N-CSR 1 a19-19415_3ncsr.htm N-CSR

 

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: 811-02554

 

Name of Registrant:

 

Vanguard Money Market Reserves

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:  August 31

 

Date of reporting period: September 1, 2018—August 31, 2019

 


 

Item 1: Reports to Shareholders

 


 

 

 

 

Annual Report  |  August 31, 2019

 

 

Vanguard Money Market Funds

 

 

 

 

 

 

 

 

 

 

Vanguard Prime Money Market Fund

Vanguard Federal Money Market Fund

Vanguard Treasury Money Market Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

 

 


 

Important information about access to shareholder reports

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

 

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

 

 

 

Contents

 

 

 

A Note From Our Chairman

1

Your Fund’s Performance at a Glance

2

Advisor’s Report

3

About Your Fund’s Expenses

6

Prime Money Market Fund

8

Federal Money Market Fund

31

Treasury Money Market Fund

47

Trustees Approve Advisory Arrangements

59

 

 

 

 

 

 

 

 

 

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 


 

A Note From Our Chairman

 

 

 

 

 

Tim Buckley

Chairman and Chief Executive Officer

 

 

 

Dear Shareholder,

 

Recent volatility in financial markets— affecting stocks, bonds, and commodities— has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

 

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

 

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

 

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they should reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

 

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

 

Sincerely,

 

 

 

 

Mortimer J. Buckley

 

Chairman and Chief Executive Officer

 

October 1, 2019

 

 

1


 

Your Fund’s Performance at a Glance

 

 

·   For the 12 months ended August 31, 2019, Vanguard Prime Money Market Fund returned 2.36% for Investor Shares and 2.42% for Admiral Shares. Vanguard Federal Money Market Fund returned 2.26% and Vanguard Treasury Fund returned 2.25% over the same period. All three funds surpassed the average returns of their peers.

 

·   With Brexit and trade tensions adding to worries about slowing growth at home and abroad, the Federal Reserve pivoted from raising rates twice in the second half of 2018 to cutting them in August and September 2019 and scheduling an end to its balance sheet unwind.

 

·   The funds’ low expense ratios continued to be a key support for delivering competitive returns, although the advisor’s primary focus is on principal preservation and liquidity. Risk mitigation for the U.S. government potentially defaulting on its debt was a headwind, but the advisor’s use of floating-rate notes and repurchase agreements helped.

 

 

Market Barometer

 

 

 

 

 

Average Annual Total Returns

 

 

 

 

Periods Ended August 31, 2019

 

 

One Year

 

Three Years

 

Five Years

Stocks

 

 

 

 

 

 

Russell 1000 Index (Large-caps)

 

2.49%

 

12.57%

 

9.85%

Russell 2000 Index (Small-caps)

 

-12.89

 

7.89

 

6.41

Russell 3000 Index (Broad U.S. market)

 

1.31

 

12.24

 

9.60

FTSE All-World ex US Index (International)

 

-3.18

 

5.97

 

1.71

 

 

 

 

 

 

 

Bonds

 

 

 

 

 

 

Bloomberg Barclays U.S. Aggregate Bond Index

(Broad taxable market)

 

10.17%

 

3.09%

 

3.35%

Bloomberg Barclays Municipal Bond Index

(Broad tax-exempt market)

 

8.72

 

3.30

 

3.85

FTSE Three-Month U.S. Treasury Bill Index

 

2.36

 

1.47

 

0.91

 

 

 

 

 

 

 

CPI

 

 

 

 

 

 

Consumer Price Index

 

1.75%

 

2.13%

 

1.53%

 

2


 

Advisor’s Report

 

 

For the 12 months ended August 31, 2019, Vanguard Prime Money Market Fund returned 2.36% for Investor Shares and 2.42% for Admiral Shares. Vanguard Federal Money Market Fund returned 2.26% and Vanguard Treasury Money Market Fund returned 2.25%. All three funds surpassed the average returns of their peers.

 

The investment environment

Macroeconomic sentiment deteriorated significantly over the 12 months. The U.S. economy initially looked to be in good shape even as prospects for the global economy dimmed. U.S. GDP clocked in at about 3.5% for the third quarter of 2018 on an annualized basis, well above trend. Inflation was picking up a little, the unemployment rate was at a multi-decade low, and wages finally showed some signs of acceleration. Solid corporate earnings, boosted by previous tax cuts, added to the optimistic mood.

 

The U.S. Federal Reserve, citing strong job gains and near-target inflation, raised short-term interest rates in September and again in early December, pushing the federal funds rate up to a range of 2.25%—2.50%. Although still historically very low, that was the highest level in more than a decade.

 

Given the buoyant outlook, the bellwether U.S. 10-year Treasury note hit a high for the period of 3.24% in early November.

 

Toward the end of 2018, however, investors grew skittish about the prospect of further monetary tightening by the Fed, especially as the U.S. economy began to show signs of slowing growth. Additional concerns included a flare-up in the ongoing trade dispute with China, heightened tensions with Iran, and a lack of agreement in the United Kingdom on how to exit the European Union. Greater risk aversion led to a sell-off in stocks and lower-quality corporate bonds and a boost in demand for safer assets, including government bonds.

 

As the economic outlook flagged at home and abroad, a number of major central banks pivoted from a tightening to a loosening monetary policy bias. In March, the Fed announced that it would end its balance sheet tapering later in the year, and at the beginning of August it lowered the fed funds target range to 2.00%—2.25%, the first cut in more than a decade. (It made a second cut just after the close of the period.)

 

That pivot, along with declining growth prospects and subdued inflation, contributed to Treasury yields falling, especially for intermediate-term securities. The result was an inversion in parts of the yield curve much of the time from late May through the end of the funds’ fiscal year. The yield of the 10-year U.S. Treasury note finished at 1.50%, below the yield of the 3-month Treasury bill, which ended at 1.98%.

 

Management of the funds

We manage the funds with an emphasis on safety and liquidity above all else, resulting in a bias toward high-quality assets. Our funds are nevertheless able to achieve

 

3


 

competitive returns over the long run because of the persistent advantage of their low operating costs compared with those of their peer groups.

 

During the fiscal year, some concern arose that the federal government might not vote to raise its borrowing limit in time to avert defaulting on its debt. The timing of when it might run out of money would depend on cash flows and tax receipts but looked like it might occur early this fall. Treasuries with the shortest maturities would be the most affected, as their principal repayment could be delayed.

 

Our view in the first part of 2019 was that rates might not fall as much as the market was pricing in, which made longer-dated Treasury notes attractive, but we passed on adding any maturing in September or October out of an abundance of caution.

 

Holding floating rate notes in all three funds added value. The yields they pay reset periodically, often monthly, to reflect prevailing interest rates. In a rising-rate environment, these securities can help a fund’s yield adjust upward more quickly than if it held only fixed-rate instruments. They can also perform well relative to fixed-rate notes if the market prices in a steeper rate drop than actually occurs, essentially allowing us not to lock in lower rates.

 

Treasury bills were attractively priced at the beginning of the period. Because we viewed that as a function of high supply and nothing systemic, we took it as a buying opportunity. That tactical move played out well when issuance slowed and demand rose as cash poured into money market funds in the first half of this year, resulting in compressed bill spreads.

