UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02368
Name of Registrant: Vanguard Fixed Income Securities Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: January 31
Date of reporting period: February 1, 2015 – July 31, 2015
Item 1: Reports to Shareholders
Semiannual Report | July 31, 2015
Vanguard U.S. Government Bond Funds
Vanguard Short-Term Treasury Fund
Vanguard Short-Term Federal Fund
Vanguard Intermediate-Term Treasury Fund
Vanguard GNMA Fund
Vanguard Long-Term Treasury Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Advisors’ Report. | 10 |
Short-Term Treasury Fund. | 15 |
Short-Term Federal Fund. | 31 |
Intermediate-Term Treasury Fund. | 47 |
GNMA Fund. | 62 |
Long-Term Treasury Fund. | 80 |
About Your Fund’s Expenses. | 94 |
Trustees Approve Advisory Arrangements. | 97 |
Glossary. | 99 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns | ||||
Six Months Ended July 31, 2015 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Treasury Fund | ||||
Investor Shares | 0.58% | 0.33% | -0.19% | 0.14% |
Admiral™ Shares | 0.68 | 0.37 | -0.19 | 0.18 |
Barclays U.S. 1–5 Year Treasury Bond Index | 0.11 | |||
Short-Term U.S. Treasury Funds Average | 0.16 | |||
Short-Term U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Short-Term Federal Fund | ||||
Investor Shares | 0.73% | 0.41% | -0.22% | 0.19% |
Admiral Shares | 0.83 | 0.46 | -0.22 | 0.24 |
Barclays U.S. 1–5 Year Government Bond Index | 0.13 | |||
Short-Intermediate U.S. Government Funds Average | -0.17 | |||
Short-Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Treasury Fund | ||||
Investor Shares | 1.53% | 0.80% | -1.87% | -1.07% |
Admiral Shares | 1.63 | 0.85 | -1.87 | -1.02 |
Barclays U.S. 5–10 Year Treasury Bond Index | -1.66 | |||
General U.S. Treasury Funds Average | -4.32 | |||
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard GNMA Fund | ||||
Investor Shares | 1.98% | 1.12% | -1.07% | 0.05% |
Admiral Shares | 2.08 | 1.16 | -1.07 | 0.09 |
Barclays U.S. GNMA Bond Index | 0.23 | |||
GNMA Funds Average | 0.25 |
GNMA Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements.
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Your Fund’s Total Returns | ||||
Six Months Ended July 31, 2015 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Treasury Fund | ||||
Investor Shares | 2.72% | 1.24% | -10.47% | -9.23% |
Admiral Shares | 2.82 | 1.29 | -10.47 | -9.18 |
Barclays U.S. Long Treasury Bond Index | -9.11 | |||
General U.S. Treasury Funds Average | -4.32 |
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements.
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Your Fund’s Performance at a Glance | ||||
January 31, 2015, Through July 31, 2015 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Treasury Fund | ||||
Investor Shares | $10.75 | $10.73 | $0.034 | $0.000 |
Admiral Shares | 10.75 | 10.73 | 0.040 | 0.000 |
Vanguard Short-Term Federal Fund | ||||
Investor Shares | $10.82 | $10.79 | $0.045 | $0.006 |
Admiral Shares | 10.82 | 10.79 | 0.050 | 0.006 |
Vanguard Intermediate-Term Treasury Fund | ||||
Investor Shares | $11.66 | $11.43 | $0.094 | $0.012 |
Admiral Shares | 11.66 | 11.43 | 0.100 | 0.012 |
Vanguard GNMA Fund | ||||
Investor Shares | $10.88 | $10.71 | $0.121 | $0.054 |
Admiral Shares | 10.88 | 10.71 | 0.126 | 0.054 |
Vanguard Long-Term Treasury Fund | ||||
Investor Shares | $14.19 | $12.61 | $0.177 | $0.100 |
Admiral Shares | 14.19 | 12.61 | 0.183 | 0.100 |
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Chairman’s Letter
Dear Shareholder,
After a strong run in the last fiscal year, bond prices declined and volatility increased over the half year ended July 31, 2015. Demand from risk-averse investors, which had surged in January amid concerns about deflation and the shaky pace of global growth, slackened over much of the period, as the economic picture brightened and the Federal Reserve appeared closer to raising short-term interest rates.
With weaker demand depressing the prices of longer-term bonds in particular, Vanguard Long-Term Treasury Fund returned –9.23%. (All returns and yields cited in this letter are for the funds’ Investor Shares.) More modest price declines for shorter-term bonds helped the four other funds perform better; their returns ranged from –1.07% for Vanguard Intermediate-Term Treasury Fund to 0.19% for Vanguard Short-Term Federal Fund.
