 Gartner Inc.   3.625%  6/15/29  18,960     19,428
2 Gartner Inc.   3.750%  10/1/30  44,640     45,997
2 Imola Merger Corp.   4.750%  5/15/29 242,905    250,820
  Microchip Technology Inc.   4.250%   9/1/25  45,630     47,970
2 MSCI Inc.   5.375%  5/15/27  28,181     29,927
2 MSCI Inc.   4.000% 11/15/29  58,180     62,000
2 MSCI Inc.   3.625%   9/1/30  10,965     11,535
2 Nielsen Finance LLC / Nielsen Finance Co.   4.500%  7/15/29  72,575     73,185
2 Nielsen Finance LLC / Nielsen Finance Co.   4.750%  7/15/31  72,575     73,232
  Nokia of America Corp.   6.500%  1/15/28  56,315     60,915
15
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  Nokia of America Corp.   6.450%  3/15/29  88,747     98,714
  Nokia Oyj   4.375%  6/12/27  59,355     65,608
  Nokia Oyj   6.625%  5/15/39 129,409    178,133
  NortonLifeLock Inc.   3.950%  6/15/22  11,455     11,633
2 NortonLifeLock Inc.   5.000%  4/15/25 132,140    133,914
2 Open Text Corp.   5.875%   6/1/26  91,270     94,233
2 Open Text Corp.   3.875%  2/15/28  99,067    102,312
2 Open Text Holdings Inc.   4.125%  2/15/30  95,210     98,555
6,7 Peraton Corp. Bank Loan, 1M USD LIBOR + 3.750%   4.500%  8/31/21  53,262     53,151
2 Presidio Holdings Inc.   4.875%   2/1/27  90,529     93,457
2 Presidio Holdings Inc.   8.250%   2/1/28  54,820     59,568
2 PTC Inc.   3.625%  2/15/25  18,000     18,499
2 PTC Inc.   4.000%  2/15/28  20,370     21,059
  Qorvo Inc.   4.375% 10/15/29  78,508     85,494
2 Qorvo Inc.   3.375%   4/1/31  67,500     70,107
2 Square Inc.   2.750%   6/1/26  41,505     42,425
6,7 SS&C European Holdings Sarl Bank Loan, 1M USD LIBOR + 1.750%   1.842%  8/31/21  15,985     15,731
2 SS&C Technologies Inc.   5.500%  9/30/27 147,721    156,247
6,7 SS&C Technologies Inc. Bank Loan, 1M USD LIBOR + 1.750%   1.842%  8/31/21  20,178     19,858
6,7 SS&C Technologies Inc. Bank Loan, 1M USD LIBOR + 1.750%   1.842%  8/31/21  18,490     18,197
  Western Digital Corp.   4.750%  2/15/26 113,443    125,982
  Xerox Corp.   4.375%  3/15/23  70,356     73,524
  Xerox Corp.   4.800%   3/1/35  29,269     29,814
  Xerox Corp.   6.750% 12/15/39  39,756     45,117
2 Xerox Holdings Corp.   5.000%  8/15/25   5,145      5,477
2 Xerox Holdings Corp.   5.500%  8/15/28 163,030    171,894
                   3,388,930
Utilities (1.6%)
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.625%  5/20/24  46,910     51,278
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.500%  5/20/25  21,659     23,878
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.875%  8/20/26  46,910     52,558
  AmeriGas Partners LP / AmeriGas Finance Corp.   5.750%  5/20/27  54,170     61,022
2 Clearway Energy Operating LLC   4.750%  3/15/28  18,731     19,850
2 Clearway Energy Operating LLC   3.750%  2/15/31  81,950     82,320
2 NextEra Energy Operating Partners LP   4.250%  7/15/24  33,229     35,111
2 NextEra Energy Operating Partners LP   4.250%  9/15/24   3,532      3,731
2 NextEra Energy Operating Partners LP   3.875% 10/15/26 104,720    111,249
2 NextEra Energy Operating Partners LP   4.500%  9/15/27  24,185     26,039
2 Suburban Propane Partners LP/Suburban Energy Finance Corp.   5.000%   6/1/31  19,605     20,370
                   487,406
Total Corporate Bonds (Cost $25,887,632) 27,190,632
          Shares  
Preferred Stock (0.0%)
7 GMAC Capital Trust I Pfd., 3M USD LIBOR + 5.785% (Cost $9,005)   6.065%  8/15/21 344,755           9,174
16
High-Yield Corporate Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
Temporary Cash Investments (4.1%)
Repurchase Agreements (3.4%)
  Bank of America Securities LLC
(Dated 7/30/21, Repurchase Value $44,600,000, collateralized by U.S. Treasury Note/Bond 2.375%, 2/29/24, with a value of $45,492,000)  		  0.050%   8/2/21  44,600     44,600
  Credit Agricole Securities (USA) Inc.
(Dated 7/30/21, Repurchase Value $86,200,000, collateralized by U.S. Treasury Inflation Indexed Note/Bond 0.625%–0.750%, 2/15/43–2/15/45, with a value of $87,924,000)  		  0.050%   8/2/21  86,200     86,200
  JP Morgan Securities LLC
(Dated 7/30/21, Repurchase Value $359,701,000, collateralized by U.S. Treasury Note/Bond 0.125%, 11/30/22, with a value of $366,894,000)  		  0.050%   8/2/21 359,700    359,700
  RBC Capital Markets LLC
(Dated 7/30/21, Repurchase Value $244,801,000, collateralized by U.S. Treasury Note/Bond 0.125%–3.000%, 12/31/22–11/15/45, with a value of $249,696,000)  		  0.050%   8/2/21 244,800    244,800
  TD Securities (USA) LLC
(Dated 7/30/21, Repurchase Value $286,701,000, collateralized by Federal Home Loan Mortgage Corp. 2.500%–4.500%, 7/1/36–3/1/51, with a value of $292,434,000)  		  0.050%   8/2/21 286,700    286,700
                   1,022,000
U.S. Government and Agency Obligations (0.7%)
  U.S. Treasury Bill   0.025% 11/12/21 200,000    199,974
Total Temporary Cash Investments (Cost $1,221,986) 1,221,974
Total Investments (99.8%) (Cost $28,506,489) 29,809,800
Other Assets and Liabilities—Net (0.2%) 56,914
Net Assets (100%) 29,866,714
Cost is in $000.      
• See Note A in Notes to Financial Statements.
1 Securities with a value of $58,886,000 have been segregated as initial margin for open centrally cleared swap contracts.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, the aggregate value was $15,912,885,000, representing 53.3% of net assets.
3 Face amount denominated in euro.
4 Face amount denominated in Canadian dollars.
5 Face amount denominated in British pounds.
6 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At July 31, 2021, the aggregate value of these securities was $858,120,000, representing 3.1% of net assets.
7 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
8 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.
9 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
10 Represents an unsettled loan as of July 31, 2021. The coupon rate is not known until the settlement date.
  1M—1-month.
  3M—3-month.
  6M—6-month.
  LIBOR—London Interbank Offered Rate.
17
High-Yield Corporate Fund
Derivative Financial Instruments Outstanding as of Period End
Forward Currency Contracts
  Contract
Settlement
Date 		Contract Amount (000) Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Counterparty Receive Deliver
Goldman Sachs International 8/31/21 USD 77,642 CAD 97,435 — (453)
BNP Paribas 8/31/21 USD 1,156,202 EUR 979,550 — (6,484)
Citibank, N.A. 8/31/21 USD 20,145 EUR 17,017 — (54)
Bank of America, N.A. 8/31/21 USD 82,242 GBP 59,664 — (697)
            — (7,688)
CAD—Canadian dollar.
EUR—euro.
GBP—British pound.
USD—U.S. dollar.
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date 		Notional Amount
(000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Sold            
CDX-NA-HY-S36-V1 6/21/26 USD 782,500 5.000 77,255 3,658
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
    
Over-the-Counter Credit Default Swaps
Reference
Entity 		Termination
Date 		Counterparty Notional
Amount
($000) 		Periodic
Premium
Received
(Paid)1
(%) 		Value
($000) 		Remaining
Up-Front
Premium
Paid
(Received)
($000) 		Unrealized
Appreciation
($000) 		Unrealized
Depreciation
($000)
Credit Protection Sold/Moody's Rating
CDX-NA-HY-BB-S34-V1/N/A 6/21/25 GSI 102,430 5.000 12,486 4,421 8,065 —
CDX-NA-HY-BB-S34-V1/N/A 6/21/25 GSI 55,000 5.000 6,704 2,261 4,443 —
CDX-NA-HY-BB-S34-V1/N/A 6/21/25 GSI 55,000 5.000 6,705 2,312 4,393 —
CDX-NA-HY-BB-S34-V1/N/A 6/21/25 JPMC 50,000 5.000 6,095 3,047 3,048 —
          31,990 12,041 19,949 —
1 Periodic premium received/paid quarterly.
GSI—Goldman Sachs International.
JPMC—JPMorgan Chase Bank, N.A.
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.
18
High-Yield Corporate Fund
At July 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $40,330,000 and cash of $840,000 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.
19
High-Yield Corporate Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Unaffiliated Issuers (Cost $28,506,489) 29,809,800
Investment in Vanguard 1,013
Cash 4
Foreign Currency, at Value (Cost $60,659) 60,682
Receivables for Investment Securities Sold 25,937
Receivables for Accrued Income 333,165
Receivables for Capital Shares Issued 26,373
Swap Premiums Paid 12,041
Unrealized Appreciation—Over-the-Counter Swap Contracts 19,949
Total Assets 30,288,964
Liabilities  
Payables for Investment Securities Purchased 361,866
Payables to Investment Advisor 2,112
Payables for Capital Shares Redeemed 24,435
Payables for Distributions 23,233
Payables to Vanguard 1,475
Variation Margin Payable—Centrally Cleared Swap Contracts 1,441
Unrealized Depreciation—Forward Currency Contracts 7,688
Total Liabilities 422,250
Net Assets 29,866,714
At July 31, 2021, net assets consisted of:  
   
Paid-in Capital 29,332,273
Total Distributable Earnings (Loss) 534,441
Net Assets 29,866,714
 
Investor Shares—Net Assets  
Applicable to 654,840,803 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		3,931,407
Net Asset Value Per Share—Investor Shares $6.00
 
Admiral Shares—Net Assets  
Applicable to 4,319,952,061 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		25,935,307
Net Asset Value Per Share—Admiral Shares $6.00
  
See accompanying Notes, which are an integral part of the Financial Statements.
20
High-Yield Corporate Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Dividends 4,022
Interest 615,623
Total Income 619,645
Expenses  
Investment Advisory Fees—Note B 4,176
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 3,553
Management and Administrative—Admiral Shares 11,627
Marketing and Distribution—Investor Shares 228
Marketing and Distribution—Admiral Shares 694
Custodian Fees 69
Shareholders’ Reports—Investor Shares 33
Shareholders’ Reports—Admiral Shares 78
Trustees’ Fees and Expenses 21
Total Expenses 20,479
Net Investment Income 599,166
Realized Net Gain (Loss)  
Investment Securities Sold 87,212
Swap Contracts 48,608
Forward Currency Contracts 44,281
Foreign Currencies (1,369)
Realized Net Gain (Loss) 178,732
Change in Unrealized Appreciation (Depreciation)  
Investment Securities 96,854
Swap Contracts (21,963)
Forward Currency Contracts (10,724)
Foreign Currencies (116)
Change in Unrealized Appreciation (Depreciation) 64,051
Net Increase (Decrease) in Net Assets Resulting from Operations 841,949
  
See accompanying Notes, which are an integral part of the Financial Statements.
21
High-Yield Corporate Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 599,166   1,205,693
Realized Net Gain (Loss) 178,732   (617,006)
Change in Unrealized Appreciation (Depreciation) 64,051   695,006
Net Increase (Decrease) in Net Assets Resulting from Operations 841,949   1,283,693
Distributions      
Investor Shares (79,967)   (176,641)
Admiral Shares (533,546)   (1,088,594)
Total Distributions (613,513)   (1,265,235)
Capital Share Transactions      
Investor Shares 24,701   (201,354)
Admiral Shares 939,116   2,054,072
Net Increase (Decrease) from Capital Share Transactions 963,817   1,852,718
Total Increase (Decrease) 1,192,253   1,871,176
Net Assets      
Beginning of Period 28,674,461   26,803,285
End of Period 29,866,714   28,674,461
  
See accompanying Notes, which are an integral part of the Financial Statements.
22
High-Yield Corporate Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $5.96 $5.94 $5.67 $5.91 $5.86 $5.46
Investment Operations            
Net Investment Income .1211 .2591 .3021 .3171 .3091 .315
Net Realized and Unrealized Gain (Loss) on Investments .043 .034 .278 (.230) .048 .404
Total from Investment Operations .164 .293 .580 .087 .357 .719
Distributions            
Dividends from Net Investment Income (.124) (.273) (.310) (.327) (.307) (.317)
Distributions from Realized Capital Gains — — — — — (.002)
Total Distributions (.124) (.273) (.310) (.327) (.307) (.319)
Net Asset Value, End of Period $6.00 $5.96 $5.94 $5.67 $5.91 $5.86
Total Return2 2.78% 5.22% 10.45% 1.61% 6.19% 13.43%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,931 $3,877 $4,102 $3,557 $4,146 $4,064
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 4.08% 4.51% 5.16% 5.55% 5.20% 5.48%
Portfolio Turnover Rate 15% 38% 28% 21% 27% 26%
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.
  
See accompanying Notes, which are an integral part of the Financial Statements.
23
High-Yield Corporate Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period  		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $5.96 $5.94 $5.67 $5.91 $5.86 $5.46
Investment Operations            
Net Investment Income .1231 .2651 .3081 .3231 .3141 .320
Net Realized and Unrealized Gain (Loss) on Investments .043 .033 .278 (.230) .049 .404
Total from Investment Operations .166 .298 .586 .093 .363 .724
Distributions            
Dividends from Net Investment Income (.126) (.278) (.316) (.333) (.313) (.322)
Distributions from Realized Capital Gains — — — — — (.002)
Total Distributions (.126) (.278) (.316) (.333) (.313) (.324)
Net Asset Value, End of Period $6.00 $5.96 $5.94 $5.67 $5.910 $5.86
Total Return2 2.83% 5.32% 10.55% 1.71% 6.29% 13.54%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $25,935 $24,798 $22,701 $19,285 $20,721 $17,718
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 4.18% 4.60% 5.26% 5.65% 5.30% 5.58%
Portfolio Turnover Rate 15% 38% 28% 21% 27% 26%
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.
  
See accompanying Notes, which are an integral part of the Financial Statements.
24
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 exposure. 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
25
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 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 forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.
During the six months ended July 31, 2021, the fund’s average investment in forward currency contracts represented 5% of net assets, based on the average of the notional amounts at each quarter-end during the period.
4. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation
26
High-Yield Corporate Fund
(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, 2021, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 3% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
5. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master
27
High-Yield Corporate Fund
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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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 alternate 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, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
28
High-Yield Corporate Fund
9. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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, 2021, 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, 2021, the fund had contributed to Vanguard capital in the amount of $1,013,000, representing less than 0.01% of the fund’s net assets and 0.41% 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 and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
29
High-Yield Corporate Fund
The following table summarizes the market value of the fund’s investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
U.S. Government and Agency Obligations — 1,388,020 — 1,388,020
Corporate Bonds — 27,190,632 — 27,190,632
Preferred Stock — 9,174 — 9,174
Temporary Cash Investments — 1,221,974 — 1,221,974
Total — 29,809,800 — 29,809,800
Derivative Financial Instruments         
Assets        
Swap Contracts 3,6581 19,949 — 23,607
Liabilities        
Forward Currency Contracts — 7,688 — 7,688
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E. At July 31, 2021, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
    
Statement of Assets and Liabilities Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Swap Premiums Paid — 12,041 12,041
Unrealized Appreciation—Centrally Cleared Swap Contracts1 — 3,658 3,658
Unrealized Appreciation—
Over-the-Counter Swap Contracts 		— 19,949 19,949
Total Assets — 35,648 35,648
       
Unrealized Depreciation—Forward Currency Contracts 7,688 — 7,688
Total Liabilities 7,688 — 7,688
1Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2021, were:
Realized Net Gain (Loss) on Derivatives Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Swap Contracts — 48,608 48,608
Forward Currency Contracts 44,281 — 44,281
30
High-Yield Corporate Fund
  Foreign
Exchange
Contracts
($000) 		Credit
Contracts
($000) 		Total
($000)
Realized Net Gain (Loss) on Derivatives 44,281 48,608 92,889
Change in Unrealized Appreciation (Depreciation) on Derivatives
Swap Contracts — (21,963) (21,963)
Forward Currency Contracts (10,724) — (10,724)
Change in Unrealized Appreciation (Depreciation) on Derivatives (10,724) (21,963) (32,687)
F. As of July 31, 2021, gross unrealized appreciation and depreciation for investments, based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 28,610,921
Gross Unrealized Appreciation 1,308,116
Gross Unrealized Depreciation (81,277)
Net Unrealized Appreciation (Depreciation) 1,226,839
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, 2021, the fund had available capital losses totaling $838,591,000 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, 2022; 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, 2021, the fund purchased $4,872,527,000 of investment securities and sold $3,933,393,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $586,472,000 and $250,000,000, respectively.
H. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 540,026 90,562   1,375,590 239,476
Issued in Lieu of Cash Distributions 68,400 11,480   149,574 26,103
Redeemed (583,725) (97,948)   (1,726,518) (305,172)
Net Increase (Decrease)—Investor Shares 24,701 4,094   (201,354) (39,593)
31
High-Yield Corporate Fund
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Admiral Shares          
Issued 3,484,842 584,875   9,015,194 1,582,471
Issued in Lieu of Cash Distributions 405,563 68,066   795,731 138,656
Redeemed (2,951,289) (495,343)   (7,756,853) (1,379,219)
Net Increase (Decrease)—Admiral Shares 939,116 157,598   2,054,072 341,908
I. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
32
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 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 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 trade-off 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 in 1978.
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.
33
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.
34
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 January 1, 2020, through December 31, 2020 (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.
35
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
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.
© 2021 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q292 092021

 

 

Semiannual Report  |  July 31, 2021
Vanguard GNMA Fund
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, 2021      
  Beginning
Account Value
1/31/2021 		Ending
Account Value
7/31/2021 		Expenses
Paid During
Period
Based on Actual Fund Return      
GNMA Fund      
Investor Shares $1,000.00 $996.80 $1.04
AdmiralTM Shares 1,000.00 997.30 0.54
Based on Hypothetical 5% Yearly Return      
GNMA Fund      
Investor Shares $1,000.00 $1,023.75 $1.05
Admiral Shares 1,000.00 1,024.25 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 (181/365).
2
GNMA Fund
Distribution by Stated Maturity
As of July 31, 2021
0 - 5 Years 0.1%
5 - 10 Years 0.9
10 - 15 Years 3.0
15 - 20 Years 6.2
20 - 25 Years 17.8
Over 25 Years 72.0
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, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•
 ($000)
U.S. Government and Agency Obligations (95.8%)
Conventional Mortgage-Backed Securities (90.1%)  
 1,2 Fannie Mae Pool 2.950%            6/1/31      1,925      2,154
 1,2 Fannie Mae Pool 2.960%            6/1/31      2,405      2,694
 1,2 Fannie Mae Pool 3.010%            8/1/34      2,045      2,294
 1,2 Fannie Mae Pool 3.050%            7/1/31      2,000      2,247
 1,2 Fannie Mae Pool 3.110%    11/1/27–2/1/28     22,867     25,351
 1,2 Fannie Mae Pool 3.240%            3/1/28      6,056      6,781
 1,2 Fannie Mae Pool 3.260%           12/1/37      4,175      4,788
 1,2 Fannie Mae Pool 3.330%            4/1/32     10,818     12,480
 1,2 Fannie Mae Pool 3.350%            1/1/30      4,900      5,580
 1,2 Fannie Mae Pool 3.410%            5/1/32      4,100      4,764
 1,2 Fannie Mae Pool 3.420%            4/1/31      1,398      1,605
 1,2 Fannie Mae Pool 3.460%            9/1/29      6,456      7,388
 1,2 Fannie Mae Pool 3.550%            2/1/30      8,875     10,329
 1,2 Fannie Mae Pool 4.180%           11/1/30     28,219     33,674
 1,2 Freddie Mac Gold Pool 3.000%     6/1/43–1/1/47     15,613     16,475
 1,2 Freddie Mac Gold Pool 3.500%    11/1/47–8/1/48      2,517      2,688
 1,2 Freddie Mac Gold Pool 4.000%     9/1/30–4/1/44      2,869      3,125
 1,2 Freddie Mac Gold Pool 4.500%    4/1/34–11/1/45     33,069     36,638
 1,2 Freddie Mac Gold Pool 5.000%    12/1/27–8/1/44     22,846     25,588
  1 Ginnie Mae I Pool 2.500%  11/15/42–9/15/43     49,933     52,053
  1 Ginnie Mae I Pool 3.000%   1/15/26–3/15/46    563,931    595,923
  1 Ginnie Mae I Pool 3.250%           8/15/42     13,554     14,460
  1 Ginnie Mae I Pool 3.500%   7/15/39–6/15/48    460,439    494,723
  1 Ginnie Mae I Pool 3.750%  10/15/40–8/15/42    115,389    126,422
  1 Ginnie Mae I Pool 3.875%  10/15/40–6/15/42     25,199     27,570
  1 Ginnie Mae I Pool 4.000%   8/15/24–7/15/46    609,536    666,423
  1 Ginnie Mae I Pool 4.500%   4/15/33–4/15/44    321,804    363,611
 1,3 Ginnie Mae I Pool 5.000%   1/15/30–8/15/51    279,938    323,447
  1 Ginnie Mae I Pool 5.500%   9/15/23–9/15/45    238,331    273,885
  1 Ginnie Mae I Pool 6.000%   2/15/24–6/15/41    127,389    144,050
  1 Ginnie Mae I Pool 6.500%   4/15/23–7/15/40     88,016     97,350
  1 Ginnie Mae I Pool 7.000% 11/15/31–11/15/36     22,577     25,618
  1 Ginnie Mae I Pool 7.250%   1/15/27–2/15/27         11         12
  1 Ginnie Mae I Pool 7.500%          10/15/31      8,296      9,440
  1 Ginnie Mae I Pool 8.000%           8/15/31      2,868      3,327
  1 Ginnie Mae I Pool 8.500%   2/15/22–6/15/28        144        160
  1 Ginnie Mae II Pool 1.500%   4/20/44–6/20/47        788        793
4
GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
 1,3 Ginnie Mae II Pool 2.000%  10/20/43–8/15/51  2,756,978  2,824,842
 1,3 Ginnie Mae II Pool 2.500%  11/20/42–8/15/51  5,044,738  5,250,450
 1,3 Ginnie Mae II Pool 3.000%   4/20/31–8/15/51  3,743,564  3,934,442
1,3,4 Ginnie Mae II Pool 3.500%  10/20/40–8/15/51  3,856,158  4,094,086
 1,3 Ginnie Mae II Pool 4.000%   4/20/39–8/15/51  1,598,170  1,711,663
 1,3 Ginnie Mae II Pool 4.500%  12/20/32–8/15/51    585,721    631,695
  1 Ginnie Mae II Pool 5.000%  10/20/32–3/20/45    143,600    160,213
  1 Ginnie Mae II Pool 5.500%   1/20/34–7/20/40     17,504     20,467
  1 Ginnie Mae II Pool 6.000%   4/20/28–8/20/40     22,646     26,273
  1 Ginnie Mae II Pool 6.500%   4/20/37–3/20/41        659        779
  1 Ginnie Mae II Pool 7.500%   6/20/25–8/20/25         50         54
1,2,3 UMBS Pool 1.500%   11/1/50–8/25/51      2,203      2,350
1,2,3 UMBS Pool 2.000%   8/25/36–8/25/51     11,060     11,920
1,2,3 UMBS Pool 2.500%    7/1/27–9/25/51     18,671     19,532
1,2,3 UMBS Pool 3.000%    11/1/22–6/1/49        223        295
 1,2 UMBS Pool 4.000%     5/1/46–6/1/46      3,202      3,458
 1,2 UMBS Pool 4.500%    12/1/40–3/1/44      1,158      1,302
1,2,3 UMBS Pool 5.000%    6/1/23–8/25/51     26,184     30,964
 1,2 UMBS Pool 6.500%     2/1/29–5/1/40      1,357      1,564
                                            22,152,259
Nonconventional Mortgage-Backed Securities (5.7%)  
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.560% 2.127%            8/1/43      3,497      3,646
1,2,5 Fannie Mae Pool, 12M USD LIBOR + 1.580% 2.701%            9/1/44      4,124      4,294
 1,2 Fannie Mae REMICS 2.000%           9/25/42      5,438      5,543
 1,2 Fannie Mae REMICS 2.500%          10/25/42      5,227      5,399
 1,2 Fannie Mae REMICS 3.000%   6/25/43–7/25/49     38,300     41,846
 1,2 Fannie Mae REMICS 3.500%  7/25/44–12/25/58     91,208     99,723
 1,2 Fannie Mae REMICS 6.000%  10/25/28–9/25/32      2,291      2,591
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.600% 2.671%           10/1/44     10,291     10,745
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.601% 3.034%           10/1/44      5,308      5,516
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.615% 2.784%            9/1/44      2,793      2,924
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 2.091%            9/1/43      4,212      4,369
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 2.614%            7/1/44      1,781      1,864
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.620% 2.845%           10/1/44      5,126      5,349
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.630% 1.999%            4/1/44      4,101      4,392
1,2,5 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.691% 2.147%            8/1/43      3,681      3,898
 1,2 Freddie Mac REMICS 2.000%           4/15/42      5,754      5,911
 1,2 Freddie Mac REMICS 3.000%   8/15/42–3/15/43     82,473     87,990
 1,2 Freddie Mac REMICS 3.500%           8/15/45      8,707     10,071
 1,2 Freddie Mac REMICS 4.000%           6/15/54      3,587      4,329
 1,2 Freddie Mac REMICS 6.000%  4/15/28–11/15/32      6,286      7,105
  1 Ginnie Mae REMICS 4.000%           1/20/45     17,384     19,993
  1 Ginnie Mae REMICS 3.000%   6/20/39–6/20/49    538,259    575,958
  1 Ginnie Mae REMICS 1.650%          11/20/45     61,440     62,820
  1 Ginnie Mae REMICS 1.750%  10/20/42–7/20/44     21,044     20,486
  1 Ginnie Mae REMICS 2.000%  1/20/42–10/20/44     35,377     36,328
5
GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
  1 Ginnie Mae REMICS 2.250%           3/16/45     10,191     10,600
  1 Ginnie Mae REMICS 2.375%           4/20/44      3,453      3,541
  1 Ginnie Mae REMICS 2.500% 12/16/39–12/20/49    144,724    148,968
  1 Ginnie Mae REMICS 2.750%           6/16/43      8,615      8,833
  1 Ginnie Mae REMICS 3.000%           7/20/43      5,701      6,136
  1 Ginnie Mae REMICS 3.250%   8/20/44–2/20/49     11,969     13,934
  1 Ginnie Mae REMICS 3.500%   7/20/43–2/20/49     99,898    110,967
  1 Ginnie Mae REMICS 3.683%          10/20/48     13,270     14,562
  1 Ginnie Mae REMICS 3.750%          12/16/39      2,108      2,453
  1 Ginnie Mae REMICS 4.500%           6/20/39      2,175      2,500
  1 Ginnie Mae REMICS 5.000%           6/16/37      7,681      8,901
  1 Ginnie Mae REMICS 5.500%           8/16/36      6,876      7,924
 1,5 Ginnie Mae REMICS, 1M USD LIBOR + 0.200% 0.284%           2/20/37      1,743      1,732
  1 Government National Mortgage Assn. 2.350%           5/17/46     13,855     14,243
  1 Government National Mortgage Assn. 2.650%          11/17/48      8,340      8,723
                                              1,397,107
Total U.S. Government and Agency Obligations (Cost $23,074,054) 23,549,366
Asset-Backed/Commercial Mortgage-Backed Securities (1.1%)
  1 Seasoned Credit Risk Transfer Trust Series 2019-3 3.500%          10/25/58    147,118    157,167
  1 Seasoned Credit Risk Transfer Trust Series 2019-3 3.500%          10/25/58     12,735     15,002
  1 Seasoned Credit Risk Transfer Trust Series 2020-1 2.500%           8/25/59     90,588     92,253
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $261,630) 264,422
          Shares  
Temporary Cash Investments (22.6%)
Money Market Fund (13.5%)
  6 Vanguard Market Liquidity Fund 0.064%                   33,230,254  3,323,025
        Maturity
Date 		Face
Amount
($000) 		 
Repurchase Agreements (4.1%)
    Bank of America Securities, LLC
(Dated 7/30/21, Repurchase Value $15,500,000, collateralized by U.S. Treasury Note/Bond 0.125%, 4/30/22, with a value of $15,810,000) 		0.050%            8/2/21     15,500     15,500
    Barclays Capital Inc.
(Dated 7/30/21, Repurchase Value $19,100,000, collateralized by U.S. Treasury Note/Bond 2.375%, 8/15/24, with a value of $19,482,000) 		0.050%            8/2/21     19,100     19,100
    Citigroup Global Markets Inc.
(Dated 7/30/21, Repurchase Value $141,601,000, collateralized by U.S. Treasury Note/Bond 1.250%–2.375%, 5/15/50–5/15/51, with a value of $144,432,000) 		0.050%            8/2/21    141,600    141,600
6
GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
    Credit Agricole Securities (USA) Inc.
(Dated 7/30/21, Repurchase Value $86,000,000, collateralized by Treasury Inflation Indexed Note/Bond 0.625%, 2/15/43, with a value of $87,720,000) 		0.050%            8/2/21     86,000     86,000
    HSBC Bank USA
(Dated 7/30/21, Repurchase Value $140,001,000, collateralized by Fannie Mae 2.500%–4.000%, 9/1/31–12/1/50, and Freddie Mac 3.180%, 9/1/33, with a value of $142,800,000) 		0.050%            8/2/21    140,000    140,000
    HSBC Bank USA
(Dated 7/30/21, Repurchase Value $161,901,000, collateralized by U.S. Treasury Note/Bond 0.125%–2.875%, 11/15/21–11/15/30, with a value of $165,138,000) 		0.045%            8/2/21    161,900    161,900
    Natixis SA
(Dated 7/30/21, Repurchase Value $179,901,000, collateralized by Treasury Inflation Indexed Note/Bond 0.125%–1.750%, 10/15/24–2/15/42, U.S. Treasury Bill 0.000%, 12/9/21, and U.S. Treasury Note/Bond 0.105%–3.000%, 11/30/21–2/15/47, with a value of $183,498,000) 		0.040%            8/2/21    179,900    179,900
    Societe Generale
(Dated 7/30/21, Repurchase Value $190,301,000, collateralized by Fannie Mae 2.500%–4.500%, 8/1/35–9/1/50, Freddie Mac 2.000%–4.500%, 11/1/40–7/1/51, and Ginnie Mae 2.250%–4.500%, 4/20/26–6/20/51, with a value of $194,106,000) 		0.045%            8/2/21    190,300    190,300
    TD Securities (USA) LLC
(Dated 7/30/21, Repurchase Value $36,500,000, collateralized by Ginnie Mae 2.000%–8.500%, 12/15/24–6/20/51, with a value of $37,230,000) 		0.050%            8/2/21     36,500     36,500
    Wells Fargo & Co.
(Dated 7/30/21, Repurchase Value $44,700,000, collateralized by Fannie Mae 2.500%–4.500%, 6/1/33–12/1/50, with a value of $45,594,000) 		0.060%            8/2/21     44,700     44,700
                                             1,015,500
U.S. Government and Agency Obligations (5.0%)
    United States Treasury Bill 0.046%            8/5/21    225,000    225,000
7
GNMA Fund
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value•

($000)
    United States Treasury Bill 0.036%           8/12/21    450,000    449,996
    United States Treasury Bill 0.037%           8/17/21    550,000    549,992
                                              1,224,988
Total Temporary Cash Investments (Cost $5,563,562) 5,563,513
Total Investments (119.5%) (Cost $28,899,246)   29,377,301
Other Assets and Liabilities—Net (-19.5%)   (4,788,312)
Net Assets (100%)   24,588,989
Cost is in $000.
• See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
4 Securities with a value of $8,426,000 have been segregated as initial margin for open futures contracts.
5 Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  12M—12-month.
  1M—1-month.
  LIBOR—London Interbank Offered Rate.
  REMICS—Real Estate Mortgage Investment Conduits.
  UMBS—Uniform Mortgage-Backed Securities.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
2-Year U.S. Treasury Note September 2021 3,898 860,118 (46)
 
Short Futures Contracts
5-Year U.S. Treasury Note September 2021 (2,055) (255,735) (1,359)
10-Year U.S. Treasury Note September 2021 (184) (24,739) (44)
Long U.S. Treasury Bond September 2021 (19) (3,130) (160)
Ultra 10-Year U.S. Treasury Note September 2021 (614) (92,253) (3,218)
Ultra Long U.S. Treasury Bond September 2021 (357) (71,233) (5,396)
        (10,177)
        (10,223)
See accompanying Notes, which are an integral part of the Financial Statements.
8
GNMA Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $25,576,168) 26,054,276
Affiliated Issuers (Cost $3,323,078) 3,323,025
Total Investments in Securities 29,377,301
Investment in Vanguard 849
Cash 1,036
Receivables for Investment Securities Sold 2,744,450
Receivables for Accrued Income 48,887
Receivables for Capital Shares Issued 14,048
Other Assets 615
Total Assets 32,187,186
Liabilities  
Payables for Investment Securities Purchased 7,577,098
Payables for Capital Shares Redeemed 15,078
Payables for Distributions 3,090
Payables to Investment Advisor 617
Payables to Vanguard 1,397
Variation Margin Payable—Futures Contracts 917
Total Liabilities 7,598,197
Net Assets 24,588,989
9
GNMA Fund
Statement of Assets and Liabilities (continued)
 
At July 31, 2021, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 24,414,443
Total Distributable Earnings (Loss) 174,546
Net Assets 24,588,989
 
Investor Shares—Net Assets  
Applicable to 681,898,554 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		7,272,006
Net Asset Value Per Share—Investor Shares $10.66
 
Admiral Shares—Net Assets  
Applicable to 1,623,818,098 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		17,316,983
Net Asset Value Per Share—Admiral Shares $10.66
See accompanying Notes, which are an integral part of the Financial Statements.
10
GNMA Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Interest1 119,575
Total Income 119,575
Expenses  
Investment Advisory Fees—Note B 1,265
The Vanguard Group—Note C  
Management and Administrative—Investor Shares 7,035
Management and Administrative—Admiral Shares 8,476
Marketing and Distribution—Investor Shares 351
Marketing and Distribution—Admiral Shares 551
Custodian Fees 245
Shareholders’ Reports—Investor Shares 52
Shareholders’ Reports—Admiral Shares 66
Trustees’ Fees and Expenses 23
Total Expenses 18,064
Net Investment Income 101,511
Realized Net Gain (Loss)  
Investment Securities Sold1 (99,777)
Futures Contracts 32,066
Swap Contracts 3,033
Realized Net Gain (Loss) (64,678)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (86,264)
Futures Contracts (28,385)
Swap Contracts (1,083)
Change in Unrealized Appreciation (Depreciation) (115,732)
Net Increase (Decrease) in Net Assets Resulting from Operations (78,899)
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,105,000, $0, 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.
11
GNMA Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 101,511   447,461
Realized Net Gain (Loss) (64,678)   125,841
Change in Unrealized Appreciation (Depreciation) (115,732)   227,186
Net Increase (Decrease) in Net Assets Resulting from Operations (78,899)   800,488
Distributions      
Investor Shares (25,507)   (120,267)
Admiral Shares (72,216)   (322,351)
Return of Capital      
Investor Shares —   (6,874)
Admiral Shares —   (18,426)
Total Distributions (97,723)   (467,918)
Capital Share Transactions      
Investor Shares (396,828)   259,752
Admiral Shares (2,158,190)   2,006,549
Net Increase (Decrease) from Capital Share Transactions (2,555,018)   2,266,301
Total Increase (Decrease) (2,731,640)   2,598,871
Net Assets      
Beginning of Period 27,320,629   24,721,758
End of Period 24,588,989   27,320,629
See accompanying Notes, which are an integral part of the Financial Statements.
12
GNMA Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.73 $10.58 $10.31 $10.32 $10.51 $10.77
Investment Operations            
Net Investment Income .0361 .1781 .2851 .2981 .2841 .236
Net Realized and Unrealized Gain (Loss) on Investments (.070) .157 .272 (.011) (.193) (.183)
Total from Investment Operations (.034) .335 .557 .287 .091 .053
Distributions            
Dividends from Net Investment Income (.036) (.176) (.287) (.297) (.281) (.237)
Distributions from Realized Capital Gains — — — — — (.076)
Return of Capital — (.009) — — — —
Total Distributions (.036) (.185) (.287) (.297) (.281) (.313)
Net Asset Value, End of Period $10.66 $10.73 $10.58 $10.31 $10.32 $10.51
Total Return2 -0.32% 3.17% 5.46% 2.85% 0.85% 0.49%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $7,272 $7,719 $7,365 $6,715 $7,598 $7,993
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 0.67% 1.66% 2.71% 2.93% 2.70% 2.19%
Portfolio Turnover Rate3 372% 638% 616% 415% 620% 926%
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 Includes 95%, 182%, 198%, 200%, 156%, and 300%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
13
GNMA Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $10.73 $10.58 $10.31 $10.32 $10.51 $10.77
Investment Operations            
Net Investment Income .0431 .1841 .2951 .3091 .2941 .247
Net Realized and Unrealized Gain (Loss) on Investments (.072) .161 .272 (.012) (.192) (.183)
Total from Investment Operations (.029) .345 .567 .297 .102 .064
Distributions            
Dividends from Net Investment Income (.041) (.185) (.297) (.307) (.292) (.248)
Distributions from Realized Capital Gains — — — — — (.076)
Return of Capital — (.010) — — — —
Total Distributions (.041) (.195) (.297) (.307) (.292) (.324)
Net Asset Value, End of Period $10.66 $10.73 $10.58 $10.31 $10.32 $10.51
Total Return2 -0.27% 3.28% 5.57% 2.95% 0.95% 0.59%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $17,317 $19,602 $17,356 $14,706 $16,491 $17,613
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 0.82% 1.72% 2.81% 3.03% 2.80% 2.29%
Portfolio Turnover Rate3 372% 638% 616% 415% 620% 926%
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 Includes 95%, 182%, 198%, 200%, 156%, and 300%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
14
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, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
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 securities 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 Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended July 31, 2021, 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.
15
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.
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.
The notional amounts of swap contracts are not recorded in the Statement of Asset and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statements 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.
During the six months ended July 31, 2021, the fund’s 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. The fund had no open swap contracts at July 31, 2021.
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
16
GNMA Fund
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 MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.
At July 31, 2021, counterparties had deposited in segregated accounts securities with a value of $11,465,000 and cash of $8,382,000 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.
17
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. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for 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. 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.
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, 2021, 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.
18
GNMA Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.  Wellington Management Company llp provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the year ended July 31, 2021, the investment advisory fee represented an effective annual basic 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, 2021, the fund had contributed to Vanguard capital in the amount of $849,000, representing less than 0.01% of the fund’s net assets and 0.34% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D.  Various inputs may be used to determine the value of the fund’s investments and derivatives. 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 and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
19
GNMA Fund
The following table summarizes the market value of the fund's investments and derivatives as of July 31, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
U.S. Government and Agency Obligations — 23,549,366 — 23,549,366
Asset-Backed/Commercial Mortgage-Backed Securities — 264,422 — 264,422
Temporary Cash Investments 3,323,025 2,240,488 — 5,563,513
Total 3,323,025 26,054,276 — 29,377,301
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 10,223 — — 10,223
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
E.  As of July 31, 2021, 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 28,906,973
Gross Unrealized Appreciation 511,825
Gross Unrealized Depreciation (51,720)
Net Unrealized Appreciation (Depreciation) 460,105
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, 2021, the fund had available capital losses totaling $204,178,000 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, 2022; 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, 2021, the fund purchased $104,866,018,000 of investment securities and sold $107,284,003,000 of investment securities, other than temporary cash investments.
20
GNMA Fund
G.  Capital share transactions for each class of shares were:
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 416,504 38,994   2,356,623 218,976
Issued in Lieu of Cash Distributions 24,182 2,268   119,282 11,086
Redeemed (837,514) (78,551)   (2,216,153) (207,051)
Net Increase (Decrease)—Investor Shares (396,828) (37,289)   259,752 23,011
Admiral Shares          
Issued 1,451,883 135,990   6,456,531 600,771
Issued in Lieu of Cash Distributions 55,752 5,229   266,184 24,739
Redeemed (3,665,825) (343,770)   (4,716,166) (439,640)
Net Increase (Decrease)—Admiral Shares (2,158,190) (202,551)   2,006,549 185,870
H.  Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
21
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 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 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 managers are backed by a team of experienced analysts who help inform their 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 seeks to 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.
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.
22
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.
23
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 January 1, 2020, through December 31, 2020 (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.
24
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
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.
© 2021 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q362 092021

 

 

Semiannual Report  |  July 31, 2021
Vanguard Real Estate Index Funds
Vanguard Real Estate Index Fund
Vanguard Real Estate II Index Fund
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, 2021      
  Beginning
Account Value
1/31/2021 		Ending
Account Value
7/31/2021 		Expenses
Paid During
Period
Based on Actual Fund Return      
Real Estate Index Fund      
Investor Shares $1,000.00 $1,266.60 $1.46
ETF Shares 1,000.00 1,267.50 0.67
AdmiralTM Shares 1,000.00 1,267.70 0.67
Institutional Shares 1,000.00 1,267.50 0.56
Real Estate II Index Fund $1,000.00 $1,268.10 $0.45
Based on Hypothetical 5% Yearly Return      
Real Estate Index Fund      
Investor Shares $1,000.00 $1,023.51 $1.30
ETF Shares 1,000.00 1,024.20 0.60
Admiral Shares 1,000.00 1,024.20 0.60
Institutional Shares 1,000.00 1,024.30 0.50
Real Estate II Index Fund $1,000.00 $1,024.40 $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 (181/365).
2
Real Estate Index Fund
Fund Allocation
As of July 31, 2021
Diversified Real Estate Activities 0.2%
Diversified REITs 3.9
Health Care REITs 8.4
Hotel & Resort REITs 2.9
Industrial REITs 11.0
Office REITs 7.1
Real Estate Development 0.3
Real Estate Operating Companies 0.2
Real Estate Services 4.0
Residential REITs 14.9
Retail REITs 9.6
Specialized REITs 37.5
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 its 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, 2021
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) (95.7%)
Diversified REITs (3.5%)
   WP Carey Inc.   8,210,363    662,494
   VEREIT Inc.  10,720,525    524,984
   STORE Capital Corp.  11,058,719    400,215
 1 Broadstone Net Lease Inc.   6,822,411    177,519
 * DigitalBridge Group Inc.  22,629,209    157,499
   Essential Properties Realty Trust Inc.   5,005,265    149,157
   PS Business Parks Inc.     964,737    148,251
   Washington REIT   3,960,011     96,189
   American Assets Trust Inc.   2,406,260     88,863
   iStar Inc.   3,455,277     83,721
   Empire State Realty Trust Inc. Class A   6,787,213     77,578
   Global Net Lease Inc.   4,199,319     77,562
   Alexander & Baldwin Inc.   3,386,473     67,797
   Gladstone Commercial Corp.   1,673,233     38,786
   Armada Hoffler Properties Inc.   2,776,600     36,096
   One Liberty Properties Inc.     770,908     23,582
                        2,810,293
Health Care REITs (7.4%)
   Welltower Inc.  19,535,126  1,696,821
   Ventas Inc.  17,535,850  1,048,293
   Healthpeak Properties Inc.  25,213,767    932,153
   Medical Properties Trust Inc.  27,066,393    569,206
   Omega Healthcare Investors Inc.  10,845,142    393,462
   Healthcare Trust of America Inc. Class A  10,236,927    292,674
   Healthcare Realty Trust Inc.   6,538,819    208,458
   Physicians Realty Trust   9,742,356    184,618
          Shares Market
Value•

($000)
   Sabra Health Care REIT Inc.   9,858,942    183,278
   National Health Investors Inc.   2,009,200    137,088
   CareTrust REIT Inc.   4,488,365    108,259
   LTC Properties Inc.   1,835,295     69,466
   Community Healthcare Trust Inc.   1,067,342     53,186
   Diversified Healthcare Trust  11,151,607     43,491
   Global Medical REIT Inc.   2,654,079     41,297
   Universal Health Realty Income Trust     644,718     38,522
   New Senior Investment Group Inc.   3,886,921     35,837
                        6,036,109
Hotel & Resort REITs (2.5%)
 * Host Hotels & Resorts Inc.  33,015,350    525,934
   MGM Growth Properties LLC Class A   7,041,108    266,154
 * Park Hotels & Resorts Inc.  11,038,955    204,221
 * Ryman Hospitality Properties Inc.   2,444,054    187,459
   Apple Hospitality REIT Inc.   9,923,012    148,349
   Pebblebrook Hotel Trust   6,146,331    138,231
 * Sunstone Hotel Investors Inc.  10,088,813    116,425
   RLJ Lodging Trust   7,722,510    110,818
 * Xenia Hotels & Resorts Inc.   5,323,447     94,119
   Service Properties Trust   7,715,008     85,868
 * DiamondRock Hospitality Co.   9,833,336     84,665
 * Summit Hotel Properties Inc.   4,947,303     44,575
 * Chatham Lodging Trust   2,203,409     27,058
 * CorePoint Lodging Inc.   1,902,982     25,576
                        2,059,452
4
Real Estate Index Fund
          Shares Market
Value•

($000)
Industrial REITs (9.7%)
   Prologis Inc.  34,610,944  4,431,585
   Duke Realty Corp.  17,494,406    890,115
   Americold Realty Trust  11,189,412    434,709
   Rexford Industrial Realty Inc.   6,149,818    378,337
   First Industrial Realty Trust Inc.   6,045,084    331,150
   EastGroup Properties Inc.   1,856,362    327,128
   STAG Industrial Inc.   7,412,921    306,302
   Innovative Industrial Properties Inc.   1,119,672    240,718
   Terreno Realty Corp.   3,212,156    219,583
   Lexington Realty Trust  12,984,889    170,751
   Monmouth Real Estate Investment Corp.   4,371,974     83,243
   Industrial Logistics Properties Trust   3,057,562     82,860
                        7,896,481
Office REITs (6.3%)
   Alexandria Real Estate Equities Inc.   6,077,965  1,223,738
   Boston Properties Inc.   6,924,108    812,752
   Kilroy Realty Corp.   4,902,544    339,599
   Vornado Realty Trust   7,613,573    331,190
   Cousins Properties Inc.   6,952,604    276,158
   Douglas Emmett Inc.   8,211,398    274,261
   SL Green Realty Corp.   3,299,428    245,675
   Highwoods Properties Inc.   4,862,797    231,907
   Hudson Pacific Properties Inc.   7,063,233    192,544
   JBG SMITH Properties   5,541,438    180,817
   Corporate Office Properties Trust   5,247,829    154,496
   Equity Commonwealth   5,694,419    149,706
   Brandywine Realty Trust   7,988,111    111,514
   Piedmont Office Realty Trust Inc. Class A   5,798,534    110,288
   Columbia Property Trust Inc.   5,377,096     89,636
   Easterly Government Properties Inc.   3,844,972     87,281
   Paramount Group Inc.   8,204,241     80,073
   Office Properties Income Trust   2,260,131     65,499
 * Mack-Cali Realty Corp.   3,395,772     61,124
   City Office REIT Inc.   2,026,906     26,086
   Franklin Street Properties Corp.   4,762,661     24,861
*,2 New York REIT Liquidating LLC       1,208         14
                        5,069,219
          Shares Market
Value•

($000)
Other (11.6%)3
4,5 Vanguard Real Estate II Index Fund 365,543,416  9,381,743
Residential REITs (13.1%)
   AvalonBay Communities Inc.   6,530,461  1,487,835
   Equity Residential  16,270,206  1,368,812
   Invitation Homes Inc.  26,549,005  1,080,014
   Mid-America Apartment Communities Inc.   5,353,841  1,033,827
   Essex Property Trust Inc.   3,042,077    998,105
   Sun Communities Inc.   5,036,946    987,795
   UDR Inc.  13,892,993    763,976
   Camden Property Trust   4,566,362    682,169
   Equity LifeStyle Properties Inc.   8,106,126    679,293
   American Homes 4 Rent Class A  13,296,086    558,436
   Apartment Income REIT Corp.   6,967,372    366,762
   American Campus Communities Inc.   6,442,397    324,117
 1 Independence Realty Trust Inc.   4,768,181     91,931
   NexPoint Residential Trust Inc.   1,055,507     62,222
   Centerspace     610,875     54,979
   Apartment Investment & Management Co. Class A   6,966,556     48,487
   UMH Properties Inc.   1,952,395     45,452
   Preferred Apartment Communities Inc.   2,337,413     24,636
                       10,658,848
Retail REITs (8.5%)
   Simon Property Group Inc.  14,974,760  1,894,607
   Realty Income Corp.  17,476,799  1,228,444
   Regency Centers Corp.   7,154,591    467,982
   Kimco Realty Corp.  20,235,224    431,617
   National Retail Properties Inc.   8,201,387    400,802
   Federal Realty Investment Trust   3,232,059    379,864
   Brixmor Property Group Inc.  13,892,236    319,799
   Spirit Realty Capital Inc.   5,375,263    269,946
   Agree Realty Corp.   2,970,101    223,203
   Weingarten Realty Investors   5,696,024    183,355
   Retail Properties of America Inc. Class A  10,044,821    126,665
   SITE Centers Corp.   7,241,006    114,842
   Macerich Co.   6,881,058    112,161
 
5
Real Estate Index Fund
          Shares Market
Value•

($000)
   Urban Edge Properties   5,477,395    104,071
   Retail Opportunity Investments Corp.   5,529,547     97,707
   Acadia Realty Trust   4,039,047     86,435
   Kite Realty Group Trust   3,946,270     79,557
 1 Tanger Factory Outlet Centers Inc.   4,380,634     75,216
   Getty Realty Corp.   1,739,990     54,966
   RPT Realty   3,800,917     48,424
   NETSTREIT Corp.   1,841,928     47,798
   American Finance Trust Inc. Class A   5,094,920     43,154
   Saul Centers Inc.     660,711     30,128
   Alexander's Inc.     107,705     30,033
   Urstadt Biddle Properties Inc. Class A   1,392,787     26,560
 * Seritage Growth Properties Class A   1,234,161     19,586
*,2 Spirit MTA REIT   2,071,263        554
   Urstadt Biddle Properties Inc.      16,032        269
                        6,897,745
Specialized REITs (33.1%)
   American Tower Corp.  20,798,560  5,881,834
   Crown Castle International Corp.  19,936,706  3,849,579
   Equinix Inc.   4,153,976  3,407,963
   Public Storage   7,367,643  2,302,241
   Digital Realty Trust Inc.  12,862,730  1,982,918
   SBA Communications Corp.   5,116,738  1,744,757
   Weyerhaeuser Co.  34,999,235  1,180,524
   Extra Space Storage Inc.   6,147,960  1,070,606
   VICI Properties Inc.  25,119,360    783,473
   Iron Mountain Inc.  13,499,464    590,737
   Gaming & Leisure Properties Inc.  10,351,165    490,024
   CubeSmart   9,137,443    453,765
   Lamar Advertising Co. Class A   4,044,278    431,120
   Life Storage Inc.   3,531,109    414,411
   CyrusOne Inc.   5,636,715    401,729
   CoreSite Realty Corp.   2,001,479    276,624
   Rayonier Inc.   6,449,681    243,218
   QTS Realty Trust Inc. Class A   3,022,152    234,851
   National Storage Affiliates Trust   3,878,252    210,085
   EPR Properties   3,498,410    175,970
   PotlatchDeltic Corp.   3,130,960    162,622
 * Outfront Media Inc.   6,757,354    161,433
   Uniti Group Inc.  10,893,693    127,565
   Four Corners Property Trust Inc.   3,562,459    102,278
   Safehold Inc.     747,350     67,501
          Shares Market
Value•

($000)
 1 GEO Group Inc.   5,678,620     39,296
 1 Gladstone Land Corp.   1,225,730     28,584
   CatchMark Timber Trust Inc. Class A   2,277,340     26,622
                       26,842,330
Total Equity Real Estate Investment Trusts (REITs) (Cost $58,991,878) 77,652,220
Real Estate Management & Development (4.0%)
Diversified Real Estate Activities (0.1%)
   St. Joe Co.   1,514,673     68,569
   RMR Group Inc. Class A     721,618     28,316
 * Five Point Holdings LLC Class A   2,748,239     23,003
                          119,888
Real Estate Development (0.2%)
 * Howard Hughes Corp.   1,933,947    179,296
 * Forestar Group Inc.     785,190     16,073
                          195,369
Real Estate Operating Companies (0.2%)
   Kennedy-Wilson Holdings Inc.   5,953,712    120,206
 * FRP Holdings Inc.     285,914     17,192
                          137,398
Real Estate Services (3.5%)
 * CBRE Group Inc. Class A  15,707,267  1,515,123
 * Jones Lang LaSalle Inc.   2,392,261    532,446
 * Redfin Corp.   3,996,752    234,090
 * Cushman & Wakefield plc   6,234,303    116,394
 * eXp World Holdings Inc.   2,946,549    105,840
   Newmark Group Inc. Class A   7,447,584     95,925
 * Realogy Holdings Corp.   5,405,790     95,791
 * Opendoor Technologies Inc.   5,404,078     80,088
 * Marcus & Millichap Inc.   1,106,666     44,034
   RE/MAX Holdings Inc. Class A     870,505     29,858
                        2,849,589
Total Real Estate Management & Development (Cost $2,377,448) 3,302,244
 
6
Real Estate Index Fund
          Shares Market
Value•

($000)
Temporary Cash Investments (0.5%)
Money Market Fund (0.5%)
6,7 Vanguard Market Liquidity Fund, 0.064%
(Cost $372,969) 		  3,730,140           373,013
Total Investments (100.2%)
(Cost $61,742,295) 		  81,327,477
Other Assets and Liabilities—Net (-0.2%)   (167,955)
Net Assets (100%)   81,159,522
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 $157,112,000.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
5 Represents a wholly owned subsidiary of the fund. See accompanying financial statements for Vanguard Real Estate II Index Fund's Schedule of Investments.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Collateral of $167,448,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
7
Real Estate 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)
Crown Castle International Corp. 1/31/22 GSI 50,543 (0.139) — (2,272)
Digital Realty Trust Inc. 1/31/22 GSI 39,273 (0.139) — (734)
Equinix Inc. 1/31/22 GSI 20,851 (0.139) — (342)
Equity Residential 1/31/22 GSI 24,966 (0.139) 272 —
Redfin Corp. 1/31/22 GSI 19,390 (0.089) 1,109 —
Seritage Growth Properties Class A 1/31/22 GSI 6,486 (0.089) — (202)
Simon Property Group Inc. 1/31/22 GSI 50,616 (0.139) 550 —
          1,931 (3,550)
1 Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  GSI—Goldman Sachs International.
  
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, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $54,361,781) 71,572,721
Affiliated Issuers (Cost $372,969) 373,013
Vanguard Real Estate II Index Fund (Cost $7,007,545) 9,381,743
Total Investments in Securities 81,327,477
Investment in Vanguard 2,339
Cash 8,339
Cash Collateral Pledged—Over-the-Counter Swap Contracts 3,380
Receivables for Accrued Income 33,806
Receivables for Capital Shares Issued 18,405
Unrealized Appreciation—Over-the-Counter Swap Contracts 1,931
Total Assets 81,395,677
Liabilities  
Payables for Investment Securities Purchased 39,670
Collateral for Securities on Loan 167,448
Payables for Capital Shares Redeemed 21,518
Payables to Vanguard 3,969
Unrealized Depreciation—Over-the-Counter Swap Contracts 3,550
Total Liabilities 236,155
Net Assets 81,159,522
9
Real Estate Index Fund
Statement of Assets and Liabilities (continued)
 
At July 31, 2021, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 63,378,439
Total Distributable Earnings (Loss) 17,781,083
Net Assets 81,159,522
 
Investor Shares—Net Assets  
Applicable to 6,051,720 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		213,767
Net Asset Value Per Share—Investor Shares $35.32
 
ETF Shares—Net Assets  
Applicable to 412,146,444 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		43,816,072
Net Asset Value Per Share—ETF Shares $106.31
 
Admiral Shares—Net Assets  
Applicable to 167,483,061 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		25,234,941
Net Asset Value Per Share—Admiral Shares $150.67
 
Institutional Shares—Net Assets  
Applicable to 510,061,733 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		11,894,742
Net Asset Value Per Share—Institutional Shares $23.32
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, 2021
  ($000)
Investment Income  
Income  
Dividends—Unaffiliated Issuers 807,193
Dividends—Vanguard Real Estate II Index Fund 106,864
Interest—Affiliated Issuers 34
Securities Lending—Net 1,127
Total Income 915,218
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,325
Management and Administrative—Investor Shares 232
Management and Administrative—ETF Shares 20,016
Management and Administrative—Admiral Shares 11,880
Management and Administrative—Institutional Shares 4,739
Marketing and Distribution—Investor Shares 14
Marketing and Distribution—ETF Shares 711
Marketing and Distribution—Admiral Shares 540
Marketing and Distribution—Institutional Shares 136
Custodian Fees 103
Shareholders’ Reports—Investor Shares 1
Shareholders’ Reports—ETF Shares 587
Shareholders’ Reports—Admiral Shares 154
Shareholders’ Reports—Institutional Shares 45
Trustees’ Fees and Expenses 20
Total Expenses 40,503
Net Investment Income 874,715
Realized Net Gain (Loss)  
Capital Gain Distributions Received—Unaffiliated Issuers 28,694
Capital Gain Distributions Received—Vanguard Real Estate II Index Fund —
Investment Securities Sold—Unaffiliated Issuers1 743,283
Investment Securities Sold—Affiliated Issuers1 30
Investment Securities Sold—Vanguard Real Estate II Index Fund —
Swap Contracts 25,929
Realized Net Gain (Loss) 797,936
11
Real Estate Index Fund
Statement of Operations (continued)
  Six Months Ended
July 31, 2021
  ($000)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities—Unaffiliated Issuers 13,214,089
Investment Securities—Affiliated Issuers (31)
Investment Securities—Vanguard Real Estate II Index Fund 1,877,266
Swap Contracts (1,619)
Change in Unrealized Appreciation (Depreciation) 15,089,705
Net Increase (Decrease) in Net Assets Resulting from Operations 16,762,356
1 Includes $1,014,170,000 of 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,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 874,715   1,355,272
Realized Net Gain (Loss) 797,936   1,060,800
Change in Unrealized Appreciation (Depreciation) 15,089,705   (7,797,964)
Net Increase (Decrease) in Net Assets Resulting from Operations 16,762,356   (5,381,892)
Distributions      
Investor Shares (2,460)   (4,393)
ETF Shares (502,309)   (714,428)
Admiral Shares (293,799)   (458,678)
Institutional Shares (140,314)   (213,294)
Return of Capital      
Investor Shares —   (3,129)
ETF Shares —   (508,885)
Admiral Shares —   (326,715)
Institutional Shares —   (151,929)
Total Distributions (938,882)   (2,381,451)
Capital Share Transactions      
Investor Shares (17,279)   (29,761)
ETF Shares 3,351,265   (1,176,383)
Admiral Shares 538,926   (1,182,290)
Institutional Shares 31,963   356,671
Net Increase (Decrease) from Capital Share Transactions 3,904,875   (2,031,763)
Total Increase (Decrease) 19,728,349   (9,795,106)
Net Assets      
Beginning of Period 61,431,173   71,226,279
End of Period 81,159,522   61,431,173
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,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $28.23 $31.21 $27.69 $26.40 $27.38 $25.59
Investment Operations            
Net Investment Income .3741 .5861 .7191 .7871 .7611 .746
Net Realized and Unrealized Gain (Loss) on Investments 7.111 (2.498) 3.801 1.639 (.614) 2.324
Total from Investment Operations 7.485 (1.912) 4.520 2.426 .147 3.070
Distributions            
Dividends from Net Investment Income (.395) (.624) (.752) (.851) (.788) (.752)
Distributions from Realized Capital Gains — — — — (.011) (.187)
Return of Capital — (.444) (.248) (.285) (.328) (.341)
Total Distributions (.395) (1.068) (1.000) (1.136) (1.127) (1.280)
Net Asset Value, End of Period $35.32 $28.23 $31.21 $27.69 $26.40 $27.38
Total Return2 26.66% -5.88% 16.59% 9.53% 0.45% 12.07%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $214 $188 $243 $1,871 $2,143 $2,603
Ratio of Total Expenses to Average Net Assets 0.26% 0.26% 0.26% 0.25% 0.26% 0.26%
Ratio of Net Investment Income to Average Net Assets 2.35% 2.18% 2.48% 3.02% 2.87% 2.60%
Portfolio Turnover Rate3 3% 8% 6% 24% 6% 7%
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,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $84.96 $93.93 $83.36 $79.47 $82.43 $77.05
Investment Operations            
Net Investment Income 1.1791 1.8891 2.3351 2.4871 2.4991 2.334
Net Realized and Unrealized Gain (Loss) on Investments 21.427 (7.525) 11.379 4.934 (1.945) 7.022
Total from Investment Operations 22.606 (5.636) 13.714 7.421 .554 9.356
Distributions            
Dividends from Net Investment Income (1.256) (1.947) (2.364) (2.646) (2.458) (2.353)
Distributions from Realized Capital Gains — — — — (.034) (.563)
Return of Capital — (1.387) (.780) (.885) (1.022) (1.060)
Total Distributions (1.256) (3.334) (3.144) (3.531) (3.514) (3.976)
Net Asset Value, End of Period $106.31 $84.96 $93.93 $83.36 $79.47 $82.43
Total Return 26.75% -5.80% 16.70% 9.70% 0.59% 12.25%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $43,816 $32,064 $37,682 $30,857 $32,377 $33,527
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 2.45% 2.33% 2.60% 3.15% 3.01% 2.74%
Portfolio Turnover Rate2 3% 8% 6% 24% 6% 7%
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,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $120.40 $133.12 $118.14 $112.63 $116.83 $109.19
Investment Operations            
Net Investment Income 1.6631 2.6771 3.3151 3.5071 3.5381 3.306
Net Realized and Unrealized Gain (Loss) on Investments 30.385 (10.672) 16.121 7.008 (2.761) 9.966
Total from Investment Operations 32.048 (7.995) 19.436 10.515 .777 13.272
Distributions            
Dividends from Net Investment Income (1.778) (2.759) (3.350) (3.751) (3.483) (3.333)
Distributions from Realized Capital Gains — — — — (.048) (.798)
Return of Capital — (1.966) (1.106) (1.254) (1.447) (1.501)
Total Distributions (1.778) (4.725) (4.456) (5.005) (4.978) (5.632)
Net Asset Value, End of Period $150.67 $120.40 $133.12 $118.14 $112.63 $116.83
Total Return2 26.77% -5.74% 16.73% 9.69% 0.58% 12.23%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $25,235 $19,702 $23,274 $18,223 $17,757 $18,337
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12% 0.11% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 2.44% 2.33% 2.60% 3.16% 3.01% 2.74%
Portfolio Turnover Rate3 3% 8% 6% 24% 6% 7%
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,
2021 		Year Ended January 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $18.64 $20.60 $18.28 $17.43 $18.08 $16.90
Investment Operations            
Net Investment Income .2591 .4211 .5181 .5431 .5681 .515
Net Realized and Unrealized Gain (Loss) on Investments 4.698 (1.646) 2.496 1.085 (.444) 1.540
Total from Investment Operations 4.957 (1.225) 3.014 1.628 .124 2.055
Distributions            
Dividends from Net Investment Income (.277) (.429) (.522) (.583) (.542) (.519)
Distributions from Realized Capital Gains — — — — (.007) (.123)
Return of Capital — (.306) (.172) (.195) (.225) (.233)
Total Distributions (.277) (.735) (.694) (.778) (.774) (.875)
Net Asset Value, End of Period $23.32 $18.64 $20.60 $18.28 $17.43 $18.08
Total Return 26.75% -5.68% 16.77% 9.70% 0.60% 12.23%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $11,895 $9,478 $10,027 $8,206 $8,176 $7,799
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.09% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 2.46% 2.37% 2.63% 3.18% 3.03% 2.76%
Portfolio Turnover Rate2 3% 8% 6% 24% 6% 7%
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. 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.
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
18
Real Estate Index 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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement 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.
During the six months ended July 31, 2021, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. 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.
5. 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
19
Real Estate Index Fund
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.
6. 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, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Distributions received from investment securities are recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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.
20
Real Estate Index Fund
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, 2021, the fund had contributed to Vanguard capital in the amount of $2,339,000, representing less than 0.01% of the fund’s net assets and 0.94% 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 and derivatives. 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 and derivatives 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, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 80,953,896 — 568 80,954,464
Temporary Cash Investments 373,013 — — 373,013
Total 81,326,909 — 568 81,327,477
Derivative Financial Instruments        
Assets        
Swap Contracts — 1,931 — 1,931
Liabilities        
Swap Contracts — 3,550 — 3,550
21
Real Estate Index Fund
D. As of July 31, 2021, 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 61,909,529
Gross Unrealized Appreciation 22,534,033
Gross Unrealized Depreciation (3,117,704)
Net Unrealized Appreciation (Depreciation) 19,416,329
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, 2021, the fund had available capital losses totaling $2,472,556,000 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, 2022; 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, 2021, the fund purchased $8,361,766,000 of investment securities and sold $4,572,194,000 of investment securities, other than temporary cash investments. Purchases and sales include $5,772,757,000 and $2,536,331,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Investor Shares          
Issued 26,465 794   16,000 586
Issued in Lieu of Cash Distributions 2,460 77   7,522 282
Redeemed (46,204) (1,468)   (53,283) (2,013)
Net Increase (Decrease)—Investor Shares (17,279) (597)   (29,761) (1,145)
ETF Shares          
Issued 5,888,466 60,628   8,299,471 100,643
Issued in Lieu of Cash Distributions — —   — —
Redeemed (2,537,201) (25,900)   (9,475,854) (124,400)
Net Increase (Decrease)—ETF Shares 3,351,265 34,728   (1,176,383) (23,757)
Admiral Shares          
Issued 2,100,630 15,314   3,229,939 28,465
Issued in Lieu of Cash Distributions 257,944 1,879   688,666 6,053
Redeemed (1,819,648) (13,341)   (5,100,895) (45,719)
Net Increase (Decrease)—Admiral Shares 538,926 3,852   (1,182,290) (11,201)
22
Real Estate Index Fund
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Amount
($000) 		Shares
(000) 		  Amount
($000) 		Shares
(000)
Institutional Shares          
Issued 991,262 46,898   1,959,562 112,493
Issued in Lieu of Cash Distributions 130,864 6,163   343,567 19,520
Redeemed (1,090,163) (51,579)   (1,946,458) (110,090)
Net Increase (Decrease)—Institutional Shares 31,963 1,482   356,671 21,923
G. 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, 2021
Market Value
($000) 		Purchases
at Cost
($000) 		Proceeds
from
Securities
Sold
($000) 		Realized
Net Gain
(Loss)
($000) 		Change in
Unrealized
App. (Dep.)
($000) 		Income
($000) 		Capital Gain
Distributions
Received
($000) 		Jul. 31, 2021
Market Value
($000)
Vanguard Market Liquidity Fund 353,714 NA1 NA1 30 (31) 34 — 373,013
Vanguard Real Estate II Index Fund 7,399,530 106,864 — — 1,877,266 106,864 — 9,381,743
Total 7,753,244 106,864 — 30 1,877,235 106,898 — 9,754,756
1 Not applicable—purchases and sales are for temporary cash investment purposes.
H. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
23
Real Estate II Index Fund
Fund Allocation
As of July 31, 2021
Diversified Real Estate Activities 0.2%
Diversified REITs 3.9
Health Care REITs 8.4
Hotel & Resort REITs 2.8
Industrial REITs 10.9
Office REITs 7.1
Real Estate Development 0.3
Real Estate Operating Companies 0.2
Real Estate Services 4.0
Residential REITs 14.9
Retail REITs 9.7
Specialized REITs 37.6
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 its 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.
24
Real Estate II Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of July 31, 2021
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) (95.2%)
Diversified REITs (3.9%)
   WP Carey Inc. 1,072,485    86,539
   VEREIT Inc. 1,400,486    68,582
   STORE Capital Corp. 1,445,182    52,301
   Broadstone Net Lease Inc.   891,407    23,194
 * DigitalBridge Group Inc. 2,954,710    20,565
   Essential Properties Realty Trust Inc.   653,727    19,481
   PS Business Parks Inc.   126,032    19,367
   Washington REIT   517,115    12,561
   American Assets Trust Inc.   314,509    11,615
   iStar Inc.   451,960    10,951
   Empire State Realty Trust Inc. Class A   887,311    10,142
   Global Net Lease Inc.   547,851    10,119
   Alexander & Baldwin Inc.   443,112     8,871
   Gladstone Commercial Corp.   218,687     5,069
   Armada Hoffler Properties Inc.   363,020     4,719
   One Liberty Properties Inc.   100,808     3,084
                       367,160
Health Care REITs (8.4%)
   Welltower Inc. 2,552,155   221,680
   Ventas Inc. 2,290,892   136,950
   Healthpeak Properties Inc. 3,293,823   121,773
   Medical Properties Trust Inc. 3,535,545    74,352
   Omega Healthcare Investors Inc. 1,417,123    51,413
   Healthcare Trust of America Inc. Class A 1,337,288    38,233
   Healthcare Realty Trust Inc.   854,236    27,233
   Physicians Realty Trust 1,272,786    24,119
   Sabra Health Care REIT Inc. 1,289,067    23,964
   National Health Investors Inc.   262,363    17,901
   CareTrust REIT Inc.   586,480    14,146
   LTC Properties Inc.   240,108     9,088
          Shares Market
Value•

($000)
   Community Healthcare Trust Inc.   139,442     6,948
   Diversified Healthcare Trust 1,454,880     5,674
   Global Medical REIT Inc.   346,790     5,396
   Universal Health Realty Income Trust    84,255     5,034
   New Senior Investment Group Inc.   507,008     4,675
                       788,579
Hotel & Resort REITs (2.8%)
 * Host Hotels & Resorts Inc. 4,313,225    68,710
   MGM Growth Properties LLC Class A   920,288    34,787
 * Ryman Hospitality Properties Inc.   319,298    24,490
   Apple Hospitality REIT Inc. 1,296,196    19,378
 * Park Hotels & Resorts Inc. 1,043,149    19,298
   Pebblebrook Hotel Trust   802,691    18,053
 * Sunstone Hotel Investors Inc. 1,318,373    15,214
   RLJ Lodging Trust 1,008,669    14,474
 * Xenia Hotels & Resorts Inc.   695,249    12,292
   Service Properties Trust 1,007,519    11,214
 * DiamondRock Hospitality Co. 1,284,136    11,056
 * Summit Hotel Properties Inc.   647,542     5,834
 * Chatham Lodging Trust   287,710     3,533
 * CorePoint Lodging Inc.   248,278     3,337
                       261,670
Industrial REITs (10.9%)
   Prologis Inc. 4,521,778   578,968
   Duke Realty Corp. 2,285,495   116,286
   Rexford Industrial Realty Inc.   803,576    49,436
   Americold Realty Trust 1,212,141    47,092
   First Industrial Realty Trust Inc.   789,612    43,255
   EastGroup Properties Inc.   242,462    42,727
   STAG Industrial Inc.   968,337    40,012
25
Real Estate II Index Fund
          Shares Market
Value•

($000)
   Innovative Industrial Properties Inc.   146,269    31,446
   Terreno Realty Corp.   419,653    28,688
   Lexington Realty Trust 1,696,762    22,312
   Monmouth Real Estate Investment Corp.   571,581    10,883
   Industrial Logistics Properties Trust   399,271    10,820
                     1,021,925
Office REITs (7.1%)
   Alexandria Real Estate Equities Inc.   794,036   159,871
   Boston Properties Inc.   904,576   106,179
   Kilroy Realty Corp.   640,333    44,356
   Vornado Realty Trust   994,506    43,261
   Cousins Properties Inc.   908,242    36,075
   Douglas Emmett Inc. 1,072,722    35,829
   SL Green Realty Corp.   431,038    32,095
   Highwoods Properties Inc.   635,245    30,295
   Hudson Pacific Properties Inc.   923,462    25,174
   JBG SMITH Properties   724,032    23,625
   Corporate Office Properties Trust   685,849    20,191
   Equity Commonwealth   743,423    19,545
   Brandywine Realty Trust 1,043,246    14,564
   Piedmont Office Realty Trust Inc. Class A   757,808    14,414
   Columbia Property Trust Inc.   702,475    11,710
   Easterly Government Properties Inc.   502,019    11,396
   Paramount Group Inc. 1,071,938    10,462
   Office Properties Income Trust   295,530     8,564
 * Mack-Cali Realty Corp.   444,119     7,994
   City Office REIT Inc.   266,051     3,424
   Franklin Street Properties Corp.   624,444     3,260
                       662,284
Residential REITs (14.9%)
   AvalonBay Communities Inc.   853,154   194,374
   Equity Residential 2,164,746   182,120
   Invitation Homes Inc. 3,468,499   141,099
   Mid-America Apartment Communities Inc.   699,461   135,066
   Essex Property Trust Inc.   397,423   130,395
   Sun Communities Inc.   658,056   129,051
   UDR Inc. 1,814,987    99,806
   Camden Property Trust   596,569    89,121
   Equity LifeStyle Properties Inc. 1,058,990    88,743
   American Homes 4 Rent Class A 1,737,082    72,958
          Shares Market
Value•

($000)
   Apartment Income REIT Corp.   910,178    47,912
   American Campus Communities Inc.   841,443    42,333
 1 Independence Realty Trust Inc.   622,412    12,000
   NexPoint Residential Trust Inc.   137,818     8,124
   Centerspace    79,821     7,184
   Apartment Investment & Management Co. Class A   911,942     6,347
   UMH Properties Inc.   255,205     5,941
   Preferred Apartment Communities Inc.   305,928     3,225
                     1,395,799
Retail REITs (9.7%)
   Simon Property Group Inc. 2,008,640   254,133
   Realty Income Corp. 2,283,086   160,478
   Regency Centers Corp.   934,619    61,134
   Kimco Realty Corp. 2,644,230    56,401
   National Retail Properties Inc. 1,071,702    52,374
   Federal Realty Investment Trust   422,338    49,637
   Brixmor Property Group Inc. 1,814,382    41,767
   Spirit Realty Capital Inc.   702,163    35,263
   Agree Realty Corp.   388,002    29,158
   Weingarten Realty Investors   744,155    23,954
   Retail Properties of America Inc. Class A 1,311,996    16,544
   SITE Centers Corp.   945,758    15,000
   Macerich Co.   899,053    14,655
   Urban Edge Properties   715,350    13,592
   Retail Opportunity Investments Corp.   722,485    12,766
   Acadia Realty Trust   527,903    11,297
   Kite Realty Group Trust   515,856    10,400
   Tanger Factory Outlet Centers Inc.   572,674     9,833
   Getty Realty Corp.   227,598     7,190
   RPT Realty   497,326     6,336
   NETSTREIT Corp.   240,998     6,254
   American Finance Trust Inc. Class A   664,964     5,632
   Alexander's Inc.    14,069     3,923
   Saul Centers Inc.    86,032     3,923
   Urstadt Biddle Properties Inc. Class A   183,709     3,503
*,1 Seritage Growth Properties Class A   212,763     3,377
*,2 Spirit MTA REIT   257,871        69
                       908,593
Specialized REITs (37.5%)
   American Tower Corp. 2,717,247   768,437
 
26
Real Estate II Index Fund
          Shares Market
Value•

($000)
   Crown Castle International Corp. 2,637,310   509,238
   Equinix Inc.   545,965   447,915
   Public Storage   962,562   300,781
   Digital Realty Trust Inc. 1,713,100   264,092
   SBA Communications Corp.   668,477   227,944
   Weyerhaeuser Co. 4,572,416   154,228
   Extra Space Storage Inc.   803,213   139,872
   VICI Properties Inc. 3,281,552   102,352
   Iron Mountain Inc. 1,763,588    77,175
   Gaming & Leisure Properties Inc. 1,352,203    64,013
   CubeSmart 1,194,025    59,295
   Lamar Advertising Co. Class A   528,506    56,339
   Life Storage Inc.   461,437    54,154
   CyrusOne Inc.   736,596    52,497
   CoreSite Realty Corp.   261,451    36,135
   Rayonier Inc.   843,080    31,793
   QTS Realty Trust Inc. Class A   395,029    30,698
   National Storage Affiliates Trust   507,118    27,471
   EPR Properties   457,042    22,989
   PotlatchDeltic Corp.   409,052    21,246
 * Outfront Media Inc.   882,829    21,091
   Uniti Group Inc. 1,422,859    16,662
   Four Corners Property Trust Inc.   465,523    13,365
   Safehold Inc.    97,658     8,820
 1 GEO Group Inc.   741,210     5,129
   Gladstone Land Corp.   159,695     3,724
   CatchMark Timber Trust Inc. Class A   298,818     3,493
                     3,520,948
Total Equity Real Estate Investment Trusts (REITs) (Cost $6,634,960) 8,926,958
Real Estate Management & Development (4.6%)
Diversified Real Estate Activities (0.1%)
   St. Joe Co.   197,988     8,963
   RMR Group Inc. Class A    94,236     3,698
 * Five Point Holdings LLC Class A   359,146     3,006
                        15,667
Real Estate Development (0.3%)
 * Howard Hughes Corp.   252,658    23,424
 * Forestar Group Inc.   102,966     2,108
                        25,532
          Shares Market
Value•

($000)
Real Estate Operating Companies (0.2%)
   Kennedy-Wilson Holdings Inc.   777,559    15,699
 * FRP Holdings Inc.    37,293     2,242
                        17,941
Real Estate Services (4.0%)
 * CBRE Group Inc. Class A 2,052,133   197,949
 * Jones Lang LaSalle Inc.   312,544    69,563
 * Redfin Corp.   567,871    33,260
 * Cushman & Wakefield plc   814,608    15,209
 * eXp World Holdings Inc.   384,842    13,823
   Newmark Group Inc. Class A   972,485    12,526
 * Realogy Holdings Corp.   706,311    12,516
 * Opendoor Technologies Inc.   705,760    10,459
 * Marcus & Millichap Inc.   144,822     5,762
   RE/MAX Holdings Inc. Class A   113,722     3,901
                       374,968
Total Real Estate Management & Development (Cost $290,168) 434,108
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
3,4 Vanguard Market Liquidity Fund, 0.064%
(Cost $33,004) 		  330,055          33,006
Total Investments (100.1%)
(Cost $6,958,132) 		  9,394,072
Other Assets and Liabilities—Net (-0.1%)   (12,329)
Net Assets (100%)   9,381,743
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 $15,464,000.
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 $16,470,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
27
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)
Americold Realty Trust 1/31/22 GSI 9,840 (0.089) — (128)
Park Hotels & Resorts Inc. 1/31/22 GSI 7,532 (0.089) — (132)
          — (260)
1 Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  GSI—Goldman Sachs International.
  