 

In the Prime Money Market Fund, exposure to Canadian, Australian, and Northern European bank debt provided some international diversification.

 

The outlook

We anticipate a soft landing in the United States. Growth will probably continue slowing through the end of the year with less support from fiscal policy, a global growth slowdown, and ongoing trade disputes taking a toll on business confidence and capital spending. A full-blown trade war with China is not our base case scenario, but further tensions are likely regarding tariffs as well as non-tariff measures such as quantitative restrictions and currency exchange rates.

 

While we believe a recession is some time off, the U.S. labor market should cool as employment growth falls and structural factors such as technology and globalization continue to hold down inflationary pressures. Higher wages will probably not funnel through to higher consumer prices; in fact, inflation may weaken from current levels, which are near the Federal Reserve’s 2% target for the end of 2019.

 

The Fed has recently cut rates twice, and the deteriorating backdrop could prompt it to lower rates further. This may contribute to the Treasury yield curve returning to an upward slope.

 

4


 

Bouts of volatility related to inflation and interest rate expectations are likely. Other potential triggers include an intensification of trade disputes, flare-ups in geopolitical tensions, the United Kingdom making a disorderly exit from the European Union, and missteps by central banks.

 

Whatever the markets may bring, our experienced team of portfolio managers, credit analysts, and traders will continue to seek out opportunities to produce competitive returns.

 

John C. Lanius, Portfolio Manager

 

Nafis T. Smith, Portfolio Manager

 

Vanguard Fixed Income Group

 

September 18, 2019

 

5


 

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.

 

6


 

Six Months Ended August 31, 2019

 

 

 

Beginning

 

Ending

 

Expenses

 

 

Account Value

 

Account Value

 

Paid During

 

 

2/28/2019

 

8/31/2019

 

Period

Based on Actual Fund Return

 

 

 

 

 

 

Prime Money Market Fund

 

 

 

 

 

 

Investor Shares

 

$1,000.00

 

$1,011.93

 

$0.81

Admiral™ Shares

 

1,000.00

 

1,012.23

 

0.51

Federal Money Market Fund

 

$1,000.00

 

$1,011.59

 

$0.56

Treasury Money Market Fund

 

$1,000.00

 

$1,011.50

 

$0.46

Based on Hypothetical 5% Yearly Return

 

 

 

 

 

 

Prime Money Market Fund

 

 

 

 

 

 

Investor Shares

 

$1,000.00

 

$1,024.40

 

$0.82

Admiral Shares

 

1,000.00

 

1,024.70

 

0.51

Federal Money Market Fund

 

$1,000.00

 

$1,024.65

 

$0.56

Treasury Money Market Fund

 

$1,000.00

 

$1,024.75

 

$0.46

 

The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund, 0.11%; and for the Treasury Money Market Fund, 0.09%. 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 (184/365).

 

7


 

Prime Money Market Fund

 

Performance Summary

 

Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. The fund is only available to retail investors (natural persons). You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 per share, it cannot guarantee it will do so. The fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

 

Cumulative Performance: August 31, 2009, Through August 31, 2019

Initial Investment of $10,000

 

 

 

 

 

 

Average Annual Total Returns

 

 

 

 

 

 

Periods Ended August 31, 2019

 

 

 

 

 

 

 

 

Final Value

 

 

 

 

One

 

Five

 

Ten

 

of a $10,000

 

 

 

 

Year

 

Years

 

Years

 

Investment

 

Prime Money Market Fund Investor Shares

 

2.36%

 

1.02%

 

0.53%

 

10,544

 

Money Market Funds Average

 

1.98

 

0.72

 

0.36

 

10,366

 

FTSE Three-Month U.S. Treasury Bill Index

 

2.36

 

0.91

 

0.49

 

10,524

 

7-day SEC yield (8/31/2019): 2.12%

 

Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.

 

 

 

 

 

 

 

 

 

See Financial Highlights for dividend information.

 

8


 

Prime Money Market Fund

 

 

 

Average Annual Total Returns

 

 

 

 

Periods Ended August 31, 2019

 

 

 

 

 

 

 

 

 

 

Final Value

 

 

One

 

Five

 

Ten

 

of a $5,000,000

 

 

Year

 

Years

 

Years

 

Investment

Prime Money Market Fund Admiral Shares

 

2.42%

 

1.08%

 

0.60%

 

$5,309,370

Money Market Funds Average

 

1.98

 

0.72

 

0.36

 

5,183,160

FTSE Three-Month U.S. Treasury Bill Index

 

2.36

 

0.91

 

0.49

 

5,262,120

 

7-day SEC yield (8/31/2019): 2.18%

 

Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.

 

9


 

Prime Money Market Fund

 

 

 

Sector Diversification

As of August 31, 2019

 

Certificates of Deposit

 

7.0%

U.S. Commercial Paper

 

3.9

Repurchase Agreements

 

0.3

U.S. Government Obligations

 

11.6

U.S. Treasury Bills

 

18.4

Yankee/Foreign

 

58.8

 

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

 

10


 

Prime Money Market Fund

 

 

Financial Statements

 

 

Statement of Net Assets

As of August 31, 2019

 

The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

U.S. Government and Agency Obligations (30.0%)

 

 

 

 

Federal Home Loan Bank Discount Notes

2.031%–2.228%

9/4/19

1,504,991

1,504,713

 

Federal Home Loan Bank Discount Notes

2.162%

9/11/19

2,000,000

1,998,803

 

Federal Home Loan Bank Discount Notes

2.154%

9/13/19

901,000

900,355

 

Federal Home Loan Bank Discount Notes

2.147%

9/16/19

275,770

275,524

 

Federal Home Loan Bank Discount Notes

2.149%–2.157%

9/18/19

1,185,855

1,184,655

 

Federal Home Loan Bank Discount Notes

2.152%

9/20/19

1,000,000

998,868

 

Federal Home Loan Bank Discount Notes

2.127%

9/25/19

1,500,000

1,497,880

 

Federal Home Loan Bank Discount Notes

2.097%–2.098%

9/27/19

481,000

480,274

 

Federal Home Loan Bank Discount Notes

2.057%

10/2/19

1,400,000

1,397,529

 

Federal Home Loan Bank Discount Notes

2.006%–2.011%

10/11/19

1,500,000

1,496,666

 

Federal Home Loan Bank Discount Notes

1.986%

10/16/19

1,250,000

1,246,906

 

Federal Home Loan Bank Discount Notes

2.016%

10/18/19

376,215

375,228

 

United States Treasury Bill

2.162%

9/3/19

3,000,000

2,999,641

 

United States Treasury Bill

2.057%

10/8/19

17,600

17,563

 

United States Treasury Bill

1.991%

10/22/19

1,500,000

1,495,782

 

United States Treasury Bill

2.051%

10/24/19

2,000,000

1,993,993

 

United States Treasury Bill

1.996%

10/29/19

3,000,000

2,990,713

 

United States Treasury Bill

2.081%

10/31/19

1,000,000

996,550

 