In relative terms, the two Short-Term Funds came in a step ahead of their benchmarks, and the Intermediate-Term Fund did even better; the two other funds lagged theirs. Compared with their peers, the Short-Term Federal Fund and Intermediate-Term Treasury Fund outperformed the average return for their peer groups. The Short-Term Treasury Fund was roughly in line with the average for its peer group, while the two other funds lagged theirs.
The 30-day SEC yield for Vanguard GNMA Fund declined to 1.98% on July 31 from 2.22% six months earlier. For the four other funds, the yield rose by between 11 and
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59 basis points over the same period. (A basis point is one-hundredth of a percentage point.)
On a separate note, the GNMA Fund marked its 35th anniversary in June. I would like to take this opportunity to thank the fund’s advisor, Wellington Management Company, for its stewardship of the fund throughout our long and productive working relationship.
Fixed income fared poorly both at home and abroad
Prices of U.S. taxable bonds declined in four of the six months, producing a return of –1.47%. U.S. municipal bonds held up a little better, but the slide in their prices more than offset the income they generated as well. Their return was –0.92%.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.79%, curbed by the dollar’s strength against many foreign currencies. Without this currency effect, international bonds returned about –1%.
Returns were negligible for money market funds and savings accounts as the Fed’s target for short-term rates remained at 0%–0.25%.
U.S. stocks proved resilient in a challenging environment
The broad U.S. stock market returned more than 6% over the six months. Corporate earnings generally exceeded forecasts, and investors seemed encouraged by the monetary stimulus efforts of other nations’ central banks.
Market Barometer | |||
Total Returns | |||
Periods Ended July 31, 2015 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -1.47% | 2.82% | 3.27% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -0.92 | 3.56 | 4.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.02 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.60% | 11.24% | 16.45% |
Russell 2000 Index (Small-caps) | 6.98 | 12.03 | 15.27 |
Russell 3000 Index (Broad U.S. market) | 6.61 | 11.28 | 16.35 |
FTSE All-World ex US Index (International) | 4.26 | -3.74 | 6.23 |
CPI | |||
Consumer Price Index | 2.12% | 0.17% | 1.83% |
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But stocks also encountered hurdles. During the latter part of the period, Greece’s debt crisis and a swoon by Chinese stocks weighed on global markets. The strong U.S. dollar’s negative effect on the profits of U.S.-based multinational companies, valuations that some investors perceived as high, and muddled economic news also roiled stocks at times.
For U.S. investors, international stocks returned about 4%; results would have been more robust if not for the dollar’s strength against many foreign currencies. Returns for the developed markets of Europe and the Pacific region surpassed those of emerging markets, which declined.
The outlook improved for growth and inflation
Some of the uncertainties weighing on the global economy lifted a little as the half year progressed. At home, growth seemed to get back on track after a first quarter marked by severe winter weather in the Northeast and a port strike on the West Coast.
The labor market made gains despite job losses in the energy sector, consumer confidence held up, and the construction sector continued to heal. And abroad, data on the pace of expansion in the euro zone and Japan proved more robust than expected, thanks in part to central bank bond-buying programs aimed at keeping borrowing costs low to encourage household spending and business investment.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Admiral | Peer Group | |
Shares | Shares | Average | |
Short-Term Treasury Fund | 0.20% | 0.10% | 0.57% |
Short-Term Federal Fund | 0.20 | 0.10 | 0.97 |
Intermediate-Term Treasury Fund | 0.20 | 0.10 | 0.51 |
GNMA Fund | 0.21 | 0.11 | 0.95 |
Long-Term Treasury Fund | 0.20 | 0.10 | 0.51 |
The fund expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the funds’ annualized expense ratios were: for the Short-Term Treasury Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the Short-Term Federal Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the GNMA Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; and for the Long-Term Treasury Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2014.
Peer groups: For the Short-Term Treasury Fund, Short-Term U.S. Treasury Funds; for the Short-Term Federal Fund, Short-Intermediate U.S. Government Funds; for the Intermediate-Term Treasury Fund, General U.S. Treasury Funds; for the GNMA Fund, GNMA Funds; and for the Long-Term Treasury Fund, General U.S. Treasury Funds.
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These improvements helped to allay deflationary fears, which stood center stage at the beginning of the period. They also helped to counter negative developments such as flare-ups in the Greek debt crisis, the shift to a slower pace of growth in China, and continued weakness in commodity prices.
