NPORT-EX 2 vg_longtermtreasury.htm
Vanguard® Long-Term Treasury Fund
Schedule of Investments (unaudited)
As of April 30, 2023
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 (98.6%)
U.S. Government Securities (92.2%)
  United States Treasury Note/Bond 3.625% 3/31/30 4,900 4,946
  United States Treasury Note/Bond 3.500% 4/30/30 5,900 5,911
  United States Treasury Note/Bond 4.500% 5/15/38 4,000 4,454
  United States Treasury Note/Bond 4.250% 5/15/39 17,700 19,182
  United States Treasury Note/Bond 4.500% 8/15/39 65,000 72,495
  United States Treasury Note/Bond 4.375% 11/15/39 600 658
  United States Treasury Note/Bond 1.125% 5/15/40 47,650 31,903
  United States Treasury Note/Bond 4.375% 5/15/40 1,500 1,644
  United States Treasury Note/Bond 1.125% 8/15/40 85,300 56,658
  United States Treasury Note/Bond 3.875% 8/15/40 9,791 10,072
  United States Treasury Note/Bond 1.375% 11/15/40 66,900 46,266
  United States Treasury Note/Bond 4.250% 11/15/40 31,000 33,407
  United States Treasury Note/Bond 1.875% 2/15/41 77,800 58,399
  United States Treasury Note/Bond 4.750% 2/15/41 41,400 47,364
  United States Treasury Note/Bond 2.250% 5/15/41 99,700 79,448
  United States Treasury Note/Bond 4.375% 5/15/41 15,363 16,779
  United States Treasury Note/Bond 1.750% 8/15/41 108,390 78,786
  United States Treasury Note/Bond 3.750% 8/15/41 12,770 12,792
  United States Treasury Note/Bond 2.000% 11/15/41 113,200 85,678
  United States Treasury Note/Bond 3.125% 11/15/41 21,900 20,018
  United States Treasury Note/Bond 2.375% 2/15/42 43,500 35,092
  United States Treasury Note/Bond 3.125% 2/15/42 38,500 35,107
  United States Treasury Note/Bond 3.000% 5/15/42 33,800 30,145
  United States Treasury Note/Bond 3.250% 5/15/42 66,780 61,824
  United States Treasury Note/Bond 2.750% 8/15/42 37,000 31,623
  United States Treasury Note/Bond 3.375% 8/15/42 61,000 57,435
  United States Treasury Note/Bond 2.750% 11/15/42 74,000 63,039
  United States Treasury Note/Bond 4.000% 11/15/42 40,400 41,599
  United States Treasury Note/Bond 3.125% 2/15/43 45,111 40,741
  United States Treasury Note/Bond 3.875% 2/15/43 10,000 10,106
  United States Treasury Note/Bond 2.875% 5/15/43 52,046 45,118
  United States Treasury Note/Bond 3.625% 8/15/43 34,264 33,397
  United States Treasury Note/Bond 3.750% 11/15/43 10,557 10,474
  United States Treasury Note/Bond 3.625% 2/15/44 25,000 24,281
  United States Treasury Note/Bond 3.375% 5/15/44 29,500 27,555
  United States Treasury Note/Bond 3.125% 8/15/44 59,449 53,262
  United States Treasury Note/Bond 3.000% 11/15/44 64,651 56,671
  United States Treasury Note/Bond 2.500% 2/15/45 56,900 45,582
  United States Treasury Note/Bond 3.000% 5/15/45 40,205 35,130
  United States Treasury Note/Bond 2.875% 8/15/45 48,963 41,833
  United States Treasury Note/Bond 3.000% 11/15/45 32,100 28,022
  United States Treasury Note/Bond 2.500% 2/15/46 4,795 3,820
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  United States Treasury Note/Bond 2.500% 5/15/46 810 645
  United States Treasury Note/Bond 2.250% 8/15/46 45,600 34,471
  United States Treasury Note/Bond 2.875% 11/15/46 19,969 17,042
  United States Treasury Note/Bond 3.000% 2/15/47 44,998 39,219
  United States Treasury Note/Bond 3.000% 5/15/47 2,637 2,297
  United States Treasury Note/Bond 2.750% 8/15/47 25,230 20,996
  United States Treasury Note/Bond 2.750% 11/15/47 22,690 18,889