United States Treasury Bill

2.000%

11/7/19

1,000,000

996,296

 

United States Treasury Bill

1.970%

11/14/19

1,290,800

1,285,599

 

United States Treasury Bill

1.960%

11/29/19

2,000,000

1,990,358

 

United States Treasury Bill

2.061%

1/2/20

3,000,000

2,979,090

 

United States Treasury Bill

2.031%

1/16/20

2,000,000

1,984,702

 

United States Treasury Bill

2.031%–2.041%

1/23/20

1,000,000

991,947

 

United States Treasury Bill

1.857%

2/20/20

1,000,000

991,209

 

United States Treasury Bill

1.857%

2/27/20

1,000,900

991,743

 

United States Treasury Note/Bond

1.250%

10/31/19

500,000

499,333

 

United States Treasury Note/Bond

1.500%

10/31/19

477,000

476,572

Total U.S. Government and Agency Obligations (Cost $37,038,492)

 

37,038,492

Commercial Paper (37.0%)

 

 

Bank Holding Company (0.2%)

 

 

2

ABN Amro Funding USA LLC

2.410%–2.415%

10/7/19

248,000

247,406

 

MUFG Bank Ltd. (New York Branch)

2.375%

9/18/19

21,000

 

20,977

 

 

 

 

 

268,383

 

11


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

Finance — Auto (1.2%)

 

 

 

 

 

American Honda Finance Corp.

2.530%

9/9/19

64,000

63,964

 

American Honda Finance Corp.

2.333%–2.343%

9/10/19

82,300

82,252

 

American Honda Finance Corp.

2.509%

9/12/19

119,000

118,910

 

American Honda Finance Corp.

2.396%–2.438%

9/26/19

76,450

76,323

 

American Honda Finance Corp.

2.247%

11/8/19

29,250

29,127

 

American Honda Finance Corp.

2.101%

11/13/19

75,000

74,682

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.100%

2.245%

12/18/19

198,000

198,000

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.110%

2.321%

12/9/19

121,000

121,000

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.120%

2.302%

1/14/20

126,000

126,000

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.150%

2.332%

2/12/20

130,000

130,000

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.150%

2.332%

2/13/20

130,000

130,000

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.180%

2.350%

2/19/20

162,000

162,000

3

Toyota Motor Credit Corp., 1M USD LIBOR + 0.180%

2.350%

2/20/20

162,000

 

162,000

 

 

 

 

 

1,474,258

Foreign Banks (24.9%)

 

 

 

 

2,3

Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.080%

2.309%

1/6/20

495,000

495,000

2,3

Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130%

2.327%

2/18/20

248,000

248,000

2,3

Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130%

2.297%

2/20/20

89,000

88,999

2,3

Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130%

2.302%

2/20/20

166,000

166,000

2,3

Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.210%

2.377%

8/20/20

169,000

169,000

2,3

Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.340%

2.509%

11/21/19

600,000

600,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.090%

2.260%

11/22/19

125,000

125,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.100%

2.267%

10/23/19

184,000

184,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.100%

2.267%

12/23/19

151,000

151,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.100%

2.269%

1/21/20

158,000

158,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.110%

2.280%

11/22/19

216,000

216,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.110%

2.304%

1/13/20

397,000

397,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.110%

2.292%

1/17/20

75,000

75,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.110%

2.292%

1/17/20

225,000

225,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.120%

2.344%

12/2/19

400,000

400,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.120%

2.348%

12/6/19

180,000

180,000

 

12


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.120%

2.331%

12/9/19

121,500

121,500

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.130%

2.325%

2/14/20

130,000

130,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.130%

2.312%

2/18/20

200,000

200,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.160%

2.383%

3/9/20

255,000

255,000

2,3

Bank of Nova Scotia, 1M USD LIBOR + 0.170%

2.315%

3/27/20

155,000

155,000

2,3

Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.120%

2.321%

11/12/19

163,000

163,000

2,3

Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.130%

2.331%

2/11/20

550,000

550,000

2,3

Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.170%

2.393%

3/5/20

340,000

340,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.100%

2.282%

9/18/19

62,000

62,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.100%

2.282%

9/19/19

62,000

62,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.160%

2.388%

6/4/20

127,000

126,990

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.160%

2.404%

6/5/20

148,000

147,997

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.180%

2.325%

4/24/20

91,000

90,998

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.210%

2.438%

9/6/19

90,000

90,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.210%

2.404%

9/13/19

98,750

98,750

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.210%

2.407%

9/16/19

64,000

64,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.300%

2.528%

11/4/19

135,000

135,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.320%

2.533%

11/8/19

247,000

247,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.330%

2.558%

9/6/19

150,000

150,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.330%

2.541%

9/9/19

150,000

150,000

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.340%

2.510%

11/22/19

135,000

134,998

2,3

Commonwealth Bank of Australia, 1M USD LIBOR + 0.340%

2.485%

11/25/19

198,000

197,998

2

DBS Bank Ltd.

2.425%

9/3/19

120,000

119,984

2

DBS Bank Ltd.

2.374%–2.415%

9/10/19

191,500

191,386

2

DBS Bank Ltd.

2.375%

9/16/19

100,000

99,902

2

DBS Bank Ltd.

2.360%

9/17/19

127,000

126,868

2

DBS Bank Ltd.

2.625%

9/25/19

99,000

98,829

2

DBS Bank Ltd.

2.615%

9/27/19

200,000

199,627

2

DBS Bank Ltd.

2.328%

10/17/19

56,000

55,835

2

DBS Bank Ltd.

2.582%

10/18/19

200,000

199,334

2

DBS Bank Ltd.

2.329%

10/24/19

63,000

62,786

2

DBS Bank Ltd.

2.593%

11/1/19

99,000

98,570

2

DBS Bank Ltd.

2.276%

11/5/19

131,000

130,465

 

13


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

2

DBS Bank Ltd.

2.223%

11/6/19

66,000

65,733

2

DBS Bank Ltd.

2.162%

11/7/19

99,000

98,604

2

DBS Bank Ltd.

2.552%

11/15/19

198,000

196,960

2

DBS Bank Ltd.

2.511%

11/18/19

59,500

59,180

2

DBS Bank Ltd.

2.533%

11/26/19

99,000

98,409

2

DBS Bank Ltd.