See accompanying Notes, which are an integral part of the Financial Statements.
28
Real Estate II Index Fund
Statement of Assets and Liabilities
As of July 31, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $6,925,128) 9,361,066
Affiliated Issuers (Cost $33,004) 33,006
Total Investments in Securities 9,394,072
Investment in Vanguard 307
Cash 450
Receivables for Accrued Income 4,421
Total Assets 9,399,250
Liabilities  
Payables for Investment Securities Purchased 450
Collateral for Securities on Loan 16,470
Payables to Vanguard 327
Unrealized Depreciation—Over-the-Counter Swap Contracts 260
Total Liabilities 17,507
Net Assets 9,381,743
 
At July 31, 2021, net assets consisted of:

   
Paid-in Capital 7,009,289
Total Distributable Earnings (Loss) 2,372,454
Net Assets 9,381,743
   
Net Assets  
Applicable to 365,543,416 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) 		9,381,743
Net Asset Value Per Share $25.67
See accompanying Notes, which are an integral part of the Financial Statements.
29
Real Estate II Index Fund
Statement of Operations
  Six Months Ended
July 31, 2021
  ($000)
Investment Income  
Income  
Dividends 100,221
Interest1 2
Securities Lending—Net 128
Total Income 100,351
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 503
Management and Administrative 2,850
Marketing and Distribution 21
Custodian Fees 21
Shareholders’ Reports —
Trustees’ Fees and Expenses 2
Total Expenses 3,397
Net Investment Income 96,954
Realized Net Gain (Loss)  
Capital Gain Distributions Received 11,444
Investment Securities Sold1 (17,372)
Swap Contracts 397
Realized Net Gain (Loss) (5,531)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 1,891,050
Swap Contracts (260)
Change in Unrealized Appreciation (Depreciation) 1,890,790
Net Increase (Decrease) in Net Assets Resulting from Operations 1,982,213
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,000, $3,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Real Estate II Index Fund
Statement of Changes in Net Assets
  Six Months Ended
July 31,
2021 		  Year Ended
January 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 96,954   165,977
Realized Net Gain (Loss) (5,531)   (9,691)
Change in Unrealized Appreciation (Depreciation) 1,890,790   (604,377)
Net Increase (Decrease) in Net Assets Resulting from Operations 1,982,213   (448,091)
Distributions      
Net Investment Income (106,864)   (163,444)
Return of Capital —   (119,057)
Total Distributions (106,864)   (282,501)
Capital Share Transactions      
Issued —   —
Issued in Lieu of Cash Distributions 106,864   282,501
Redeemed —   —
Net Increase (Decrease) from Capital Share Transactions 106,864   282,501
Total Increase (Decrease) 1,982,213   (448,091)
Net Assets      
Beginning of Period 7,399,530   7,847,621
End of Period 9,381,743   7,399,530
See accompanying Notes, which are an integral part of the Financial Statements.
31
Real Estate II Index Fund
Financial Highlights
For a Share Outstanding
Throughout Each Period 		Six Months
Ended
July 31,
2021 		Year Ended January 31, September 26,
20171 to
January 31,
2018
2021 2020 2019  
Net Asset Value, Beginning of Period $20.50 $22.64 $20.10 $19.17 $20.00
Investment Operations          
Net Investment Income2 .267 .471 .571 .611 .268
Net Realized and Unrealized Gain (Loss) on Investments 5.198 (1.808) 2.752 1.176 (.834)
Total from Investment Operations 5.465 (1.337) 3.323 1.787 (.566)
Distributions          
Dividends from Net Investment Income (.295) (.465) (.590) (.626) (.225)
Distributions from Realized Capital Gains — — — — (.030)
Return of Capital — (.338) (.193) (.231) (.009)
Total Distributions (.295) (.803) (.783) (.857) (.264)
Net Asset Value, End of Period $25.67 $20.50 $22.64 $20.10 $19.17
Total Return 26.81% -5.70% 16.78% 9.68% -2.89%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $9,382 $7,400 $7,848 $6,719 $6,126
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08%3
Ratio of Net Investment Income to Average Net Assets 2.30% 2.41% 2.63% 3.22% 3.84%3
Portfolio Turnover Rate 2% 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.
32
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, 2021, 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. 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.
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
33
Real Estate II Index Fund
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 notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement 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.
During the six months ended July 31, 2021, 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. 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.
5. 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
34
Real Estate II Index Fund
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.
6. 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, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Distributions received from investment securities are recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. 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.
35
Real Estate II Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2021, the fund had contributed to Vanguard capital in the amount of $307,000, 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 and derivatives. 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 and derivatives 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, 2021, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 9,360,997 — 69 9,361,066
Temporary Cash Investments 33,006 — — 33,006
Total 9,394,003 — 69 9,394,072
Derivative Financial Instruments        
Liabilities        
Swap Contracts — 260 — 260
D. As of July 31, 2021, 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 6,975,609
Gross Unrealized Appreciation 2,879,939
Gross Unrealized Depreciation (461,736)
Net Unrealized Appreciation (Depreciation) 2,418,203
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, 2021, the fund had available capital losses totaling $39,799,000 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, 2022; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
36
Real Estate II Index Fund
E. During the six months ended July 31, 2021, the fund purchased $245,871,000 of investment securities and sold $148,409,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
    
  Six Months Ended
July 31, 2021 		  Year Ended
January 31, 2021
  Shares
(000) 		  Shares
(000)
Issued —   —
Issued in Lieu of Cash Distributions 4,598   14,371
Redeemed —   —
Net Increase (Decrease) in Shares Outstanding 4,598   14,371
G. Management has determined that no events or transactions occurred subsequent to July 31, 2021, that would require recognition or disclosure in these financial statements.
37
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.
Each 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; they each 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 short-term and since-inception performance of that fund compared with its target index and peer group. Each board concluded that the performance of its respective fund was such that its advisory arrangement should continue.
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.
38
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.
39
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 January 1, 2020, through December 31, 2020 (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.
40
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
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.
© 2021 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964 and 7,720,749.
Vanguard Marketing Corporation, Distributor.
Q1232 092021

 

 

 

Item 2: Code of Ethics.

 

Not applicable.

 

Item 3: Audit Committee Financial Expert.

 

Not applicable.

 

Item 4: Principal Accountant Fees and Services.

 

Not applicable.

 

Item 5: Audit Committee of Listed Registrants.

 

Not applicable.

 

Item 6: Investments.

 

 

 

 

Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
U.S. Government and Agency Obligations (11.6%)
U.S. Government Securities (11.4%)
  U.S. Treasury Note/Bond 0.125% 10/31/22 500,000 500,156
  U.S. Treasury Note/Bond 0.125% 11/30/22 500,000 500,078
1 U.S. Treasury Note/Bond 0.125% 12/31/22 500,000 500,000
  U.S. Treasury Note/Bond 0.125% 1/31/23 500,000 499,922
  U.S. Treasury Note/Bond 0.125% 2/28/23 500,000 499,844
2 U.S. Treasury Note/Bond 0.125% 10/15/23 250,000 249,492
2 U.S. Treasury Note/Bond 0.125% 12/15/23 800,000 797,750
  U.S. Treasury Note/Bond 0.125% 1/15/24 500,000 498,438
  U.S. Treasury Note/Bond 0.375% 4/15/24 600,000 601,219
3 U.S. Treasury Note/Bond 0.250% 5/15/24 400,000 399,250
  U.S. Treasury Note/Bond 1.500% 11/30/24 350,000 362,578
2 U.S. Treasury Note/Bond 0.250% 10/31/25 600,000 591,469
2 U.S. Treasury Note/Bond 0.375% 1/31/26 850,000 840,438
2 U.S. Treasury Note/Bond 0.500% 2/28/26 500,000 496,875
  U.S. Treasury Note/Bond 0.750% 3/31/26 850,000 853,984
  U.S. Treasury Note/Bond 0.625% 7/31/26 500,000 498,221
  U.S. Treasury Note/Bond 0.625% 12/31/27 180,000 176,681
  U.S. Treasury Note/Bond 0.875% 11/15/30 100,000 97,156
            8,963,551
Nonconventional Mortgage-Backed Securities (0.2%)
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.690% 2.060% 2/1/37 286 304
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.750% 2.309% 9/1/32 80 84
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.760% 2.325% 8/1/37 241 252
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.785% 2.410% 8/1/33 448 470
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.785% 2.535% 8/1/33 448 460
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.800% 2.556% 7/1/33 1,175 1,216
4,5,6 Fannie Mae Pool, 12M USD LIBOR + 1.960% 2.710% 5/1/33 74 74
4,5,6 Fannie Mae Pool, 1YR CMT + 2.000% 2.125% 12/1/32 144 148
4,5,6 Fannie Mae Pool, 1YR CMT + 2.125% 2.221% 6/1/33 629 655
4,5,6 Fannie Mae Pool, 1YR CMT + 2.185% 2.560% 7/1/32 55 56
4,5,6 Fannie Mae Pool, 1YR CMT + 2.210% 2.335% 5/1/33 814 865
4,5 Fannie Mae REMICS 2.100% 4/25/43 5,847 5,947
4,5 Fannie Mae REMICS 2.250% 7/25/43–6/25/44 9,452 9,715
4,5 Fannie Mae REMICS 2.500% 6/25/40–1/25/50 24,944 26,016
4,5 Fannie Mae REMICS 3.000% 9/25/49 10,140 10,675
4,5 Fannie Mae REMICS 3.500% 12/25/45 6,416 6,969
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750% 2.399% 8/1/37 1,023 1,079
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893% 2.393% 9/1/32 573 591
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% 2.336% 2/1/33 38 40
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% 2.461% 10/1/32 160 171
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961% 2.586% 8/1/33 348 370
4,5,6 Freddie Mac Non Gold Pool, 1YR CMT + 2.250% 2.500% 8/1/32 236 252
4,5,6 Freddie Mac Non Gold Pool, 1YR CMT + 2.250% 2.513% 8/1/32 412 427
4,5,6 Freddie Mac Non Gold Pool, 1YR CMT + 2.254% 2.379% 9/1/32 27 27
4,5 Freddie Mac REMICS 2.250% 6/15/43–6/15/44 14,955 15,332
4,5 Freddie Mac REMICS 2.500% 12/25/49 21,077 22,158
4,5 Freddie Mac REMICS 2.750% 10/25/49 6,127 6,478
4,5 Freddie Mac REMICS 3.000% 10/15/45 8,759 9,073
4,5 Freddie Mac REMICS 3.500% 12/25/49 8,687 9,293
4 Ginnie Mae 2.500% 9/20/49 6,986 7,248
4 Ginnie Mae 2.750% 3/20/46 4,855 4,942
4 Ginnie Mae 3.000% 3/20/41–12/20/47 6,091 6,328
            147,715
Total U.S. Government and Agency Obligations (Cost $9,093,602) 9,111,266
Asset-Backed/Commercial Mortgage-Backed Securities (8.2%)
4 Ally Auto Receivables Trust Class A4 Series 2019-1 3.020% 4/15/24 6,300 6,470
4 Ally Auto Receivables Trust Class A4 Series 2019-4 1.920% 1/15/25 8,150 8,351
1
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,7 American Homes 4 Rent Trust Class A Series 2014-SFR2 3.786% 10/17/36 11,886 12,613
4,7 American Homes 4 Rent Trust Class A Series 2015-SFR2 3.732% 10/17/52 6,343 6,804
4,7 American Homes 4 Rent Trust Class B Series 2014-SFR2 4.290% 10/17/36 3,360 3,584
4,7 American Homes 4 Rent Trust Class B Series 2015-SFR2 4.295% 10/17/52 2,830 3,075
4 AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2 0.340% 12/18/26 11,160 11,199
4 AmeriCredit Automobile Receivables Trust Class C Series 2020-2 1.480% 2/18/26 7,730 7,847
4 AmeriCredit Automobile Receivables Trust Class D Series 2018-2 4.010% 7/18/24 19,450 20,365
4 AmeriCredit Automobile Receivables Trust Class D Series 2019-1 3.620% 3/18/25 21,620 22,645
4 AmeriCredit Automobile Receivables Trust Class D Series 2020-2 2.130% 3/18/26 7,990 8,212
4,7 AOA Mortgage Trust Class A Series 2015-1177 2.957% 12/13/29 13,390 13,394
4,6,7 Aventura Mall Trust Class A Series 2018-AVM 4.112% 7/5/40 580 665
4,7 Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A 3.070% 9/20/23 7,640 7,834
4,7 Avis Budget Rental Car Funding AESOP LLC Class A Series 2018-2A 4.000% 3/20/25 17,935 19,374
4,7 Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-1A 3.450% 3/20/23 19,930 20,200
4,7 Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-2A 3.350% 9/22/25 14,490 15,566
4 Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS7 3.441% 9/15/48 6,999 7,506
4 Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3 3.574% 2/15/50 4,760 5,315
4,6 Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7 4.358% 9/15/48 1,600 1,602
4,6 Banc of America Funding Trust Class 2A2 Series 2006-H 3.132% 9/20/46 5,064 4,061
4 BANK Class A4 Series 2017-BNK4 3.625% 5/15/50 3,890 4,357
4 BANK Class A4 Series 2017-BNK7 3.175% 9/15/60 830 906
4 BANK Class A4 Series 2017-BNK8 3.488% 11/15/50 5,500 6,152
4 BANK Class A5 Series 2017-BNK7 3.435% 9/15/60 3,120 3,477
4 BANK Class AS Series 2017-BNK6 3.741% 7/15/60 3,080 3,414
4 BANK Class ASB Series 2018-BN14 4.185% 9/15/60 6,680 7,559
4 BANK Class ASB Series 2019-BN17 3.623% 4/15/52 7,533 8,436
4 Bank of America Credit Card Trust Class A1 Series 2021-A1 0.440% 9/15/26 12,810 12,811
4,6 Bank of America Mortgage Trust Class A2 Series 2002-J 3.601% 9/25/32 14 13
4,6 Bear Stearns ARM Trust Class 1A1 Series 2007-3 3.164% 5/25/47 6,004 5,874
4,6 Bear Stearns ARM Trust Class 2A1 Series 2006-4 2.852% 10/25/36 6,909 6,334
4 Benchmark Mortgage Trust Class A5 Series 2020-B16 2.732% 2/15/53 17,390 18,641
4,6 Benchmark Mortgage Trust Class AM Series 2018-B1 3.878% 1/15/51 5,990 6,683
4 Benchmark Mortgage Trust Class ASB Series 2019-B10 3.615% 3/15/62 8,042 8,994
4,6 Brazos Higher Education Authority Inc. Class A2 Series 2011-1, 3M USD LIBOR + 0.800% 0.947% 2/25/30 9,197 9,234
4,7 Canadian Pacer Auto Receivables Trust Class A3 Series 2018-2A 3.270% 12/19/22 930 934
4,7 Canadian Pacer Auto Receivables Trust Class A3 Series 2020-1A 1.830% 7/19/24 31,730 32,117
4,7 Canadian Pacer Auto Receivables Trust Class A4 Series 2018-2A 3.440% 8/21/23 2,080 2,119
4,7 Canadian Pacer Auto Receivables Trust Class A4 Series 2019-1A 2.960% 6/19/24 4,170 4,293
4,7 Canadian Pacer Auto Receivables Trust Class A4 Series 2020-1A 1.890% 3/19/25 6,810 6,930
4 Capital One Multi-Asset Execution Trust Class A1 Series 2021-A1 0.550% 7/15/26 55,900 55,972
4 Capital One Prime Auto Receivables Trust Class A3 Series 2019-1 2.510% 11/15/23 22,698 22,936
4 Capital One Prime Auto Receivables Trust Class A3 Series 2020-1 1.600% 11/15/24 104,270 105,569
4 Capital One Prime Auto Receivables Trust Class A4 Series 2019-1 2.560% 10/15/24 13,130 13,515
4 Capital One Prime Auto Receivables Trust Class A4 Series 2020-1 1.630% 8/15/25 25,320 25,955
4,7 CARDS II Trust Class A Series 2021-1A 0.602% 4/15/27 45,710 45,743
4 CarMax Auto Owner Trust Class A3 Series 2019-4 2.020% 11/15/24 49,210 49,960
4 CarMax Auto Owner Trust Class A3 Series 2021-3 0.550% 6/15/26 36,480 36,495
4 CarMax Auto Owner Trust Class A4 Series 2018-4 3.480% 2/15/24 6,780 7,018
4 CarMax Auto Owner Trust Class A4 Series 2019-3 2.300% 4/15/25 7,570 7,837
4 CarMax Auto Owner Trust Class A4 Series 2019-4 2.130% 7/15/25 13,790 14,275
4 CarMax Auto Owner Trust Class A4 Series 2020-1 2.030% 6/16/25 12,860 13,308
4 CarMax Auto Owner Trust Class B Series 2017-4 2.460% 8/15/23 4,830 4,868
4 CarMax Auto Owner Trust Class B Series 2018-2 3.370% 10/16/23 4,755 4,868
4 CarMax Auto Owner Trust Class B Series 2018-4 3.670% 5/15/24 5,940 6,208
4 CarMax Auto Owner Trust Class B Series 2019-3 2.500% 4/15/25 9,610 9,974
4 CarMax Auto Owner Trust Class B Series 2020-3 1.090% 3/16/26 7,740 7,812
4 CarMax Auto Owner Trust Class C Series 2017-4 2.700% 10/16/23 4,830 4,872
4 CarMax Auto Owner Trust Class C Series 2018-1 2.950% 11/15/23 6,170 6,257
4 CarMax Auto Owner Trust Class C Series 2018-2 3.570% 12/15/23 6,860 7,033
4 CarMax Auto Owner Trust Class C Series 2018-4 3.850% 7/15/24 4,030 4,215
2
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 CarMax Auto Owner Trust Class C Series 2019-4 2.600% 9/15/25 4,240 4,415
4 CarMax Auto Owner Trust Class C Series 2020-3 1.690% 4/15/26 4,840 4,949
4 CarMax Auto Owner Trust Class C Series 2020-4 1.300% 8/17/26 6,190 6,227
4 CarMax Auto Owner Trust Class C Series 2021-3 1.250% 5/17/27 8,400 8,407
4 CarMax Auto Owner Trust Class D Series 2018-2 3.990% 4/15/25 5,300 5,437
4 CarMax Auto Owner Trust Class D Series 2018-4 4.150% 4/15/25 2,730 2,851
4 CD Mortgage Trust Class A4 Series 2016-CD1 2.724% 8/10/49 3,650 3,913
4 CD Mortgage Trust Class A4 Series 2017-CD3 3.631% 2/10/50 5,355 5,967
4,6 CD Mortgage Trust Class A4 Series 2017-CD4 3.514% 5/10/50 6,310 7,005
4 CD Mortgage Trust Class A5 Series 2017-CD6 3.456% 11/13/50 6,715 7,449
4,6 CD Mortgage Trust Class C Series 2016-CD1 3.631% 8/10/49 6,299 6,628
4 CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4 3.283% 5/10/58 5,064 5,490
4,6,7 CFCRE Commercial Mortgage Trust Class AJ Series 2011-C2 5.776% 12/15/47 14,658 14,718
4,7 Chesapeake Funding II LLC Class A1 Series 2019-1A 2.940% 4/15/31 15,509 15,633
4,6 CHL Mortgage Class 1A1 Series 2006-HYB1 Pass-Through Trust 2.629% 3/20/36 4,002 3,421
4,6 CHL Mortgage Class 3A1 Series 2007-HYB2 Pass-Through Trust 2.850% 2/25/47 4,553 3,663
4 Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC23 3.356% 7/10/47 7,352 7,765
4 Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC25 3.372% 10/10/47 16,334 17,342
4 Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8 3.203% 9/15/50 2,641 2,861
4 Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC11 3.093% 4/10/46 6,350 6,578
4,6 Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC15 4.371% 9/10/46 3,786 4,061
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC19 4.023% 3/10/47 19,843 21,297
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC21 3.575% 5/10/47 2,913 3,052
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC23 3.622% 7/10/47 25,685 27,618
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC25 3.635% 10/10/47 12,858 13,855
4 Citigroup Commercial Mortgage Trust Class A4 Series 2015-GC31 3.762% 6/10/48 25,297 27,751
4 Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4 3.471% 10/12/50 4,800 5,333
4 Citigroup Commercial Mortgage Trust Class A4 Series 2017-P8 3.465% 9/15/50 4,683 5,227
4,6 Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5 4.228% 6/10/51 4,260 4,947
4 Citigroup Commercial Mortgage Trust Class A5 Series 2014-GC21 3.855% 5/10/47 10,000 10,799
4 Citigroup Commercial Mortgage Trust Class A5 Series 2015-GC27 3.137% 2/10/48 38,271 40,810
4 Citigroup Commercial Mortgage Trust Class AS Series 2014-GC23 3.863% 7/10/47 12,426 13,357
4,6 Citigroup Commercial Mortgage Trust Class B Series 2014-GC23 4.175% 7/10/47 5,394 5,798
4 Citigroup Commercial Mortgage Trust Class B Series 2017-P8 4.192% 9/15/50 9,500 10,567
4,6 Citigroup Commercial Mortgage Trust Class C Series 2014-GC23 4.430% 7/10/47 4,380 4,746
4,6 Citigroup Commercial Mortgage Trust Class C Series 2015-GC33 4.573% 9/10/58 4,000 4,047
4,6 Citigroup Commercial Mortgage Trust Class C Series 2017-P8 4.266% 9/15/50 2,200 2,445
4,6 Citigroup Mortgage Loan Trust Class 2A1A Series 2007-AR8 2.993% 7/25/37 299 280
4 COMM Mortgage Trust Class A2 Series 2014-CR15 2.928% 2/10/47 408 408
4 COMM Mortgage Trust Class A3 Series 2012-CR4 2.853% 10/15/45 10,904 11,083
4 COMM Mortgage Trust Class A3 Series 2013-CR11 3.983% 8/10/50 13,316 14,154
4 COMM Mortgage Trust Class A3 Series 2013-CR12 3.765% 10/10/46 7,416 7,788
4 COMM Mortgage Trust Class A3 Series 2014-CR14 3.955% 2/10/47 1,915 2,037
4 COMM Mortgage Trust Class A3 Series 2014-CR20 3.326% 11/10/47 17,593 18,633
4 COMM Mortgage Trust Class A4 Series 2012-CR5 2.771% 12/10/45 2,640 2,707
4 COMM Mortgage Trust Class A4 Series 2013-CR11 4.258% 8/10/50 7,275 7,802
4 COMM Mortgage Trust Class A4 Series 2013-CR12 4.046% 10/10/46 8,502 9,090
4,6 COMM Mortgage Trust Class A4 Series 2013-CR13 4.194% 11/10/46 3,617 3,894
4 COMM Mortgage Trust Class A4 Series 2013-CR8 3.334% 6/10/46 278 284
4,6 COMM Mortgage Trust Class A4 Series 2013-CR9 4.246% 7/10/45 12,916 13,693
4 COMM Mortgage Trust Class A4 Series 2013-LC6 2.941% 1/10/46 3,142 3,222
4,6 COMM Mortgage Trust Class A4 Series 2014-CR14 4.236% 2/10/47 18,995 20,487
4,6 COMM Mortgage Trust Class A4 Series 2014-CR15 4.074% 2/10/47 20,250 21,828
4 COMM Mortgage Trust Class A4 Series 2014-CR17 3.700% 5/10/47 1,772 1,894
4 COMM Mortgage Trust Class A4 Series 2014-CR18 3.550% 7/15/47 8,255 8,716
4 COMM Mortgage Trust Class A4 Series 2015-CR25 3.759% 8/10/48 15,527 17,144
4 COMM Mortgage Trust Class A4 Series 2015-CR26 3.630% 10/10/48 22,007 24,207
4 COMM Mortgage Trust Class A4 Series 2015-CR27 3.612% 10/10/48 11,974 13,157
4 COMM Mortgage Trust Class A4 Series 2015-LC19 3.183% 2/10/48 9,930 10,673
4,6 COMM Mortgage Trust Class A5 Series 2013-CR8 3.612% 6/10/46 8,199 8,611
4 COMM Mortgage Trust Class A5 Series 2013-LC13 4.205% 8/10/46 13,223 14,060
3
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 COMM Mortgage Trust Class A5 Series 2014-CR17 3.977% 5/10/47 12,668 13,721
4 COMM Mortgage Trust Class A5 Series 2014-CR18 3.828% 7/15/47 30,571 33,125
4 COMM Mortgage Trust Class A5 Series 2014-LC17 3.917% 10/10/47 11,922 13,003
4 COMM Mortgage Trust Class A5 Series 2015-CR22 3.309% 3/10/48 36,015 38,945
4 COMM Mortgage Trust Class A5 Series 2015-CR24 3.696% 8/10/48 11,921 13,102
4 COMM Mortgage Trust Class AM Series 2012-CR2 3.791% 8/15/45 4,100 4,173
4 COMM Mortgage Trust Class AM Series 2012-CR4 3.251% 10/15/45 1,990 2,007
4,7 COMM Mortgage Trust Class AM Series 2013-CR6 3.147% 3/10/46 17,360 17,809
4,6,7 COMM Mortgage Trust Class AM Series 2013-CR9 4.270% 7/10/45 11,250 11,636
4,6,7 COMM Mortgage Trust Class AM Series 2013-LC13 4.557% 8/10/46 18,565 19,873
4,6 COMM Mortgage Trust Class AM Series 2014-CR15 4.426% 2/10/47 13,450 14,548
4 COMM Mortgage Trust Class AM Series 2014-CR17 4.174% 5/10/47 27,380 29,502
4,7 COMM Mortgage Trust Class B Series 2013-CR6 3.397% 3/10/46 2,380 2,440
4,6,7 COMM Mortgage Trust Class C Series 2013-CR9 4.270% 7/10/45 12,690 11,425
4,6 COMM Mortgage Trust Class C Series 2015-CR27 4.450% 10/10/48 8,118 8,820
4 CSAIL Commercial Mortgage Trust Class A4 Series 2015-C2 3.504% 6/15/57 18,210 19,750
4 CSAIL Commercial Mortgage Trust Class A4 Series 2015-C4 3.808% 11/15/48 41,832 46,204
4 CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7 3.502% 11/15/49 5,173 5,691
4,6 CSAIL Commercial Mortgage Trust Class C Series 2015-C3 4.370% 8/15/48 10,600 9,777
4 DBGS Mortgage Trust Class A4 Series 2018-C1 4.466% 10/15/51 13,990 16,556
4 DBJPM Mortgage Trust Class A5 Series 2017-C6 3.328% 6/10/50 3,540 3,921
4,7 DLL LLC Class A4 Series 2019-MT3 2.150% 9/21/26 5,810 5,913
4,7 DLLAD LLC Class A3 Series 2021-1A 0.640% 9/21/26 13,750 13,745
4 Drive Auto Receivables Trust Class C Series 2018-5 3.990% 1/15/25 14,937 15,104
4 Drive Auto Receivables Trust Class C Series 2020-2 2.280% 8/17/26 5,790 5,945
4 Drive Auto Receivables Trust Class C Series 2021-1 1.020% 6/15/27 15,990 16,081
4 Drive Auto Receivables Trust Class D Series 2017-1 3.840% 3/15/23 199 199
4 Drive Auto Receivables Trust Class D Series 2018-3 4.300% 9/16/24 12,159 12,409
4 Drive Auto Receivables Trust Class D Series 2018-5 4.300% 4/15/26 26,460 27,487
4 Drive Auto Receivables Trust Class D Series 2019-2 3.690% 8/17/26 15,870 16,474
4 Drive Auto Receivables Trust Class D Series 2019-4 2.700% 2/16/27 5,010 5,165
4 Drive Auto Receivables Trust Class D Series 2020-1 2.700% 5/17/27 5,010 5,149
4 Drive Auto Receivables Trust Class D Series 2020-2 3.050% 5/15/28 6,160 6,415
4,6,7 Edsouth Indenture No. 9 LLC Class A Series 2015-1, 1M USD LIBOR + 0.800% 0.889% 10/25/56 10,464 10,514
4,6,7 EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A 3.580% 11/25/38 5,625 5,837
4,7 Enterprise Fleet Financing LLC Class A2 Series 2020-1 1.780% 12/22/25 15,602 15,792
4,7 Enterprise Fleet Financing LLC Class A2 Series 2021-1 0.440% 12/21/26 7,150 7,157
4,7 Enterprise Fleet Financing LLC Class A2 Series 2021-2 0.480% 5/20/27 23,940 23,941
4,7 Fair Square Issuance Trust Class A Series 2020-AA 2.900% 9/20/24 14,400 14,539
4,6 First Horizon Mortgage Class 1A1 Series 2006-AR3 Pass-Through Trust 2.631% 11/25/36 2,489 1,915
4,6 First Horizon Mortgage Class 1A1 Series 2006-AR4 Pass-Through Trust 2.884% 1/25/37 4,780 3,430
4,7 FirstKey Homes Trust Class A Series 2020-SFR2 1.266% 10/19/37 11,674 11,695
4 Ford Credit Auto Lease Trust Class B Series 2020-B 1.000% 11/15/23 14,470 14,616
4 Ford Credit Auto Lease Trust Class C Series 2021-A 0.780% 9/15/25 6,990 6,980
4,7 Ford Credit Auto Owner Trust Class A Series 2018-1 3.190% 7/15/31 87,670 94,604
4,7 Ford Credit Auto Owner Trust Class A Series 2020-1 2.040% 8/15/31 21,100 22,014
4 Ford Credit Auto Owner Trust Class A4 Series 2019-A 2.850% 8/15/24 26,820 27,777
4,7 Ford Credit Auto Owner Trust Class B Series 2018-1 3.340% 7/15/31 20,100 21,665
4,7 Ford Credit Auto Owner Trust Class B Series 2020-1 2.290% 8/15/31 20,070 20,929
4,7 Ford Credit Auto Owner Trust Class B Series 2020-2 1.490% 4/15/33 6,100 6,182
4 Ford Credit Auto Owner Trust Class B Series 2020-B 1.190% 1/15/26 15,500 15,701
4,7 Ford Credit Auto Owner Trust Class C Series 2017-2 2.750% 3/15/29 13,976 14,325
4,7 Ford Credit Auto Owner Trust Class C Series 2018-2 3.760% 1/15/30 5,365 5,671
4 Ford Credit Auto Owner Trust Class C Series 2019-A 3.250% 9/15/25 10,980 11,446
4,7 Ford Credit Auto Owner Trust Class C Series 2020-1 2.540% 8/15/31 7,484 7,845
4 Ford Credit Auto Owner Trust Class C Series 2020-B 2.040% 12/15/26 8,650 8,894
4 Ford Credit Auto Owner Trust Class C Series 2020-C 1.040% 5/15/28 4,930 4,972
4,7 Ford Credit Auto Owner Trust Class C Series 2021-1 1.910% 10/17/33 6,400 6,472
4 Ford Credit Floorplan Master Owner Trust Class A1 Series 2019-3 2.230% 9/15/24 15,159 15,495
4 Ford Credit Floorplan Master Owner Trust Class D Series 2020-1 2.120% 9/15/25 5,350 5,479
4
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,5,6,7 Freddie Mac STACR REMIC Trust Class M1 Series 2020-DNA2, 1M USD LIBOR + 0.750% 0.839% 2/25/50 3,433 3,434
4 GM Financial Automobile Leasing Trust Class A4 Series 2021-2 0.410% 5/20/25 6,110 6,106
4 GM Financial Automobile Leasing Trust Class B Series 2020-1 1.840% 12/20/23 14,540 14,750
4 GM Financial Automobile Leasing Trust Class B Series 2021-1 0.750% 5/17/27 3,250 3,232
4 GM Financial Automobile Leasing Trust Class B Series 2021-2 0.690% 5/20/25 11,690 11,690
4 GM Financial Automobile Leasing Trust Class C Series 2020-2 2.560% 7/22/24 4,545 4,689
4 GM Financial Automobile Leasing Trust Class C Series 2021-1 1.040% 5/17/27 2,150 2,150
4 GM Financial Automobile Leasing Trust Class C Series 2021-2 1.010% 5/20/25 11,140 11,135
4 GM Financial Automobile Leasing Trust Class D Series 2020-1 2.280% 6/20/24 6,680 6,792
4 GM Financial Automobile Leasing Trust Class D Series 2020-2 3.210% 12/20/24 6,470 6,720
4 GM Financial Consumer Automobile Receivables Trust 2 Class C Series 2021-2 1.280% 1/19/27 7,030 7,077
4 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-2 0.510% 4/16/26 12,710 12,753
4 GM Financial Consumer Automobile Receivables Trust Class A3 Series 2021-3 0.480% 6/16/26 24,320 24,375
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2019-4 1.760% 1/16/25 5,070 5,183
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-2 0.820% 10/16/26 10,500 10,521
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2021-3 0.730% 8/16/27 14,240 14,308
4 GM Financial Consumer Automobile Receivables Trust Class B Series 2020-3 0.810% 1/16/26 5,700 5,693
4 GM Financial Consumer Automobile Receivables Trust Class B Series 2020-4 0.730% 3/16/26 7,010 6,959
4 GM Financial Consumer Automobile Receivables Trust Class B Series 2021-2 1.090% 12/16/26 7,270 7,326
4 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-3 1.370% 1/16/26 2,200 2,230
4 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4 1.050% 5/18/26 2,710 2,715
4 GM Financial Consumer Automobile Receivables Trust Class D Series 2020-3 1.910% 9/16/27 3,400 3,478
4,6 GMACM Mortgage Loan Trust Class 3A1 Series 2005-AR6 2.999% 11/19/35 821 758
4,7 GMF Floorplan Owner Revolving Trust Class A Series 2020-2 0.690% 10/15/25 46,850 46,999
4,7 GMF Floorplan Owner Revolving Trust Class B Series 2020-1 1.030% 8/15/25 3,940 3,975
4,7 GMF Floorplan Owner Revolving Trust Class B Series 2020-2 0.960% 10/15/25 8,220 8,278
4,7 GMF Floorplan Owner Revolving Trust Class C Series 2020-1 1.480% 8/15/25 3,210 3,254
4,7 GMF Floorplan Owner Revolving Trust Class C Series 2020-2 1.310% 10/15/25 5,800 5,835
4,7 Golden Credit Card Trust Class A Series 2018-4A 3.440% 8/15/25 24,560 26,054
4,6,7 Gosforth Funding plc Class A1 Series 2018-1A, 3M USD LIBOR + 0.450% 0.597% 8/25/60 3,531 3,535
4,7 GreatAmerica Leasing Receivables Funding LLC Class A4 Series 2019-1 3.210% 2/18/25 5,260 5,414
4,6 GS Mortgage Securities Corp. II Class A5 Series 2018-GS10 4.155% 7/10/51 3,865 4,486
4 GS Mortgage Securities Trust Class A3 Series 2015-GC34 3.244% 10/10/48 9,961 10,567
4 GS Mortgage Securities Trust Class A3 Series 2017-GS6 3.433% 5/10/50 2,501 2,776
4 GS Mortgage Securities Trust Class A4 Series 2013-GC12 3.135% 6/10/46 13,060 13,593
4 GS Mortgage Securities Trust Class A4 Series 2013-GC14 3.955% 8/10/46 21,631 22,434
4 GS Mortgage Securities Trust Class A4 Series 2014-GC26 3.364% 11/10/47 19,174 20,288
4 GS Mortgage Securities Trust Class A4 Series 2015-GC28 3.136% 2/10/48 38,431 40,655
4 GS Mortgage Securities Trust Class A4 Series 2015-GC30 3.382% 5/10/50 12,225 13,223
4 GS Mortgage Securities Trust Class A4 Series 2015-GC32 3.764% 7/10/48 4,636 5,097
4 GS Mortgage Securities Trust Class A4 Series 2015-GC34 3.506% 10/10/48 17,922 19,557
4 GS Mortgage Securities Trust Class A4 Series 2016-GS3 2.850% 10/10/49 11,930 12,839
4,6 GS Mortgage Securities Trust Class A4 Series 2018-GS9 3.992% 3/10/51 4,990 5,722
4 GS Mortgage Securities Trust Class A4 Series 2019-GC40 3.160% 7/10/52 3,920 4,326
4,6 GS Mortgage Securities Trust Class A5 Series 2013-GC13 4.052% 7/10/46 22,934 24,314
4 GS Mortgage Securities Trust Class A5 Series 2014-GC20 3.998% 4/10/47 13,757 14,739
4 GS Mortgage Securities Trust Class A5 Series 2014-GC24 3.931% 9/10/47 33,925 36,860
4 GS Mortgage Securities Trust Class A5 Series 2014-GC26 3.629% 11/10/47 16,700 18,057
4 GS Mortgage Securities Trust Class A5 Series 2015-GC28 3.396% 2/10/48 35,733 38,416
5
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,7 GS Mortgage Securities Trust Class AS Series 2012-GC6 4.948% 1/10/45 1,000 1,008
4 GS Mortgage Securities Trust Class AS Series 2014-GC20 4.258% 4/10/47 1,410 1,519
4,6 GS Mortgage Securities Trust Class AS Series 2014-GC24 4.162% 9/10/47 13,246 14,355
4,6 GS Mortgage Securities Trust Class B Series 2013-GC12 3.777% 6/10/46 5,350 5,567
4,6 GS Mortgage Securities Trust Class B Series 2014-GC24 4.515% 9/10/47 10,665 11,161
4,6,7 GS Mortgage Securities Trust Class C Series 2013-GC13 4.085% 7/10/46 5,650 5,549
4,6 GS Mortgage Securities Trust Class C Series 2014-GC24 4.536% 9/10/47 17,556 16,666
4,6 GS Mortgage Securities Trust Class C Series 2015-GC34 4.648% 10/10/48 12,080 12,837
4,7 Harley Marine Financing LLC Class A2 Series 2018-1A 5.682% 5/15/43 8,302 8,060
4 Harley-Davidson Motorcycle Trust Class A3 Series 2019-A 2.340% 2/15/24 3,598 3,629
4 Harley-Davidson Motorcycle Trust Class A3 Series 2020-A 1.870% 10/15/24 24,315 24,547
4 Harley-Davidson Motorcycle Trust Class A4 Series 2019-A 2.390% 11/15/26 9,060 9,297
4 Harley-Davidson Motorcycle Trust Class A4 Series 2019-A 1.930% 4/15/27 8,270 8,503
4,7 Hertz Vehicle Financing LLC Class A Series 2021-1A 1.210% 12/26/25 16,040 16,125
4,7 Hertz Vehicle Financing LLC Class B Series 2021-1A 1.560% 12/26/25 13,010 13,079
4,7 Hertz Vehicle Financing LLC Class C Series 2021-1A 2.050% 12/26/25 6,150 6,193
4,7 Hilton USA Trust Class A Series 2016-HHV 3.719% 11/5/38 3,950 4,365
4 Honda Auto Receivables Owner Trust Class A3 Series 2021-2 0.330% 8/15/25 30,110 30,092
4 Honda Auto Receivables Owner Trust Class A4 Series 2018-3 3.070% 11/21/24 5,460 5,520
4 Honda Auto Receivables Owner Trust Class A4 Series 2019-3 1.850% 8/15/25 4,730 4,831
4 Honda Auto Receivables Owner Trust Class A4 Series 2021-2 0.550% 8/16/27 12,340 12,336
4,7 HPEFS Equipment Trust Class A3 Series 2019-1A 2.210% 9/20/29 1,269 1,271
4,7 HPEFS Equipment Trust Class A3 Series 2020-1A 1.760% 2/20/30 20,400 20,574
4,7 HPEFS Equipment Trust Class B Series 2019-1A 2.320% 9/20/29 6,820 6,867
4,7 HPEFS Equipment Trust Class B Series 2020-1A 1.890% 2/20/30 8,400 8,514
4,7 HPEFS Equipment Trust Class C Series 2019-1A 2.490% 9/20/29 3,800 3,855
4,7 HPEFS Equipment Trust Class D Series 2019-1A 2.720% 9/20/29 1,700 1,734
4,7 Hudsons Bay Simon JV Trust Class A7 Series 2015-HB7 3.914% 8/5/34 14,750 13,464
4,7 Hyundai Auto Lease Securitization Trust Class A4 Series 2021-B 0.380% 8/15/25 6,950 6,948
4 Hyundai Auto Receivables Trust Class A3 Series 2019-B 1.940% 2/15/24 9,268 9,358
4 Hyundai Auto Receivables Trust Class A3 Series 2021-B 0.380% 1/15/26 45,470 45,686
4 Hyundai Auto Receivables Trust Class A4 Series 2019-B 2.000% 4/15/25 12,600 12,969
4 Hyundai Auto Receivables Trust Class A4 Series 2021-B 0.600% 2/16/27 21,480 21,653
4 Hyundai Auto Receivables Trust Class B Series 2019-A 2.940% 5/15/25 5,655 5,866
4 Hyundai Auto Receivables Trust Class B Series 2019-B 2.210% 4/15/25 3,600 3,727
4 Hyundai Auto Receivables Trust Class B Series 2020-B 0.940% 12/15/25 3,870 3,882
4 Hyundai Auto Receivables Trust Class B Series 2020-C 0.810% 11/16/26 8,220 8,191
4 Hyundai Auto Receivables Trust Class B Series 2021-A 1.090% 5/17/27 8,510 8,534
4 Hyundai Auto Receivables Trust Class B Series 2021-B 0.910% 2/16/27 7,900 8,001
4 Hyundai Auto Receivables Trust Class C Series 2020-B 1.600% 12/15/26 4,840 4,917
4 Hyundai Auto Receivables Trust Class C Series 2020-C 1.080% 12/15/27 7,250 7,294
4 Hyundai Auto Receivables Trust Class C Series 2021-A 1.330% 11/15/27 12,395 12,488
4 Hyundai Auto Receivables Trust Class C Series 2021-B 1.120% 2/15/28 8,400 8,523
4,6,7 Invitation Homes Trust Class A Series 2017-SFR2, 1M USD LIBOR + 0.850% 0.939% 12/17/36 26,119 26,136
4,6,7 Invitation Homes Trust Class A Series 2018-SFR1, 1M USD LIBOR + 0.700% 0.789% 3/17/37 35,364 35,262
4,6,7 Invitation Homes Trust Class B Series 2017-SFR2, 1M USD LIBOR + 1.150% 1.239% 12/17/36 9,955 9,945
4,6,7 Invitation Homes Trust Class B Series 2018-SFR1, 1M USD LIBOR + 0.950% 1.039% 3/17/37 9,890 9,879
4,7 JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2010-C2 4.070% 11/15/43 729 731
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2012-C6 3.507% 5/15/45 12,213 12,405
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2013-C16 3.881% 12/15/46 2,321 2,437
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C13 3.994% 1/15/46 3,815 4,023
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C16 4.166% 12/15/46 1,680 1,800
6
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2012-LC9 2.840% 12/15/47 25,014 25,531
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2013-LC11 2.960% 4/15/46 3,586 3,708
4 JP Morgan Chase Commercial Mortgage Securities Trust Class AS Series 2013-C16 4.517% 12/15/46 14,600 15,689
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class B Series 2013-C16 4.957% 12/15/46 21,150 22,591
4,6,7 JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2010-C2 5.683% 11/15/43 6,225 6,209
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C13 4.077% 1/15/46 5,450 5,714
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C16 5.022% 12/15/46 9,770 10,053
4,6,7 JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2 5.683% 11/15/43 7,100 6,172
4 JPMBB Commercial Mortgage Securities Trust Class A3 Series 2014-C26 3.231% 1/15/48 27,722 29,375
4 JPMBB Commercial Mortgage Securities Trust Class A3 Series 2015-C31 3.801% 8/15/48 21,082 23,091
4,6 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C14 4.133% 8/15/46 10,455 10,949
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C17 4.199% 1/15/47 1,860 2,002
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C19 3.997% 4/15/47 1,975 2,122
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C26 3.494% 1/15/48 10,000 10,822
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C27 3.179% 2/15/48 17,150 18,347
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C30 3.551% 7/15/48 23,680 25,619
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C33 3.770% 12/15/48 22,187 24,620
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C12 3.664% 7/15/45 2,866 3,003
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C15 4.131% 11/15/45 2,900 3,102
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C18 4.079% 2/15/47 28,340 30,486
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C24 3.639% 11/15/47 10,982 11,867
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2015-C32 3.598% 11/15/48 12,364 13,419
4,6 JPMBB Commercial Mortgage Securities Trust Class AS Series 2013-C12 4.038% 7/15/45 7,520 7,916
4,6 JPMBB Commercial Mortgage Securities Trust Class AS Series 2014-C18 4.439% 2/15/47 12,950 13,925
4,6 JPMBB Commercial Mortgage Securities Trust Class AS Series 2015-C30 4.226% 7/15/48 15,901 17,575
4,6 JPMBB Commercial Mortgage Securities Trust Class B Series 2014-C18 4.800% 2/15/47 13,200 13,909
4,6 JPMBB Commercial Mortgage Securities Trust Class C Series 2014-C18 4.800% 2/15/47 5,850 5,707
4 JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6 3.224% 7/15/50 6,030 6,579
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5 3.723% 3/15/50 5,970 6,700
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP6 3.490% 7/15/50 2,522 2,803
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP7 3.454% 9/15/50 2,500 2,781
4 JPMDB Commercial Mortgage Securities Trust Class A3 Series 2016-C4 3.141% 12/15/49 6,430 7,036
4 JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8 4.211% 6/15/51 4,000 4,641
4 JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7 3.409% 10/15/50 5,693 6,348
4,6,7 Lanark Master Issuer plc Class 1A Series 2020-1A 2.277% 12/22/69 9,405 9,620
4,7 Laurel Road Prime Student Loan Trust Class A2B Series 2017-C 2.810% 11/25/42 6,430 6,574
4,7 Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B 3.540% 5/26/43 8,671 8,939
4,7 Master Credit Card Trust Class A Series 2021-1A 0.530% 11/21/25 44,340 44,395
4,6 MASTR Adjustable Rate Mortgages Trust Class 5A1 Series 2004-3 1.877% 4/25/34 119 111
4 Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B 0.400% 11/15/24 24,820 24,839
4 Mercedes-Benz Auto Lease Trust Class A4 Series 2021-B 0.510% 3/15/27 13,030 13,054
4 Mercedes-Benz Auto Receivables Trust Class A4 Series 2019-1 2.040% 1/15/26 17,090 17,506
4,6 Merrill Lynch Mortgage Investors Trust MLMI Class 2A Series 2003-A4 2.444% 7/25/33 224 244
4,6 Merrill Lynch Mortgage Investors Trust MLMI Class 2A2 Series 2003-A2, 6M USD LIBOR + 1.500% 1.661% 2/25/33 462 441
4,7 MMAF Equipment Finance LLC Class A4 Series 2018-A 3.390% 1/10/25 6,680 6,850
4,7 MMAF Equipment Finance LLC Class A5 Series 2015-AA 2.490% 2/19/36 5,271 5,310
4,7 MMAF Equipment Finance LLC Class A5 Series 2018-A 3.610% 3/10/42 3,580 3,823
4,7 MMAF Equipment Finance LLC Class A5 Series 2019-A 3.080% 11/12/41 6,400 6,784
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2013-C11 3.960% 8/15/46 8,093 8,397
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2014-C15 3.773% 4/15/47 32,330 34,347
7
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C23 3.451% 7/15/50 9,280 9,993
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C24 3.479% 5/15/48 19,960 21,514
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2012-C6 2.858% 11/15/45 4,356 4,437
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C10 4.080% 7/15/46 28,493 30,038
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C11 4.154% 8/15/46 24,216 25,340
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C12 4.259% 10/15/46 3,830 4,080
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C13 4.039% 11/15/46 8,300 8,882
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C7 2.918% 2/15/46 6,400 6,575
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C9 3.102% 5/15/46 4,025 4,165
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C15 4.051% 4/15/47 11,920 12,848
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C18 3.923% 10/15/47 13,400 14,574
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C19 3.526% 12/15/47 23,220 25,059
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C20 3.249% 2/15/48 37,941 40,662
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C23 3.719% 7/15/50 18,458 20,241
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C29 3.325% 5/15/49 9,789 10,607
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C32 3.720% 12/15/49 28,249 31,686
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34 3.536% 11/15/52 2,475 2,768
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C14 4.064% 2/15/47 16,600 17,844
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C16 3.892% 6/15/47 21,398 23,082
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C17 3.741% 8/15/47 16,794 18,123
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2015-C25 3.635% 10/15/48 8,498 9,358
4 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2013-C7 3.214% 2/15/46 2,940 3,025
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C14 4.384% 2/15/47 17,500 18,820
4 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C16 4.094% 6/15/47 9,540 10,259
4 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C17 4.011% 8/15/47 7,460 8,030
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class B Series 2014-C16 4.334% 6/15/47 22,920 23,836
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10 4.080% 7/15/46 3,372 2,970
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15 4.899% 4/15/47 1,895 1,972
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C16 4.767% 6/15/47 12,300 12,275
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2016-C29 4.733% 5/15/49 2,210 2,351
4 Morgan Stanley Capital I Class A4 Series 2017-HR2 3.587% 12/15/50 6,765 7,576
4 Morgan Stanley Capital I Class ASB Series 2017-HR2 3.509% 12/15/50 5,420 5,916
4,7 Morgan Stanley Capital I Trust Class A Series 2014-150E 3.912% 9/9/32 15,955 17,151
4,7 Morgan Stanley Capital I Trust Class A Series 2015-420 3.727% 10/12/50 15,360 16,393
8
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 Morgan Stanley Capital I Trust Class A4 Series 2015-UBS8 3.809% 12/15/48 41,942 46,425
4 Morgan Stanley Capital I Trust Class A4 Series 2016-BNK2 3.049% 11/15/49 11,960 13,024
4 Morgan Stanley Capital I Trust Class A4 Series 2016-UB11 2.782% 8/15/49 5,621 6,033
4 Morgan Stanley Capital I Trust Class AS Series 2012-C4 3.773% 3/15/45 2,500 2,520
4,6 Morgan Stanley Capital I Trust Class C Series 2015-UBS8 4.582% 12/15/48 5,740 5,632
4,6 Morgan Stanley Mortgage Loan Trust Class 5A1 Series 2006-8AR 2.041% 6/25/36 2,386 2,230
4,7 MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV 3.277% 10/15/30 34,485 33,489
4,7 Navient Private Education Loan Trust Class A2A Series 2017-A 2.880% 12/16/58 8,405 8,625
4,7 Navient Private Education Loan Trust Class A2A Series 2018-BA 3.610% 12/15/59 8,796 9,108
4,7 Navient Private Education Refi Loan Trust Class A2A Series 2018-DA 4.000% 12/15/59 30,405 32,043
4,6,7 Navient Student Loan Trust Class A2 Series 2016-2A, 1M USD LIBOR + 1.050% 1.139% 6/25/65 416 416
4,6,7 Navient Student Loan Trust Class A2 Series 2016-6A, 1M USD LIBOR + 0.750% 0.839% 3/25/66 17,818 17,870
4,7 Navient Student Loan Trust Class A2A Series 2019-BA 3.390% 12/15/59 16,052 16,890
4 Nissan Auto Receivables Owner Trust Class A4 Series 2018-B 3.160% 12/16/24 10,430 10,690
4 Nissan Auto Receivables Owner Trust Class A4 Series 2019-A 3.000% 9/15/25 7,290 7,563
4 Nissan Auto Receivables Owner Trust Class A4 Series 2019-B 2.540% 12/15/25 20,100 20,760
4,7 Palisades Center Trust Class A Series 2016-PLSD 2.713% 4/13/33 8,360 7,820
4,6,7 Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% 0.971% 1/16/60 5,831 5,845
4,6,7 Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% 1.084% 6/20/60 3,028 3,028
4,6,7 Pepper Residential Securities Trust No. 23 Class A1U Series 23A, 1M USD LIBOR + 0.950% 1.039% 8/18/60 2,460 2,459
4,7 PFS Financing Corp. Class A Series 2020-A 1.270% 6/15/25 7,720 7,837
4,6,7 PHEAA Student Loan Trust Class A Series 2016-2A, 1M USD LIBOR + 0.950% 1.039% 11/25/65 12,936 13,083
4,6,7 RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% 0.953% 12/5/59 7,460 7,477
4,6,7 RESIMAC MBS Trust Class A1A Series 2018-2A, 1M USD LIBOR + 0.850% 0.950% 4/10/50 1,523 1,521
4,6,7 RESIMAC Premier Class A1 Series 2018-1A, 1M USD LIBOR + 0.800% 0.900% 11/10/49 6,180 6,191
4,6 RFMSI Series Trust Class 2A1 Series 2006-SA3 4.583% 9/25/36 2,424 1,895
4,6 RFMSI Trust Class 2A1 Series 2006-SA2 4.442% 8/25/36 6,841 6,174
4 Santander Drive Auto Receivables Trust Class C Series 2020-2 1.460% 9/15/25 18,750 18,951
4 Santander Drive Auto Receivables Trust Class C Series 2020-3 1.120% 1/15/26 11,550 11,644
4 Santander Drive Auto Receivables Trust Class C Series 2021-1 0.750% 2/17/26 13,940 13,950
4 Santander Drive Auto Receivables Trust Class D Series 2018-3 4.070% 8/15/24 40,568 41,373
4 Santander Drive Auto Receivables Trust Class D Series 2018-4 3.980% 12/15/25 21,750 22,355
4 Santander Drive Auto Receivables Trust Class D Series 2018-5 4.190% 12/16/24 35,530 36,225
4 Santander Drive Auto Receivables Trust Class D Series 2020-2 2.220% 9/15/26 25,830 26,461
4 Santander Drive Auto Receivables Trust Class D Series 2021-1 1.130% 11/16/26 17,230 17,303
4,7 Santander Retail Auto Lease Trust Class A3 Series 2020-A 1.740% 7/20/23 44,500 45,112
4,7 Santander Retail Auto Lease Trust Class A3 Series 2021-B 0.510% 8/20/24 36,430 36,447
4,7 Santander Retail Auto Lease Trust Class A4 Series 2020-A 1.760% 3/20/24 11,250 11,462
4,7 Santander Retail Auto Lease Trust Class A4 Series 2021-B 0.540% 6/20/25 8,960 8,792
4,7 Santander Retail Auto Lease Trust Class C Series 2020-B 1.180% 12/20/24 9,190 9,251
4,7 Santander Retail Auto Lease Trust Class D Series 2020-A 2.520% 11/20/24 15,340 15,759
4,7 Santander Retail Auto Lease Trust Class D Series 2020-B 1.980% 10/20/25 17,540 17,807
4,7 Santander Retail Auto Lease Trust Class D Series 2021-B 1.410% 11/20/25 14,530 14,524
4,7 Securitized Term Auto Receivables Trust Class A4 Series 2018-1A 3.298% 11/25/22 2,593 2,612
4,7 Securitized Term Auto Receivables Trust Class A4 Series 2018-2A 3.544% 6/26/23 6,450 6,524
4,7 SLM Private Education Loan Trust Class B Series 2014-A 3.500% 11/15/44 3,970 3,981
4,7 SMB Private Education Loan Trust Class A2A Series 2016-A 2.700% 5/15/31 5,430 5,569
4,7 SMB Private Education Loan Trust Class A2A Series 2017-B 2.820% 10/15/35 11,596 12,035
4,7 SMB Private Education Loan Trust Class A2A Series 2018-B 3.600% 1/15/37 15,651 16,661
4,7 SMB Private Education Loan Trust Class A2A Series 2018-C 3.630% 11/15/35 18,599 19,543
4,6,7 SoFi Professional Loan Program LLC Class A1 Series 2016-D, 1M USD LIBOR + 0.950% 1.039% 1/25/39 757 759
9
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,6,7 SoFi Professional Loan Program LLC Class A1 Series 2017-C, 1M USD LIBOR + 0.600% 0.689% 7/25/40 406 406
4,7 SoFi Professional Loan Program LLC Class A2B Series 2016-C 2.360% 12/27/32 1,206 1,219
4,7 SoFi Professional Loan Program LLC Class A2B Series 2016-D 2.340% 4/25/33 2,077 2,108
4,7 SoFi Professional Loan Program LLC Class A2B Series 2017-A 2.400% 3/26/40 532 540
4,7 SoFi Professional Loan Program LLC Class A2B Series 2017-E 2.720% 11/26/40 6,498 6,619
4,7 SoFi Professional Loan Program LLC Class A2B Series 2018-A 2.950% 2/25/42 8,957 9,094
4,7 SoFi Professional Loan Program LLC Class A2BSeries 2016-B 2.740% 10/25/32 1,449 1,464
4,7 SoFi Professional Loan Program LLC Class A2FX Series 2017-B 2.740% 5/25/40 3,679 3,717
4,7 SoFi Professional Loan Program LLC Class A2FX Series 2017-D 2.650% 9/25/40 5,035 5,122
4,7 SoFi Professional Loan Program LLC Class A2FX Series 2017-F 2.840% 1/25/41 5,946 6,082
4,7 SoFi Professional Loan Program Trust Class A1FX Series 2020-A 2.060% 5/15/46 9,801 9,825
4 Synchrony Credit Card Master Note Trust Class C Series 2017-2 3.010% 10/15/25 13,000 13,372
4,7 Taco Bell Funding LLC Class A2II Series 2016-1A 4.377% 5/25/46 8,212 8,213
4,7 Tesla Auto Lease Trust Class A4 Series 2020-A 0.780% 12/20/23 3,620 3,646
4,7 Tesla Auto Lease Trust Class C Series 2018-B 4.360% 10/20/21 10,340 10,377
4,7 Tesla Auto Lease Trust Class C Series 2020-A 1.680% 2/20/24 3,000 3,045
4,7 Tidewater Auto Receivables Trust Class C Series 2018-AA 3.840% 11/15/24 2,421 2,430
4,7 Tidewater Auto Receivables Trust Class D Series 2018-AA 4.300% 11/15/24 2,059 2,076
4,7 TMSQ Mortgage Trust Class A Series 2014-1500 3.680% 10/10/36 24,260 25,723
4,7 Toyota Auto Loan Extended Note Trust Class A Series 2019-1A 2.560% 11/25/31 2,640 2,788
4,7 Toyota Auto Loan Extended Note Trust Class A Series 2020-1A 1.350% 5/25/33 17,410 17,793
4,7 Toyota Auto Loan Extended Note Trust Class A Series 2021-1A 1.070% 2/27/34 40,160 40,269
4 Toyota Auto Receivables Owner Trust Class A4 Series 2019-A 3.000% 5/15/24 4,880 5,052
4 Toyota Auto Receivables Owner Trust Class A4 Series 2019-D 1.990% 2/18/25 9,410 9,692
4 Toyota Auto Receivables Owner Trust Class A4 Series 2020-A 1.680% 5/15/25 29,200 29,999
4,7 Toyota Lease Owner Trust Class A3 Series 2021-B 0.420% 10/21/24 29,300 29,306
4,7 Toyota Lease Owner Trust Class A4 Series 2021-A 0.500% 8/20/25 6,310 6,323
4,7 Trafigura Securitisation Finance plc Class A2 Series 2018-1A 3.730% 3/15/22 49,490 49,686
4,7 Trinity Rail Leasing LLC Class A2 Series 2018-1A 4.620% 6/17/48 21,060 21,887
4 UBS Commercial Mortgage Trust Class A4 Series 2017-C7 3.679% 12/15/50 5,515 6,215
4 UBS Commercial Mortgage Trust Class AS Series 2012-C1 4.171% 5/10/45 1,250 1,272
4 UBS Commercial Mortgage Trust Class ASB Series 2019-C16 3.460% 4/15/52 5,849 6,469
4,7 UBS-BAMLL Trust Class A Series 2012-WRM 3.663% 6/10/30 25,038 24,997
4 UBS-Barclays Commercial Mortgage Trust Class A4 Series 2013-C6 3.244% 4/10/46 7,560 7,828
4 UBS-Barclays Commercial Mortgage Trust Class AS Series 2013-C6 3.469% 4/10/46 2,304 2,383
4 Verizon Master Trust Class A Series 2021-1 0.500% 5/20/27 48,170 48,260
4 Verizon Master Trust Class B Series 2021-1 0.690% 5/20/27 22,770 22,806
4 Verizon Master Trust Class C Series 2021-1 0.890% 5/20/27 12,360 12,407
4 Verizon Owner Trust Class B Series 2020-A 1.980% 7/22/24 16,635 17,119
4 Verizon Owner Trust Class B Series 2020-B 0.680% 2/20/25 18,050 18,125
4 Verizon Owner Trust Class C Series 2020-B 0.830% 2/20/25 12,480 12,548
4 Volkswagen Auto Loan Enhanced Trust Class A4 Series 2018-1 3.150% 7/22/24 6,970 7,049
4,6 WaMu Mortgage Pass-Through Certificates Class 1A7 Series 2003-AR9 Trust 2.755% 9/25/33 412 409
4,6 WaMu Mortgage Pass-Through Certificates Class A Series 2002-AR18 Trust 2.558% 1/25/33 67 67
4,6 WaMu Mortgage Pass-Through Certificates Class A7 Series 2003-AR7 Trust 2.378% 8/25/33 283 292
4 Wells Fargo Commercial Mortgage Trust Class A3 Series 2015-C30 3.411% 9/15/58 20,694 22,442
4 Wells Fargo Commercial Mortgage Trust Class A3 Series 2016-BNK1 2.652% 8/15/49 8,255 8,816
4,6 Wells Fargo Commercial Mortgage Trust Class A4 Series 2013-LC12 4.218% 7/15/46 4,716 4,980
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C27 3.190% 2/15/48 29,418 30,916
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C29 3.637% 6/15/48 31,072 34,063
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C30 3.664% 9/15/58 20,610 22,678
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-LC22 3.839% 9/15/58 23,212 25,732
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2016-C37 3.525% 12/15/49 6,936 7,572
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39 3.157% 9/15/50 5,750 6,216
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40 3.581% 10/15/50 2,495 2,790
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1 3.631% 1/15/60 2,479 2,769
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46 4.152% 8/15/51 3,435 3,982
10
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47 4.442% 9/15/61 3,040 3,587
4 Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC16 3.817% 8/15/50 33,030 35,541
4 Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC18 3.405% 12/15/47 31,300 33,804
4 Wells Fargo Commercial Mortgage Trust Class AS Series 2012-LC5 3.539% 10/15/45 1,650 1,696
4,6 Wells Fargo Commercial Mortgage Trust Class AS Series 2013-LC12 4.308% 7/15/46 4,906 5,130
4 Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16 4.020% 8/15/50 7,100 7,400
4,6 Wells Fargo Commercial Mortgage Trust Class AS Series 2015-C30 4.067% 9/15/58 17,222 18,910
4,6 Wells Fargo Commercial Mortgage Trust Class AS Series 2015-LC22 4.207% 9/15/58 8,550 9,458
4 Wells Fargo Commercial Mortgage Trust Class ASB Series 2019-C49 3.933% 3/15/52 7,894 8,931
4 Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16 4.322% 8/15/50 6,550 6,267
4 Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16 4.458% 8/15/50 6,830 4,896
4,6 Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22 4.557% 9/15/58 14,300 14,966
4,6 Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43 4.514% 3/15/51 5,973 6,305
4,6 Wells Fargo Mortgage Backed Securities Trust Class 2A1 Series 2006-AR14 2.774% 10/25/36 3,158 2,962
4,6,7 WFLD Mortgage Trust Class A Series 2014-MONT 3.755% 8/10/31 35,485 37,499
4,6 WFRBS Commercial Mortgage Trust Class A4 Series 2013-C15 4.153% 8/15/46 14,980 15,860
4 WFRBS Commercial Mortgage Trust Class A4 Series 2013-C17 4.023% 12/15/46 9,770 10,407
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-C19 3.829% 3/15/47 19,900 21,169
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-C21 3.410% 8/15/47 1,564 1,662
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-C23 3.650% 10/15/57 11,291 12,155
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14 3.766% 3/15/47 2,586 2,740
4 WFRBS Commercial Mortgage Trust Class A5 Series 2013-C16 4.415% 9/15/46 14,650 15,699
4,6 WFRBS Commercial Mortgage Trust Class A5 Series 2013-C18 4.162% 12/15/46 8,730 9,410
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C19 4.101% 3/15/47 23,553 25,433
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C20 3.995% 5/15/47 22,461 24,277
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C21 3.678% 8/15/47 10,000 10,803
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C23 3.917% 10/15/57 10,655 11,614
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C24 3.607% 11/15/47 17,438 18,825
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-LC14 4.045% 3/15/47 37,269 40,135
4 WFRBS Commercial Mortgage Trust Class AS Series 2012-C9 3.388% 11/15/45 2,860 2,940
4 WFRBS Commercial Mortgage Trust Class AS Series 2013-C13 3.345% 5/15/45 2,230 2,314
4 WFRBS Commercial Mortgage Trust Class AS Series 2014-C21 3.891% 8/15/47 7,130 7,522
4,6 WFRBS Commercial Mortgage Trust Class B Series 2013-C18 4.864% 12/15/46 5,775 6,105
4 WFRBS Commercial Mortgage Trust Class B Series 2014-C20 4.378% 5/15/47 11,110 10,824
4,6 WFRBS Commercial Mortgage Trust Class C Series 2014-C20 4.513% 5/15/47 4,500 4,381
4 World Omni Auto Receivables Trust Class A3 Series 2021-B 0.420% 6/15/26 22,520 22,494
4 World Omni Auto Receivables Trust Class A4 Series 2018-D 3.440% 12/16/24 3,660 3,798
4 World Omni Auto Receivables Trust Class A4 Series 2019-A 3.220% 6/16/25 6,060 6,299
4 World Omni Auto Receivables Trust Class A4 Series 2021-B 0.690% 6/15/27 5,920 5,934
4 World Omni Auto Receivables Trust Class B Series 2018-A 2.890% 4/15/25 8,670 8,798
4 World Omni Auto Receivables Trust Class B Series 2019-B 2.860% 6/16/25 5,210 5,398
4 World Omni Auto Receivables Trust Class B Series 2020-B 1.220% 3/16/26 4,350 4,413
4 World Omni Auto Receivables Trust Class B Series 2020-C 0.870% 10/15/26 8,950 8,950
4 World Omni Auto Receivables Trust Class B Series 2021-B 1.040% 6/15/27 4,360 4,369
4 World Omni Auto Receivables Trust Class C Series 2020-C 1.390% 5/17/27 3,900 3,931
4 World Omni Auto Receivables Trust Class C Series 2021-B 1.290% 12/15/27 4,270 4,279
4 World Omni Automobile Lease Securitization Trust Class A3 Series 2021-A 0.420% 8/15/24 25,540 25,577
4 World Omni Automobile Lease Securitization Trust Class A4 Series 2021-A 0.500% 11/16/26 11,150 11,173
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $6,227,520) 6,424,430
Corporate Bonds (76.1%)
Communications (5.5%)
  AT&T Inc. 0.000% 11/16/21 43,730 43,707
  AT&T Inc. 0.436% 12/14/21 132,250 132,160
  AT&T Inc. 0.406% 12/16/21 169,800 169,683
  AT&T Inc. 3.000% 6/30/22 28,769 29,347
  AT&T Inc. 2.625% 12/1/22 9,800 10,047
  AT&T Inc. 4.050% 12/15/23 3,985 4,316
  AT&T Inc. 0.900% 3/25/24 291,305 292,078
  AT&T Inc. 4.450% 4/1/24 2,710 2,957
11
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  AT&T Inc. 3.950% 1/15/25 9,750 10,776
  AT&T Inc. 3.400% 5/15/25 24,729 26,974
  AT&T Inc. 3.600% 7/15/25 1,690 1,858
  AT&T Inc. 1.700% 3/25/26 211,870 215,120
8 Booking Holdings Inc. 0.100% 3/8/25 23,876 28,574
  Booking Holdings Inc. 3.600% 6/1/26 16,000 17,804
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.464% 7/23/22 251,829 259,866
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.500% 2/1/24 80,277 87,315
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.908% 7/23/25 209,067 237,166
7 Cogent Communications Group Inc. 3.500% 5/1/26 3,085 3,176
  Comcast Corp. 3.600% 3/1/24 820 886
  Comcast Corp. 3.700% 4/15/24 70,261 76,101
  Comcast Corp. 3.375% 2/15/25 23,821 25,869
  Comcast Corp. 3.375% 8/15/25 95,599 104,509
  Comcast Corp. 3.950% 10/15/25 76,819 86,158
  Comcast Corp. 3.150% 3/1/26 52,555 57,357
7 Cox Communications Inc. 3.150% 8/15/24 9,327 9,958
  CSC Holdings LLC 6.750% 11/15/21 4,888 4,962
7 CSC Holdings LLC 5.375% 2/1/28 4,745 5,020
7 CSC Holdings LLC 7.500% 4/1/28 1,100 1,201
7 CSC Holdings LLC 6.500% 2/1/29 3,000 3,316
7 CSC Holdings LLC 4.625% 12/1/30 4,395 4,327
7 Deutsche Telekom International Finance BV 2.485% 9/19/23 15,700 16,310
7 DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. 5.875% 8/15/27 740 766
  Discovery Communications LLC 2.950% 3/20/23 55,062 57,142
  Discovery Communications LLC 3.800% 3/13/24 63,424 68,118
  Discovery Communications LLC 3.900% 11/15/24 28,005 30,409
  Discovery Communications LLC 3.450% 3/15/25 5,993 6,461
  Discovery Communications LLC 3.950% 6/15/25 3,180 3,503
  Discovery Communications LLC 4.900% 3/11/26 38,190 43,780
  Expedia Group Inc. 3.600% 12/15/23 4,840 5,140
7 Expedia Group Inc. 6.250% 5/1/25 2,920 3,405
  Expedia Group Inc. 5.000% 2/15/26 2,700 3,074
  Fox Corp. 3.666% 1/25/22 45,434 46,169
  Fox Corp. 4.030% 1/25/24 46,216 49,985
  Fox Corp. 3.050% 4/7/25 61,451 65,983
7 Frontier Communications Holdings LLC 5.875% 10/15/27 988 1,059
7 Frontier Communications Holdings LLC 5.000% 5/1/28 5,208 5,390
7 Frontier Communications Holdings LLC 6.750% 5/1/29 1,855 1,989
9 Global Switch Holdings Ltd. 4.375% 12/13/22 19,190 27,948
  Interpublic Group of Cos. Inc. 4.200% 4/15/24 6,672 7,259
  Lamar Media Corp. 3.750% 2/15/28 1,335 1,360
  Level 3 Financing Inc. 5.250% 3/15/26 1,523 1,572
7 Level 3 Financing Inc. 4.625% 9/15/27 2,760 2,869
7 Level 3 Financing Inc. 4.250% 7/1/28 1,490 1,518
7 Level 3 Financing Inc. 3.625% 1/15/29 2,350 2,286
7 Netflix Inc. 3.625% 6/15/25 11,303 12,144
  Netflix Inc. 4.875% 4/15/28 7,265 8,492
  Netflix Inc. 5.875% 11/15/28 354 440
7 Nexstar Media Inc. 5.625% 7/15/27 3,875 4,097
7 Nexstar Media Inc. 4.750% 11/1/28 2,898 2,992
7 NTT Finance Corp. 0.583% 3/1/24 45,780 45,807
7 NTT Finance Corp. 1.162% 4/3/26 87,855 88,171
7 QualityTech LP / QTS Finance Corp. 3.875% 10/1/28 1,830 1,961
  Qwest Corp. 6.750% 12/1/21 33,857 34,493
  Rogers Communications Inc. 3.000% 3/15/23 1,180 1,221
7 Scripps Escrow II Inc. 3.875% 1/15/29 1,058 1,058
7 Sirius XM Radio Inc. 4.625% 7/15/24 7,470 7,667
12
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Sirius XM Radio Inc. 5.000% 8/1/27 700 733
7 Sirius XM Radio Inc. 4.000% 7/15/28 825 851
7 Sky Ltd. 3.125% 11/26/22 45,710 47,381
7 Sky Ltd. 3.750% 9/16/24 48,460 52,993
8 Sky Ltd. 2.500% 9/15/26 22,015 29,530
  Sprint Corp. 7.125% 6/15/24 10,496 12,070
  Sprint Corp. 7.625% 3/1/26 3,640 4,445
7 Tegna Inc. 4.750% 3/15/26 3,755 3,996
  Time Warner Entertainment Co. LP 8.375% 3/15/23 8,730 9,816
  T-Mobile USA Inc. 3.500% 4/15/25 266,502 289,447
  T-Mobile USA Inc. 4.500% 2/1/26 9,536 9,764
  T-Mobile USA Inc. 1.500% 2/15/26 38,600 39,063
  T-Mobile USA Inc. 2.250% 2/15/26 9,980 10,101
7 T-Mobile USA Inc. 2.250% 2/15/26 4,855 4,908
  TWDC Enterprises 18 Corp. 2.350% 12/1/22 6,200 6,367
  TWDC Enterprises 18 Corp. 3.000% 2/13/26 55 60
7 Twitter Inc. 3.875% 12/15/27 1,786 1,912
  VeriSign Inc. 5.250% 4/1/25 28,080 31,938
10 Verizon Communications Inc. 3.500% 2/17/23 13,960 10,691
  Verizon Communications Inc. 4.150% 3/15/24 10,600 11,513
  Verizon Communications Inc. 0.750% 3/22/24 91,475 91,891
  Verizon Communications Inc. 3.500% 11/1/24 19,300 20,914
  Verizon Communications Inc. 3.376% 2/15/25 50,112 54,543
  Verizon Communications Inc. 0.850% 11/20/25 124,840 124,156
  Verizon Communications Inc. 1.450% 3/20/26 117,805 119,551
  Verizon Communications Inc. 1.680% 10/30/30 4,509 4,369
6,10 Verizon Communications Inc., 3M Australian Bank Bill Rate + 1.220% 1.259% 2/17/23 33,310 24,663
  ViacomCBS Inc. 3.875% 4/1/24 50,818 54,609
  ViacomCBS Inc. 3.500% 1/15/25 10,700 11,527
  ViacomCBS Inc. 4.750% 5/15/25 154,386 174,940
  Vodafone Group plc 3.750% 1/16/24 161,276 174,272
  Vodafone Group plc 4.125% 5/30/25 22,338 24,967
6,10 Vodafone Group plc, 3M Australian Bank Bill Rate + 1.050% 1.074% 12/13/22 4,360 3,212
  Walt Disney Co. 0.283% 9/15/21 9,700 9,697
  Walt Disney Co. 0.283% 10/1/21 9,700 9,695
  Walt Disney Co. 1.750% 8/30/24 108,787 112,659
  Walt Disney Co. 3.700% 9/15/24 5,090 5,533
  Walt Disney Co. 3.350% 3/24/25 67,423 73,529
  Walt Disney Co. 1.750% 1/13/26 51,805 53,521
7 Zayo Group Holdings Inc. 4.000% 3/1/27 4,140 4,122
7 Zayo Group Holdings Inc. 6.125% 3/1/28 1,547 1,574
            4,346,149
Consumer Discretionary (5.1%)
7 1011778 BC ULC / New Red Finance Inc. 3.875% 1/15/28 2,610 2,632
7 1011778 BC ULC / New Red Finance Inc. 4.375% 1/15/28 2,820 2,864
  Amazon.com Inc. 0.450% 5/12/24 8,335 8,341
  Amazon.com Inc. 5.200% 12/3/25 12,340 14,499
  Amazon.com Inc. 1.000% 5/12/26 39,000 39,307
7 American Builders & Contractors Supply Co. Inc. 4.000% 1/15/28 2,590 2,658
  American Honda Finance Corp. 2.050% 1/10/23 9,900 10,159
  American Honda Finance Corp. 1.950% 5/10/23 66,050 67,920
  American Honda Finance Corp. 0.875% 7/7/23 70,100 70,824
  American Honda Finance Corp. 0.650% 9/8/23 7,500 7,541
  American Honda Finance Corp. 3.625% 10/10/23 112,000 119,869
  American Honda Finance Corp. 2.900% 2/16/24 7,400 7,840
  American Honda Finance Corp. 2.400% 6/27/24 33,500 35,244
  American Honda Finance Corp. 0.550% 7/12/24 155,100 154,787
  American Honda Finance Corp. 2.150% 9/10/24 43,628 45,629
8 American Honda Finance Corp. 1.950% 10/18/24 14,575 18,504
  American Honda Finance Corp. 1.200% 7/8/25 47,476 48,083
  Asbury Automotive Group Inc. 4.500% 3/1/28 7,269 7,562
13
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Asbury Automotive Group Inc. 4.750% 3/1/30 615 654
  AutoZone Inc. 2.875% 1/15/23 2,584 2,658
  AutoZone Inc. 3.625% 4/15/25 50,197 54,989
7 BMW U.S. Capital LLC 0.800% 4/1/24 20,000 20,139
  BorgWarner Inc. 3.375% 3/15/25 11,300 12,248
7 Boyd Gaming Corp. 8.625% 6/1/25 6,078 6,646
7 Caesars Entertainment Inc. 6.250% 7/1/25 2,420 2,553
7 Caesars Resort Collection LLC / CRC Finco Inc. 5.750% 7/1/25 602 632
7 Carnival Corp. 11.500% 4/1/23 426 480
7 Carnival Corp. 4.000% 8/1/28 3,690 3,681
7 Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP 5.500% 5/1/25 9,970 10,354
7 Churchill Downs Inc. 5.500% 4/1/27 6,559 6,825
7 Churchill Downs Inc. 4.750% 1/15/28 2,831 2,942
7 Clarios Global LP 6.750% 5/15/25 2,269 2,410
7 Clarios Global LP / Clarios US Finance Co. 6.250% 5/15/26 1,620 1,715
7 Daimler Finance North America LLC 1.750% 3/10/23 8,000 8,160
7 Daimler Finance North America LLC 3.650% 2/22/24 26,000 27,931
7 Daimler Finance North America LLC 0.750% 3/1/24 122,615 122,954
7 Daimler Finance North America LLC 2.700% 6/14/24 38,000 40,078
  DR Horton Inc. 2.600% 10/15/25 35,654 37,731
  DR Horton Inc. 1.300% 10/15/26 24,280 24,308
  eBay Inc. 1.400% 5/10/26 29,500 29,854
7 ERAC USA Finance LLC 2.700% 11/1/23 54,880 57,308
7 ERAC USA Finance LLC 3.850% 11/15/24 33,134 36,128
7 ERAC USA Finance LLC 3.800% 11/1/25 8,875 9,840
7 ERAC USA Finance LLC 3.300% 12/1/26 2,965 3,257
  Ford Motor Co. 8.500% 4/21/23 3,604 4,003
  Ford Motor Credit Co. LLC 3.087% 1/9/23 5,500 5,612
  Ford Motor Credit Co. LLC 5.125% 6/16/25 2,745 3,024
  Ford Motor Credit Co. LLC 4.134% 8/4/25 1,195 1,279
  Ford Motor Credit Co. LLC 3.375% 11/13/25 15,400 16,088
  Ford Motor Credit Co. LLC 4.125% 8/17/27 5,923 6,346
  Ford Motor Credit Co. LLC 3.815% 11/2/27 1,763 1,856
  General Motors Co. 4.875% 10/2/23 32,904 35,749
  General Motors Co. 5.400% 10/2/23 55,240 60,588
  General Motors Co. 6.125% 10/1/25 98,477 116,697
  General Motors Financial Co. Inc. 4.375% 9/25/21 59,030 59,375
  General Motors Financial Co. Inc. 4.200% 11/6/21 13,800 13,938
  General Motors Financial Co. Inc. 3.450% 4/10/22 15,908 16,159
  General Motors Financial Co. Inc. 3.150% 6/30/22 3,900 3,986
  General Motors Financial Co. Inc. 3.250% 1/5/23 19,510 20,221
  General Motors Financial Co. Inc. 5.200% 3/20/23 108,150 115,984
  General Motors Financial Co. Inc. 4.250% 5/15/23 36,300 38,528
  General Motors Financial Co. Inc. 4.150% 6/19/23 5,500 5,834
  General Motors Financial Co. Inc. 5.100% 1/17/24 45,250 49,768
  General Motors Financial Co. Inc. 3.950% 4/13/24 24,350 26,204
  General Motors Financial Co. Inc. 3.500% 11/7/24 52,385 56,291
  General Motors Financial Co. Inc. 4.000% 1/15/25 4,900 5,348
  General Motors Financial Co. Inc. 2.900% 2/26/25 32,344 34,303
  General Motors Financial Co. Inc. 4.350% 4/9/25 54,475 60,362
  General Motors Financial Co. Inc. 2.750% 6/20/25 22,453 23,749
  General Motors Financial Co. Inc. 4.300% 7/13/25 6,000 6,653
  General Motors Financial Co. Inc. 1.250% 1/8/26 99,300 99,195
  Goodyear Tire & Rubber Co. 9.500% 5/31/25 1,890 2,092
7 Harley-Davidson Financial Services Inc. 2.550% 6/9/22 28,944 29,367
7 Harley-Davidson Financial Services Inc. 3.350% 6/8/25 14,500 15,522
7 Hilton Domestic Operating Co. Inc. 5.375% 5/1/25 3,183 3,333
7 Hilton Domestic Operating Co. Inc. 5.750% 5/1/28 860 927
7 Hilton Domestic Operating Co. Inc. 3.750% 5/1/29 2,935 2,976
7 International Game Technology plc 4.125% 4/15/26 1,855 1,932
14
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 International Game Technology plc 6.250% 1/15/27 540 613
  Lennar Corp. 5.375% 10/1/22 7,465 7,878
  Lennar Corp. 4.875% 12/15/23 10,500 11,405
  Lennar Corp. 4.500% 4/30/24 5,650 6,152
  Lennar Corp. 5.875% 11/15/24 19,700 22,348
  Lennar Corp. 4.750% 5/30/25 22,084 24,824
  Lennar Corp. 5.250% 6/1/26 14,995 17,417
7 Lithia Motors Inc. 5.250% 8/1/25 3,387 3,476
7 Live Nation Entertainment Inc. 6.500% 5/15/27 8,850 9,799
7 Live Nation Entertainment Inc. 3.750% 1/15/28 1,647 1,651
  Lowe's Cos. Inc. 3.125% 9/15/24 7,405 7,936
  Marriott International Inc. 5.750% 5/1/25 41,775 48,229
  Marriott International Inc. 3.750% 10/1/25 15,325 16,679
  Marriott International Inc. 3.125% 6/15/26 6,390 6,842
  McDonald's Corp. 3.350% 4/1/23 6,300 6,594
  McDonald's Corp. 3.375% 5/26/25 11,755 12,792
  McDonald's Corp. 3.300% 7/1/25 50,201 54,664
  McDonald's Corp. 1.450% 9/1/25 24,300 24,865
  McDonald's Corp. 3.700% 1/30/26 7,000 7,800
7 Meritage Homes Corp. 3.875% 4/15/29 1,775 1,874
7 Nissan Motor Acceptance Corp. 1.900% 9/14/21 11,962 11,985
7 Nissan Motor Acceptance Corp. 3.650% 9/21/21 17,140 17,208
7 Nissan Motor Acceptance Corp. 1.050% 3/8/24 51,000 51,017
7 Nissan Motor Acceptance Corp. 2.000% 3/9/26 37,000 37,622
7 Nissan Motor Co. Ltd. 3.043% 9/15/23 105,000 109,515
7 Nissan Motor Co. Ltd. 3.522% 9/17/25 108,300 116,174
7 Penn National Gaming Inc. 5.625% 1/15/27 1,225 1,269
  PulteGroup Inc. 5.500% 3/1/26 2,323 2,721
  PulteGroup Inc. 5.000% 1/15/27 1,310 1,537
  Ralph Lauren Corp. 1.700% 6/15/22 5,930 6,003
  Ross Stores Inc. 0.875% 4/15/26 43,000 42,476
7 Royal Caribbean Cruises Ltd. 10.875% 6/1/23 592 672
7 Royal Caribbean Cruises Ltd. 9.125% 6/15/23 596 649
7 Royal Caribbean Cruises Ltd. 11.500% 6/1/25 1,185 1,356
  TJX Cos. Inc. 2.250% 9/15/26 2,011 2,129
  Toll Brothers Finance Corp. 4.875% 11/15/25 4,860 5,444
  Toll Brothers Finance Corp. 4.875% 3/15/27 4,860 5,518
  Toll Brothers Finance Corp. 4.350% 2/15/28 2,490 2,765
  Toyota Motor Credit Corp. 2.700% 1/11/23 7,080 7,328
  Toyota Motor Credit Corp. 2.900% 3/30/23 93,300 97,366
  Toyota Motor Credit Corp. 0.400% 4/6/23 63,140 63,247
  Toyota Motor Credit Corp. 0.500% 8/14/23 27,045 27,151
  Toyota Motor Credit Corp. 1.350% 8/25/23 72,000 73,406
  Toyota Motor Credit Corp. 3.450% 9/20/23 97,255 103,626
  Toyota Motor Credit Corp. 0.450% 1/11/24 52,350 52,349
  Toyota Motor Credit Corp. 2.900% 4/17/24 2,130 2,264
  Toyota Motor Credit Corp. 1.800% 2/13/25 66 68
  Toyota Motor Credit Corp. 3.000% 4/1/25 39,050 42,118
  Toyota Motor Credit Corp. 0.800% 10/16/25 73,500 73,151
8 Toyota Motor Finance Netherlands BV 0.625% 9/26/23 12,145 14,706
  Tri Pointe Homes Inc. 5.700% 6/15/28 3,005 3,327
7 Vail Resorts Inc. 6.250% 5/15/25 7,353 7,813
8 Volkswagen Bank GmbH 0.750% 6/15/23 14,510 17,509
8 Volkswagen Financial Services AG 2.500% 4/6/23 29,070 36,043
8 Volkswagen Financial Services AG 0.875% 4/12/23 14,500 17,510
10 Volkswagen Financial Services Australia Pty Ltd. 3.100% 4/17/23 22,620 17,230
7 Volkswagen Group of America Finance LLC 2.500% 9/24/21 19,100 19,161
7 Volkswagen Group of America Finance LLC 4.000% 11/12/21 63,563 64,220
7 Volkswagen Group of America Finance LLC 2.900% 5/13/22 37,000 37,725
7 Volkswagen Group of America Finance LLC 2.700% 9/26/22 75,020 76,988
7 Volkswagen Group of America Finance LLC 0.750% 11/23/22 48,000 48,182
15
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Volkswagen Group of America Finance LLC 3.125% 5/12/23 36,400 37,993
7 Volkswagen Group of America Finance LLC 4.250% 11/13/23 17,700 19,089
7 Volkswagen Group of America Finance LLC 0.875% 11/22/23 104,315 104,801
7 Volkswagen Group of America Finance LLC 3.350% 5/13/25 4,500 4,870
7 Volkswagen Group of America Finance LLC 1.250% 11/24/25 89,250 89,462
8 Volkswagen Leasing GmbH 1.375% 1/20/25 27,139 33,811
7 William Carter Co. 5.500% 5/15/25 3,706 3,902
7 Williams Scotsman International Inc. 4.625% 8/15/28 2,530 2,615