Because of the brighter economic outlook and the greater likelihood of a Fed rate hike, Treasury bond yields rose and prices fell across the maturity spectrum. This was especially true among longer-dated securities. The drop in bond prices cut more than 10 percentage points from the return of the Long-Term Treasury Fund and almost 2 percentage points from the Intermediate-Term Treasury Fund. And in this low interest rate environment, there wasn’t a lot of earned income to cushion those price drops.
The other funds saw more modest declines in the value of their holdings, ranging from 0.19 to 1.07 percentage points; they earned enough interest income to push their returns into positive territory. (See the capital and income returns by fund in the Your Fund’s Total Returns table on page 1.)
Such sharp price drops can be disconcerting. Keep in mind, however, that prices surged higher in the previous six months and, for the 12 months ended July 31, returns for all five funds were positive. More important, while bond prices may fluctuate—sometimes significantly—income tends to be a bigger driver of bond performance over the long term.
The shorter-than-benchmark durations of the short and intermediate funds helped their performance relative to their benchmarks. So, too, did their allocations
Yields | ||
30-Day SEC Yields on | ||
January 31, | July 31, | |
Bond Fund (Investor Shares) | 2015 | 2015 |
Short-Term Treasury | 0.47% | 0.58% |
Short-Term Federal | 0.59 | 0.73 |
Intermediate-Term Treasury | 1.26 | 1.53 |
GNMA | 2.22 | 1.98 |
Long-Term Treasury | 2.13 | 2.72 |
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to government mortgage-backed securities, which generally offered some incremental income over Treasury and agency debt. The Intermediate-Term Treasury Fund performed best, outstripping its benchmark by 60 basis points.
Three of those four funds also came close to or bested the average return for their peer groups. The Long-Term Treasury Fund was the exception because its peers may hold short- and intermediate-term securities. The Intermediate-Term Treasury Fund
Do you have the right ‘asset location’ for your bond fund?
Investors who want to maximize returns and minimize taxes should consider their “asset location,” or how their investments are spread among different types of accounts.
Broadly speaking, accounts are either tax-advantaged (as in tax-free or tax-deferred) or they’re taxable. IRAs and 401(k) plans, of course, are tax-advantaged.
As part of a series called IRA Insights (available at vanguard.com/research), analysts from Vanguard’s Investment Strategy Group studied data from hundreds of thousands of Vanguard accounts to determine how well investors were locating their assets. From a tax standpoint, were people choosing the optimal account type for a particular investment?
The analysts noted that bonds are tax-inefficient, because their return is almost entirely income. So investors are generally best served by holding them (and balanced funds, which include bonds) in IRAs and other tax-advantaged accounts. Otherwise, income from the bonds will drive up an investor’s annual tax liability, even if the income is automatically reinvested in a bond or balanced fund. And unlike qualified stock dividends, which are taxed at a preferential rate, bond income gets taxed at a higher “ordinary” income rate.
As you can see in results shown below from the study, there appears to be an opportunity for some bond investors to improve their asset location. These investors may be paying more in taxes than they need to.
Over half of investors with a choice own bonds in taxable accounts
Notes: Based on an analysis of almost 700,000 Vanguard IRA@ account owners who also have taxable investments at Vanguard and who own at least some bond investments. Data are as of December 31, 2014.
Source: Vanguard.
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again stood out, with a return more than 3 percentage points ahead of its peer-group average.
The GNMA Fund’s return was virtually flat, putting it a step behind its benchmark and peer group. Holding higher-coupon securities helped offset the drag from its duration and its yield curve positioning.
For a more detailed discussion of the management of the funds, please see the Advisors’ Report that follows this letter.
As your investment costs go down, your chance for success can go up
Being an investor can be frustrating at times: You’re planning for your financial future, but some factors—for example, the financial markets—are beyond your control. Although you can’t control the markets, you do have some choice in how much you pay to invest in them. And what you pay can greatly affect your chance for success.
At Vanguard, as you know, we take minimizing costs seriously. Indeed, that’s one of our four investment principles. (You can read more in
Vanguard’s Principles for Investing Success, available at vanguard.com/ research.) Paying less in expenses has an intuitive, immediate appeal.
Less obvious, perhaps, is the enormous advantage that low costs can offer over time.
Imagine two well-diversified portfolios, each with a starting balance of $100,000 and each earning a yearly return of 6%, which is reinvested over a 30-year period. In one scenario, the investor pays expenses totaling 0.25% of assets every year; in the other, the investor pays 0.90%. (Keep in mind that this is a hypothetical example and doesn’t represent any particular investment.)
After 30 years, the lower-cost portfolio has a balance of more than $530,000, while the higher-cost portfolio has a balance of almost $440,000. What might seem like a trifling cost difference at the start becomes a meaningful difference in the long term—in this example, nearly $100,000.