2.092%

12/6/19

68,000

67,623

2

DNB Bank ASA

2.557%

9/24/19

250,000

249,597

2

DNB Bank ASA

2.441%

10/9/19

590,000

588,493

2

DNB Bank ASA

2.328%

10/17/19

360,000

358,937

2,3

HSBC Bank plc, 1M USD LIBOR + 0.110%

2.354%

10/3/19

300,000

300,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.100%

2.313%

10/8/19

607,000

607,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.100%

2.295%

11/14/19

301,000

301,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.110%

2.282%

3/20/20

250,000

250,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.120%

2.289%

2/21/20

211,000

211,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.130%

2.374%

2/4/20

303,000

303,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.130%

2.324%

2/13/20

120,000

120,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.150%

2.361%

2/11/20

544,000

544,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.150%

2.332%

4/16/20

327,000

327,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.200%

2.444%

5/1/20

500,000

500,000

2,3

National Australia Bank Ltd., 1M USD LIBOR + 0.330%

2.558%

9/6/19

300,000

300,000

2

Nederlandse Waterschapsbank NV

2.334%

9/18/19

94,500

94,396

2

Nederlandse Waterschapsbank NV

2.258%

10/18/19

323,000

322,053

2

Nederlandse Waterschapsbank NV

2.126%

11/12/19

149,000

148,370

2

Nederlandse Waterschapsbank NV

2.126%

11/15/19

495,000

492,819

2

Nederlandse Waterschapsbank NV

2.081%

11/26/19

495,000

492,552

2

Nederlandse Waterschapsbank NV

2.226%

11/27/19

321,000

319,286

2

Nederlandse Waterschapsbank NV

2.081%

12/9/19

250,000

248,620

2

Nordea Bank ABP

2.588%

9/20/19

350,000

349,528

2

NRW Bank

2.121%–2.481%

9/3/19

417,500

417,447

2

NRW Bank

2.121%–2.482%

9/4/19

721,000

720,865

2

NRW Bank

2.121%–2.425%

9/6/19

1,020,000

1,019,690

2

NRW Bank

2.426%

9/9/19

297,000

296,841

2

NRW Bank

2.421%

9/10/19

51,000

50,969

2

NRW Bank

2.343%

9/13/19

157,000

156,878

2

NRW Bank

2.344%–2.349%

9/16/19

165,500

165,339

2

NRW Bank

2.334%

9/17/19

127,000

126,869

2

NRW Bank

2.344%

9/18/19

143,000

142,843

2

NRW Bank

2.278%

10/10/19

134,706

134,375

2

NRW Bank

2.279%

10/15/19

162,000

161,551

2

NRW Bank

2.140%

10/31/19

297,000

295,946

2

NRW Bank

2.131%

11/6/19

246,000

245,044

2

NRW Bank

2.131%

11/7/19

112,500

112,056

2

NRW Bank

2.126%

11/14/19

99,000

98,570

2

NRW Bank

2.127%

11/15/19

99,000

98,564

 

14


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

2

NRW Bank

2.090%

11/21/19

149,000

148,303

2

NRW Bank

2.081%

11/26/19

387,000

385,086

2,3

Royal Bank of Canada, 1M USD LIBOR + 0.180%

2.381%

3/12/20

165,000

165,000

2,3

Royal Bank of Canada, 1M USD LIBOR + 0.180%

2.375%

4/14/20

290,000

290,000

2,3

Royal Bank of Canada, 1M USD LIBOR + 0.180%

2.362%

6/17/20

560,000

560,000

2,3

Royal Bank of Canada, 1M USD LIBOR + 0.190%

2.387%

3/16/20

250,000

250,000

2,3

Royal Bank of Canada, 1M USD LIBOR + 0.240%

2.352%

7/31/20

450,000

450,000

2,3

Royal Bank of Canada, 1M USD LIBOR + 0.240%

2.385%

8/26/20

183,000

183,000

 

Santander UK plc

2.425%

9/3/19

152,605

152,585

 

Santander UK plc

2.374%

9/10/19

161,000

160,905

 

Santander UK plc

2.370%

9/16/19

160,000

159,843

 

Santander UK plc

2.369%

10/11/19

160,000

159,582

 

Santander UK plc

2.295%

10/31/19

94,500

94,141

2

Skandinaviska Enskilda Banken AB

2.342%

9/5/19

48,501

48,488

2

Skandinaviska Enskilda Banken AB

2.314%

9/19/19

300,000

299,655

2

Skandinaviska Enskilda Banken AB

2.329%

9/20/19

316,000

315,614

2

Skandinaviska Enskilda Banken AB

2.563%

9/27/19

85,000

84,845

2

Skandinaviska Enskilda Banken AB

2.284%

10/22/19

345,000

343,890

2

Societe Generale SA

2.141%–2.151%

9/5/19

965,000

964,770

2

Societe Generale SA

2.141%

9/9/19

963,000

962,542

2

Svenska Handelsbanken AB

2.584%

9/26/19

300,000

299,469

2,3

Toronto-Dominion Bank, 1M USD LIBOR + 0.100%

2.272%

12/20/19

460,000

460,000

2,3

Toronto-Dominion Bank, 1M USD LIBOR + 0.120%

2.348%

12/6/19

470,000

470,000

2,3

Toronto-Dominion Bank, 1M USD LIBOR + 0.180%

2.377%

6/16/20

35,000

35,000

2,3

Toronto-Dominion Bank, 1M USD LIBOR + 0.180%

2.325%

6/23/20

200,000

200,000

2,3

Toronto-Dominion Bank, 1M USD LIBOR + 0.370%

2.593%

11/7/19

500,000

500,000

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.150%

2.266%

5/29/20

150,000

149,985

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.160%

2.404%

6/5/20

111,000

110,992

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.160%

2.404%

6/5/20

100,000

99,996

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.200%

2.394%

9/13/19

324,250

324,250

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.210%

2.392%

9/19/19

170,000

170,000

2,3,4

Westpac Banking Corp., 1M USD LIBOR + 0.210%

2.382%

9/20/19

25,000

25,000

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.300%

2.440%

10/28/19

395,000

394,997

2,3

Westpac Banking Corp., 1M USD LIBOR + 0.320%

2.533%

11/8/19

215,000

 

214,998

 

 

 

 

 

30,824,759

 

15


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

Foreign Governments (4.9%)

 

 

 

 

2

Alberta (Province Of)

2.425%

9/3/19

250,000

249,967

2

Alberta (Province Of)

2.425%

9/4/19

50,000

49,990

2

Alberta (Province Of)

2.573%

10/7/19

99,000

98,749

2

Alberta (Province Of)

2.542%

11/5/19

79,276

78,917

2

Alberta (Province Of)

2.378%

12/5/19

45,500

45,218

 

BNG Bank NV

2.116%–2.121%

9/3/19

1,159,000

1,158,864

 

BNG Bank NV

2.111%

9/4/19

570,000

569,900

 

BNG Bank NV

2.121%

9/5/19

616,000

615,855

 

BNG Bank NV

2.151%

9/6/19

201,650

201,590

2

CDP Financial Inc.

2.557%

9/5/19

49,000

48,986

2

CDP Financial Inc.

2.459%

9/24/19

15,750

15,725

2

CDP Financial Inc.

2.358%

10/1/19

16,000

15,969

2

CDP Financial Inc.

2.204%–2.215%

1/24/20

64,000

63,437

4

CPPIB Capital Inc.

2.365%

9/16/19

25,000

24,976

4

CPPIB Capital Inc.

2.366%

9/19/19

7,000

6,992

4

CPPIB Capital Inc.

2.481%

10/1/19

30,000

29,939

4

CPPIB Capital Inc.

2.526%

10/11/19

15,000

14,958

4

CPPIB Capital Inc.

2.527%

10/15/19

15,000

14,954

4

CPPIB Capital Inc.

2.445%

11/1/19

15,000

14,938

4

CPPIB Capital Inc.

2.445%

11/4/19

30,000

29,871

4

CPPIB Capital Inc.