7 Wyndham Hotels & Resorts Inc. 4.375% 8/15/28 2,206 2,277
            4,045,233
Consumer Staples (3.3%)
7 7-Eleven Inc. 0.625% 2/10/23 30,650 30,668
7 7-Eleven Inc. 0.800% 2/10/24 98,000 97,994
7 7-Eleven Inc. 0.950% 2/10/26 56,300 55,731
8 Altria Group Inc. 1.000% 2/15/23 29,015 34,961
  Altria Group Inc. 2.350% 5/6/25 58,739 61,495
8 Altria Group Inc. 1.700% 6/15/25 9,705 12,162
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 3.650% 2/1/26 28,500 31,627
  Anheuser-Busch InBev Finance Inc. 3.650% 2/1/26 29,421 32,565
  BAT Capital Corp. 3.222% 8/15/24 67,044 71,205
9 BAT Capital Corp. 2.125% 8/15/25 9,705 13,865
  BAT Capital Corp. 3.215% 9/6/26 6,000 6,428
  BAT Capital Corp. 4.700% 4/2/27 10,000 11,382
7 BAT International Finance plc 3.950% 6/15/25 75,200 82,555
  BAT International Finance plc 1.668% 3/25/26 68,450 69,030
  Bunge Ltd. Finance Corp. Co. 1.630% 8/17/25 6,310 6,417
  Campbell Soup Co. 3.650% 3/15/23 47,173 49,465
  Campbell Soup Co. 3.950% 3/15/25 20,300 22,409
8 CK Hutchison Finance 16 Ltd. 1.250% 4/6/23 14,550 17,665
7 Coca-Cola Europacific Partners plc 0.500% 5/5/23 16,000 15,993
  Conagra Brands Inc. 4.300% 5/1/24 10,000 10,959
  Conagra Brands Inc. 4.600% 11/1/25 6,400 7,289
  Constellation Brands Inc. 2.650% 11/7/22 33,800 34,711
  Constellation Brands Inc. 3.200% 2/15/23 11,450 11,904
  Constellation Brands Inc. 4.250% 5/1/23 78,574 83,586
  Constellation Brands Inc. 4.750% 11/15/24 11,550 12,975
  Constellation Brands Inc. 4.400% 11/15/25 34,588 39,165
  Constellation Brands Inc. 4.750% 12/1/25 4,000 4,618
  Dollar General Corp. 3.250% 4/15/23 15,626 16,261
  Dollar Tree Inc. 3.700% 5/15/23 25,270 26,638
  General Mills Inc. 2.600% 10/12/22 27,900 28,592
  General Mills Inc. 3.700% 10/17/23 12,000 12,811
  Grupo Bimbo SAB de CV 4.500% 1/25/22 3,128 3,185
7 Grupo Bimbo SAB de CV 4.500% 1/25/22 2,781 2,833
  Hershey Co. 0.900% 6/1/25 8,900 8,970
  Hormel Foods Corp. 0.650% 6/3/24 26,600 26,689
  JM Smucker Co. 3.500% 3/15/25 15,800 17,246
  Kellogg Co. 2.650% 12/1/23 8,000 8,390
  Keurig Dr Pepper Inc. 4.057% 5/25/23 51,829 55,152
  Keurig Dr Pepper Inc. 3.130% 12/15/23 15,320 16,229
  Keurig Dr Pepper Inc. 0.750% 3/15/24 44,000 44,057
  Keurig Dr Pepper Inc. 4.417% 5/25/25 48,900 55,071
  Kimberly-Clark Corp. 3.050% 8/15/25 4,800 5,225
  Kraft Heinz Foods Co. 3.875% 5/15/27 20,427 22,616
  Kroger Co. 3.400% 4/15/22 16,260 16,485
  Kroger Co. 2.800% 8/1/22 35,058 35,851
  Kroger Co. 3.850% 8/1/23 3,400 3,602
  Kroger Co. 4.000% 2/1/24 20,700 22,287
  Kroger Co. 3.500% 2/1/26 27,000 29,825
7 Lamb Weston Holdings Inc. 4.625% 11/1/24 7,283 7,484
7 Lamb Weston Holdings Inc. 4.875% 11/1/26 1,925 1,985
16
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Lamb Weston Holdings Inc. 4.875% 5/15/28 2,210 2,457
  McCormick & Co. Inc. 2.700% 8/15/22 5,900 6,034
  McCormick & Co. Inc. 3.150% 8/15/24 10,250 10,957
  Mead Johnson Nutrition Co. 4.125% 11/15/25 4,900 5,532
7 Mondelez International Holdings Netherlands BV 2.250% 9/19/24 98,580 103,145
  Mondelez International Inc. 0.625% 7/1/22 42,500 42,661
  Mondelez International Inc. 1.500% 5/4/25 61,425 62,712
7 Nestle Holdings Inc. 3.500% 9/24/25 14,500 16,038
8 PepsiCo Inc. 0.250% 5/6/24 15,180 18,338
  PepsiCo Inc. 2.250% 3/19/25 6,935 7,312
7 Performance Food Group Inc. 6.875% 5/1/25 997 1,061
7 Performance Food Group Inc. 5.500% 10/15/27 4,340 4,523
7 Pernod Ricard SA 4.250% 7/15/22 18,900 19,597
  Philip Morris International Inc. 2.625% 3/6/23 3,350 3,479
  Philip Morris International Inc. 1.125% 5/1/23 12,850 13,031
  Philip Morris International Inc. 2.875% 5/1/24 9,000 9,555
  Philip Morris International Inc. 1.500% 5/1/25 35,300 36,116
  Philip Morris International Inc. 2.750% 2/25/26 15,557 16,704
8 Philip Morris International Inc. 2.875% 3/3/26 16,600 22,275
  Philip Morris International Inc. 0.875% 5/1/26 34,000 33,802
7 Post Holdings Inc. 5.750% 3/1/27 700 729
7 Reckitt Benckiser Treasury Services plc 2.375% 6/24/22 122,848 124,986
7 Reckitt Benckiser Treasury Services plc 2.750% 6/26/24 170,933 180,499
  Reynolds American Inc. 4.450% 6/12/25 147,838 164,267
  Sysco Corp. 2.600% 6/12/22 11,585 11,812
  Sysco Corp. 5.650% 4/1/25 35,600 41,258
  Tyson Foods Inc. 4.500% 6/15/22 13,769 14,118
  Tyson Foods Inc. 3.900% 9/28/23 20,328 21,772
  Tyson Foods Inc. 3.950% 8/15/24 88,199 95,988
  Tyson Foods Inc. 4.000% 3/1/26 46,638 52,336
  Unilever Capital Corp. 2.600% 5/5/24 37,430 39,509
7 Viterra Finance BV 2.000% 4/21/26 19,750 20,014
  Walmart Inc. 3.050% 7/8/26 414 456
            2,599,381
Energy (7.6%)
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 2.773% 12/15/22 57,814 59,633
  BP Capital Markets America Inc. 2.750% 5/10/23 71,181 74,157
  BP Capital Markets America Inc. 3.216% 11/28/23 52,995 56,186
  BP Capital Markets America Inc. 3.790% 2/6/24 63,231 68,166
  BP Capital Markets America Inc. 3.224% 4/14/24 48,592 51,883
  BP Capital Markets America Inc. 3.194% 4/6/25 40,652 43,861
  BP Capital Markets America Inc. 3.796% 9/21/25 40,135 44,576
  BP Capital Markets America Inc. 3.119% 5/4/26 63,745 69,477
  BP Capital Markets plc 2.500% 11/6/22 8,655 8,904
  BP Capital Markets plc 3.814% 2/10/24 35,810 38,668
  BP Capital Markets plc 3.535% 11/4/24 16,530 17,996
  BP Capital Markets plc 3.506% 3/17/25 10,360 11,343
  Buckeye Partners LP 4.150% 7/1/23 3,230 3,344
  Canadian Natural Resources Ltd. 2.950% 1/15/23 50,064 51,783
  Canadian Natural Resources Ltd. 3.800% 4/15/24 17,956 19,264
  Canadian Natural Resources Ltd. 3.900% 2/1/25 12,780 13,962
  Canadian Natural Resources Ltd. 2.050% 7/15/25 18,252 18,872
  Cenovus Energy Inc. 3.950% 4/15/22 1,410 1,431
  Cenovus Energy Inc. 3.000% 8/15/22 7,465 7,610
  Cenovus Energy Inc. 4.000% 4/15/24 9,800 10,505
  Cenovus Energy Inc. 5.375% 7/15/25 107,255 122,397
  Cheniere Corpus Christi Holdings LLC 7.000% 6/30/24 131,309 149,963
  Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 146,738 167,723
  Cheniere Energy Inc. 4.625% 10/15/28 3,665 3,871
  Chevron Corp. 1.554% 5/11/25 85,696 88,195
  Chevron USA Inc. 3.900% 11/15/24 15,800 17,358
17
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Chevron USA Inc. 0.687% 8/12/25 39,870 39,725
  Cimarex Energy Co. 4.375% 6/1/24 21,605 23,465
  CNPC General Capital Ltd. 3.950% 4/19/22 2,147 2,197
7 CNX Resources Corp. 7.250% 3/14/27 4,850 5,169
  ConocoPhillips Co. 2.400% 12/15/22 14,637 14,974
  ConocoPhillips Co. 4.950% 3/15/26 61,485 71,644
7 CrownRock LP / CrownRock Finance Inc. 5.625% 10/15/25 2,820 2,891
  DCP Midstream Operating LP 5.625% 7/15/27 1,801 2,049
7 Devon Energy Corp. 5.250% 9/15/24 69,358 77,181
  Diamondback Energy Inc. 0.900% 3/24/23 20,915 20,907
  Diamondback Energy Inc. 2.875% 12/1/24 73,207 77,048
  Diamondback Energy Inc. 4.750% 5/31/25 16,395 18,387
  Diamondback Energy Inc. 3.250% 12/1/26 25,020 26,986
7 DT Midstream Inc. 4.125% 6/15/29 3,795 3,892
7 Eastern Gas Transmission & Storage Inc. 3.600% 12/15/24 6,378 6,901
  Ecopetrol SA 5.875% 9/18/23 25,280 27,232
  Ecopetrol SA 4.125% 1/16/25 2,910 3,049
  Ecopetrol SA 5.375% 6/26/26 13,899 15,232
  Empresa Nacional del Petroleo 4.375% 10/30/24 22,304 24,155
  Empresa Nacional del Petroleo 3.750% 8/5/26 9,594 10,112
  Empresa Nacional del Petroleo 5.250% 11/6/29 5,318 6,016
  Enable Midstream Partners LP 3.900% 5/15/24 6,970 7,437
  Enbridge Energy Partners LP 5.875% 10/15/25 10,441 12,344
  Enbridge Inc. 2.900% 7/15/22 12,898 13,183
  Enbridge Inc. 4.000% 10/1/23 32,750 34,933
  Enbridge Inc. 3.500% 6/10/24 25,732 27,626
  Enbridge Inc. 2.500% 1/15/25 33,290 35,031
7 Endeavor Energy Resources LP / EER Finance Inc. 6.625% 7/15/25 1,196 1,265
7 Endeavor Energy Resources LP / EER Finance Inc. 5.500% 1/30/26 1,668 1,718
7 Endeavor Energy Resources LP / EER Finance Inc. 5.750% 1/30/28 1,179 1,238
  Energy Transfer LP 5.200% 2/1/22 41,415 41,889
  Energy Transfer LP 3.450% 1/15/23 16,340 16,864
  Energy Transfer LP 3.600% 2/1/23 2,916 3,019
  Energy Transfer LP 4.250% 3/15/23 39,423 41,285
  Energy Transfer LP 4.200% 9/15/23 42,572 45,422
  Energy Transfer LP 5.875% 1/15/24 33,215 36,701
  Energy Transfer LP 4.900% 2/1/24 40,324 43,783
  Energy Transfer LP 4.250% 4/1/24 43,668 46,980
  Energy Transfer LP 4.500% 4/15/24 40,986 44,594
  Energy Transfer LP 4.050% 3/15/25 41,524 45,146
  Energy Transfer LP 2.900% 5/15/25 21,640 22,830
  Energy Transfer LP 4.750% 1/15/26 3,155 3,560
  Energy Transfer LP / Regency Energy Finance Corp. 5.875% 3/1/22 83,408 84,854
  Energy Transfer LP / Regency Energy Finance Corp. 5.000% 10/1/22 85,463 88,787
  Energy Transfer LP / Regency Energy Finance Corp. 4.500% 11/1/23 89,002 95,238
7 Eni SPA 4.000% 9/12/23 77,305 82,499
7 EnLink Midstream LLC 5.625% 1/15/28 865 916
  EnLink Midstream Partners LP 4.850% 7/15/26 2,915 3,045
  Enterprise Products Operating LLC 3.900% 2/15/24 28,502 30,635
  Enterprise Products Operating LLC 3.700% 2/15/26 31,438 34,946
  EOG Resources Inc. 2.625% 3/15/23 12,711 13,115
  EOG Resources Inc. 3.150% 4/1/25 29,057 31,391
7 EQM Midstream Partners LP 6.000% 7/1/25 2,905 3,161
  EQT Corp. 3.000% 10/1/22 1,116 1,131
7 EQT Corp. 3.125% 5/15/26 1,670 1,718
  EQT Corp. 5.000% 1/15/29 3,660 4,136
  Equinor ASA 3.150% 1/23/22 2,000 2,028
8 Exxon Mobil Corp. 0.142% 6/26/24 29,015 34,825
  Exxon Mobil Corp. 2.709% 3/6/25 7,378 7,849
  Exxon Mobil Corp. 2.992% 3/19/25 80,438 86,429
  Exxon Mobil Corp. 2.275% 8/16/26 29,538 31,314
18
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Gazprom PJSC Via Gaz Capital SA 6.510% 3/7/22 9,480 9,797
8 Gazprom PJSC Via Gaz Capital SA 3.125% 11/17/23 2,600 3,252
8 Gazprom PJSC Via Gaz Capital SA 2.949% 1/24/24 15,630 19,485
8 Gazprom PJSC Via Gaz Capital SA 2.250% 11/22/24 3,400 4,188
  Harvest Operations Corp. 3.000% 9/21/22 2,875 2,958
7 Hilcorp Energy I LP / Hilcorp Finance Co. 5.750% 2/1/29 2,095 2,142
7 KazMunayGas National Co. JSC 6.375% 10/24/48 2,800 3,680
  Kinder Morgan Energy Partners LP 4.150% 3/1/22 3,695 3,776
  Kinder Morgan Energy Partners LP 3.950% 9/1/22 77,198 79,480
  Kinder Morgan Energy Partners LP 3.450% 2/15/23 32,549 33,781
  Kinder Morgan Energy Partners LP 3.500% 9/1/23 10,068 10,605
  Kinder Morgan Energy Partners LP 4.150% 2/1/24 11,015 11,875
  Kinder Morgan Energy Partners LP 4.300% 5/1/24 16,684 18,159
  Kinder Morgan Energy Partners LP 4.250% 9/1/24 5,145 5,640
  Kinder Morgan Inc. 3.150% 1/15/23 88,311 91,631
7 Kinder Morgan Inc. 5.625% 11/15/23 24,815 27,250
  Kinder Morgan Inc. 4.300% 6/1/25 25,844 28,808
  Marathon Petroleum Corp. 4.500% 5/1/23 80,322 85,412
  Marathon Petroleum Corp. 4.750% 12/15/23 52,092 56,652
  Marathon Petroleum Corp. 3.625% 9/15/24 31,830 34,276
  Marathon Petroleum Corp. 4.700% 5/1/25 67,262 75,825
7 MEG Energy Corp. 6.500% 1/15/25 10,517 10,859
7 Midwest Connector Capital Co. LLC 3.625% 4/1/22 67,868 68,920
  MPLX LP 3.500% 12/1/22 41,490 43,036
  MPLX LP 3.375% 3/15/23 15,115 15,766
  MPLX LP 4.875% 12/1/24 29,939 33,453
  MPLX LP 4.875% 6/1/25 20,170 22,829
  MPLX LP 1.750% 3/1/26 75,831 76,950
  Nustar Logistics LP 5.750% 10/1/25 4,110 4,493
  Occidental Petroleum Corp. 5.500% 12/1/25 2,665 2,932
  Occidental Petroleum Corp. 3.400% 4/15/26 1,110 1,122
  Occidental Petroleum Corp. 3.200% 8/15/26 4,463 4,448
  ONEOK Inc. 2.750% 9/1/24 43,924 46,197
  ONEOK Inc. 2.200% 9/15/25 25,076 25,866
  ONEOK Inc. 5.850% 1/15/26 6,200 7,345
  ONEOK Partners LP 3.375% 10/1/22 6,951 7,131
  ONEOK Partners LP 5.000% 9/15/23 26,043 28,075
  ONEOK Partners LP 4.900% 3/15/25 9,680 10,851
  Ovintiv Exploration Inc. 5.625% 7/1/24 8,776 9,709
  Ovintiv Inc. 3.900% 11/15/21 4,860 4,863
  Pertamina Persero PT 4.875% 5/3/22 31,389 32,376
  Pertamina Persero PT 4.300% 5/20/23 50,622 53,663
  Petronas Capital Ltd. 3.125% 3/18/22 12,520 12,725
  Petronas Capital Ltd. 7.875% 5/22/22 10,234 10,837
7 Petronas Capital Ltd. 3.500% 4/21/30 5,835 6,400
  Phillips 66 3.700% 4/6/23 23,599 24,846
  Phillips 66 0.900% 2/15/24 24,185 24,201
  Phillips 66 3.850% 4/9/25 18,475 20,292
  Phillips 66 1.300% 2/15/26 31,403 31,501
  Phillips 66 Partners LP 3.605% 2/15/25 18,938 20,474
  Pioneer Natural Resources Co. 0.550% 5/15/23 30,000 30,034
  Pioneer Natural Resources Co. 0.750% 1/15/24 29,110 29,117
  Pioneer Natural Resources Co. 1.125% 1/15/26 31,105 30,954
  Pioneer Natural Resources Co. 4.450% 1/15/26 39,765 44,991
  Plains All American Pipeline LP / PAA Finance Corp. 3.850% 10/15/23 18,518 19,569
  Plains All American Pipeline LP / PAA Finance Corp. 3.600% 11/1/24 30,937 33,070
  Plains All American Pipeline LP / PAA Finance Corp. 4.650% 10/15/25 69,905 78,323
  Plains All American Pipeline LP / PAA Finance Corp. 4.500% 12/15/26 6,300 7,115
7 Rattler Midstream LP 5.625% 7/15/25 1,053 1,100
  Sabine Pass Liquefaction LLC 6.250% 3/15/22 24,103 24,605
  Sabine Pass Liquefaction LLC 5.625% 4/15/23 83,467 89,404
19
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Sabine Pass Liquefaction LLC 5.750% 5/15/24 60,549 67,811
  Sabine Pass Liquefaction LLC 5.625% 3/1/25 97,746 111,929
  Sabine Pass Liquefaction LLC 5.875% 6/30/26 61,066 72,626
7 SAGlobal Sukuk Ltd. 0.946% 6/17/24 34,667 34,630
7 SAGlobal Sukuk Ltd. 1.602% 6/17/26 9,858 9,867
  Saudi Arabian Oil Co. 2.875% 4/16/24 13,400 14,081
  Schlumberger Finance Canada Ltd. 1.400% 9/17/25 14,635 14,902
  Shell International Finance BV 2.000% 11/7/24 97,255 101,384
  Shell International Finance BV 2.375% 4/6/25 33,945 35,797
  Shell International Finance BV 3.250% 5/11/25 58,686 63,969
  Shell International Finance BV 2.875% 5/10/26 17,236 18,738
  Sinopec Group Overseas Development 2012 Ltd. 3.900% 5/17/22 8,873 9,100
7 Sinopec Group Overseas Development 2013 Ltd. 4.375% 10/17/23 21,800 23,488
  Sinopec Group Overseas Development 2013 Ltd. 4.375% 10/17/23 30,630 33,058
  Sinopec Group Overseas Development 2015 Ltd. 3.250% 4/28/25 10,000 10,748
  Sinopec Group Overseas Development 2017 Ltd. 2.500% 9/13/22 38,173 38,956
  Spectra Energy Partners LP 3.500% 3/15/25 11,985 12,967
  State Oil Co. of the Azerbaijan Republic 4.750% 3/13/23 6,595 6,954
  Suncor Energy Inc. 2.800% 5/15/23 44,265 45,980
  Suncor Energy Inc. 3.600% 12/1/24 9,685 10,475
  Suncor Energy Inc. 3.100% 5/15/25 38,202 40,962
7 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.500% 10/1/25 250 272
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.500% 7/15/27 1,760 1,907
  TotalEnergies Capital International SA 3.700% 1/15/24 12,701 13,710
  TotalEnergies Capital International SA 2.434% 1/10/25 77,470 81,557
  TransCanada PipeLines Ltd. 2.500% 8/1/22 60,016 61,320
  TransCanada PipeLines Ltd. 3.750% 10/16/23 28,622 30,440
  TransCanada PipeLines Ltd. 4.875% 1/15/26 28,389 32,788
  Valero Energy Corp. 2.700% 4/15/23 19,175 19,859
  Valero Energy Corp. 1.200% 3/15/24 37,665 38,004
  Valero Energy Corp. 2.850% 4/15/25 23,370 24,775
  Valero Energy Corp. 3.400% 9/15/26 22,860 24,820
  Western Midstream Operating LP 5.300% 2/1/30 5,530 6,210
  Williams Cos. Inc. 7.875% 9/1/21 3,900 3,922
  Williams Cos. Inc. 3.600% 3/15/22 87,852 89,114
  Williams Cos. Inc. 3.350% 8/15/22 9,730 9,956
  Williams Cos. Inc. 3.700% 1/15/23 15,910 16,534
  Williams Cos. Inc. 4.500% 11/15/23 78,400 84,601
  Williams Cos. Inc. 4.550% 6/24/24 115,409 127,026
  Williams Cos. Inc. 3.900% 1/15/25 13,788 15,070
  Williams Cos. Inc. 4.000% 9/15/25 9,899 10,987
            5,995,613
Financials (28.0%)
7 ABN AMRO Bank NV 1.542% 6/16/27 39,160 39,237
  ABN AMRO Bank NV 4.400% 3/27/28 22,000 23,145
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.300% 1/23/23 27,350 28,292
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.125% 7/3/23 10,230 10,825
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.500% 9/15/23 61,208 65,529
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.875% 1/16/24 14,000 15,223
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.150% 2/15/24 33,690 35,327
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.875% 8/14/24 38,553 40,295
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.500% 1/15/25 26,615 28,287
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.500% 7/15/25 24,230 28,379
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450% 10/1/25 8,400 9,271
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.750% 1/30/26 47,476 47,212
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450% 4/3/26 2,855 3,152
  Affiliated Managers Group Inc. 3.500% 8/1/25 9,700 10,599
  Aflac Inc. 3.250% 3/17/25 5,820 6,338
  Aflac Inc. 1.125% 3/15/26 18,735 18,880
  Air Lease Corp. 2.250% 1/15/23 22,025 22,577
  Air Lease Corp. 2.750% 1/15/23 7,588 7,822
20
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Air Lease Corp. 3.875% 7/3/23 10,700 11,336
  Air Lease Corp. 4.250% 2/1/24 18,766 20,301
  Air Lease Corp. 2.300% 2/1/25 34,000 35,282
  Air Lease Corp. 3.250% 3/1/25 2,910 3,109
  Air Lease Corp. 3.375% 7/1/25 29,915 32,261
  Air Lease Corp. 2.875% 1/15/26 62,885 66,506
  Aircastle Ltd. 4.400% 9/25/23 4,850 5,190
  Aircastle Ltd. 4.125% 5/1/24 6,790 7,265
7 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.250% 10/15/27 1,185 1,177
7 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.750% 10/15/27 120 125
  Allstate Corp. 0.750% 12/15/25 9,662 9,636
  Ally Financial Inc. 4.125% 2/13/22 15,564 15,867
  Ally Financial Inc. 4.625% 5/19/22 6,730 6,953
  Ally Financial Inc. 1.450% 10/2/23 75,800 76,950
  Ally Financial Inc. 3.875% 5/21/24 46,879 50,647
  Ally Financial Inc. 5.125% 9/30/24 1,655 1,860
  Ally Financial Inc. 4.625% 3/30/25 3,814 4,276
  Ally Financial Inc. 5.800% 5/1/25 1,940 2,256
  Ally Financial Inc. 5.750% 11/20/25 4,850 5,548
  American Express Co. 3.700% 11/5/21 35,380 35,592
  American Express Co. 2.750% 5/20/22 31,360 31,922
  American Express Co. 2.500% 8/1/22 9,760 9,961
  American Express Co. 3.700% 8/3/23 155,698 165,664
  American Express Co. 3.400% 2/22/24 44,050 47,094
  American Express Co. 2.500% 7/30/24 89,030 93,967
  American Express Co. 3.000% 10/30/24 31,027 33,261
  American Express Co. 4.200% 11/6/25 16,315 18,551
  American Express Co. 3.125% 5/20/26 6,545 7,184
  American International Group Inc. 2.500% 6/30/25 88,167 93,131
  American International Group Inc. 3.750% 7/10/25 29,786 32,815
  Ameriprise Financial Inc. 3.700% 10/15/24 23,893 26,190
  Ameriprise Financial Inc. 3.000% 4/2/25 20,610 22,142
7 Antares Holdings LP 3.950% 7/15/26 20,925 22,198
7 Antares Holdings LP 2.750% 1/15/27 23,100 23,122
  Aon plc 4.000% 11/27/23 27,482 29,446
  Aon plc 3.500% 6/14/24 42,490 45,700
  Aon plc 3.875% 12/15/25 10,782 12,020
7 Apollo Management Holdings LP 4.000% 5/30/24 4,835 5,276
  Ares Capital Corp. 2.150% 7/15/26 29,000 29,237
  Assurant Inc. 4.200% 9/27/23 9,700 10,401
8 Athene Global Funding 1.875% 6/23/23 24,185 29,801
7 Athene Global Funding 1.200% 10/13/23 36,190 36,665
7 Athene Global Funding 0.950% 1/8/24 34,970 35,230
8 Athene Global Funding 1.125% 9/2/25 24,465 30,288
7 Australia & New Zealand Banking Group Ltd. 2.950% 7/22/30 50,299 52,599
6,10 Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000% 2.025% 7/26/29 38,688 29,264
9 Aviva plc 6.125% 11/14/36 5,950 10,078
7 Avolon Holdings Funding Ltd. 2.125% 2/21/26 30,875 31,015
7 Avolon Holdings Funding Ltd. 4.250% 4/15/26 20,690 22,606
7 Avolon Holdings Funding Ltd. 4.375% 5/1/26 1,237 1,359
8 Banco Bilbao Vizcaya Argentaria SA 2.575% 2/22/29 1,100 1,378
  Banco Santander SA 3.125% 2/23/23 21,400 22,248
  Banco Santander SA 2.706% 6/27/24 78,400 82,716
  Banco Santander SA 0.701% 6/30/24 16,085 16,136
  Banco Santander SA 2.746% 5/28/25 80,170 84,625
  Banco Santander SA 5.179% 11/19/25 5,225 5,987
  Banco Santander SA 1.849% 3/25/26 29,250 29,784
6,10 Banco Santander SA, 3M Australian Bank Bill Rate + 1.650% 1.675% 1/19/23 14,400 10,696
  Bank of America Corp. 3.124% 1/20/23 46,075 46,667
  Bank of America Corp. 2.816% 7/21/23 19,500 19,952
21
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
8 Bank of America Corp. 0.750% 7/26/23 65,745 79,632
  Bank of America Corp. 3.004% 12/20/23 101,268 104,753
  Bank of America Corp. 4.125% 1/22/24 48,795 53,074
  Bank of America Corp. 3.550% 3/5/24 156,731 164,111
  Bank of America Corp. 4.000% 4/1/24 14,195 15,470
  Bank of America Corp. 0.523% 6/14/24 21,300 21,308
  Bank of America Corp. 3.864% 7/23/24 43,351 46,093
  Bank of America Corp. 4.200% 8/26/24 20,727 22,721
  Bank of America Corp. 0.810% 10/24/24 59,850 60,085
  Bank of America Corp. 4.000% 1/22/25 94,485 103,715
  Bank of America Corp. 3.458% 3/15/25 9,700 10,364
  Bank of America Corp. 3.950% 4/21/25 81,301 89,295
  Bank of America Corp. 0.976% 4/22/25 89,163 89,643
  Bank of America Corp. 3.875% 8/1/25 4,645 5,185
  Bank of America Corp. 0.981% 9/25/25 49,430 49,526
  Bank of America Corp. 3.093% 10/1/25 80,345 85,760
  Bank of America Corp. 2.456% 10/22/25 19,250 20,169
  Bank of America Corp. 3.366% 1/23/26 53,253 57,349
  Bank of America Corp. 2.015% 2/13/26 70,770 73,060
  Bank of America Corp. 4.450% 3/3/26 23,458 26,563
  Bank of America Corp. 1.319% 6/19/26 71,740 72,148
  Bank of America Corp. 1.197% 10/24/26 29,580 29,525
  Bank of America Corp. 1.658% 3/11/27 19,415 19,726
  Bank of America Corp. 1.734% 7/22/27 99,520 101,293
  Bank of Montreal 3.300% 2/5/24 134,729 144,161
  Bank of Montreal 0.625% 7/9/24 38,925 38,989
  Bank of Montreal 0.949% 1/22/27 24,275 24,125
  Bank of Montreal 4.338% 10/5/28 95,773 102,641
  Bank of New York Mellon Corp. 2.661% 5/16/23 4,850 4,941
  Bank of New York Mellon Corp. 3.650% 2/4/24 7,930 8,538
  Bank of New York Mellon Corp. 3.400% 5/15/24 17,380 18,727
  Bank of New York Mellon Corp. 3.250% 9/11/24 7,855 8,484
  Bank of New York Mellon Corp. 2.100% 10/24/24 4,590 4,813
  Bank of New York Mellon Corp. 3.000% 2/24/25 21,580 23,286
  Bank of New York Mellon Corp. 1.600% 4/24/25 32,270 33,258
  Bank of New York Mellon Corp. 2.800% 5/4/26 4,641 5,018
  Bank of New York Mellon Corp. 2.450% 8/17/26 10,000 10,667
7 Bank of New Zealand 1.000% 3/3/26 4,330 4,308
  Bank of Nova Scotia 0.700% 4/15/24 38,855 38,989
  Bank of Nova Scotia 0.650% 7/31/24 25,170 25,203
  Bank of Nova Scotia 2.200% 2/3/25 80,899 84,855
  Bank of Nova Scotia 1.300% 6/11/25 46,410 47,128
  Bank of Nova Scotia 4.500% 12/16/25 16,780 19,131
  Bank of Nova Scotia 1.050% 3/2/26 44,685 44,579
  Bank of Nova Scotia 1.350% 6/24/26 55,250 55,751
7 Banque Federative du Credit Mutuel SA 0.650% 2/27/24 37,920 37,934
7 Banque Federative du Credit Mutuel SA 2.375% 11/21/24 23,000 24,094
  Barclays plc 3.684% 1/10/23 4,260 4,321
9 Barclays plc 3.125% 1/17/24 14,575 21,300
  Barclays plc 4.375% 9/11/24 47,414 51,729
  Barclays plc 1.007% 12/10/24 53,410 53,598
  Barclays plc 3.650% 3/16/25 38,535 41,887
  Barclays plc 3.932% 5/7/25 51,325 55,401
  Barclays plc 4.375% 1/12/26 32,833 37,047
  Barclays plc 2.852% 5/7/26 96,646 102,529
  Barclays plc 5.200% 5/12/26 9,800 11,305
8 Barclays plc 2.000% 2/7/28 2,000 2,432
8 Belfius Bank SA 0.375% 2/13/26 1,300 1,566
8 Berkshire Hathaway Inc. 0.625% 1/17/23 1,510 1,815
8 Blackstone Property Partners Europe Holdings Sarl 1.400% 7/6/22 26,785 32,091
8 Blackstone Property Partners Europe Holdings Sarl 0.500% 9/12/23 21,547 25,819
22
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
8 Blackstone Property Partners Europe Holdings Sarl 1.250% 4/26/27 600 735
8 BNP Paribas SA 0.500% 7/15/25 24,300 29,317
7 BNP Paribas SA 2.819% 11/19/25 18,898 19,886
7 BNP Paribas SA 2.219% 6/9/26 16,200 16,753
7 BNP Paribas SA 1.323% 1/13/27 46,345 45,955
7 BOC Aviation Ltd. 2.375% 9/15/21 29,210 29,224
7 BPCE SA 5.700% 10/22/23 29,100 32,130
7 BPCE SA 2.375% 1/14/25 37,030 38,639
7 BPCE SA 1.000% 1/20/26 30,245 30,058
6,10 BPCE SA, 3M Australian Bank Bill Rate + 1.100% 1.125% 4/26/23 21,540 16,029
  Brookfield Asset Management Inc. 4.000% 1/15/25 19,800 21,769
  Brown & Brown Inc. 4.200% 9/15/24 33,202 36,417
  Canadian Imperial Bank of Commerce 2.606% 7/22/23 23,183 23,690
  Canadian Imperial Bank of Commerce 3.100% 4/2/24 27,720 29,527
  Canadian Imperial Bank of Commerce 0.950% 10/23/25 16,780 16,812
  Canadian Imperial Bank of Commerce 1.250% 6/22/26 58,365 58,544
7 Canadian Imperial Bank of Commerce 1.150% 7/8/26 18,900 19,092
  Capital One Bank USA NA 2.014% 1/27/23 67,900 68,433
  Capital One Bank USA NA 3.375% 2/15/23 29,149 30,446
  Capital One Bank USA NA 2.280% 1/28/26 46,330 48,263
  Capital One Financial Corp. 3.050% 3/9/22 38,860 39,418
  Capital One Financial Corp. 2.600% 5/11/23 26,934 27,945
  Capital One Financial Corp. 3.500% 6/15/23 1,210 1,277
  Capital One Financial Corp. 3.900% 1/29/24 19,550 21,067
  Capital One Financial Corp. 3.750% 4/24/24 15,000 16,207
  Capital One Financial Corp. 3.300% 10/30/24 14,500 15,644
  Capital One NA 2.250% 9/13/21 15,602 15,626
  Charles Schwab Corp. 3.550% 2/1/24 2,840 3,055
  Charles Schwab Corp. 0.750% 3/18/24 17,510 17,651
  Charles Schwab Corp. 4.200% 3/24/25 2,552 2,860
  Charles Schwab Corp. 3.850% 5/21/25 49,040 54,463
  Charles Schwab Corp. 0.900% 3/11/26 29,040 29,042
  Charles Schwab Corp. 1.150% 5/13/26 29,150 29,427
  Chubb INA Holdings Inc. 2.700% 3/13/23 10,005 10,390
  Chubb INA Holdings Inc. 3.350% 5/15/24 94,408 101,739
  Chubb INA Holdings Inc. 3.150% 3/15/25 31,665 34,370
  Chubb INA Holdings Inc. 3.350% 5/3/26 72,851 80,426
  CIT Group Inc. 4.750% 2/16/24 18,348 19,789
  CIT Group Inc. 3.929% 6/19/24 8,221 8,634
6,10 Citibank NA, 3M Australian Bank Bill Rate + 0.750% 0.793% 5/20/22 13,800 10,176
  Citigroup Inc. 4.500% 1/14/22 8,760 8,927
  Citigroup Inc. 2.750% 4/25/22 34,244 34,793
  Citigroup Inc. 2.312% 11/4/22 62,640 62,953
  Citigroup Inc. 3.142% 1/24/23 65,832 66,707
  Citigroup Inc. 3.500% 5/15/23 18,000 18,935
  Citigroup Inc. 2.876% 7/24/23 47,810 48,949
  Citigroup Inc. 1.678% 5/15/24 20,210 20,625
  Citigroup Inc. 4.044% 6/1/24 71,725 76,231
  Citigroup Inc. 3.750% 6/16/24 1,800 1,957
  Citigroup Inc. 0.776% 10/30/24 25,890 25,989
  Citigroup Inc. 3.875% 3/26/25 26,482 29,071
  Citigroup Inc. 3.352% 4/24/25 76,179 81,334
  Citigroup Inc. 3.300% 4/27/25 11,650 12,692
  Citigroup Inc. 0.981% 5/1/25 29,145 29,302
  Citigroup Inc. 4.400% 6/10/25 28,325 31,683
  Citigroup Inc. 5.500% 9/13/25 2,615 3,052
  Citigroup Inc. 4.600% 3/9/26 46,660 53,427
  Citigroup Inc. 3.106% 4/8/26 82,755 88,638
8 Citigroup Inc. 1.500% 7/24/26 1,350 1,693
  Citigroup Inc. 3.200% 10/21/26 7,025 7,660
  Citigroup Inc. 1.122% 1/28/27 29,100 28,861
23
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Citigroup Inc. 1.462% 6/9/27 62,560 62,697
6,10 Citigroup Inc., 3M Australian Bank Bill Rate + 1.720% 1.745% 10/27/23 5,800 4,374
  Citizens Bank NA 3.250% 2/14/22 9,719 9,850
  CNO Financial Group Inc. 5.250% 5/30/25 22,250 25,317
8 Commonwealth Bank of Australia 1.936% 10/3/29 700 872
  Cooperatieve Rabobank UA 3.950% 11/9/22 2,623 2,741
7 Cooperatieve Rabobank UA 3.875% 9/26/23 77,820 83,438
  Cooperatieve Rabobank UA 4.625% 12/1/23 88,770 96,851
8 Cooperatieve Rabobank UA 0.625% 2/27/24 15,200 18,463
7 Cooperatieve Rabobank UA 2.625% 7/22/24 9,720 10,258
  Cooperatieve Rabobank UA 4.375% 8/4/25 18,700 20,980
  Cooperatieve Rabobank UA 3.750% 7/21/26 1,250 1,385
7 Cooperatieve Rabobank UA 1.004% 9/24/26 14,600 14,551
7 Cooperatieve Rabobank UA 1.106% 2/24/27 23,750 23,610
9 Credit Agricole SA 7.375% 12/18/23 21,000 33,563
8 Credit Agricole SA 3.125% 2/5/26 2,000 2,728
7 Credit Agricole SA 1.247% 1/26/27 26,940 26,717
8 Credit Mutuel Arkea SA 1.250% 5/31/24 1,800 2,217
  Credit Suisse AG 1.000% 5/5/23 27,250 27,542
  Credit Suisse AG 0.495% 2/2/24 17,465 17,425
  Credit Suisse AG 3.625% 9/9/24 64,404 70,060
  Credit Suisse AG 2.950% 4/9/25 28,600 30,723
6,10 Credit Suisse AG, 3M Australian Bank Bill Rate + 1.150% 1.190% 5/26/23 29,040 21,656
7 Credit Suisse Group AG 3.574% 1/9/23 31,845 32,279
  Credit Suisse Group AG 3.800% 6/9/23 56,320 59,569
7 Credit Suisse Group AG 4.207% 6/12/24 62,630 66,534
  Credit Suisse Group AG 3.750% 3/26/25 21,716 23,656
7 Credit Suisse Group AG 1.305% 2/2/27 19,480 19,222
6,10 Credit Suisse Group AG, 3M Australian Bank Bill Rate + 1.250% 1.275% 3/8/24 9,240 6,815
7 Danske Bank A/S 2.000% 9/8/21 25,872 25,920
7 Danske Bank A/S 3.001% 9/20/22 39,000 39,119
7 Danske Bank A/S 3.875% 9/12/23 34,000 36,163
7 Danske Bank A/S 1.171% 12/8/23 43,945 44,170
8 Danske Bank A/S 2.500% 6/21/29 1,100 1,379
8 Danske Bank A/S 1.000% 5/15/31 4,500 5,385
  Deutsche Bank AG 0.898% 5/28/24 43,600 43,543
  Deutsche Bank AG 2.222% 9/18/24 27,415 28,138
  Deutsche Bank AG 1.447% 4/1/25 29,140 29,400
  Deutsche Bank AG 1.686% 3/19/26 19,425 19,705
  Deutsche Bank AG 2.129% 11/24/26 51,200 52,349
  Development Bank of Kazakhstan JSC 4.125% 12/10/22 38,730 40,360
7 Development Bank of Kazakhstan JSC 2.950% 5/6/31 7,300 7,290
7,11 Dexia Credit Local SA 2.375% 9/20/22 5,800 5,941
  Discover Bank 4.200% 8/8/23 37,294 40,064
  Discover Bank 2.450% 9/12/24 34,165 35,778
  Discover Bank 4.682% 8/9/28 14,450 15,356
  Discover Financial Services 3.950% 11/6/24 4,535 4,951
7 DNB Bank ASA 1.127% 9/16/26 20,160 20,136
7 DNB Bank ASA 1.535% 5/25/27 24,275 24,499
7 Equitable Financial Life Global Funding 0.500% 4/6/23 36,420 36,513
  Equitable Holdings Inc. 3.900% 4/20/23 29,609 31,262
7 F&G Global Funding 1.750% 6/30/26 31,600 32,258
8 FCA Bank SPA 0.625% 11/24/22 9,700 11,625
7 Fidelity & Guaranty Life Holdings Inc. 5.500% 5/1/25 30,685 35,378
  Fidelity National Financial Inc. 5.500% 9/1/22 2,370 2,497
  Fifth Third Bancorp 3.650% 1/25/24 29,100 31,207
  First Republic Bank 2.500% 6/6/22 91,570 93,108
  First Republic Bank 1.912% 2/12/24 29,621 30,222
7 Five Corners Funding Trust 4.419% 11/15/23 89,012 96,796
  Franklin Resources Inc. 2.800% 9/15/22 13,112 13,474
  FS KKR Capital Corp. 3.400% 1/15/26 17,880 18,676
24
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 GA Global Funding Trust 1.000% 4/8/24 29,135 29,349
7 GA Global Funding Trust 1.625% 1/15/26 12,550 12,803
  GATX Corp. 3.250% 3/30/25 2,109 2,266
  GATX Corp. 3.250% 9/15/26 9,710 10,552
  GE Capital Funding LLC 3.450% 5/15/25 17,770 19,381
  GE Capital International Funding Co. Unlimited Co. 3.373% 11/15/25 45,311 49,740
  Goldman Sachs Group Inc. 2.876% 10/31/22 52,755 53,060
  Goldman Sachs Group Inc. 0.481% 1/27/23 73,000 73,029
  Goldman Sachs Group Inc. 2.908% 6/5/23 28,813 29,414
  Goldman Sachs Group Inc. 2.905% 7/24/23 32,411 33,169
  Goldman Sachs Group Inc. 0.627% 11/17/23 52,380 52,409
  Goldman Sachs Group Inc. 3.625% 2/20/24 62,105 66,527
  Goldman Sachs Group Inc. 4.000% 3/3/24 29,010 31,439
  Goldman Sachs Group Inc. 0.673% 3/8/24 33,975 34,037
  Goldman Sachs Group Inc. 3.850% 7/8/24 48,492 52,588
  Goldman Sachs Group Inc. 0.657% 9/10/24 208,145 208,080
  Goldman Sachs Group Inc. 3.500% 1/23/25 51,450 55,636
8 Goldman Sachs Group Inc. 3.375% 3/27/25 29,600 39,513
  Goldman Sachs Group Inc. 3.500% 4/1/25 90,415 98,293
  Goldman Sachs Group Inc. 3.750% 5/22/25 83,185 91,120
  Goldman Sachs Group Inc. 3.272% 9/29/25 99,376 106,545
  Goldman Sachs Group Inc. 4.250% 10/21/25 45,559 51,118
  Goldman Sachs Group Inc. 0.855% 2/12/26 24,905 24,800
8 Goldman Sachs Group Inc. 2.875% 6/3/26 19,500 26,223
  Goldman Sachs Group Inc. 3.500% 11/16/26 25,155 27,516
  Goldman Sachs Group Inc. 1.093% 12/9/26 37,910 37,659
  Goldman Sachs Group Inc. 1.431% 3/9/27 63,420 63,713
6,10 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200% 1.239% 5/16/23 29,170 21,681
6,10 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.370% 1.395% 9/8/21 19,280 14,163
7 Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 14,450 14,390
9 Hastings Group Finance plc 3.000% 5/24/25 19,430 28,720
  HSBC Holdings plc 3.262% 3/13/23 89,049 90,621
  HSBC Holdings plc 3.600% 5/25/23 52,881 55,927
9 HSBC Holdings plc 2.175% 6/27/23 14,500 20,434
  HSBC Holdings plc 3.033% 11/22/23 87,945 90,957
12 HSBC Holdings plc 3.196% 12/5/23 48,400 40,652
10 HSBC Holdings plc 3.350% 2/16/24 9,909 7,569
  HSBC Holdings plc 4.250% 3/14/24 54,345 58,730
  HSBC Holdings plc 3.950% 5/18/24 61,416 65,117
  HSBC Holdings plc 3.803% 3/11/25 58,275 62,626
  HSBC Holdings plc 0.976% 5/24/25 59,700 59,853
  HSBC Holdings plc 4.250% 8/18/25 33,878 37,572
  HSBC Holdings plc 2.633% 11/7/25 47,395 49,692
  HSBC Holdings plc 1.645% 4/18/26 103,654 105,224
  HSBC Holdings plc 2.099% 6/4/26 117,457 121,166
  HSBC Holdings plc 4.292% 9/12/26 35,483 39,600
8 HSBC Holdings plc 0.309% 11/13/26 1,100 1,317
  HSBC Holdings plc 1.589% 5/24/27 48,896 49,223
9 HSBC Holdings plc 1.750% 7/24/27 8,200 11,524
6,10 HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% 1.139% 2/16/24 17,314 12,809
  Huntington Bancshares Inc. 4.350% 2/4/23 8,800 9,279
  Huntington National Bank 3.550% 10/6/23 35,240 37,543
  ING Groep NV 3.550% 4/9/24 4,800 5,169
  ING Groep NV 1.726% 4/1/27 19,420 19,774
  Intercontinental Exchange Inc. 0.700% 6/15/23 24,540 24,682
  Intercontinental Exchange Inc. 4.000% 10/15/23 40,240 43,315
  Intercontinental Exchange Inc. 3.750% 12/1/25 12,778 14,179
7 Intesa Sanpaolo SPA 3.250% 9/23/24 51,560 54,878
8 Intesa Sanpaolo SPA 0.625% 2/24/26 19,400 23,204
  Invesco Finance plc 3.125% 11/30/22 28,515 29,538
  Invesco Finance plc 4.000% 1/30/24 40,732 44,072
25
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Invesco Finance plc 3.750% 1/15/26 2,910 3,233
  Jefferies Group LLC 5.125% 1/20/23 13,585 14,481
  JPMorgan Chase & Co. 3.207% 4/1/23 61,154 62,328
  JPMorgan Chase & Co. 2.776% 4/25/23 92,825 94,473
  JPMorgan Chase & Co. 2.700% 5/18/23 8,340 8,657
  JPMorgan Chase & Co. 3.559% 4/23/24 71,475 75,204
  JPMorgan Chase & Co. 3.625% 5/13/24 22,750 24,667
  JPMorgan Chase & Co. 1.514% 6/1/24 29,050 29,611
  JPMorgan Chase & Co. 3.797% 7/23/24 15,069 16,025
  JPMorgan Chase & Co. 3.875% 9/10/24 3,075 3,350
  JPMorgan Chase & Co. 0.653% 9/16/24 16,365 16,413
  JPMorgan Chase & Co. 4.023% 12/5/24 81,527 87,816
  JPMorgan Chase & Co. 3.125% 1/23/25 20,195 21,709
  JPMorgan Chase & Co. 0.563% 2/16/25 26,200 26,127
  JPMorgan Chase & Co. 3.220% 3/1/25 117,868 125,158
  JPMorgan Chase & Co. 0.824% 6/1/25 75,555 75,667
  JPMorgan Chase & Co. 0.969% 6/23/25 52,500 52,725
  JPMorgan Chase & Co. 3.900% 7/15/25 41,063 45,525
  JPMorgan Chase & Co. 2.301% 10/15/25 109,425 114,178
  JPMorgan Chase & Co. 2.005% 3/13/26 92,841 96,211
  JPMorgan Chase & Co. 2.083% 4/22/26 143,080 148,509
  JPMorgan Chase & Co. 3.200% 6/15/26 25,000 27,359
  JPMorgan Chase & Co. 1.045% 11/19/26 95,188 94,619
  JPMorgan Chase & Co. 1.040% 2/4/27 42,800 42,379
  JPMorgan Chase & Co. 1.578% 4/22/27 58,550 59,271
  Kemper Corp. 4.350% 2/15/25 13,849 15,216
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 5.250% 10/1/25 3,880 3,938
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.250% 2/1/27 1,595 1,593
  Lazard Group LLC 3.750% 2/13/25 7,625 8,315
13,14 Lehman Brothers E-Capital Trust I 3.589% 8/19/65 9,410 1
  Lincoln National Corp. 4.000% 9/1/23 8,850 9,481
8 Lloyds Bank Corporate Markets plc 0.375% 1/28/25 1,200 1,450
  Lloyds Banking Group plc 2.858% 3/17/23 56,965 57,827
  Lloyds Banking Group plc 1.326% 6/15/23 61,255 61,711
  Lloyds Banking Group plc 4.050% 8/16/23 53,550 57,295
  Lloyds Banking Group plc 2.907% 11/7/23 133,035 137,027
  Lloyds Banking Group plc 3.900% 3/12/24 14,500 15,691
  Lloyds Banking Group plc 0.695% 5/11/24 74,780 75,044
  Lloyds Banking Group plc 4.500% 11/4/24 19,450 21,567
  Lloyds Banking Group plc 4.450% 5/8/25 30,695 34,526
  Lloyds Banking Group plc 3.870% 7/9/25 21,410 23,212
  Lloyds Banking Group plc 4.582% 12/10/25 37,480 42,253
  Lloyds Banking Group plc 2.438% 2/5/26 14,700 15,392
  Lloyds Banking Group plc 1.627% 5/11/27 19,415 19,562
7 LSEGA Financing plc 0.650% 4/6/24 39,665 39,750
7 LSEGA Financing plc 1.375% 4/6/26 34,875 35,097
8 Luminor Bank AS 0.792% 12/3/24 5,344 6,409
10 Macquarie Bank Ltd. 1.750% 6/21/22 2,910 2,163
6,10 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.750% 0.778% 6/21/22 54,720 40,349
6,10 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900% 2.940% 5/28/30 33,130 25,709
10 Macquarie Group Ltd. 3.250% 12/15/22 6,400 4,741
7 Macquarie Group Ltd. 3.189% 11/28/23 11,250 11,637
  Macquarie Group Ltd. 3.189% 11/28/23 29,040 30,038
7 Macquarie Group Ltd. 1.340% 1/12/27 19,425 19,393
7 Macquarie Group Ltd. 1.629% 9/23/27 29,145 29,275
6,10 Macquarie Group Ltd., 3M Australian Bank Bill Rate + 1.150% 1.174% 12/15/22 33,920 24,959
  Marsh & McLennan Cos. Inc. 3.300% 3/14/23 4,791 4,997
  Marsh & McLennan Cos. Inc. 4.050% 10/15/23 9,700 10,372
  Marsh & McLennan Cos. Inc. 3.500% 6/3/24 49,082 52,819
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25 29,500 32,148
7 MassMutual Global Funding II 2.750% 6/22/24 54,080 57,414
26
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  MetLife Inc. 3.600% 4/10/24 6,554 7,089
7 Metropolitan Life Global Funding I 0.900% 6/8/23 23,630 23,890
7 Metropolitan Life Global Funding I 0.400% 1/7/24 19,960 19,930
7 Metropolitan Life Global Funding I 3.600% 1/11/24 9,860 10,607
8 Metropolitan Life Global Funding I 0.375% 4/9/24 14,505 17,528
  Mitsubishi UFJ Financial Group Inc. 3.761% 7/26/23 98,645 105,107
  Mitsubishi UFJ Financial Group Inc. 2.527% 9/13/23 8,775 9,166
  Mitsubishi UFJ Financial Group Inc. 3.407% 3/7/24 48,925 52,407
  Mitsubishi UFJ Financial Group Inc. 2.801% 7/18/24 27,840 29,489
  Mitsubishi UFJ Financial Group Inc. 0.848% 9/15/24 73,974 74,333
  Mitsubishi UFJ Financial Group Inc. 2.193% 2/25/25 96,850 101,021
  Mitsubishi UFJ Financial Group Inc. 3.777% 3/2/25 78,174 85,992
  Mitsubishi UFJ Financial Group Inc. 1.412% 7/17/25 48,955 49,695
  Mitsubishi UFJ Financial Group Inc. 0.953% 7/19/25 75,855 76,281
  Mitsubishi UFJ Financial Group Inc. 1.538% 7/20/27 63,900 64,642
7 Mizuho Bank Ltd. 2.950% 10/17/22 1,772 1,829
7 Mizuho Bank Ltd. 3.750% 4/16/24 5,100 5,527
7 Mizuho Bank Ltd. 3.600% 9/25/24 8,300 9,017
  Mizuho Financial Group Inc. 2.273% 9/13/21 6,295 6,310
  Mizuho Financial Group Inc. 2.721% 7/16/23 58,200 59,524
  Mizuho Financial Group Inc. 1.241% 7/10/24 41,950 42,513
  Mizuho Financial Group Inc. 2.555% 9/13/25 29,200 30,695
  Mizuho Financial Group Inc. 2.226% 5/25/26 19,200 19,956
  Mizuho Financial Group Inc. 1.234% 5/22/27 35,790 35,599
  Mizuho Financial Group Inc. 1.554% 7/9/27 33,200 33,552
  Morgan Stanley 4.875% 11/1/22 36,039 38,005
  Morgan Stanley 3.125% 1/23/23 151,394 157,485
  Morgan Stanley 3.750% 2/25/23 24,905 26,197
  Morgan Stanley 4.100% 5/22/23 34,000 36,138
  Morgan Stanley 0.560% 11/10/23 43,460 43,540
  Morgan Stanley 0.529% 1/25/24 145,450 145,480
  Morgan Stanley 0.731% 4/5/24 36,085 36,207
  Morgan Stanley 3.737% 4/24/24 17,765 18,747
  Morgan Stanley 3.875% 4/29/24 16,900 18,376
  Morgan Stanley 3.700% 10/23/24 28,860 31,510
  Morgan Stanley 0.791% 1/22/25 50,700 50,786
  Morgan Stanley 0.790% 5/30/25 132,320 132,161
  Morgan Stanley 2.720% 7/22/25 125,360 131,967
  Morgan Stanley 4.000% 7/23/25 62,301 69,394
  Morgan Stanley 0.864% 10/21/25 11,410 11,416
  Morgan Stanley 5.000% 11/24/25 65,705 76,015
  Morgan Stanley 2.188% 4/28/26 91,370 94,939
  Morgan Stanley 3.125% 7/27/26 6,054 6,587
  Morgan Stanley 0.985% 12/10/26 34,615 34,232
  Morgan Stanley 1.593% 5/4/27 32,335 32,825
  Morgan Stanley 1.512% 7/20/27 48,600 48,999
8 Morgan Stanley 0.406% 10/29/27 8,226 9,876
  MUFG Americas Holdings Corp. 3.000% 2/10/25 9,315 9,977
  MUFG Union Bank NA 2.100% 12/9/22 37,000 37,837
  Nasdaq Inc. 0.445% 12/21/22 9,000 9,004
  Nasdaq Inc. 4.250% 6/1/24 9,000 9,825
7 National Bank of Canada 2.150% 10/7/22 37,000 37,792
  National Bank of Canada 2.100% 2/1/23 42,000 43,068
  National Bank of Canada 0.550% 11/15/24 29,260 29,203
7 National Securities Clearing Corp. 0.750% 12/7/25 24,500 24,343
7 Nationwide Building Society 3.766% 3/8/24 6,900 7,234
7 Nationwide Building Society 4.363% 8/1/24 17,052 18,249
8 Nationwide Building Society 0.250% 7/22/25 1,400 1,689
7 Nationwide Building Society 1.000% 8/28/25 23,130 23,136
8 Nationwide Building Society 2.000% 7/25/29 48,715 60,872
  Natwest Group plc 6.125% 12/15/22 5,503 5,900
27
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Natwest Group plc 3.498% 5/15/23 19,630 20,091
  Natwest Group plc 3.875% 9/12/23 36,709 39,153
  Natwest Group plc 2.359% 5/22/24 9,680 9,965
  Natwest Group plc 4.519% 6/25/24 24,958 26,729
  Natwest Group plc 4.269% 3/22/25 73,550 79,876
  Natwest Group plc 4.800% 4/5/26 3,200 3,679
  Natwest Group plc 1.642% 6/14/27 22,600 22,730
  Natwest Group plc 3.754% 11/1/29 30,080 32,006
9 Natwest Group plc 2.105% 11/28/31 7,300 10,221
7 New York Life Global Funding 1.100% 5/5/23 750 761
9 NIBC Bank NV 3.125% 11/15/23 11,500 16,775
  Nomura Holdings Inc. 2.648% 1/16/25 24,200 25,499
  Nomura Holdings Inc. 1.851% 7/16/25 29,565 30,278
  Nomura Holdings Inc. 1.653% 7/14/26 46,635 46,889
8 Nordea Bank Abp 1.000% 2/22/23 6,800 8,250
7 Nordea Bank Abp 0.750% 8/28/25 34,690 34,518
7 Northwestern Mutual Global Funding 0.800% 1/14/26 17,170 17,054
7 Nuveen Finance LLC 4.125% 11/1/24 14,375 15,911
8 Nykredit Realkredit A/S 0.250% 1/20/23 32,000 38,261
8 Nykredit Realkredit A/S 0.500% 7/10/25 1,750 2,132
8 OP Corporate Bank plc 1.625% 6/9/30 800 987
  ORIX Corp. 4.050% 1/16/24 3,850 4,170
  Owl Rock Capital Corp. 3.750% 7/22/25 9,580 10,195
  Owl Rock Capital Corp. 4.250% 1/15/26 1,940 2,100
  Owl Rock Capital Corp. 3.400% 7/15/26 23,530 24,740
7 Pacific Life Global Funding II 1.200% 6/24/25 18,360 18,552
9 Pension Insurance Corp. plc 6.500% 7/3/24 19,905 31,581
9 Phoenix Group Holdings plc 6.625% 12/18/25 16,210 27,135
  PNC Bank NA 2.700% 11/1/22 18,247 18,771
  PNC Bank NA 2.028% 12/9/22 25,610 25,763
  PNC Bank NA 1.743% 2/24/23 16,970 17,106
  PNC Bank NA 3.800% 7/25/23 21,354 22,707
  PNC Bank NA 3.300% 10/30/24 35,395 38,402
  PNC Bank NA 2.950% 2/23/25 20,340 21,907
  PNC Bank NA 3.250% 6/1/25 55,192 60,230
  PNC Financial Services Group Inc. 3.900% 4/29/24 7,900 8,572
  PNC Financial Services Group Inc. 2.600% 7/23/26 4,481 4,810
7 Protective Life Global Funding 0.502% 4/12/23 13,230 13,257
7 Protective Life Global Funding 1.618% 4/15/26 27,420 28,025
  Prudential Financial Inc. 4.500% 11/16/21 954 965
  Prudential Financial Inc. 5.200% 3/15/44 2,415 2,603
7 Reliance Standard Life Global Funding II 2.150% 1/21/23 14,020 14,356
7 Reliance Standard Life Global Funding II 3.850% 9/19/23 40,630 43,405
9 Rothesay Life plc 8.000% 10/30/25 13,825 24,139
  Royal Bank of Canada 3.700% 10/5/23 41,355 44,275
  Royal Bank of Canada 2.550% 7/16/24 145,403 153,641
  Royal Bank of Canada 2.250% 11/1/24 158,384 166,017
  Royal Bank of Canada 1.150% 6/10/25 27,870 28,144
  Royal Bank of Canada 1.200% 4/27/26 61,280 61,518
  Royal Bank of Canada 1.150% 7/14/26 49,684 49,770
  Santander Holdings USA Inc. 3.700% 3/28/22 47,351 48,205
  Santander Holdings USA Inc. 3.400% 1/18/23 58,410 60,710
  Santander Holdings USA Inc. 3.500% 6/7/24 46,300 49,550
  Santander Holdings USA Inc. 3.450% 6/2/25 30,410 32,760
  Santander Holdings USA Inc. 4.500% 7/17/25 21,517 23,910
  Santander UK Group Holdings plc 3.571% 1/10/23 5,930 6,011
  Santander UK Group Holdings plc 3.373% 1/5/24 68,117 70,727
  Santander UK Group Holdings plc 4.796% 11/15/24 25,877 28,236
  Santander UK Group Holdings plc 1.532% 8/21/26 19,325 19,476
  Santander UK Group Holdings plc 1.673% 6/14/27 43,500 43,731
7 Santander UK plc 5.000% 11/7/23 4,328 4,719
28
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Santander UK plc 4.000% 3/13/24 56,870 61,949
7 SBL Holdings Inc. 5.125% 11/13/26 15,088 16,786
9 Scottish Widows Ltd. 5.500% 6/16/23 16,354 24,575
7 Security Benefit Global Funding 1.250% 5/17/24 13,595 13,657
  Sixth Street Specialty Lending Inc. 2.500% 8/1/26 9,700 9,876
8 Skandinaviska Enskilda Banken AB 0.250% 5/19/23 5,650 6,783
7 Skandinaviska Enskilda Banken AB 0.550% 9/1/23 69,050 69,277
7 Skandinaviska Enskilda Banken AB 0.850% 9/2/25 3,675 3,665
7 Standard Chartered plc 1.319% 10/14/23 20,120 20,287
7 Standard Chartered plc 0.991% 1/12/25 38,795 38,797
7 Standard Chartered plc 1.214% 3/23/25 14,565 14,657
7 Standard Chartered plc 1.456% 1/14/27 12,125 12,076
6,10 Standard Chartered plc, 3M Australian Bank Bill Rate + 1.850% 1.880% 6/28/25 5,000 3,783
  State Street Corp. 2.825% 3/30/23 11,325 11,517
  State Street Corp. 3.776% 12/3/24 24,700 26,597
  State Street Corp. 3.550% 8/18/25 25,480 28,264
  State Street Corp. 2.354% 11/1/25 68,809 72,562
  State Street Corp. 2.901% 3/30/26 15,200 16,297
  Stifel Financial Corp. 4.250% 7/18/24 14,300 15,709
6,10 Sumitomo Mitsui Banking Corp., 3M Australian Bank Bill Rate + 0.950% 0.975% 6/5/23 31,750 23,614
  Sumitomo Mitsui Financial Group Inc. 2.784% 7/12/22 26,460 27,087
  Sumitomo Mitsui Financial Group Inc. 2.778% 10/18/22 11,372 11,714
  Sumitomo Mitsui Financial Group Inc. 3.102% 1/17/23 65,858 68,541
  Sumitomo Mitsui Financial Group Inc. 3.748% 7/19/23 67,572 71,977
  Sumitomo Mitsui Financial Group Inc. 3.936% 10/16/23 5,370 5,779
  Sumitomo Mitsui Financial Group Inc. 0.508% 1/12/24 7,200 7,192
  Sumitomo Mitsui Financial Group Inc. 2.696% 7/16/24 176,740 186,629
  Sumitomo Mitsui Financial Group Inc. 2.448% 9/27/24 4,800 5,045
  Sumitomo Mitsui Financial Group Inc. 2.348% 1/15/25 40,900 42,860
  Sumitomo Mitsui Financial Group Inc. 1.474% 7/8/25 48,465 49,243
  Sumitomo Mitsui Financial Group Inc. 3.784% 3/9/26 14,600 16,350
8 Sumitomo Mitsui Financial Group Inc. 1.546% 6/15/26 800 1,022
6,10 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.200% 1.225% 3/7/23 20,359 15,134
6,10 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.250% 1.274% 10/16/24 28,365 21,342
6,10 Sumitomo Mitsui Financial Group Inc., 3M Australian Bank Bill Rate + 1.270% 1.300% 3/29/22 41,051 30,328
10 Svenska Handelsbanken AB 3.250% 9/27/23 12,610 9,783
7 Svenska Handelsbanken AB 0.550% 6/11/24 20,800 20,794
8 Svenska Handelsbanken AB 0.125% 6/18/24 12,145 14,628
7 Svenska Handelsbanken AB 1.418% 6/11/27 13,000 13,076
7 Swedbank AB 0.600% 9/25/23 31,045 31,119
8 Swedbank AB 0.750% 5/5/25 1,700 2,092
  Synchrony Bank 3.000% 6/15/22 11,600 11,840
  Synchrony Financial 2.850% 7/25/22 32,785 33,515
  Synchrony Financial 4.375% 3/19/24 21,466 23,364
  Synchrony Financial 4.250% 8/15/24 41,202 44,973
  Synchrony Financial 4.500% 7/23/25 42,390 47,393
  TD Ameritrade Holding Corp. 3.625% 4/1/25 45,039 49,433
7 Temasek Financial I Ltd. 2.375% 1/23/23 5,000 5,146
  Toronto-Dominion Bank 0.750% 6/12/23 29,586 29,816
  Toronto-Dominion Bank 3.500% 7/19/23 20,983 22,287
  Toronto-Dominion Bank 0.450% 9/11/23 66,620 66,715
  Toronto-Dominion Bank 0.550% 3/4/24 39,070 39,133
  Toronto-Dominion Bank 2.650% 6/12/24 29,609 31,358
10 Toronto-Dominion Bank 2.050% 7/10/24 10,330 7,866
  Toronto-Dominion Bank 1.150% 6/12/25 30,170 30,569
  Toronto-Dominion Bank 0.750% 9/11/25 57,055 56,766
6,10 Toronto-Dominion Bank, 3M Australian Bank Bill Rate + 1.000% 1.025% 7/10/24 31,890 23,826
  Trinity Acquisition plc 4.400% 3/15/26 1,367 1,547
29
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Truist Bank 3.502% 8/2/22 90 90
  Truist Bank 3.200% 4/1/24 142,122 152,014
  Truist Bank 3.689% 8/2/24 37,570 40,030
  Truist Bank 2.150% 12/6/24 79,665 83,466
  Truist Bank 1.500% 3/10/25 35,380 36,388
  Truist Bank 4.050% 11/3/25 290 327
  Truist Bank 2.636% 9/17/29 10,545 11,056
  Truist Financial Corp. 3.950% 3/22/22 4,300 4,388
  Truist Financial Corp. 3.750% 12/6/23 37,870 40,696
  Truist Financial Corp. 2.500% 8/1/24 44,925 47,445
  Truist Financial Corp. 4.000% 5/1/25 18,790 20,928
  Truist Financial Corp. 1.200% 8/5/25 22,235 22,596
  Truist Financial Corp. 1.267% 3/2/27 15,350 15,430
  U.S. Bancorp 3.700% 1/30/24 31,760 34,235
  U.S. Bancorp 3.375% 2/5/24 27,721 29,693
8 U.S. Bancorp 0.850% 6/7/24 13,691 16,744
  U.S. Bancorp 2.400% 7/30/24 86,540 91,185
  U.S. Bancorp 3.600% 9/11/24 14,310 15,569
  U.S. Bancorp 1.450% 5/12/25 36,620 37,572
  U.S. Bancorp 3.100% 4/27/26 10,454 11,441
  U.S. Bancorp 2.375% 7/22/26 25,525 27,186
  U.S. Bank NA 2.050% 1/21/25 29,713 31,041
7 UBS AG 0.450% 2/9/24 24,260 24,180
7 UBS AG 1.250% 6/1/26 27,200 27,340
7 UBS Group AG 2.650% 2/1/22 6,082 6,154
7 UBS Group AG 3.491% 5/23/23 20,975 21,498
7 UBS Group AG 2.859% 8/15/23 58,400 59,833
7 UBS Group AG 1.008% 7/30/24 37,605 37,900
8 UBS Group AG 1.500% 11/30/24 9,705 11,969
7 UBS Group AG 4.125% 9/24/25 14,000 15,677
7 UBS Group AG 4.125% 4/15/26 8,250 9,297
8 UniCredit SPA 1.250% 6/25/25 19,405 23,779
8 UniCredit SPA 1.625% 7/3/25 4,589 5,647
  Voya Financial Inc. 3.125% 7/15/24 33,259 35,428
13,14 Washington Mutual Bank / Debt not acquired by JPMorgan 6.875% 6/15/11 21,983 2
9 Wells Fargo & Co. 2.125% 4/22/22 21,365 30,034
  Wells Fargo & Co. 3.450% 2/13/23 38,500 40,298
  Wells Fargo & Co. 3.750% 1/24/24 93,425 100,426
8 Wells Fargo & Co. 0.500% 4/26/24 24,890 30,095
  Wells Fargo & Co. 1.654% 6/2/24 49,050 50,113
10 Wells Fargo & Co. 4.750% 8/27/24 11,660 9,545
  Wells Fargo & Co. 3.300% 9/9/24 15,665 16,891
  Wells Fargo & Co. 3.000% 2/19/25 97,078 103,957
  Wells Fargo & Co. 0.805% 5/19/25 22,155 22,196
  Wells Fargo & Co. 3.550% 9/29/25 85,176 93,924
  Wells Fargo & Co. 2.406% 10/30/25 103,211 107,911
  Wells Fargo & Co. 2.164% 2/11/26 90,854 94,628
  Wells Fargo & Co. 2.188% 4/30/26 132,990 138,587
6,10 Wells Fargo & Co., 3M Australian Bank Bill Rate + 1.100% 1.125% 4/27/22 21,453 15,843
  Wells Fargo Bank NA 2.082% 9/9/22 107,110 107,300
9 Wells Fargo Bank NA 5.250% 8/1/23 33,450 50,445
  Westpac Banking Corp. 3.300% 2/26/24 9,069 9,724
  Westpac Banking Corp. 2.350% 2/19/25 30,727 32,444
  Westpac Banking Corp. 1.150% 6/3/26 15,045 15,189
10 Westpac Banking Corp. 4.800% 6/14/28 3,294 2,579
  Westpac Banking Corp. 2.894% 2/4/30 64,004 66,798
8 Westpac Banking Corp. 0.766% 5/13/31 650 777
  Westpac Banking Corp. 4.322% 11/23/31 6,343 7,089
6,10 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.400% 1.439% 2/16/28 2,900 2,150
6,10 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800% 1.824% 6/22/28 53,800 40,287
6,10 Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.980% 2.020% 8/27/29 11,700 8,853
30
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Willis North America Inc. 3.600% 5/15/24 70,071 75,182
            22,003,200
Health Care (7.2%)
  AbbVie Inc. 3.375% 11/14/21 32,071 32,354
  AbbVie Inc. 2.150% 11/19/21 161,500 162,415
  AbbVie Inc. 5.000% 12/15/21 30,630 30,797
  AbbVie Inc. 3.450% 3/15/22 86,900 88,144
  AbbVie Inc. 3.250% 10/1/22 11,900 12,215
  AbbVie Inc. 2.900% 11/6/22 99,170 102,318
  AbbVie Inc. 3.200% 11/6/22 71,665 73,886
  AbbVie Inc. 2.300% 11/21/22 213,500 218,864
  AbbVie Inc. 2.800% 3/15/23 8,647 8,930
  AbbVie Inc. 2.850% 5/14/23 2,900 3,014
8 AbbVie Inc. 1.250% 6/1/24 14,505 17,848
  AbbVie Inc. 3.850% 6/15/24 56,807 61,501
  AbbVie Inc. 2.600% 11/21/24 307,610 325,128
  AbbVie Inc. 3.800% 3/15/25 46,212 50,633
  AbbVie Inc. 3.600% 5/14/25 11,042 12,064
  Aetna Inc. 2.750% 11/15/22 10,770 11,037
  Aetna Inc. 2.800% 6/15/23 46,265 48,089
  Aetna Inc. 3.500% 11/15/24 9,670 10,445
7 Alcon Finance Corp. 2.750% 9/23/26 14,700 15,667
  AmerisourceBergen Corp. 0.737% 3/15/23 46,030 46,113
  Amgen Inc. 2.700% 5/1/22 16,240 16,469
  Amgen Inc. 3.625% 5/15/22 1,349 1,373
  Amgen Inc. 1.900% 2/21/25 19,500 20,240
  Amgen Inc. 3.125% 5/1/25 33,400 36,014
  Anthem Inc. 0.450% 3/15/23 43,690 43,756
  Anthem Inc. 3.500% 8/15/24 12,029 12,968
  Anthem Inc. 2.375% 1/15/25 24,455 25,675
  Anthem Inc. 1.500% 3/15/26 26,395 26,894
  Astrazeneca Finance LLC 0.700% 5/28/24 86,300 86,412
  Astrazeneca Finance LLC 1.200% 5/28/26 86,250 86,927
  AstraZeneca plc 2.375% 6/12/22 2,810 2,858
  AstraZeneca plc 3.500% 8/17/23 9,645 10,232
  AstraZeneca plc 3.375% 11/16/25 25,583 28,172
7 Bausch Health Cos. Inc. 6.125% 4/15/25 10,579 10,808
7 Bausch Health Cos. Inc. 5.500% 11/1/25 1,840 1,880
7 Bausch Health Cos. Inc. 5.750% 8/15/27 2,103 2,213
7 Bausch Health Cos. Inc. 7.000% 1/15/28 1,100 1,154
7 Bausch Health Cos. Inc. 4.875% 6/1/28 1,410 1,454
  Baxalta Inc. 3.600% 6/23/22 1,984 2,030
  Baxalta Inc. 4.000% 6/23/25 13,304 14,740
7 Bayer U.S. Finance II LLC 3.875% 12/15/23 120,071 128,455
7 Bayer U.S. Finance II LLC 4.250% 12/15/25 45,879 51,324
7 Bayer U.S. Finance LLC 3.375% 10/8/24 29,600 31,799
  Becton Dickinson and Co. 2.894% 6/6/22 10,852 11,066
  Becton Dickinson and Co. 3.363% 6/6/24 70,503 75,485
  Biogen Inc. 3.625% 9/15/22 37,267 38,625
  Biogen Inc. 4.050% 9/15/25 14,800 16,525
  Boston Scientific Corp. 3.450% 3/1/24 48,016 51,307
  Boston Scientific Corp. 1.900% 6/1/25 44,255 45,829
  Boston Scientific Corp. 3.750% 3/1/26 5,900 6,581
  Bristol-Myers Squibb Co. 2.750% 2/15/23 35,279 36,533
  Bristol-Myers Squibb Co. 3.250% 2/20/23 2,911 3,037
  Bristol-Myers Squibb Co. 0.537% 11/13/23 17,530 17,542
  Bristol-Myers Squibb Co. 2.900% 7/26/24 114,773 122,581
  Bristol-Myers Squibb Co. 3.875% 8/15/25 9,645 10,738
  Bristol-Myers Squibb Co. 0.750% 11/13/25 48,500 48,358
  Bristol-Myers Squibb Co. 3.200% 6/15/26 61,924 68,214
  Cardinal Health Inc. 3.079% 6/15/24 9,000 9,559
31
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Centene Corp. 5.375% 6/1/26 10,920 11,374
  Cigna Corp. 3.050% 11/30/22 18,100 18,710
  Cigna Corp. 3.000% 7/15/23 59,164 61,891
  Cigna Corp. 3.750% 7/15/23 34,363 36,474
  Cigna Corp. 0.613% 3/15/24 14,000 14,005
  Cigna Corp. 3.500% 6/15/24 79,100 84,917
  Cigna Corp. 3.250% 4/15/25 24,000 25,938
  Cigna Corp. 4.125% 11/15/25 86,619 97,320
  Cigna Corp. 1.250% 3/15/26 32,550 32,833
  CommonSpirit Health 4.200% 8/1/23 1,900 2,029
  CommonSpirit Health 2.760% 10/1/24 47,945 50,510
  CommonSpirit Health 1.547% 10/1/25 32,500 32,986
  CVS Health Corp. 3.500% 7/20/22 27,981 28,698
  CVS Health Corp. 2.750% 12/1/22 44,825 46,015
  CVS Health Corp. 3.700% 3/9/23 117,215 123,111
  CVS Health Corp. 2.625% 8/15/24 53,400 56,385
  CVS Health Corp. 4.100% 3/25/25 62,625 69,472
  CVS Health Corp. 2.875% 6/1/26 24,293 26,228
  CVS Health Corp. 3.000% 8/15/26 19,500 21,168
8 Danaher Corp. 1.700% 3/30/24 14,510 18,081
  DH Europe Finance II Sarl 2.050% 11/15/22 82,095 83,963
  DH Europe Finance II Sarl 2.200% 11/15/24 96,626 101,044
8 DH Europe Finance II Sarl 0.200% 3/18/26 19,435 23,389
  Dignity Health 3.812% 11/1/24 970 1,055
  Encompass Health Corp. 4.500% 2/1/28 1,923 2,000
  Gilead Sciences Inc. 2.500% 9/1/23 35,875 37,322
  Gilead Sciences Inc. 0.750% 9/29/23 44,300 44,326
  Gilead Sciences Inc. 3.700% 4/1/24 46,615 50,093
  Gilead Sciences Inc. 3.500% 2/1/25 97,415 105,712
  Gilead Sciences Inc. 3.650% 3/1/26 80,087 88,712
  GlaxoSmithKline Capital Inc. 3.375% 5/15/23 10,379 10,941
  GlaxoSmithKline Capital plc 0.534% 10/1/23 4,502 4,513
  GlaxoSmithKline Capital plc 3.000% 6/1/24 85,619 91,390
  HCA Inc. 4.750% 5/1/23 14,000 14,986
  HCA Inc. 5.000% 3/15/24 96,830 107,149
  HCA Inc. 5.375% 2/1/25 5,023 5,687
  HCA Inc. 5.250% 4/15/25 47,142 54,086
7 Highmark Inc. 1.450% 5/10/26 51,010 51,453
7 Hill-Rom Holdings Inc. 4.375% 9/15/27 4,866 5,088
  Humana Inc. 0.650% 8/3/23 41,800 41,799
  Humana Inc. 3.850% 10/1/24 15,019 16,327
  Humana Inc. 4.500% 4/1/25 48,500 54,448
  Illumina Inc. 0.550% 3/23/23 24,500 24,542
  Laboratory Corp. of America Holdings 3.600% 2/1/25 11,700 12,657
  McKesson Corp. 2.700% 12/15/22 70,452 72,258
  McKesson Corp. 2.850% 3/15/23 29,215 30,142
  McKesson Corp. 3.796% 3/15/24 53,240 57,281
  McKesson Corp. 0.900% 12/3/25 33,940 33,799
  Medtronic Inc. 3.500% 3/15/25 24,718 27,178
  Merck & Co. Inc. 2.750% 2/10/25 12,355 13,201
7 Mylan Inc. 3.125% 1/15/23 27,015 27,987
7 Organon & Co. / Organon Foreign Debt Co.-Issuer BV 4.125% 4/30/28 9,705 9,953
  Pfizer Inc. 0.800% 5/28/25 22,135 22,298
  Quest Diagnostics Inc. 3.500% 3/30/25 11,655 12,686
  Quest Diagnostics Inc. 3.450% 6/1/26 6,800 7,505
7 Royalty Pharma plc 0.750% 9/2/23 55,500 55,670
7 Royalty Pharma plc 1.200% 9/2/25 37,250 37,206
  Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 67,355 70,393
  Shire Acquisitions Investments Ireland DAC 3.200% 9/23/26 46,630 50,798
  SSM Health Care Corp. 3.688% 6/1/23 35,540 37,421
  Stryker Corp. 1.150% 6/15/25 48,500 48,972
32
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Stryker Corp. 3.375% 11/1/25 14,800 16,208
  Takeda Pharmaceutical Co. Ltd. 4.400% 11/26/23 39,836 43,177
7 Tenet Healthcare Corp. 4.625% 9/1/24 1,545 1,581
7 Tenet Healthcare Corp. 7.500% 4/1/25 660 710
7 Tenet Healthcare Corp. 4.875% 1/1/26 6,250 6,465
7 Tenet Healthcare Corp. 4.250% 6/1/29 2,644 2,694
  Thermo Fisher Scientific Inc. 4.133% 3/25/25 21,067 23,383
  UnitedHealth Group Inc. 2.375% 10/15/22 13,635 13,980
  UnitedHealth Group Inc. 2.875% 3/15/23 18,390 19,164
  UnitedHealth Group Inc. 3.500% 2/15/24 44,480 47,874
  UnitedHealth Group Inc. 0.550% 5/15/24 30,240 30,262
  UnitedHealth Group Inc. 2.375% 8/15/24 49,992 52,685
  UnitedHealth Group Inc. 3.750% 7/15/25 8,402 9,370
  UnitedHealth Group Inc. 1.250% 1/15/26 10,320 10,485
  UnitedHealth Group Inc. 1.150% 5/15/26 14,465 14,595
8 Utah Acquisition Sub Inc. 2.250% 11/22/24 45,974 58,432
  Viatris Inc. 0.404% 12/15/21 32,000 31,932
7 Viatris Inc. 1.125% 6/22/22 65,500 65,897
7 Viatris Inc. 1.650% 6/22/25 64,981 66,181
  Zimmer Biomet Holdings Inc. 3.150% 4/1/22 11,000 11,155
  Zimmer Biomet Holdings Inc. 3.550% 4/1/25 45,653 49,638
  Zoetis Inc. 3.250% 2/1/23 12,665 13,117
  Zoetis Inc. 4.500% 11/13/25 29,000 33,058
            5,664,907
Industrials (5.3%)
  3M Co. 2.650% 4/15/25 19,255 20,556
7,15 Air Canada 3.875% 8/15/26 3,605 3,615
7 Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl 4.625% 6/1/28 840 839
7 Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl 4.625% 6/1/28 1,250 1,254
7 Allison Transmission Inc. 4.750% 10/1/27 3,993 4,168
7 American Airlines Inc. / AAdvantage Loyalty IP Ltd. 5.500% 4/20/26 7,985 8,354
7 AP Moller - Maersk A/S 3.875% 9/28/25 27,700 30,577
7 Aramark Services Inc. 6.375% 5/1/25 5,150 5,430
7 Aramark Services Inc. 5.000% 2/1/28 1,100 1,144
10 Aurizon Network Pty Ltd. 4.000% 6/21/24 9,320 7,344
10 Australia Pacific Airports Melbourne Pty Ltd. 4.000% 9/15/22 12,690 9,573
  Block Financial LLC 5.250% 10/1/25 4,600 5,268
  Boeing Co. 2.700% 5/1/22 14,095 14,329
  Boeing Co. 1.167% 2/4/23 5,800 5,819
  Boeing Co. 4.508% 5/1/23 174,223 185,096
  Boeing Co. 1.875% 6/15/23 19,781 20,165
  Boeing Co. 1.433% 2/4/24 222,700 223,190
  Boeing Co. 2.800% 3/1/24 28,830 30,073
  Boeing Co. 2.850% 10/30/24 7,500 7,901
  Boeing Co. 4.875% 5/1/25 182,695 204,862
  Boeing Co. 2.600% 10/30/25 10,553 10,986
  Boeing Co. 2.750% 2/1/26 11,295 11,822
  Boeing Co. 2.196% 2/4/26 388,100 391,445
  Burlington Northern Santa Fe LLC 3.750% 4/1/24 9,480 10,229
  Burlington Northern Santa Fe LLC 3.400% 9/1/24 20,265 21,913
  Burlington Northern Santa Fe LLC 3.000% 4/1/25 1,590 1,718
  Burlington Northern Santa Fe LLC 7.000% 12/15/25 15,760 19,793
  Canadian Pacific Railway Co. 2.900% 2/1/25 9,568 10,184
7 Cargo Aircraft Management Inc. 4.750% 2/1/28 2,697 2,760
  Carrier Global Corp. 2.242% 2/15/25 138,435 144,830
  Caterpillar Financial Services Corp. 0.450% 9/14/23 41,280 41,386
  Caterpillar Financial Services Corp. 2.850% 5/17/24 5,580 5,939
  Caterpillar Financial Services Corp. 2.150% 11/8/24 11,305 11,855
  Caterpillar Financial Services Corp. 0.800% 11/13/25 25,475 25,473
33
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Clark Equipment Co. 5.875% 6/1/25 1,790 1,894
7 Clean Harbors Inc. 4.875% 7/15/27 8,014 8,417
  CNH Industrial Capital LLC 3.875% 10/15/21 7,362 7,412
  CNH Industrial Capital LLC 4.375% 4/5/22 22,700 23,276
  CNH Industrial Capital LLC 1.950% 7/2/23 23,960 24,570
  CNH Industrial Capital LLC 1.875% 1/15/26 30,663 31,479
  CNH Industrial Capital LLC 1.450% 7/15/26 38,840 39,051
  CNH Industrial NV 4.500% 8/15/23 48,980 52,675
  CSX Corp. 3.400% 8/1/24 51,900 55,947
  CSX Corp. 3.350% 11/1/25 4,021 4,406
4 CSX Transportation Inc. 6.251% 1/15/23 1,766 1,902
  Cummins Inc. 0.750% 9/1/25 6,705 6,697
  Deere & Co. 2.750% 4/15/25 21,290 22,797
  Delta Air Lines Inc. 2.900% 10/28/24 2,105 2,135
7 Delta Air Lines Inc. 7.000% 5/1/25 54,563 64,194
4,7 Delta Air Lines Inc. / SkyMiles IP Ltd. 4.500% 10/20/25 95,574 102,865
  Dover Corp. 3.150% 11/15/25 6,115 6,609
8 easyJet plc 0.875% 6/11/25 1,000 1,190
  Embraer Netherlands Finance BV 5.050% 6/15/25 3,078 3,232
  Embraer Netherlands Finance BV 5.400% 2/1/27 2,365 2,499
  Embraer Overseas Ltd. 5.696% 9/16/23 1,281 1,369
  Embraer SA 5.150% 6/15/22 21,700 22,285
  General Dynamics Corp. 3.250% 4/1/25 51,954 56,433
  General Dynamics Corp. 3.500% 5/15/25 31,690 34,806
7 H&E Equipment Services Inc. 3.875% 12/15/28 4,535 4,500
9 Heathrow Funding Ltd. 6.750% 12/3/28 9,715 17,037
8 Honeywell International Inc. 0.000% 3/10/24 7,500 8,965
  Honeywell International Inc. 1.350% 6/1/25 27,400 28,030
  Huntington Ingalls Industries Inc. 3.844% 5/1/25 60,717 66,498
8 John Deere Cash Management SARL 1.375% 4/2/24 14,505 18,009
  Johnson Controls International plc 3.625% 7/2/24 8,998 9,688
  L3Harris Technologies Inc. 3.850% 6/15/23 119,000 126,251
  L3Harris Technologies Inc. 3.950% 5/28/24 13,700 14,847
  L3Harris Technologies Inc. 3.832% 4/27/25 4,620 5,081
  Lennox International Inc. 1.350% 8/1/25 6,770 6,845
  Lockheed Martin Corp. 2.900% 3/1/25 3,855 4,142
  Lockheed Martin Corp. 3.550% 1/15/26 12,099 13,426
7 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. 6.500% 6/20/27 117,751 128,172
6,10 New Terminal Financing Co. Pty Ltd., 3M Australian Bank Bill Rate + 1.450% 1.475% 7/12/24 5,900 4,324
  Norfolk Southern Corp. 3.650% 8/1/25 7,852 8,645
  Norfolk Southern Corp. 2.900% 6/15/26 10,060 10,888
  Northrop Grumman Corp. 2.930% 1/15/25 65,480 69,842
  Otis Worldwide Corp. 2.056% 4/5/25 111,358 115,819
  Parker-Hannifin Corp. 3.500% 9/15/22 5,800 6,003
  Parker-Hannifin Corp. 3.300% 11/21/24 9,810 10,538
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 4.250% 1/17/23 3,470 3,653
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 2.700% 3/14/23 10,169 10,498
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 4.125% 8/1/23 4,340 4,623
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 3.450% 7/1/24 61,977 66,398
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 1.200% 11/15/25 58,835 58,674
  Precision Castparts Corp. 2.500% 1/15/23 3,087 3,172
10 Qantas Airways Ltd. 7.750% 5/19/22 37,020 28,599
10 QPH Finance Co. Pty Ltd. 3.750% 6/7/23 5,280 4,039
  Raytheon Technologies Corp. 2.800% 3/15/22 81,866 82,977
  Raytheon Technologies Corp. 2.500% 12/15/22 41,910 42,939
  Raytheon Technologies Corp. 3.650% 8/16/23 10,178 10,790
  Raytheon Technologies Corp. 3.200% 3/15/24 142,359 151,613
  Raytheon Technologies Corp. 3.950% 8/16/25 50,870 56,683
  Republic Services Inc. 2.500% 8/15/24 1,182 1,243
34
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Republic Services Inc. 3.200% 3/15/25 11,715 12,640
  Republic Services Inc. 0.875% 11/15/25 14,500 14,411
7 Rolls-Royce plc 3.625% 10/14/25 2,115 2,131
7 Rolls-Royce plc 5.750% 10/15/27 8,001 8,766
  Ryder System Inc. 2.875% 6/1/22 43,650 44,489
  Ryder System Inc. 2.500% 9/1/22 14,200 14,503
  Ryder System Inc. 3.650% 3/18/24 72,895 78,402
7 Siemens Financieringsmaatschappij NV 0.650% 3/11/24 73,340 73,586
7 Siemens Financieringsmaatschappij NV 1.200% 3/11/26 42,600 42,908
  Southwest Airlines Co. 2.750% 11/16/22 29,000 29,759
  Southwest Airlines Co. 4.750% 5/4/23 84,507 90,516
  Southwest Airlines Co. 5.250% 5/4/25 41,341 47,246
  Southwest Airlines Co. 3.000% 11/15/26 6,800 7,315
  Stanley Black & Decker Inc. 3.400% 3/1/26 21,105 23,286