Increasingly, investors recognize the importance of minimizing costs. According to Morningstar, over the past 10 years, 95% of cash flows have gone into funds ranked in the lowest 20% in terms of their expenses. We’re pleased to see this trend, because it means investors are keeping more of their returns. By doing so, they’re giving themselves a better chance of reaching their financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
August 12, 2015
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Advisors’ Report
For the Short-, Intermediate-, and Long-Term Treasury Funds and the Short-Term Federal Fund
For the six months ended July 31, 2015, returns for the U.S. Government Bond Funds managed by Vanguard’s Fixed Income Group ranged from 0.24% for Admiral Shares of the Short-Term Federal Fund to –9.23% for Investor Shares of the Long-Term Treasury Fund. The returns of the funds exceeded those of their benchmarks, except for the Long-Term Treasury Fund. Compared with the average returns of their peers, the Short-Term Federal and Intermediate-Term Treasury Funds outperformed, and the Short- and Long-Term Treasury Funds lagged.
The investment environment
Volatility in the bond market picked up as expectations continued to shift about the strength of the economy at home and abroad as well as the timing of the Federal Reserve’s first interest rate increase in nearly ten years.
Solid growth in the last half of 2014 led the market to anticipate a Fed rate hike in March. But, as it did a year earlier, harsh winter weather put a chill on the U.S. economy. The rapid fall in oil prices, while saving consumers money at the gas pump, put the brakes on energy-related employment and capital spending. And while many economists expected that consumers would take advantage of the gas savings by spending more, they instead showed caution by paying down debt and saving
Yields of U.S. Treasury Securities | ||
January 31, | July 31, | |
Maturity | 2015 | 2015 |
2 years | 0.52% | 0.73% |
3 years | 0.83 | 1.05 |
5 years | 1.27 | 1.62 |
10 years | 1.75 | 2.26 |
30 years | 2.32 | 2.94 |
Source: Vanguard. |
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more. Europe showed signs of weakness at the beginning of the year as well, prompting the European Central Bank to embark on its own quantitative easing program. All of these factors, combined with a stronger U.S. dollar that reduced import prices, squelched inflationary pressures and contributed to the Fed’s decision to delay raising rates.
The economy rebounded as the year progressed, though more modestly than expected. Retail spending picked up, the housing market showed signs of gaining traction, and the economy continued to add jobs at an annual rate of around 2 million. But the data weren’t strong enough and inflation still wasn’t close enough to its 2% target for the Fed to raise rates in June, especially with the Greek crisis playing out in the background and Chinese growth coming in weak.
Although bond yields fluctuated in response to these changes in outlook, they ended the fiscal half year higher. The 10-year Treasury yield, for example, started the period at 1.75%—a low not seen since 2013—and finished 51 basis points higher at 2.26%. (A basis point is one-hundredth of a percentage point.) Longer-dated bonds rose even more sharply.
Management of the funds
We maintained a structurally short duration stance in the Short- and Intermediate-Term Funds versus their benchmarks. (Duration is a measure of sensitivity of a fund’s holdings to changes in interest rates.) This conservative positioning can be a drag on performance when rates are falling, but it added to relative performance of the funds, especially the Intermediate-Term Fund, over the six months as rates moved higher.
The Treasury Funds and Short-Term Federal Fund held out-of-benchmark allocations to mortgage-backed securities, and the Federal Fund had an overweight to them. Although market volatility hurt the prices of these securities, the incremental yield they offered over Treasuries and agency debt proved to be a net positive for the funds. We will continue to look for opportunities to add to the funds’ exposure to these securities for the potential yield enhancement they offer. Those opportunities may arise should the outlook for volatility decline or the securities’ valuations reach more attractive levels.
With the volatility in the market, we had some success in managing the yield curve exposure of the funds. The shifts in expectations about when the Fed would raise interest rates gave us the chance to position the funds tactically to benefit from the compression and widening of yields.
In the early part of the year, we added some 30-year break-even exposure as energy prices collapsed and the outlook for inflation dimmed—a move that captured additional return for the funds when we sold the positions.
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In the Short-Term Federal Fund, we also focused on finding relative value in the agency and mortgage-backed securities sectors.
The outlook
We expect U.S. gross domestic product to grow at an annual rate comfortably above 2% for the remainder of the year. We also anticipate that headline inflation will trend higher toward 2% in 2016.
Consequently, we think the initial “liftoff” of the Fed’s key short-term interest rate will take place before the end of 2015. We expect any subsequent increases to be gradual and done in small increments given the current disinflationary pressures of a strong U.S. dollar, the slowing of China’s economy, and soft commodity prices.