  United States Treasury Note/Bond 3.125% 5/15/48 60,000 53,588
  United States Treasury Note/Bond 3.000% 8/15/48 61,533 53,764
  United States Treasury Note/Bond 3.375% 11/15/48 80,961 75,800
  United States Treasury Note/Bond 3.000% 2/15/49 37,920 33,227
1 United States Treasury Note/Bond 2.875% 5/15/49 44,761 38,341
  United States Treasury Note/Bond 2.250% 8/15/49 66,500 50,031
  United States Treasury Note/Bond 2.375% 11/15/49 44,400 34,327
  United States Treasury Note/Bond 2.000% 2/15/50 66,000 46,819
  United States Treasury Note/Bond 1.250% 5/15/50 128,200 74,717
  United States Treasury Note/Bond 1.375% 8/15/50 113,297 68,120
  United States Treasury Note/Bond 1.625% 11/15/50 125,012 80,320
  United States Treasury Note/Bond 1.875% 2/15/51 125,900 86,124
  United States Treasury Note/Bond 2.375% 5/15/51 82,400 63,332
  United States Treasury Note/Bond 2.000% 8/15/51 119,000 83,709
  United States Treasury Note/Bond 1.875% 11/15/51 108,700 74,035
  United States Treasury Note/Bond 2.250% 2/15/52 112,000 83,545
  United States Treasury Note/Bond 2.875% 5/15/52 89,000 76,123
  United States Treasury Note/Bond 3.000% 8/15/52 98,500 86,495
  United States Treasury Note/Bond 4.000% 11/15/52 83,800 88,946
  United States Treasury Note/Bond 3.625% 2/15/53 19,700 19,534
            2,903,172
Agency Bonds and Notes (6.1%)
2 Fannie Mae Principal Strip 0.000% 8/6/38 36,000 18,801
  Federal Farm Credit Banks Funding Corp. 3.820% 6/15/37 25,000 23,693
  Federal Farm Credit Banks Funding Corp. 4.000% 9/8/37 25,000 24,078
2 Federal Home Loan Mortgage Corp. 0.000% 12/14/29 20,000 15,400
2 Federal Home Loan Mortgage Corp. 0.000% 11/15/38 14,465 7,432
2 Federal National Mortgage Assn. 0.000% 11/15/30 49,591 36,769
2 Freddie Mac Principal Strips 0.000% 3/15/31 68,687 50,220
  Resolution Funding Corp. Principal Strip 0.000% 1/15/30 20,000 15,347
            191,740
Nonconventional Mortgage-Backed Securities (0.3%)
3 Ginnie Mae 1.100% 1/20/51 13,440 10,545
Total U.S. Government and Agency Obligations (Cost $3,596,953) 3,105,457
      Coupon   Shares Market
Value
($000)
Temporary Cash Investments (0.5%)
Money Market Fund (0.5%)
4 Vanguard Market Liquidity Fund (Cost $16,004) 4.853%   160,071 16,005
Total Investments (99.1%) (Cost $3,612,957) 3,121,462
Other Assets and Liabilities—Net (0.9%) 29,260
Net Assets (100%) 3,150,722
Cost is in $000.      
1 Securities with a value of $5,277,000 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.
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 June 2023 13 2,680 36
5-Year U.S. Treasury Note June 2023 848 93,061 154
Ultra 10-Year U.S. Treasury Note June 2023 51 6,194 (7)
Ultra Long U.S. Treasury Bond June 2023 766 108,317 4,392
        4,575
 
Short Futures Contracts        
10-Year U.S. Treasury Note June 2023 (1,158) (133,405) (843)
Long U.S. Treasury Bond June 2023 (65) (8,558) (194)
        (1,037)
        3,538
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 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.
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 April 30, 2023, 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 — 3,105,457 — 3,105,457
Temporary Cash Investments 16,005 — — 16,005
Total 16,005 3,105,457 — 3,121,462
Derivative Financial Instruments
Assets        
Futures Contracts1 4,582 — — 4,582
Liabilities        
Futures Contracts1 1,044 — — 1,044
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.