2.445%

11/5/19

15,000

14,934

4

CPPIB Capital Inc.

2.445%

11/7/19

15,000

14,932

4

CPPIB Capital Inc.

2.431%

12/12/19

30,000

29,796

 

Export Development Canada

2.549%

9/23/19

371,500

370,928

 

Export Development Canada

2.529%

10/29/19

99,000

98,601

 

Export Development Canada

2.468%

11/12/19

31,094

30,942

 

Export Development Canada

2.346%

11/29/19

96,000

95,449

2

Hydro-Quebec

2.365%

9/13/19

150,000

149,882

2

Hydro-Quebec

2.549%

9/19/19

65,000

64,918

2

Hydro-Quebec

2.410%

10/7/19

128,000

127,694

2

Landesbank Hessen-Thueringen Girozentrale

2.151%

9/4/19

421

421

4

Omers Finance Trust

2.394%

9/4/19

36,115

36,108

4

Omers Finance Trust

2.374%

9/12/19

41,000

40,970

4

Omers Finance Trust

2.375%

9/17/19

48,000

47,950

4

Ontario Teachers’ Finance Trust

2.520%

11/4/19

49,500

49,281

2,4

Ontario Teachers’ Finance Trust

2.471%

12/2/19

31,350

31,155

3,4

Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.120%

2.348%

3/6/20

82,000

82,000

2,3

Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.200%

2.345%

8/24/20

95,000

95,000

2

Province of Quebec

2.410%–2.542%

10/8/19

563,000

561,555

4

PSP Capital Inc.

2.498%

9/3/19

120,000

119,983

4

PSP Capital Inc.

2.344%

9/17/19

76,000

75,921

4

PSP Capital Inc.

2.344%

9/19/19

126,500

126,353

4

PSP Capital Inc.

2.481%

10/1/19

24,500

24,450

4

PSP Capital Inc.

2.273%

10/8/19

29,250

29,182

4

PSP Capital Inc.

2.263%–2.527%

10/15/19

128,000

127,639

4

PSP Capital Inc.

2.403%

10/28/19

95,000

94,642

4

PSP Capital Inc.

2.205%

1/27/20

64,000

63,426

4

PSP Capital Inc.

2.205%

1/28/20

64,500

 

63,918

 

 

 

 

 

6,017,825

 

16


 

Prime Money Market Fund

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

Foreign Industrial (3.1%)

 

 

 

2

BASF SE

2.292%

9/23/19

734,000

732,977

2

BASF SE

2.293%

9/27/19

126,000

125,792

2

Nestle Capital Corp.

2.614%

9/12/19

128,000

127,899

2

Nestle Capital Corp.

2.573%

9/23/19

198,000

197,693

2

Nestle Capital Corp.

2.420%

10/3/19

172,000

171,633

2

Nestle Capital Corp.

2.589%

10/23/19

393,100

391,652

2

Nestle Capital Corp.

2.589%

10/31/19

196,000

195,167

2

Nestle Capital Corp.

2.589%

11/6/19

322,000

320,495

 

Nestle Finance International Ltd.

2.334%

9/13/19

21,250

21,234

 

Nestle Finance International Ltd.

2.420%

10/4/19

200,000

199,560

 

Nestle Finance International Ltd.

2.262%

10/11/19

131,000

130,672

 

Nestle Finance International Ltd.

2.262%

10/15/19

65,500

65,320

 

Nestle Finance International Ltd.

2.263%

10/16/19

65,500

65,316

 

Nestle Finance International Ltd.

2.589%

11/4/19

99,000

98,551

 

Nestle Finance International Ltd.

2.588%

11/7/19

65,000

64,692

2

Siemens Capital Co. LLC

2.283%

9/26/19

246,557

246,168

2

Total Capital Canada Ltd.

2.263%

10/18/19

252,000

251,260

2

Total Capital Canada Ltd.

2.205%

11/21/19

165,000

164,187

2

Total Capital SA

2.110%

9/3/19

206,800

206,776

3

Toyota Credit Canada Inc., 1M USD LIBOR + 0.130%

2.341%

12/9/19

30,000

30,000

3

Toyota Credit Canada Inc., 1M USD LIBOR + 0.130%

2.359%

12/27/19

99,000

 

99,000

 

 

 

 

 

3,906,044

Industrial (2.7%)

 

 

 

 

2

Apple Inc.

2.419%

10/2/19

25,000

24,948

2

Apple Inc.

2.419%

10/3/19

25,000

24,947

2

Apple Inc.

2.554%–2.565%

10/7/19

171,000

170,568

2

Apple Inc.

2.404%

11/4/19

25,000

24,894

2

Chevron Corp.

2.323%

9/13/19

74,000

73,943

 

Exxon Mobil Corp.

2.384%

9/4/19

700,000

699,862

 

Exxon Mobil Corp.

2.353%

9/5/19

172,000

171,955

 

Exxon Mobil Corp.

2.367%

9/26/19

253,000

252,587

 

Exxon Mobil Corp.

2.367%

9/27/19

253,000

252,571

 

Exxon Mobil Corp.

2.393%

9/30/19

220,000

219,579

 

Exxon Mobil Corp.

2.317%

10/11/19

443,000

441,868

 

Exxon Mobil Corp.

2.307%

10/16/19

235,000

234,327

2

Henkel of America Inc.

2.415%

9/6/19

56,000

55,981

2

Henkel of America Inc.

2.161%

11/5/19

51,950

51,748

2

Pfizer Inc.

2.333%

9/9/19

115,600

115,541

2

Pfizer Inc.

2.323%

9/10/19

300,000

299,827

2

Pfizer Inc.

2.333%

9/11/19

186,000

 

185,880

 

 

 

 

 

3,301,026

Total Commercial Paper (Cost $45,792,295)

 

 

 

45,792,295

Certificates of Deposit (34.0%)

 

 

 

 

Domestic Banks (6.1%)

 

 

 

 

 

Citibank NA

2.620%

9/12/19

618,000

618,000

 

Citibank NA

2.570%

10/21/19

208,000

208,000

 

Citibank NA

2.560%

11/1/19

426,000

426,000

 

Citibank NA

2.220%

1/6/20

195,000

195,000

 

HSBC Bank USA NA

2.160%

9/6/19

290,000

290,000

 

HSBC Bank USA NA

2.260%

10/28/19

161,500

161,500

 

17


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

3

HSBC Bank USA NA, 1M USD LIBOR + 0.130%

2.246%

10/29/19

182,000

182,000

3

HSBC Bank USA NA, 1M USD LIBOR + 0.130%

2.242%

10/30/19

49,500

49,500

3

State Street Bank & Trust Co., 1M USD LIBOR + 0.100%

2.294%

9/13/19

528,000

528,000

3

State Street Bank & Trust Co., 1M USD LIBOR + 0.100%

2.272%

9/20/19

600,000

600,000

3

State Street Bank & Trust Co., 1M USD LIBOR + 0.100%

2.344%

10/4/19

653,000

653,000

 