  Teledyne Technologies Inc. 1.600% 4/1/26 58,250 58,956
7 TransDigm Inc. 8.000% 12/15/25 6,865 7,382
7 TransDigm Inc. 6.250% 3/15/26 6,000 6,299
  TransDigm Inc. 5.500% 11/15/27 4,600 4,750
  Tyco Electronics Group SA 3.500% 2/3/22 41,318 41,646
  Tyco Electronics Group SA 3.450% 8/1/24 26,462 28,371
4 UAL Series 2007-1 Pass Through Trust 6.636% 1/2/24 10,241 10,598
  Union Pacific Corp. 2.950% 3/1/22 25,790 26,195
  Union Pacific Corp. 2.950% 1/15/23 22,500 23,189
  Union Pacific Corp. 3.500% 6/8/23 29,614 31,268
  Union Pacific Corp. 3.646% 2/15/24 9,600 10,279
  Union Pacific Corp. 3.150% 3/1/24 47,090 50,203
  Union Pacific Corp. 3.250% 1/15/25 1,415 1,528
  Union Pacific Corp. 3.250% 8/15/25 6,872 7,490
  Union Pacific Corp. 2.750% 3/1/26 8,717 9,377
4 United Airlines Class B Series 2020-1 Pass Through Trust 4.875% 7/15/27 9,062 9,491
  United Airlines Holdings Inc. 4.875% 1/15/25 2,170 2,224
7 United Airlines Inc. 4.375% 4/15/26 7,715 7,937
8 United Parcel Service Inc. 0.375% 11/15/23 12,145 14,636
  United Rentals North America Inc. 3.875% 11/15/27 6,608 6,903
4 US Airways Series 2001-1C Pass Through Trust 7.346% 9/20/23 4,329 4,351
  Waste Management Inc. 2.400% 5/15/23 1,600 1,654
  Waste Management Inc. 0.750% 11/15/25 22,100 21,988
7 WESCO Distribution Inc. 7.250% 6/15/28 4,611 5,137
10 WSO Finance Pty Ltd. 3.500% 7/14/23 9,950 7,615
            4,170,906
Materials (2.2%)
7 Air Liquide Finance SA 2.250% 9/27/23 44,520 46,160
7 Air Liquide Finance SA 2.500% 9/27/26 200 214
7 Arconic Corp. 6.000% 5/15/25 1,058 1,118
7 Arconic Rolled Products Corp. 6.125% 2/15/28 2,224 2,378
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 5.250% 4/30/25 8,019 8,369
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 4.125% 8/15/26 5,030 5,191
7 Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.750% 6/15/27 2,376 2,506
  Ball Corp. 5.000% 3/15/22 875 895
  Ball Corp. 4.000% 11/15/23 7,285 7,742
  Ball Corp. 4.875% 3/15/26 2,775 3,098
7 Berry Global Inc. 0.950% 2/15/24 67,435 67,624
7 Berry Global Inc. 1.570% 1/15/26 72,398 72,931
7 Berry Global Inc. 4.875% 7/15/26 6,265 6,608
7 Berry Global Inc. 5.625% 7/15/27 22,883 24,148
  BHP Billiton Finance USA Ltd. 3.850% 9/30/23 4,225 4,543
7 Big River Steel LLC / BRS Finance Corp. 6.625% 1/31/29 1,560 1,714
7 CANPACK SA / Eastern PA Land Investment Holding LLC 3.125% 11/1/25 1,792 1,823
7 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.300% 5/1/23 61,351 64,348
8 CRH Finland Services Oyj 0.875% 11/5/23 4,500 5,471
35
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Dow Chemical Co. 4.550% 11/30/25 24,580 28,108
  Dow Chemical Co. 3.625% 5/15/26 74,933 83,378
  DuPont de Nemours Inc. 4.205% 11/15/23 105,429 113,829
  DuPont de Nemours Inc. 4.493% 11/15/25 63,465 72,213
  Eastman Chemical Co. 3.600% 8/15/22 16,870 17,295
  Eastman Chemical Co. 3.800% 3/15/25 22,387 24,492
  EI du Pont de Nemours and Co. 1.700% 7/15/25 14,540 14,989
7 Element Solutions Inc. 3.875% 9/1/28 3,447 3,521
  FMC Corp. 3.950% 2/1/22 19,660 19,828
7 FMG Resources August 2006 Pty Ltd. 4.500% 9/15/27 1,040 1,133
  Freeport-McMoRan Inc. 4.550% 11/14/24 26,375 28,674
  Freeport-McMoRan Inc. 4.375% 8/1/28 8,228 8,704
7 Georgia-Pacific LLC 0.625% 5/15/24 146,305 146,639
7 Georgia-Pacific LLC 1.750% 9/30/25 71,540 73,923
7 Georgia-Pacific LLC 0.950% 5/15/26 71,895 71,434
9 Glencore Finance Europe Ltd. 6.000% 4/3/22 11,129 16,016
8 Glencore Finance Europe Ltd. 1.750% 3/17/25 7,286 9,113
8 Glencore Finance Europe Ltd. 3.750% 4/1/26 10,105 13,774
7 Graphic Packaging International LLC 0.821% 4/15/24 33,975 33,836
7 Graphic Packaging International LLC 3.500% 3/15/28 625 634
7 Graphic Packaging International LLC 3.500% 3/1/29 1,775 1,768
7 Indonesia Asahan Aluminium Persero PT 5.230% 11/15/21 20,675 20,934
7 Indonesia Asahan Aluminium Persero PT 4.750% 5/15/25 24,212 26,586
7 INEOS Quattro Finance 2 plc 3.375% 1/15/26 1,593 1,603
7 Ingevity Corp. 3.875% 11/1/28 2,075 2,075
7 International Flavors & Fragrances Inc. 0.697% 9/15/22 16,395 16,418
7 Kraton Polymers LLC / Kraton Polymers Capital Corp. 4.250% 12/15/25 2,063 2,112
  LYB International Finance BV 4.000% 7/15/23 21,204 22,624
  LYB International Finance III LLC 2.875% 5/1/25 28,970 30,970
  LYB International Finance III LLC 1.250% 10/1/25 52,860 53,157
  LyondellBasell Industries NV 5.750% 4/15/24 56,973 63,835
  Martin Marietta Materials Inc. 0.650% 7/15/23 10,500 10,519
  Mosaic Co. 4.250% 11/15/23 20,576 22,068
  Newmont Corp. 3.500% 3/15/22 40 40
  Newmont Corp. 3.700% 3/15/23 9,921 10,345
  Nucor Corp. 2.000% 6/1/25 14,030 14,610
  Nutrien Ltd. 3.150% 10/1/22 14,048 14,401
  Nutrien Ltd. 1.900% 5/13/23 53,606 54,914
  Nutrien Ltd. 3.500% 6/1/23 8,604 9,011
  Nutrien Ltd. 3.625% 3/15/24 5,189 5,547
  Nutrien Ltd. 3.375% 3/15/25 16,185 17,504
  Nutrien Ltd. 3.000% 4/1/25 26,277 28,119
7 OCI NV 5.250% 11/1/24 1,512 1,556
7 OCI NV 4.625% 10/15/25 1,584 1,641
  Packaging Corp. of America 3.650% 9/15/24 339 367
  PPG Industries Inc. 1.200% 3/15/26 31,690 31,855
7 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 4.000% 10/15/27 6,921 6,913
  Rio Tinto Finance USA Ltd. 3.750% 6/15/25 4,495 4,972
  Sherwin-Williams Co. 4.200% 1/15/22 1,581 1,594
  Sherwin-Williams Co. 3.125% 6/1/24 43 46
  Steel Dynamics Inc. 2.800% 12/15/24 14,555 15,378
  Steel Dynamics Inc. 2.400% 6/15/25 16,055 16,862
7 Trivium Packaging Finance BV 5.500% 8/15/26 400 419
  WestRock RKT LLC 4.000% 3/1/23 37,452 39,162
  WRKCo Inc. 3.000% 9/15/24 38,578 40,988
  WRKCo Inc. 3.750% 3/15/25 8,107 8,886
            1,708,213
Real Estate (3.5%)
8 Akelius Residential Property AB 1.750% 2/7/25 3,000 3,765
9 Akelius Residential Property AB 2.375% 8/15/25 26,941 39,215
36
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
10 Ale Direct Property Trust 4.000% 8/20/22 10,880 8,160
  Alexandria Real Estate Equities Inc. 3.450% 4/30/25 69,140 75,536
  American Campus Communities Operating Partnership LP 3.750% 4/15/23 6,800 7,118
  American Campus Communities Operating Partnership LP 4.125% 7/1/24 25,730 28,045
  American Tower Corp. 3.000% 6/15/23 58,755 61,493
  American Tower Corp. 0.600% 1/15/24 48,370 48,358
  American Tower Corp. 3.375% 5/15/24 26,786 28,648
  American Tower Corp. 2.950% 1/15/25 9,754 10,395
  American Tower Corp. 2.400% 3/15/25 63,857 66,912
  American Tower Corp. 4.000% 6/1/25 13,200 14,541
  American Tower Corp. 1.600% 4/15/26 67,914 69,004
8 American Tower Corp. 0.450% 1/15/27 19,437 23,307
8 Aroundtown SA 0.375% 9/23/22 27,000 32,264
8 Aroundtown SA 0.625% 7/9/25 24,300 29,410
8 Aroundtown SA 1.625% 12/31/99 200 233
  AvalonBay Communities Inc. 2.850% 3/15/23 12,000 12,387
  Boston Properties LP 3.125% 9/1/23 42,320 44,318
  Boston Properties LP 3.200% 1/15/25 12,424 13,328
  Brandywine Operating Partnership LP 3.950% 2/15/23 11,910 12,440
  Brandywine Operating Partnership LP 4.100% 10/1/24 14,155 15,322
  Brixmor Operating Partnership LP 3.250% 9/15/23 1,360 1,429
  Brixmor Operating Partnership LP 3.650% 6/15/24 37,375 40,233
  Brixmor Operating Partnership LP 3.850% 2/1/25 15,114 16,492
  Camden Property Trust 2.950% 12/15/22 34,360 35,363
  Camden Property Trust 4.875% 6/15/23 3,435 3,663
  Camden Property Trust 4.250% 1/15/24 46,982 50,515
  Camden Property Trust 3.500% 9/15/24 2,785 2,996
  CC Holdings GS V LLC / Crown Castle GS III Corp. 3.849% 4/15/23 29,741 31,441
  Corporate Office Properties LP 5.000% 7/1/25 2,420 2,738
  Corporate Office Properties LP 2.250% 3/15/26 31,330 32,452
  Crown Castle International Corp. 3.150% 7/15/23 41,835 43,919
  Crown Castle International Corp. 3.200% 9/1/24 69,394 74,140
  Crown Castle International Corp. 1.350% 7/15/25 29,140 29,491
  Crown Castle International Corp. 3.700% 6/15/26 45,719 50,657
  Crown Castle International Corp. 1.050% 7/15/26 81,089 80,045
7 CTR Partnership LP / CareTrust Capital Corp. 3.875% 6/30/28 4,288 4,397
  CubeSmart LP 4.375% 12/15/23 11,340 12,235
  CubeSmart LP 4.000% 11/15/25 7,260 8,060
8 Digital Dutch Finco BV 0.625% 7/15/25 13,205 16,065
8 Digital Euro Finco LLC 2.625% 4/15/24 13,361 16,976
  Digital Realty Trust LP 4.750% 10/1/25 24,145 27,555
  Duke Realty LP 3.750% 12/1/24 2,760 3,001
  Duke Realty LP 3.250% 6/30/26 11,070 12,095
  Equinix Inc. 1.450% 5/15/26 9,710 9,784
  Equinix Inc. 2.900% 11/18/26 17,520 18,887
  ERP Operating LP 3.000% 4/15/23 46,795 48,626
  ERP Operating LP 3.375% 6/1/25 20,200 21,962
8 Fastighets AB Balder 1.875% 3/14/25 9,700 12,155
  Federal Realty Investment Trust 2.750% 6/1/23 18,030 18,668
  Federal Realty Investment Trust 3.950% 1/15/24 23,874 25,600
7 HAT Holdings I LLC / HAT Holdings II LLC 3.375% 6/15/26 4,295 4,339
  Healthcare Realty Trust Inc. 3.875% 5/1/25 1,900 2,078
  Healthpeak Properties Inc. 3.400% 2/1/25 3,942 4,249
  Healthpeak Properties Inc. 1.350% 2/1/27 43,700 43,909
  Highwoods Realty LP 3.625% 1/15/23 5,280 5,454
  Host Hotels & Resorts LP 4.000% 6/15/25 7,560 8,235
7 IIP Operating Partnership LP 5.500% 5/25/26 27,600 28,816
  Kilroy Realty LP 3.450% 12/15/24 21,115 22,661
  Kilroy Realty LP 4.375% 10/1/25 5,685 6,359
  Kimco Realty Corp. 3.125% 6/1/23 26,640 27,756
  Kimco Realty Corp. 2.700% 3/1/24 28,329 29,695
37
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Kimco Realty Corp. 3.300% 2/1/25 52,530 56,718
8 Kojamo Oyj 1.500% 6/19/24 4,850 5,980
8 Logicor Financing Sarl 0.750% 7/15/24 5,068 6,135
8 Logicor Financing Sarl 2.250% 5/13/25 4,855 6,197
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625% 5/1/24 10,542 11,428
7 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.625% 6/15/25 4,492 4,780
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.500% 9/1/26 1,086 1,160
  Mid-America Apartments LP 4.300% 10/15/23 2,000 2,145
  Mid-America Apartments LP 3.750% 6/15/24 4,540 4,901
  Mid-America Apartments LP 4.000% 11/15/25 3,890 4,335
  National Retail Properties Inc. 3.900% 6/15/24 25,562 27,633
  National Retail Properties Inc. 4.000% 11/15/25 9,593 10,676
  Office Properties Income Trust 2.650% 6/15/26 12,500 12,853
  Omega Healthcare Investors Inc. 4.375% 8/1/23 2,397 2,554
  Omega Healthcare Investors Inc. 4.950% 4/1/24 16,340 17,834
  Omega Healthcare Investors Inc. 4.500% 1/15/25 10,690 11,738
  Omega Healthcare Investors Inc. 5.250% 1/15/26 21,350 24,492
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.125% 3/20/22 54,524 55,385
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.875% 3/20/27 6,000 6,708
7 Realogy Group LLC / Realogy Co-issuer Corp. 7.625% 6/15/25 1,225 1,321
  Realty Income Corp. 3.875% 7/15/24 6,871 7,452
  Realty Income Corp. 3.875% 4/15/25 27,930 30,939
  Realty Income Corp. 0.750% 3/15/26 9,960 9,855
9 Realty Income Corp. 1.125% 7/13/27 13,900 19,251
  Regency Centers LP 3.750% 6/15/24 1,115 1,196
  Sabra Health Care LP 4.800% 6/1/24 50,994 55,914
8 Samhallsbyggnadsbolaget i Norden AB 1.750% 1/14/25 6,700 8,360
  Simon Property Group LP 2.350% 1/30/22 28,290 28,438
  Simon Property Group LP 2.625% 6/15/22 25,666 26,048
  Simon Property Group LP 2.750% 2/1/23 5,300 5,458
  Simon Property Group LP 2.750% 6/1/23 16,123 16,716
  Simon Property Group LP 3.750% 2/1/24 30,620 32,787
  Simon Property Group LP 2.000% 9/13/24 79,690 82,770
  Simon Property Group LP 3.375% 10/1/24 47,028 50,726
  Simon Property Group LP 3.500% 9/1/25 48,883 53,624
  Simon Property Group LP 3.300% 1/15/26 9,640 10,522
7 Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC 7.875% 2/15/25 7,904 8,420
7 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC 4.750% 4/15/28 1,125 1,130
  Ventas Realty LP 3.125% 6/15/23 13,265 13,804
  Ventas Realty LP 3.500% 4/15/24 37,091 39,635
  Ventas Realty LP 3.750% 5/1/24 6,012 6,453
  Ventas Realty LP 2.650% 1/15/25 12,310 12,995
  Ventas Realty LP 3.500% 2/1/25 4,820 5,217
  VEREIT Operating Partnership LP 4.600% 2/6/24 40,387 43,951
  VEREIT Operating Partnership LP 4.625% 11/1/25 68,748 78,252
  VEREIT Operating Partnership LP 4.875% 6/1/26 77,754 90,324
  Vornado Realty LP 2.150% 6/1/26 11,600 11,897
7 Wea Finance LLC / Westfield UK & Europe Finance plc 3.750% 9/17/24 7,140 7,662
  Weingarten Realty Investors 3.500% 4/15/23 13,765 14,327
  Weingarten Realty Investors 4.450% 1/15/24 11,302 12,157
  Welltower Inc. 3.625% 3/15/24 28,402 30,455
  Welltower Inc. 4.000% 6/1/25 72,809 80,582
9 Westfield America Management Ltd. 2.125% 3/30/25 6,499 9,252
            2,760,932
Technology (4.5%)
  Analog Devices Inc. 2.950% 4/1/25 12,190 13,083
  Apple Inc. 3.000% 2/9/24 38,325 40,647
  Apple Inc. 3.450% 5/6/24 49,061 53,038
38
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Apple Inc. 2.850% 5/11/24 78,285 83,145
  Apple Inc. 2.750% 1/13/25 38,558 41,207
  Apple Inc. 0.700% 2/8/26 26,018 25,889
  Apple Inc. 3.250% 2/23/26 36,351 39,971
  Apple Inc. 2.450% 8/4/26 47,762 51,083
  Apple Inc. 2.050% 9/11/26 66,330 69,670
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.625% 1/15/24 11,899 12,687
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.125% 1/15/25 19,200 20,506
  Broadcom Inc. 3.625% 10/15/24 73,287 79,507
  Broadcom Inc. 4.700% 4/15/25 93,309 104,963
  Broadcom Inc. 3.150% 11/15/25 39,911 42,901
  Broadcom Inc. 4.250% 4/15/26 51,447 57,750
  CDW LLC / CDW Finance Corp. 4.125% 5/1/25 2,960 3,073
  Citrix Systems Inc. 1.250% 3/1/26 19,405 19,318
7 Clarivate Science Holdings Corp. 3.875% 6/30/28 4,285 4,323
7 CommScope Inc. 5.500% 3/1/24 3,270 3,365
7 CommScope Inc. 6.000% 3/1/26 2,321 2,432
7 CommScope Inc. 8.250% 3/1/27 612 648
7 CommScope Inc. 7.125% 7/1/28 1,801 1,942
7 CommScope Technologies Finance LLC 6.000% 6/15/25 2,910 2,954
  Dell International LLC / EMC Corp. 5.450% 6/15/23 42,996 46,461
  Dell International LLC / EMC Corp. 4.000% 7/15/24 29,155 31,709
  Dell International LLC / EMC Corp. 5.850% 7/15/25 71,657 84,187
  Dell International LLC / EMC Corp. 6.020% 6/15/26 79,070 95,180
  Dell International LLC / EMC Corp. 4.900% 10/1/26 14,325 16,677
7 Entegris Inc. 4.375% 4/15/28 2,096 2,203
7 Entegris Inc. 3.625% 5/1/29 2,125 2,180
  Equifax Inc. 3.950% 6/15/23 9,450 10,026
  Equifax Inc. 2.600% 12/1/24 95,144 100,342
  Equifax Inc. 2.600% 12/15/25 48,800 51,819
8 Fidelity National Information Services Inc. 0.125% 12/3/22 32,000 38,174
8 Fidelity National Information Services Inc. 0.750% 5/21/23 16,256 19,615
  Fidelity National Information Services Inc. 0.600% 3/1/24 31,060 31,064
  Fiserv Inc. 3.800% 10/1/23 2,528 2,702
  Fiserv Inc. 2.750% 7/1/24 162,005 171,524
  Fiserv Inc. 3.200% 7/1/26 375 408
  Global Payments Inc. 1.200% 3/1/26 29,500 29,455
  Hewlett Packard Enterprise Co. 4.400% 10/15/22 37,385 38,894
  Hewlett Packard Enterprise Co. 4.900% 10/15/25 19,340 22,112
  HP Inc. 2.200% 6/17/25 86,341 89,883
7 HP Inc. 1.450% 6/17/26 71,207 71,392
  Intel Corp. 3.700% 7/29/25 6,650 7,345
  International Business Machines Corp. 3.625% 2/12/24 36,694 39,517
  International Business Machines Corp. 3.000% 5/15/24 73,405 78,243
  International Business Machines Corp. 3.300% 5/15/26 132,314 146,212
  Intuit Inc. 0.950% 7/15/25 1,950 1,964
  Juniper Networks Inc. 1.200% 12/10/25 41,930 42,059
7 Marvell Technology Inc. 4.200% 6/22/23 29,250 31,029
  Micron Technology Inc. 2.497% 4/24/23 8,030 8,292
  Micron Technology Inc. 4.640% 2/6/24 23,880 26,096
  Microsoft Corp. 3.125% 11/3/25 8,570 9,383
7 NCR Corp. 8.125% 4/15/25 1,940 2,108
7 Nielsen Finance LLC / Nielsen Finance Co. 5.625% 10/1/28 1,365 1,442
  NVIDIA Corp. 0.584% 6/14/24 79,440 79,748
7 NXP BV / NXP Funding LLC 3.875% 9/1/22 107,314 111,067
7 NXP BV / NXP Funding LLC 4.625% 6/1/23 22,660 24,283
7 NXP BV / NXP Funding LLC 4.875% 3/1/24 78,750 86,590
  Oracle Corp. 2.625% 2/15/23 34,041 35,129
  Oracle Corp. 3.625% 7/15/23 4,650 4,929
  Oracle Corp. 2.400% 9/15/23 107,713 111,575
  Oracle Corp. 3.400% 7/8/24 31,165 33,389
39
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Oracle Corp. 2.950% 11/15/24 43,813 46,737
  Oracle Corp. 2.500% 4/1/25 86,750 91,319
  Oracle Corp. 2.950% 5/15/25 38,853 41,479
  Oracle Corp. 1.650% 3/25/26 137,840 140,495
  Oracle Corp. 2.650% 7/15/26 13,151 13,963
  PayPal Holdings Inc. 2.200% 9/26/22 60,948 62,325
  Roper Technologies Inc. 3.800% 12/15/26 8,148 9,155
7 Sabre GLBL Inc. 9.250% 4/15/25 1,305 1,527
7 Sabre GLBL Inc. 7.375% 9/1/25 2,965 3,170
7 Seagate HDD Cayman 3.125% 7/15/29 4,835 4,739
  Skyworks Solutions Inc. 0.900% 6/1/23 11,710 11,755
  Skyworks Solutions Inc. 1.800% 6/1/26 54,006 54,984
7 Square Inc. 2.750% 6/1/26 2,460 2,515
7 SS&C Technologies Inc. 5.500% 9/30/27 5,951 6,294
  Verisk Analytics Inc. 4.125% 9/12/22 18,719 19,462
  Verisk Analytics Inc. 4.000% 6/15/25 52,010 57,629
  Visa Inc. 3.150% 12/14/25 45,070 49,432
  VMware Inc. 2.950% 8/21/22 47,262 48,422
  VMware Inc. 0.600% 8/15/23 34,000 34,057
  VMware Inc. 4.500% 5/15/25 149,682 167,677
  VMware Inc. 1.400% 8/15/26 57,000 57,199
  Western Digital Corp. 4.750% 2/15/26 12,096 13,433
            3,548,277
Utilities (3.9%)
  AEP Texas Inc. 2.400% 10/1/22 22,670 23,190
  Ameren Corp. 2.500% 9/15/24 32,940 34,661
  Ameren Illinois Co. 3.250% 3/1/25 11,340 12,263
  American Electric Power Co. Inc. 1.000% 11/1/25 9,675 9,662
  Atmos Energy Corp. 0.625% 3/9/23 39,550 39,558
8 AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 400 487
6,10 Australian Gas Networks Ltd., 3M Australian Bank Bill Rate + 0.400% 0.430% 7/1/24 9,500 6,879
  Baltimore Gas and Electric Co. 2.800% 8/15/22 4,375 4,458
  Baltimore Gas and Electric Co. 3.350% 7/1/23 3,142 3,295
  Berkshire Hathaway Energy Co. 3.750% 11/15/23 69,517 74,245
8 Cadent Finance plc 0.625% 9/22/24 14,465 17,583
7 Calpine Corp. 4.500% 2/15/28 7,320 7,543
  CenterPoint Energy Inc. 2.500% 9/1/22 15,280 15,603
  CenterPoint Energy Inc. 3.850% 2/1/24 2,467 2,647
  CenterPoint Energy Inc. 2.500% 9/1/24 15,867 16,635
  CenterPoint Energy Inc. 1.450% 6/1/26 38,870 39,343
  CenterPoint Energy Resources Corp. 0.700% 3/2/23 31,670 31,674
  Clearway Energy Operating LLC 5.000% 9/15/26 6,997 7,192
  Commonwealth Edison Co. 3.100% 11/1/24 5,620 6,014
  Consolidated Edison Inc. 0.650% 12/1/23 40,295 40,315
10 DBNGP Finance Co. Pty Ltd. 4.225% 5/28/25 8,050 6,501
  Dominion Energy Inc. 2.750% 9/15/22 35,582 36,300
7 Dominion Energy Inc. 2.450% 1/15/23 1,890 1,945
  Dominion Energy Inc. 3.300% 3/15/25 47,212 51,231
  Dominion Energy Inc. 1.450% 4/15/26 48,550 49,107
6 Dominion Energy Inc., 3M USD LIBOR + 0.530% 0.649% 9/15/23 31,810 31,825
  DTE Electric Co. 3.375% 3/1/25 298 323
  DTE Energy Co. 2.250% 11/1/22 80,850 82,696
  DTE Energy Co. 1.050% 6/1/25 27,760 27,852
  Duke Energy Corp. 3.227% 3/11/22 290,625 295,641
  Duke Energy Corp. 3.950% 10/15/23 15,085 16,092
  Duke Energy Corp. 3.750% 4/15/24 7,091 7,635
  Duke Energy Corp. 0.900% 9/15/25 43,565 43,374
  Duke Energy Ohio Inc. 3.800% 9/1/23 11,620 12,337
  Duke Energy Progress LLC 3.250% 8/15/25 7,798 8,500
9 E.ON International Finance BV 5.500% 7/6/22 22,300 32,431
9 E.ON International Finance BV 5.625% 12/6/23 2,945 4,562
40
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 East Ohio Gas Co. 1.300% 6/15/25 9,715 9,814
  Eastern Energy Gas Holdings LLC 3.550% 11/1/23 12,700 13,448
  Eastern Energy Gas Holdings LLC 2.500% 11/15/24 4,830 5,066
  Eastern Energy Gas Holdings LLC 3.600% 12/15/24 12,757 13,806
7 Electricite de France SA 4.500% 9/21/28 16,050 18,819
7 Emera U.S. Finance LP 0.833% 6/15/24 6,800 6,784
7 Enel Finance International NV 1.375% 7/12/26 48,500 48,813
8 Enel SPA 3.375% 11/24/81 400 529
7 Engie SA 2.875% 10/10/22 10,649 10,957
8 Engie SA 0.875% 3/27/24 2,500 3,053
  Entergy Arkansas LLC 3.050% 6/1/23 7,190 7,479
  Entergy Arkansas LLC 3.700% 6/1/24 9,388 10,143
  Entergy Arkansas LLC 3.500% 4/1/26 23,522 26,030
  Entergy Corp. 4.000% 7/15/22 41,151 42,326
  Entergy Corp. 0.900% 9/15/25 48,975 48,652
  Entergy Corp. 2.950% 9/1/26 90,500 97,555
  Entergy Gulf States Louisiana LLC 5.590% 10/1/24 22,680 26,079
  Entergy Louisiana LLC 4.050% 9/1/23 11,650 12,401
  Entergy Louisiana LLC 0.620% 11/17/23 30,780 30,796
  Entergy Louisiana LLC 5.400% 11/1/24 8,562 9,835
6,10 ETSA Utilities Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.040% 1.064% 12/13/23 5,000 3,700
  Evergy Inc. 2.450% 9/15/24 48,500 50,991
  Eversource Energy 0.800% 8/15/25 11,595 11,559
  Exelon Corp. 3.950% 6/15/25 21,742 23,990
  FirstEnergy Corp. 2.050% 3/1/25 5,635 5,717
  FirstEnergy Corp. 4.650% 7/15/27 3,995 4,458
  Florida Power & Light Co. 2.850% 4/1/25 15,630 16,777
  Georgia Power Co. 2.200% 9/15/24 23,973 25,032
8 IE2 Holdco SAU 2.375% 11/27/23 19,400 24,164
8 IE2 Holdco SAU 2.875% 6/1/26 10,600 14,082
  ITC Holdings Corp. 2.700% 11/15/22 29,250 30,049
  Korea Midland Power Co. Ltd 2.375% 7/22/22 9,809 9,994
  Korea Midland Power Co. Ltd. 3.375% 1/22/22 27,758 28,148
  MidAmerican Energy Co. 3.700% 9/15/23 4,370 4,631
  MidAmerican Energy Co. 3.500% 10/15/24 1,000 1,082
  National Fuel Gas Co. 5.500% 1/15/26 9,705 11,298
8 National Grid Electricity Transmission plc 0.190% 1/20/25 13,007 15,611
  National Rural Utilities Cooperative Finance Corp. 2.700% 2/15/23 9,777 10,099
  National Rural Utilities Cooperative Finance Corp. 2.950% 2/7/24 800 846
  NextEra Energy Capital Holdings Inc. 2.900% 4/1/22 51,745 52,654
  NextEra Energy Capital Holdings Inc. 2.800% 1/15/23 2,895 2,990
  NextEra Energy Capital Holdings Inc. 0.650% 3/1/23 93,210 93,553
  NextEra Energy Capital Holdings Inc. 3.150% 4/1/24 34,601 36,828
  NextEra Energy Capital Holdings Inc. 2.750% 5/1/25 36,353 38,755
7 NRG Energy Inc. 2.000% 12/2/25 18,522 19,027
  NRG Energy Inc. 7.250% 5/15/26 20,652 21,476
  NRG Energy Inc. 6.625% 1/15/27 4,969 5,145
  NSTAR Electric Co. 2.375% 10/15/22 16,235 16,546
  Oncor Electric Delivery Co. LLC 4.100% 6/1/22 3,600 3,676
  Oncor Electric Delivery Co. LLC 2.750% 6/1/24 47,575 50,516
  Oncor Electric Delivery Co. LLC 2.950% 4/1/25 13,637 14,629
  Oncor Electric Delivery Co. LLC 0.550% 10/1/25 10,695 10,523
  ONE Gas Inc. 0.850% 3/11/23 24,270 24,276
  Pacific Gas and Electric Co. 3.500% 6/15/25 9,665 10,145
  Pacific Gas and Electric Co. 3.450% 7/1/25 9,665 10,094
  PacifiCorp 3.600% 4/1/24 16,160 17,340
  PacifiCorp 3.350% 7/1/25 17,720 19,273
7 Pattern Energy Operations LP / Pattern Energy Operations Inc. 4.500% 8/15/28 2,223 2,297
  PECO Energy Co. 3.150% 10/15/25 3,885 4,223
  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 5.500% 11/22/21 23,156 23,474
  Potomac Electric Power Co. 3.600% 3/15/24 10,425 11,184
41
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Progress Energy Inc. 3.150% 4/1/22 17,667 17,876
  Public Service Electric and Gas Co. 3.000% 5/15/25 8,340 8,966
  Public Service Enterprise Group Inc. 2.650% 11/15/22 1,455 1,496
  Public Service Enterprise Group Inc. 2.875% 6/15/24 65,543 69,578
  Public Service Enterprise Group Inc. 0.800% 8/15/25 49,115 48,876
  Puget Energy Inc. 5.625% 7/15/22 47,334 49,008
  Sempra Energy 2.900% 2/1/23 16,585 17,152
  Southern California Edison Co. 0.700% 4/3/23 29,130 29,211
  Southern California Gas Co. 2.600% 6/15/26 19,070 20,413
  Southern Co. Gas Capital Corp. 2.450% 10/1/23 6,570 6,827
  Southern Power Co. 0.900% 1/15/26 9,700 9,621
  Southwestern Electric Power Co. 3.550% 2/15/22 13,170 13,285
  Southwestern Electric Power Co. 1.650% 3/15/26 35,070 35,811
  Southwestern Public Service Co. 3.300% 6/15/24 41,903 44,593
  State Grid Overseas Investment 2014 Ltd. 4.125% 5/7/24 8,654 9,432
  State Grid Overseas Investment 2016 Ltd. 2.750% 5/4/22 16,600 16,858
  State Grid Overseas Investment 2016 Ltd. 3.750% 5/2/23 10,775 11,354
10 United Energy Distribution Pty Ltd. 3.500% 9/12/23 6,180 4,752
10 United Energy Distribution Pty Ltd. 3.850% 10/23/24 24,200 19,369
6,10 Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.280% 0.305% 1/15/22 56,190 41,147
  Virginia Electric and Power Co. 3.450% 9/1/22 23,690 24,294
  Virginia Electric and Power Co. 2.750% 3/15/23 4,599 4,752
  Virginia Electric and Power Co. 3.450% 2/15/24 16,509 17,587
  Virginia Electric and Power Co. 3.100% 5/15/25 8,585 9,234
  Virginia Electric and Power Co. 3.150% 1/15/26 12,295 13,448
  Virginia Electric and Power Co. 2.950% 11/15/26 46,842 50,948
7 Vistra Operations Co. LLC 5.500% 9/1/26 21,384 22,032
7 Vistra Operations Co. LLC 5.625% 2/15/27 3,881 4,030
7 Vistra Operations Co. LLC 5.000% 7/31/27 1,380 1,426
  WEC Energy Group Inc. 0.550% 9/15/23 53,165 53,251
  WEC Energy Group Inc. 0.800% 3/15/24 48,550 48,801
9 Western Power Distribution plc 3.625% 11/6/23 14,458 21,223
  Xcel Energy Inc. 0.500% 10/15/23 19,300 19,322
            3,090,809
Total Corporate Bonds (Cost $58,836,821) 59,933,620
Sovereign Bonds (2.9%)
  Arab Petroleum Investments Corp. 4.125% 9/18/23 14,518 15,541
7 Banque Ouest Africaine de Developpement 5.000% 7/27/27 17,455 19,392
7 CDP Financial Inc. 3.150% 7/24/24 24,580 26,503
  Corp. Andina de Fomento 4.375% 6/15/22 24,864 25,700
  Corp. Andina de Fomento 2.375% 5/12/23 29,050 29,909
  Corp. Andina de Fomento 1.625% 9/23/25 48,335 49,030
  Corp. Financiera de Desarrollo SA 4.750% 7/15/25 9,838 10,770
7 Corp. Financiera de Desarrollo SA 2.400% 9/28/27 4,313 4,251
  Dominican Republic 6.600% 1/28/24 4,125 4,552
4 Dominican Republic 5.875% 4/18/24 10,180 10,765
  Dominican Republic 5.500% 1/27/25 3,940 4,276
7 Dominican Republic 4.875% 9/23/32 6,750 7,026
  Export-Import Bank of Korea 2.750% 1/25/22 2,500 2,528
  Federative Republic of Brazil 4.625% 1/13/28 2,494 2,707
  Fondo MIVIVIENDA SA 3.500% 1/31/23 31,766 32,744
7 Government of Bermuda 4.138% 1/3/23 6,000 6,310
7 Government of Bermuda 4.854% 2/6/24 2,861 3,151
  Kingdom of Morocco 4.250% 12/11/22 30,991 32,484
7,8 Kingdom of Morocco 1.375% 3/30/26 42,700 51,399
8 Kingdom of Morocco 1.375% 3/30/26 4,800 5,778
7 Kingdom of Saudi Arabia 2.375% 10/26/21 1,615 1,622
  Kingdom of Saudi Arabia 2.375% 10/26/21 94,403 94,794
  Kingdom of Saudi Arabia 4.000% 4/17/25 32,495 35,848
42
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Korea Development Bank 4.625% 11/16/21 2,795 2,829
  Korea Development Bank 3.250% 2/19/24 12,205 13,054
  Korea Hydro & Nuclear Power Co. Ltd. 3.000% 9/19/22 11,764 12,106
7 Korea National Oil Corp. 2.875% 3/27/22 9,400 9,552
  Korea National Oil Corp. 0.875% 10/5/25 19,400 19,237
  KSA Sukuk Ltd. 2.894% 4/20/22 89,656 91,127
  KSA Sukuk Ltd. 3.628% 4/20/27 26,188 28,887
  Kuwait 2.750% 3/20/22 33,318 33,806
8,16 MFB Magyar Fejlesztesi Bank Zrt 1.375% 6/24/25 16,459 20,482
  North American Development Bank 2.400% 10/26/22 711 724
  Perusahaan Penerbit SBSN Indonesia III 3.400% 3/29/22 21,339 21,714
  Perusahaan Penerbit SBSN Indonesia III 3.300% 11/21/22 3,800 3,932
  Perusahaan Penerbit SBSN Indonesia III 3.900% 8/20/24 4,850 5,277
  Perusahaan Penerbit SBSN Indonesia III 4.325% 5/28/25 26,200 29,254
  Province of Nova Scotia 8.250% 7/30/22 12,785 13,758
  Republic of Chile 3.125% 3/27/25 16,700 17,867
8 Republic of Chile 0.100% 1/26/27 18,930 22,227
  Republic of Chile 2.550% 7/27/33 63,890 65,081
  Republic of Colombia 2.625% 3/15/23 49,954 50,693
  Republic of Colombia 4.000% 2/26/24 174,399 182,870
  Republic of Colombia 4.500% 1/28/26 25,590 27,805
  Republic of Croatia 5.500% 4/4/23 29,565 31,991
  Republic of Croatia 6.000% 1/26/24 2,400 2,713
  Republic of Guatemala 5.750% 6/6/22 19,828 20,460
  Republic of Hungary 5.375% 2/21/23 55,760 60,082
  Republic of Hungary 5.750% 11/22/23 55,959 62,675
8 Republic of Hungary 1.125% 4/28/26 30,800 38,505
7 Republic of Indonesia 3.700% 1/8/22 10,072 10,199
  Republic of Indonesia 3.700% 1/8/22 2,100 2,129
  Republic of Indonesia 3.750% 4/25/22 45,545 46,629
  Republic of Lithuania 6.625% 2/1/22 35,220 36,299
  Republic of Panama 4.000% 9/22/24 76,323 82,917
  Republic of Panama 3.750% 3/16/25 45,864 49,820
  Republic of Panama 7.125% 1/29/26 24,798 30,800
  Republic of Paraguay 4.625% 1/25/23 39,521 41,434
  Republic of Paraguay 5.000% 4/15/26 10,687 12,050
  Republic of Peru 7.350% 7/21/25 31,996 39,007
  Republic of Peru 2.392% 1/23/26 11,309 11,592
8 Republic of Philippines 0.000% 2/3/23 39,801 47,169
8 Republic of Philippines 0.250% 4/28/25 22,400 26,634
  Republic of Serbia 7.250% 9/28/21 56,526 57,134
8 Republic of Serbia 3.125% 5/15/27 71,905 94,922
  Republic of Slovenia 5.500% 10/26/22 11,740 12,489
  Republic of Slovenia 5.850% 5/10/23 2,100 2,301
7 Republic of Slovenia 5.250% 2/18/24 8,600 9,633
  Republic of Trinidad & Tobago 4.375% 1/16/24 9,388 9,918
  Republic of Turkey 3.250% 3/23/23 12,970 12,972
  Republic of Uzbekistan 4.750% 2/20/24 8,540 9,032
  Romania 6.750% 2/7/22 2,672 2,757
  Romania 4.375% 8/22/23 12,480 13,410
  Romania 4.875% 1/22/24 7,934 8,720
8 Romania 2.750% 2/26/26 29,460 38,585
8 Romania 2.000% 12/8/26 29,194 37,189
8 Romania 2.500% 2/8/30 4,855 6,148
7,8 Romania 2.000% 4/14/33 9,725 11,392
  Sharjah Sukuk Program Ltd. 3.854% 4/3/26 21,160 22,673
  Sharjah Sukuk Program Ltd. 2.942% 6/10/27 6,844 6,995
7 Slovak Republic 4.375% 5/21/22 5,500 5,678
  Slovak Republic 4.375% 5/21/22 3,000 3,097
  State of Qatar 4.500% 1/20/22 14,555 14,831
  State of Qatar 3.375% 3/14/24 4,800 5,143
43
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  State of Qatar 3.400% 4/16/25 56,767 61,769
  United Mexican States 3.750% 1/11/28 21,548 23,675
8 United Mexican States 3.625% 4/9/29 1,652 2,287
  United Mexican States 4.500% 4/22/29 15,145 17,253
  United Mexican States 3.250% 4/16/30 11,010 11,479
Total Sovereign Bonds (Cost $2,248,019) 2,303,949
Taxable Municipal Bonds (0.0%)
17 New Jersey Economic Development Authority Appropriations Revenue 7.425% 2/15/29 13,409 17,527
6 New Mexico Educational Assistance Foundation Student Loan Revenue, 1M USD LIBOR + 0.700% 0.800% 1/2/25 3,859 3,860
  New York Transportation Development Corp. Miscellaneous Revenue 4.248% 9/1/35 4,575 5,109
Total Taxable Municipal Bonds (Cost $25,017) 26,496
          Shares  
Common Stocks (0.1%)
Exchange-Traded Fund (0.1%)
18 Vanguard Short-Term Corporate Bond ETF (Cost $78,302) 967,764 80,199
Temporary Cash Investments (0.9%)
Money Market Fund (0.9%)
19 Vanguard Market Liquidity Fund (Cost $696,635) 0.064%   6,969,802 696,980
    Counterparty Expiration
Date 		Exercise
Rate 		Notional
Amount on
Underlying
Swap
($000) 		 
Options Purchased (0.0%)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually NGFP 1/13/23 0.603% 624,374 1,806
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually CITNA 1/17/23 0.608% 623,325 1,826
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually BNPSW 2/3/23 0.603% 623,250 1,774
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually MSCS 2/3/23 0.630% 623,250 1,927
            7,333
Put Swaptions
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 58,360 37
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 38,860 24
44
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
    Counterparty Expiration
Date 		Exercise
Rate 		Notional
Amount on
Underlying
Swap
($000) 		Market
Value
($000)
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 27,485 17
            78
Total Options Purchased (Cost $12,100) 7,411
Total Investments (99.8%) (Cost $77,218,016) 78,584,351
Other Assets and Liabilities—Net (0.2%) 124,977
Net Assets (100%) 78,709,328
Cost is in $000.      
1 Securities with a value of $37,907,000 have been segregated as initial margin for open centrally cleared swap contracts.
2 Securities with a value of $41,886,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
3 Securities with a value of $25,151,000 have been segregated as initial margin for open futures contracts.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
6 Variable-rate security; rate shown is effective rate at period end. Certain variable-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, 2021, the aggregate value was $9,748,138,000, representing 12.4% of net assets.
8 Face amount denominated in euro.
9 Face amount denominated in British pounds.
10 Face amount denominated in Australian dollars.
11 Guaranteed by multiple countries.
12 Face amount denominated in Canadian dollars.
13 Non-income-producing security—security in default.
14 Security value determined using significant unobservable inputs.
15 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
16 Guaranteed by the Republic of Hungary.
17 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
18 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
19 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  12M—12-month.
  1M—1-month.
  1YR—1-year.
  3M—3-month.
  6M—6-month.
  BNPSW—BNP Paribas.
  CITNA—Citibank NA.
  CMT—Constant Maturing Treasury Rate.
  GSI—Goldman Sachs International.
  LIBOR—London Interbank Offered Rate.
  MSCS—Morgan Stanley Capital Services LLC.
  NGFP—Nomura Global Financial Products Inc.
  REMICS—Real Estate Mortgage Investment Conduits.
45
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
U.S. Government and Agency Obligations (7.3%)
U.S. Government Securities (7.2%)
  U.S. Treasury Note/Bond 1.250% 3/31/28 250,000 254,727
1 U.S. Treasury Note/Bond 1.250% 4/30/28 500,000 509,219
  U.S. Treasury Note/Bond 1.250% 5/31/28 250,000 254,531
2 U.S. Treasury Note/Bond 1.250% 6/30/28 275,000 279,770
2,3 U.S. Treasury Note/Bond 0.875% 11/15/30 375,000 364,336
2 U.S. Treasury Note/Bond 1.125% 2/15/31 600,000 595,125
  U.S. Treasury Note/Bond 1.625% 5/15/31 450,000 466,523
            2,724,231
Agency Bonds and Notes (0.0%)
4,5 Fannie Mae Interest Strip 0.000% 10/25/40 4,074 3,871
Nonconventional Mortgage-Backed Securities (0.1%)
4,5 Fannie Mae REMICS 5.250% 9/25/41 8,959 10,027
4,5,6 Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893% 2.393% 9/1/32 103 107
4,5,6 Freddie Mac Non Gold Pool, 1YR CMT + 2.250% 2.513% 8/1/32 164 170
4 Ginnie Mae 3.000% 8/20/46 2,116 2,291
4 Ginnie Mae 3.500% 6/20/48–2/20/49 10,631 11,408
            24,003
Total U.S. Government and Agency Obligations (Cost $2,696,263) 2,752,105
Asset-Backed/Commercial Mortgage-Backed Securities (4.8%)
4 Ally Auto Receivables Trust Class A4 Series 2019-1 3.020% 4/15/24 3,030 3,112
4,7 American Homes 4 Rent Trust Class A Series 2014-SFR2 3.786% 10/17/36 3,706 3,933
4,7 American Homes 4 Rent Trust Class A Series 2015-SFR2 3.732% 10/17/52 2,694 2,890
4,7 American Homes 4 Rent Trust Class B Series 2014-SFR2 4.290% 10/17/36 1,060 1,131
4,7 American Homes 4 Rent Trust Class B Series 2015-SFR2 4.295% 10/17/52 1,070 1,163
4 AmeriCredit Automobile Receivables Trust Class D Series 2018-2 4.010% 7/18/24 9,460 9,905
4 AmeriCredit Automobile Receivables Trust Class D Series 2019-1 3.620% 3/18/25 7,240 7,583
4,7 AOA Mortgage Trust Class A Series 2015-1177 2.957% 12/13/29 1,330 1,330
4,6,7 Aventura Mall Trust Class A Series 2018-AVM 4.112% 7/5/40 13,621 15,626
4,7 Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-1A 3.070% 9/20/23 4,220 4,327
4,7 Avis Budget Rental Car Funding AESOP LLC Class A Series 2018-2A 4.000% 3/20/25 3,890 4,202
4,7 BAMLL Commercial Mortgage Securities Trust Class ANM Series 2019-BPR 3.112% 11/5/32 22,800 23,821
4 Banc of America Commercial Mortgage Trust Class A3 Series 2015-UBS7 3.441% 9/15/48 4,411 4,731
4 Banc of America Commercial Mortgage Trust Class A4 Series 2017-BNK3 3.574% 2/15/50 1,540 1,720
4,6 Banc of America Commercial Mortgage Trust Class C Series 2015-UBS7 4.358% 9/15/48 360 360
4 BANK Class A3 Series 2019-BN20 3.011% 9/15/62 7,060 7,720
4 BANK Class A3 Series 2019-BN23 2.920% 12/15/52 7,000 7,608
4 BANK Class A4 Series 2017-BNK4 3.625% 5/15/50 1,661 1,861
4 BANK Class A4 Series 2017-BNK7 3.175% 9/15/60 6,629 7,235
4 BANK Class A4 Series 2017-BNK8 3.488% 11/15/50 5,270 5,894
4,6 BANK Class A4 Series 2018-BN12 4.255% 5/15/61 3,960 4,616
4,6 BANK Class A4 Series 2018-BN14 4.231% 9/15/60 4,985 5,821
4 BANK Class A4 Series 2019-BN17 3.714% 4/15/52 5,604 6,389
4 BANK Class A5 Series 2017-BNK7 3.435% 9/15/60 3,990 4,446
4 BANK Class AS Series 2017-BNK6 3.741% 7/15/60 1,310 1,452
4 BANK Class ASB Series 2018-BN14 4.185% 9/15/60 2,205 2,495
4 BANK Class ASB Series 2019-BN17 3.623% 4/15/52 1,437 1,609
4 BANK Class ASB Series 2019-BN23 2.846% 12/15/52 9,970 10,820
4 BBCMS Mortgage Trust Class A4 Series 2020-C6 2.639% 2/15/53 7,285 7,774
4 BBCMS Mortgage Trust Class A5 Series 2021-C10 2.492% 7/15/54 4,250 4,474
4 Benchmark Mortgage Trust Class A4 Series 2018-B6 4.261% 10/10/51 6,770 7,928
4 Benchmark Mortgage Trust Class A5 Series 2019-B15 2.928% 12/15/72 7,000 7,618
4 Benchmark Mortgage Trust Class A5 Series 2020-B16 2.732% 2/15/53 13,660 14,642
4 Benchmark Mortgage Trust Class AAB Series 2019-B15 2.859% 12/15/72 6,735 7,307
4,6 Benchmark Mortgage Trust Class AM Series 2018-B1 3.878% 1/15/51 2,350 2,622
4 Benchmark Mortgage Trust Class ASB Series 2019-B10 3.615% 3/15/62 1,532 1,713
46
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,7 Canadian Pacer Auto Receivables Trust Class A3 Series 2018-2A 3.270% 12/19/22 572 575
4,7 Canadian Pacer Auto Receivables Trust Class A4 Series 2018-2A 3.440% 8/21/23 1,280 1,304
4,7 Canadian Pacer Auto Receivables Trust Class A4 Series 2019-1A 2.960% 6/19/24 2,090 2,152
4 Cantor Commercial Real Estate Lending Class A4 Series 2019-CF3 3.006% 1/15/53 7,000 7,588
4 Capital One Prime Auto Receivables Trust Class A4 Series 2019-1 2.560% 10/15/24 5,890 6,063
4 CarMax Auto Owner Trust Class A4 Series 2018-4 3.480% 2/15/24 3,370 3,488
4 CarMax Auto Owner Trust Class A4 Series 2019-3 2.300% 4/15/25 4,760 4,928
4 CarMax Auto Owner Trust Class A4 Series 2019-4 2.130% 7/15/25 4,510 4,669
4 CarMax Auto Owner Trust Class B Series 2018-2 3.370% 10/16/23 2,140 2,191
4 CarMax Auto Owner Trust Class B Series 2018-4 3.670% 5/15/24 2,960 3,094
4 CarMax Auto Owner Trust Class B Series 2019-3 2.500% 4/15/25 6,040 6,269
4 CarMax Auto Owner Trust Class C Series 2018-1 2.950% 11/15/23 1,560 1,582
4 CarMax Auto Owner Trust Class C Series 2018-2 3.570% 12/15/23 3,090 3,168
4 CarMax Auto Owner Trust Class C Series 2018-4 3.850% 7/15/24 2,010 2,102
4 CarMax Auto Owner Trust Class C Series 2019-4 2.600% 9/15/25 2,690 2,801
4 CarMax Auto Owner Trust Class C Series 2021-3 1.250% 5/17/27 1,360 1,361
4 CarMax Auto Owner Trust Class D Series 2018-2 3.990% 4/15/25 2,390 2,452
4 CarMax Auto Owner Trust Class D Series 2018-4 4.150% 4/15/25 1,360 1,420
4 CD Mortgage Trust Class A4 Series 2016-CD1 2.724% 8/10/49 18,170 19,480
4 CD Mortgage Trust Class A4 Series 2017-CD3 3.631% 2/10/50 5,765 6,424
4,6 CD Mortgage Trust Class A4 Series 2017-CD4 3.514% 5/10/50 2,470 2,742
4 CD Mortgage Trust Class A5 Series 2017-CD6 3.456% 11/13/50 2,341 2,597
4,6 CD Mortgage Trust Class C Series 2016-CD1 3.631% 8/10/49 5,510 5,798
4 CFCRE Commercial Mortgage Trust Class A4 Series 2016-C4 3.283% 5/10/58 926 1,003
4,6,7 CFCRE Commercial Mortgage Trust Class AJ Series 2011-C2 5.776% 12/15/47 5,164 5,185
4 Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC19 3.753% 3/10/47 460 488
4 Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC23 3.356% 7/10/47 2,906 3,069
4 Citigroup Commercial Mortgage Trust Class A3 Series 2014-GC25 3.372% 10/10/47 4,267 4,531
4 Citigroup Commercial Mortgage Trust Class A3 Series 2016-GC37 3.050% 4/10/49 9,730 10,311
4 Citigroup Commercial Mortgage Trust Class A3 Series 2017-P8 3.203% 9/15/50 1,530 1,658
4 Citigroup Commercial Mortgage Trust Class A3 Series 2019-C7 2.860% 12/15/72 7,000 7,559
4 Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC11 3.093% 4/10/46 6,015 6,231
4,6 Citigroup Commercial Mortgage Trust Class A4 Series 2013-GC15 4.371% 9/10/46 1,910 2,048
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC19 4.023% 3/10/47 16,273 17,466
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC21 3.575% 5/10/47 11,800 12,362
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC23 3.622% 7/10/47 8,949 9,622
4 Citigroup Commercial Mortgage Trust Class A4 Series 2014-GC25 3.635% 10/10/47 7,375 7,947
4 Citigroup Commercial Mortgage Trust Class A4 Series 2015-GC31 3.762% 6/10/48 11,849 12,998
4 Citigroup Commercial Mortgage Trust Class A4 Series 2017-C4 3.471% 10/12/50 6,425 7,138
4 Citigroup Commercial Mortgage Trust Class A4 Series 2017-P8 3.465% 9/15/50 3,770 4,208
4,6 Citigroup Commercial Mortgage Trust Class A4 Series 2018-C5 4.228% 6/10/51 400 465
4 Citigroup Commercial Mortgage Trust Class A5 Series 2014-GC21 3.855% 5/10/47 4,897 5,288
4 Citigroup Commercial Mortgage Trust Class A5 Series 2015-GC27 3.137% 2/10/48 6,418 6,843
4 Citigroup Commercial Mortgage Trust Class AS Series 2014-GC23 3.863% 7/10/47 2,020 2,171
4,6 Citigroup Commercial Mortgage Trust Class B Series 2014-GC23 4.175% 7/10/47 800 860
4 Citigroup Commercial Mortgage Trust Class B Series 2017-P8 4.192% 9/15/50 3,150 3,504
4,6 Citigroup Commercial Mortgage Trust Class C Series 2014-GC23 4.430% 7/10/47 1,250 1,354
4,6 Citigroup Commercial Mortgage Trust Class C Series 2015-GC33 4.573% 9/10/58 900 911
4,6 Citigroup Commercial Mortgage Trust Class C Series 2017-P8 4.266% 9/15/50 750 834
4 COMM Mortgage Trust Class A2 Series 2014-CR15 2.928% 2/10/47 40 40
4 COMM Mortgage Trust Class A3 Series 2012-CR4 2.853% 10/15/45 6,857 6,969
4 COMM Mortgage Trust Class A3 Series 2013-CR11 3.983% 8/10/50 4,875 5,181
4 COMM Mortgage Trust Class A3 Series 2013-CR12 3.765% 10/10/46 5,579 5,858
4 COMM Mortgage Trust Class A3 Series 2014-CR14 3.955% 2/10/47 500 532
4 COMM Mortgage Trust Class A3 Series 2014-CR20 3.326% 11/10/47 10,587 11,213
4 COMM Mortgage Trust Class A4 Series 2012-CR5 2.771% 12/10/45 2,919 2,993
4 COMM Mortgage Trust Class A4 Series 2013-CR11 4.258% 8/10/50 2,257 2,420
4 COMM Mortgage Trust Class A4 Series 2013-CR12 4.046% 10/10/46 2,727 2,915
4 COMM Mortgage Trust Class A4 Series 2013-CR8 3.334% 6/10/46 97 100
4,6 COMM Mortgage Trust Class A4 Series 2013-CR9 4.246% 7/10/45 5,493 5,823
4 COMM Mortgage Trust Class A4 Series 2013-LC6 2.941% 1/10/46 2,976 3,052
47
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,6 COMM Mortgage Trust Class A4 Series 2014-CR14 4.236% 2/10/47 4,932 5,319
4,6 COMM Mortgage Trust Class A4 Series 2014-CR15 4.074% 2/10/47 4,350 4,689
4 COMM Mortgage Trust Class A4 Series 2014-CR17 3.700% 5/10/47 927 991
4 COMM Mortgage Trust Class A4 Series 2014-CR18 3.550% 7/15/47 5,399 5,700
4 COMM Mortgage Trust Class A4 Series 2015-CR25 3.759% 8/10/48 4,187 4,624
4 COMM Mortgage Trust Class A4 Series 2015-CR27 3.612% 10/10/48 3,748 4,118
4 COMM Mortgage Trust Class A4 Series 2015-LC19 3.183% 2/10/48 10,403 11,181
4,6 COMM Mortgage Trust Class A5 Series 2013-CR8 3.612% 6/10/46 1,760 1,848
4 COMM Mortgage Trust Class A5 Series 2013-LC13 4.205% 8/10/46 569 605
4 COMM Mortgage Trust Class A5 Series 2014-CR17 3.977% 5/10/47 3,498 3,789
4 COMM Mortgage Trust Class A5 Series 2014-CR18 3.828% 7/15/47 11,585 12,553
4 COMM Mortgage Trust Class A5 Series 2014-LC17 3.917% 10/10/47 2,512 2,740
4 COMM Mortgage Trust Class A5 Series 2015-CR24 3.696% 8/10/48 2,590 2,847
4 COMM Mortgage Trust Class AM Series 2012-CR2 3.791% 8/15/45 3,900 3,970
4 COMM Mortgage Trust Class AM Series 2012-CR4 3.251% 10/15/45 420 424
4,7 COMM Mortgage Trust Class AM Series 2013-CR6 3.147% 3/10/46 9,240 9,479
4,6 COMM Mortgage Trust Class AM Series 2014-CR15 4.426% 2/10/47 1,300 1,406
4 COMM Mortgage Trust Class AM Series 2014-CR17 4.174% 5/10/47 1,290 1,390
4 COMM Mortgage Trust Class ASB Series 2019-GC44 2.873% 8/15/57 180 195
4,7 COMM Mortgage Trust Class B Series 2013-CR6 3.397% 3/10/46 1,400 1,435
4,6,7 COMM Mortgage Trust Class C Series 2013-CR9 4.270% 7/10/45 2,780 2,503
4,6 COMM Mortgage Trust Class C Series 2015-CR27 4.450% 10/10/48 1,760 1,912
4 CSAIL Commercial Mortgage Trust Class A3 Series 2020-C19 2.561% 3/15/53 15,250 16,035
4 CSAIL Commercial Mortgage Trust Class A4 Series 2015-C2 3.504% 6/15/57 6,650 7,212
4 CSAIL Commercial Mortgage Trust Class A4 Series 2015-C4 3.808% 11/15/48 11,274 12,452
4 CSAIL Commercial Mortgage Trust Class A5 Series 2016-C7 3.502% 11/15/49 1,558 1,714
4,6 CSAIL Commercial Mortgage Trust Class C Series 2015-C3 4.370% 8/15/48 2,160 1,992
4 DBGS Mortgage Trust Class A4 Series 2018-C1 4.466% 10/15/51 5,600 6,627
4 DBJPM Mortgage Trust Class A5 Series 2017-C6 3.328% 6/10/50 5,540 6,136
4,7 DLL LLC Class A4 Series 2019-MT3 2.150% 9/21/26 3,790 3,857
4 Drive Auto Receivables Trust Class D Series 2017-1 3.840% 3/15/23 136 136
4 Drive Auto Receivables Trust Class D Series 2018-3 4.300% 9/16/24 6,080 6,205
4 Drive Auto Receivables Trust Class D Series 2018-5 4.300% 4/15/26 13,430 13,951
4 Drive Auto Receivables Trust Class D Series 2019-2 3.690% 8/17/26 5,630 5,844
4,6,7 Edsouth Indenture No. 9 LLC Class A Series 2015-1, 1M USD LIBOR + 0.800% 0.889% 10/25/56 3,568 3,585
4,6,7 EDvestinU Private Education Loan Issue No. 1 LLC Class A Series 2019-A 3.580% 11/25/38 2,472 2,565
4,7 Fair Square Issuance Trust Class A Series 2020-AA 2.900% 9/20/24 6,790 6,856
4,7 FirstKey Homes Trust Class A Series 2020-SFR2 1.266% 10/19/37 5,288 5,298
4,7 Ford Credit Auto Owner Trust Class A Series 2018-1 3.190% 7/15/31 19,160 20,675
4,7 Ford Credit Auto Owner Trust Class A Series 2020-1 2.040% 8/15/31 8,520 8,889
4 Ford Credit Auto Owner Trust Class A4 Series 2019-A 2.850% 8/15/24 11,040 11,434
4,7 Ford Credit Auto Owner Trust Class B Series 2018-1 3.340% 7/15/31 4,390 4,732
4,7 Ford Credit Auto Owner Trust Class B Series 2020-1 2.290% 8/15/31 8,090 8,436
4,7 Ford Credit Auto Owner Trust Class B Series 2020-2 1.490% 4/15/33 2,690 2,726
4,7 Ford Credit Auto Owner Trust Class C Series 2017-2 2.750% 3/15/29 9,830 10,075
4,7 Ford Credit Auto Owner Trust Class C Series 2018-2 3.760% 1/15/30 2,700 2,854
4 Ford Credit Auto Owner Trust Class C Series 2019-A 3.250% 9/15/25 4,520 4,712
4,7 Ford Credit Auto Owner Trust Class C Series 2020-1 2.540% 8/15/31 3,000 3,145
4 GM Financial Automobile Leasing Trust Class C Series 2021-1 1.040% 5/17/27 530 530
4 GM Financial Consumer Automobile Receivables Trust Class A4 Series 2019-4 1.760% 1/16/25 3,240 3,312
4 GM Financial Consumer Automobile Receivables Trust Class C Series 2020-4 1.050% 5/18/26 1,200 1,202
4,7 Golden Credit Card Trust Class A Series 2018-4A 3.440% 8/15/25 13,328 14,139
4,7 GreatAmerica Leasing Receivables Funding LLC Class A4 Series 2019-1 3.210% 2/18/25 2,540 2,614
4,6 GS Mortgage Securities Corp. II Class A5 Series 2018-GS10 4.155% 7/10/51 1,065 1,236
4 GS Mortgage Securities Trust Class A3 Series 2015-GC34 3.244% 10/10/48 7,544 8,003
4 GS Mortgage Securities Trust Class A3 Series 2017-GS6 3.433% 5/10/50 5,920 6,570
4 GS Mortgage Securities Trust Class A4 Series 2013-GC12 3.135% 6/10/46 4,128 4,296
4 GS Mortgage Securities Trust Class A4 Series 2013-GC14 3.955% 8/10/46 5,899 6,118
48
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 GS Mortgage Securities Trust Class A4 Series 2014-GC26 3.364% 11/10/47 7,602 8,044
4 GS Mortgage Securities Trust Class A4 Series 2015-GC28 3.136% 2/10/48 8,999 9,520
4 GS Mortgage Securities Trust Class A4 Series 2015-GC30 3.382% 5/10/50 2,398 2,593
4 GS Mortgage Securities Trust Class A4 Series 2015-GC32 3.764% 7/10/48 4,615 5,074
4 GS Mortgage Securities Trust Class A4 Series 2016-GS3 2.850% 10/10/49 2,220 2,389
4 GS Mortgage Securities Trust Class A4 Series 2019-GC38 3.968% 2/10/52 3,080 3,553
4 GS Mortgage Securities Trust Class A4 Series 2019-GC40 3.160% 7/10/52 6,528 7,205
4 GS Mortgage Securities Trust Class A4 Series 2019-GC42 3.001% 9/1/52 7,000 7,651
4,6 GS Mortgage Securities Trust Class A5 Series 2013-GC13 4.052% 7/10/46 185 196
4 GS Mortgage Securities Trust Class A5 Series 2014-GC20 3.998% 4/10/47 6,289 6,738
4 GS Mortgage Securities Trust Class A5 Series 2020-GC45 2.911% 2/13/53 18,170 19,728
4 GS Mortgage Securities Trust Class AAB Series 2020-GC45 2.843% 2/13/53 7,336 7,954
4,7 GS Mortgage Securities Trust Class AS Series 2012-GC6 4.948% 1/10/45 1,025 1,033
4 GS Mortgage Securities Trust Class AS Series 2014-GC20 4.258% 4/10/47 570 614
4,6 GS Mortgage Securities Trust Class AS Series 2014-GC24 4.162% 9/10/47 6,520 7,066
4,6 GS Mortgage Securities Trust Class B Series 2013-GC12 3.777% 6/10/46 1,550 1,613
4,6 GS Mortgage Securities Trust Class B Series 2014-GC24 4.515% 9/10/47 2,610 2,731
4,6,7 GS Mortgage Securities Trust Class C Series 2013-GC13 4.085% 7/10/46 1,210 1,188
4,6 GS Mortgage Securities Trust Class C Series 2014-GC24 4.536% 9/10/47 4,615 4,381
4,6 GS Mortgage Securities Trust Class C Series 2015-GC34 4.648% 10/10/48 2,610 2,774
4,7 Harley Marine Financing LLC Class A2 Series 2018-1A 5.682% 5/15/43 3,490 3,388
4 Harley-Davidson Motorcycle Trust Class A4 Series 2019-A 2.390% 11/15/26 4,110 4,218
4,7 Hertz Vehicle Financing LLC Class A Series 2021-2A 1.680% 12/27/27 4,260 4,315
4,7 Hertz Vehicle Financing LLC Class B Series 2021-1A 1.560% 12/26/25 2,220 2,232
4,7 Hertz Vehicle Financing LLC Class C Series 2021-1A 2.050% 12/26/25 1,050 1,057
4,7 Hilton USA Trust Class A Series 2016-HHV 3.719% 11/5/38 7,780 8,598
4 Honda Auto Receivables Owner Trust Class A4 Series 2019-3 1.850% 8/15/25 3,520 3,595
4,7 HPEFS Equipment Trust Class B Series 2020-1A 1.890% 2/20/30 2,300 2,331
4,7 HPEFS Equipment Trust Class C Series 2019-1A 2.490% 9/20/29 2,600 2,638
4,7 HPEFS Equipment Trust Class D Series 2019-1A 2.720% 9/20/29 1,200 1,224
4,7 Hudsons Bay Simon JV Trust Class A7 Series 2015-HB7 3.914% 8/5/34 4,750 4,336
4 Hyundai Auto Receivables Trust Class A4 Series 2019-B 2.000% 4/15/25 1,850 1,904
4 Hyundai Auto Receivables Trust Class B Series 2019-A 2.940% 5/15/25 2,490 2,583
4 Hyundai Auto Receivables Trust Class B Series 2019-B 2.210% 4/15/25 530 549
4 Hyundai Auto Receivables Trust Class B Series 2021-B 0.910% 2/16/27 1,270 1,286
4 Hyundai Auto Receivables Trust Class C Series 2021-B 1.120% 2/15/28 1,350 1,370
4,6,7 Invitation Homes Trust Class A Series 2017-SFR2, 1M USD LIBOR + 0.850% 0.939% 12/17/36 13,019 13,028
4,6,7 Invitation Homes Trust Class A Series 2018-SFR1, 1M USD LIBOR + 0.700% 0.789% 3/17/37 8,056 8,033
4,6,7 Invitation Homes Trust Class B Series 2017-SFR2, 1M USD LIBOR + 1.150% 1.239% 12/17/36 4,929 4,924
4,6,7 Invitation Homes Trust Class B Series 2018-SFR1, 1M USD LIBOR + 0.950% 1.039% 3/17/37 2,250 2,248
4,7 JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2010-C2 4.070% 11/15/43 289 290
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2012-C6 3.507% 5/15/45 2,972 3,019
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A3 Series 2013-C16 3.881% 12/15/46 648 681
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C13 3.994% 1/15/46 286 302
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A4 Series 2013-C16 4.166% 12/15/46 3,223 3,454
4 JP Morgan Chase Commercial Mortgage Securities Trust Class A5 Series 2012-LC9 2.840% 12/15/47 2,911 2,971
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class B Series 2013-C16 4.957% 12/15/46 2,135 2,280
4,6,7 JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2010-C2 5.683% 11/15/43 2,313 2,307
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C13 4.077% 1/15/46 2,550 2,673
49
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,6 JP Morgan Chase Commercial Mortgage Securities Trust Class C Series 2013-C16 5.022% 12/15/46 960 988
4,6,7 JP Morgan Chase Commercial Mortgage Securities Trust Class D Series 2010-C2 5.683% 11/15/43 2,730 2,373
4 JPMBB Commercial Mortgage Securities Trust Class A3 Series 2014-C26 3.231% 1/15/48 12,398 13,137
4 JPMBB Commercial Mortgage Securities Trust Class A3 Series 2015-C31 3.801% 8/15/48 11,540 12,640
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C12 3.363% 7/15/45 5,108 5,278
4,6 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C14 4.133% 8/15/46 4,612 4,829
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2013-C17 4.199% 1/15/47 760 818
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C19 3.997% 4/15/47 3,680 3,954
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C21 3.493% 8/15/47 4,309 4,555
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2014-C26 3.494% 1/15/48 2,821 3,053
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C27 3.179% 2/15/48 9,941 10,635
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C30 3.551% 7/15/48 4,640 5,020
4 JPMBB Commercial Mortgage Securities Trust Class A4 Series 2015-C33 3.770% 12/15/48 7,300 8,101
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2013-C12 3.664% 7/15/45 915 959
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2014-C24 3.639% 11/15/47 6,021 6,506
4 JPMBB Commercial Mortgage Securities Trust Class A5 Series 2015-C32 3.598% 11/15/48 3,878 4,209
4,6 JPMBB Commercial Mortgage Securities Trust Class AS Series 2013-C12 4.038% 7/15/45 5,000 5,263
4,6 JPMBB Commercial Mortgage Securities Trust Class AS Series 2014-C18 4.439% 2/15/47 600 645
4,6 JPMBB Commercial Mortgage Securities Trust Class AS Series 2015-C30 4.226% 7/15/48 2,245 2,481
4,6 JPMBB Commercial Mortgage Securities Trust Class B Series 2014-C18 4.800% 2/15/47 2,500 2,634
4,6 JPMBB Commercial Mortgage Securities Trust Class C Series 2014-C18 4.800% 2/15/47 1,000 976
4 JPMCC Commercial Mortgage Securities Trust Class A4 Series 2017-JP6 3.224% 7/15/50 4,890 5,335
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP5 3.723% 3/15/50 6,680 7,496
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP6 3.490% 7/15/50 3,740 4,157
4 JPMCC Commercial Mortgage Securities Trust Class A5 Series 2017-JP7 3.454% 9/15/50 4,680 5,206
4 JPMDB Commercial Mortgage Securities Trust Class A3 Series 2016-C4 3.141% 12/15/49 2,840 3,108
4 JPMDB Commercial Mortgage Securities Trust Class A4 Series 2018-C8 4.211% 6/15/51 150 174
4 JPMDB Commercial Mortgage Securities Trust Class A5 Series 2017-C7 3.409% 10/15/50 1,860 2,074
4,6,7 Lanark Master Issuer plc Class 1A Series 2020-1A 2.277% 12/22/69 3,100 3,171
4,7 Laurel Road Prime Student Loan Trust Class A2B Series 2017-C 2.810% 11/25/42 3,135 3,205
4,7 Laurel Road Prime Student Loan Trust Class A2FX Series 2018-B 3.540% 5/26/43 3,794 3,912
4,7 Laurel Road Prime Student Loan Trust Class A2FX Series 2019-A 2.730% 10/25/48 5,003 5,164
4,7 MMAF Equipment Finance LLC Class A5 Series 2018-A 3.610% 3/10/42 1,580 1,687
4,7 MMAF Equipment Finance LLC Class A5 Series 2019-A 3.080% 11/12/41 2,630 2,788
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2013-C11 3.960% 8/15/46 10,951 11,362
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2014-C15 3.773% 4/15/47 8,793 9,341
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C23 3.451% 7/15/50 5,379 5,793
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A3 Series 2015-C24 3.479% 5/15/48 4,232 4,562
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2012-C6 2.858% 11/15/45 4,745 4,833
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C10 4.080% 7/15/46 1,244 1,311
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C11 4.154% 8/15/46 3,937 4,120
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C12 4.259% 10/15/46 1,940 2,067
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C13 4.039% 11/15/46 400 428
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C7 2.918% 2/15/46 2,470 2,538
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2013-C9 3.102% 5/15/46 1,880 1,945
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C15 4.051% 4/15/47 11,275 12,152
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C18 3.923% 10/15/47 5,430 5,906
50
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2014-C19 3.526% 12/15/47 3,940 4,252
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C20 3.249% 2/15/48 10,452 11,202
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2015-C23 3.719% 7/15/50 3,870 4,244
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C29 3.325% 5/15/49 15,409 16,697
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2016-C32 3.720% 12/15/49 16,374 18,366
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A4 Series 2017-C34 3.536% 11/15/52 6,550 7,324
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C14 4.064% 2/15/47 2,300 2,472
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2014-C16 3.892% 6/15/47 4,798 5,176
4 Morgan Stanley Bank of America Merrill Lynch Trust Class A5 Series 2015-C25 3.635% 10/15/48 8,263 9,100
4 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2013-C7 3.214% 2/15/46 2,000 2,058
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C14 4.384% 2/15/47 1,600 1,721
4 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C16 4.094% 6/15/47 935 1,005
4 Morgan Stanley Bank of America Merrill Lynch Trust Class AS Series 2014-C17 4.011% 8/15/47 1,380 1,486
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class B Series 2014-C16 4.334% 6/15/47 7,090 7,373
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2013-C10 4.080% 7/15/46 1,830 1,612
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C15 4.899% 4/15/47 1,140 1,187
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2014-C16 4.767% 6/15/47 2,400 2,395
4,6 Morgan Stanley Bank of America Merrill Lynch Trust Class C Series 2016-C29 4.733% 5/15/49 1,090 1,159
4 Morgan Stanley Capital I Class A4 Series 2017-HR2 3.587% 12/15/50 3,506 3,926
4 Morgan Stanley Capital I Class ASB Series 2017-HR2 3.509% 12/15/50 2,800 3,056
4,7 Morgan Stanley Capital I Trust Class A Series 2014-150E 3.912% 9/9/32 3,670 3,945
4,7 Morgan Stanley Capital I Trust Class A Series 2015-420 3.727% 10/12/50 2,308 2,463
4 Morgan Stanley Capital I Trust Class A3 Series 2016-BNK2 2.791% 11/15/49 8,300 8,839
4 Morgan Stanley Capital I Trust Class A4 Series 2016-BNK2 3.049% 11/15/49 5,260 5,728
4 Morgan Stanley Capital I Trust Class A4 Series 2016-UB11 2.782% 8/15/49 2,778 2,982
4 Morgan Stanley Capital I Trust Class A4 Series 2021-L6 2.444% 6/15/54 1,900 1,986
4 Morgan Stanley Capital I Trust Class AS Series 2012-C4 3.773% 3/15/45 2,440 2,460
4,6 Morgan Stanley Capital I Trust Class C Series 2015-UBS8 4.582% 12/15/48 1,610 1,580
4,7 MSBAM Commercial Mortgage Securities Trust Class A2 Series 2012-CKSV 3.277% 10/15/30 10,100 9,808
4,7 Navient Private Education Loan Trust Class A2A Series 2017-A 2.880% 12/16/58 4,274 4,386
4,7 Navient Private Education Loan Trust Class A2A Series 2018-BA 3.610% 12/15/59 3,862 3,999
4,7 Navient Private Education Refi Loan Trust Class A2A Series 2018-DA 4.000% 12/15/59 15,140 15,955
4,7 Navient Student Loan Trust Class A2A Series 2019-BA 3.390% 12/15/59 5,828 6,132
4 Nissan Auto Receivables Owner Trust Class A4 Series 2018-B 3.160% 12/16/24 5,220 5,350
4 Nissan Auto Receivables Owner Trust Class A4 Series 2019-A 3.000% 9/15/25 3,520 3,652
4 Nissan Auto Receivables Owner Trust Class A4 Series 2019-B 2.540% 12/15/25 9,540 9,853
4,7 Palisades Center Trust Class A Series 2016-PLSD 2.713% 4/13/33 8,980 8,400
4,6,7 Pepper Residential Securities Trust Class A1U Series 21A, 1M USD LIBOR + 0.880% 0.971% 1/16/60 2,956 2,964
4,6,7 Pepper Residential Securities Trust No. 22 Class A1U Series 22A, 1M USD LIBOR + 1.000% 1.084% 6/20/60 1,590 1,590
4,6,7 Pepper Residential Securities Trust No. 23 Class A1U Series 23A, 1M USD LIBOR + 0.950% 1.039% 8/18/60 814 814
51
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,6,7 PHEAA Student Loan Trust Class A Series 2016-2A, 1M USD LIBOR + 0.950% 1.039% 11/25/65 5,695 5,760
4,6,7 RESIMAC Bastille Trust Class A1 Series 2018-1NCA, 1M USD LIBOR + 0.850% 0.953% 12/5/59 3,773 3,781
4,6,7 RESIMAC MBS Trust Class A1A Series 2018-2A, 1M USD LIBOR + 0.850% 0.950% 4/10/50 788 787
4,6,7 RESIMAC Premier Class A1 Series 2018-1A, 1M USD LIBOR + 0.800% 0.900% 11/10/49 2,720 2,725
4 Santander Drive Auto Receivables Trust Class D Series 2018-3 4.070% 8/15/24 21,573 22,002
4 Santander Drive Auto Receivables Trust Class D Series 2018-4 3.980% 12/15/25 11,000 11,306
4 Santander Drive Auto Receivables Trust Class D Series 2018-5 4.190% 12/16/24 17,580 17,924
4 Santander Drive Auto Receivables Trust Class D Series 2021-1 1.130% 11/16/26 4,080 4,097
4,7 Santander Retail Auto Lease Trust Class D Series 2020-B 1.980% 10/20/25 7,460 7,574
4,7 Securitized Term Auto Receivables Trust Class A4 Series 2018-1A 3.298% 11/25/22 1,137 1,145
4,7 Securitized Term Auto Receivables Trust Class A4 Series 2018-2A 3.544% 6/26/23 3,370 3,408
4,7 SLM Private Education Loan Trust Class B Series 2014-A 3.500% 11/15/44 775 777
4,7 SMB Private Education Loan Trust Class A2A Series 2016-A 2.700% 5/15/31 2,402 2,463
4,7 SMB Private Education Loan Trust Class A2A Series 2017-B 2.820% 10/15/35 5,722 5,939
4,7 SMB Private Education Loan Trust Class A2A Series 2018-B 3.600% 1/15/37 7,625 8,117
4,7 SMB Private Education Loan Trust Class A2A Series 2018-C 3.630% 11/15/35 10,858 11,409
4,6,7 SoFi Professional Loan Program LLC Class A1 Series 2016-D, 1M USD LIBOR + 0.950% 1.039% 1/25/39 277 277
4,6,7 SoFi Professional Loan Program LLC Class A1 Series 2017-C, 1M USD LIBOR + 0.600% 0.689% 7/25/40 213 214
4,7 SoFi Professional Loan Program LLC Class A2B Series 2016-C 2.360% 12/27/32 486 491
4,7 SoFi Professional Loan Program LLC Class A2B Series 2017-A 2.400% 3/26/40 322 327
4,7 SoFi Professional Loan Program LLC Class A2B Series 2018-A 2.950% 2/25/42 3,273 3,323
4,7 SoFi Professional Loan Program LLC Class A2BSeries 2016-B 2.740% 10/25/32 624 630
4,7 SoFi Professional Loan Program LLC Class A2FX Series 2017-B 2.740% 5/25/40 1,864 1,884
4,7 SoFi Professional Loan Program LLC Class A2FX Series 2017-F 2.840% 1/25/41 2,954 3,021
4 Synchrony Credit Card Master Note Trust Class C Series 2017-2 3.010% 10/15/25 6,390 6,573
4,7 Taco Bell Funding LLC Class A2II Series 2016-1A 4.377% 5/25/46 3,552 3,553
4,7 TMSQ Mortgage Trust Class A Series 2014-1500 3.680% 10/10/36 2,800 2,969
4,7 Toyota Auto Loan Extended Note Trust Class A Series 2021-1A 1.070% 2/27/34 8,210 8,232
4 Toyota Auto Receivables Owner Trust Class A4 Series 2019-A 3.000% 5/15/24 2,350 2,433
4 Toyota Auto Receivables Owner Trust Class A4 Series 2019-D 1.990% 2/18/25 5,980 6,160
4,7 Trafigura Securitisation Finance plc Class A2 Series 2018-1A 3.730% 3/15/22 21,540 21,625
4,7 Trinity Rail Leasing LLC Class A2 Series 2018-1A 4.620% 6/17/48 10,260 10,663
4 UBS Commercial Mortgage Trust Class A4 Series 2017-C7 3.679% 12/15/50 6,673 7,521
4 UBS Commercial Mortgage Trust Class AS Series 2012-C1 4.171% 5/10/45 1,200 1,221
4 UBS Commercial Mortgage Trust Class ASB Series 2019-C16 3.460% 4/15/52 2,287 2,529
4,7 UBS-BAMLL Trust Class A Series 2012-WRM 3.663% 6/10/30 6,673 6,662
4 UBS-Barclays Commercial Mortgage Trust Class A4 Series 2013-C6 3.244% 4/10/46 3,970 4,111
4 UBS-Barclays Commercial Mortgage Trust Class AS Series 2013-C6 3.469% 4/10/46 1,160 1,200
4 Verizon Owner Trust Class C Series 2020-B 0.830% 2/20/25 5,860 5,892
4 Wells Fargo Commercial Mortgage Trust Class A3 Series 2015-C30 3.411% 9/15/58 6,800 7,375
4 Wells Fargo Commercial Mortgage Trust Class A3 Series 2016-BNK1 2.652% 8/15/49 4,470 4,774
4,6 Wells Fargo Commercial Mortgage Trust Class A4 Series 2013-LC12 4.218% 7/15/46 2,773 2,927
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C29 3.637% 6/15/48 16,693 18,300
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-C30 3.664% 9/15/58 4,380 4,820
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2015-LC22 3.839% 9/15/58 10,834 12,010
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2016-C37 3.525% 12/15/49 2,190 2,391
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C39 3.157% 9/15/50 4,270 4,616
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-C40 3.581% 10/15/50 2,880 3,220
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2017-RC1 3.631% 1/15/60 2,712 3,029
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C46 4.152% 8/15/51 1,115 1,292
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2018-C47 4.442% 9/15/61 1,090 1,286
