NPORT-EX 2 vg_inttermtreasuryfund.htm
Vanguard® Intermediate-Term Treasury Fund
Schedule of Investments (unaudited)
As of April 30, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
U.S. Government and Agency Obligations (95.6%)
U.S. Government Securities (91.7%)
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/23 188,141 193,374
  United States Treasury Note/Bond 0.375% 4/30/25 23,100 21,440
  United States Treasury Note/Bond 0.250% 5/31/25 28,700 26,462
  United States Treasury Note/Bond 0.250% 6/30/25 23,200 21,340
  United States Treasury Note/Bond 2.750% 6/30/25 60,000 59,709
  United States Treasury Note/Bond 0.250% 7/31/25 92,300 84,656
  United States Treasury Note/Bond 2.000% 8/15/25 11,400 11,069
  United States Treasury Note/Bond 0.250% 8/31/25 45,700 41,830
  United States Treasury Note/Bond 2.750% 8/31/25 43,600 43,348
  United States Treasury Note/Bond 0.250% 9/30/25 83,500 76,246
  United States Treasury Note/Bond 3.000% 9/30/25 39,300 39,386
  United States Treasury Note/Bond 0.250% 10/31/25 58,000 52,853
  United States Treasury Note/Bond 2.250% 11/15/25 49,000 47,859
  United States Treasury Note/Bond 0.375% 11/30/25 89,300 81,542
  United States Treasury Note/Bond 2.875% 11/30/25 44,000 43,897
  United States Treasury Note/Bond 2.625% 12/31/25 48,300 47,779
  United States Treasury Note/Bond 0.375% 1/31/26 113,000 102,706
  United States Treasury Note/Bond 1.625% 2/15/26 132,184 125,885
  United States Treasury Note/Bond 6.000% 2/15/26 17,000 18,828
  United States Treasury Note/Bond 0.750% 3/31/26 71,000 65,231
  United States Treasury Note/Bond 2.250% 3/31/26 7,450 7,257
  United States Treasury Note/Bond 0.750% 4/30/26 59,000 54,123
  United States Treasury Note/Bond 1.625% 5/15/26 90,300 85,729
  United States Treasury Note/Bond 0.750% 5/31/26 81,000 74,128
  United States Treasury Note/Bond 2.125% 5/31/26 110,300 106,784
  United States Treasury Note/Bond 0.875% 6/30/26 131,100 120,407
  United States Treasury Note/Bond 1.875% 6/30/26 39,900 38,235
  United States Treasury Note/Bond 1.875% 7/31/26 36,000 34,476
  United States Treasury Note/Bond 1.500% 8/15/26 92,000 86,581
  United States Treasury Note/Bond 0.875% 9/30/26 29,400 26,873
  United States Treasury Note/Bond 1.625% 9/30/26 136,400 128,855
  United States Treasury Note/Bond 2.000% 11/15/26 155,100 148,678
  United States Treasury Note/Bond 6.500% 11/15/26 5,000 5,738
  United States Treasury Note/Bond 1.250% 11/30/26 110,600 102,581
  United States Treasury Note/Bond 6.625% 2/15/27 7,000 8,125
  United States Treasury Note/Bond 1.125% 2/28/27 94,100 86,425
  United States Treasury Note/Bond 0.408% 4/30/27 95,000 94,184
  United States Treasury Note/Bond 2.375% 5/15/27 22,000 21,405
  United States Treasury Note/Bond 0.500% 6/30/27 89,000 78,556
  United States Treasury Note/Bond 0.500% 10/31/27 118,500 103,743
  United States Treasury Note/Bond 2.250% 11/15/27 71,000 68,415
  United States Treasury Note/Bond 6.125% 11/15/27 14,000 16,223
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  United States Treasury Note/Bond 0.625% 11/30/27 120,800 106,304
  United States Treasury Note/Bond 0.625% 12/31/27 100,500 88,267
  United States Treasury Note/Bond 0.750% 1/31/28 102,500 90,488
  United States Treasury Note/Bond 2.750% 2/15/28 118,500 117,093
  United States Treasury Note/Bond 1.125% 2/29/28 86,640 78,166
  United States Treasury Note/Bond 1.250% 3/31/28 139,900 126,850
  United States Treasury Note/Bond 1.250% 4/30/28 64,900 58,775
  United States Treasury Note/Bond 2.875% 5/15/28 109,700 109,049
  United States Treasury Note/Bond 1.250% 5/31/28 80,000 72,338
  United States Treasury Note/Bond 1.250% 6/30/28 131,600 118,810
  United States Treasury Note/Bond 1.000% 7/31/28 51,100 45,367
  United States Treasury Note/Bond 2.875% 8/15/28 159,700 158,727
  United States Treasury Note/Bond 5.500% 8/15/28 50,000 57,156