Wells Fargo Bank NA

2.000%

2/12/20

388,000

388,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.090%

2.319%

12/6/19

213,000

213,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.090%

2.235%

12/27/19

130,000

130,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.090%

2.235%

12/27/19

130,000

130,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.100%

2.294%

9/13/19

293,000

293,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.100%

2.212%

9/30/19

148,500

148,500

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.100%

2.313%

11/8/19

255,000

255,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.100%

2.295%

11/15/19

238,000

238,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.160%

2.355%

2/13/20

671,000

671,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.160%

2.355%

2/14/20

579,000

579,000

3

Wells Fargo Bank NA, 1M USD LIBOR + 0.190%

2.362%

3/19/20

650,000

 

650,000

 

 

 

 

 

7,606,500

Yankee Certificates of Deposit (27.9%)

 

 

 

 

3

Australia & New Zealand Banking Group, Ltd. (New York Branch), 1M USD LIBOR + 0.180%

2.292%

6/1/20

67,000

67,000

3

Australia & New Zealand Banking Group, Ltd. (New York Branch), 1M USD LIBOR + 0.310%

2.505%

11/15/19

101,000

101,000

 

Bank of Montreal (Chicago Branch)

2.370%

9/17/19

235,000

235,000

 

Bank of Montreal (Chicago Branch)

2.300%

9/24/19

200,000

200,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100%

2.323%

10/7/19

260,000

260,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100%

2.313%

10/8/19

130,500

130,500

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100%

2.282%

10/17/19

150,000

150,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.100%

2.270%

10/22/19

150,000

150,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.110%

2.354%

9/3/19

495,000

495,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.110%

2.255%

1/27/20

225,000

225,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.120%

2.265%

11/25/19

308,000

308,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.130%

2.325%

2/14/20

350,000

350,000

 

18


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.150%

2.295%

1/24/20

319,000

319,000

3

Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.170%

2.394%

3/2/20

250,000

250,000

3

Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.130%

2.374%

9/4/19

153,000

153,000

3

Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.170%

2.365%

3/16/20

103,000

103,000

 

Bayerische Landesbank (New York Branch)

2.160%

9/3/19

656,000

656,000

 

Bayerische Landesbank (New York Branch)

2.160%

9/4/19

742,000

742,000

 

Bayerische Landesbank (New York Branch)

2.160%

9/5/19

72,000

72,000

 

Bayerische Landesbank (New York Branch)

2.160%

9/6/19

492,000

492,000

 

Bayerische Landesbank (New York Branch)

2.160%

9/9/19

504,000

504,000

 

Canadian Imperial Bank of Commerce (New York Branch)

2.550%

10/1/19

248,000

248,000

3

Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.090%

2.320%

10/1/19

350,000

350,000

3

Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.090%

2.291%

12/10/19

387,000

387,000

3

Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120%

2.364%

11/5/19

162,000

162,000

3

Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120%

2.265%

11/25/19

459,000

459,000

3

Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120%

2.265%

11/26/19

61,000

61,000

3

Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.120%

2.364%

2/5/20

355,000

355,000

 

Commonwealth Bank of Australia (New York Branch)

2.420%

9/6/19

157,000

157,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.100%

2.344%

9/3/19

69,000

69,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.100%

2.245%

1/27/20

66,000

66,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.100%

2.239%

1/28/20

65,000

65,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.160%

2.305%

2/25/20

130,000

130,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.160%

2.384%

7/2/20

174,000

174,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.170%

2.337%

4/23/20

162,000

162,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.220%

2.365%

9/24/19

128,000

128,000

3

Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.280%

2.462%

10/18/19

100,000

100,000

 

Cooperatieve Rabobank UA (New York Branch)

2.120%

9/5/19

774,000

774,000

 

Cooperatieve Rabobank UA (New York Branch)

2.120%

9/6/19

831,000

831,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.080%

2.262%

12/19/19

126,000

126,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.090%

2.319%

12/6/19

198,000

198,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.130%

2.331%

2/11/20

324,000

324,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.160%

2.305%

2/27/20

99,000

99,000

 

19


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%

2.399%

3/6/20

198,000

198,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%

2.393%

3/9/20

165,000

165,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%

2.315%

3/27/20

198,000

198,000

3

Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%

2.282%

4/1/20

169,000

169,000

 

Credit Suisse AG (New York Branch)

2.330%

9/16/19

32,000

32,000

 

Credit Suisse AG (New York Branch)

2.300%

10/1/19

1,424,000

1,424,000

 

DNB Bank ASA (New York Branch)

2.460%

10/1/19

80,000

80,000

3

DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.090%

2.285%

11/14/19

300,000

299,997

3

DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.090%

2.285%

11/15/19

450,000

449,995

3

DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.100%

2.344%

9/5/19

580,000

580,000

3

DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.160%

2.404%

2/5/20

455,000

455,000

3

DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.180%

2.320%

2/28/20

590,000

590,000

 

KBC Bank NV (New York Branch)

2.150%

9/3/19

495,000

495,000

 

KBC Bank NV (New York Branch)

2.150%

9/5/19

493,000

493,000

 

KBC Bank NV (New York Branch)

2.150%

9/6/19

300,000

300,000

 

Landesbank Hessen-Thueringen Girozentrale

2.130%

9/3/19

374,000

374,000

 

Landesbank Hessen-Thueringen Girozentrale

2.130%

9/5/19

297,000

297,000

 

Landesbank Hessen-Thueringen Girozentrale

2.130%

9/6/19

342,000

342,000

 

MUFG Bank Ltd. (New York Branch)

2.510%

9/16/19

120,000

120,000

 

MUFG Bank Ltd. (New York Branch)

2.520%

9/16/19

174,000

174,000

 

MUFG Bank Ltd. (New York Branch)

2.510%

9/19/19

198,000

198,000

 

MUFG Bank Ltd. (New York Branch)

2.510%

9/20/19

121,000

121,000

 

MUFG Bank Ltd. (New York Branch)

2.510%

9/23/19

121,000

121,000

 

MUFG Bank Ltd. (New York Branch)

2.500%

9/24/19

125,000

125,000

 

MUFG Bank Ltd. (New York Branch)

2.510%

9/24/19

124,000

124,000

 

MUFG Bank Ltd. (New York Branch)

2.500%

9/25/19

198,000

198,000

 

MUFG Bank Ltd. (New York Branch)

2.480%

9/30/19

125,000

125,000

 

MUFG Bank Ltd. (New York Branch)

2.500%

9/30/19

133,000

133,000

 

Natixis (New York Branch)

2.130%

9/3/19

399,000

399,000

 

Natixis (New York Branch)

2.130%

9/3/19

1,558,000

1,558,000

3

Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.100%

2.329%

9/6/19

250,000

250,000

3

Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.100%

2.344%

10/4/19

500,000

500,000

3

Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.100%

2.311%

10/9/19

125,000

125,000

3

Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.210%

2.411%

9/11/19

420,000

420,000

3

Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.220%

2.464%

10/4/19

500,000

500,000

 

Skandinaviska Enskilda Banken AB (New York Branch)

2.260%

10/29/19

300,000

300,000

 

Skandinaviska Enskilda Banken AB (New York Branch)