Of course, rising interest rates put bond investors at risk of short-term declines in principal. Nevertheless, we don’t expect significant declines such as those that occurred in the “taper tantrum” of 2013, when longer-term rates jumped in reaction to news that the Fed expected to start winding down its bond-buying program.
In fact, higher rates will enable the funds to reinvest the proceeds from maturing securities at higher yields. And a gradual move to higher rates would be good news for the economy. Unlike in past cycles, when the Fed tightened monetary policy to cool down an economy in danger of overheating, a measured rise in short-term rates would signal that the economy no longer needs emergency support.
Although the environment appears uncertain about when monetary policy will normalize, we remain cognizant of those risks and will continue to position the funds accordingly.
Gregory Davis, CFA, Principal and Head of Fixed Income Group Gemma Wright-Casparius, Principal and Portfolio Manager Brian Quigley, Portfolio Manager Vanguard Fixed Income Group August 14, 2015
For the GNMA Fund
For the six months ended July 31, 2015, Investor Shares of Vanguard GNMA Fund returned 0.05% and Admiral Shares returned 0.09%. The fund underperformed its benchmark index as well as the average return of peer-group funds.
Investment environment
Growth in the major developed markets stabilized during the period, while emerging-market growth continued to languish, held back by an economic slowdown in Asia. Economic data in the euro zone improved, and more countries participated in the upturn. Headline inflation rose, moving back into positive territory and triggering a rebound in inflation expectations. Though the Greek debt crisis muddied the outlook, European Central Bank President Mario Draghi indicated that the central bank’s stimulus measures were filtering through
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to the economy and that he intended to continue the asset-purchase program to its end. China’s central bank entered an aggressive monetary-easing cycle to counter deflationary risks and slowing growth after first-quarter gross domestic product hit its weakest level since the global financial crisis.
U.S. data released toward the end of the period suggested that economic activity picked up after a weak first quarter. On the consumer side, income growth was solid, consumption rose, and confidence remained elevated. The housing market gained some momentum as new and existing home sales rose and home prices continued to post healthy gains. Payroll growth and unemployment trends also remained favorable. The manufacturing sector remained weak but showed early signs of a gradual improvement. Consumer prices rose but remained subdued on a year-over-year basis, a potential complication for the Fed as it edges toward raising interest rates.
Despite lowering its growth and inflation forecasts slightly at its June meeting, the Fed hinted that U.S. rates were still on track to rise later this year. The downward shift in Fed officials’ predictions of interest rates, however, signaled a slight delay in the timing of hikes. Fed Chair Janet Yellen maintained a cautious tone, noting that the Federal Open Market Committee would raise rates only gradually in the coming years; the precise timing of the first hike would depend heavily on data and events.
Agency mortgage-backed securities (MBS) generated a total return of 0.09% over the six months, underperforming duration-equivalent Treasuries by 0.30 percentage point as measured by Wellington Management. Early in the period, mortgage rates moved in tandem with interest rates, while the latter part of the period was dominated by global macro events such as those in Greece and China that weighed on most spread sectors during the period. While MBS were not immune, mortgage underperformance was relatively subdued and spreads ended the period five basis points tighter at 28. Thirty-year Ginnie Maes (GNMAs) marginally outperformed conventional mortgage securities (those backed by Fannie Mae and Freddie Mac), while 15-year conventionals underper-formed 30-year securities and lower-coupon MBS generally underperformed those with higher coupons.
Fund successes
The fund’s underweight to 30-year GNMA MBS contributed to relative performance during the period, as did our stake in collateralized mortgage obligations, which outperformed MBS passthroughs. Coupon positioning and security selection in the GNMA MBS market also helped, as our overweights were concentrated in high-coupon seasoned securities. The fund’s underweights, on the other hand, were focused on lower coupons that suffered more during the period.
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Fund shortfalls
Duration and yield curve positioning drove the fund’s underperformance relative to its benchmark. The fund was positioned with a flattening bias, which hurt performance as front-end yields increased less than longer-term rates. Its out-of-benchmark allocation to Fannie Mae multi-family Delegated Underwriting and Servicing securities also weighed on relative results.
Fund positioning
We are maintaining a relatively neutral stance in MBS and will continue to trade the mortgage basis opportunistically. Though spreads widened again in the second quarter and are wider year-to-date, they are not yet at levels where we would consider adding risk. Further increases in volatility, brought on either by geopolitical events or uncertainty around the Fed’s next move, could continue to put pressure on spreads. However, we expect the widening to be constrained because over the longer term, increases in the relative supply of Treasuries should create support for MBS. In addition, the U.S. rate structure’s attractiveness compared with those of other developed markets should drive demand from international buyers.