4 Wells Fargo Commercial Mortgage Trust Class A4 Series 2019-C54 3.146% 12/15/52 2,390 2,635
4 Wells Fargo Commercial Mortgage Trust Class A5 Series 2014-LC18 3.405% 12/15/47 13,210 14,267
4 Wells Fargo Commercial Mortgage Trust Class AS Series 2012-LC5 3.539% 10/15/45 7,210 7,409
4 Wells Fargo Commercial Mortgage Trust Class AS Series 2014-LC16 4.020% 8/15/50 700 730
4,6 Wells Fargo Commercial Mortgage Trust Class AS Series 2015-C30 4.067% 9/15/58 2,250 2,471
52
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4,6 Wells Fargo Commercial Mortgage Trust Class AS Series 2015-LC22 4.207% 9/15/58 2,045 2,262
4 Wells Fargo Commercial Mortgage Trust Class ASB Series 2019-C49 3.933% 3/15/52 3,250 3,677
4 Wells Fargo Commercial Mortgage Trust Class B Series 2014-LC16 4.322% 8/15/50 1,300 1,244
4 Wells Fargo Commercial Mortgage Trust Class C Series 2014-LC16 4.458% 8/15/50 1,450 1,039
4,6 Wells Fargo Commercial Mortgage Trust Class C Series 2015-LC22 4.557% 9/15/58 5,225 5,468
4,6 Wells Fargo Commercial Mortgage Trust Class C Series 2018-C43 4.514% 3/15/51 12,380 13,068
4,6,7 WFLD Mortgage Trust Class A Series 2014-MONT 3.755% 8/10/31 4,640 4,903
4,6 WFRBS Commercial Mortgage Trust Class A4 Series 2013-C15 4.153% 8/15/46 6,044 6,399
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-C21 3.410% 8/15/47 1,427 1,517
4 WFRBS Commercial Mortgage Trust Class A4 Series 2014-LC14 3.766% 3/15/47 884 937
4,6 WFRBS Commercial Mortgage Trust Class A5 Series 2013-C18 4.162% 12/15/46 2,378 2,563
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C19 4.101% 3/15/47 10,595 11,441
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C20 3.995% 5/15/47 8,175 8,836
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C21 3.678% 8/15/47 7,786 8,411
4 WFRBS Commercial Mortgage Trust Class A5 Series 2014-C23 3.917% 10/15/57 4,167 4,542
4 WFRBS Commercial Mortgage Trust Class AS Series 2012-C9 3.388% 11/15/45 2,870 2,950
4 WFRBS Commercial Mortgage Trust Class AS Series 2013-C13 3.345% 5/15/45 2,220 2,303
4 WFRBS Commercial Mortgage Trust Class AS Series 2014-C21 3.891% 8/15/47 700 739
4,6 WFRBS Commercial Mortgage Trust Class B Series 2013-C18 4.864% 12/15/46 1,085 1,147
4 WFRBS Commercial Mortgage Trust Class B Series 2014-C20 4.378% 5/15/47 2,410 2,348
4,6 WFRBS Commercial Mortgage Trust Class C Series 2014-C20 4.513% 5/15/47 1,410 1,373
4 World Omni Auto Receivables Trust Class A4 Series 2018-D 3.440% 12/16/24 1,770 1,837
4 World Omni Auto Receivables Trust Class A4 Series 2019-A 3.220% 6/16/25 3,060 3,181
4 World Omni Auto Receivables Trust Class B Series 2018-A 2.890% 4/15/25 3,820 3,876
4 World Omni Auto Receivables Trust Class B Series 2019-B 2.860% 6/16/25 2,510 2,600
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $1,739,213) 1,813,560
Corporate Bonds (82.2%)
Communications (6.8%)
  Activision Blizzard Inc. 3.400% 9/15/26 343 380
  Activision Blizzard Inc. 1.350% 9/15/30 12,392 11,789
  AT&T Inc. 2.300% 6/1/27 59,457 62,293
  AT&T Inc. 1.650% 2/1/28 42,893 42,984
  AT&T Inc. 4.100% 2/15/28 7,733 8,877
  AT&T Inc. 4.350% 3/1/29 36,556 42,556
  AT&T Inc. 4.300% 2/15/30 43,644 50,898
  AT&T Inc. 2.750% 6/1/31 47,000 49,582
  AT&T Inc. 2.250% 2/1/32 3,914 3,905
  Booking Holdings Inc. 4.625% 4/13/30 55,630 67,069
7 British Telecommunications plc 3.250% 11/8/29 30,000 31,816
7 Cable One Inc. 4.000% 11/15/30 2,555 2,579
  CBS Corp. 7.875% 7/30/30 304 438
  Charter Communications Operating LLC / Charter Communications Operating Capital 3.750% 2/15/28 13,609 15,122
  Charter Communications Operating LLC / Charter Communications Operating Capital 4.200% 3/15/28 24,890 28,304
  Charter Communications Operating LLC / Charter Communications Operating Capital 5.050% 3/30/29 24,184 28,850
  Charter Communications Operating LLC / Charter Communications Operating Capital 2.800% 4/1/31 22,000 22,779
  Charter Communications Operating LLC / Charter Communications Operating Capital 2.300% 2/1/32 15,000 14,723
7 Cogent Communications Group Inc. 3.500% 5/1/26 1,475 1,519
  Comcast Corp. 2.350% 1/15/27 53,381 56,403
  Comcast Corp. 3.300% 2/1/27 2,000 2,206
  Comcast Corp. 3.300% 4/1/27 15,000 16,629
  Comcast Corp. 3.150% 2/15/28 35,747 39,412
  Comcast Corp. 3.550% 5/1/28 15,000 16,875
  Comcast Corp. 4.150% 10/15/28 81,690 95,188
  Comcast Corp. 2.650% 2/1/30 12,290 13,054
  Comcast Corp. 3.400% 4/1/30 37,386 41,724
53
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Comcast Corp. 4.250% 10/15/30 3,753 4,460
  Comcast Corp. 1.950% 1/15/31 20,000 20,021
  Comcast Corp. 1.500% 2/15/31 2,000 1,928
7 Cox Communications Inc. 2.600% 6/15/31 30,000 30,979
7 CSC Holdings LLC 5.375% 2/1/28 1,980 2,095
7 CSC Holdings LLC 6.500% 2/1/29 2,790 3,084
7 CSC Holdings LLC 4.625% 12/1/30 2,678 2,636
7 CSC Holdings LLC 4.500% 11/15/31 3,795 3,828
7 Deutsche Telekom International Finance BV 4.375% 6/21/28 9,350 10,966
7 DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. 5.875% 8/15/27 943 976
  Discovery Communications LLC 3.950% 6/15/25 3,715 4,093
  Discovery Communications LLC 4.900% 3/11/26 29,563 33,890
  Discovery Communications LLC 3.950% 3/20/28 27,237 30,628
  Discovery Communications LLC 4.125% 5/15/29 9,315 10,614
  Discovery Communications LLC 3.625% 5/15/30 15,314 16,898
  Discovery Communications LLC 4.000% 9/15/55 5,000 5,374
  Electronic Arts Inc. 1.850% 2/15/31 49,437 48,987
  Expedia Group Inc. 5.000% 2/15/26 7,000 7,971
  Expedia Group Inc. 4.625% 8/1/27 22,670 25,837
  Expedia Group Inc. 3.800% 2/15/28 39,000 42,721
  Expedia Group Inc. 2.950% 3/15/31 13,000 13,348
  Fox Corp. 4.709% 1/25/29 61,320 72,511
  Fox Corp. 3.500% 4/8/30 18,000 20,041
  Fox Corp. 5.576% 1/25/49 1,380 1,905
7 Frontier Communications Holdings LLC 5.875% 10/15/27 805 863
7 Frontier Communications Holdings LLC 5.000% 5/1/28 3,840 3,974
7 Frontier Communications Holdings LLC 6.750% 5/1/29 1,330 1,426
  Interpublic Group of Cos. Inc. 4.750% 3/30/30 364 439
  Interpublic Group of Cos. Inc. 2.400% 3/1/31 30,000 30,717
  Lamar Media Corp. 3.750% 2/15/28 1,400 1,426
7 Level 3 Financing Inc. 4.625% 9/15/27 6,088 6,328
7 Level 3 Financing Inc. 4.250% 7/1/28 545 555
7 Level 3 Financing Inc. 3.625% 1/15/29 1,920 1,868
7 Netflix Inc. 3.625% 6/15/25 4,810 5,168
  Netflix Inc. 4.875% 4/15/28 5,535 6,470
  Netflix Inc. 5.875% 11/15/28 5,935 7,374
7 Netflix Inc. 4.875% 6/15/30 1,603 1,932
7 News Corp. 3.875% 5/15/29 3,448 3,513
7 Nexstar Media Inc. 5.625% 7/15/27 2,250 2,379
7 Nexstar Media Inc. 4.750% 11/1/28 2,340 2,416
7 NTT Finance Corp. 2.065% 4/3/31 4,955 5,099
  Omnicom Group Inc. 2.600% 8/1/31 45,000 46,551
7 Playtika Holding Corp. 4.250% 3/15/29 2,325 2,320
7 QualityTech LP / QTS Finance Corp. 3.875% 10/1/28 1,325 1,420
  Qwest Corp. 7.250% 9/15/25 4,554 5,381
8 RELX Finance BV 0.875% 3/10/32 700 867
7 Scripps Escrow II Inc. 3.875% 1/15/29 3,755 3,756
7 Sirius XM Radio Inc. 4.625% 7/15/24 2,100 2,155
7 Sirius XM Radio Inc. 5.000% 8/1/27 1,810 1,896
7 Sirius XM Radio Inc. 4.000% 7/15/28 520 536
  Sprint Corp. 7.125% 6/15/24 5,555 6,388
  Sprint Corp. 7.625% 3/1/26 1,085 1,325
7 Switch Ltd. 4.125% 6/15/29 1,540 1,586
7 Tegna Inc. 4.750% 3/15/26 2,040 2,171
  Telefonica Emisiones SA 4.103% 3/8/27 38,943 44,053
  T-Mobile USA Inc. 4.500% 2/1/26 4,320 4,423
  T-Mobile USA Inc. 1.500% 2/15/26 11,419 11,556
  T-Mobile USA Inc. 3.750% 4/15/27 134,017 149,429
  T-Mobile USA Inc. 2.050% 2/15/28 339 348
  T-Mobile USA Inc. 2.625% 2/15/29 4,065 4,065
7 T-Mobile USA Inc. 3.375% 4/15/29 3,610 3,762
54
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  T-Mobile USA Inc. 3.875% 4/15/30 130,135 147,055
  T-Mobile USA Inc. 2.875% 2/15/31 827 831
7 T-Mobile USA Inc. 3.500% 4/15/31 1,605 1,685
  T-Mobile USA Inc. 2.250% 11/15/31 7,000 7,028
  T-Mobile USA Inc. 4.500% 4/15/50 2,000 2,436
7 Twitter Inc. 3.875% 12/15/27 2,591 2,774
  Verisign Inc. 2.700% 6/15/31 30,000 31,092
9 Verizon Communications Inc. 4.050% 2/17/25 15,310 12,376
  Verizon Communications Inc. 4.125% 3/16/27 44,892 51,442
  Verizon Communications Inc. 3.000% 3/22/27 56,875 61,711
9 Verizon Communications Inc. 4.500% 8/17/27 8,500 7,196
  Verizon Communications Inc. 2.100% 3/22/28 138,235 142,286
  Verizon Communications Inc. 4.329% 9/21/28 40,128 47,101
  Verizon Communications Inc. 3.875% 2/8/29 1,000 1,149
  Verizon Communications Inc. 4.016% 12/3/29 10,000 11,567
  Verizon Communications Inc. 3.150% 3/22/30 42,200 45,988
  Verizon Communications Inc. 1.500% 9/18/30 2,000 1,939
  Verizon Communications Inc. 1.750% 1/20/31 23,269 22,621
  Verizon Communications Inc. 2.550% 3/21/31 96,531 100,357
  ViacomCBS Inc. 3.700% 6/1/28 17,000 19,095
  ViacomCBS Inc. 4.950% 1/15/31 44,871 54,695
  ViacomCBS Inc. 4.200% 5/19/32 3,000 3,507
7 Videotron Ltd. 3.625% 6/15/29 1,584 1,628
  Vodafone Group plc 4.375% 5/30/28 39,173 45,864
  Vodafone Group plc 4.875% 6/19/49 3,000 3,829
  Vodafone Group plc 4.125% 6/4/81 23,770 24,048
  Walt Disney Co. 3.375% 11/15/26 44,928 49,823
  Walt Disney Co. 3.700% 3/23/27 11,162 12,641
  Walt Disney Co. 2.200% 1/13/28 5,160 5,400
  Walt Disney Co. 2.000% 9/1/29 44,664 45,781
  Walt Disney Co. 3.600% 1/13/51 2,000 2,311
10 WPP Finance 2013 2.875% 9/14/46 1,800 2,620
10 WPP Finance SA 3.750% 5/19/32 9,250 14,908
7 Zayo Group Holdings Inc. 4.000% 3/1/27 2,710 2,698
7 Zayo Group Holdings Inc. 6.125% 3/1/28 4,817 4,900
            2,552,062
Consumer Discretionary (5.1%)
7 1011778 BC ULC / New Red Finance Inc. 3.875% 1/15/28 1,780 1,795
7 1011778 BC ULC / New Red Finance Inc. 4.375% 1/15/28 4,956 5,033
7 1011778 BC ULC / New Red Finance Inc. 4.000% 10/15/30 4,481 4,470
  Advance Auto Parts Inc. 3.900% 4/15/30 300 339
  Amazon.com Inc. 3.150% 8/22/27 22,515 25,011
  Amazon.com Inc. 1.650% 5/12/28 40,000 40,816
  Amazon.com Inc. 1.500% 6/3/30 2,000 1,982
  Amazon.com Inc. 2.100% 5/12/31 35,000 36,151
7 Ambience Merger Sub Inc. 4.875% 7/15/28 790 793
7 Ambience Merger Sub Inc. 7.125% 7/15/29 1,575 1,594
7 American Builders & Contractors Supply Co. Inc. 4.000% 1/15/28 3,680 3,777
7 American Builders & Contractors Supply Co. Inc. 3.875% 11/15/29 7,090 7,070
  American Honda Finance Corp. 1.800% 1/13/31 20,000 20,134
  Asbury Automotive Group Inc. 4.500% 3/1/28 4,277 4,449
  Asbury Automotive Group Inc. 4.750% 3/1/30 7,697 8,183
  AutoNation Inc. 1.950% 8/1/28 10,000 10,029
  AutoZone Inc. 3.750% 6/1/27 16,000 18,031
  AutoZone Inc. 3.750% 4/18/29 6,000 6,791
  AutoZone Inc. 4.000% 4/15/30 26,000 29,993
  AutoZone Inc. 1.650% 1/15/31 53,522 51,717
  Best Buy Co. Inc. 4.450% 10/1/28 14,000 16,395
  Best Buy Co. Inc. 1.950% 10/1/30 21,000 20,696
7 BMW U.S. Capital LLC 2.550% 4/1/31 20,000 21,230
  BorgWarner Inc. 2.650% 7/1/27 59,326 63,366
55
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Boyd Gaming Corp. 8.625% 6/1/25 3,040 3,324
7 Builders Firstsource Inc. 4.250% 2/1/32 785 803
7 Caesars Entertainment Inc. 8.125% 7/1/27 4,034 4,442
7 Caesars Resort Collection LLC / CRC Finco Inc. 5.750% 7/1/25 329 346
7 Carnival Corp. 11.500% 4/1/23 463 522
7 Carnival Corp. 7.625% 3/1/26 1,256 1,331
7 Carnival Corp. 4.000% 8/1/28 4,715 4,704
7 Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP 5.500% 5/1/25 4,941 5,131
7 Churchill Downs Inc. 5.500% 4/1/27 5,242 5,455
7 Churchill Downs Inc. 4.750% 1/15/28 6,159 6,401
7 Clarios Global LP 6.750% 5/15/25 585 621
7 Clarios Global LP / Clarios US Finance Co. 8.500% 5/15/27 5,830 6,294
7 Daimler Finance North America LLC 1.450% 3/2/26 65,000 65,841
  eBay Inc. 2.700% 3/11/30 20,080 21,169
  eBay Inc. 2.600% 5/10/31 20,000 20,785
  Ford Motor Co. 8.500% 4/21/23 1,135 1,261
  Ford Motor Credit Co. LLC 3.087% 1/9/23 760 775
  Ford Motor Credit Co. LLC 4.134% 8/4/25 645 690
  Ford Motor Credit Co. LLC 3.375% 11/13/25 3,930 4,106
  Ford Motor Credit Co. LLC 4.271% 1/9/27 1,250 1,347
  Ford Motor Credit Co. LLC 4.125% 8/17/27 7,206 7,721
  Ford Motor Credit Co. LLC 3.815% 11/2/27 1,020 1,074
  Ford Motor Credit Co. LLC 2.900% 2/16/28 2,330 2,335
  General Motors Co. 6.125% 10/1/25 15,000 17,775
  General Motors Co. 4.200% 10/1/27 25,000 28,150
  General Motors Co. 6.800% 10/1/27 10,000 12,722
  General Motors Co. 5.000% 10/1/28 15,000 17,658
  General Motors Financial Co. Inc. 4.300% 7/13/25 25,123 27,857
  General Motors Financial Co. Inc. 1.250% 1/8/26 30,000 29,968
  General Motors Financial Co. Inc. 4.000% 10/6/26 10,506 11,678
  General Motors Financial Co. Inc. 4.350% 1/17/27 17,000 19,260
  General Motors Financial Co. Inc. 2.700% 8/20/27 12,676 13,301
  General Motors Financial Co. Inc. 3.850% 1/5/28 464 515
  General Motors Financial Co. Inc. 2.400% 4/10/28 25,000 25,654
  General Motors Financial Co. Inc. 3.600% 6/21/30 7,000 7,688
  Goodyear Tire & Rubber Co. 9.500% 5/31/25 891 986
  Harley-Davidson Inc. 3.500% 7/28/25 17,000 18,384
7 Hilton Domestic Operating Co. Inc. 5.375% 5/1/25 6,145 6,435
7 Hilton Domestic Operating Co. Inc. 5.750% 5/1/28 2,632 2,836
  Home Depot Inc. 3.900% 12/6/28 24,033 28,099
  Home Depot Inc. 2.950% 6/15/29 71,145 78,555
  Home Depot Inc. 2.700% 4/15/30 2,000 2,165
  Hyatt Hotels Corp. 5.750% 4/23/30 553 677
7 International Game Technology plc 4.125% 4/15/26 900 937
7 International Game Technology plc 6.250% 1/15/27 385 437
  Kohl's Corp. 3.375% 5/1/31 15,000 15,717
  Lennar Corp. 5.250% 6/1/26 1,702 1,977
  Lennar Corp. 5.000% 6/15/27 10,000 11,698
  Lennar Corp. 4.750% 11/29/27 25,272 29,493
7 Lithia Motors Inc. 4.625% 12/15/27 1,540 1,638
7 Lithia Motors Inc. 3.875% 6/1/29 4,000 4,216
7 Lithia Motors Inc. 4.375% 1/15/31 3,450 3,759
7 Live Nation Entertainment Inc. 5.625% 3/15/26 545 567
7 Live Nation Entertainment Inc. 6.500% 5/15/27 3,302 3,656
7 Live Nation Entertainment Inc. 3.750% 1/15/28 2,980 2,988
  Lowe's Cos. Inc. 3.100% 5/3/27 9,000 9,893
  Lowe's Cos. Inc. 1.300% 4/15/28 29,730 29,347
  Lowe's Cos. Inc. 3.650% 4/5/29 18,557 20,990
  Lowe's Cos. Inc. 1.700% 10/15/30 24,460 23,932
  Lowe's Cos. Inc. 2.625% 4/1/31 7,000 7,362
56
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Lowe's Cos. Inc. 5.125% 4/15/50 2,000 2,764
  Magna International Inc. 2.450% 6/15/30 35,820 37,144
  Marriott International Inc. 5.750% 5/1/25 8,000 9,236
  Marriott International Inc. 4.625% 6/15/30 33,741 39,143
  Marriott International Inc. 2.850% 4/15/31 33,822 34,703
  Masco Corp. 1.500% 2/15/28 12,000 11,889
  Masco Corp. 2.000% 10/1/30 10,000 9,939
7 Masonite International Corp. 3.500% 2/15/30 1,580 1,592
  McDonald's Corp. 3.500% 3/1/27 8,318 9,242
  McDonald's Corp. 3.500% 7/1/27 13,000 14,527
  McDonald's Corp. 2.625% 9/1/29 22,939 24,444
  McDonald's Corp. 3.600% 7/1/30 21,000 23,877
  McDonald's Corp. 4.200% 4/1/50 2,000 2,469
7 Meritage Homes Corp. 3.875% 4/15/29 8,270 8,732
7 NCL Corp. Ltd. 5.875% 3/15/26 4,500 4,533
7 Nissan Motor Acceptance Corp. 2.000% 3/9/26 22,000 22,370
7 Nissan Motor Co. Ltd. 3.522% 9/17/25 12,000 12,872
7 Nissan Motor Co. Ltd. 4.345% 9/17/27 72,500 80,610
8 Nissan Motor Co. Ltd. 3.201% 9/17/28 800 1,088
  O'Reilly Automotive Inc. 3.600% 9/1/27 9,905 11,209
  O'Reilly Automotive Inc. 3.900% 6/1/29 12,000 13,724
  O'Reilly Automotive Inc. 1.750% 3/15/31 10,250 10,037
7 Penn National Gaming Inc. 5.625% 1/15/27 580 601
  PulteGroup Inc. 5.500% 3/1/26 4,850 5,681
  PulteGroup Inc. 5.000% 1/15/27 1,485 1,743
  Ralph Lauren Corp. 2.950% 6/15/30 53,110 57,348
  Ross Stores Inc. 1.875% 4/15/31 20,000 19,748
7 Royal Caribbean Cruises Ltd. 10.875% 6/1/23 325 369
7 Royal Caribbean Cruises Ltd. 9.125% 6/15/23 325 354
7 Royal Caribbean Cruises Ltd. 11.500% 6/1/25 655 750
  Starbucks Corp. 3.500% 3/1/28 5,620 6,327
  Starbucks Corp. 4.000% 11/15/28 359 418
  Starbucks Corp. 3.550% 8/15/29 7,131 8,072
  Starbucks Corp. 2.250% 3/12/30 10,250 10,546
  Starbucks Corp. 2.550% 11/15/30 12,000 12,638
  Starbucks Corp. 4.500% 11/15/48 5,000 6,410
  TJX Cos. Inc. 3.875% 4/15/30 29,686 34,451
  Toll Brothers Finance Corp. 4.350% 2/15/28 15,328 17,019
  Toll Brothers Finance Corp. 3.800% 11/1/29 4,256 4,601
  Toyota Motor Credit Corp. 3.200% 1/11/27 2,000 2,216
  Toyota Motor Credit Corp. 1.900% 4/6/28 27,000 27,886
  Toyota Motor Credit Corp. 3.650% 1/8/29 33,466 38,621
  Toyota Motor Credit Corp. 3.375% 4/1/30 25,000 28,502
  Toyota Motor Credit Corp. 1.650% 1/10/31 5,000 5,004
  Tractor Supply Co. 1.750% 11/1/30 10,000 9,743
  Tri Pointe Homes Inc. 5.700% 6/15/28 1,650 1,827
7 Vail Resorts Inc. 6.250% 5/15/25 5,383 5,720
8 Volkswagen Financial Services AG 2.250% 10/16/26 11,850 15,687
7 Volkswagen Group of America Finance LLC 1.250% 11/24/25 5,000 5,012
7 Volkswagen Group of America Finance LLC 3.200% 9/26/26 5,000 5,437
7 Volkswagen Group of America Finance LLC 1.625% 11/24/27 19,500 19,495
8 Volkswagen Leasing GmbH 1.375% 1/20/25 23,853 29,717
  Whirlpool Corp. 4.750% 2/26/29 32,000 38,268
  Whirlpool Corp. 2.400% 5/15/31 15,000 15,375
7 William Carter Co. 5.500% 5/15/25 2,649 2,789
7 Williams Scotsman International Inc. 4.625% 8/15/28 1,379 1,425
7 Wyndham Hotels & Resorts Inc. 4.375% 8/15/28 4,375 4,517
            1,915,754
Consumer Staples (5.0%)
7 7-Eleven Inc. 1.300% 2/10/28 71,032 69,446
7 7-Eleven Inc. 1.800% 2/10/31 28,300 27,630
57
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Alimentation Couche-Tard Inc. 3.550% 7/26/27 46,114 51,310
  Altria Group Inc. 4.400% 2/14/26 10,977 12,464
  Altria Group Inc. 2.625% 9/16/26 16,076 17,035
  Altria Group Inc. 4.800% 2/14/29 51,142 59,922
  Altria Group Inc. 3.400% 5/6/30 10,000 10,771
  Altria Group Inc. 2.450% 2/4/32 25,000 24,638
  Altria Group Inc. 4.250% 8/9/42 5,000 5,325
  Altria Group Inc. 4.450% 5/6/50 2,000 2,170
  Anheuser-Busch InBev Worldwide Inc. 4.000% 4/13/28 68,436 78,410
  Anheuser-Busch InBev Worldwide Inc. 4.750% 1/23/29 45,422 54,588
  Anheuser-Busch InBev Worldwide Inc. 3.500% 6/1/30 49,850 56,038
  BAT Capital Corp. 3.215% 9/6/26 43,800 46,923
  BAT Capital Corp. 4.700% 4/2/27 62,771 71,443
  BAT Capital Corp. 3.557% 8/15/27 49,337 53,419
  BAT Capital Corp. 2.259% 3/25/28 24,294 24,485
  BAT Capital Corp. 3.462% 9/6/29 26,330 28,255
  BAT Capital Corp. 3.984% 9/25/50 2,000 1,992
10 BAT International Finance plc 2.250% 9/9/52 3,534 3,848
  Bunge Ltd. Finance Corp. Co. 1.630% 8/17/25 3,470 3,529
  Campbell Soup Co. 4.150% 3/15/28 4,000 4,589
  Clorox Co. 1.800% 5/15/30 15,000 15,000
  Coca-Cola Co. 1.650% 6/1/30 10,000 10,004
  Coca-Cola Co. 2.000% 3/5/31 30,000 30,835
  Conagra Brands Inc. 1.375% 11/1/27 10,000 9,840
  Conagra Brands Inc. 4.850% 11/1/28 35,000 42,048
  Constellation Brands Inc. 3.500% 5/9/27 19,885 22,042
  Constellation Brands Inc. 3.600% 2/15/28 12,590 14,101
  Constellation Brands Inc. 4.650% 11/15/28 19,615 23,291
  Constellation Brands Inc. 3.150% 8/1/29 28,034 30,426
  Costco Wholesale Corp. 1.600% 4/20/30 24,000 23,992
  Diageo Capital plc 3.875% 5/18/28 8,000 9,235
  Diageo Capital plc 2.375% 10/24/29 19,465 20,473
  Diageo Capital plc 2.000% 4/29/30 11,765 11,956
  Dollar General Corp. 4.125% 5/1/28 4,650 5,392
  Dollar General Corp. 3.500% 4/3/30 39,752 44,605
  Estee Lauder Cos. Inc. 2.375% 12/1/29 5,250 5,568
  Estee Lauder Cos. Inc. 1.950% 3/15/31 10,000 10,197
  Flowers Foods Inc. 2.400% 3/15/31 10,000 10,184
  General Mills Inc. 4.200% 4/17/28 21,570 25,004
  General Mills Inc. 2.875% 4/15/30 47,085 50,742
  Grupo Bimbo SAB de CV 4.500% 1/25/22 1,010 1,029
  Hershey Co. 1.700% 6/1/30 5,000 5,046
  Hormel Foods Corp. 1.700% 6/3/28 27,500 27,968
  Hormel Foods Corp. 1.800% 6/11/30 14,910 15,051
8 Imperial Brands Finance Netherlands BV 1.750% 3/18/33 200 245
  JM Smucker Co. 3.375% 12/15/27 32,727 36,230
  JM Smucker Co. 2.375% 3/15/30 14,985 15,587
  Kellogg Co. 4.300% 5/15/28 16,000 18,721
  Kellogg Co. 2.100% 6/1/30 18,735 19,043
  Keurig Dr Pepper Inc. 2.550% 9/15/26 530 566
  Keurig Dr Pepper Inc. 4.597% 5/25/28 50,809 60,180
  Kraft Heinz Foods Co. 3.875% 5/15/27 12,445 13,779
  Kraft Heinz Foods Co. 3.750% 4/1/30 8,990 9,914
  Kraft Heinz Foods Co. 4.875% 10/1/49 2,678 3,332
  Kroger Co. 4.500% 1/15/29 4,000 4,780
  Kroger Co. 2.200% 5/1/30 23,600 24,083
7 Lamb Weston Holdings Inc. 4.625% 11/1/24 1,310 1,346
7 Lamb Weston Holdings Inc. 4.875% 11/1/26 2,178 2,246
7 Lamb Weston Holdings Inc. 4.875% 5/15/28 4,109 4,569
  McCormick & Co. Inc. 3.400% 8/15/27 19,985 22,266
  Mondelez International Inc. 4.125% 5/7/28 2,000 2,357
58
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Mondelez International Inc. 2.750% 4/13/30 39,013 41,692
  Mondelez International Inc. 1.500% 2/4/31 15,643 15,092
7 Nestle Holdings Inc. 3.625% 9/24/28 11,819 13,525
  PepsiCo Inc. 2.750% 3/19/30 27,317 29,812
  PepsiCo Inc. 1.625% 5/1/30 18,355 18,405
7 Performance Food Group Inc. 6.875% 5/1/25 765 814
7 Performance Food Group Inc. 5.500% 10/15/27 5,851 6,098
7 Performance Food Group Inc. 4.250% 8/1/29 3,920 3,987
8 Philip Morris International Inc. 2.875% 3/3/26 8,167 10,959
  Philip Morris International Inc. 3.125% 8/17/27 10,000 11,054
  Philip Morris International Inc. 3.125% 3/2/28 20,382 22,394
  Philip Morris International Inc. 3.375% 8/15/29 25,460 28,534
  Philip Morris International Inc. 2.100% 5/1/30 19,800 20,105
  Philip Morris International Inc. 1.750% 11/1/30 15,000 14,791
8 Philip Morris International Inc. 2.000% 5/9/36 5,800 7,598
8 Philip Morris International Inc. 1.450% 8/1/39 5,800 6,915
  Philip Morris International Inc. 4.250% 11/10/44 4,000 4,769
7 Post Holdings Inc. 5.750% 3/1/27 1,780 1,855
7 Post Holdings Inc. 4.500% 9/15/31 4,099 4,147
7 Reckitt Benckiser Treasury Services plc 3.000% 6/26/27 34,956 38,103
  Sysco Corp. 3.300% 7/15/26 478 524
  Sysco Corp. 2.400% 2/15/30 12,000 12,483
  Sysco Corp. 5.950% 4/1/30 11,746 15,248
  Target Corp. 3.375% 4/15/29 19,036 21,538
  Target Corp. 2.350% 2/15/30 10,000 10,585
  Tyson Foods Inc. 3.550% 6/2/27 326 364
  Tyson Foods Inc. 4.350% 3/1/29 35,113 41,250
  Unilever Capital Corp. 2.900% 5/5/27 4,000 4,368
  Unilever Capital Corp. 2.125% 9/6/29 43,983 45,983
  Walmart Inc. 3.700% 6/26/28 29,188 33,540
  Walmart Inc. 3.250% 7/8/29 9,929 11,214
            1,909,249
Energy (7.1%)
7 Antero Resources Corp. 5.375% 3/1/30 4,349 4,425
7 Atlantica Sustainable Infrastructure plc 4.125% 6/15/28 797 828
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 3.337% 12/15/27 29,752 32,745
  BP Capital Markets America Inc. 3.410% 2/11/26 53,200 58,429
  BP Capital Markets America Inc. 3.017% 1/16/27 29,711 32,258
  BP Capital Markets America Inc. 3.588% 4/14/27 2,000 2,230
  BP Capital Markets America Inc. 3.937% 9/21/28 8,690 9,967
  BP Capital Markets America Inc. 4.234% 11/6/28 16,467 19,211
  BP Capital Markets America Inc. 1.749% 8/10/30 30,390 30,102
  BP Capital Markets America Inc. 3.060% 6/17/41 5,000 5,152
  BP Capital Markets America Inc. 2.772% 11/10/50 8,000 7,580
  BP Capital Markets plc 3.279% 9/19/27 57,280 63,378
  BP Capital Markets plc 3.723% 11/28/28 18,250 20,734
  Canadian Natural Resources Ltd. 3.850% 6/1/27 45,770 50,787
  Canadian Natural Resources Ltd. 2.950% 7/15/30 21,700 22,745
  Cenovus Energy Inc. 5.375% 7/15/25 13,245 15,115
  Cenovus Energy Inc. 4.250% 4/15/27 12,643 14,158
  Cenovus Energy Inc. 4.400% 4/15/29 1,000 1,136
  Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27 54,107 63,376
  Cheniere Corpus Christi Holdings LLC 3.700% 11/15/29 33,906 37,462
  Cheniere Energy Inc. 4.625% 10/15/28 2,645 2,794
7 Cheniere Energy Partners LP 4.000% 3/1/31 3,235 3,421
  Chevron Corp. 1.995% 5/11/27 18,350 19,172
  Chevron Corp. 2.236% 5/11/30 16,050 16,818
  Chevron USA Inc. 3.850% 1/15/28 18,393 21,029
  Chevron USA Inc. 3.250% 10/15/29 15,000 16,772
  Chevron USA Inc. 2.343% 8/12/50 2,000 1,862
  Cimarex Energy Co. 3.900% 5/15/27 16,781 18,685
59
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Cimarex Energy Co. 4.375% 3/15/29 30,923 35,498
7 CNPC General Capital Ltd. 3.400% 4/16/23 1,000 1,043
7 CNX Resources Corp. 6.000% 1/15/29 4,050 4,287
7 Colgate Energy Partners III LLC 5.875% 7/1/29 770 799
7 Comstock Resources Inc. 5.875% 1/15/30 5,465 5,497
7 ConocoPhillips 3.750% 10/1/27 33,990 38,543
7 ConocoPhillips 4.300% 8/15/28 25,786 30,192
7 ConocoPhillips 2.400% 2/15/31 6,590 6,843
7 CrownRock LP / CrownRock Finance Inc. 5.625% 10/15/25 1,365 1,399
7 CrownRock LP / CrownRock Finance Inc. 5.000% 5/1/29 1,220 1,274
  DCP Midstream Operating LP 5.625% 7/15/27 988 1,124
  DCP Midstream Operating LP 5.125% 5/15/29 2,702 3,014
  Devon Energy Corp. 5.850% 12/15/25 7,000 8,216
7 Devon Energy Corp. 5.250% 10/15/27 3,389 3,619
7 Devon Energy Corp. 5.875% 6/15/28 1,141 1,261
7 Devon Energy Corp. 4.500% 1/15/30 28,745 31,328
  Diamondback Energy Inc. 3.250% 12/1/26 50,023 53,954
  Diamondback Energy Inc. 3.500% 12/1/29 10,000 10,829
  Diamondback Energy Inc. 3.125% 3/24/31 20,000 20,985
7 DT Midstream Inc. 4.125% 6/15/29 3,254 3,337
7 DT Midstream Inc. 4.375% 6/15/31 2,395 2,485
  Empresa Nacional del Petroleo 4.375% 10/30/24 13,883 15,035
  Empresa Nacional del Petroleo 3.750% 8/5/26 9,881 10,415
  Empresa Nacional del Petroleo 5.250% 11/6/29 34,100 38,579
  Enable Midstream Partners LP 4.400% 3/15/27 40,676 45,457
  Enable Midstream Partners LP 4.950% 5/15/28 41,251 47,639
  Enable Midstream Partners LP 4.150% 9/15/29 17,367 19,298
  Enbridge Inc. 4.250% 12/1/26 4,611 5,240
  Enbridge Inc. 3.700% 7/15/27 18,961 21,164
  Enbridge Inc. 3.125% 11/15/29 9,998 10,784
7 Endeavor Energy Resources LP / EER Finance Inc. 6.625% 7/15/25 658 696
7 Endeavor Energy Resources LP / EER Finance Inc. 5.750% 1/30/28 2,670 2,803
  Energy Transfer LP 4.050% 3/15/25 12,880 14,004
  Energy Transfer LP 5.950% 12/1/25 2,000 2,345
  Energy Transfer LP 5.500% 6/1/27 8,071 9,575
  Energy Transfer LP 4.950% 6/15/28 508 592
  Energy Transfer LP 5.250% 4/15/29 34,465 41,029
  Energy Transfer LP 3.750% 5/15/30 29,797 32,507
7 EnLink Midstream LLC 5.625% 1/15/28 915 969
  EnLink Midstream LLC 5.375% 6/1/29 2,020 2,102
  Enterprise Products Operating LLC 3.950% 2/15/27 2,000 2,253
  Enterprise Products Operating LLC 4.150% 10/16/28 19,500 22,596
  Enterprise Products Operating LLC 3.125% 7/31/29 10,250 11,183
  Enterprise Products Operating LLC 2.800% 1/31/30 14,713 15,758
7 EQM Midstream Partners LP 6.500% 7/1/27 2,604 2,924
  EQT Corp. 3.000% 10/1/22 436 442
7 EQT Corp. 3.125% 5/15/26 1,003 1,032
  EQT Corp. 5.000% 1/15/29 2,625 2,967
  Equinor ASA 3.150% 1/23/22 3,000 3,041
  Equinor ASA 3.950% 5/15/43 3,191 3,793
8 Exxon Mobil Corp. 0.142% 6/26/24 2,200 2,641
  Exxon Mobil Corp. 3.482% 3/19/30 40,000 45,450
  Exxon Mobil Corp. 2.610% 10/15/30 77,145 82,549
8 Exxon Mobil Corp. 1.408% 6/26/39 8,200 9,884
  Exxon Mobil Corp. 3.095% 8/16/49 2,112 2,219
  Exxon Mobil Corp. 3.452% 4/15/51 2,000 2,234
7 Flex Intermediate Holdco LLC 3.363% 6/30/31 25,000 25,738
  Gazprom PJSC Via Gaz Capital SA 6.510% 3/7/22 2,650 2,739
  Gazprom PJSC Via Gaz Capital SA 5.150% 2/11/26 11,778 13,235
7 Hilcorp Energy I LP / Hilcorp Finance Co. 5.750% 2/1/29 695 710
7 Hilcorp Energy I LP / Hilcorp Finance Co. 6.000% 2/1/31 827 863
60
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 KazMunayGas National Co. JSC 6.375% 10/24/48 5,400 7,097
  Kinder Morgan Inc. 4.300% 3/1/28 36,386 41,955
  Kinder Morgan Inc. 7.750% 1/15/32 990 1,451
  Magellan Midstream Partners LP 3.250% 6/1/30 607 663
  Marathon Oil Corp. 3.850% 6/1/25 9,000 9,827
  Marathon Oil Corp. 4.400% 7/15/27 5,000 5,698
  Marathon Petroleum Corp. 4.700% 5/1/25 46,626 52,562
  Marathon Petroleum Corp. 5.125% 12/15/26 45,540 53,765
7 MC Brazil Downstream Trading Sarl 7.250% 6/30/31 12,113 12,597
7 MEG Energy Corp. 6.500% 1/15/25 2,919 3,014
7 MEG Energy Corp. 5.875% 2/1/29 400 413
  MPLX LP 1.750% 3/1/26 10,000 10,148
  MPLX LP 4.125% 3/1/27 9,000 10,146
  MPLX LP 4.250% 12/1/27 18,500 21,117
  MPLX LP 4.000% 3/15/28 5,650 6,349
  MPLX LP 2.650% 8/15/30 46,592 47,767
7 NGPL PipeCo LLC 3.250% 7/15/31 10,000 10,437
  Nustar Logistics LP 5.750% 10/1/25 635 694
  Nustar Logistics LP 6.375% 10/1/30 2,525 2,807
  Occidental Petroleum Corp. 5.500% 12/1/25 600 660
  Occidental Petroleum Corp. 5.550% 3/15/26 2,559 2,801
  Occidental Petroleum Corp. 3.400% 4/15/26 710 718
  Occidental Petroleum Corp. 3.200% 8/15/26 4,995 4,978
  Occidental Petroleum Corp. 3.000% 2/15/27 1,665 1,650
  Occidental Petroleum Corp. 4.400% 8/15/49 2,455 2,387
8 OMV AG 1.000% 7/3/34 500 618
  ONEOK Inc. 5.850% 1/15/26 7,743 9,173
  ONEOK Inc. 4.550% 7/15/28 14,210 16,375
  ONEOK Inc. 4.350% 3/15/29 9,123 10,396
  ONEOK Inc. 3.400% 9/1/29 21,797 23,513
  ONEOK Inc. 3.100% 3/15/30 16,129 17,094
  ONEOK Inc. 6.350% 1/15/31 5,438 7,075
  Ovintiv Exploration Inc. 5.625% 7/1/24 9,340 10,332
7 Parkland Corp. 4.500% 10/1/29 2,435 2,506
  Petroleos del Peru SA 5.625% 6/19/47 5,000 5,173
7 Petronas Capital Ltd. 3.500% 4/21/30 6,029 6,613
  Petronas Capital Ltd. 3.500% 4/21/30 36,360 39,888
  Phillips 66 3.900% 3/15/28 7,000 7,891
  Phillips 66 2.150% 12/15/30 10,800 10,689
  Phillips 66 Partners LP 3.750% 3/1/28 32,099 35,413
  Phillips 66 Partners LP 3.150% 12/15/29 21,299 22,541
  Pioneer Natural Resources Co. 1.900% 8/15/30 44,700 43,434
  Pioneer Natural Resources Co. 2.150% 1/15/31 31,900 31,532
  Plains All American Pipeline LP / PAA Finance Corp. 4.500% 12/15/26 23,896 26,988
  Plains All American Pipeline LP / PAA Finance Corp. 3.550% 12/15/29 26,733 28,579
7 Rattler Midstream LP 5.625% 7/15/25 775 810
  Sabine Pass Liquefaction LLC 5.000% 3/15/27 14,487 16,878
  Sabine Pass Liquefaction LLC 4.200% 3/15/28 60,665 68,925
  Sabine Pass Liquefaction LLC 4.500% 5/15/30 32,348 37,839
  Saibu Gas Holdings Co. Ltd. 4.200% 4/15/27 9,115 10,174
  Saudi Arabian Oil Co. 3.500% 4/16/29 10,000 10,943
  Shell International Finance BV 3.875% 11/13/28 8,365 9,679
  Shell International Finance BV 2.375% 11/7/29 117,219 123,156
  Shell International Finance BV 2.750% 4/6/30 5,033 5,430
  Sinopec Capital 2013 Ltd. 3.125% 4/24/23 13,170 13,686
  Sinopec Group Overseas Development 2016 Ltd. 3.500% 5/3/26 5,000 5,504
  Solar Applied Materials Technology Corp. 4.000% 10/1/27 13,741 15,314
11 Southern Gas Corridor CJSC 6.875% 3/24/26 10,873 12,906
  Spectra Energy Partners LP 3.375% 10/15/26 20,838 22,756
  Suvidhaa Infoserve Ltd. 3.900% 7/15/26 13,648 15,022
7 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.500% 10/1/25 200 217
61
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6.000% 12/31/30 832 876
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.500% 7/15/27 2,440 2,643
  TotalEnergies Capital International SA 3.455% 2/19/29 29,154 32,887
  TotalEnergies Capital International SA 2.829% 1/10/30 3,785 4,107
  TotalEnergies Capital SA 3.883% 10/11/28 18,600 21,530
  TransCanada PipeLines Ltd. 4.250% 5/15/28 34,688 40,114
  TransCanada PipeLines Ltd. 4.100% 4/15/30 10,240 11,869
  TransCanada PipeLines Ltd. 5.600% 3/31/34 2,000 2,581
  Transcontinental Gas Pipe Line Co. LLC 4.000% 3/15/28 1,286 1,467
  Transcontinental Gas Pipe Line Co. LLC 3.250% 5/15/30 14,065 15,335
  Valero Energy Corp. 2.150% 9/15/27 14,628 14,917
  Valero Energy Corp. 4.350% 6/1/28 11,392 13,020
  Valero Energy Corp. 4.000% 4/1/29 986 1,105
7 Venture Global Calcasieu Pass LLC 3.875% 8/15/29 1,565 1,598
7 Venture Global Calcasieu Pass LLC 4.125% 8/15/31 1,560 1,609
  Western Midstream Operating LP 5.300% 2/1/30 3,200 3,593
  Williams Companies Inc. 2.600% 3/15/31 12,000 12,367
  Williams Cos. Inc. 3.750% 6/15/27 42,710 47,708
            2,698,471
Financials (25.5%)
7 ABN AMRO Bank NV 1.542% 6/16/27 14,670 14,699
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.450% 10/1/25 2,600 2,870
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.750% 1/30/26 20,000 19,889
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.650% 7/21/27 13,495 14,494
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.625% 10/15/27 20,024 22,464
  AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.875% 1/23/28 3,856 4,171
  Affiliated Managers Group Inc. 3.300% 6/15/30 25,223 27,628
  Aflac Inc. 3.600% 4/1/30 24,950 28,505
  Aflac Inc. 4.750% 1/15/49 1,069 1,441
  Air Lease Corp. 3.375% 7/1/25 6,960 7,506
  Air Lease Corp. 2.875% 1/15/26 19,845 20,988
  Air Lease Corp. 3.750% 6/1/26 5,000 5,497
  Air Lease Corp. 1.875% 8/15/26 35,000 35,327
  Air Lease Corp. 3.625% 4/1/27 2,000 2,175
  Air Lease Corp. 3.625% 12/1/27 2,903 3,159
  Air Lease Corp. 4.625% 10/1/28 3,955 4,535
  Air Lease Corp. 3.250% 10/1/29 2,000 2,113
  Air Lease Corp. 3.000% 2/1/30 24,670 25,492
  Air Lease Corp. 3.125% 12/1/30 5,298 5,504
  Aircastle Ltd. 4.250% 6/15/26 3,000 3,306
7 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.250% 10/15/27 640 636
7 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.750% 10/15/27 2,028 2,120
  Allstate Corp. 1.450% 12/15/30 12,000 11,666
  American International Group Inc. 3.900% 4/1/26 14,297 15,948
  American International Group Inc. 4.200% 4/1/28 5,000 5,788
  American International Group Inc. 3.400% 6/30/30 28,125 31,152
  American International Group Inc. 4.800% 7/10/45 1,339 1,724
  American International Group Inc. 4.375% 6/30/50 2,000 2,521
  Ameriprise Financial Inc. 2.875% 9/15/26 11,986 12,977
7 Antares Holdings LP 2.750% 1/15/27 11,200 11,210
  Aon Corp. 2.800% 5/15/30 32,126 34,331
  Ares Capital Corp. 2.875% 6/15/28 10,300 10,622
8 Athene Global Funding 1.125% 9/2/25 35,800 44,321
7 Athene Global Funding 2.450% 8/20/27 10,000 10,527
8 Athene Global Funding 0.625% 1/12/28 13,600 16,303
  Athene Global Funding 1.875% 11/30/28 5,000 7,023
  Athene Holding Ltd. 4.125% 1/12/28 10,777 12,212
  Athene Holding Ltd. 3.500% 1/15/31 16,561 18,127
  Athene Holding Ltd. 3.950% 5/25/51 4,665 5,318
7 Australia & New Zealand Banking Group Ltd. 2.950% 7/22/30 31,510 32,951
10 Aviva plc 6.125% 11/14/36 11,000 18,632
62
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Avolon Holdings Funding Ltd. 2.125% 2/21/26 15,750 15,821
7 Avolon Holdings Funding Ltd. 4.250% 4/15/26 10,810 11,811
7 Avolon Holdings Funding Ltd. 4.375% 5/1/26 640 703
7 Avolon Holdings Funding Ltd. 2.750% 2/21/28 10,000 10,100
8 AXA SA 1.375% 10/7/41 250 303
8 Banco Bilbao Vizcaya Argentaria SA 2.575% 2/22/29 1,700 2,129
  Banco Santander SA 3.800% 2/23/28 30,200 33,654
  Banco Santander SA 4.379% 4/12/28 4,415 5,097
  Banco Santander SA 3.306% 6/27/29 29,700 32,685
  Banco Santander SA 3.490% 5/28/30 9,850 10,768
  Banco Santander SA 2.749% 12/3/30 27,470 27,698
  Banco Santander SA 2.958% 3/25/31 10,000 10,468
  Bank of America Corp. 4.450% 3/3/26 8,750 9,908
8 Bank of America Corp. 0.808% 5/9/26 1,100 1,348
  Bank of America Corp. 1.319% 6/19/26 12,890 12,963
  Bank of America Corp. 4.250% 10/22/26 27,950 31,653
  Bank of America Corp. 1.197% 10/24/26 15,940 15,910
  Bank of America Corp. 1.658% 3/11/27 30,000 30,480
  Bank of America Corp. 3.559% 4/23/27 28,981 31,888
  Bank of America Corp. 1.734% 7/22/27 39,820 40,530
  Bank of America Corp. 3.248% 10/21/27 28,508 31,109
  Bank of America Corp. 4.183% 11/25/27 24,852 28,036
  Bank of America Corp. 3.824% 1/20/28 51,829 57,964
  Bank of America Corp. 3.705% 4/24/28 29,256 32,532
  Bank of America Corp. 3.593% 7/21/28 12,862 14,250
  Bank of America Corp. 3.419% 12/20/28 67,280 73,969
  Bank of America Corp. 3.970% 3/5/29 40,165 45,470
  Bank of America Corp. 2.087% 6/14/29 26,700 27,197
  Bank of America Corp. 4.271% 7/23/29 22,622 26,094
  Bank of America Corp. 3.974% 2/7/30 23,584 26,864
  Bank of America Corp. 3.194% 7/23/30 22,720 24,651
  Bank of America Corp. 2.884% 10/22/30 32,946 34,994
  Bank of America Corp. 2.496% 2/13/31 29,550 30,547
  Bank of America Corp. 2.592% 4/29/31 25,990 26,980
  Bank of America Corp. 1.898% 7/23/31 65,770 64,611
  Bank of America Corp. 1.922% 10/24/31 19,000 18,688
8 Bank of America Corp. 0.654% 10/26/31 14,000 16,731
  Bank of America Corp. 2.651% 3/11/32 33,430 34,772
  Bank of America Corp. 2.687% 4/22/32 27,500 28,718
  Bank of America Corp. 2.299% 7/21/32 41,900 42,285
  Bank of America Corp. 4.330% 3/15/50 5,000 6,268
  Bank of Montreal 3.803% 12/15/32 2,000 2,222
  Bank of New York Mellon Corp. 3.250% 5/16/27 14,500 16,068
  Bank of New York Mellon Corp. 3.400% 1/29/28 11,250 12,644
  Bank of New York Mellon Corp. 3.442% 2/7/28 47,280 52,556
  Bank of New York Mellon Corp. 3.000% 10/30/28 7,000 7,759
7 Bank of New Zealand 1.000% 3/3/26 2,670 2,656
  Bank of Nova Scotia 1.050% 3/2/26 19,610 19,564
  Bank of Nova Scotia 2.700% 8/3/26 32,211 34,551
  Bank of Nova Scotia 2.150% 8/1/31 20,000 20,277
  Barclays plc 4.375% 1/12/26 24,811 27,996
  Barclays plc 5.200% 5/12/26 17,575 20,274
  Barclays plc 4.337% 1/10/28 19,500 22,055
8 Barclays plc 2.000% 2/7/28 4,600 5,594
  Barclays plc 4.836% 5/9/28 25,432 28,865
  Barclays plc 4.972% 5/16/29 20,952 24,727
  Barclays plc 5.088% 6/20/30 4,000 4,693
  Barclays plc 2.645% 6/24/31 23,035 23,539
  Barclays plc 3.564% 9/23/35 13,075 13,788
7 Belrose Funding Trust 2.330% 8/15/30 15,630 15,682
  Berkshire Hathaway Finance Corp. 2.500% 1/15/51 5,900 5,652
63
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
8 Berkshire Hathaway Inc. 0.500% 1/15/41 6,642 7,363
  BlackRock Inc. 2.400% 4/30/30 23,141 24,554
8 Blackstone Property Partners Europe Holdings Sarl 0.500% 9/12/23 37,400 44,814
8 Blackstone Property Partners Europe Holdings Sarl 1.250% 4/26/27 600 735
8 Blackstone Property Partners Europe Holdings Sarl 1.750% 3/12/29 10,200 12,769
7 BNP Paribas SA 2.219% 6/9/26 8,830 9,132
7 BNP Paribas SA 1.323% 1/13/27 33,990 33,704
7 BNP Paribas SA 3.500% 11/16/27 8,121 8,945
8 BNP Paribas SA 1.125% 1/15/32 7,900 9,539
7 BNP Paribas SA 2.588% 8/12/35 10,220 10,093
7 BNP Paribas SA 2.824% 1/26/41 7,650 7,409
7 BPCE SA 1.000% 1/20/26 15,440 15,345
  BPCE SA 3.375% 12/2/26 10,000 11,056
7 BPCE SA 3.250% 1/11/28 19,800 21,774
7 BPCE SA 2.277% 1/20/32 6,970 6,919
6 BPCE SA, 3M Australian Bank Bill Rate + 0.780% 0.805% 4/20/26 40,510 29,946
6,9 BPCE SA, 3M Australian Bank Bill Rate + 1.600% 1.625% 6/5/25 12,500 9,527
  Brighthouse Financial Inc. 5.625% 5/15/30 1,550 1,906
7 Broadstreet Partners Inc. 5.875% 4/15/29 815 829
  Brookfield Finance Inc. 4.250% 6/2/26 2,901 3,287
  Brookfield Finance Inc. 3.900% 1/25/28 19,925 22,557
  Brookfield Finance Inc. 4.850% 3/29/29 17,444 20,932
  Brookfield Finance Inc. 4.350% 4/15/30 6,000 7,052
  Brookfield Finance Inc. 2.724% 4/15/31 5,515 5,795
  Brown & Brown Inc. 4.500% 3/15/29 2,182 2,546
  Brown & Brown Inc. 2.375% 3/15/31 26,000 26,376
  Canadian Imperial Bank of Commerce 1.250% 6/22/26 14,960 15,006
7 Canadian Imperial Bank of Commerce 1.150% 7/8/26 3,190 3,222
  Capital One Financial Corp. 3.750% 3/9/27 24,218 27,165
  Capital One Financial Corp. 3.650% 5/11/27 9,845 11,040
  Capital One Financial Corp. 3.800% 1/31/28 20,300 22,972
  Capital One Financial Corp. 2.359% 7/29/32 15,000 15,133
  Cboe Global Markets Inc. 1.625% 12/15/30 15,880 15,582
  Charles Schwab Corp. 3.200% 3/2/27 4,043 4,463
  Charles Schwab Corp. 3.200% 1/25/28 24,693 27,455
  Charles Schwab Corp. 2.000% 3/20/28 20,000 20,785
  Charles Schwab Corp. 4.000% 2/1/29 17,652 20,573
  Charles Schwab Corp. 3.250% 5/22/29 4,000 4,462
  Charles Schwab Corp. 4.625% 3/22/30 1,705 2,105
  Charles Schwab Corp. 1.650% 3/11/31 10,000 9,886
  Chubb INA Holdings Inc. 1.375% 9/15/30 32,120 31,078
  CIT Group Inc. 5.250% 3/7/25 778 878
  Citigroup Inc. 4.600% 3/9/26 8,589 9,835
  Citigroup Inc. 3.400% 5/1/26 39,669 43,662
  Citigroup Inc. 3.200% 10/21/26 53,796 58,656
  Citigroup Inc. 4.300% 11/20/26 32,452 36,922
  Citigroup Inc. 1.122% 1/28/27 10,000 9,918
  Citigroup Inc. 1.462% 6/9/27 20,000 20,044
  Citigroup Inc. 4.450% 9/29/27 33,838 39,046
  Citigroup Inc. 3.887% 1/10/28 20,800 23,234
  Citigroup Inc. 3.668% 7/24/28 35,260 39,187
  Citigroup Inc. 4.125% 7/25/28 39,250 44,607
  Citigroup Inc. 3.520% 10/27/28 40,466 44,604
  Citigroup Inc. 4.075% 4/23/29 8,500 9,697
  Citigroup Inc. 3.980% 3/20/30 24,793 28,297
  Citigroup Inc. 2.976% 11/5/30 33,773 36,091
  Citigroup Inc. 2.666% 1/29/31 42,659 44,572
  Citigroup Inc. 4.412% 3/31/31 29,752 35,062
  Citigroup Inc. 2.572% 6/3/31 24,000 24,853
  Citigroup Inc. 2.561% 5/1/32 21,400 22,121
  Citigroup Inc. 6.625% 6/15/32 260 358
64
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Citigroup Inc. 4.650% 7/23/48 15,000 19,968
  Citizens Financial Group Inc. 2.500% 2/6/30 2,948 3,065
  Citizens Financial Group Inc. 3.250% 4/30/30 10,216 11,217
  CNA Financial Corp. 3.450% 8/15/27 12,300 13,635
  CNA Financial Corp. 2.050% 8/15/30 12,000 11,996
  CNO Financial Group Inc. 5.250% 5/30/29 16,377 19,662
7 Commonwealth Bank of Australia 2.688% 3/11/31 12,000 12,165
  Cooperatieve Rabobank UA 3.750% 7/21/26 9,462 10,481
7 Cooperatieve Rabobank UA 1.004% 9/24/26 15,000 14,950
7 Cooperatieve Rabobank UA 1.106% 2/24/27 10,500 10,438
8 Credit Agricole SA 1.250% 4/14/26 1,400 1,774
7 Credit Agricole SA 1.247% 1/26/27 13,890 13,775
7 Credit Agricole SA 2.811% 1/11/41 5,835 5,668
8 Credit Mutuel Arkea SA 0.875% 3/11/33 500 606
8 Credit Suisse AG 1.500% 4/10/26 1,350 1,712
  Credit Suisse Group AG 4.550% 4/17/26 2,000 2,273
7 Credit Suisse Group AG 1.305% 2/2/27 11,920 11,762
7 Credit Suisse Group AG 4.194% 4/1/31 250 285
7 Credit Suisse Group AG 3.091% 5/14/32 15,600 16,318
8 Credit Suisse Group AG 0.625% 1/18/33 16,400 18,777
  Danske Bank A/S 2.500% 6/21/29 900 1,128
8 Danske Bank A/S 1.000% 5/15/31 17,400 20,822
  Deutsche Bank AG 2.129% 11/24/26 20,175 20,628
  Deutsche Bank AG 3.729% 1/14/32 5,000 5,147
  Deutsche Bank AG 3.035% 5/28/32 30,350 31,384
  Development Bank of Kazakhstan JSC 4.125% 12/10/22 8,605 8,967
7 Development Bank of Kazakhstan JSC 2.950% 5/6/31 20,000 19,972
7,12 Dexia Credit Local SA 2.375% 9/20/22 1,750 1,792
  Discover Bank 3.450% 7/27/26 6,575 7,219
  Discover Bank 4.650% 9/13/28 29,300 34,721
  Discover Bank 2.700% 2/6/30 10,788 11,458
  Discover Financial Services 4.500% 1/30/26 10,000 11,371
  Discover Financial Services 4.100% 2/9/27 2,000 2,272
7 DNB Bank ASA 1.127% 9/16/26 30,000 29,965
  E*TRADE Financial Corp. 3.800% 8/24/27 3,003 3,370
  Enstar Group Ltd. 4.950% 6/1/29 20,380 23,630
7 Equitable Financial Life Global Funding 1.400% 8/27/27 3,495 3,500
  Equitable Holdings Inc. 4.350% 4/20/28 21,531 24,935
  Equitable Holdings Inc. 5.000% 4/20/48 7,720 10,065
  Fairfax Financial Holdings Ltd. 4.850% 4/17/28 565 658
  Fairfax Financial Holdings Ltd. 4.625% 4/29/30 3,085 3,587
7 Fairfax Financial Holdings Ltd. 3.375% 3/3/31 15,500 16,533
  Fidelity National Financial Inc. 3.400% 6/15/30 36,371 39,798
  Fidelity National Financial Inc. 2.450% 3/15/31 7,374 7,442
  Fifth Third Bank NA 3.850% 3/15/26 2,000 2,234
  Fifth Third Bank NA 2.250% 2/1/27 11,686 12,345
  First American Financial Corp. 2.400% 8/15/31 10,000 9,899
7 Five Corners Funding Trust II 2.850% 5/15/30 15,000 16,052
  Franklin Resources Inc. 1.600% 10/30/30 15,000 14,679
  FS KKR Capital Corp. 3.400% 1/15/26 10,000 10,445
7 GA Global Funding Trust 1.625% 1/15/26 6,460 6,590
  GATX Corp. 4.000% 6/30/30 4,093 4,678
  GATX Corp. 1.900% 6/1/31 25,000 24,220
  GATX Corp. 3.100% 6/1/51 6,675 6,593
8 GE Capital European Funding Unlimited Co. 6.025% 3/1/38 100 202
  GE Capital Funding LLC 4.400% 5/15/30 46,495 54,676
  GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35 3,000 3,686
7 Global Atlantic Fin Co. 3.125% 6/15/31 25,000 25,600
  Goldman Sachs Group Inc. 4.250% 10/21/25 16,595 18,620
  Goldman Sachs Group Inc. 1.000% 12/16/25 36,800 51,050
  Goldman Sachs Group Inc. 3.750% 2/25/26 24,793 27,480
65
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
8 Goldman Sachs Group Inc. 2.875% 6/3/26 13,400 18,020
8 Goldman Sachs Group Inc. 1.625% 7/27/26 13,400 17,081
  Goldman Sachs Group Inc. 1.093% 12/9/26 27,445 27,263
  Goldman Sachs Group Inc. 3.850% 1/26/27 23,300 25,798
  Goldman Sachs Group Inc. 1.431% 3/9/27 35,245 35,408
  Goldman Sachs Group Inc. 1.542% 9/10/27 40,000 40,284
  Goldman Sachs Group Inc. 3.691% 6/5/28 42,207 47,086
  Goldman Sachs Group Inc. 3.814% 4/23/29 44,483 50,103
  Goldman Sachs Group Inc. 4.223% 5/1/29 22,365 25,751
  Goldman Sachs Group Inc. 2.600% 2/7/30 30,416 31,882
  Goldman Sachs Group Inc. 3.800% 3/15/30 2,000 2,271
  Goldman Sachs Group Inc. 1.992% 1/27/32 26,460 26,101
  Goldman Sachs Group Inc. 2.615% 4/22/32 21,000 21,776
  Goldman Sachs Group Inc. 2.383% 7/21/32 17,500 17,795
8 Goldman Sachs Group Inc. 1.000% 3/18/33 7,000 8,478
  Goldman Sachs Group Inc. 3.210% 4/22/42 4,900 5,203
  Goldman Sachs Group Inc. 4.750% 10/21/45 5,000 6,623
6,9 Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.550% 1.570% 5/2/24 30,700 23,106
  Hanover Insurance Group Inc. 2.500% 9/1/30 5,000 5,111
  Hartford Financial Services Group Inc. 2.800% 8/19/29 3,926 4,204
8 Helvetia Europe SA 2.750% 9/30/41 10,800 14,150
  HSBC Holdings plc 4.250% 8/18/25 3,045 3,377
  HSBC Holdings plc 4.300% 3/8/26 25,735 29,144
  HSBC Holdings plc 3.900% 5/25/26 30,758 34,271
  HSBC Holdings plc 2.099% 6/4/26 11,801 12,174
  HSBC Holdings plc 4.292% 9/12/26 20,350 22,711
  HSBC Holdings plc 4.375% 11/23/26 11,018 12,460
  HSBC Holdings plc 1.589% 5/24/27 33,330 33,553
10 HSBC Holdings plc 1.750% 7/24/27 16,000 22,486
  HSBC Holdings plc 4.041% 3/13/28 78,139 87,500
  HSBC Holdings plc 2.013% 9/22/28 42,450 43,025
  HSBC Holdings plc 4.583% 6/19/29 41,640 48,463
  HSBC Holdings plc 4.950% 3/31/30 17,320 21,074
  HSBC Holdings plc 3.973% 5/22/30 29,752 33,544
  HSBC Holdings plc 2.848% 6/4/31 36,495 38,362
  HSBC Holdings plc 2.357% 8/18/31 23,560 23,815
  HSBC Holdings plc 2.804% 5/24/32 11,500 11,936
6,9 HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100% 1.139% 2/16/24 28,200 20,863
  Huntington Bancshares Inc. 2.550% 2/4/30 10,000 10,612
  ICBCIL Finance Co. Ltd. 3.375% 4/5/22 10,000 10,155
  ING Groep NV 3.950% 3/29/27 25,636 29,008
  ING Groep NV 4.550% 10/2/28 9,000 10,671
  ING Groep NV 4.050% 4/9/29 13,264 15,356
  ING Groep NV 2.727% 4/1/32 10,000 10,498
  Intercontinental Exchange Inc. 3.750% 12/1/25 17,416 19,326
  Intercontinental Exchange Inc. 3.750% 9/21/28 2,090 2,368
  Intercontinental Exchange Inc. 2.100% 6/15/30 17,000 17,162
  Intercontinental Exchange Inc. 1.850% 9/15/32 15,000 14,515
7 Intesa Sanpaolo SPA 4.000% 9/23/29 21,525 23,885
10 Intesa Sanpaolo SPA 2.500% 1/15/30 4,000 5,793
7 Intesa Sanpaolo SPA 4.198% 6/1/32 10,000 10,294
10 Intesa Sanpaolo SPA 2.625% 3/11/36 4,774 6,847
  Invesco Finance plc 3.750% 1/15/26 11,166 12,406
8 JAB Holdings BV 3.375% 4/17/35 8,400 12,593
8 JAB Holdings BV 2.250% 12/19/39 1,200 1,553
  Jefferies Group LLC 6.450% 6/8/27 300 377
  Jefferies Group LLC / Jefferies Group Capital Finance Inc. 4.850% 1/15/27 4,500 5,272
  Jefferies Group LLC / Jefferies Group Capital Finance Inc. 4.150% 1/23/30 5,000 5,714
  JPMorgan Chase & Co. 0.824% 6/1/25 34,428 34,479
  JPMorgan Chase & Co. 0.969% 6/23/25 30,000 30,128
  JPMorgan Chase & Co. 3.200% 6/15/26 11,273 12,337
66
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  JPMorgan Chase & Co. 1.045% 11/19/26 46,619 46,340
  JPMorgan Chase & Co. 4.125% 12/15/26 19,992 22,745
  JPMorgan Chase & Co. 1.040% 2/4/27 37,875 37,502
  JPMorgan Chase & Co. 1.578% 4/22/27 35,000 35,431
  JPMorgan Chase & Co. 4.250% 10/1/27 4,000 4,600
  JPMorgan Chase & Co. 3.625% 12/1/27 18,750 20,660
  JPMorgan Chase & Co. 3.782% 2/1/28 34,793 38,868
  JPMorgan Chase & Co. 3.540% 5/1/28 32,277 35,766
  JPMorgan Chase & Co. 2.182% 6/1/28 16,303 16,876
  JPMorgan Chase & Co. 3.509% 1/23/29 42,057 46,685
  JPMorgan Chase & Co. 4.005% 4/23/29 46,001 52,444
  JPMorgan Chase & Co. 2.069% 6/1/29 37,500 38,239
  JPMorgan Chase & Co. 4.203% 7/23/29 31,355 36,179
  JPMorgan Chase & Co. 4.452% 12/5/29 22,800 26,801
  JPMorgan Chase & Co. 3.702% 5/6/30 27,661 31,137
  JPMorgan Chase & Co. 2.739% 10/15/30 37,471 39,684
  JPMorgan Chase & Co. 4.493% 3/24/31 12,100 14,462
  JPMorgan Chase & Co. 2.522% 4/22/31 47,000 48,913
  JPMorgan Chase & Co. 2.956% 5/13/31 15,300 16,236
  JPMorgan Chase & Co. 1.764% 11/19/31 25,000 24,323
  JPMorgan Chase & Co. 1.953% 2/4/32 50,000 49,372
  JPMorgan Chase & Co. 2.580% 4/22/32 33,950 35,339
  JPMorgan Chase & Co. 3.157% 4/22/42 8,500 9,045
  JPMorgan Chase & Co. 3.109% 4/22/51 22,000 22,950
  Kemper Corp. 2.400% 9/30/30 4,837 4,914
  KeyCorp 4.100% 4/30/28 15,000 17,468
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 5.250% 10/1/25 671 681
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.250% 2/1/27 2,099 2,097
7 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.750% 6/15/29 4,128 4,111
  Lazard Group LLC 4.500% 9/19/28 31,409 36,599
  Lazard Group LLC 4.375% 3/11/29 555 642
10 Leeds Building Society 1.500% 3/16/27 18,978 26,464
  Lincoln National Corp. 4.350% 3/1/48 5,000 6,130
8 Lloyds Bank Corporate Markets plc 0.375% 1/28/25 1,800 2,175
9 Lloyds Banking Group plc 4.000% 3/7/25 2,300 1,851
  Lloyds Banking Group plc 4.582% 12/10/25 5,303 5,978
  Lloyds Banking Group plc 4.650% 3/24/26 1,080 1,230
  Lloyds Banking Group plc 3.750% 1/11/27 68,999 76,684
  Lloyds Banking Group plc 4.375% 3/22/28 29,752 34,426
  Lloyds Banking Group plc 4.550% 8/16/28 23,800 27,977
  Lloyds Banking Group plc 3.574% 11/7/28 10,873 11,968
6,9 Lloyds Banking Group plc, 3M Australian Bank Bill Rate + 1.400% 1.425% 3/7/25 19,000 14,248
7 LPL Holdings Inc. 4.375% 5/15/31 3,610 3,695
9 Macquarie Bank Ltd. 1.750% 8/7/24 9,640 7,271
7 Macquarie Bank Ltd. 3.052% 3/3/36 20,000 20,212
6,9 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.800% 0.842% 8/7/24 35,000 25,977
6,9 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 0.840% 0.880% 2/12/25 25,000 18,575
6,9 Macquarie Bank Ltd., 3M Australian Bank Bill Rate + 2.900% 2.940% 5/28/30 20,710 16,071
7 Macquarie Group Ltd. 1.340% 1/12/27 8,655 8,641
7 Macquarie Group Ltd. 1.629% 9/23/27 13,335 13,394
7 Macquarie Group Ltd. 2.691% 6/23/32 20,000 20,371
  Markel Corp. 3.350% 9/17/29 7,000 7,789
  Marsh & McLennan Cos. Inc. 4.375% 3/15/29 33,393 39,599
  Marsh & McLennan Cos. Inc. 2.250% 11/15/30 11,995 12,362
  Metlife Inc. 4.550% 3/23/30 24,945 30,308
7 Midcap Financial Issuer Trust 5.625% 1/15/30 1,575 1,551
  Mitsubishi UFJ Financial Group Inc. 2.757% 9/13/26 11,555 12,375
  Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27 4,920 5,522
  Mitsubishi UFJ Financial Group Inc. 1.538% 7/20/27 13,500 13,657
  Mitsubishi UFJ Financial Group Inc. 3.287% 7/25/27 2,750 3,052
  Mitsubishi UFJ Financial Group Inc. 3.961% 3/2/28 10,136 11,605
67
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Mitsubishi UFJ Financial Group Inc. 4.050% 9/11/28 5,000 5,790
  Mitsubishi UFJ Financial Group Inc. 3.741% 3/7/29 43,090 48,981
  Mitsubishi UFJ Financial Group Inc. 3.195% 7/18/29 41,735 45,687
  Mitsubishi UFJ Financial Group Inc. 2.559% 2/25/30 30,878 32,440
  Mitsubishi UFJ Financial Group Inc. 2.309% 7/20/32 40,000 40,769
7 Mizuho Financial Group Inc. 3.477% 4/12/26 10,000 11,021
  Mizuho Financial Group Inc. 2.226% 5/25/26 10,200 10,602
  Mizuho Financial Group Inc. 2.839% 9/13/26 3,525 3,802
  Mizuho Financial Group Inc. 3.663% 2/28/27 1,879 2,099
  Mizuho Financial Group Inc. 1.234% 5/22/27 42,860 42,632
  Mizuho Financial Group Inc. 1.554% 7/9/27 8,000 8,085
  Mizuho Financial Group Inc. 4.018% 3/5/28 7,750 8,918
  Mizuho Financial Group Inc. 4.254% 9/11/29 2,000 2,322
  Mizuho Financial Group Inc. 3.153% 7/16/30 21,400 23,261
  Mizuho Financial Group Inc. 2.869% 9/13/30 10,620 11,282
  Mizuho Financial Group Inc. 2.591% 5/25/31 19,607 20,370
  Mizuho Financial Group Inc. 2.201% 7/10/31 10,000 10,099
  Mizuho Financial Group Inc. 2.260% 7/9/32 12,000 12,085
  Morgan Stanley 0.790% 5/30/25 107,221 107,092
  Morgan Stanley 4.000% 7/23/25 14,187 15,802
  Morgan Stanley 3.875% 1/27/26 84,720 95,006
  Morgan Stanley 4.350% 9/8/26 23,460 26,725
  Morgan Stanley 0.985% 12/10/26 16,117 15,939
  Morgan Stanley 3.625% 1/20/27 68,607 76,640
  Morgan Stanley 3.950% 4/23/27 26,821 30,206
  Morgan Stanley 1.593% 5/4/27 23,530 23,887
  Morgan Stanley 1.512% 7/20/27 18,600 18,753
  Morgan Stanley 3.591% 7/22/28 51,390 57,262
  Morgan Stanley 3.772% 1/24/29 20,000 22,518
  Morgan Stanley 4.431% 1/23/30 25,000 29,400
  Morgan Stanley 2.699% 1/22/31 43,418 45,760
  Morgan Stanley 3.622% 4/1/31 31,735 35,706
  Morgan Stanley 1.794% 2/13/32 13,320 12,955
  Morgan Stanley 1.928% 4/28/32 10,715 10,522
  Morgan Stanley 2.239% 7/21/32 28,500 28,734
  Morgan Stanley 3.217% 4/22/42 12,460 13,384
  Morgan Stanley 5.597% 3/24/51 2,000 3,023
8 Nationwide Building Society 0.250% 7/22/25 1,000 1,206
7 Nationwide Building Society 1.000% 8/28/25 12,620 12,623
  Natwest Group plc 1.642% 6/14/27 12,338 12,409
  Natwest Group plc 3.073% 5/22/28 12,686 13,560
  Natwest Group plc 4.892% 5/18/29 23,355 27,601
  Natwest Group plc 3.754% 11/1/29 755 803
  Natwest Group plc 5.076% 1/27/30 17,179 20,587
  Natwest Group plc 4.445% 5/8/30 7,550 8,778
  Natwest Group plc 2.105% 11/28/31 13,800 19,322
  Natwest Group plc 3.032% 11/28/35 15,000 15,164
10 NIBC Bank NV 3.125% 11/15/23 22,000 32,091
  Nippon Life Insurance Co. 3.375% 5/8/32 5,036 5,522
7 Nippon Life Insurance Co. 3.400% 1/23/50 6,000 6,263
7 Nippon Life Insurance Co. 2.750% 1/21/51 11,110 11,008
  Nomura Holdings Inc. 1.851% 7/16/25 6,670 6,831
  Nomura Holdings Inc. 1.653% 7/14/26 12,000 12,065
  Nomura Holdings Inc. 2.172% 7/14/28 25,000 25,152
  Nomura Holdings Inc. 3.103% 1/16/30 7,557 8,010
  Nomura Holdings Inc. 2.608% 7/14/31 11,000 11,166
  Northern Trust Corp. 1.950% 5/1/30 5,574 5,716
8 OP Corporate Bank plc 1.625% 6/9/30 700 863
  ORIX Corp. 2.250% 3/9/31 15,000 15,364
  Owl Rock Capital Corp. 3.400% 7/15/26 16,000 16,823
  Owl Rock Capital Corp. 2.875% 6/11/28 300 303
68
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
8 Phoenix Group Holdings plc 4.375% 1/24/29 400 561
7 Pine Street Trust I 4.572% 2/15/29 250 290
  PNC Bank NA 3.100% 10/25/27 46,625 51,530
  PNC Bank NA 3.250% 1/22/28 28,085 31,331
  PNC Bank NA 2.700% 10/22/29 29,415 31,580
  PNC Financial Services Group Inc. 3.150% 5/19/27 15,500 17,081
  PNC Financial Services Group Inc. 3.450% 4/23/29 40,332 45,503
  PNC Financial Services Group Inc. 2.550% 1/22/30 15,000 15,906
  Principal Financial Group Inc. 3.100% 11/15/26 6,110 6,662
  Principal Financial Group Inc. 3.700% 5/15/29 18,767 21,323
  Progressive Corp. 4.000% 3/1/29 1,070 1,244
  Progressive Corp. 3.200% 3/26/30 14,172 15,810
7 Protective Life Corp. 4.300% 9/30/28 22,700 25,998
  Prudential Financial Inc. 2.100% 3/10/30 2,750 2,830
  Prudential Financial Inc. 3.000% 3/10/40 5,000 5,268
  Prudential Financial Inc. 5.375% 5/15/45 3,575 3,953
  Prudential Financial Inc. 3.935% 12/7/49 2,000 2,396
  Prudential plc 3.125% 4/14/30 1,500 1,639
  Raymond James Financial Inc. 3.750% 4/1/51 4,000 4,505
  Reinsurance Group of America Inc. 3.900% 5/15/29 6,800 7,736
7 Sammons Financial Group Inc. 3.350% 4/16/31 10,000 10,492
8 Sampo Oyj 2.500% 9/3/52 200 258
  Santander Holdings USA Inc. 3.450% 6/2/25 6,925 7,460
  Santander Holdings USA Inc. 4.500% 7/17/25 2,000 2,222
  Santander Holdings USA Inc. 4.400% 7/13/27 13,772 15,585
  Santander UK Group Holdings plc 1.532% 8/21/26 15,000 15,117
  Santander UK Group Holdings plc 1.673% 6/14/27 20,500 20,609
  Santander UK Group Holdings plc 3.823% 11/3/28 2,500 2,774
7 SBL Holdings Inc. 5.000% 2/18/31 17,773 19,192
  Sixth Street Specialty Lending Inc. 2.500% 8/1/26 5,000 5,091
7 Standard Chartered plc 1.456% 1/14/27 12,500 12,450
  State Street Corp. 2.400% 1/24/30 7,030 7,468
  State Street Corp. 3.152% 3/30/31 4,997 5,564
  Sumitomo Mitsui Financial Group Inc. 1.474% 7/8/25 630 640
  Sumitomo Mitsui Financial Group Inc. 3.784% 3/9/26 19,710 22,072
8 Sumitomo Mitsui Financial Group Inc. 1.546% 6/15/26 1,000 1,277
  Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26 51,114 54,474
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26 5,975 6,497
  Sumitomo Mitsui Financial Group Inc. 3.446% 1/11/27 23,965 26,586
  Sumitomo Mitsui Financial Group Inc. 3.364% 7/12/27 19,491 21,592
  Sumitomo Mitsui Financial Group Inc. 3.352% 10/18/27 4,000 4,430
  Sumitomo Mitsui Financial Group Inc. 3.544% 1/17/28 13,366 14,977
  Sumitomo Mitsui Financial Group Inc. 3.944% 7/19/28 4,870 5,587
  Sumitomo Mitsui Financial Group Inc. 4.306% 10/16/28 750 881
  Sumitomo Mitsui Financial Group Inc. 3.040% 7/16/29 84,077 90,941
  Sumitomo Mitsui Financial Group Inc. 2.750% 1/15/30 32,727 34,762
  Sumitomo Mitsui Financial Group Inc. 2.130% 7/8/30 16,045 16,281
  Sumitomo Mitsui Financial Group Inc. 2.142% 9/23/30 2,465 2,428
  SVB Financial Group 2.100% 5/15/28 30,625 31,476
  SVB Financial Group 3.125% 6/5/30 7,000 7,640
  SVB Financial Group 1.800% 2/2/31 10,000 9,732
7 Svenska Handelsbanken AB 1.418% 6/11/27 6,200 6,236
8 Swedbank AB 0.750% 5/5/25 1,300 1,600
  Synchrony Financial 3.700% 8/4/26 24,354 26,809
  Synchrony Financial 3.950% 12/1/27 28,297 31,699
  Synchrony Financial 5.150% 3/19/29 1,157 1,385
  TD Ameritrade Holding Corp. 3.300% 4/1/27 20,837 23,082
7 Temasek Financial I Ltd. 2.375% 1/23/23 1,000 1,029
7 Temasek Financial I Ltd. 2.750% 8/2/61 26,900 26,803
  Toronto-Dominion Bank 3.625% 9/15/31 11,160 12,453
  Truist Bank 3.625% 9/16/25 22,245 24,600
69
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Truist Bank 2.250% 3/11/30 34,140 35,225
  Truist Financial Corp. 1.267% 3/2/27 7,560 7,599
  Truist Financial Corp. 1.125% 8/3/27 20,265 20,066
  Truist Financial Corp. 3.875% 3/19/29 10,000 11,505
  Truist Financial Corp. 1.887% 6/7/29 15,000 15,246
  Truist Financial Corp. 1.950% 6/5/30 11,250 11,485
  U.S. Bancorp 3.150% 4/27/27 29,644 32,811
  U.S. Bancorp 3.900% 4/26/28 2,250 2,611
  U.S. Bancorp 3.000% 7/30/29 21,800 23,821
  U.S. Bancorp 1.375% 7/22/30 27,000 26,338
7 UBS Group AG 1.364% 1/30/27 30,835 30,799
  UniCredit SPA 1.625% 7/3/25 4,301 5,293
8 UniCredit SPA 1.200% 1/20/26 43,791 53,262
  United Overseas Bank Ltd. 2.880% 3/8/27 3,000 3,033
7 USAA Capital Corp. 2.125% 5/1/30 3,600 3,698
  Voya Financial Inc. 5.700% 7/15/43 3,758 5,284
13,14 Washington Mutual Bank / Debt not acquired by JPMorgan 5.500% 1/15/13 6,147 1
13,14 Washington Mutual Bank / Debt not acquired by JPMorgan 5.650% 8/15/14 7,500 1
13,14 Washington Mutual Bank / Debt not acquired by JPMorgan 5.125% 1/15/15 9,000 1
  Wells Fargo & Co. 3.000% 4/22/26 60,337 65,448
  Wells Fargo & Co. 4.100% 6/3/26 11,899 13,409
  Wells Fargo & Co. 3.000% 10/23/26 75,315 81,720
9 Wells Fargo & Co. 4.000% 4/27/27 13,972 11,533
  Wells Fargo & Co. 3.196% 6/17/27 21,350 23,220
  Wells Fargo & Co. 4.300% 7/22/27 14,000 16,086
  Wells Fargo & Co. 3.584% 5/22/28 51,812 57,507
  Wells Fargo & Co. 2.393% 6/2/28 25,588 26,791
  Wells Fargo & Co. 4.150% 1/24/29 13,949 16,155
  Wells Fargo & Co. 2.879% 10/30/30 51,832 55,368
  Wells Fargo & Co. 2.572% 2/11/31 49,900 52,238
  Wells Fargo & Co. 4.478% 4/4/31 2,000 2,391
10 Wells Fargo & Co. 2.125% 9/24/31 9,800 14,060
  Wells Fargo & Co. 5.013% 4/4/51 9,000 12,590
10 Wells Fargo Bank NA 5.250% 8/1/23 23,050 34,761
8 Westpac Banking Corp. 0.375% 3/5/23 8,500 10,223
  Westpac Banking Corp. 3.350% 3/8/27 18,107 20,189
  Westpac Banking Corp. 2.894% 2/4/30 250 261
  Westpac Banking Corp. 2.150% 6/3/31 12,780 13,155
  Westpac Banking Corp. 4.322% 11/23/31 21,500 24,030
  Westpac Banking Corp. 4.110% 7/24/34 11,175 12,428
  Westpac Banking Corp. 2.668% 11/15/35 15,000 14,989
  Westpac Banking Corp. 2.963% 11/16/40 3,430 3,458
  Willis North America Inc. 4.500% 9/15/28 12,000 13,989
  Willis North America Inc. 2.950% 9/15/29 52,892 56,152
            9,651,380
Health Care (6.9%)
  AbbVie Inc. 2.950% 11/21/26 74,412 80,590
  AbbVie Inc. 3.200% 11/21/29 53,028 58,330
  AbbVie Inc. 4.050% 11/21/39 5,000 5,935
  Agilent Technologies Inc. 3.050% 9/22/26 2,000 2,166
  Agilent Technologies Inc. 2.750% 9/15/29 10,000 10,627
  Agilent Technologies Inc. 2.300% 3/12/31 25,000 25,497
7 Alcon Finance Corp. 2.750% 9/23/26 5,000 5,329
  AmerisourceBergen Corp. 3.450% 12/15/27 15,701 17,286
  AmerisourceBergen Corp. 2.700% 3/15/31 42,000 43,935
  Amgen Inc. 2.200% 2/21/27 65,841 69,047
  Amgen Inc. 3.200% 11/2/27 7,553 8,326
  Amgen Inc. 2.450% 2/21/30 7,400 7,739
  Anthem Inc. 1.500% 3/15/26 12,810 13,052
  Anthem Inc. 3.650% 12/1/27 10,000 11,270
  Anthem Inc. 2.875% 9/15/29 24,704 26,617
70
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Anthem Inc. 2.250% 5/15/30 372 382
  Anthem Inc. 2.550% 3/15/31 5,000 5,243
  Anthem Inc. 3.125% 5/15/50 2,000 2,098
  Ascension Health 2.532% 11/15/29 2,500 2,672
  Astrazeneca Finance LLC 1.750% 5/28/28 51,477 52,393
  Astrazeneca Finance LLC 2.250% 5/28/31 10,000 10,386
  AstraZeneca plc 1.375% 8/6/30 39,800 38,572
7 Bausch Health Cos. Inc. 6.125% 4/15/25 1,367 1,397
7 Bausch Health Cos. Inc. 5.500% 11/1/25 970 991
7 Bausch Health Cos. Inc. 5.750% 8/15/27 1,589 1,672
7 Bausch Health Cos. Inc. 7.000% 1/15/28 2,715 2,849
7 Bausch Health Cos. Inc. 4.875% 6/1/28 2,035 2,099
7 Bausch Health Cos. Inc. 5.250% 2/15/31 1,615 1,513
  Baxter International Inc. 3.950% 4/1/30 8,000 9,318
7 Bayer U.S. Finance II LLC 4.375% 12/15/28 38,367 44,482
  Becton Dickinson and Co. 3.700% 6/6/27 48,768 54,590
  Becton Dickinson and Co. 2.823% 5/20/30 3,465 3,690
  Biogen Inc. 2.250% 5/1/30 5,955 6,056
  Boston Scientific Corp. 4.000% 3/1/29 12,000 13,837
  Boston Scientific Corp. 2.650% 6/1/30 43,499 45,755
  Bristol-Myers Squibb Co. 3.450% 11/15/27 45,226 50,847
  Bristol-Myers Squibb Co. 3.900% 2/20/28 29,040 33,516
  Bristol-Myers Squibb Co. 3.400% 7/26/29 59,317 67,218
  Bristol-Myers Squibb Co. 1.450% 11/13/30 16,500 16,194
  Centene Corp. 2.450% 7/15/28 16,665 16,875
  Centene Corp. 3.000% 10/15/30 1,487 1,547
  Centene Corp. 2.500% 3/1/31 3,175 3,178
15 Centene Corp. 2.625% 8/1/31 8,535 8,543
7 Charles River Laboratories International Inc. 3.750% 3/15/29 1,635 1,676
  CHRISTUS Health 4.341% 7/1/28 19,800 23,041
  Cigna Corp. 4.500% 2/25/26 10,000 11,422
  Cigna Corp. 3.400% 3/1/27 38,217 42,212
  Cigna Corp. 4.375% 10/15/28 49,260 57,948
  Cigna Corp. 2.400% 3/15/30 22,341 23,232
  Cigna Corp. 2.375% 3/15/31 5,000 5,169
  Cigna Corp. 3.400% 3/15/50 2,000 2,151
  CVS Health Corp. 3.000% 8/15/26 20,571 22,330
  CVS Health Corp. 3.625% 4/1/27 61,060 68,069
  CVS Health Corp. 1.300% 8/21/27 30,000 29,814
  CVS Health Corp. 4.300% 3/25/28 109,084 126,309
  CVS Health Corp. 3.250% 8/15/29 45,414 49,929
  CVS Health Corp. 3.750% 4/1/30 22,585 25,679
  CVS Health Corp. 1.875% 2/28/31 5,000 4,947
  CVS Health Corp. 4.250% 4/1/50 2,000 2,448
  DH Europe Finance II Sarl 2.600% 11/15/29 22,000 23,352
  Eli Lilly & Co. 3.375% 3/15/29 8,300 9,415
  Encompass Health Corp. 4.500% 2/1/28 3,202 3,330
8 Fresenius SE & Co. KGaA 1.125% 1/28/33 350 435
  Gilead Sciences Inc. 2.950% 3/1/27 8,324 9,050
  GlaxoSmithKline Capital Inc. 3.875% 5/15/28 35,702 41,323
  HCA Inc. 5.375% 2/1/25 4,630 5,242
  HCA Inc. 5.250% 6/15/26 30,340 35,356
  HCA Inc. 4.500% 2/15/27 34,516 39,392
  HCA Inc. 4.125% 6/15/29 18,660 21,300
  HCA Inc. 2.375% 7/15/31 20,000 20,203
7 HCRX Investments Holdco LP 4.500% 8/1/29 785 801
7 Highmark Inc. 1.450% 5/10/26 22,500 22,695
7 Highmark Inc. 2.550% 5/10/31 20,000 20,590
7 Hill-Rom Holdings Inc. 4.375% 9/15/27 4,645 4,857
  Humana Inc. 3.950% 3/15/27 7,550 8,526
  Humana Inc. 4.875% 4/1/30 508 620
71
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Laboratory Corp. of America Holdings 3.600% 9/1/27 464 519
  Merck & Co. Inc. 3.400% 3/7/29 54,169 61,375
  Mercy Health 4.302% 7/1/28 12,500 14,664
8 Mylan Inc. 2.125% 5/23/25 33,780 42,976
  Mylan Inc. 4.550% 4/15/28 24,800 28,761
  Novartis Capital Corp. 3.100% 5/17/27 8,700 9,592