2.110%

11/29/19

1,000,000

1,000,000

3

Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.120%

2.265%

9/27/19

147,000

147,000

 

20


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

 

Sumitomo Mitsui Banking Corp. (New York Branch)

2.390%

9/9/19

97,000

97,000

 

Sumitomo Mitsui Banking Corp. (New York Branch)

2.540%

9/11/19

250,000

250,000

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.100%

2.344%

9/3/19

850,000

850,000

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.100%

2.301%

9/11/19

121,000

121,000

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.110%

2.333%

11/7/19

325,000

324,997

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.150%

2.295%

12/20/19

495,000

494,992

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.150%

2.322%

12/20/19

315,000

314,991

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.170%

2.400%

12/3/19

255,000

255,000

3

Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.170%

2.399%

12/6/19

250,000

249,997

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.100%

2.272%

12/20/19

297,000

297,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.100%

2.212%

12/30/19

248,000

248,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.120%

2.265%

11/25/19

200,000

200,020

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.140%

2.307%

1/23/20

89,500

89,499

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160%

2.355%

6/15/20

159,000

159,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160%

2.342%

6/19/20

495,000

495,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160%

2.272%

6/30/20

395,000

395,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.180%

2.375%

7/15/20

250,000

250,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.190%

2.434%

5/5/20

350,000

350,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.200%

2.382%

5/19/20

250,000

250,000

3

Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.325%

2.519%

11/13/19

650,000

650,000

 

Swedbank AB (New York Branch)

2.100%

9/3/19

500,000

500,000

 

Toronto-Dominion Bank (New York Branch)

2.460%

10/1/19

130,000

130,000

3

Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.200%

2.413%

7/7/20

540,000

540,000

3

Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.210%

2.434%

5/4/20

135,000

135,000

3

Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.220%

2.415%

5/14/20

368,000

368,000

3

Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250%

2.362%

7/30/20

200,000

200,000

3

Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250%

2.362%

7/31/20

325,000

325,000

3

Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250%

2.445%

8/13/20

300,000

300,000

 

21


 

Prime Money Market Fund

 

 

 

 

Yield1

Maturity
Date

Face

Amount

($000)

Market

Value·

($000)

3

Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.150%

2.394%

6/5/20

50,000

49,993

3

Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160%

2.361%

6/12/20

75,000

74,997

3

Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160%

2.384%

7/2/20

500,000

499,979

3

Westpac Banking Corp. (New York Branch), 3M USD LIBOR + 0.040%

2.327%

2/3/20

40,000

 

40,004

 

 

 

 

 

34,471,961

Total Certificates of Deposit (Cost $42,078,461)

 

 

42,078,461

Other Notes (1.2%)

 

 

 

 

3

Bank of America NA, 1M USD LIBOR + 0.090%

2.320%

10/1/19

248,000

248,000

3

Bank of America NA, 1M USD LIBOR + 0.090%

2.314%

10/2/19

248,000

248,000

3

Bank of America NA, 1M USD LIBOR + 0.100%

2.330%

11/1/19

152,000

152,000

3

Bank of America NA, 1M USD LIBOR + 0.100%

2.344%

11/5/19

152,000

152,000

3

Bank of America NA, 1M USD LIBOR + 0.100%

2.301%

11/12/19

90,000

90,000

3

Bank of America NA, 1M USD LIBOR + 0.110%

2.321%

12/9/19

180,000

180,000

3

Bank of America NA, 1M USD LIBOR + 0.110%

2.311%

1/10/20

192,000

192,000

3

Bank of America NA, 1M USD LIBOR + 0.150%

2.320%

2/21/20

102,000

102,000

3

Bank of America NA, 1M USD LIBOR + 0.150%

2.320%

2/24/20

102,000

102,000

Total Other Notes (Cost $1,466,000)

 

 

 

1,466,000

Repurchase Agreements (0.3%)

 

 

 

 

 

JP Morgan Securities LLC

 

 

 

 

 

(Dated 8/30/19, Repurchase Value

 

 

 

 

 

$325,078,000, collateralized by U.S.

 

 

 

 

 

Treasury Note/Bond 1.750%–5.375%,

 

 

 

 

 

9/30/19–11/15/41, with a value of

 

 

 

 

 

$331,500,000) (Cost $325,000)

2.160%

9/3/19

325,000

325,000

Taxable Municipal Bonds (0.0%)

 

 

 

 

5

Greene County GA Development Authority

 

 

 

 

 

Revenue VRDO (Cost $6,250)

2.130%

9/6/19

6,250

6,250

Total Investments (102.5%) (Cost $126,706,498)

 

 

126,706,498

 

22


 

Prime Money Market Fund

 

 

 

 

Amount

 

 

 

($000

)

Other Assets and Liabilities (-2.5%)

 

 

 

Other Assets

 

 

 

Investment in Vanguard

 

5,820

 

Receivables for Accrued Income

 

100,702

 

Receivables for Capital Shares Issued

 

230,922

 

Other Assets

 

51,663

 

Total Other Assets

 

389,107

 

Liabilities

 

 

 

Payables for Investment Securities Purchased

 

(3,239,333

)

Payables for Capital Shares Redeemed

 

(199,447

)

Payables for Distributions

 

(15,465

)

Payables to Vanguard

 

(9,163

)

Other Liabilities

 

(923

)

Total Liabilities

 

(3,464,331

)

Net Assets (100%)

 

123,631,274

 

 

 

 

 

 

 

 

 

At August 31, 2019, net assets consisted of:

 

 

 

 

 

 

 

 

 

Amount

 

 

 

($000

)

Paid-in Capital

 

123,627,686

 

Total Distributable Earnings (Loss)

 

3,588

 

Net Assets

 

123,631,274

 

 

 

 

 

Investor Shares–Net Assets

 

 

 

Applicable to 104,696,420,176 outstanding $.001 par value shares of beneficial interest (unlimited authorization)

 

104,708,532

 

Net Asset Value Per Share–Investor Shares

 

$1.00

 

 

 

 

 

Admiral Shares–Net Assets

 

 

 

Applicable to 18,920,702,055 outstanding $.001 par value shares of beneficial interest (unlimited authorization)

 

18,922,742

 

Net Asset Value Per Share–Admiral Shares

 

$1.00

 

 

·    See Note A in Notes to Financial Statements.

 

1   Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.

 

2   Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At August 31, 2019, the aggregate value of these securities was $36,202,668,000, representing 29.3% of net assets.

 

3   Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

 

4   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 August 31, 2019, the aggregate value of these securities was $1,234,268,000, representing 1.0% of net assets.

 

5   Scheduled principal and interest payments are guaranteed by bank letter of credit.

LIBOR—London Interbank Offered Rate.

VRDO—Variable Rate Demand Obligation.