Within agency pass-throughs, we have little exposure to the 15-year sector. We own conventionals (Fannie Mae- and Freddie Mac-issued securities) in lieu of GNMAs, although we have reduced both positions as the sectors cheapened to some extent. Our underweight in GNMAs is concentrated in 3%–4.5% coupons; we continue to view these assets as modestly rich at current price spreads. Outside of pass-throughs, we continue to prefer assets with more stable duration profiles, such as Fannie Mae Delegated Underwriting and Servicing bonds and collateralized mortgage obligations, which should perform better in an environment of rising volatility. We continue to be positioned with a bias toward a flatter yield curve.
Michael F. Garrett
Senior Managing Director and
Fixed Income Portfolio Manager
Wellington Management Company LLP
August 14, 2015
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Short-Term Treasury Fund
Fund Profile
As of July 31, 2015
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFISX | VFIRX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.58% | 0.68% | |
Financial Attributes | |||
Barclays Barclays | |||
1–5 Year | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 118 | 154 | 9,496 |
Yield to Maturity | |||
(before expenses) | 0.9% | 0.9% | 2.4% |
Average Coupon | 1.4% | 1.6% | 3.2% |
Average Duration | 2.3 years | 2.7 years | 5.6 years |
Average Effective | |||
Maturity | 2.5 years | 2.7 years | 7.8 years |
Short-Term | |||
Reserves | -4.4% | — | — |
The fund invested a portion of its cash reserves in equity and fixed | |||
income markets through the use of index futures contracts. After | |||
the effect of the futures investments, the fund's temporary cash | |||
portion was negative. | |||
Sector Diversification (% of portfolio) | |||
Government Mortgage-Backed | 4.8% | ||
Treasury/Agency | 95.2 | ||
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. |
Volatility Measures | ||
Barclays | Barclays | |
1–5 Year | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.94 | 0.67 |
Beta | 0.68 | 0.22 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | -4.8% | |
1 - 3 Years | 82.8 | |
3 - 5 Years | 18.0 | |
5 - 7 Years | 4.0 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 98.2% | |
Not Rated | 1.8 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.19% for Investor Shares and 0.09% for Admiral Shares.
15
Short-Term Treasury Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
1–5 Year | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 3.20% | -1.34% | 1.86% | 1.46% |
2007 | 4.30 | -0.48 | 3.82 | 3.83 |
2008 | 4.58 | 5.26 | 9.84 | 10.35 |
2009 | 2.70 | 1.79 | 4.49 | 5.84 |
2010 | 1.60 | 0.90 | 2.50 | 1.95 |
2011 | 1.09 | 0.83 | 1.92 | 2.94 |
2012 | 0.68 | 1.56 | 2.24 | 3.38 |
2013 | 0.41 | -0.02 | 0.39 | 0.45 |
2014 | 0.36 | -0.08 | 0.28 | 0.38 |
2015 | 0.51 | 0.50 | 1.01 | 1.75 |
2016 | 0.33 | -0.19 | 0.14 | 0.11 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 10/28/1991 | 0.77% | 0.91% | 1.83% | 0.87% | 2.70% |
Admiral Shares | 2/13/2001 | 0.87 | 1.01 | 1.95 | 0.87 | 2.82 |
See Financial Highlights for dividend and capital gains information.