  United States Treasury Note/Bond 1.125% 8/31/28 67,150 59,994
  United States Treasury Note/Bond 1.250% 9/30/28 72,700 65,385
  United States Treasury Note/Bond 1.375% 10/31/28 7,730 7,000
  United States Treasury Note/Bond 3.125% 11/15/28 67,500 68,112
  United States Treasury Note/Bond 5.250% 11/15/28 19,500 22,117
  United States Treasury Note/Bond 1.500% 11/30/28 71,089 64,846
  United States Treasury Note/Bond 1.750% 1/31/29 71,500 66,227
  United States Treasury Note/Bond 5.250% 2/15/29 10,000 11,395
  United States Treasury Note/Bond 1.875% 2/28/29 2,000 1,868
  United States Treasury Note/Bond 2.375% 3/31/29 85,250 82,173
  United States Treasury Note/Bond 2.375% 5/15/29 16,500 15,897
  United States Treasury Note/Bond 1.750% 11/15/29 24,300 22,394
  United States Treasury Note/Bond 1.500% 2/15/30 23,500 21,194
1 United States Treasury Note/Bond 0.625% 5/15/30 67,250 56,248
  United States Treasury Note/Bond 0.625% 8/15/30 114,200 95,036
  United States Treasury Note/Bond 0.875% 11/15/30 126,400 107,104
  United States Treasury Note/Bond 1.125% 2/15/31 113,500 97,947
  United States Treasury Note/Bond 1.625% 5/15/31 56,800 51,058
  United States Treasury Note/Bond 1.250% 8/15/31 128,600 111,360
  United States Treasury Note/Bond 1.375% 11/15/31 90,000 78,595
  United States Treasury Note/Bond 1.875% 2/15/32 153,000 139,708
            5,176,009
Agency Bonds and Notes (3.5%)
2 Fannie Mae Principal Strip 0.000% 1/15/30 16,000 12,491
2 Fannie Mae Principal Strip 0.000% 5/15/30 55,682 42,972
2 Fannie Mae Principal Strip 0.000% 11/15/30 6,000 4,545
2 Freddie Mac Principal Strips 0.000% 3/15/31 28,909 21,643
  Private Export Funding Corp. 3.550% 1/15/24 10,300 10,389
  Private Export Funding Corp. 1.400% 7/15/28 22,000 19,436
  Resolution Funding Corp. Principal Strip 0.000% 1/15/30 15,000 11,665
  Resolution Funding Corp. Principal Strip 0.000% 4/15/30 98,000 75,535
            198,676
Nonconventional Mortgage-Backed Securities (0.4%)
  Ginnie Mae 1.100% 1/20/51 27,233 21,987
Total U.S. Government and Agency Obligations (Cost $5,839,474) 5,396,672
Sovereign Bonds (0.8%)
3 State of Israel (Cost $46,669) 0.000% 11/1/24 50,000 46,438
      Coupon   Shares Market
Value
($000)
Temporary Cash Investments (5.7%)
Money Market Fund (5.7%)
4 Vanguard Market Liquidity Fund (Cost $323,473) 0.409%   3,235,082 323,476
Total Investments (102.1%) (Cost $6,209,616) 5,766,586
Other Assets and Liabilities—Net (-2.1%) (120,175)
Net Assets (100%) 5,646,411
Cost is in $000.      
1 Securities with a value of $4,895,000 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 U.S. government-guaranteed.
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.
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 June 2022 3,229 363,817 (12,324)
10-Year U.S. Treasury Note June 2022 687 81,860 (3,121)
        (15,445)
 
Short Futures Contracts        
2-Year U.S. Treasury Note June 2022 (307) (64,719) 122
Ultra 10-Year U.S. Treasury Note June 2022 (372) (47,988) 707
        829
        (14,616)
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. 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.
B. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The
primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any 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. Fluctuations in the value of the contracts are recorded as an asset (liability).
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 April 30, 2022, 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 — 5,396,672 — 5,396,672
Sovereign Bonds — 46,438 — 46,438
Temporary Cash Investments 323,476 — — 323,476
Total 323,476 5,443,110 — 5,766,586
Derivative Financial Instruments
Assets        
Futures Contracts1 829 — — 829
Liabilities        
Futures Contracts1 15,445 — — 15,445
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.