NPORT-EX 2 vg_shorttermtreas.htm
Vanguard® Short-Term Treasury Fund
Schedule of Investments (unaudited)
As of October 31, 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 (96.2%)
U.S. Government Securities (92.5%)
  United States Treasury Note/Bond 0.750% 12/31/23 243,000 232,217
  United States Treasury Note/Bond 0.125% 1/15/24 118,700 112,394
1 United States Treasury Note/Bond 0.875% 1/31/24 307,000 292,801
  United States Treasury Note/Bond 2.250% 1/31/24 78,500 76,206
  United States Treasury Note/Bond 2.500% 1/31/24 94,400 91,907
  United States Treasury Note/Bond 2.125% 2/29/24 84,600 81,851
  United States Treasury Note/Bond 0.250% 3/15/24 105,000 98,880
  United States Treasury Note/Bond 2.250% 3/31/24 95,000 91,868
  United States Treasury Note/Bond 0.375% 4/15/24 83,300 78,302
  United States Treasury Note/Bond 2.000% 4/30/24 60,000 57,684
  United States Treasury Note/Bond 2.250% 4/30/24 143,000 138,040
2 United States Treasury Note/Bond 2.500% 4/30/24 274,000 265,523
  United States Treasury Note/Bond 0.250% 5/15/24 100,000 93,500
  United States Treasury Note/Bond 2.500% 5/15/24 80,000 77,425
  United States Treasury Note/Bond 2.000% 5/31/24 175,000 167,973
  United States Treasury Note/Bond 0.250% 6/15/24 88,000 82,019
  United States Treasury Note/Bond 3.000% 6/30/24 76,000 74,017
  United States Treasury Note/Bond 1.750% 7/31/24 130,000 123,784
  United States Treasury Note/Bond 3.000% 7/31/24 150,000 145,992
  United States Treasury Note/Bond 0.375% 8/15/24 172,000 159,584
  United States Treasury Note/Bond 2.375% 8/15/24 85,000 81,733
  United States Treasury Note/Bond 1.875% 8/31/24 90,000 85,711
  United States Treasury Note/Bond 0.375% 9/15/24 72,000 66,645
  United States Treasury Note/Bond 0.750% 11/15/24 255,600 236,909
  United States Treasury Note/Bond 2.250% 11/15/24 63,000 60,244
  United States Treasury Note/Bond 2.125% 11/30/24 90,000 85,697
  United States Treasury Note/Bond 1.125% 1/15/25 100,000 92,937
  United States Treasury Note/Bond 2.500% 1/31/25 57,400 54,943
  United States Treasury Note/Bond 1.500% 2/15/25 226,688 211,954
  United States Treasury Note/Bond 1.125% 2/28/25 122,000 113,002
  United States Treasury Note/Bond 1.750% 3/15/25 387,000 363,538
  United States Treasury Note/Bond 2.625% 4/15/25 58,000 55,526
  United States Treasury Note/Bond 0.375% 4/30/25 107,000 96,902
  United States Treasury Note/Bond 2.125% 5/15/25 15,000 14,152
  United States Treasury Note/Bond 0.250% 5/31/25 163,000 146,394
  United States Treasury Note/Bond 3.000% 7/15/25 70,100 67,515
  United States Treasury Note/Bond 2.000% 8/15/25 60,000 56,156
  United States Treasury Note/Bond 0.250% 8/31/25 150,000 133,406
  United States Treasury Note/Bond 2.750% 8/31/25 35,000 33,420
  United States Treasury Note/Bond 3.500% 9/15/25 63,000 61,415
  United States Treasury Note/Bond 4.250% 10/15/25 150,000 149,227
  United States Treasury Note/Bond 0.250% 10/31/25 114,000 100,747
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  United States Treasury Note/Bond 2.250% 11/15/25 33,300 31,234
  United States Treasury Note/Bond 0.375% 11/30/25 191,000 168,886
  United States Treasury Note/Bond 0.375% 12/31/25 20,000 17,641
  United States Treasury Note/Bond 0.375% 1/31/26 20,000 17,569
  United States Treasury Note/Bond 0.500% 2/28/26 164,000 144,243
  United States Treasury Note/Bond 0.750% 3/31/26 87,000 76,995
  United States Treasury Note/Bond 0.750% 4/30/26 60,000 52,950
  United States Treasury Note/Bond 2.125% 5/31/26 12,000 11,104
  United States Treasury Note/Bond 0.625% 7/31/26 50,000 43,563