 

 

 

 

 

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

 

23


 

Prime Money Market Fund

 

 

Statement of Operations

 

 

Year Ended

 

August 31, 2019

 

($000)

Investment Income

 

Income

 

Interest

2,954,873

Total Income

2,954,873

Expenses

 

The Vanguard Group—Note B

 

Investment Advisory Services

4,212

Management and Administrative—Investor Shares

141,363

Management and Administrative—Admiral Shares

15,855

Marketing and Distribution—Investor Shares

15,302

Marketing and Distribution—Admiral Shares

1,106

Custodian Fees

449

Auditing Fees

33

Shareholders’ Reports—Investor Shares

561

Shareholders’ Reports—Admiral Shares

44

Trustees’ Fees and Expenses

77

Total Expenses

179,002

Net Investment Income

2,775,871

Realized Net Gain (Loss) on Investment Securities Sold

(80)

Net Increase (Decrease) in Net Assets Resulting from Operations

2,775,791

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

24


 

Prime Money Market Fund

 

 

Statement of Changes in Net Assets

 

 

Year Ended August 31,

 

2019

 

2018

 

($000

)

($000)

Increase (Decrease) in Net Assets

 

 

 

Operations

 

 

 

Net Investment Income

2,775,871

 

1,581,192

Realized Net Gain (Loss)

(80

)

(4,203)

Net Increase (Decrease) in Net Assets Resulting from Operations

2,775,791

 

1,576,989

Distributions

 

 

 

Net Investment Income

 

 

 

Investor Shares

(2,351,823

)

(1,363,449)

Admiral Shares

(424,095

)

(217,801)

Realized Capital Gain

 

 

 

Investor Shares

 

Admiral Shares

 

Total Distributions

(2,775,918

)

(1,581,250)

Capital Share Transactions (at $1.00 per share)

 

 

 

Investor Shares

11,810,567

 

8,015,413

Admiral Shares

2,805,143

 

4,121,058

Net Increase (Decrease) from Capital Share Transactions

14,615,710

 

12,136,471

Total Increase (Decrease)

14,615,583

 

12,132,210

Net Assets

 

 

 

Beginning of Period

109,015,691

 

96,883,481

End of Period

123,631,274

 

109,015,691

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

25


 

Prime Money Market Fund

 

 

Financial Highlights

 

 

Investor Shares

 

For a Share Outstanding
Throughout Each Period

 

 

 

 

 

Year Ended August 31,

 

2019

 

2018

 

2017

 

2016

 

2015

Net Asset Value, Beginning of Period

 

$1.00

 

$1.00

 

$1.00

 

$1.00

 

$1.00

Investment Operations

 

 

 

 

 

 

 

 

 

 

Net Investment Income

 

.0231

 

.0161

 

.0081

 

.0032

 

.0002

Net Realized and Unrealized Gain (Loss) on Investments

 

 

 

 

 

Total from Investment Operations

 

.023

 

.016

 

.008

 

.0032

 

.0002

Distributions

 

 

 

 

 

 

 

 

 

 

Dividends from Net Investment Income

 

(.023)

 

(.016)

 

(.008)

 

(.0032)

 

(.0002)

Distributions from Realized Capital Gains

 

 

 

 

 

Total Distributions

 

(.023)

 

(.016)

 

(.008)

 

(.0032)

 

(.0002)

Net Asset Value, End of Period

 

$1.00

 

$1.00

 

$1.00

 

$1.00

 

$1.00

 

 

 

 

 

 

 

 

 

 

 

Total Return2

 

2.36%

 

1.59%

 

0.83%

 

0.32%

 

0.02%

 

 

 

 

 

 

 

 

 

 

 

Ratios/Supplemental Data

 

 

 

 

 

 

 

 

 

 

Net Assets, End of Period (Millions)

 

$104,709

 

$92,898

 

$84,886

 

$100,210

 

$105,820

Ratio of Total Expenses to Average Net Assets3

 

0.16%

 

0.16%

 

0.16%

 

0.16%

 

0.15%

Ratio of Net Investment Income to Average Net Assets

 

2.33%

 

1.59%

 

0.82%

 

0.32%

 

0.02%

 

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   Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016 and 0.16% for 2015. For the years ended August 31, 2019, 2018, and 2017, there were no expense reductions.

 

 

 

 

 

 

 

 

 

 

 

 

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

 

26


 

Prime Money Market Fund

 

 

Financial Highlights

 

 

Admiral Shares

 

For a Share Outstanding
Throughout Each Period

 

 

 

 

 

Year Ended August 31,

 

2019

 

2018

 

2017

 

2016

 

2015

Net Asset Value, Beginning of Period

 

$1.00

 

$1.00

 

$1.00

 

$1.00

 

$1.00

Investment Operations

 

 

 

 

 

 

 

 

 

 

Net Investment Income

 

.0241

 

.0161

 

.0091

 

.004

 

.001

Net Realized and Unrealized Gain (Loss) on Investments

 

 

 

 

 

Total from Investment Operations

 

.024

 

.016

 

.009

 

.004

 

.001

Distributions

 

 

 

 

 

 

 

 

 

 

Dividends from Net Investment Income

 

(.024)

 

(.016)

 

(.009)

 

(.004)

 

(.001)

Distributions from Realized Capital Gains

 

 

 

 

 

Total Distributions

 

(.024)

 

(.016)

 

(.009)

 

(.004)

 

(.001)

Net Asset Value, End of Period

 

$1.00

 

$1.00

 

$1.00

 

$1.00

 

$1.00

 

 

 

 

 

 

 

 

 

 

 

Total Return2

 

2.42%

 

1.66%

 

0.89%

 

0.38%

 

0.07%

 

 

 

 

 

 

 

 

 

 

 

Ratios/Supplemental Data

 

 

 

 

 

 

 

 

 

 

Net Assets, End of Period (Millions)

 

$18,923

 

$16,118

 

$11,997

 

$16,429

 

$28,988

Ratio of Total Expenses to Average Net Assets

 

0.10%

 

0.10%

 

0.10%

 

0.10%

 

0.10%

Ratio of Net Investment Income to Average Net Assets

 

2.39%

 

1.65%

 

0.88%

 

0.38%

 

0.07%

 

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.

 

27


 

Prime Money Market Fund

 

 

Notes to Financial Statements

 

 

Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. 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.

 

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. Securities are valued at amortized cost, which approximates market value.

 

2. 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 counter-party’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.

 

3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

 

4. 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 and may differ from net investment income and realized capital gains for financial reporting purposes.

 

5. Credit Facility: 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

 

28


 

Prime Money Market Fund

 

 

 

 

The fund had no borrowings outstanding at August 31, 2019, or at any time during the period then ended.

 

6. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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 August 31, 2019, the fund had contributed to Vanguard capital in the amount of $5,820,000, representing less than 0.01% of the fund’s net assets and 2.33% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

 

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

 

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

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

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

 

At August 31, 2019, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.

 

D.      Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

 

29


 

Prime Money Market Fund

 

 

 

 

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral on wash sales and payables for distributions. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

 

 

Amount

 

 

 

($000

)

Undistributed Ordinary Income

 

23,336

 

Undistributed Long-term Gains

 

 

Capital Loss Carryforwards (Non-expiring)

 

(4,284

)

Net Unrealized Gains (Losses)

 

 

 

As of August 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

 

 

 

 

Amount

 

 

 

($000

)

Tax Cost

 

126,706,498

 

Gross Unrealized Appreciation

 

 

Gross Unrealized Depreciation

 

 

Net Unrealized Appreciation (Depreciation)

 

 

 

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