  Novartis Capital Corp. 2.200% 8/14/30 22,570 23,747
7 Organon & Co. / Organon Foreign Debt Co.-Issuer BV 4.125% 4/30/28 4,065 4,169
7 Organon & Co. / Organon Foreign Debt Co.-Issuer BV 5.125% 4/30/31 2,435 2,509
  Perrigo Finance Unlimited Co. 3.150% 6/15/30 11,500 12,036
  Pfizer Inc. 3.450% 3/15/29 45,721 52,037
  Pfizer Inc. 2.625% 4/1/30 17,500 18,966
  Pfizer Inc. 1.700% 5/28/30 11,270 11,387
  Providence St. Joseph Health Obligated Group 2.746% 10/1/26 7,500 8,065
  Providence St. Joseph Health Obligated Group 2.532% 10/1/29 5,000 5,309
  Quest Diagnostics Inc. 2.950% 6/30/30 13,950 15,011
  Quest Diagnostics Inc. 2.800% 6/30/31 6,655 7,082
  Regeneron Pharmaceuticals Inc. 1.750% 9/15/30 15,000 14,507
7 Royalty Pharma plc 1.200% 9/2/25 7,000 6,992
7 Royalty Pharma plc 1.750% 9/2/27 10,000 10,032
7 Royalty Pharma plc 2.200% 9/2/30 10,000 9,953
  Shire Acquisitions Investments Ireland DAC 3.200% 9/23/26 29,545 32,186
  Stanford Health Care 3.310% 8/15/30 17,000 19,112
  STERIS Irish FinCo UnLtd Co. 2.700% 3/15/31 32,000 33,198
  Stryker Corp. 1.950% 6/15/30 20,000 20,172
  Takeda Pharmaceutical Co. Ltd. 5.000% 11/26/28 22,708 27,621
  Takeda Pharmaceutical Co. Ltd. 2.050% 3/31/30 76,737 77,136
7 Tenet Healthcare Corp. 4.625% 9/1/24 360 368
7 Tenet Healthcare Corp. 7.500% 4/1/25 270 290
7 Tenet Healthcare Corp. 4.875% 1/1/26 3,474 3,594
7 Tenet Healthcare Corp. 6.250% 2/1/27 1,641 1,710
7 Tenet Healthcare Corp. 4.250% 6/1/29 3,819 3,891
  Thermo Fisher Scientific Inc. 3.200% 8/15/27 16,870 18,609
  Thermo Fisher Scientific Inc. 2.600% 10/1/29 5,000 5,323
  UnitedHealth Group Inc. 1.150% 5/15/26 6,810 6,871
  UnitedHealth Group Inc. 3.450% 1/15/27 10,800 12,092
  UnitedHealth Group Inc. 3.375% 4/15/27 20,317 22,723
  UnitedHealth Group Inc. 2.950% 10/15/27 10,948 12,078
  UnitedHealth Group Inc. 3.850% 6/15/28 29,398 34,019
  UnitedHealth Group Inc. 3.875% 12/15/28 30,288 35,231
  UnitedHealth Group Inc. 2.875% 8/15/29 5,666 6,195
  UnitedHealth Group Inc. 2.000% 5/15/30 10,000 10,250
  UnitedHealth Group Inc. 2.300% 5/15/31 13,500 14,062
8 Upjohn Finance BV 1.908% 6/23/32 10,800 13,956
8 Utah Acquisition Sub Inc. 2.250% 11/22/24 12,000 15,252
  Utah Acquisition Sub Inc. 3.950% 6/15/26 36,800 40,861
7 Viatris Inc. 2.300% 6/22/27 28,360 29,180
7 Viatris Inc. 2.700% 6/22/30 59,400 60,974
7 Viatris Inc. 3.850% 6/22/40 5,000 5,452
  Zoetis Inc. 3.000% 9/12/27 1,015 1,108
  Zoetis Inc. 3.900% 8/20/28 21,700 24,970
  Zoetis Inc. 2.000% 5/15/30 15,000 15,169
            2,609,864
Industrials (5.7%)
  3M Co. 3.375% 3/1/29 10,087 11,414
  3M Co. 2.375% 8/26/29 10,000 10,623
7,15 Air Canada 3.875% 8/15/26 2,580 2,587
7 Airbus SE 3.150% 4/10/27 26,527 28,974
7 Allied Universal Holdco LLC / Allied Universal Finance Corp. 6.000% 6/1/29 407 409
7 Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl 4.625% 6/1/28 595 594
72
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl 4.625% 6/1/28 895 898
7 Allison Transmission Inc. 4.750% 10/1/27 5,165 5,392
7 Allison Transmission Inc. 3.750% 1/30/31 2,900 2,899
7 American Airlines Inc. / AAdvantage Loyalty IP Ltd. 5.500% 4/20/26 2,935 3,071
4,7 American Airlines Inc. / AAdvantage Loyalty IP Ltd. 5.750% 4/20/29 7,985 8,634
7 Aramark Services Inc. 6.375% 5/1/25 1,472 1,552
7 Aramark Services Inc. 5.000% 2/1/28 2,610 2,714
7 Atkore Inc. 4.250% 6/1/31 1,995 2,049
9 Aurizon Network Pty Ltd. 4.000% 6/21/24 34,840 27,453
7 BAE Systems plc 1.900% 2/15/31 16,670 16,436
  Block Financial LLC 3.875% 8/15/30 13,650 14,992
  Boeing Co. 4.875% 5/1/25 4,862 5,452
  Boeing Co. 2.750% 2/1/26 19,520 20,430
  Boeing Co. 2.250% 6/15/26 5,638 5,784
  Boeing Co. 2.700% 2/1/27 24,130 25,076
  Boeing Co. 5.040% 5/1/27 64,624 74,806
  Boeing Co. 3.250% 2/1/28 33,155 35,356
  Boeing Co. 3.250% 3/1/28 1,131 1,198
  Boeing Co. 3.200% 3/1/29 17,969 18,954
  Boeing Co. 2.950% 2/1/30 10,000 10,324
  Boeing Co. 5.150% 5/1/30 61,541 73,266
  Boeing Co. 3.625% 2/1/31 5,000 5,449
  Canadian Pacific Railway Co. 4.000% 6/1/28 2,000 2,299
7 Cargo Aircraft Management Inc. 4.750% 2/1/28 2,914 2,982
  Carrier Global Corp. 2.493% 2/15/27 14,144 14,946
  Carrier Global Corp. 2.722% 2/15/30 31,000 32,800
  Caterpillar Inc. 2.600% 9/19/29 8,000 8,611
7 Clark Equipment Co. 5.875% 6/1/25 1,572 1,663
7 Clean Harbors Inc. 4.875% 7/15/27 4,160 4,369
  CNH Industrial Capital LLC 1.875% 1/15/26 34,000 34,905
  CSX Corp. 3.250% 6/1/27 39,444 43,387
  CSX Corp. 3.800% 3/1/28 18,470 20,981
  CSX Corp. 2.400% 2/15/30 663 691
4 Delta Air Lines Class AA Series 2020-1 Pass Through Trust 2.000% 12/10/29 9,402 9,458
  Delta Air Lines Inc. 2.900% 10/28/24 1,255 1,273
7 Delta Air Lines Inc. 7.000% 5/1/25 5,575 6,559
  Delta Air Lines Inc. 3.750% 10/28/29 2,023 2,011
4,7 Delta Air Lines Inc. / SkyMiles IP Ltd. 4.750% 10/20/28 89,502 100,236
8 easyJet FinCo BV 1.875% 3/3/28 10,100 12,051
  Embraer Netherlands Finance BV 5.050% 6/15/25 17,853 18,744
  Embraer Netherlands Finance BV 5.400% 2/1/27 4,100 4,332
  Embraer Overseas Ltd. 5.696% 9/16/23 582 622
  Embraer SA 5.150% 6/15/22 8,000 8,216
  FedEx Corp. 3.400% 2/15/28 478 536
  FedEx Corp. 3.100% 8/5/29 11,998 13,156
  FedEx Corp. 4.250% 5/15/30 7,753 9,157
  FedEx Corp. 2.400% 5/15/31 39,791 41,225
7 First Student Bidco Inc. / First Transit Parent Inc. 4.000% 7/31/29 3,140 3,145
10 Gatwick Funding Ltd. 2.500% 4/15/32 2,800 3,936
  General Dynamics Corp. 3.500% 4/1/27 22,400 25,086
  General Dynamics Corp. 3.750% 5/15/28 20,545 23,556
  General Dynamics Corp. 3.625% 4/1/30 21,607 24,776
  General Dynamics Corp. 2.250% 6/1/31 10,000 10,442
  General Electric Co. 3.450% 5/1/27 14,365 15,927
  General Electric Co. 3.625% 5/1/30 23,090 26,029
  General Electric Co. 6.750% 3/15/32 15,465 21,601
7 H&E Equipment Services Inc. 3.875% 12/15/28 3,625 3,597
10 Heathrow Funding Ltd. 6.750% 12/3/28 7,165 12,565
8 Heathrow Funding Ltd. 1.500% 2/11/30 800 993
  Honeywell International Inc. 2.700% 8/15/29 14,138 15,364
73
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Honeywell International Inc. 1.950% 6/1/30 9,459 9,740
  Hubbell Inc. 2.300% 3/15/31 15,000 15,329
  Huntington Ingalls Industries Inc. 3.483% 12/1/27 18,000 19,758
  Huntington Ingalls Industries Inc. 4.200% 5/1/30 3,000 3,465
7 Interchile SA 4.500% 6/30/56 15,000 16,087
  Johnson Controls International plc 3.900% 2/14/26 2,621 2,918
8 Johnson Controls International plc / Tyco Fire & Security Finance SCA 1.000% 9/15/32 800 992
  L3Harris Technologies Inc. 3.850% 12/15/26 26,665 30,091
  L3Harris Technologies Inc. 4.400% 6/15/28 36,284 42,379
  L3Harris Technologies Inc. 4.400% 6/15/28 273 319
  L3Harris Technologies Inc. 2.900% 12/15/29 4,831 5,200
  L3Harris Technologies Inc. 1.800% 1/15/31 26,540 26,092
  Lennox International Inc. 1.700% 8/1/27 7,000 7,067
  Lockheed Martin Corp. 1.850% 6/15/30 7,138 7,262
9 Lonsdale Finance Pty Ltd. 2.450% 11/20/26 2,500 1,905
7 Madison IAQ LLC 4.125% 6/30/28 2,375 2,379
7 Madison IAQ LLC 5.875% 6/30/29 2,363 2,390
7 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. 6.500% 6/20/27 46,176 50,263
7 Mueller Water Products Inc. 4.000% 6/15/29 1,600 1,656
  Norfolk Southern Corp. 3.800% 8/1/28 10,803 12,358
  Norfolk Southern Corp. 2.300% 5/15/31 15,000 15,508
  Northrop Grumman Corp. 3.200% 2/1/27 311 340
  Northrop Grumman Corp. 3.250% 1/15/28 77,009 84,680
  Northrop Grumman Corp. 4.400% 5/1/30 32,630 39,054
  Otis Worldwide Corp. 2.293% 4/5/27 14,120 14,833
  Otis Worldwide Corp. 2.565% 2/15/30 25,769 27,192
9 Pacific National Finance Pty Ltd. 3.700% 9/24/29 12,700 9,646
7 Penske Truck Leasing Co. LP / PTL Finance Corp. 4.200% 4/1/27 19,467 22,130
9 Qantas Airways Ltd. 4.750% 10/12/26 25,000 20,433
  Raytheon Technologies Corp. 3.500% 3/15/27 40,249 44,739
  Raytheon Technologies Corp. 3.125% 5/4/27 59,338 64,873
  Raytheon Technologies Corp. 4.125% 11/16/28 28,670 33,270
  Raytheon Technologies Corp. 2.250% 7/1/30 8,511 8,773
  Republic Services Inc. 3.950% 5/15/28 2,000 2,294
  Republic Services Inc. 1.750% 2/15/32 21,900 21,344
7 Rolls-Royce plc 5.750% 10/15/27 6,236 6,832
7 Siemens Financieringsmaatschappij NV 1.700% 3/11/28 25,000 25,449
  Southwest Airlines Co. 7.375% 3/1/27 4,930 6,279
  Southwest Airlines Co. 5.125% 6/15/27 31,304 37,041
  Southwest Airlines Co. 3.450% 11/16/27 3,800 4,160
  Southwest Airlines Co. 2.625% 2/10/30 19,989 20,764
  Stanley Black & Decker Inc. 2.300% 3/15/30 44,607 46,873
  Teledyne Technologies Inc. 2.250% 4/1/28 34,661 35,853
  Teledyne Technologies Inc. 2.750% 4/1/31 15,000 15,771
7 TransDigm Inc. 8.000% 12/15/25 1,030 1,108
7 TransDigm Inc. 6.250% 3/15/26 7,569 7,947
  TransDigm Inc. 5.500% 11/15/27 3,009 3,107
7 TransDigm Inc. 4.875% 5/1/29 4,880 4,907
6,9 Transurban Queensland Finance Pty Ltd., 3M Australian Bank Bill Rate + 2.050% 2.072% 12/16/24 16,000 12,150
  Tyco Electronics Group SA 3.700% 2/15/26 25,054 27,588
  Tyco Electronics Group SA 3.125% 8/15/27 24,541 26,794
  Union Pacific Corp. 2.150% 2/5/27 43,336 45,349
  Union Pacific Corp. 3.000% 4/15/27 7,272 7,940
  Union Pacific Corp. 3.950% 9/10/28 17,542 20,280
  Union Pacific Corp. 3.700% 3/1/29 5,149 5,860
  Union Pacific Corp. 2.375% 5/20/31 20,000 20,809
4 United Airlines Class AA Series 2019-2 Pass Through Trust 5.875% 4/15/29 32,462 36,039
  United Airlines Holdings Inc. 4.875% 1/15/25 1,445 1,481
7 United Airlines Inc. 4.375% 4/15/26 4,855 4,995
74
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 United Airlines Inc. 4.625% 4/15/29 4,865 5,006
  United Rentals North America Inc. 3.875% 2/15/31 3,148 3,240
15 United Rentals North America Inc. 3.750% 1/15/32 1,570 1,570
  Waste Management Inc. 3.150% 11/15/27 491 542
  Waste Management Inc. 1.150% 3/15/28 14,865 14,579
  Waste Management Inc. 2.000% 6/1/29 15,320 15,706
  Waste Management Inc. 1.500% 3/15/31 17,800 17,211
7 WESCO Distribution Inc. 7.250% 6/15/28 4,463 4,972
            2,153,974
Materials (2.0%)
  Amcor Flexibles North America Inc. 2.690% 5/25/31 20,000 20,884
7 Arconic Corp. 6.000% 5/15/25 770 814
7 Arconic Rolled Products Corp. 6.125% 2/15/28 1,305 1,395
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 5.250% 4/30/25 1,839 1,919
7 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 4.125% 8/15/26 2,510 2,590
7 Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.750% 6/15/27 1,319 1,391
  Ball Corp. 5.000% 3/15/22 940 962
  Ball Corp. 2.875% 8/15/30 789 781
7 Berry Global Inc. 1.570% 1/15/26 28,476 28,686
7 Berry Global Inc. 4.875% 7/15/26 4,147 4,374
7 Berry Global Inc. 5.625% 7/15/27 5,440 5,741
7 Big River Steel LLC / BRS Finance Corp. 6.625% 1/31/29 2,784 3,058
7 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.400% 12/1/26 36,416 40,298
7 Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.700% 6/1/28 23,646 26,765
  Dow Chemical Co. 4.800% 11/30/28 4,000 4,844
  Dow Chemical Co. 2.100% 11/15/30 17,500 17,690
  DuPont de Nemours Inc. 4.725% 11/15/28 14,000 16,812
  Ecolab Inc. 3.250% 12/1/27 3,928 4,370
  Ecolab Inc. 1.300% 1/30/31 25,350 24,574
7 Element Solutions Inc. 3.875% 9/1/28 1,885 1,925
  FMC Corp. 3.200% 10/1/26 14,475 15,708
7 FMG Resources August 2006 Pty Ltd. 4.500% 9/15/27 550 599
  Freeport-McMoRan Inc. 4.125% 3/1/28 7,775 8,137
  Freeport-McMoRan Inc. 4.375% 8/1/28 4,405 4,660
  Freeport-McMoRan Inc. 4.250% 3/1/30 1,580 1,707
  Freeport-McMoRan Inc. 4.625% 8/1/30 4,130 4,532
  Freeport-McMoRan Inc. 5.450% 3/15/43 1,230 1,580
7 Georgia-Pacific LLC 2.100% 4/30/27 51,652 53,887
7 Georgia-Pacific LLC 2.300% 4/30/30 7,000 7,279
8 Glencore Capital Finance DAC 1.125% 3/10/28 550 674
  Glencore Capital Finance DAC 1.250% 3/1/33 7,400 8,850
10 Glencore Finance Europe Ltd. 6.000% 4/3/22 10,730 15,442
7 Graphic Packaging International LLC 3.500% 3/15/28 2,607 2,645
7 Graphic Packaging International LLC 3.500% 3/1/29 977 973
7 Hudbay Minerals Inc. 4.500% 4/1/26 2,585 2,631
  Huntsman International LLC 2.950% 6/15/31 10,000 10,336
7 INEOS Quattro Finance 2 plc 3.375% 1/15/26 1,085 1,092
7 Ingevity Corp. 3.875% 11/1/28 1,485 1,485
7 Kraton Polymers LLC / Kraton Polymers Capital Corp. 4.250% 12/15/25 1,105 1,131
  LYB International Finance II BV 3.500% 3/2/27 12,183 13,423
  LYB International Finance III LLC 3.375% 5/1/30 40,010 44,257
  Martin Marietta Materials Inc. 2.400% 7/15/31 25,000 25,684
  Newmont Corp. 2.800% 10/1/29 37,675 40,094
  Newmont Corp. 2.250% 10/1/30 34,620 35,207
  Nucor Corp. 2.700% 6/1/30 21,060 22,347
  Nutrien Ltd. 4.200% 4/1/29 5,695 6,633
7 OCI NV 5.250% 11/1/24 2,385 2,454
7 OCI NV 4.625% 10/15/25 860 891
7 OCP SA 5.125% 6/23/51 6,520 6,653
  Packaging Corp. of America 3.000% 12/15/29 17,944 19,262
75
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  PPG Industries Inc. 2.800% 8/15/29 5,000 5,357
  PPG Industries Inc. 2.550% 6/15/30 6,435 6,789
  Praxair Inc. 1.100% 8/10/30 5,570 5,334
7 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 4.000% 10/15/27 3,015 3,011
  Rio Tinto Finance USA Ltd. 7.125% 7/15/28 2,000 2,736
  RPM International Inc. 3.750% 3/15/27 15,392 17,010
  RPM International Inc. 4.550% 3/1/29 15,250 17,791
  Sherwin-Williams Co. 3.450% 6/1/27 25,331 28,151
  Sherwin-Williams Co. 2.950% 8/15/29 18,434 20,020
  Sherwin-Williams Co. 2.300% 5/15/30 4,875 5,041
  Steel Dynamics Inc. 5.000% 12/15/26 510 531
  Steel Dynamics Inc. 1.650% 10/15/27 14,000 14,102
  Steel Dynamics Inc. 3.450% 4/15/30 32,200 35,624
7 Trivium Packaging Finance BV 5.500% 8/15/26 910 953
  United States Steel Corp. 6.875% 3/1/29 4,794 5,206
  Westrock Co. 4.000% 3/15/28 6,350 7,240
  WRKCo Inc. 3.375% 9/15/27 3,150 3,469
  WRKCo Inc. 3.900% 6/1/28 12,616 14,369
            762,860
Real Estate (6.1%)
  Agree LP 2.000% 6/15/28 28,750 28,973
  Agree LP 2.900% 10/1/30 3,500 3,717
  Agree LP 2.600% 6/15/33 11,220 11,405
10 Akelius Residential Property AB 2.375% 8/15/25 12,654 18,419
  Alexandria Real Estate Equities Inc. 3.950% 1/15/28 1,975 2,255
  Alexandria Real Estate Equities Inc. 2.750% 12/15/29 22,905 24,333
  Alexandria Real Estate Equities Inc. 4.900% 12/15/30 347 430
  Alexandria Real Estate Equities Inc. 2.000% 5/18/32 10,000 9,980
  Alexandria Real Estate Equities Inc. 1.875% 2/1/33 7,080 6,864
  American Assets Trust LP 3.375% 2/1/31 13,104 13,780
  American Campus Communities Operating Partnership LP 3.625% 11/15/27 880 969
  American Campus Communities Operating Partnership LP 2.850% 2/1/30 1,049 1,097
  American Homes 4 Rent LP 4.250% 2/15/28 13,372 15,364
  American Homes 4 Rent LP 2.375% 7/15/31 10,000 10,144
  American Tower Corp. 3.375% 10/15/26 26,348 28,849
  American Tower Corp. 2.750% 1/15/27 29,758 31,668
  American Tower Corp. 3.550% 7/15/27 11,315 12,527
  American Tower Corp. 3.600% 1/15/28 27,234 30,246
  American Tower Corp. 1.500% 1/31/28 39,887 39,349
  American Tower Corp. 3.950% 3/15/29 9,000 10,228
  American Tower Corp. 3.800% 8/15/29 2,500 2,818
  American Tower Corp. 2.900% 1/15/30 17,600 18,735
  American Tower Corp. 2.700% 4/15/31 20,000 20,999
8 American Tower Corp. 1.250% 5/21/33 7,000 8,662
10 Aroundtown SA 3.625% 4/10/31 4,049 6,332
8 Aroundtown SA 1.625% 12/31/99 400 466
  AvalonBay Communities Inc. 2.950% 5/11/26 19,800 21,487
  AvalonBay Communities Inc. 2.900% 10/15/26 6,500 7,027
  AvalonBay Communities Inc. 3.350% 5/15/27 12,040 13,331
  AvalonBay Communities Inc. 3.200% 1/15/28 18,750 20,594
  AvalonBay Communities Inc. 3.300% 6/1/29 5,000 5,563
  AvalonBay Communities Inc. 2.300% 3/1/30 14,752 15,313
8 Balder Finland Oyj 1.000% 1/20/29 11,953 14,248
  Balder Finland Oyj 1.375% 5/24/30 7,600 9,227
  Boston Properties LP 2.750% 10/1/26 9,952 10,693
  Boston Properties LP 3.400% 6/21/29 295 325
  Boston Properties LP 2.900% 3/15/30 16,800 17,835
  Boston Properties LP 3.250% 1/30/31 10,806 11,784
  Boston Properties LP 2.550% 4/1/32 20,000 20,545
  Brandywine Operating Partnership LP 3.950% 11/15/27 19,935 21,967
76
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Brixmor Operating Partnership LP 2.250% 4/1/28 13,000 13,376
  Brixmor Operating Partnership LP 4.125% 5/15/29 18,000 20,600
  Brixmor Operating Partnership LP 4.050% 7/1/30 23,018 26,266
  Corporate Office Properties LP 2.250% 3/15/26 28,603 29,627
  Corporate Office Properties LP 2.750% 4/15/31 26,710 27,371
  Crown Castle International Corp. 4.450% 2/15/26 37,166 42,143
  Crown Castle International Corp. 3.700% 6/15/26 9,005 9,978
  Crown Castle International Corp. 3.800% 2/15/28 8,758 9,851
  Crown Castle International Corp. 4.300% 2/15/29 19,930 23,197
  Crown Castle International Corp. 3.100% 11/15/29 30,966 33,314
  Crown Castle International Corp. 3.300% 7/1/30 10,589 11,534
  Crown Castle International Corp. 2.250% 1/15/31 13,715 13,755
7 CTR Partnership LP / CareTrust Capital Corp. 3.875% 6/30/28 2,049 2,101
  CubeSmart LP 4.375% 2/15/29 12,000 13,913
  Digital Realty Trust LP 4.750% 10/1/25 5,645 6,442
  Digital Realty Trust LP 3.700% 8/15/27 21,675 24,453
  Digital Realty Trust LP 3.600% 7/1/29 26,524 29,928
  Duke Realty LP 3.375% 12/15/27 12,983 14,411
  Duke Realty LP 2.875% 11/15/29 5,000 5,370
  Duke Realty LP 1.750% 2/1/31 10,000 9,767
  Equinix Inc. 2.900% 11/18/26 660 711
  Equinix Inc. 1.800% 7/15/27 15,000 15,307
  Equinix Inc. 2.000% 5/15/28 10,000 10,222
  Equinix Inc. 2.150% 7/15/30 10,000 10,072
  Equinix Inc. 2.500% 5/15/31 10,000 10,352
  ERP Operating LP 2.850% 11/1/26 8,211 8,854
  ERP Operating LP 3.500% 3/1/28 8,836 9,885
  ERP Operating LP 4.150% 12/1/28 27,426 31,896
  ERP Operating LP 3.000% 7/1/29 7,000 7,648
  ERP Operating LP 2.500% 2/15/30 12,570 13,232
  Essential Properties LP 2.950% 7/15/31 20,000 20,280
  Essex Portfolio LP 4.000% 3/1/29 426 489
  Essex Portfolio LP 3.000% 1/15/30 10,000 10,709
  Extra Space Storage LP 2.550% 6/1/31 20,000 20,496
8 Fastighets AB Balder 1.250% 1/28/28 510 621
  Federal Realty Investment Trust 3.250% 7/15/27 10,000 10,957
  Federal Realty Investment Trust 3.200% 6/15/29 10,000 10,888
  Federal Realty Investment Trust 3.500% 6/1/30 1,990 2,214
  Hammerson Ireland Finance DAC 1.750% 6/3/27 500 604
7 HAT Holdings I LLC / HAT Holdings II LLC 3.375% 6/15/26 2,040 2,061
  Healthcare Realty Trust Inc. 2.400% 3/15/30 1,000 1,027
  Healthcare Realty Trust Inc. 2.050% 3/15/31 15,000 14,889
  Healthcare Trust of America Holdings LP 3.100% 2/15/30 501 543
  Healthcare Trust of America Holdings LP 2.000% 3/15/31 25,349 25,084
  Healthpeak Properties Inc. 3.500% 7/15/29 12,542 14,103
  Healthpeak Properties Inc. 3.000% 1/15/30 14,900 16,139
  Healthpeak Properties Inc. 2.875% 1/15/31 4,507 4,816
  Highwoods Realty LP 3.875% 3/1/27 23,615 26,382
  Highwoods Realty LP 4.125% 3/15/28 500 568
  Highwoods Realty LP 4.200% 4/15/29 342 392
  Highwoods Realty LP 3.050% 2/15/30 12,090 12,918
  Highwoods Realty LP 2.600% 2/1/31 1,161 1,198
7 IIP Operating Partnership LP 5.500% 5/25/26 9,600 10,023
  Kilroy Realty LP 4.750% 12/15/28 6,705 7,925
  Kilroy Realty LP 4.250% 8/15/29 3,500 4,027
  Kilroy Realty LP 3.050% 2/15/30 9,887 10,576
  Kimco Realty Corp. 2.800% 10/1/26 7,468 8,007
  Kimco Realty Corp. 3.800% 4/1/27 12,979 14,555
  Kimco Realty Corp. 1.900% 3/1/28 31,105 31,431
  Kimco Realty Corp. 4.250% 4/1/45 7,500 8,835
  Life Storage LP 2.200% 10/15/30 7,000 7,072
77
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
8 Merlin Properties Socimi SA 1.875% 12/4/34 300 366
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625% 5/1/24 3,010 3,263
7 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.625% 6/15/25 3,550 3,777
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.500% 9/1/26 1,440 1,538
  Mid-America Apartments LP 4.000% 11/15/25 7,620 8,491
  Mid-America Apartments LP 3.950% 3/15/29 2,000 2,304
  Mid-America Apartments LP 2.750% 3/15/30 16,850 17,928
  Mid-America Apartments LP 1.700% 2/15/31 1,900 1,845
  National Retail Properties Inc. 4.000% 11/15/25 10,605 11,803
  National Retail Properties Inc. 3.500% 10/15/27 8,830 9,658
  National Retail Properties Inc. 4.300% 10/15/28 1,722 1,985
  National Retail Properties Inc. 2.500% 4/15/30 23,948 24,789
  Office Properties Income Trust 2.650% 6/15/26 2,100 2,159
  Omega Healthcare Investors Inc. 5.250% 1/15/26 11,324 12,990
  Omega Healthcare Investors Inc. 4.750% 1/15/28 10,137 11,593
  Omega Healthcare Investors Inc. 3.625% 10/1/29 10,000 10,820
  Omega Healthcare Investors Inc. 3.375% 2/1/31 18,910 19,725
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.125% 3/20/22 6,000 6,095
7 Ontario Teachers' Cadillac Fairview Properties Trust 3.875% 3/20/27 7,000 7,826
7 Ontario Teachers' Cadillac Fairview Properties Trust 4.125% 2/1/29 11,900 13,647
  Physicians Realty LP 3.950% 1/15/28 5,775 6,433
  Prologis LP 4.375% 2/1/29 15,000 17,897
  Prologis LP 2.250% 4/15/30 10,000 10,409
  Prologis LP 1.250% 10/15/30 10,000 9,598
  Public Storage 1.850% 5/1/28 34,290 35,136
  Public Storage 3.385% 5/1/29 18,527 20,802
  Public Storage 2.300% 5/1/31 13,330 13,899
7 Realogy Group LLC / Realogy Co-issuer Corp. 7.625% 6/15/25 610 658
  Realty Income Corp. 4.125% 10/15/26 45,976 52,415
  Realty Income Corp. 1.125% 7/13/27 26,300 36,425
  Realty Income Corp. 3.650% 1/15/28 18,669 21,144
  Regency Centers LP 2.950% 9/15/29 8,150 8,745
  Regency Centers LP 3.700% 6/15/30 22,150 25,034
  Rexford Industrial Realty LP 2.125% 12/1/30 5,488 5,411
  Sabra Health Care LP 5.125% 8/15/26 42,846 48,623
  Sabra Health Care LP 3.900% 10/15/29 21,580 23,055
7 Sba Communications Corp. 3.125% 2/1/29 5,310 5,218
8 Simon International Finance SCA 1.125% 3/19/33 17,800 21,860
  Simon Property Group LP 3.250% 11/30/26 24,342 26,776
  Simon Property Group LP 3.375% 6/15/27 21,390 23,659
  Simon Property Group LP 3.375% 12/1/27 20,559 22,766
  Simon Property Group LP 1.750% 2/1/28 29,800 30,042
  Simon Property Group LP 2.450% 9/13/29 18,700 19,467
  Simon Property Group LP 2.650% 7/15/30 17,630 18,608
  Simon Property Group LP 2.200% 2/1/31 21,649 21,791
  Simon Property Group LP 3.250% 9/13/49 5,000 5,256
  Spirit Realty LP 2.100% 3/15/28 10,000 10,126
  STORE Capital Corp. 2.750% 11/18/30 7,000 7,210
  Sun Communities Operating LP 2.700% 7/15/31 10,000 10,247
  UDR Inc. 2.950% 9/1/26 1,900 2,047
  UDR Inc. 1.900% 3/15/33 10,000 9,587
7 Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC 7.875% 2/15/25 1,520 1,619
7 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC 4.750% 4/15/28 1,885 1,893
7 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC 6.500% 2/15/29 2,241 2,273
  Ventas Realty LP 3.250% 10/15/26 5,820 6,365
  Ventas Realty LP 3.850% 4/1/27 3,900 4,399
  VEREIT Operating Partnership LP 4.875% 6/1/26 2,600 3,020
  VEREIT Operating Partnership LP 3.950% 8/15/27 14,815 16,884
78
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  VEREIT Operating Partnership LP 3.400% 1/15/28 11,920 13,145
  VEREIT Operating Partnership LP 2.200% 6/15/28 7,500 7,743
  VEREIT Operating Partnership LP 3.100% 12/15/29 15,000 16,292
  VEREIT Operating Partnership LP 2.850% 12/15/32 10,097 10,827
8 Vicinity Centres Trust 1.125% 11/7/29 17,486 21,759
  Vornado Realty LP 3.400% 6/1/31 10,250 10,784
  Welltower Inc. 4.250% 4/1/26 6,375 7,222
  Welltower Inc. 2.700% 2/15/27 10,970 11,722
  Welltower Inc. 4.250% 4/15/28 2,845 3,298
  Welltower Inc. 2.050% 1/15/29 20,000 20,332
  Welltower Inc. 4.125% 3/15/29 435 500
  Welltower Inc. 3.100% 1/15/30 5,000 5,400
10 Westfield America Management Ltd. 2.125% 3/30/25 21,958 31,258
  Weyerhaeuser Co. 4.000% 11/15/29 15,516 17,886
  Weyerhaeuser Co. 4.000% 4/15/30 1,605 1,846
            2,293,366
Technology (6.7%)
  Apple Inc. 3.350% 2/9/27 25,834 28,795
  Apple Inc. 3.200% 5/11/27 55,622 61,704
  Apple Inc. 2.900% 9/12/27 37,615 41,240
  Apple Inc. 1.200% 2/8/28 32,420 32,164
  Apple Inc. 1.400% 8/5/28 115,000 115,123
  Apple Inc. 1.650% 2/8/31 34,280 34,154
  Applied Materials Inc. 3.300% 4/1/27 9,037 10,048
  Autodesk Inc. 3.500% 6/15/27 9,000 10,034
  Autodesk Inc. 2.850% 1/15/30 15,692 16,801
  Automatic Data Processing Inc. 1.700% 5/15/28 26,610 27,198
  Automatic Data Processing Inc. 1.250% 9/1/30 12,000 11,622
  Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.875% 1/15/27 55,328 61,419
  Broadcom Inc. 4.250% 4/15/26 31,027 34,828
  Broadcom Inc. 3.459% 9/15/26 20,302 22,163
7 Broadcom Inc. 1.950% 2/15/28 10,518 10,588
  Broadcom Inc. 4.110% 9/15/28 29,411 33,195
  Broadcom Inc. 4.750% 4/15/29 19,792 23,213
  Broadcom Inc. 5.000% 4/15/30 37,571 44,829
  Broadcom Inc. 4.150% 11/15/30 30,000 34,053
7 Broadcom Inc. 2.450% 2/15/31 28,484 28,412
  CDW LLC / CDW Finance Corp. 4.125% 5/1/25 1,645 1,708
  Cisco Systems Inc. 5.500% 1/15/40 5,000 7,091
7 Clarivate Science Holdings Corp. 3.875% 6/30/28 2,050 2,068
7 Clarivate Science Holdings Corp. 4.875% 6/30/29 3,170 3,204
7 CommScope Inc. 6.000% 3/1/26 1,210 1,268
7 CommScope Inc. 8.250% 3/1/27 2,130 2,254
7 CommScope Inc. 7.125% 7/1/28 3,478 3,750
  Dell International LLC / EMC Corp. 6.020% 6/15/26 54,270 65,327
  Dell International LLC / EMC Corp. 4.900% 10/1/26 4,645 5,408
  Dell International LLC / EMC Corp. 6.100% 7/15/27 20,910 25,844
  Dell International LLC / EMC Corp. 5.300% 10/1/29 70,197 85,930
  Dell International LLC / EMC Corp. 6.200% 7/15/30 65,551 85,161
7 Entegris Inc. 3.625% 5/1/29 2,275 2,334
  Equifax Inc. 3.100% 5/15/30 11,000 12,001
  Fidelity National Information Services Inc. 1.150% 3/1/26 20,000 20,006
  Fidelity National Information Services Inc. 1.650% 3/1/28 25,250 25,500
  Fidelity National Information Services Inc. 2.250% 3/1/31 15,692 15,954
  Fiserv Inc. 3.200% 7/1/26 51,918 56,546
  Fiserv Inc. 2.250% 6/1/27 4,310 4,512
  Fiserv Inc. 3.500% 7/1/29 38,450 42,902
  Fiserv Inc. 2.650% 6/1/30 11,950 12,566
  Global Payments Inc. 1.200% 3/1/26 10,000 9,985
  Global Payments Inc. 3.200% 8/15/29 5,480 5,927
  Global Payments Inc. 2.900% 5/15/30 250 265
79
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  HP Inc. 3.000% 6/17/27 10,130 10,933
  HP Inc. 3.400% 6/17/30 17,544 18,840
7 HP Inc. 2.650% 6/17/31 52,881 53,368
  Intel Corp. 3.750% 3/25/27 5,340 6,057
  Intel Corp. 2.450% 11/15/29 58,413 61,631
  Intel Corp. 3.900% 3/25/30 6,363 7,422
  Intel Corp. 4.750% 3/25/50 2,000 2,686
  International Business Machines Corp. 1.700% 5/15/27 1,271 1,299
  International Business Machines Corp. 3.500% 5/15/29 35,444 39,881
  International Business Machines Corp. 1.950% 5/15/30 22,000 22,154
  Juniper Networks Inc. 3.750% 8/15/29 31,207 35,062
  Juniper Networks Inc. 2.000% 12/10/30 20,554 20,074
  Mastercard Inc. 3.300% 3/26/27 16,800 18,761
  Mastercard Inc. 2.950% 6/1/29 19,000 21,059
  Motorola Solutions Inc. 2.750% 5/24/31 25,000 25,973
7 MSCI Inc. 3.625% 9/1/30 2,465 2,593
7 MSCI Inc. 3.625% 11/1/31 3,635 3,849
7 Nielsen Finance LLC / Nielsen Finance Co. 5.625% 10/1/28 2,915 3,079
  NVIDIA Corp. 2.850% 4/1/30 20,000 21,830
  NVIDIA Corp. 2.000% 6/15/31 20,000 20,307
7 NXP BV / NXP Funding LLC 5.350% 3/1/26 18,000 21,087
7 NXP BV / NXP Funding LLC 5.550% 12/1/28 809 1,002
7 NXP BV / NXP Funding LLC / NXP USA Inc. 3.400% 5/1/30 3,456 3,824
7 NXP BV / NXP Funding LLC / NXP USA Inc. 2.500% 5/11/31 40,000 41,264
  Oracle Corp. 2.650% 7/15/26 40,802 43,320
  Oracle Corp. 2.800% 4/1/27 293 313
  Oracle Corp. 3.250% 11/15/27 14,885 16,275
  Oracle Corp. 2.300% 3/25/28 92,518 95,979
  Oracle Corp. 2.950% 4/1/30 70,260 75,016
  Oracle Corp. 2.875% 3/25/31 90,937 96,155
  Oracle Corp. 3.600% 4/1/50 2,000 2,096
  PayPal Holdings Inc. 2.850% 10/1/29 6,007 6,546
  QUALCOMM Inc. 3.250% 5/20/27 68,234 75,510
  QUALCOMM Inc. 1.300% 5/20/28 36,811 36,529
  QUALCOMM Inc. 1.650% 5/20/32 15,336 14,955
  RELX Capital Inc. 3.000% 5/22/30 8,800 9,498
  Roper Technologies Inc. 3.800% 12/15/26 5,250 5,899
  Roper Technologies Inc. 1.400% 9/15/27 16,317 16,256
  Roper Technologies Inc. 2.950% 9/15/29 4,250 4,599
  Roper Technologies Inc. 2.000% 6/30/30 48,380 48,468
  S&P Global Inc. 2.950% 1/22/27 10,649 11,597
7 Sabre GLBL Inc. 9.250% 4/15/25 1,400 1,638
7 Sabre GLBL Inc. 7.375% 9/1/25 1,628 1,740
  salesforce.com Inc. 1.950% 7/15/31 17,500 17,812
7 Seagate HDD Cayman 3.125% 7/15/29 2,530 2,480
7 Seagate HDD Cayman 4.125% 1/15/31 4,100 4,294
  Skyworks Solutions Inc. 3.000% 6/1/31 46,290 48,478
7 Square Inc. 2.750% 6/1/26 1,175 1,201
7 Square Inc. 3.500% 6/1/31 2,395 2,484
7 SS&C Technologies Inc. 5.500% 9/30/27 3,318 3,509
  Texas Instruments Inc. 2.250% 9/4/29 2,000 2,110
  Texas Instruments Inc. 1.750% 5/4/30 10,755 10,881
  Verisk Analytics Inc. 4.125% 3/15/29 22,755 26,303
  Visa Inc. 2.050% 4/15/30 12,752 13,258
  VMware Inc. 1.400% 8/15/26 16,000 16,056
  VMware Inc. 4.650% 5/15/27 9,800 11,398
  VMware Inc. 3.900% 8/21/27 72,562 81,708
  VMware Inc. 1.800% 8/15/28 10,465 10,498
  VMware Inc. 4.700% 5/15/30 40,665 48,935
  VMware Inc. 2.200% 8/15/31 12,800 12,802
80
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Western Digital Corp. 4.750% 2/15/26 4,935 5,480
            2,525,205
Utilities (5.3%)
  AEP Transmission Co. LLC 3.100% 12/1/26 14,300 15,659
  AEP Transmission Co. LLC 3.650% 4/1/50 6,560 7,702
6,9 AGI Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.000% 1.025% 1/8/26 22,260 16,388
  Alabama Power Co. 3.700% 12/1/47 435 506
  Alabama Power Co. 4.300% 7/15/48 100 127
  Ameren Corp. 3.500% 1/15/31 15,245 16,993
  Ameren Illinois Co. 1.550% 11/15/30 9,785 9,573
  Ameren Illinois Co. 2.900% 6/15/51 2,630 2,741
  Appalachian Power Co. 3.300% 6/1/27 2,860 3,132
8 APT Pipelines Ltd. 1.250% 3/15/33 5,800 7,057
  Atmos Energy Corp. 3.000% 6/15/27 7,165 7,825
  Atmos Energy Corp. 4.300% 10/1/48 590 745
  Atmos Energy Corp. 3.375% 9/15/49 330 367
9 Ausgrid Finance Pty Ltd. 1.814% 2/5/27 4,550 3,322
6,9 Ausgrid Finance Pty Ltd., 3M Australian Bank Bill Rate + 1.220% 1.241% 10/30/24 9,160 6,782
  Baltimore Gas and Electric Co. 2.900% 6/15/50 5,000 5,131
  Berkshire Hathaway Energy Co. 3.250% 4/15/28 10,955 12,185
  Berkshire Hathaway Energy Co. 3.700% 7/15/30 19,800 22,734
  Berkshire Hathaway Energy Co. 5.150% 11/15/43 667 898
  Berkshire Hathaway Energy Co. 2.850% 5/15/51 5,050 5,026
8 Cadent Finance plc 0.750% 3/11/32 500 604
7 Calpine Corp. 4.500% 2/15/28 6,811 7,019
  CenterPoint Energy Houston Electric LLC 2.350% 4/1/31 9,920 10,374
  CenterPoint Energy Houston Electric LLC 3.350% 4/1/51 199 225
  CenterPoint Energy Inc. 4.250% 11/1/28 9,811 11,377
  CenterPoint Energy Inc. 2.950% 3/1/30 1,195 1,281
  CenterPoint Energy Inc. 2.650% 6/1/31 21,800 22,748
  Clearway Energy Operating LLC 5.000% 9/15/26 2,090 2,148
7 Clearway Energy Operating LLC 4.750% 3/15/28 1,725 1,828
  CMS Energy Corp. 3.450% 8/15/27 455 507
7 Comision Federal de Electricidad 4.677% 2/9/51 752 736
  Commonwealth Edison Co. 2.950% 8/15/27 2,000 2,180
  Commonwealth Edison Co. 2.200% 3/1/30 2,900 3,007
  Commonwealth Edison Co. 3.750% 8/15/47 281 332
  Commonwealth Edison Co. 4.000% 3/1/48 246 302
  Commonwealth Edison Co. 3.000% 3/1/50 127 134
  Commonwealth Edison Co. 3.125% 3/15/51 8,131 8,796
  Connecticut Light and Power Co. 3.200% 3/15/27 11,040 12,240
  Consolidated Edison Co. of New York Inc. 3.350% 4/1/30 10,000 11,197
  Consumers Energy Co. 3.500% 8/1/51 134 157
9 DBNGP Finance Co. Pty Ltd. 4.225% 5/28/25 30,550 24,672
  Dominion Energy Inc. 2.850% 8/15/26 5,000 5,372
  Dominion Energy Inc. 4.250% 6/1/28 3,590 4,168
  Dominion Energy Inc. 3.375% 4/1/30 37,494 41,578
  DTE Electric Co. 1.900% 4/1/28 4,985 5,142
  DTE Electric Co. 2.250% 3/1/30 24,694 25,754
  DTE Electric Co. 2.625% 3/1/31 14,916 16,035
  DTE Electric Co. 4.300% 7/1/44 4,144 5,232
  DTE Electric Co. 3.700% 3/15/45 397 465
  DTE Electric Co. 4.050% 5/15/48 109 136
  DTE Electric Co. 3.950% 3/1/49 449 555
  DTE Electric Co. 2.950% 3/1/50 212 224
  Duke Energy Carolinas LLC 3.950% 11/15/28 20,378 23,655
  Duke Energy Carolinas LLC 2.450% 8/15/29 11,375 12,002
  Duke Energy Carolinas LLC 2.450% 2/1/30 21,890 23,014
  Duke Energy Carolinas LLC 2.550% 4/15/31 10,000 10,585
  Duke Energy Carolinas LLC 4.250% 12/15/41 699 864
  Duke Energy Carolinas LLC 3.875% 3/15/46 599 710
81
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Duke Energy Carolinas LLC 3.700% 12/1/47 1,222 1,422
  Duke Energy Carolinas LLC 3.950% 3/15/48 818 984
  Duke Energy Corp. 2.550% 6/15/31 40,000 41,366
  Duke Energy Florida LLC 3.200% 1/15/27 17,455 19,229
  Duke Energy Florida LLC 3.800% 7/15/28 28,923 33,146
  Duke Energy Florida LLC 2.500% 12/1/29 25,380 27,089
  Duke Energy Florida LLC 1.750% 6/15/30 34,710 34,529
  Duke Energy Florida LLC 6.400% 6/15/38 100 150
  Duke Energy Indiana LLC 3.250% 10/1/49 307 333
  Duke Energy Ohio Inc. 2.125% 6/1/30 10,000 10,185
  Duke Energy Progress LLC 3.700% 9/1/28 5,781 6,584
  Duke Energy Progress LLC 3.450% 3/15/29 4,221 4,758
  Duke Energy Progress LLC 4.200% 8/15/45 301 373
  Duke Energy Progress LLC 2.500% 8/15/50 4,988 4,778
  Edison International 5.750% 6/15/27 9,000 10,372
  Edison International 4.125% 3/15/28 2,000 2,165
7 Electricite de France SA 4.500% 9/21/28 5,000 5,863
8 Elenia Finance Oyj 0.375% 2/6/27 17,095 20,534
7 Enel Finance International NV 1.875% 7/12/28 20,000 20,244
  Enel SPA 1.875% 12/31/99 400 473
  Entergy Arkansas LLC 2.650% 6/15/51 5,827 5,711
  Entergy Corp. 1.900% 6/15/28 17,485 17,708
  Entergy Corp. 2.800% 6/15/30 21,235 22,520
  Entergy Corp. 2.400% 6/15/31 19,250 19,657
  Entergy Louisiana LLC 2.400% 10/1/26 18,176 19,246
  Entergy Louisiana LLC 3.120% 9/1/27 20,443 22,461
  Entergy Louisiana LLC 3.250% 4/1/28 8,150 9,008
  Entergy Louisiana LLC 1.600% 12/15/30 5,050 4,938
  Entergy Louisiana LLC 2.350% 6/15/32 6,000 6,199
  Entergy Louisiana LLC 4.200% 9/1/48 250 314
  Entergy Texas Inc. 4.000% 3/30/29 3,129 3,588
  Entergy Texas Inc. 1.750% 3/15/31 5,000 4,877
8 EP Infrastructure AS 1.816% 3/2/31 15,540 19,209
  Eurogrid GmbH 0.741% 4/21/33 400 490
  Evergy Inc. 2.900% 9/15/29 48,540 52,010
  Evergy Kansas Central Inc. 2.550% 7/1/26 16,615 17,698
  Evergy Kansas Central Inc. 3.100% 4/1/27 5,800 6,353
  Evergy Kansas Central Inc. 3.250% 9/1/49 5,000 5,413
  Eversource Energy 1.650% 8/15/30 9,145 8,933
  Exelon Corp. 3.950% 6/15/25 8,452 9,326
  Exelon Corp. 3.400% 4/15/26 2,845 3,120
  Exelon Corp. 4.050% 4/15/30 55,075 63,692
  FirstEnergy Corp. 4.650% 7/15/27 3,705 4,135
  FirstEnergy Corp. 2.650% 3/1/30 3,230 3,288
  FirstEnergy Corp. 3.400% 3/1/50 1,210 1,221
  Florida Power & Light Co. 4.125% 2/1/42 231 288
  Florida Power & Light Co. 3.700% 12/1/47 304 365
  Florida Power & Light Co. 3.950% 3/1/48 111 138
8 IE2 Holdco SAU 2.875% 6/1/26 26,500 35,205
  ITC Holdings Corp. 3.250% 6/30/26 9,700 10,602
  ITC Holdings Corp. 3.350% 11/15/27 18,745 20,651
  Kentucky Utilities Co. 5.125% 11/1/40 700 937
  Kentucky Utilities Co. 4.375% 10/1/45 201 251
  Kentucky Utilities Co. 3.300% 6/1/50 880 967
  MidAmerican Energy Co. 3.650% 4/15/29 6,315 7,235
  National Rural Utilities Cooperative Finance Corp. 3.400% 2/7/28 11,680 13,006
  National Rural Utilities Cooperative Finance Corp. 3.900% 11/1/28 13,055 15,034
  National Rural Utilities Cooperative Finance Corp. 3.700% 3/15/29 32,016 36,439
  Nevada Power Co. 2.400% 5/1/30 11,640 12,149
  NextEra Energy Capital Holdings Inc. 3.250% 4/1/26 3,636 3,966
  NextEra Energy Capital Holdings Inc. 1.900% 6/15/28 27,000 27,605
82
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  NextEra Energy Capital Holdings Inc. 3.500% 4/1/29 8,191 9,175
  NextEra Energy Capital Holdings Inc. 2.750% 11/1/29 12,000 12,829
  NextEra Energy Capital Holdings Inc. 2.250% 6/1/30 30,000 30,811
  Northern States Power Co. 3.600% 9/15/47 491 573
  NRG Energy Inc. 7.250% 5/15/26 4,850 5,044
  NRG Energy Inc. 6.625% 1/15/27 1,545 1,600
7 NRG Energy Inc. 2.450% 12/2/27 16,937 17,308
7 NRG Energy Inc. 3.625% 2/15/31 2,375 2,396
  NSTAR Electric Co. 3.250% 11/15/25 10,000 10,851
  NSTAR Electric Co. 3.200% 5/15/27 44,419 48,979
  NTPC Ltd. 4.250% 2/26/26 6,250 6,761
  Ohio Power Co. 1.625% 1/15/31 19,900 19,482
  Oncor Electric Delivery Co. LLC 3.700% 11/15/28 52,271 60,110
  Oncor Electric Delivery Co. LLC 5.750% 3/15/29 19,475 24,847
  Pacific Gas and Electric Co. 3.300% 12/1/27 15,000 15,409
  Pacific Gas and Electric Co. 2.500% 2/1/31 20,000 18,875
  Pacific Gas and Electric Co. 3.250% 6/1/31 20,000 19,715
  PacifiCorp 3.500% 6/15/29 19,585 22,068
  PacifiCorp 2.700% 9/15/30 13,815 14,752
7 Pattern Energy Operations LP / Pattern Energy Operations Inc. 4.500% 8/15/28 1,410 1,457
  PECO Energy Co. 3.900% 3/1/48 369 450
  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.125% 5/15/27 7,299 7,938
  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 5.450% 5/21/28 2,205 2,579
7,8 Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 1.875% 11/5/31 13,940 16,049
  Piedmont Natural Gas Co. Inc. 3.500% 6/1/29 20,625 22,935
  Public Service Co. of Colorado 3.600% 9/15/42 436 507
  Public Service Electric and Gas Co. 3.000% 5/15/27 4,700 5,138
  Public Service Electric and Gas Co. 3.700% 5/1/28 2,570 2,947
  Public Service Electric and Gas Co. 3.650% 9/1/28 3,270 3,733
  Public Service Electric and Gas Co. 3.200% 5/15/29 31,239 34,842
  Public Service Electric and Gas Co. 2.450% 1/15/30 7,500 7,943
  Public Service Electric and Gas Co. 3.800% 3/1/46 621 746
  Public Service Enterprise Group Inc. 1.600% 8/15/30 45,000 43,323
  Puget Energy Inc. 3.650% 5/15/25 13,665 14,814
  San Diego Gas & Electric Co. 4.500% 8/15/40 1,248 1,583
  Sempra Energy 3.250% 6/15/27 6,360 6,966
  Sempra Energy 3.400% 2/1/28 627 694
  Southern California Edison Co. 3.700% 8/1/25 13,871 15,188
  Southern California Edison Co. 1.200% 2/1/26 6,529 6,524
  Southern California Edison Co. 4.200% 3/1/29 9,000 10,286
  Southern California Edison Co. 2.250% 6/1/30 10,000 10,059
  Southern California Gas Co. 2.550% 2/1/30 5,790 6,087
  Southern Co. 1.750% 3/15/28 961 968
  Southern Co. 3.700% 4/30/30 2,415 2,712
  Southern Co. Gas Capital Corp. 3.250% 6/15/26 4,125 4,491
  Southern Co. Gas Capital Corp. 1.750% 1/15/31 10,833 10,552
  Southwestern Electric Power Co. 4.100% 9/15/28 26,793 30,941
  State Grid Overseas Investment 2014 Ltd. 4.125% 5/7/24 4,005 4,365
  State Grid Overseas Investment 2016 Ltd. 3.750% 5/2/23 5,245 5,527
  State Grid Overseas Investment 2016 Ltd. 3.500% 5/4/27 16,000 17,796
  Terna SPA 0.750% 7/24/32 700 854
  Union Electric Co. 2.950% 6/15/27 12,861 14,005
  Union Electric Co. 3.500% 3/15/29 8,552 9,631
  Union Electric Co. 2.950% 3/15/30 18,000 19,606
  Virginia Electric and Power Co. 3.500% 3/15/27 20,267 22,644
  Virginia Electric and Power Co. 8.875% 11/15/38 884 1,605
  Virginia Electric and Power Co. 4.000% 1/15/43 190 227
  Virginia Electric and Power Co. 4.650% 8/15/43 602 780
  Virginia Electric and Power Co. 3.800% 9/15/47 882 1,038
  Virginia Electric and Power Co. 3.300% 12/1/49 486 536
7 Vistra Operations Co. LLC 5.500% 9/1/26 2,379 2,451
83
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
7 Vistra Operations Co. LLC 5.625% 2/15/27 1,769 1,837
7 Vistra Operations Co. LLC 5.000% 7/31/27 995 1,028
7 Vistra Operations Co. LLC 4.375% 5/1/29 3,232 3,315
  WEC Energy Group Inc. 1.375% 10/15/27 35,000 34,739
  Wisconsin Electric Power Co. 1.700% 6/15/28 15,000 15,251
  Xcel Energy Inc. 4.000% 6/15/28 15,662 17,999
            1,992,049
Total Corporate Bonds (Cost $29,911,770) 31,064,234
Sovereign Bonds (4.3%)
7 Banque Ouest Africaine de Developpement 5.000% 7/27/27 1,329 1,477
7 Banque Ouest Africaine de Developpement 4.700% 10/22/31 4,150 4,535
7 CDP Financial Inc. 3.150% 7/24/24 8,000 8,626
  Corp. Financiera de Desarrollo SA 4.750% 7/15/25 5,382 5,892
7 Corp. Financiera de Desarrollo SA 2.400% 9/28/27 16,731 16,489
4 Dominican Republic 5.875% 4/18/24 1,800 1,903
  Dominican Republic 6.500% 2/15/48 879 968
7 Dominican Republic 5.875% 1/30/60 458 464
  Dominican Republic 5.875% 1/30/60 2,900 2,938
  Export-Import Bank of India 3.875% 3/12/24 3,900 4,162
  Export-Import Bank of India 3.375% 8/5/26 3,000 3,208
7 Export-Import Bank of India 3.875% 2/1/28 9,675 10,538
  Export-Import Bank of India 3.875% 2/1/28 10,000 10,892
  Federative Republic of Brazil 4.625% 1/13/28 19,621 21,293
  Federative Republic of Brazil 3.875% 6/12/30 6,922 6,991
  Federative Republic of Brazil 4.750% 1/14/50 5,296 5,097
  Fondo MIVIVIENDA SA 3.500% 1/31/23 12,050 12,421
7 Government of Bermuda 4.138% 1/3/23 10,964 11,531
7 Government of Bermuda 4.854% 2/6/24 3,517 3,873
  Government of Bermuda 4.854% 2/6/24 8,791 9,669
  Government of Bermuda 4.750% 2/15/29 12,860 15,136
7,8 Kingdom of Morocco 2.000% 9/30/30 28,190 33,288
7 Kingdom of Saudi Arabia 2.375% 10/26/21 785 788
  Kingdom of Saudi Arabia 2.375% 10/26/21 37,948 38,105
  Kingdom of Saudi Arabia 4.000% 4/17/25 59,870 66,047
  Korea Hydro & Nuclear Power Co. Ltd. 3.000% 9/19/22 2,800 2,881
  KSA Sukuk Ltd. 2.894% 4/20/22 12,050 12,248
  KSA Sukuk Ltd. 3.628% 4/20/27 75,706 83,508
  North American Development Bank 2.400% 10/26/22 343 349
7,8 North Macedonia 1.625% 3/10/28 9,000 10,622
  Panama Bonos del Tesoro 3.362% 6/30/31 49,448 49,947
7,8 Republic of Albania 3.500% 6/16/27 6,000 7,658
4 Republic of Azerbaijan 3.500% 9/1/32 22,952 23,831
  Republic of Chile 3.240% 2/6/28 29,287 31,903
  Republic of Chile 2.450% 1/31/31 15,588 15,938
8 Republic of Chile 1.300% 7/26/36 14,005 16,549
  Republic of Chile 3.100% 5/7/41 37,265 37,707
  Republic of Colombia 4.000% 2/26/24 15,248 15,989
  Republic of Colombia 4.500% 1/28/26 94,468 102,644
  Republic of Colombia 3.875% 4/25/27 35,925 38,018
  Republic of Colombia 3.000% 1/30/30 1,580 1,550
  Republic of Colombia 10.375% 1/28/33 31,960 47,861
  Republic of Colombia 5.000% 6/15/45 645 675
  Republic of Guatemala 4.500% 5/3/26 8,972 9,776
  Republic of Hungary 5.375% 2/21/23 28,264 30,455
  Republic of Hungary 5.750% 11/22/23 22,042 24,687
8 Republic of Hungary 1.125% 4/28/26 11,200 14,002
7 Republic of Indonesia 3.700% 1/8/22 3,124 3,164
  Republic of Indonesia 3.750% 4/25/22 87,775 89,864
  Republic of Indonesia 5.375% 10/17/23 6,400 7,068
  Republic of Indonesia 3.850% 7/18/27 5,000 5,578
84
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Republic of Lithuania 6.625% 2/1/22 12,000 12,368
  Republic of Panama 4.000% 9/22/24 6,360 6,910
  Republic of Panama 3.750% 3/16/25 28,263 30,701
  Republic of Panama 7.125% 1/29/26 15,019 18,654
  Republic of Panama 8.875% 9/30/27 1,350 1,867
  Republic of Panama 8.125% 4/28/34 9,236 13,340
4 Republic of Panama 4.500% 4/16/50 1,000 1,140
4 Republic of Panama 3.870% 7/23/60 5,519 5,693
  Republic of Paraguay 5.000% 4/15/26 5,000 5,638
  Republic of Peru 7.350% 7/21/25 9,030 11,009
  Republic of Peru 2.392% 1/23/26 10,152 10,406
  Republic of Serbia 7.250% 9/28/21 1,739 1,758
8 Republic of Serbia 3.125% 5/15/27 48,031 63,406
  Republic of Slovenia 5.500% 10/26/22 36,251 38,565
  Republic of Turkey 3.250% 3/23/23 6,630 6,631
  Republic of Turkey 5.750% 5/11/47 790 683
7 Republic of Uzbekistan 3.900% 10/19/31 18,000 17,965
  Romania 4.375% 8/22/23 1,000 1,074
7,8 Romania 1.750% 7/13/30 19,120 22,699
7,8 Romania 2.000% 4/14/33 14,000 16,399
8 Romania 2.625% 12/2/40 3,506 4,067
7,8 Romania 2.750% 4/14/41 5,410 6,298
7,8 Romania 2.875% 4/13/42 7,770 9,089
  Sharjah Sukuk Program Ltd. 3.854% 4/3/26 3,720 3,986
  Sharjah Sukuk Program Ltd. 2.942% 6/10/27 22,223 22,713
  Socialist Republic of Vietnam 4.800% 11/19/24 10,000 11,120
16 SoQ Sukuk A QSC 3.241% 1/18/23 1,000 1,042
  State of Israel 2.750% 7/3/30 13,800 14,861
  State of Israel 3.375% 1/15/50 1,871 2,049
  State of Israel 3.800% 5/13/60 18,330 21,344
  State of Israel 4.500% 4/3/20 8,277 10,716
  State of Qatar 3.875% 4/23/23 31,735 33,599
8 United Mexican States 3.625% 4/9/29 13,601 18,829
  United Mexican States 4.500% 4/22/29 141,380 161,054
  United Mexican States 3.250% 4/16/30 37,453 39,047
  United Mexican States 3.771% 5/24/61 3,116 2,921
  United Mexican States 3.750% 4/19/71 2,700 2,488
Total Sovereign Bonds (Cost $1,586,519) 1,632,932
Taxable Municipal Bonds (0.1%)
17 New Jersey Economic Development Authority Appropriations Revenue 7.425% 2/15/29 10,675 13,953
6 New Mexico Educational Assistance Foundation Student Loan Revenue, 1M USD LIBOR + 0.700% 0.800% 1/2/25 698 698
  New York City Transitional Finance Authority Future Tax Secured Income Tax Revenue 5.125% 2/1/24 1,500 1,662
  New York State Dormitory Authority Lease Revenue 3.892% 12/1/24 2,000 2,219
  New York State Urban Development Corp. Income Tax Revenue 3.900% 3/15/33 400 453
  New York Transportation Development Corp. Miscellaneous Revenue 4.248% 9/1/35 4,765 5,322
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 5.859% 12/1/24 2,000 2,336
  San Diego County Regional Airport Authority Port, Airport & Marina Revenue 5.594% 7/1/43 6,200 6,963
  Sonoma County CA Miscellaneous Revenue 6.000% 12/1/29 4,540 5,555
  Texas GO 3.682% 8/1/24 2,000 2,068
  Texas Private Activity Bond Surface Transportation Corp. Highway Revenue 3.922% 12/31/49 8,550 9,832
Total Taxable Municipal Bonds (Cost $46,417) 51,061
85
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon   Shares Market
Value
($000)
Temporary Cash Investments (0.6%)
Money Market Fund (0.6%)
18 Vanguard Market Liquidity Fund (Cost $217,927) 0.064%   2,179,326 217,932
    Counterparty Expiration
Date 		Exercise
Rate 		Notional
Amount on
Underlying
Swap
($000) 		 
Options Purchased (0.0%)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually NGFP 1/13/23 0.603% 317,328 918
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.608% Semiannually CITNA 1/17/23 0.608% 318,214 932
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.603% Semiannually BNPSW 2/3/23 0.603% 316,703 902
  2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 0.630% Semiannually MSCS 2/3/23 0.630% 316,703 979
            3,731
Put Swaptions
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 27,890 17
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 18,510 12
86
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
    Counterparty Expiration
Date 		Exercise
Rate 		Notional
Amount on
Underlying
Swap
($000) 		Market
Value
($000)
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 13,090 8
            37
Total Options Purchased (Cost $6,122) 3,768
Total Investments (99.3%) (Cost $36,204,231) 37,535,592
Other Assets and Liabilities—Net (0.7%) 260,749
Net Assets (100%) 37,796,341
Cost is in $000.      
1 Securities with a value of $43,386,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $16,269,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
3 Securities with a value of $1,230,000 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 Variable-rate security; rate shown is effective rate at period end. Certain variable-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, 2021, the aggregate value was $3,487,764,000, representing 9.2% of net assets.
8 Face amount denominated in euro.
9 Face amount denominated in Australian dollars.
10 Face amount denominated in British pounds.
11 Guaranteed by the Republic of Azerbaijan.
12 Guaranteed by multiple countries.
13 Non-income-producing security—security in default.
14 Security value determined using significant unobservable inputs.
15 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2021.
16 Guaranteed by the State of Qatar.
17 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
18 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
  12M—12-month.
  1M—1-month.
  1YR—1-year.
  3M—3-month.
  BNPSW—BNP Paribas.
  CITNA—Citibank NA.
  CMT—Constant Maturing Treasury Rate.
  GO—General Obligation Bond.
  GSI—Goldman Sachs International.
  LIBOR—London Interbank Offered Rate.
  MSCS—Morgan Stanley Capital Services LLC.
  NGFP—Nomura Global Financial Products Inc.
  REMICS—Real Estate Mortgage Investment Conduits.
87
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
U.S. Government and Agency Obligations (5.3%)
U.S. Government Securities (5.0%)
  U.S. Treasury Note/Bond 0.125% 10/31/22 2,600 2,601
  U.S. Treasury Note/Bond 0.750% 5/31/26 9,700 9,733
  U.S. Treasury Note/Bond 1.250% 6/30/28 1,750 1,780
  U.S. Treasury Note/Bond 5.250% 2/15/29 27,875 36,368
  U.S. Treasury Note/Bond 0.625% 5/15/30 180,000 171,872
1 U.S. Treasury Note/Bond 0.625% 8/15/30 40,000 38,087
  U.S. Treasury Note/Bond 1.125% 2/15/31 25,000 24,797
  U.S. Treasury Note/Bond 1.625% 5/15/31 15,000 15,551
  U.S. Treasury Note/Bond 4.750% 2/15/37 50,000 72,656
  U.S. Treasury Note/Bond 1.125% 8/15/40 84,390 75,173
  U.S. Treasury Note/Bond 1.875% 2/15/41 10,000 10,119
  U.S. Treasury Note/Bond 4.750% 2/15/41 70,000 105,448
  U.S. Treasury Note/Bond 2.250% 5/15/41 50,000 53,711
  U.S. Treasury Note/Bond 3.750% 8/15/41 55,095 73,637
  U.S. Treasury Note/Bond 2.875% 5/15/43 35,000 41,497
  U.S. Treasury Note/Bond 3.000% 11/15/44 55,000 66,791
2 U.S. Treasury Note/Bond 2.375% 11/15/49 100,000 110,469
1 U.S. Treasury Note/Bond 1.250% 5/15/50 34,750 29,576
1,2 U.S. Treasury Note/Bond 1.375% 8/15/50 121,100 106,379
  U.S. Treasury Strip Principal 0.000% 2/15/48 45,000 26,817
            1,073,062
Agency Bonds and Notes (0.3%)
  Tennessee Valley Authority 5.250% 9/15/39 33,800 49,300
  Tennessee Valley Authority 4.250% 9/15/65 10,000 14,611
            63,911
Total U.S. Government and Agency Obligations (Cost $1,109,663) 1,136,973
Corporate Bonds (79.2%)
Communications (6.7%)
  Activision Blizzard Inc. 2.500% 9/15/50 7,390 6,748
  Alphabet Inc. 1.900% 8/15/40 25,925 24,091
  Alphabet Inc. 2.050% 8/15/50 19,215 17,393
  Alphabet Inc. 2.250% 8/15/60 17,455 15,766
  America Movil SAB de CV 4.375% 4/22/49 49,405 62,062
  AT&T Inc. 3.500% 6/1/41 9,800 10,388
  AT&T Inc. 3.650% 6/1/51 13,690 14,568
  AT&T Inc. 3.300% 2/1/52 31,415 31,406
3 AT&T Inc. 3.500% 9/15/53 1,450 1,497
3 AT&T Inc. 3.550% 9/15/55 1,880 1,943
3 AT&T Inc. 3.800% 12/1/57 3,697 3,939
3 Cable One Inc. 4.000% 11/15/30 125 126
  Charter Communications Operating, LLC / Charter Communications Operating Capital Corp. 3.850% 4/1/61 2,000 2,001
3 Cogent Communications Group Inc. 3.500% 5/1/26 90 93
  Comcast Corp. 5.650% 6/15/35 34,942 48,006
  Comcast Corp. 6.500% 11/15/35 4,320 6,364
  Comcast Corp. 3.200% 7/15/36 16,810 18,348
  Comcast Corp. 3.900% 3/1/38 39,335 45,934
  Comcast Corp. 6.400% 5/15/38 3,452 5,145
  Comcast Corp. 4.600% 10/15/38 64,153 80,713
  Comcast Corp. 3.250% 11/1/39 3,000 3,268
  Comcast Corp. 3.750% 4/1/40 7,100 8,208
  Comcast Corp. 4.500% 1/15/43 1,184 1,486
  Comcast Corp. 4.750% 3/1/44 62,715 81,946
  Comcast Corp. 4.600% 8/15/45 29,645 37,939
  Comcast Corp. 3.400% 7/15/46 19,755 21,525
  Comcast Corp. 4.000% 8/15/47 18,875 22,429
  Comcast Corp. 3.969% 11/1/47 85,688 102,018
88
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Comcast Corp. 4.000% 3/1/48 22,025 26,257
  Comcast Corp. 4.700% 10/15/48 31,010 40,760
  Comcast Corp. 3.999% 11/1/49 28,176 33,850
  Comcast Corp. 3.450% 2/1/50 5,500 6,112
  Comcast Corp. 2.800% 1/15/51 17,285 17,094
  Comcast Corp. 2.450% 8/15/52 2,000 1,866
  Comcast Corp. 4.049% 11/1/52 33,810 40,967
  Comcast Corp. 4.950% 10/15/58 85,850 121,548
  Comcast Corp. 2.650% 8/15/62 3,000 2,840
3 CSC Holdings LLC 5.375% 2/1/28 245 259
3 CSC Holdings LLC 4.625% 12/1/30 336 331
3 CSC Holdings LLC 4.500% 11/15/31 815 822
3 Deutsche Telekom AG 3.625% 1/21/50 3,180 3,453
3 DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. 5.875% 8/15/27 70 72
  Discovery Communications LLC 4.650% 5/15/50 1,950 2,317
  Electronic Arts Inc. 2.950% 2/15/51 2,000 1,994
3 Expedia Group Inc. 6.250% 5/1/25 38 44
  Fox Corp. 5.576% 1/25/49 966 1,333
3 Frontier Communications Holdings LLC 5.875% 10/15/27 45 48
3 Frontier Communications Holdings LLC 5.000% 5/1/28 215 223
3 Frontier Communications Holdings LLC 6.750% 5/1/29 70 75
  Lamar Media Corp. 3.750% 2/15/28 80 82
3 Level 3 Financing Inc. 4.625% 9/15/27 353 366
3 Level 3 Financing Inc. 3.625% 1/15/29 115 112
  NBCUniversal Media LLC 5.950% 4/1/41 16,947 24,967
  NBCUniversal Media LLC 4.450% 1/15/43 22,650 28,325
3 Netflix Inc. 3.625% 6/15/25 290 312
  Netflix Inc. 5.875% 11/15/28 115 143
3 Netflix Inc. 4.875% 6/15/30 115 139
3 News Corp. 3.875% 5/15/29 235 239
3 Nexstar Media Inc. 5.625% 7/15/27 67 71
3 Nexstar Media Inc. 4.750% 11/1/28 130 134
3 Playtika Holding Corp. 4.250% 3/15/29 120 120
3 QualityTech LP / QTS Finance Corp. 3.875% 10/1/28 70 75
3 Scripps Escrow II Inc. 3.875% 1/15/29 230 230
3 Sirius XM Radio Inc. 4.625% 7/15/24 104 107
3 Sirius XM Radio Inc. 5.000% 8/1/27 99 104
3 Sirius XM Radio Inc. 4.000% 7/15/28 35 36
  Sprint Corp. 7.125% 6/15/24 345 396
  Sprint Corp. 7.625% 3/1/26 60 73
3 Switch Ltd. 4.125% 6/15/29 110 113
3 Tegna Inc. 4.750% 3/15/26 115 122
  Telefonica Emisiones SA 4.665% 3/6/38 950 1,130
  Telefonica Emisiones SA 5.213% 3/8/47 2,000 2,513
  Telefonica Emisiones SA 4.895% 3/6/48 2,475 2,990
3 Tencent Holdings Ltd. 3.925% 1/19/38 14,740 16,068
3 Tencent Holdings Ltd. 3.680% 4/22/41 13,150 14,003
3 Tencent Holdings Ltd. 3.840% 4/22/51 18,020 19,543
3 Tencent Holdings Ltd. 3.940% 4/22/61 5,310 5,902
  Time Warner Cable LLC 6.550% 5/1/37 11,975 16,500
  T-Mobile USA Inc. 4.500% 2/1/26 225 230
  T-Mobile USA Inc. 2.625% 2/15/29 250 250
3 T-Mobile USA Inc. 3.375% 4/15/29 750 782
  T-Mobile USA Inc. 2.875% 2/15/31 45 45
3 T-Mobile USA Inc. 3.500% 4/15/31 100 105
  T-Mobile USA Inc. 3.000% 2/15/41 4,930 4,979
  T-Mobile USA Inc. 3.300% 2/15/51 590 601
  TWDC Enterprises 18 Corp. 3.000% 7/30/46 5,837 6,100
  TWDC Enterprises 18 Corp. 7.550% 7/15/93 2,512 2,900
3 Twitter Inc. 3.875% 12/15/27 165 177
4 Verizon Communications Inc. 2.500% 4/8/31 3,300 4,914
89
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Verizon Communications Inc. 3.400% 3/22/41 2,500 2,700
  Verizon Communications Inc. 2.875% 11/20/50 1,500 1,464
  Verizon Communications Inc. 3.550% 3/22/51 3,240 3,545
  Verizon Communications Inc. 3.700% 3/22/61 21,730 24,022
  ViacomCBS Inc. 4.950% 5/19/50 3,000 3,857
3 Videotron Ltd. 3.625% 6/15/29 115 118
  Vodafone Group plc 5.250% 5/30/48 2,090 2,787
  Vodafone Group plc 4.125% 6/4/81 1,730 1,750
  Walt Disney Co. 6.200% 12/15/34 3,326 4,749
  Walt Disney Co. 6.400% 12/15/35 17,218 25,607
  Walt Disney Co. 6.650% 11/15/37 2,710 4,181
  Walt Disney Co. 4.625% 3/23/40 11,720 15,079
  Walt Disney Co. 3.500% 5/13/40 58,715 66,178
  Walt Disney Co. 4.750% 9/15/44 13,474 18,024
  Walt Disney Co. 2.750% 9/1/49 57,575 57,358
  Walt Disney Co. 3.600% 1/13/51 63,711 73,608
4 WPP Finance SA 3.750% 5/19/32 1,200 1,934
3 Zayo Group Holdings Inc. 4.000% 3/1/27 665 662
3 Zayo Group Holdings Inc. 6.125% 3/1/28 285 290
            1,441,526
Consumer Discretionary (5.0%)
3 1011778 BC ULC / New Red Finance Inc. 3.875% 1/15/28 130 131
3 1011778 BC ULC / New Red Finance Inc. 4.375% 1/15/28 290 295
3 1011778 BC ULC / New Red Finance Inc. 4.000% 10/15/30 365 364
  Alibaba Group Holding Ltd. 4.000% 12/6/37 31,000 34,781
  Alibaba Group Holding Ltd. 4.200% 12/6/47 14,873 17,409
  Alibaba Group Holding Ltd. 4.400% 12/6/57 13,080 15,792
  Amazon.com Inc. 3.875% 8/22/37 55,000 66,447
  Amazon.com Inc. 2.875% 5/12/41 15,845 16,720
  Amazon.com Inc. 4.950% 12/5/44 6,000 8,338
  Amazon.com Inc. 4.050% 8/22/47 95,075 117,819
  Amazon.com Inc. 2.500% 6/3/50 18,520 17,865
  Amazon.com Inc. 3.100% 5/12/51 12,570 13,525
  Amazon.com Inc. 4.250% 8/22/57 50,347 66,153
  Amazon.com Inc. 2.700% 6/3/60 20,830 20,343
  Amazon.com Inc. 3.250% 5/12/61 16,975 18,576
3 Ambience Merger Sub Inc. 4.875% 7/15/28 60 60
3 Ambience Merger Sub Inc. 7.125% 7/15/29 120 121
3 American Builders & Contractors Supply Co. Inc. 4.000% 1/15/28 230 236
3 American Builders & Contractors Supply Co. Inc. 3.875% 11/15/29 485 484
5 American University 3.672% 4/1/49 2,563 3,007
  Asbury Automotive Group Inc. 4.500% 3/1/28 1,130 1,176
  Asbury Automotive Group Inc. 4.750% 3/1/30 220 234
  Bowdoin College 4.693% 7/1/12 2,500 3,381
3 Boyd Gaming Corp. 8.625% 6/1/25 160 175
3 Builders Firstsource Inc. 4.250% 2/1/32 60 61
3 Caesars Entertainment Inc. 8.125% 7/1/27 216 238
3 Caesars Resort Collection LLC / CRC Finco Inc. 5.750% 7/1/25 18 19
  California Institute of Technology 3.650% 9/1/19 4,242 5,022
3 Carnival Corp. 11.500% 4/1/23 27 30
3 Carnival Corp. 7.625% 3/1/26 68 72
3 Carnival Corp. 4.000% 8/1/28 355 354
3 Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium OP 5.500% 5/1/25 595 618
3 Churchill Downs Inc. 5.500% 4/1/27 465 484
3 Churchill Downs Inc. 4.750% 1/15/28 288 299
3 Clarios Global LP 6.750% 5/15/25 31 33
3 Clarios Global LP / Clarios US Finance Co. 8.500% 5/15/27 320 345
5 Duke University 2.682% 10/1/44 3,100 3,237
5 Duke University 2.832% 10/1/55 9,635 10,242
  Ford Foundation 2.815% 6/1/70 11,950 12,431
90
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Ford Motor Co. 8.500% 4/21/23 60 67
  Ford Motor Credit Co. LLC 3.087% 1/9/23 70 71
  Ford Motor Credit Co. LLC 4.134% 8/4/25 35 37
  Ford Motor Credit Co. LLC 3.375% 11/13/25 70 73
  Ford Motor Credit Co. LLC 4.271% 1/9/27 240 259
  Ford Motor Credit Co. LLC 4.125% 8/17/27 480 514
  Ford Motor Credit Co. LLC 3.815% 11/2/27 60 63
  Ford Motor Credit Co. LLC 2.900% 2/16/28 165 165
  General Motors Co. 5.150% 4/1/38 1,000 1,224
  General Motors Co. 5.200% 4/1/45 1,500 1,879
  General Motors Co. 5.400% 4/1/48 1,000 1,286
  George Washington University 4.300% 9/15/44 2,890 3,736
  Georgetown University 4.315% 4/1/49 14,755 18,897
  Georgetown University 2.943% 4/1/50 15,535 16,077
  Georgetown University 5.215% 10/1/18 940 1,488
  Goodyear Tire & Rubber Co. 9.500% 5/31/25 45 50
3 Hilton Domestic Operating Co. Inc. 5.375% 5/1/25 375 393
3 Hilton Domestic Operating Co. Inc. 5.750% 5/1/28 105 113
  Home Depot Inc. 5.875% 12/16/36 34,525 50,179
  Home Depot Inc. 3.300% 4/15/40 1,000 1,118
  Home Depot Inc. 5.400% 9/15/40 947 1,332
  Home Depot Inc. 5.950% 4/1/41 18,480 27,429
  Home Depot Inc. 4.200% 4/1/43 6,035 7,527
  Home Depot Inc. 4.875% 2/15/44 60,115 81,792
  Home Depot Inc. 4.400% 3/15/45 12,900 16,635
  Home Depot Inc. 4.250% 4/1/46 21,515 27,275
  Home Depot Inc. 3.900% 6/15/47 28,950 35,087
  Home Depot Inc. 4.500% 12/6/48 14,825 19,804
  Home Depot Inc. 3.125% 12/15/49 5,950 6,471
  Home Depot Inc. 3.500% 9/15/56 947 1,097
3 International Game Technology plc 4.125% 4/15/26 45 47
3 International Game Technology plc 6.250% 1/15/27 20 23
5 Johns Hopkins University 2.813% 1/1/60 2,690 2,824
3 Lithia Motors Inc. 4.625% 12/15/27 600 638
3 Lithia Motors Inc. 3.875% 6/1/29 290 306
3 Lithia Motors Inc. 4.375% 1/15/31 180 196
3 Live Nation Entertainment Inc. 5.625% 3/15/26 29 31
3 Live Nation Entertainment Inc. 6.500% 5/15/27 335 371
3 Live Nation Entertainment Inc. 3.750% 1/15/28 60 60
  Marriott International Inc. 4.625% 6/15/30 140 162
3 Masonite International Corp. 3.500% 2/15/30 115 116
5 Massachusetts Institute of Technology 3.959% 7/1/38 24,140 29,326
  McDonald's Corp. 3.625% 9/1/49 1,000 1,135
  McDonald's Corp. 4.200% 4/1/50 1,000 1,235
3 Meritage Homes Corp. 3.875% 4/15/29 1,000 1,056
3 NCL Corp. Ltd. 5.875% 3/15/26 235 237
  NIKE Inc. 3.250% 3/27/40 9,055 10,150
  NIKE Inc. 3.625% 5/1/43 30,604 36,568
  NIKE Inc. 3.375% 11/1/46 19,840 22,687
3 Penn National Gaming Inc. 5.625% 1/15/27 45 47
  President and Fellows of Harvard College 5.625% 10/1/38 2,500 3,665
3 President and Fellows of Harvard College 6.500% 1/15/39 3,709 5,929
  President and Fellows of Harvard College 4.875% 10/15/40 750 1,053
  President and Fellows of Harvard College 3.150% 7/15/46 17,450 19,873
  Rockefeller Foundation 2.492% 10/1/50 34,515 34,713
3 Royal Caribbean Cruises Ltd. 10.875% 6/1/23 20 23
3 Royal Caribbean Cruises Ltd. 9.125% 6/15/23 20 22
3 Royal Caribbean Cruises Ltd. 11.500% 6/1/25 35 40
  Starbucks Corp. 4.500% 11/15/48 2,500 3,205
  Toll Brothers Finance Corp. 4.350% 2/15/28 1,560 1,732
  Toll Brothers Finance Corp. 3.800% 11/1/29 315 341
91
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Tri Pointe Homes Inc. 5.700% 6/15/28 90 100
  Trustees of the University of Pennsylvania 3.610% 2/15/19 20,230 24,058
5 University of Chicago 2.761% 4/1/45 11,735 12,178
5 University of Chicago 2.547% 4/1/50 8,120 7,945
  University of Chicago 3.000% 10/1/52 5,695 6,181
3 Vail Resorts Inc. 6.250% 5/15/25 595 632
6 Volkswagen International Finance NV 3.300% 3/22/33 1,000 1,528
3 William Carter Co. 5.500% 5/15/25 155 163
3 Williams Scotsman International Inc. 4.625% 8/15/28 79 82
3 WK Kellogg Foundation Trust 2.443% 10/1/50 35,340 35,030
3 Wyndham Hotels & Resorts Inc. 4.375% 8/15/28 230 237
  Yale University 2.402% 4/15/50 19,845 19,746
            1,064,746
Consumer Staples (4.6%)
3 7-Eleven Inc. 2.800% 2/10/51 3,160 3,028
  Altria Group Inc. 5.800% 2/14/39 2,250 2,835
  Altria Group Inc. 3.400% 2/4/41 3,750 3,634
  Altria Group Inc. 4.450% 5/6/50 1,130 1,226
  Anheuser-Busch Cos. LLC 6.750% 12/15/27 400 511
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 4.700% 2/1/36 4,000 4,976
  Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. 4.900% 2/1/46 1,000 1,282
6 Anheuser-Busch InBev SA NV 3.700% 4/2/40 900 1,501
  Anheuser-Busch InBev Worldwide Inc. 4.375% 4/15/38 4,000 4,836
  Anheuser-Busch InBev Worldwide Inc. 8.200% 1/15/39 12,383 20,973
  Anheuser-Busch InBev Worldwide Inc. 3.750% 7/15/42 16,330 18,218
  Archer-Daniels-Midland Co. 4.500% 3/15/49 28,749 39,052
  BAT Capital Corp. 4.390% 8/15/37 1,375 1,512
  BAT Capital Corp. 4.540% 8/15/47 1,535 1,652
4 BAT International Finance plc 2.250% 9/9/52 300 327
3 Cargill Inc. 4.760% 11/23/45 20,000 26,850
  Coca-Cola Co. 2.875% 5/5/41 22,925 24,383
  Coca-Cola Co. 2.600% 6/1/50 40,500 40,428
  Coca-Cola Co. 3.000% 3/5/51 47,160 50,771
  Coca-Cola Co. 2.500% 3/15/51 33,665 32,879
  Estee Lauder Cos. Inc. 3.125% 12/1/49 18,964 21,110
  Hershey Co. 3.125% 11/15/49 25,500 27,931
  Hershey Co. 2.650% 6/1/50 2,000 2,025
  Hormel Foods Corp. 3.050% 6/3/51 20,165 21,671
  Keurig Dr Pepper Inc. 4.500% 11/15/45 1,000 1,242
  Kimberly-Clark Corp. 3.200% 7/30/46 19,400 21,551
  Kraft Heinz Foods Co. 3.875% 5/15/27 1,030 1,140
  Kraft Heinz Foods Co. 3.750% 4/1/30 740 816
  Kraft Heinz Foods Co. 4.875% 10/1/49 2,070 2,575
3 Lamb Weston Holdings Inc. 4.625% 11/1/24 80 82
3 Lamb Weston Holdings Inc. 4.875% 11/1/26 210 217
3 Lamb Weston Holdings Inc. 4.875% 5/15/28 380 422
3 Nestle Holdings Inc. 3.900% 9/24/38 49,785 60,266
3 Nestle Holdings Inc. 4.000% 9/24/48 23,255 29,053
  PepsiCo Inc. 4.000% 3/5/42 2,038 2,528
  PepsiCo Inc. 3.600% 8/13/42 947 1,116
  PepsiCo Inc. 4.450% 4/14/46 29,289 38,597
  PepsiCo Inc. 3.450% 10/6/46 45,375 51,979
  PepsiCo Inc. 4.000% 5/2/47 15,435 19,223
  PepsiCo Inc. 3.375% 7/29/49 25,294 28,892
  PepsiCo Inc. 2.875% 10/15/49 12,285 12,962
3 Performance Food Group Inc. 6.875% 5/1/25 80 85
3 Performance Food Group Inc. 5.500% 10/15/27 535 558
3 Performance Food Group Inc. 4.250% 8/1/29 295 300
6 Philip Morris International Inc. 2.000% 5/9/36 1,100 1,441
  Philip Morris International Inc. 6.375% 5/16/38 5,802 8,432
  Philip Morris International Inc. 4.375% 11/15/41 4,890 5,861
92
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Philip Morris International Inc. 3.875% 8/21/42 1,750 1,980
  Philip Morris International Inc. 4.125% 3/4/43 17,345 20,116
  Philip Morris International Inc. 4.875% 11/15/43 22,345 28,648
3 Post Holdings Inc. 5.750% 3/1/27 105 109
3 Post Holdings Inc. 4.500% 9/15/31 215 217
3 SC Johnson & Son Inc. 4.000% 5/15/43 28,110 33,804
  Walmart Inc. 3.950% 6/28/38 96,757 117,905
  Walmart Inc. 5.625% 4/1/40 1,839 2,685
  Walmart Inc. 4.875% 7/8/40 1,944 2,626
  Walmart Inc. 5.000% 10/25/40 1,610 2,210
  Walmart Inc. 5.625% 4/15/41 3,695 5,452
  Walmart Inc. 4.000% 4/11/43 1,326 1,648
  Walmart Inc. 3.625% 12/15/47 69,145 82,468