16
Short-Term Treasury Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (104.6%) | |||||
U.S. Government Securities (99.6%) | |||||
United States Treasury Note/Bond | 0.500% | 7/31/16 | 16,000 | 16,023 | |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 151,000 | 151,353 | |
United States Treasury Note/Bond | 0.500% | 8/31/16 | 48,000 | 48,060 | |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 81,000 | 81,531 | |
United States Treasury Note/Bond | 3.000% | 8/31/16 | 51,000 | 52,426 | |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 77,000 | 77,385 | |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 82,000 | 82,089 | |
United States Treasury Note/Bond | 1.000% | 9/30/16 | 76,000 | 76,499 | |
United States Treasury Note/Bond | 3.000% | 9/30/16 | 54,000 | 55,595 | |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 68,000 | 68,170 | |
United States Treasury Note/Bond | 0.375% | 10/31/16 | 105,000 | 104,918 | |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 47,000 | 47,323 | |
United States Treasury Note/Bond | 3.125% | 10/31/16 | 76,000 | 78,517 | |
United States Treasury Note/Bond | 0.625% | 11/15/16 | 99,000 | 99,217 | |
United States Treasury Note/Bond | 4.625% | 11/15/16 | 63,000 | 66,347 | |
United States Treasury Note/Bond | 7.500% | 11/15/16 | 20,000 | 21,788 | |
1 | United States Treasury Note/Bond | 0.500% | 11/30/16 | 150,000 | 150,070 |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 115,000 | 115,611 | |
United States Treasury Note/Bond | 0.625% | 12/15/16 | 140,000 | 140,263 | |
United States Treasury Note/Bond | 0.625% | 12/31/16 | 165,000 | 165,310 | |
United States Treasury Note/Bond | 0.875% | 12/31/16 | 140,000 | 140,743 | |
United States Treasury Note/Bond | 3.250% | 12/31/16 | 51,000 | 52,960 | |
United States Treasury Note/Bond | 0.750% | 1/15/17 | 125,000 | 125,430 | |
United States Treasury Note/Bond | 0.500% | 1/31/17 | 90,000 | 89,986 | |
United States Treasury Note/Bond | 0.875% | 1/31/17 | 110,000 | 110,584 | |
United States Treasury Note/Bond | 0.625% | 2/15/17 | 176,100 | 176,320 | |
United States Treasury Note/Bond | 4.625% | 2/15/17 | 35,000 | 37,182 | |
United States Treasury Note/Bond | 0.500% | 2/28/17 | 70,000 | 69,957 | |
United States Treasury Note/Bond | 0.875% | 2/28/17 | 86,000 | 86,444 | |
United States Treasury Note/Bond | 3.000% | 2/28/17 | 50,000 | 51,914 | |
United States Treasury Note/Bond | 0.750% | 3/15/17 | 100,000 | 100,312 | |
United States Treasury Note/Bond | 0.500% | 3/31/17 | 97,000 | 96,894 | |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 48,000 | 48,337 | |
United States Treasury Note/Bond | 3.250% | 3/31/17 | 9,000 | 9,397 | |
United States Treasury Note/Bond | 0.875% | 4/15/17 | 80,000 | 80,375 | |
United States Treasury Note/Bond | 0.500% | 4/30/17 | 70,000 | 69,880 | |
United States Treasury Note/Bond | 0.875% | 5/15/17 | 45,000 | 45,204 |
17
Short-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 28,000 | 29,921 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 159,800 | 159,750 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 46,000 | 47,761 |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 76,000 | 76,333 |
United States Treasury Note/Bond | 0.625% | 6/30/17 | 113,250 | 113,180 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 76,000 | 76,154 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 40,000 | 41,400 |
United States Treasury Note/Bond | 0.875% | 7/15/17 | 62,000 | 62,242 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 61,000 | 63,040 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 51,000 | 51,175 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 16,000 | 15,972 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 71,500 | 73,220 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 72,000 | 72,405 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 54,000 | 53,874 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 60,000 | 61,453 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 67,000 | 67,167 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 63,000 | 62,980 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 25,000 | 25,613 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 40,000 | 40,088 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 96,000 | 95,640 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 91,000 | 91,440 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 69,000 | 68,892 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 75,000 | 78,469 |
United States Treasury Note/Bond | 0.875% | 1/15/18 | 55,000 | 55,060 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 51,000 | 51,048 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 36,000 | 37,586 |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 105,000 | 105,394 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 52,000 | 55,445 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 80,000 | 79,750 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 52,000 | 54,502 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 54,000 | 53,789 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 25,000 | 26,305 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 88,500 | 88,127 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 72,000 | 71,426 |
United States Treasury Note/Bond | 2.625% | 4/30/18 | 26,000 | 27,207 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 43,000 | 43,067 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 10,000 | 10,402 |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 127,500 | 128,098 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 9,817 | 9,932 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 32,000 | 33,290 |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 232,000 | 231,311 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 12,000 | 12,131 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 7,000 | 7,259 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 35,000 | 35,481 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 56,000 | 56,263 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 9,000 | 9,191 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 28,000 | 28,109 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 11,000 | 11,094 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 13,000 | 13,093 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 82,000 | 82,922 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 23,000 | 23,248 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 18,000 | 18,107 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 28,000 | 28,289 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 27,500 | 27,883 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 26,200 | 26,556 |