  United States Treasury Note/Bond 1.875% 7/31/26 110,000 100,530
  United States Treasury Note/Bond 1.500% 8/15/26 121,000 108,881
  United States Treasury Note/Bond 0.750% 8/31/26 70,500 61,555
  United States Treasury Note/Bond 1.125% 10/31/26 108,100 95,364
  United States Treasury Note/Bond 1.250% 12/31/26 135,000 119,285
  United States Treasury Note/Bond 2.250% 2/15/27 100,000 91,875
  United States Treasury Note/Bond 2.750% 4/30/27 41,000 38,425
  United States Treasury Note/Bond 2.250% 8/15/27 50,000 45,617
  United States Treasury Note/Bond 0.500% 8/31/27 100,000 83,687
  United States Treasury Note/Bond 1.250% 3/31/28 63,000 53,865
            6,273,409
Nonconventional Mortgage-Backed Securities (3.7%)
3,4 Fannie Mae REMICS 3.000% 9/25/50–2/25/52 116,617 89,231
3,4 Freddie Mac REMICS 2.000% 12/25/51 1,269 871
3,4 Freddie Mac REMICS 3.000% 11/25/50–2/25/52 72,494 55,841
3 Ginnie Mae 1.500% 5/20/51–12/20/51 6,195 4,750
3 Ginnie Mae 2.000% 11/20/51 7,175 4,720
3 Ginnie Mae 2.500% 9/20/51 13,230 10,428
3 Ginnie Mae 3.000% 11/20/50–12/20/51 104,432 80,097
3 Ginnie Mae 3.500% 11/20/51 2,441 1,933
            247,871
Total U.S. Government and Agency Obligations (Cost $6,830,487) 6,521,280
          Shares  
Temporary Cash Investments (3.2%)
Money Market Fund (3.2%)
5 Vanguard Market Liquidity Fund (Cost $219,823) 3.117%   2,198,884 219,845
Total Investments (99.4%) (Cost $7,050,310) 6,741,125
        Maturity
Date 		Face
Amount
($000) 		 
Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-1.4%)
3,4,6 UMBS Pool 3.000% 12/1/26 (100,000) (84,828)
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
3,4,6 UMBS Pool 6.000% 11/14/52 (6,631) (6,756)
Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $96,442) (91,584)
Other Assets and Liabilities—Net (2.0%) 132,777
Net Assets (100%) 6,782,318
Cost is in $000.      
1 Securities with a value of $336,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
2 Securities with a value of $8,586,000 have been segregated as initial margin for open futures contracts.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
6 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2022.
  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 December 2022 1,324 270,603 40
5-Year U.S. Treasury Note December 2022 1,280 136,440 (359)
Ultra 10-Year U.S. Treasury Note December 2022 194 22,501 (59)
        (378)
 
Short Futures Contracts        
10-Year U.S. Treasury Note December 2022 (260) (28,754) 254
Long U.S. Treasury Bond December 2022 (167) (20,124) 185
Ultra Long U.S. Treasury Bond December 2022 (1,263) (161,230) 1,202
        1,641
        1,263
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 valuation designee to represent fair value and subject to oversight by the board of trustees.
B. 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.
At October 31, 2022, counterparties had deposited in segregated accounts cash of $3,840,000 in connection with TBA transactions.
C. 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.
D. 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).
E.  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 October 31, 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 — 6,521,280 — 6,521,280
Temporary Cash Investments 219,845 — — 219,845
Total 219,845 6,521,280 — 6,741,125
Liabilities        
Conventional Mortgage-Backed Securities—Liability for Sale Commitments — 91,584 — 91,584
Derivative Financial Instruments
Assets        
Futures Contracts1 1,681 — — 1,681
Liabilities        
Futures Contracts1 418 — — 418
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.