  Walmart Inc. 4.050% 6/29/48 26,395 33,707
  Walmart Inc. 2.950% 9/24/49 7,518 8,163
            984,687
Energy (5.2%)
3 Antero Resources Corp. 5.375% 3/1/30 325 331
3 Atlantica Sustainable Infrastructure plc 4.125% 6/15/28 60 62
  Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc. 4.080% 12/15/47 3,837 4,452
  BP Capital Markets America Inc. 3.060% 6/17/41 25,055 25,819
  BP Capital Markets America Inc. 3.000% 2/24/50 2,000 1,976
  BP Capital Markets America Inc. 2.772% 11/10/50 37,140 35,188
  BP Capital Markets America Inc. 2.939% 6/4/51 38,070 37,353
  BP Capital Markets America Inc. 3.379% 2/8/61 50,075 52,192
  Burlington Resources LLC 5.950% 10/15/36 1,420 2,012
3 Cameron LNG LLC 3.701% 1/15/39 1,300 1,474
  Cheniere Energy Inc. 4.625% 10/15/28 145 153
3 Cheniere Energy Partners LP 4.000% 3/1/31 170 180
  Chevron Corp. 2.978% 5/11/40 14,790 15,756
  Chevron Corp. 3.078% 5/11/50 19,305 20,384
  Chevron USA Inc. 5.050% 11/15/44 4,500 6,144
  Chevron USA Inc. 4.950% 8/15/47 2,000 2,719
  Chevron USA Inc. 2.343% 8/12/50 1,590 1,480
3 CNX Resources Corp. 6.000% 1/15/29 250 265
3 Colgate Energy Partners III LLC 5.875% 7/1/29 55 57
3 Comstock Resources Inc. 5.875% 1/15/30 410 412
  ConocoPhillips 7.000% 3/30/29 5,830 7,794
  ConocoPhillips 5.900% 10/15/32 1,326 1,806
  ConocoPhillips 6.500% 2/1/39 32,170 47,993
3 ConocoPhillips 4.875% 10/1/47 7,445 9,927
3 ConocoPhillips 4.850% 8/15/48 4,100 5,474
  ConocoPhillips Co. 4.300% 11/15/44 9,878 12,225
3 CrownRock LP / CrownRock Finance Inc. 5.625% 10/15/25 85 87
3 CrownRock LP / CrownRock Finance Inc. 5.000% 5/1/29 75 78
  DCP Midstream Operating LP 5.625% 7/15/27 56 64
  DCP Midstream Operating LP 5.125% 5/15/29 180 201
3 DT Midstream Inc. 4.125% 6/15/29 235 241
3 DT Midstream Inc. 4.375% 6/15/31 175 182
3 Endeavor Energy Resources LP / EER Finance Inc. 6.625% 7/15/25 37 39
3 Endeavor Energy Resources LP / EER Finance Inc. 5.750% 1/30/28 150 158
  Energy Transfer Operating LP 5.000% 5/15/50 3,000 3,517
3 EnLink Midstream LLC 5.625% 1/15/28 50 53
  EnLink Midstream LLC 5.375% 6/1/29 125 130
  Enterprise Products Operating LLC 4.900% 5/15/46 4,111 5,176
  Enterprise Products Operating LLC 4.200% 1/31/50 3,000 3,513
  EOG Resources Inc. 3.900% 4/1/35 1,650 1,938
  EOG Resources Inc. 4.950% 4/15/50 18,090 24,708
3 EQM Midstream Partners LP 6.500% 7/1/27 145 163
  EQT Corp. 3.000% 10/1/22 26 26
3 EQT Corp. 3.125% 5/15/26 75 77
93
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  EQT Corp. 5.000% 1/15/29 140 158
  Equinor ASA 3.625% 4/6/40 19,225 22,133
  Equinor ASA 4.250% 11/23/41 1,944 2,405
  Equinor ASA 3.950% 5/15/43 35,350 42,024
  Equinor ASA 3.250% 11/18/49 18,640 20,168
  Equinor ASA 3.700% 4/6/50 9,800 11,560
6 Exxon Mobil Corp. 1.408% 6/26/39 1,100 1,326
  Exxon Mobil Corp. 2.995% 8/16/39 6,678 7,032
  Exxon Mobil Corp. 4.227% 3/19/40 10,425 12,753
  Exxon Mobil Corp. 3.567% 3/6/45 10,700 11,956
  Exxon Mobil Corp. 4.114% 3/1/46 33,010 40,023
  Exxon Mobil Corp. 3.095% 8/16/49 19,590 20,578
  Exxon Mobil Corp. 4.327% 3/19/50 68,181 86,600
  Exxon Mobil Corp. 3.452% 4/15/51 32,295 36,073
3 Galaxy Pipeline Assets Bidco Ltd. 2.940% 9/30/40 32,310 32,534
3 Hilcorp Energy I LP / Hilcorp Finance Co. 5.750% 2/1/29 35 36
3 Hilcorp Energy I LP / Hilcorp Finance Co. 6.000% 2/1/31 45 47
  KazMunayGas National Co. JSC 6.375% 10/24/48 1,425 1,870
  Marathon Petroleum Corp. 4.500% 4/1/48 2,500 2,891
3 MEG Energy Corp. 6.500% 1/15/25 158 163
3 MEG Energy Corp. 5.875% 2/1/29 20 21
3 Northern Natural Gas Co. 3.400% 10/16/51 2,800 2,959
  Nustar Logistics LP 5.750% 10/1/25 35 38
  Nustar Logistics LP 6.375% 10/1/30 140 156
  Occidental Petroleum Corp. 5.500% 12/1/25 30 33
  Occidental Petroleum Corp. 5.550% 3/15/26 145 159
  Occidental Petroleum Corp. 3.400% 4/15/26 40 40
  Occidental Petroleum Corp. 3.200% 8/15/26 445 443
  Occidental Petroleum Corp. 3.000% 2/15/27 95 94
  Occidental Petroleum Corp. 4.400% 8/15/49 130 126
  Ovintiv Exploration Inc. 5.625% 7/1/24 320 354
3 Parkland Corp. 4.500% 10/1/29 150 154
  Petroleos del Peru SA 5.625% 6/19/47 5,000 5,173
  Petronas Capital Ltd. 3.500% 4/21/30 4,460 4,893
3 Qatar Petroleum 3.125% 7/12/41 21,000 21,801
3 Qatar Petroleum 3.300% 7/12/51 22,055 22,880
3 Rattler Midstream LP 5.625% 7/15/25 45 47
  Shell International Finance BV 4.125% 5/11/35 36,405 43,909
  Shell International Finance BV 6.375% 12/15/38 2,121 3,167
  Shell International Finance BV 5.500% 3/25/40 13,990 19,587
  Shell International Finance BV 4.550% 8/12/43 19,195 24,356
  Shell International Finance BV 4.375% 5/11/45 40,595 50,872
  Shell International Finance BV 4.000% 5/10/46 37,137 44,294
  Shell International Finance BV 3.750% 9/12/46 63,375 73,409
  Shell International Finance BV 3.125% 11/7/49 5,000 5,338
  Shell International Finance BV 3.250% 4/6/50 16,730 18,280
  Suncor Energy Inc. 3.750% 3/4/51 1,100 1,218
3 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 7.500% 10/1/25 10 11
3 Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6.000% 12/31/30 45 47
  Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.500% 7/15/27 158 172
  Total Capital International SA 2.986% 6/29/41 29,580 31,012
  Total Capital International SA 3.461% 7/12/49 500 554
  Total Capital International SA 3.127% 5/29/50 44,285 46,361
3 Venture Global Calcasieu Pass LLC 3.875% 8/15/29 120 123
3 Venture Global Calcasieu Pass LLC 4.125% 8/15/31 120 124
  Western Midstream Operating LP 5.300% 2/1/30 180 202
            1,108,716
Financials (17.4%)
  ACE Capital Trust II 9.700% 4/1/30 3,745 5,672
  Aflac Inc. 4.000% 10/15/46 947 1,130
3 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.250% 10/15/27 35 35
94
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
3 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.750% 10/15/27 105 110
  Allstate Corp. 4.200% 12/15/46 14,385 18,105
  American International Group Inc. 4.375% 6/30/50 6,205 7,822
4 Athene Global Funding 1.875% 11/30/28 1,200 1,685
  Athene Holding Ltd. 3.950% 5/25/51 1,705 1,944
  Bank of America Corp. 2.496% 2/13/31 30,170 31,188
  Bank of America Corp. 4.244% 4/24/38 80,255 95,779
  Bank of America Corp. 4.078% 4/23/40 37,950 44,683
  Bank of America Corp. 2.676% 6/19/41 59,163 58,352
  Bank of America Corp. 5.875% 2/7/42 19,230 28,181
  Bank of America Corp. 3.311% 4/22/42 62,940 67,948
  Bank of America Corp. 4.443% 1/20/48 26,455 33,354
  Bank of America Corp. 3.946% 1/23/49 62,960 73,739
  Bank of America Corp. 4.330% 3/15/50 34,336 43,046
  Bank of America Corp. 4.083% 3/20/51 57,390 69,394
  Bank of America Corp. 2.831% 10/24/51 13,395 13,168
  Bank of America Corp. 3.483% 3/13/52 13,020 14,440
  Bank of America NA 6.000% 10/15/36 20,450 29,045
  Berkshire Hathaway Finance Corp. 4.400% 5/15/42 2,000 2,560
  Berkshire Hathaway Finance Corp. 4.200% 8/15/48 34,372 43,392
  Berkshire Hathaway Finance Corp. 4.250% 1/15/49 64,185 81,625
  Berkshire Hathaway Finance Corp. 2.850% 10/15/50 7,420 7,568
  Berkshire Hathaway Finance Corp. 2.500% 1/15/51 3,000 2,874
6 Berkshire Hathaway Inc. 0.500% 1/15/41 623 691
  Berkshire Hathaway Inc. 4.500% 2/11/43 47,747 62,163
6 Blackstone Property Partners Europe Holdings Sarl 1.750% 3/12/29 1,470 1,840
3 BNP Paribas SA 2.824% 1/26/41 1,800 1,743
3 Broadstreet Partners Inc. 5.875% 4/15/29 50 51
  Brookfield Finance LLC 3.450% 4/15/50 1,470 1,548
  Chubb INA Holdings Inc. 4.150% 3/13/43 1,500 1,869
  Chubb INA Holdings Inc. 4.350% 11/3/45 5,125 6,603
  CI Financial Corp. 4.100% 6/15/51 5,850 6,212
  Citigroup Inc. 2.561% 5/1/32 38,875 40,185
  Citigroup Inc. 3.878% 1/24/39 70,730 82,662
  Citigroup Inc. 5.316% 3/26/41 10,000 13,576
  Citigroup Inc. 4.650% 7/30/45 13,142 17,168
  Citigroup Inc. 4.281% 4/24/48 13,570 17,145
  Citigroup Inc. 4.650% 7/23/48 19,887 26,474
3 Commonwealth Bank of Australia 3.305% 3/11/41 4,180 4,381
  Cooperatieve Rabobank UA 5.250% 5/24/41 1,375 1,934
3 Credit Agricole SA 2.811% 1/11/41 1,750 1,700
6 Credit Suisse Group AG 0.625% 1/18/33 700 801
  Equitable Holdings Inc. 5.000% 4/20/48 4,890 6,375
  Everest Reinsurance Holdings Inc. 3.500% 10/15/50 2,070 2,269
3 FMR LLC 6.450% 11/15/39 16,010 23,924
  GATX Corp. 3.100% 6/1/51 2,725 2,691
  GE Capital International Funding Co. Unlimited Co. 4.418% 11/15/35 3,500 4,300
6 Goldman Sachs Group Inc. 1.000% 3/18/33 1,300 1,574
  Goldman Sachs Group Inc. 4.017% 10/31/38 139,440 165,221
  Goldman Sachs Group Inc. 4.411% 4/23/39 43,422 53,391
  Goldman Sachs Group Inc. 6.250% 2/1/41 15,170 22,742
  Goldman Sachs Group Inc. 3.210% 4/22/42 32,300 34,295
  Goldman Sachs Group Inc. 2.908% 7/21/42 20,480 20,784
  Goldman Sachs Group Inc. 4.800% 7/8/44 18,000 23,758
  Goldman Sachs Group Inc. 4.750% 10/21/45 864 1,145
6 Helvetia Europe SA 2.750% 9/30/41 1,100 1,441
4 HSBC Holdings plc 3.000% 5/29/30 1,900 2,861
  HSBC Holdings plc 7.625% 5/17/32 15,263 21,712
  HSBC Holdings plc 2.804% 5/24/32 33,660 34,937
  HSBC Holdings plc 6.500% 5/2/36 10,000 13,934
  HSBC Holdings plc 6.500% 9/15/37 27,273 38,511
95
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  HSBC Holdings plc 6.800% 6/1/38 48,749 70,774
  HSBC Holdings plc 6.100% 1/14/42 12,695 18,799
  HSBC Holdings plc 5.250% 3/14/44 5,500 7,256
  Intercontinental Exchange Inc. 2.650% 9/15/40 1,760 1,731
  Intercontinental Exchange Inc. 4.250% 9/21/48 7,225 8,763
  Intercontinental Exchange Inc. 3.000% 9/15/60 880 875
4 Intesa Sanpaolo SPA 2.500% 1/15/30 1,100 1,593
  Invesco Finance plc 5.375% 11/30/43 3,113 4,186
6 JAB Holdings BV 2.250% 12/19/39 1,000 1,294
3 Jackson National Life Insurance Co. 8.150% 3/15/27 189 252
  JPMorgan Chase & Co. 6.400% 5/15/38 44,499 66,062
  JPMorgan Chase & Co. 3.882% 7/24/38 67,662 79,268
  JPMorgan Chase & Co. 5.500% 10/15/40 29,390 40,867
  JPMorgan Chase & Co. 3.109% 4/22/41 16,600 17,650
  JPMorgan Chase & Co. 5.600% 7/15/41 11,247 15,913
  JPMorgan Chase & Co. 3.157% 4/22/42 44,200 47,034
  JPMorgan Chase & Co. 4.260% 2/22/48 36,921 45,548
  JPMorgan Chase & Co. 4.032% 7/24/48 32,890 39,163
  JPMorgan Chase & Co. 3.964% 11/15/48 97,835 116,385
  JPMorgan Chase & Co. 3.897% 1/23/49 47,355 55,674
  JPMorgan Chase & Co. 3.109% 4/22/51 19,160 19,988
  JPMorgan Chase & Co. 3.328% 4/22/52 54,660 59,380
3 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 5.250% 10/1/25 35 36
3 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.250% 2/1/27 347 347
3 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.750% 6/15/29 300 299
3 LPL Holdings Inc. 4.375% 5/15/31 750 768
3 LSEGA Financing plc 3.200% 4/6/41 26,545 28,423
  Markel Corp. 3.450% 5/7/52 3,490 3,707
  Marsh & McLennan Cos. Inc. 4.750% 3/15/39 21,719 28,501
  Marsh & McLennan Cos. Inc. 4.350% 1/30/47 22,580 29,010
  Marsh & McLennan Cos. Inc. 4.200% 3/1/48 1,000 1,266
  Marsh & McLennan Cos. Inc. 4.900% 3/15/49 16,451 22,748
3 Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 15,356 17,038
  MetLife Inc. 4.125% 8/13/42 56,081 68,593
  MetLife Inc. 4.875% 11/13/43 10,000 13,497
  MetLife Inc. 4.050% 3/1/45 5,236 6,383
3 Midcap Financial Issuer Trust 5.625% 1/15/30 117 115
  Morgan Stanley 3.622% 4/1/31 15,000 16,877
  Morgan Stanley 7.250% 4/1/32 6,870 10,151
  Morgan Stanley 2.239% 7/21/32 35,310 35,599
  Morgan Stanley 3.971% 7/22/38 103,500 122,274
  Morgan Stanley 4.457% 4/22/39 6,850 8,520
  Morgan Stanley 3.217% 4/22/42 23,020 24,726
  Morgan Stanley 6.375% 7/24/42 33,160 51,502
  Morgan Stanley 4.300% 1/27/45 30,041 37,577
  Morgan Stanley 4.375% 1/22/47 44,780 57,084
  Morgan Stanley 5.597% 3/24/51 750 1,134
  Morgan Stanley 2.802% 1/25/52 14,380 14,293
  Nasdaq Inc. 2.500% 12/21/40 6,042 5,741
3 Nationwide Mutual Insurance Co. 9.375% 8/15/39 24,046 42,537
3 Nationwide Mutual Insurance Co. 4.950% 4/22/44 13,215 16,225
3 Nationwide Mutual Insurance Co. 4.350% 4/30/50 14,765 16,843
3 New York Life Insurance Co. 5.875% 5/15/33 36,125 48,769
3 New York Life Insurance Co. 3.750% 5/15/50 7,870 9,108
3 Nippon Life Insurance Co. 3.400% 1/23/50 1,400 1,461
3 Nippon Life Insurance Co. 2.750% 1/21/51 2,640 2,616
3 Northwestern Mutual Life Insurance Co. 3.850% 9/30/47 8,944 10,417
3 Northwestern Mutual Life Insurance Co. 3.625% 9/30/59 33,074 36,980
  Old Republic International Corp. 3.850% 6/11/51 2,580 2,803
3 OneAmerica Financial Partners Inc. 4.250% 10/15/50 2,030 2,182
3 Pacific Life Insurance Co. 4.300% 10/24/67 6,295 7,364
96
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
4 Pension Insurance Corp. plc 4.625% 5/7/31 860 1,373
  Progressive Corp. 4.125% 4/15/47 7,920 9,992
  Progressive Corp. 3.950% 3/26/50 10,525 13,066
  Prudential Financial Inc. 3.000% 3/10/40 3,250 3,424
  Prudential Financial Inc. 4.600% 5/15/44 1,139 1,482
  Prudential Financial Inc. 5.375% 5/15/45 128 141
  Prudential Financial Inc. 3.905% 12/7/47 1,420 1,687
  Prudential Financial Inc. 4.418% 3/27/48 390 498
  Prudential Financial Inc. 3.935% 12/7/49 16,765 20,082
  Prudential Financial Inc. 4.350% 2/25/50 1,548 1,977
  Prudential Financial Inc. 3.700% 3/13/51 6,484 7,589
  Raymond James Financial Inc. 3.750% 4/1/51 2,000 2,252
3 Securian Financial Group Inc. 4.800% 4/15/48 4,146 5,153
3 Temasek Financial I Ltd. 2.750% 8/2/61 51,455 51,269
  Travelers Cos. Inc. 4.600% 8/1/43 1,100 1,478
  Travelers Cos. Inc. 3.750% 5/15/46 3,954 4,714
  Travelers Cos. Inc. 4.000% 5/30/47 2,600 3,226
  Travelers Cos. Inc. 4.100% 3/4/49 15,000 19,013
  Travelers Cos. Inc. 2.550% 4/27/50 1,000 991
  Travelers Cos. Inc. 3.050% 6/8/51 43,915 47,551
  Wachovia Corp. 5.500% 8/1/35 2,322 3,071
4 Wells Fargo & Co. 2.125% 9/24/31 1,300 1,865
  Wells Fargo & Co. 3.068% 4/30/41 28,640 30,129
  Wells Fargo & Co. 5.375% 11/2/43 55,167 75,187
  Wells Fargo & Co. 5.606% 1/15/44 130,765 182,757
  Wells Fargo & Co. 4.650% 11/4/44 2,957 3,715
  Wells Fargo & Co. 3.900% 5/1/45 3,837 4,584
  Wells Fargo & Co. 4.900% 11/17/45 19,485 25,388
  Wells Fargo & Co. 4.400% 6/14/46 33,292 40,925
  Wells Fargo & Co. 4.750% 12/7/46 43,559 56,027
  Wells Fargo & Co. 5.013% 4/4/51 38,330 53,621
  Wells Fargo Bank NA 6.600% 1/15/38 500 745
  Westpac Banking Corp. 2.963% 11/16/40 3,580 3,610
6 Zurich Finance Ireland Designated Activity Co. 1.625% 6/17/39 1,170 1,576
            3,743,577
Health Care (11.1%)
  Abbott Laboratories 4.750% 11/30/36 16,130 21,150
  Abbott Laboratories 4.900% 11/30/46 76,140 106,702
  AbbVie Inc. 4.050% 11/21/39 3,000 3,561
  AbbVie Inc. 4.875% 11/14/48 358 474
  Advocate Health & Hospitals Corp. 4.272% 8/15/48 6,315 8,157
  Advocate Health & Hospitals Corp. 3.387% 10/15/49 15,205 17,300
5 Allina Health System 3.887% 4/15/49 3,569 4,237
  Amgen Inc. 3.150% 2/21/40 1,250 1,337
  Amgen Inc. 3.375% 2/21/50 125 136
  Ascension Health 3.106% 11/15/39 3,000 3,280
  AstraZeneca plc 3.000% 5/28/51 30,190 32,330
  Baptist Healthcare System Obligated Group 3.540% 8/15/50 1,400 1,564
3 Bausch Health Cos. Inc. 6.125% 4/15/25 78 80
3 Bausch Health Cos. Inc. 5.500% 11/1/25 50 51
3 Bausch Health Cos. Inc. 5.750% 8/15/27 85 89
3 Bausch Health Cos. Inc. 7.000% 1/15/28 156 164
3 Bausch Health Cos. Inc. 4.875% 6/1/28 150 155
3 Bausch Health Cos. Inc. 5.250% 2/15/31 100 94
  Baylor Scott & White Holdings 2.839% 11/15/50 8,710 8,991
  Bon Secours Mercy Health Inc. 3.205% 6/1/50 1,660 1,775
  Boston Scientific Corp. 4.700% 3/1/49 1,414 1,851
  Bristol-Myers Squibb Co. 4.125% 6/15/39 48,137 59,351
  Bristol-Myers Squibb Co. 2.350% 11/13/40 28,285 27,708
  Bristol-Myers Squibb Co. 4.500% 3/1/44 3,250 4,286
  Bristol-Myers Squibb Co. 4.350% 11/15/47 5,000 6,463
97
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Bristol-Myers Squibb Co. 4.550% 2/20/48 1,000 1,329
  Bristol-Myers Squibb Co. 4.250% 10/26/49 115,795 149,463
  Bristol-Myers Squibb Co. 2.550% 11/13/50 20,580 20,110
  Centene Corp. 2.450% 7/15/28 335 339
  Centene Corp. 3.000% 10/15/30 135 140
  Centene Corp. 2.500% 3/1/31 220 220
3 Charles River Laboratories International Inc. 3.750% 3/15/29 85 87
  Children's Health System of Texas 2.511% 8/15/50 2,500 2,403
  Children's Hospital of Philadelphia 2.704% 7/1/50 1,250 1,258
  Cigna Corp. 4.800% 8/15/38 2,000 2,538
  Cigna Corp. 3.200% 3/15/40 1,000 1,063
  City of Hope 5.623% 11/15/43 1,944 2,819
  City of Hope 4.378% 8/15/48 1,671 2,140
5 CommonSpirit Health 4.350% 11/1/42 16,260 19,441
  CVS Health Corp. 4.780% 3/25/38 3,057 3,839
  CVS Health Corp. 4.125% 4/1/40 2,000 2,372
  CVS Health Corp. 2.700% 8/21/40 2,100 2,090
  CVS Health Corp. 5.050% 3/25/48 1,000 1,332
  Dignity Health 4.500% 11/1/42 1,041 1,284
  Dignity Health 5.267% 11/1/64 758 1,081
  Eli Lilly & Co. 3.950% 3/15/49 18,330 22,778
  Eli Lilly & Co. 2.250% 5/15/50 37,835 35,198
  Eli Lilly & Co. 4.150% 3/15/59 23,420 30,628
  Eli Lilly & Co. 2.500% 9/15/60 19,075 18,064
  Encompass Health Corp. 4.500% 2/1/28 184 192
  Gilead Sciences Inc. 4.600% 9/1/35 1,890 2,363
  Gilead Sciences Inc. 5.650% 12/1/41 3,686 5,200
  Gilead Sciences Inc. 4.800% 4/1/44 20,390 26,567
  Gilead Sciences Inc. 4.500% 2/1/45 36,730 45,928
  Gilead Sciences Inc. 4.150% 3/1/47 18,230 22,076
  GlaxoSmithKline Capital Inc. 6.375% 5/15/38 37,532 57,031
  GlaxoSmithKline Capital Inc. 4.200% 3/18/43 2,000 2,528
  Hackensack Meridian Health Inc. 2.875% 9/1/50 1,250 1,282
  HCA Inc. 5.375% 2/1/25 255 289
  HCA Inc. 5.500% 6/15/47 2,000 2,669
  HCA Inc. 3.500% 7/15/51 2,500 2,579
3 HCRX Investments Holdco LP 4.500% 8/1/29 60 61
3 Hill-Rom Holdings Inc. 4.375% 9/15/27 664 695
  Johnson & Johnson 3.550% 3/1/36 47,310 56,245
  Johnson & Johnson 3.625% 3/3/37 53,652 63,629
  Johnson & Johnson 3.400% 1/15/38 43,125 50,134
  Johnson & Johnson 2.100% 9/1/40 12,840 12,527
  Johnson & Johnson 3.700% 3/1/46 26,329 32,004
  Johnson & Johnson 3.750% 3/3/47 22,355 27,411
  Johnson & Johnson 2.450% 9/1/60 19,215 18,842
  Kaiser Foundation Hospitals 2.810% 6/1/41 21,395 22,417
  Kaiser Foundation Hospitals 4.875% 4/1/42 15,390 21,048
  Kaiser Foundation Hospitals 4.150% 5/1/47 17,944 22,844
  Kaiser Foundation Hospitals 3.266% 11/1/49 1,171 1,303
  Kaiser Foundation Hospitals 3.002% 6/1/51 27,655 29,310
  Mass General Brigham Inc. 3.192% 7/1/49 9,050 9,763
  Mass General Brigham Inc. 3.342% 7/1/60 34,775 39,588
  Mayo Clinic 3.774% 11/15/43 11,795 14,127
  Mayo Clinic 3.196% 11/15/61 23,785 26,586
6 Medtronic Global Holdings SCA 1.375% 10/15/40 700 888
  Medtronic Inc. 4.375% 3/15/35 12,878 16,341
  Medtronic Inc. 4.625% 3/15/45 14,809 19,841
  Memorial Sloan-Kettering Cancer Center 4.125% 7/1/52 2,000 2,605
  Merck & Co. Inc. 3.900% 3/7/39 2,000 2,412
  Merck & Co. Inc. 3.700% 2/10/45 75,455 89,170
  Merck & Co. Inc. 4.000% 3/7/49 18,729 23,366
98
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Mount Sinai Hospitals Group Inc. 3.391% 7/1/50 2,000 2,142
  New York and Presbyterian Hospital 2.256% 8/1/40 4,077 3,952
  New York and Presbyterian Hospital 4.024% 8/1/45 13,685 17,315
  New York and Presbyterian Hospital 4.063% 8/1/56 3,743 4,810
  New York and Presbyterian Hospital 4.763% 8/1/16 5,250 7,539
  Northwell Healthcare Inc. 4.800% 11/1/42 1,042 1,292
  Northwell Healthcare Inc. 3.979% 11/1/46 1,944 2,258
  Northwell Healthcare Inc. 4.260% 11/1/47 947 1,150
  Northwell Healthcare Inc. 3.809% 11/1/49 3,784 4,364
  Novant Health Inc. 2.637% 11/1/36 2,000 2,098
  Novant Health Inc. 3.168% 11/1/51 5,500 6,001
  Novant Health Inc. 3.318% 11/1/61 26,665 29,530
  Novartis Capital Corp. 4.400% 5/6/44 24,840 32,636
  Novartis Capital Corp. 2.750% 8/14/50 11,960 12,524
  NYU Langone Hospitals 4.784% 7/1/44 1,944 2,567
3 Organon & Co. / Organon Foreign Debt Co.-Issuer BV 4.125% 4/30/28 250 256
3 Organon & Co. / Organon Foreign Debt Co.-Issuer BV 5.125% 4/30/31 150 155
5 Orlando Health Obligated Group 3.327% 10/1/50 1,350 1,471
  Partners Healthcare System Inc. 3.765% 7/1/48 6,455 7,721
  PeaceHealth Obligated Group 4.787% 11/15/48 6,015 8,331
  Pfizer Inc. 4.100% 9/15/38 34,780 43,012
  Pfizer Inc. 3.900% 3/15/39 34,185 41,487
  Pfizer Inc. 7.200% 3/15/39 34,632 57,298
  Pfizer Inc. 4.300% 6/15/43 7,780 9,991
  Pfizer Inc. 4.400% 5/15/44 8,615 11,260
  Pfizer Inc. 4.125% 12/15/46 21,540 27,225
  Pfizer Inc. 4.200% 9/15/48 24,916 31,964
  Pfizer Inc. 4.000% 3/15/49 18,334 22,937
  Pfizer Inc. 2.700% 5/28/50 5,475 5,569
5 Providence St. Joseph Health Obligated Group 3.744% 10/1/47 4,605 5,397
  Stanford Health Care 3.310% 8/15/30 2,140 2,406
  Stanford Health Care 3.027% 8/15/51 25,000 26,582
  Sutter Health 3.161% 8/15/40 21,475 23,107
  Sutter Health 3.361% 8/15/50 11,962 13,078
  Takeda Pharmaceutical Co. Ltd. 3.025% 7/9/40 4,575 4,751
3 Tenet Healthcare Corp. 4.625% 9/1/24 20 20
3 Tenet Healthcare Corp. 7.500% 4/1/25 15 16
3 Tenet Healthcare Corp. 4.875% 1/1/26 192 199
3 Tenet Healthcare Corp. 6.250% 2/1/27 90 94
3 Tenet Healthcare Corp. 4.250% 6/1/29 278 283
  UnitedHealth Group Inc. 2.300% 5/15/31 17,775 18,515
  UnitedHealth Group Inc. 5.800% 3/15/36 34,886 50,092
  UnitedHealth Group Inc. 6.875% 2/15/38 10,130 15,961
  UnitedHealth Group Inc. 3.500% 8/15/39 20,796 23,694
  UnitedHealth Group Inc. 2.750% 5/15/40 10,135 10,503
  UnitedHealth Group Inc. 3.050% 5/15/41 21,325 22,883
  UnitedHealth Group Inc. 4.375% 3/15/42 23,917 30,212
  UnitedHealth Group Inc. 3.950% 10/15/42 1,041 1,260
  UnitedHealth Group Inc. 4.750% 7/15/45 53,920 72,514
  UnitedHealth Group Inc. 4.250% 4/15/47 12,111 15,329
  UnitedHealth Group Inc. 3.750% 10/15/47 25,610 30,191
  UnitedHealth Group Inc. 4.250% 6/15/48 26,467 33,614
  UnitedHealth Group Inc. 4.450% 12/15/48 2,890 3,792
  UnitedHealth Group Inc. 3.700% 8/15/49 19,722 23,190
  UnitedHealth Group Inc. 2.900% 5/15/50 3,000 3,113
  UnitedHealth Group Inc. 3.250% 5/15/51 36,010 39,648
  UnitedHealth Group Inc. 3.875% 8/15/59 20,185 24,755
6 Upjohn Finance BV 1.908% 6/23/32 1,000 1,292
3 Viatris Inc. 3.850% 6/22/40 5,600 6,106
  Wyeth LLC 6.500% 2/1/34 1,240 1,840
  Wyeth LLC 5.950% 4/1/37 53,438 77,931
99
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Yale-New Haven Health Services Corp. 2.496% 7/1/50 1,250 1,198
            2,387,584
Industrials (3.7%)
  3M Co. 3.700% 4/15/50 34,740 41,625
3 Air Canada 3.875% 8/15/26 195 196
3 Allied Universal Holdco LLC / Allied Universal Finance Corp. 6.000% 6/1/29 25 25
3 Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl 4.625% 6/1/28 35 35
3 Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl 4.625% 6/1/28 55 55
3 Allison Transmission Inc. 4.750% 10/1/27 291 303
3 Allison Transmission Inc. 3.750% 1/30/31 160 160
3 American Airlines Inc. / AAdvantage Loyalty IP Ltd. 5.500% 4/20/26 150 157
3,5 American Airlines Inc. / AAdvantage Loyalty IP Ltd. 5.750% 4/20/29 730 789
3 Aramark Services Inc. 6.375% 5/1/25 80 84
3 Aramark Services Inc. 5.000% 2/1/28 434 452
3 Atkore Inc. 4.250% 6/1/31 145 149
  Boeing Co. 5.705% 5/1/40 1,600 2,084
  Boeing Co. 5.930% 5/1/60 1,000 1,387
  Burlington Northern Santa Fe LLC 7.950% 8/15/30 1,658 2,461
  Burlington Northern Santa Fe LLC 5.750% 5/1/40 15,000 21,631
  Burlington Northern Santa Fe LLC 4.950% 9/15/41 2,000 2,675
  Burlington Northern Santa Fe LLC 4.400% 3/15/42 24,790 31,349
  Burlington Northern Santa Fe LLC 4.375% 9/1/42 41,150 52,213
  Burlington Northern Santa Fe LLC 4.450% 3/15/43 11,200 14,356
  Burlington Northern Santa Fe LLC 5.150% 9/1/43 500 696
  Burlington Northern Santa Fe LLC 4.900% 4/1/44 18,000 24,449
  Burlington Northern Santa Fe LLC 4.550% 9/1/44 43,085 56,262
  Burlington Northern Santa Fe LLC 4.150% 4/1/45 12,335 15,219
  Burlington Northern Santa Fe LLC 3.900% 8/1/46 7,265 8,706
  Burlington Northern Santa Fe LLC 4.125% 6/15/47 11,910 14,835
  Burlington Northern Santa Fe LLC 4.050% 6/15/48 3,141 3,877
  Burlington Northern Santa Fe LLC 4.150% 12/15/48 18,399 23,074
  Burlington Northern Santa Fe LLC 3.550% 2/15/50 24,445 28,243
  Burlington Northern Santa Fe LLC 3.050% 2/15/51 2,000 2,129
  Burlington Northern Santa Fe LLC 3.300% 9/15/51 17,015 18,901
  Canadian National Railway Co. 3.200% 8/2/46 1,000 1,068
  Canadian National Railway Co. 3.650% 2/3/48 28,169 32,161
  Canadian National Railway Co. 4.450% 1/20/49 15,410 19,838
3 Cargo Aircraft Management Inc. 4.750% 2/1/28 190 194
  Carrier Global Corp. 3.377% 4/5/40 2,000 2,161
  Caterpillar Inc. 6.050% 8/15/36 2,968 4,377
  Caterpillar Inc. 3.803% 8/15/42 26,112 32,041
  Caterpillar Inc. 3.250% 4/9/50 7,175 8,091
  Caterpillar Inc. 4.750% 5/15/64 7,048 10,422
3 Clark Equipment Co. 5.875% 6/1/25 90 95
3 Clean Harbors Inc. 4.875% 7/15/27 237 248
  Cummins Inc. 2.600% 9/1/50 2,000 1,958
  Delta Air Lines Inc. 2.900% 10/28/24 70 71
3 Delta Air Lines Inc. 7.000% 5/1/25 330 388
  Delta Air Lines Inc. 3.750% 10/28/29 160 159
  FedEx Corp. 3.250% 5/15/41 3,030 3,205
3 First Student Bidco Inc. / First Transit Parent Inc. 4.000% 7/31/29 235 235
4 Gatwick Funding Ltd. 2.500% 4/15/32 500 703
  General Dynamics Corp. 4.250% 4/1/40 6,325 7,898
  General Dynamics Corp. 4.250% 4/1/50 701 915
  General Electric Co. 4.250% 5/1/40 1,000 1,191
  General Electric Co. 4.350% 5/1/50 1,335 1,644
3 H&E Equipment Services Inc. 3.875% 12/15/28 335 332
  Honeywell International Inc. 5.700% 3/15/36 10,300 14,403
  Honeywell International Inc. 5.700% 3/15/37 6,250 8,828
  Honeywell International Inc. 2.800% 6/1/50 4,000 4,241
3 Interchile SA 4.500% 6/30/56 3,300 3,539
100
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
5 JetBlue Class AA Series 2019-1 Pass Through Trust 2.750% 11/15/33 1,343 1,356
  Lockheed Martin Corp. 3.600% 3/1/35 2,000 2,339
  Lockheed Martin Corp. 4.500% 5/15/36 17,189 21,978
  Lockheed Martin Corp. 4.070% 12/15/42 4,784 5,917
  Lockheed Martin Corp. 3.800% 3/1/45 8,572 10,233
  Lockheed Martin Corp. 4.700% 5/15/46 1,844 2,492
  Lockheed Martin Corp. 2.800% 6/15/50 37,945 39,024
  Lockheed Martin Corp. 4.090% 9/15/52 37,742 48,035
3 Madison IAQ LLC 4.125% 6/30/28 175 175
3 Madison IAQ LLC 5.875% 6/30/29 180 182
3 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. 6.500% 6/20/27 407 443
3 Mueller Water Products Inc. 4.000% 6/15/29 120 124
  Northrop Grumman Corp. 5.250% 5/1/50 700 1,008
  Raytheon Technologies Corp. 6.125% 7/15/38 7,535 10,975
  Raytheon Technologies Corp. 5.700% 4/15/40 1,000 1,419
  Raytheon Technologies Corp. 4.700% 12/15/41 29,685 38,232
  Raytheon Technologies Corp. 4.200% 12/15/44 1,000 1,167
  Raytheon Technologies Corp. 4.050% 5/4/47 4,000 4,813
  Raytheon Technologies Corp. 3.125% 7/1/50 2,000 2,115
3 Rolls-Royce plc 5.750% 10/15/27 900 986
  Stanley Black & Decker Inc. 4.850% 11/15/48 32,025 43,961
  Stanley Black & Decker Inc. 2.750% 11/15/50 2,030 2,026
3 TransDigm Inc. 8.000% 12/15/25 55 59
3 TransDigm Inc. 6.250% 3/15/26 574 603
  TransDigm Inc. 5.500% 11/15/27 160 165
3 TransDigm Inc. 4.875% 5/1/29 300 302
  Union Pacific Corp. 3.550% 5/20/61 3,660 4,053
5 United Airlines Class AA Series 2019-2 Pass Through Trust 2.700% 11/1/33 1,868 1,874
  United Airlines Holdings Inc. 4.875% 1/15/25 75 77
3 United Airlines Inc. 4.375% 4/15/26 330 339
3 United Airlines Inc. 4.625% 4/15/29 300 309
  United Parcel Service Inc. 6.200% 1/15/38 4,311 6,464
  United Parcel Service Inc. 4.250% 3/15/49 2,000 2,594
  United Parcel Service Inc. 3.400% 9/1/49 3,837 4,422
  United Parcel Service Inc. 5.300% 4/1/50 2,205 3,297
  United Rentals North America Inc. 3.875% 2/15/31 235 242
  United Rentals North America Inc. 3.750% 1/15/32 120 121
3 WESCO Distribution Inc. 7.250% 6/15/28 260 290
            793,194
Materials (0.5%)
  Air Products and Chemicals Inc. 2.700% 5/15/40 2,995 3,129
3 Arconic Corp. 6.000% 5/15/25 45 48
3 Arconic Rolled Products Corp. 6.125% 2/15/28 95 102
3 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 5.250% 4/30/25 102 106
3 Ardagh Packaging Finance plc / Ardagh Holdings USA Inc. 4.125% 8/15/26 130 134
3 Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.750% 6/15/27 75 79
  Ball Corp. 5.000% 3/15/22 55 56
  Ball Corp. 2.875% 8/15/30 60 59
3 Berry Global Inc. 4.875% 7/15/26 236 249
3 Berry Global Inc. 5.625% 7/15/27 290 306
  BHP Billiton Finance USA Ltd. 4.125% 2/24/42 17,947 22,414
  BHP Billiton Finance USA Ltd. 5.000% 9/30/43 4,310 6,035
3 Big River Steel LLC / BRS Finance Corp. 6.625% 1/31/29 150 165
  Ecolab Inc. 3.950% 12/1/47 1,000 1,241
  Ecolab Inc. 2.125% 8/15/50 1,000 924
3 Element Solutions Inc. 3.875% 9/1/28 115 118
3 FMG Resources August 2006 Pty Ltd. 4.500% 9/15/27 30 33
  Freeport-McMoRan Inc. 4.125% 3/1/28 555 581
  Freeport-McMoRan Inc. 4.375% 8/1/28 275 291
  Freeport-McMoRan Inc. 4.250% 3/1/30 115 124
  Freeport-McMoRan Inc. 4.625% 8/1/30 265 291
101
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Freeport-McMoRan Inc. 5.450% 3/15/43 65 84
6 Glencore Capital Finance DAC 1.250% 3/1/33 700 837
3 Graphic Packaging International LLC 3.500% 3/15/28 85 86
3 Graphic Packaging International LLC 3.500% 3/1/29 58 58
3 Hudbay Minerals Inc. 4.500% 4/1/26 305 310
3 INEOS Quattro Finance 2 plc 3.375% 1/15/26 60 60
3 Ingevity Corp. 3.875% 11/1/28 80 80
3 Kraton Polymers LLC / Kraton Polymers Capital Corp. 4.250% 12/15/25 60 61
  Linde Inc. 3.550% 11/7/42 2,349 2,784
3 OCI NV 5.250% 11/1/24 144 148
3 OCI NV 4.625% 10/15/25 45 47
3 OCP SA 5.125% 6/23/51 2,400 2,449
3 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 4.000% 10/15/27 280 280
  Rio Tinto Finance USA plc 4.125% 8/21/42 44,895 56,350
3 Trivium Packaging Finance BV 5.500% 8/15/26 50 52
  United States Steel Corp. 6.875% 3/1/29 295 320
            100,491
Real Estate (0.5%)
  Agree LP 2.600% 6/15/33 1,760 1,789
  Alexandria Real Estate Equities Inc. 1.875% 2/1/33 1,535 1,488
  Alexandria Real Estate Equities Inc. 4.850% 4/15/49 750 995
  Alexandria Real Estate Equities Inc. 4.000% 2/1/50 1,937 2,295
  Alexandria Real Estate Equities Inc. 3.000% 5/18/51 3,520 3,566
  American Homes 4 Rent LP 3.375% 7/15/51 1,925 1,993
6 American Tower Corp. 1.250% 5/21/33 1,281 1,585
  American Tower Corp. 3.700% 10/15/49 5,000 5,565
4 Aroundtown SA 3.625% 4/10/31 1,500 2,346
  Crown Castle International Corp. 4.150% 7/1/50 2,850 3,343
3 CTR Partnership LP / CareTrust Capital Corp. 3.875% 6/30/28 149 153
6 Digital Dutch Finco BV 1.000% 1/15/32 1,000 1,204
  ERP Operating LP 4.500% 7/1/44 289 376
  Essex Portfolio LP 4.500% 3/15/48 3,200 4,000
3 HAT Holdings I LLC / HAT Holdings II LLC 3.375% 6/15/26 150 152
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 5.625% 5/1/24 112 121
3 MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.625% 6/15/25 247 263
  MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc. 4.500% 9/1/26 153 163
  National Retail Properties Inc. 4.800% 10/15/48 500 646
  National Retail Properties Inc. 3.100% 4/15/50 3,400 3,409
  National Retail Properties Inc. 3.500% 4/15/51 3,330 3,607
3 Ontario Teachers' Cadillac Fairview Properties Trust 4.125% 2/1/29 3,000 3,440
3 Realogy Group LLC / Realogy Co-issuer Corp. 7.625% 6/15/25 30 32
3 Sba Communications Corp. 3.125% 2/1/29 280 275
6 Simon International Finance SCA 1.125% 3/19/33 1,600 1,965
  Simon Property Group LP 4.250% 10/1/44 715 857
  Simon Property Group LP 3.250% 9/13/49 45,780 48,120
  Simon Property Group LP 3.800% 7/15/50 7,500 8,532
3 Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC 7.875% 2/15/25 80 85
3 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC 4.750% 4/15/28 125 126
3 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC 6.500% 2/15/29 195 198
  VEREIT Operating Partnership LP 2.850% 12/15/32 1,350 1,448
            104,137
Technology (10.4%)
  Apple Inc. 2.375% 2/8/41 28,015 27,570
  Apple Inc. 3.850% 5/4/43 63,204 76,237
  Apple Inc. 3.450% 2/9/45 45,360 51,546
  Apple Inc. 4.375% 5/13/45 47,166 60,525
  Apple Inc. 4.650% 2/23/46 40,667 54,289
  Apple Inc. 3.850% 8/4/46 40,245 48,285
  Apple Inc. 4.250% 2/9/47 39,099 49,643
102
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Apple Inc. 3.750% 11/13/47 24,095 28,573
  Apple Inc. 2.950% 9/11/49 34,025 35,636
  Apple Inc. 2.650% 2/8/51 40,650 40,452
  Apple Inc. 2.700% 8/5/51 38,700 38,781
  Apple Inc. 2.550% 8/20/60 22,640 21,354
  Applied Materials Inc. 5.100% 10/1/35 95 127
  Applied Materials Inc. 4.350% 4/1/47 1,775 2,291
  CDW LLC / CDW Finance Corp. 4.125% 5/1/25 95 99
  Cisco Systems Inc. 5.900% 2/15/39 23,465 34,228
  Cisco Systems Inc. 5.500% 1/15/40 15,202 21,558
3 Clarivate Science Holdings Corp. 3.875% 6/30/28 150 151
3 Clarivate Science Holdings Corp. 4.875% 6/30/29 230 232
3 CommScope Inc. 6.000% 3/1/26 65 68
3 CommScope Inc. 8.250% 3/1/27 120 127
3 CommScope Inc. 7.125% 7/1/28 191 206
  Dell International LLC / EMC Corp. 8.100% 7/15/36 4,000 6,225
  Dell International LLC / EMC Corp. 8.350% 7/15/46 1,000 1,658
3 Entegris Inc. 3.625% 5/1/29 140 144
6 Fidelity National Information Services Inc. 2.000% 5/21/30 1,700 2,274
  Intel Corp. 4.100% 5/19/46 23,330 28,146
  Intel Corp. 4.100% 5/11/47 34,841 42,224
  Intel Corp. 3.734% 12/8/47 56,122 64,594
  Intel Corp. 3.250% 11/15/49 48,560 52,017
  Intel Corp. 4.750% 3/25/50 3,500 4,701
  Intel Corp. 3.100% 2/15/60 26,905 27,620
  International Business Machines Corp. 4.150% 5/15/39 95,670 115,544
  International Business Machines Corp. 4.000% 6/20/42 10,633 12,638
  International Business Machines Corp. 4.250% 5/15/49 50,715 63,648
  Lam Research Corp. 2.875% 6/15/50 6,795 7,019
  Mastercard Inc. 3.800% 11/21/46 2,000 2,418
  Mastercard Inc. 3.950% 2/26/48 25,075 31,022
  Mastercard Inc. 3.650% 6/1/49 2,422 2,877
  Mastercard Inc. 3.850% 3/26/50 12,150 15,016
  Mastercard Inc. 2.950% 3/15/51 10,865 11,567
  Microsoft Corp. 3.500% 2/12/35 10,553 12,524
  Microsoft Corp. 3.450% 8/8/36 12,745 15,025
  Microsoft Corp. 2.525% 6/1/50 240,789 241,009
  Microsoft Corp. 2.921% 3/17/52 134,575 145,198
  Microsoft Corp. 2.675% 6/1/60 66,699 67,656
  Microsoft Corp. 3.041% 3/17/62 49,409 54,324
3 MSCI Inc. 3.625% 9/1/30 125 131
3 MSCI Inc. 3.625% 11/1/31 225 238
3 Nielsen Finance LLC / Nielsen Finance Co. 5.625% 10/1/28 165 174
  NVIDIA Corp. 3.500% 4/1/40 24,525 28,190
  NVIDIA Corp. 3.500% 4/1/50 22,660 26,191
  NVIDIA Corp. 3.700% 4/1/60 13,840 16,637
  Oracle Corp. 4.300% 7/8/34 8,000 9,442
  Oracle Corp. 6.500% 4/15/38 42,605 61,058
  Oracle Corp. 3.600% 4/1/40 2,000 2,139
  Oracle Corp. 5.375% 7/15/40 42,740 55,910
  Oracle Corp. 3.650% 3/25/41 5,800 6,262
  Oracle Corp. 4.125% 5/15/45 24,805 27,926
  Oracle Corp. 4.000% 7/15/46 32,790 36,313
  Oracle Corp. 4.375% 5/15/55 15,000 17,594
  QUALCOMM Inc. 4.800% 5/20/45 12,300 16,634
  QUALCOMM Inc. 4.300% 5/20/47 55,300 70,712
  S&P Global Inc. 3.250% 12/1/49 2,000 2,211
3 Sabre GLBL Inc. 9.250% 4/15/25 75 88
3 Sabre GLBL Inc. 7.375% 9/1/25 94 100
  salesforce.com Inc. 2.700% 7/15/41 5,470 5,591
  salesforce.com Inc. 2.900% 7/15/51 35,720 36,761
103
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  salesforce.com Inc. 3.050% 7/15/61 24,175 25,187
3 Seagate HDD Cayman 3.125% 7/15/29 70 69
3 Square Inc. 2.750% 6/1/26 85 87
3 Square Inc. 3.500% 6/1/31 175 181
3 SS&C Technologies Inc. 5.500% 9/30/27 505 535
  Texas Instruments Inc. 3.875% 3/15/39 5,056 6,178
  Visa Inc. 4.150% 12/14/35 20,145 25,181
  Visa Inc. 2.700% 4/15/40 5,500 5,776
  Visa Inc. 4.300% 12/14/45 35,196 45,617
  Visa Inc. 3.650% 9/15/47 37,123 44,174
  Visa Inc. 2.000% 8/15/50 43,570 39,007
  Western Digital Corp. 4.750% 2/15/26 279 310
            2,231,670
Utilities (14.1%)
  AEP Texas Inc. 4.150% 5/1/49 947 1,125
  AEP Transmission Co. LLC 4.000% 12/1/46 710 864
  AEP Transmission Co. LLC 3.750% 12/1/47 40,313 47,400
  AEP Transmission Co. LLC 4.250% 9/15/48 5,580 7,062
  Alabama Power Co. 6.000% 3/1/39 7,535 10,912
  Alabama Power Co. 5.500% 3/15/41 26,874 36,951
  Alabama Power Co. 5.200% 6/1/41 14,920 19,811
  Alabama Power Co. 3.850% 12/1/42 1,065 1,253
  Alabama Power Co. 3.750% 3/1/45 23,325 27,017
  Alabama Power Co. 3.450% 10/1/49 1,944 2,179
  Alabama Power Co. 3.125% 7/15/51 2,700 2,873
  Ameren Illinois Co. 3.700% 12/1/47 10,000 11,790
  Ameren Illinois Co. 4.500% 3/15/49 26,150 34,485
  Ameren Illinois Co. 2.900% 6/15/51 3,000 3,127
  American Water Capital Corp. 3.450% 5/1/50 10,630 11,838
  Appalachian Power Co. 6.700% 8/15/37 32,970 48,054
  Appalachian Power Co. 4.400% 5/15/44 1,995 2,439
  Appalachian Power Co. 4.500% 3/1/49 2,070 2,617
  Appalachian Power Co. 3.700% 5/1/50 3,760 4,288
6 APT Pipelines Ltd. 1.250% 3/15/33 500 608
  Atmos Energy Corp. 4.150% 1/15/43 1,420 1,705
  Atmos Energy Corp. 3.375% 9/15/49 2,890 3,217
  Baltimore Gas and Electric Co. 6.350% 10/1/36 1,165 1,710
  Baltimore Gas and Electric Co. 4.250% 9/15/48 26,475 33,660
  Baltimore Gas and Electric Co. 2.900% 6/15/50 1,480 1,519
  Berkshire Hathaway Energy Co. 6.125% 4/1/36 11,612 16,631
  Berkshire Hathaway Energy Co. 5.950% 5/15/37 2,890 4,026
  Berkshire Hathaway Energy Co. 5.150% 11/15/43 25,000 33,652
  Berkshire Hathaway Energy Co. 4.500% 2/1/45 43,625 54,493
  Berkshire Hathaway Energy Co. 4.450% 1/15/49 5,000 6,411
  Berkshire Hathaway Energy Co. 2.850% 5/15/51 3,300 3,284
3 Brooklyn Union Gas Co. 4.487% 3/4/49 35,000 42,357
4 Cadent Finance plc 3.125% 3/21/40 1,000 1,581
3 Calpine Corp. 4.500% 2/15/28 185 191
  CenterPoint Energy Houston Electric LLC 2.900% 7/1/50 3,400 3,545
  CenterPoint Energy Houston Electric LLC 3.350% 4/1/51 1,330 1,506
  Clearway Energy Operating LLC 5.000% 9/15/26 110 113
3 Clearway Energy Operating LLC 4.750% 3/15/28 100 106
3 Comision Federal de Electricidad 4.677% 2/9/51 475 465
  Comision Federal de Electricidad 4.677% 2/9/51 690 676
  Commonwealth Edison Co. 5.900% 3/15/36 2,370 3,436
  Commonwealth Edison Co. 3.800% 10/1/42 20,733 24,417
  Commonwealth Edison Co. 4.600% 8/15/43 15,205 19,778
  Commonwealth Edison Co. 4.700% 1/15/44 15,891 20,917
  Commonwealth Edison Co. 3.700% 3/1/45 17,765 20,709
  Commonwealth Edison Co. 4.350% 11/15/45 11,060 13,983
  Commonwealth Edison Co. 3.650% 6/15/46 11,552 13,400
104
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Commonwealth Edison Co. 4.000% 3/1/48 8,765 10,749
  Commonwealth Edison Co. 4.000% 3/1/49 13,485 16,657
  Commonwealth Edison Co. 3.125% 3/15/51 2,060 2,228
  Connecticut Light and Power Co. 6.350% 6/1/36 14,382 20,558
  Connecticut Light and Power Co. 4.300% 4/15/44 1,390 1,772
  Connecticut Light and Power Co. 4.150% 6/1/45 17,480 21,851
  Consolidated Edison Co. of New York Inc. 5.100% 6/15/33 691 851
  Consolidated Edison Co. of New York Inc. 5.850% 3/15/36 9,947 13,604
  Consolidated Edison Co. of New York Inc. 6.200% 6/15/36 10,637 15,209
  Consolidated Edison Co. of New York Inc. 6.750% 4/1/38 9,600 14,502
  Consolidated Edison Co. of New York Inc. 5.500% 12/1/39 8,668 11,799
  Consolidated Edison Co. of New York Inc. 5.700% 6/15/40 7,947 11,046
  Consolidated Edison Co. of New York Inc. 4.200% 3/15/42 10,501 12,553
  Consolidated Edison Co. of New York Inc. 3.950% 3/1/43 8,740 10,150
  Consolidated Edison Co. of New York Inc. 4.450% 3/15/44 50,016 61,777
  Consolidated Edison Co. of New York Inc. 4.500% 12/1/45 5,715 7,099
  Consolidated Edison Co. of New York Inc. 3.850% 6/15/46 7,000 7,999
  Consolidated Edison Co. of New York Inc. 3.875% 6/15/47 1,000 1,143
  Consolidated Edison Co. of New York Inc. 4.650% 12/1/48 1,000 1,277
  Consolidated Edison Co. of New York Inc. 4.125% 5/15/49 5,085 6,064
  Consolidated Edison Co. of New York Inc. 3.950% 4/1/50 1,000 1,170
  Consolidated Edison Co. of New York Inc. 4.500% 5/15/58 947 1,194
  Consumers Energy Co. 3.250% 8/15/46 1,000 1,101
  Consumers Energy Co. 3.750% 2/15/50 1,944 2,353
  Consumers Energy Co. 3.100% 8/15/50 31,227 34,104
  Consumers Energy Co. 2.500% 5/1/60 20,740 19,477
  Dominion Energy South Carolina Inc. 6.050% 1/15/38 11,775 17,043
  Dominion Energy South Carolina Inc. 5.450% 2/1/41 3,000 4,203
  Dominion Energy South Carolina Inc. 4.600% 6/15/43 2,340 3,043
  DTE Electric Co. 4.300% 7/1/44 1,220 1,540
  DTE Electric Co. 3.700% 3/15/45 2,910 3,407
  DTE Electric Co. 4.050% 5/15/48 947 1,178
  DTE Electric Co. 2.950% 3/1/50 2,235 2,360
  DTE Electric Co. 3.250% 4/1/51 2,000 2,224
  Duke Energy Carolinas LLC 6.100% 6/1/37 28,230 39,904
  Duke Energy Carolinas LLC 5.300% 2/15/40 8,910 12,313
  Duke Energy Carolinas LLC 4.250% 12/15/41 16,300 20,145
  Duke Energy Carolinas LLC 4.000% 9/30/42 42,092 50,730
  Duke Energy Carolinas LLC 3.750% 6/1/45 1,643 1,910
  Duke Energy Carolinas LLC 3.700% 12/1/47 1,500 1,746
  Duke Energy Carolinas LLC 3.200% 8/15/49 10,922 11,838
  Duke Energy Carolinas LLC 3.450% 4/15/51 13,045 14,800
  Duke Energy Florida LLC 6.350% 9/15/37 758 1,138
  Duke Energy Florida LLC 5.650% 4/1/40 1,200 1,714
  Duke Energy Florida LLC 3.400% 10/1/46 2,000 2,225
  Duke Energy Florida LLC 4.200% 7/15/48 1,000 1,257
  Duke Energy Indiana LLC 6.120% 10/15/35 1,927 2,706
  Duke Energy Indiana LLC 6.350% 8/15/38 775 1,155
  Duke Energy Indiana LLC 6.450% 4/1/39 10,411 15,600
  Duke Energy Indiana LLC 4.200% 3/15/42 12,700 15,092
  Duke Energy Indiana LLC 4.900% 7/15/43 29,514 38,928
  Duke Energy Ohio Inc. 3.700% 6/15/46 10,325 11,900
  Duke Energy Ohio Inc. 4.300% 2/1/49 1,000 1,269
  Duke Energy Progress LLC 4.100% 5/15/42 2,250 2,733
  Duke Energy Progress LLC 4.100% 3/15/43 23,186 28,415
  Duke Energy Progress LLC 4.150% 12/1/44 29,945 37,108
  Duke Energy Progress LLC 4.200% 8/15/45 22,105 27,398
  Duke Energy Progress LLC 3.700% 10/15/46 27,000 31,490
4 E.ON International Finance BV 4.750% 1/31/34 1,200 2,169
4 E.ON International Finance BV 6.750% 1/27/39 600 1,387
4 Enel Finance International NV 5.750% 9/14/40 600 1,296
105
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Entergy Arkansas LLC 2.650% 6/15/51 1,665 1,632
  Entergy Louisiana LLC 4.000% 3/15/33 651 776
  Entergy Louisiana LLC 4.950% 1/15/45 1,046 1,149
  Entergy Louisiana LLC 4.200% 9/1/48 1,000 1,255
  Entergy Louisiana LLC 4.200% 4/1/50 1,500 1,895
  Entergy Louisiana LLC 2.900% 3/15/51 2,000 2,046
  Evergy Kansas Central Inc. 4.125% 3/1/42 1,112 1,350
  Evergy Kansas Central Inc. 4.625% 9/1/43 1,231 1,553
  Evergy Kansas Central Inc. 3.250% 9/1/49 8,050 8,715
  Evergy Kansas Central Inc. 3.450% 4/15/50 500 563
  FirstEnergy Corp. 4.650% 7/15/27 255 285
  FirstEnergy Corp. 2.650% 3/1/30 200 204
  FirstEnergy Corp. 3.400% 3/1/50 75 76
  Florida Power & Light Co. 5.960% 4/1/39 947 1,407
  Florida Power & Light Co. 5.690% 3/1/40 663 970
  Florida Power & Light Co. 5.250% 2/1/41 2,779 3,894
  Florida Power & Light Co. 3.950% 3/1/48 5,859 7,277
  Florida Power & Light Co. 3.990% 3/1/49 2,890 3,605
  Florida Power & Light Co. 3.150% 10/1/49 1,000 1,109
  Georgia Power Co. 4.750% 9/1/40 33,945 42,675
  Georgia Power Co. 4.300% 3/15/42 11,841 14,310
  Georgia Power Co. 3.700% 1/30/50 17,230 19,242
5 John Sevier Combined Cycle Generation LLC 4.626% 1/15/42 20,164 24,527
  Kentucky Utilities Co. 5.125% 11/1/40 2,894 3,872
  Kentucky Utilities Co. 4.375% 10/1/45 18,000 22,481
  Kentucky Utilities Co. 3.300% 6/1/50 1,900 2,089
  Louisville Gas and Electric Co. 4.250% 4/1/49 17,050 21,530
3 Massachusetts Electric Co. 4.004% 8/15/46 10,890 12,517
  MidAmerican Energy Co. 5.800% 10/15/36 473 676
  MidAmerican Energy Co. 4.800% 9/15/43 27,525 36,657
  MidAmerican Energy Co. 4.250% 5/1/46 24,721 31,263
  MidAmerican Energy Co. 4.250% 7/15/49 15,510 19,841
  MidAmerican Energy Co. 3.150% 4/15/50 1,000 1,089
  MidAmerican Energy Co. 2.700% 8/1/52 1,250 1,259
3 Monongahela Power Co. 5.400% 12/15/43 15,640 21,111
  National Rural Utilities Cooperative Finance Corp. 4.023% 11/1/32 2,100 2,511
  National Rural Utilities Cooperative Finance Corp. 4.300% 3/15/49 13,055 16,784
  Nevada Power Co. 6.650% 4/1/36 5,830 8,750
  Nevada Power Co. 5.375% 9/15/40 16,430 22,117
  Nevada Power Co. 5.450% 5/15/41 21,620 29,674
3 New England Power Co. 2.807% 10/6/50 15,615 14,951
  Northern States Power Co. 6.250% 6/1/36 780 1,142
  Northern States Power Co. 6.200% 7/1/37 27,844 41,435
  Northern States Power Co. 5.350% 11/1/39 758 1,068
  Northern States Power Co. 3.400% 8/15/42 1,000 1,141
  Northern States Power Co. 4.000% 8/15/45 805 983
  Northern States Power Co. 3.600% 9/15/47 9,675 11,298
  Northern States Power Co. 4.200% 9/1/48 12,250 15,074
  Northern States Power Co. 2.600% 6/1/51 14,765 14,680
  NRG Energy Inc. 7.250% 5/15/26 259 270
  NRG Energy Inc. 6.625% 1/15/27 80 83
3 NRG Energy Inc. 3.625% 2/15/31 175 177
  Oglethorpe Power Corp. 4.200% 12/1/42 11,677 13,197
  Ohio Power Co. 4.000% 6/1/49 734 890
  Oncor Electric Delivery Co. LLC 7.500% 9/1/38 1,420 2,353
  Oncor Electric Delivery Co. LLC 5.250% 9/30/40 3,103 4,295
  Oncor Electric Delivery Co. LLC 4.550% 12/1/41 6,300 8,218
  Oncor Electric Delivery Co. LLC 3.750% 4/1/45 7,120 8,427
  Oncor Electric Delivery Co. LLC 3.800% 9/30/47 16,908 20,275
  Oncor Electric Delivery Co. LLC 3.800% 6/1/49 1,420 1,724
  PacifiCorp 5.250% 6/15/35 1,232 1,647
106
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  PacifiCorp 6.100% 8/1/36 14,920 21,276
  PacifiCorp 6.250% 10/15/37 7,772 11,264
  PacifiCorp 6.350% 7/15/38 35,944 52,564
  PacifiCorp 6.000% 1/15/39 32,206 46,539
  PacifiCorp 4.100% 2/1/42 19,700 23,694
  PacifiCorp 4.125% 1/15/49 3,837 4,696
  PacifiCorp 4.150% 2/15/50 44,530 55,247
  PacifiCorp 3.300% 3/15/51 1,000 1,089
3 Pattern Energy Operations LP / Pattern Energy Operations Inc. 4.500% 8/15/28 100 103
  PECO Energy Co. 4.800% 10/15/43 10,365 13,631
  PECO Energy Co. 4.150% 10/1/44 396 494
  PECO Energy Co. 3.700% 9/15/47 15,500 18,259
  PECO Energy Co. 3.900% 3/1/48 32,240 39,335
  PECO Energy Co. 3.050% 3/15/51 16,655 17,911
3,6 Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 1.875% 11/5/31 1,690 1,946
  Potomac Electric Power Co. 6.500% 11/15/37 1,160 1,742
  Potomac Electric Power Co. 7.900% 12/15/38 142 237
  Potomac Electric Power Co. 4.150% 3/15/43 13,575 16,744
  PPL Electric Utilities Corp. 6.450% 8/15/37 10,200 14,819
  PPL Electric Utilities Corp. 6.250% 5/15/39 10,924 16,206
  PPL Electric Utilities Corp. 5.200% 7/15/41 1,183 1,585
  PPL Electric Utilities Corp. 3.950% 6/1/47 12,500 15,261
  Public Service Co. of Colorado 6.250% 9/1/37 960 1,437
  Public Service Co. of Colorado 3.600% 9/15/42 20,555 23,887
  Public Service Co. of Colorado 4.300% 3/15/44 2,761 3,472
  Public Service Co. of Colorado 3.800% 6/15/47 570 683
  Public Service Co. of Colorado 4.050% 9/15/49 34,010 42,764
  Public Service Co. of Colorado 3.200% 3/1/50 7,940 8,837
  Public Service Electric and Gas Co. 3.650% 9/1/42 21,083 24,531
  Public Service Electric and Gas Co. 3.850% 5/1/49 2,890 3,523
  Public Service Electric and Gas Co. 3.200% 8/1/49 1,065 1,178
  Public Service Electric and Gas Co. 3.000% 3/1/51 3,000 3,237
  Puget Sound Energy Inc. 6.274% 3/15/37 473 680
  Puget Sound Energy Inc. 5.757% 10/1/39 1,042 1,464
  Puget Sound Energy Inc. 5.795% 3/15/40 15,992 22,837
  Puget Sound Energy Inc. 4.300% 5/20/45 379 472
  Puget Sound Energy Inc. 4.223% 6/15/48 29,820 37,363
  Puget Sound Energy Inc. 3.250% 9/15/49 35,150 38,224
  San Diego Gas & Electric Co. 3.750% 6/1/47 1,000 1,163
  San Diego Gas & Electric Co. 4.100% 6/15/49 2,081 2,572
  San Diego Gas & Electric Co. 3.320% 4/15/50 3,795 4,163
  Southern California Edison Co. 6.000% 1/15/34 1,000 1,329
  Southern California Edison Co. 5.625% 2/1/36 925 1,195
  Southern California Edison Co. 5.950% 2/1/38 11,060 14,566
  Southern California Edison Co. 4.500% 9/1/40 14,228 16,580
  Southern California Edison Co. 3.900% 12/1/41 7,660 8,079
  Southern California Edison Co. 4.050% 3/15/42 1,704 1,859
  Southern California Edison Co. 3.900% 3/15/43 21,775 23,128
  Southern California Edison Co. 4.650% 10/1/43 21,739 25,129
  Southern California Edison Co. 3.600% 2/1/45 3,837 3,883
  Southern California Edison Co. 4.000% 4/1/47 31,200 33,248
  Southern California Edison Co. 4.125% 3/1/48 36,182 39,344
  Southern California Edison Co. 3.650% 2/1/50 22,870 23,319
  Southern California Edison Co. 2.950% 2/1/51 805 746
  Southern California Gas Co. 5.125% 11/15/40 1,870 2,492
  Southern California Gas Co. 4.125% 6/1/48 30,835 37,987
  Southern California Gas Co. 4.300% 1/15/49 15,075 19,177
  Southwestern Public Service Co. 4.500% 8/15/41 23,975 30,253
  Southwestern Public Service Co. 3.700% 8/15/47 20,540 23,693
  Southwestern Public Service Co. 3.750% 6/15/49 1,420 1,688
  Southwestern Public Service Co. 3.150% 5/1/50 10,750 11,612
107
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Tampa Electric Co. 6.150% 5/15/37 12,220 17,075
  Tampa Electric Co. 3.450% 3/15/51 2,000 2,252
  Tucson Electric Power Co. 3.250% 5/1/51 20,000 21,385
  Union Electric Co. 3.900% 9/15/42 4,326 5,105
  Union Electric Co. 4.000% 4/1/48 20,290 24,770
  Union Electric Co. 3.250% 10/1/49 2,025 2,227
  Virginia Electric and Power Co. 6.000% 5/15/37 57,203 81,192
  Virginia Electric and Power Co. 6.350% 11/30/37 1,944 2,869
  Virginia Electric and Power Co. 4.450% 2/15/44 15,490 19,673
  Virginia Electric and Power Co. 4.000% 11/15/46 8,725 10,485
  Virginia Electric and Power Co. 3.800% 9/15/47 29,319 34,498
  Virginia Electric and Power Co. 4.600% 12/1/48 7,310 9,694
  Virginia Electric and Power Co. 3.300% 12/1/49 1,400 1,544
  Virginia Electric and Power Co. 2.450% 12/15/50 1,615 1,529
3 Vistra Operations Co. LLC 5.625% 2/15/27 105 109
3 Vistra Operations Co. LLC 5.000% 7/31/27 200 207
3 Vistra Operations Co. LLC 4.375% 5/1/29 200 205
  Wisconsin Electric Power Co. 5.625% 5/15/33 521 699
  Wisconsin Public Service Corp. 3.300% 9/1/49 1,944 2,129
            3,037,979
Total Corporate Bonds (Cost $14,471,128) 16,998,307
Sovereign Bonds (1.6%)
3 Banque Ouest Africaine de Developpement 4.700% 10/22/31 670 732
3 CDP Financial Inc. 5.600% 11/25/39 1,500 2,137
3 Export-Import Bank of India 3.875% 2/1/28 960 1,046
  Federative Republic of Brazil 4.625% 1/13/28 5,099 5,533
  Federative Republic of Brazil 4.750% 1/14/50 3,417 3,289
3,6 Kingdom of Morocco 2.000% 9/30/30 2,130 2,515
3 Kingdom of Saudi Arabia 3.450% 2/2/61 27,460 27,523
  Panama Bonos del Tesoro 3.362% 6/30/31 2,255 2,278
6 Republic of Chile 1.300% 7/26/36 3,890 4,597
  Republic of Chile 3.100% 5/7/41 78,715 79,649
  Republic of Chile 3.500% 1/25/50 55,212 58,379
  Republic of Chile 3.500% 4/15/53 17,695 18,758
  Republic of Chile 3.100% 1/22/61 23,330 22,470
  Republic of Colombia 10.375% 1/28/33 1,259 1,886
  Republic of Colombia 5.000% 6/15/45 6,188 6,472
  Republic of Guatemala 5.375% 4/24/32 497 573
5 Republic of Panama 4.500% 4/16/50 700 798
5 Republic of Panama 3.870% 7/23/60 2,798 2,886
3,6 Romania 1.750% 7/13/30 8,600 10,210
3,6 Romania 2.875% 4/13/42 1,190 1,392
  State of Israel 3.375% 1/15/50 752 824
  State of Israel 3.875% 7/3/50 21,945 26,000
  State of Israel 3.800% 5/13/60 6,584 7,666
  State of Israel 4.500% 4/3/20 3,192 4,132
3 State of Qatar 5.103% 4/23/48 765 1,026
3 State of Qatar 4.817% 3/14/49 18,835 24,519
3 State of Qatar 4.400% 4/16/50 9,215 11,370
6 United Mexican States 3.625% 4/9/29 741 1,026
  United Mexican States 4.500% 4/22/29 6,850 7,803
  United Mexican States 3.771% 5/24/61 1,570 1,472
Total Sovereign Bonds (Cost $327,715) 338,961
Taxable Municipal Bonds (8.4%)
  Allentown Neighborhood Improvement Zone Development Authority Sales Tax Revenue 5.620% 5/1/22 1,930 1,961
  American Municipal Power Inc. Electric Power & Light Revenue 6.270% 2/15/50 43,016 61,842
  Bay Area Toll Authority Highway Revenue 6.793% 4/1/30 1,449 1,833
  Bay Area Toll Authority Highway Revenue 6.918% 4/1/40 23,745 36,392
108
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Bay Area Toll Authority Highway Revenue 6.263% 4/1/49 10,420 17,126
  Bay Area Toll Authority Highway Revenue 3.552% 4/1/54 8,595 9,028
  California GO 2.500% 10/1/29 4,500 4,820
  California GO 4.600% 4/1/38 31,195 36,656
  California GO 7.550% 4/1/39 7,255 12,590
  California GO 7.300% 10/1/39 47,286 76,788
  California GO 7.600% 11/1/40 56,685 100,834
  California State Public Works Board Lease (Abatement) Revenue 8.361% 10/1/34 1,136 1,833
  California State University College & University Revenue 2.975% 11/1/51 27,825 29,619
  California State University College & University Revenue 2.719% 11/1/52 10,925 10,932
  Chicago O'Hare International Airport Port, Airport & Marina Revenue 4.472% 1/1/49 11,525 15,250
  Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue 6.899% 12/1/40 43,340 62,888
  Chicago Transit Authority Sales & Transfer Tax Receipts Sales Tax Revenue 6.899% 12/1/40 9,620 13,959
7 Commonwealth Financing Authority Appropriations Revenue 5.197% 6/1/26 2,417 2,707
  Commonwealth Financing Authority Appropriations Revenue 4.144% 6/1/38 17,060 20,561
  Commonwealth Financing Authority Appropriations Revenue (Plancon Program) 3.864% 6/1/38 19,285 22,394
  Commonwealth of Massachusetts GO 2.514% 7/1/41 5,570 5,626
  Commonwealth of Massachusetts GO 2.813% 9/1/43 40,910 44,203
  Commonwealth of Massachusetts GO 2.900% 9/1/49 1,275 1,381
  Dallas Area Rapid Transit Sales Tax Revenue 5.999% 12/1/44 189 294
  Dallas-Fort Worth International Airport Port, Airport & Marina Revenue 3.089% 11/1/40 4,195 4,368
  District of Columbia Water & Sewer Authority Water Revenue 4.814% 10/1/14 1,944 2,894
  Duke University College & University Revenue 5.850% 4/1/37 29,490 42,488
  Georgia Municipal Electric Authority Electric Power & Light Revenue 6.637% 4/1/57 923 1,433
  Georgia Municipal Electric Authority Electric Power & Light Revenue 6.655% 4/1/57 333 525
  Grand Parkway Transportation Corp. Highway Revenue 5.184% 10/1/42 1,420 1,960
  Houston TX GO 6.290% 3/1/32 1,972 2,524
  Illinois State Toll Highway Authority Highway Revenue 6.184% 1/1/34 10,330 14,636
  Kansas Development Finance Authority Appropriations Revenue 4.727% 4/15/37 2,417 3,033
  Kansas Development Finance Authority Appropriations Revenue 4.927% 4/15/45 20,480 27,217
  Los Angeles CA Unified School District GO 5.755% 7/1/29 1,944 2,448
  Los Angeles CA Unified School District GO 6.758% 7/1/34 27,775 40,525
  Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue 5.735% 6/1/39 15,020 20,317
  Los Angeles Department of Water & Power System Electric Power & Light Revenue 5.716% 7/1/39 379 558
  Los Angeles Department of Water & Power System Water Revenue 6.603% 7/1/50 1,849 3,227
  Los Angeles Department of Water Revenue 6.008% 7/1/39 1,136 1,581
  Metropolitan Transportation Authority Fuel Sales Tax Revenue 6.089% 11/15/40 3,833 5,561
  Metropolitan Transportation Authority Miscellaneous Taxes Revenue 7.336% 11/15/39 50,780 84,163
  Metropolitan Transportation Authority Transit Revenue 5.871% 11/15/39 210 282
  Metropolitan Transportation Authority Transit Revenue 6.814% 11/15/40 750 1,100
  Metropolitan Transportation Authority Transit Revenue 5.175% 11/15/49 4,650 6,284
  Michigan Finance Authority Health, Hospital, Nursing Home Revenue 3.384% 12/1/40 3,230 3,653
  Michigan Strategic Fund Lease (Appropriation) Revenue 3.225% 9/1/47 8,310 8,546
8 New Jersey Economic Development Authority Appropriations Revenue 7.425% 2/15/29 6,570 8,588
  New Jersey Rutgers State University College & University Revenue 3.915% 5/1/19 48,580 55,418
  New Jersey Turnpike Authority Highway Revenue 3.729% 1/1/36 6,750 8,023
  New Jersey Turnpike Authority Highway Revenue 7.414% 1/1/40 947 1,586
  New Jersey Turnpike Authority Highway Revenue 7.102% 1/1/41 37,862 61,894
  New York City Transitional Finance Authority Future Tax Secured Sales Tax Revenue 5.508% 8/1/37 2,859 3,900
  New York City Water & Sewer System Water Revenue 5.724% 6/15/42 12,711 19,291
  New York City Water & Sewer System Water Revenue 5.952% 6/15/42 18,114 28,037
  New York City Water & Sewer System Water Revenue 6.011% 6/15/42 6,843 10,661
  New York City Water & Sewer System Water Revenue 5.882% 6/15/44 32,580 51,140
  New York GO 5.590% 3/1/35 947 1,303
  New York NY GO 6.271% 12/1/37 550 821
  New York State Dormitory Authority Income Tax Revenue 5.289% 3/15/33 7,288 9,046
  New York State Dormitory Authority Income Tax Revenue 3.110% 2/15/39 8,465 9,458
  New York State Dormitory Authority Income Tax Revenue 5.628% 3/15/39 15,919 21,174
  New York State Dormitory Authority Income Tax Revenue 5.600% 3/15/40 189 262
  New York State Dormitory Authority Income Tax Revenue 3.190% 2/15/43 7,295 8,103
109
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  New York State Thruway Authority Highway Revenue 3.500% 1/1/42 10,945 11,723
  New York State Urban Development Corp. Income Tax Revenue 3.900% 3/15/33 21,250 24,075
  North Texas Tollway Authority Highway Revenue 6.718% 1/1/49 22,942 39,018
  Ohio State University College & University Revenue 4.910% 6/1/40 12,300 16,760
  Ohio State University College & University Revenue 4.800% 6/1/11 17,635 26,197
9 Oregon School Boards Association GO 4.759% 6/30/28 857 980
  Permanent University Fund - University of Texas System College & University Revenue 5.262% 7/1/39 11,500 16,458
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 6.040% 12/1/29 2,038 2,732
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 5.647% 11/1/40 15,253 21,986
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 5.647% 11/1/40 10,176 14,667
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 4.926% 10/1/51 25,005 35,711
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 4.458% 10/1/62 35,940 49,382
  Port Authority of New York & New Jersey Port, Airport & Marina Revenue 3.287% 8/1/69 29,094 32,379
  Sacramento Municipal Utility District Electric Power & Light Revenue 6.156% 5/15/36 857 1,217
  Sales Tax Securitization Corp. Sales Tax Revenue 4.637% 1/1/40 15,870 19,766
  Sales Tax Securitization Corp. Sales Tax Revenue 3.587% 1/1/43 36,460 40,886
  Sales Tax Securitization Corp. Sales Tax Revenue 4.787% 1/1/48 4,990 6,532
  San Antonio TX Electric & Gas Systems Electric Power & Light Revenue 5.985% 2/1/39 10,450 15,255
  San Antonio TX Electric & Gas Systems Electric Power & Light Revenue 4.427% 2/1/42 1,326 1,664
  San Diego County Regional Airport Authority Port, Airport & Marina Revenue 5.594% 7/1/43 757 851
  San Francisco CA Public Utilities Commission Water Revenue 6.950% 11/1/50 1,326 2,272
  Sonoma County CA Miscellaneous Revenue 6.000% 12/1/29 433 530
  Texas Private Activity Bond Surface Transportation Corp. Highway Revenue 3.922% 12/31/49 4,150 4,772
  University of California College & University Revenue 4.601% 5/15/31 2,141 2,571
  University of California College & University Revenue 2.147% 5/15/33 5,000 5,107
  University of California College & University Revenue 5.770% 5/15/43 473 681
  University of California College & University Revenue 3.931% 5/15/45 17,840 20,646
  University of California College & University Revenue 4.858% 5/15/12 32,223 47,771
  University of California College & University Revenue 4.767% 5/15/15 14,875 21,446
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue 6.548% 5/15/48 8,918 14,162
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue 6.583% 5/15/49 852 1,341
  University of California Regents Medical Center Pooled Health, Hospital, Nursing Home Revenue 3.006% 5/15/50 28,170 29,539
  University of North Carolina at Chapel Hill College & University Revenue 3.327% 12/1/36 6,730 7,826
  University of Pittsburgh-of the Commonwealth System of Higher Education College & University Revenue 3.555% 9/15/19 14,400 15,946
  University of Texas System Regents College & University Revenue 4.794% 8/15/46 8,915 12,247
  University of Virginia College & University Revenue 2.256% 9/1/50 20,280 19,356
  University of Virginia College & University Revenue 3.227% 9/1/19 35,640 36,190
  Washington GO 5.481% 8/1/39 852 1,208
7 Wisconsin Appropriations Revenue 5.700% 5/1/26 1,702 1,986
  Wisconsin Appropriations Revenue 3.954% 5/1/36 3,364 3,815
Total Taxable Municipal Bonds (Cost $1,389,564) 1,797,196
          Shares  
Temporary Cash Investments (5.2%)
Money Market Fund (1.7%)
10 Vanguard Market Liquidity Fund  0.064%   3,759,065 375,907
        Maturity
Date 		Face
Amount
($000) 		 
Repurchase Agreements (3.5%)
  Bank of America Securities LLC
(Dated 7/30/21, Repurchase Value $149,001,000, collateralized by Federal Farm Credit Bank 2.710%–5.250%, 4/21/28–4/6/45, with a value of $151,981,000)  		0.050% 8/2/21 149,000 149,000
110
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments (unaudited)
July 31, 2021
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  Barclays Capital Inc.
(Dated 7/30/21, Repurchase Value $228,501,000, collateralized by U.S. Treasury Bill 0.000%, 9/30/21, and U.S. Treasury Note/Bond 2.875%–3.750%, 11/15/43–5/15/49, with a value of $233,070,000)  		0.050% 8/2/21 228,500 228,500
  Citigroup Global Markets Inc.
(Dated 7/30/21, Repurchase Value $88,000,000, collateralized by U.S. Treasury Note/Bond 1.250%–2.875%, 2/15/45–11/15/50, with a value of $89,760,000)  		0.050% 8/2/21 88,000 88,000
  RBC Capital Markets LLC
(Dated 7/30/21, Repurchase Value $53,700,000, collateralized by Federal National Mortgage Association 2.000%, 5/1/51, and U.S. Treasury Note/Bond 0.125%, 1/31/23, with a value of $54,774,000)  		0.050% 8/2/21 53,700 53,700
  Wells Fargo & Co.
(Dated 7/30/21, Repurchase Value $227,101,000, collateralized by Federal National Mortgage Association 3.000%–6.000%, 6/1/28–2/1/49, with a value of $231,642,000)  		0.060% 8/2/21 227,100 227,100
            746,300
Total Temporary Cash Investments (Cost $1,122,192) 1,122,207
    Counterparty Expiration
Date 		Exercise
Rate 		Notional
Amount on
Underlying
Swap
($000) 		 
Options Purchased (0.0%)
Over-the-Counter Swaptions (0.0%)
Put Swaptions
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 1,735 1
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 1,150 1
  5-Year CDX-NA-HY-S36-V1, Credit Protection Sold, Receives 5.000% Quarterly GSI 8/18/21 1.060% 2,435 1
            3
Total Options Purchased (Cost $45) 3
Total Investments (99.7%) (Cost $18,420,307) 21,393,647
Other Assets and Liabilities—Net (0.3%) 69,212
Net Assets (100%) 21,462,859
Cost is in $000.      
1 Securities with a value of $26,208,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $93,114,000 have been segregated as initial margin for open centrally cleared swap contracts.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2021, the aggregate value was $917,404,000, representing 4.3% of net assets.
4 Face amount denominated in British pounds.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
6 Face amount denominated in euro.
7 Scheduled principal and interest payments are guaranteed by Assured Guaranty Municipal Corp.
8 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
9 Scheduled principal and interest payments are guaranteed by Ambac Assurance Corp.
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.
  GO—General Obligation Bond.
  GSI—Goldman Sachs International.
111
© 2021 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA392 092021

 

 

 

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

Item 10: Submission of Matters to a Vote of Security Holders.

 

Not applicable.

 

Item 11: Controls and Procedures.

 

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

(b) Internal Control Over Financial Reporting. There were no significant changes in 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)(1) Not applicable.
(a)(2) Certifications filed herewith.
(b) Certifications field herewith.

 

 

 

 

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, 2021

 

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, 2021

 

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

 

Date: September 22, 2021

 

*By:   /s/ Anne E. Robinson  

 

Anne E. Robinson, pursuant to a Power of Attorney  filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.