18
Short-Term Treasury Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 3.125% | 5/15/19 | 30,000 | 32,058 | |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 14,000 | 13,930 | |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 23,600 | 23,799 | |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 37,000 | 37,463 | |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 13,000 | 12,773 | |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 26,000 | 26,301 | |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 27,000 | 26,629 | |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 19,000 | 19,217 | |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 36,000 | 35,466 | |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 35,000 | 35,536 | |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 14,000 | 13,930 | |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 27,000 | 26,528 | |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 30,000 | 30,248 | |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 30,000 | 29,733 | |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 20,000 | 19,931 | |
�� | United States Treasury Note/Bond | 1.125% | 3/31/20 | 13,000 | 12,785 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 77,000 | 76,639 | |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 154,000 | 153,085 | |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 48,000 | 47,985 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 82,700 | 83,088 | |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 55,000 | 55,241 | |
6,972,313 | |||||
Conventional Mortgage-Backed Securities (5.0%) | |||||
2,3,4 Fannie Mae Pool | 3.500% | 9/1/45 | 219,750 | 227,441 | |
2,3,4 Fannie Mae Pool | 4.000% | 9/1/45 | 115,000 | 122,025 | |
2,3 | Fannie Mae Pool | 7.000% | 11/1/15–3/1/16 | 19 | 19 |
2,3 | Freddie Mac Gold Pool | 6.000% | 5/1/18–4/1/28 | 165 | 187 |
2,3 | Freddie Mac Gold Pool | 7.000% | 12/1/15–1/1/16 | 5 | 5 |
349,677 | |||||
Total U.S. Government and Agency Obligations (Cost $7,297,451) | 7,321,990 | ||||
Shares | |||||
Temporary Cash Investment (1.8%) |
Money Market Fund (1.8%)
5 Vanguard Market Liquidity Fund | |||
(Cost $126,578) | 0.152% | 126,578,000 | 126,578 |
Total Investments (106.4%) (Cost $7,424,029) | 7,448,568 | ||
Expiration | |||
Date | Contracts | ||
Liability for Options Written (0.0%) | |||
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 115 | (102) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 206 | (84) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 114 | (70) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 33 | (8) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 114 | (20) |
19
Short-Term Treasury Fund | |||
Market | |||
Expiration | Value• | ||
Date | Contracts | ($000) | |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 159 | (15) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 115 | (7) |
Total Liability for Options Written (Premiums received $291) | (306) | ||
Other Assets and Liabilities (-6.4%) | |||
Other Assets | 429,926 | ||
Liabilities | (875,009) | ||
(445,083) | |||
Net Assets (100%) | 7,003,179 | ||
Amount | |||
($000) | |||
Statement of Assets and Liabilities | |||
Assets | |||
Investments in Securities, at Value | |||
Unaffiliated Issuers | 7,321,990 | ||
Affiliated Vanguard Funds | 126,578 | ||
Total Investments in Securities | 7,448,568 | ||
Receivables for Investment Securities Sold | 404,175 | ||
Receivables for Accrued Income | 19,085 | ||
Receivables for Capital Shares Issued | 3,842 | ||
Other Assets | 2,824 | ||
Total Assets | 7,878,494 | ||
Liabilities | |||
Payables for Investment Securities Purchased | 865,347 | ||
Option Contracts Written | 306 | ||
Other Liabilities | 9,662 | ||
Total Liabilities | 875,315 | ||
Net Assets | 7,003,179 |
20
Short-Term Treasury Fund | |
At July 31, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 6,975,245 |
Undistributed Net Investment Income | 22 |
Accumulated Net Realized Gains | 4,606 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 24,539 |
Futures Contracts | (1,218) |
Options on Futures Contracts | (15) |
Net Assets | 7,003,179 |
Investor Shares—Net Assets | |
Applicable to 91,841,908 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 985,263 |
Net Asset Value Per Share—Investor Shares | $10.73 |
Admiral Shares—Net Assets | |
Applicable to 560,965,018 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,017,916 |
Net Asset Value Per Share—Admiral Shares | $10.73 |
- See Note A in Notes to Financial Statements.
- Securities with a value of $2,601,000 have been segregated as initial margin for open futures contracts.
- 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.
- 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.
- Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Short-Term Treasury Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 28,812 |
Total Income | 28,812 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 341 |
Management and Administrative—Investor Shares | 693 |
Management and Administrative—Admiral Shares | 1,783 |
Marketing and Distribution—Investor Shares | 110 |
Marketing and Distribution—Admiral Shares | 499 |
Custodian Fees | 36 |
Shareholders’ Reports—Investor Shares | 87 |
Shareholders’ Reports—Admiral Shares | 40 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 3,592 |
Net Investment Income | 25,220 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 2,395 |
Futures Contracts | 2,399 |
Options on Futures Contracts | 555 |
Realized Net Gain (Loss) | 5,349 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (22,633) |
Futures Contracts | 1,208 |
Options on Futures Contracts | 841 |
Change in Unrealized Appreciation (Depreciation) | (20,584) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,985 |
1 Interest income from an affiliated company of the fund was $30,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Short-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 25,220 | 40,290 |
Realized Net Gain (Loss) | 5,349 | 6,339 |
Change in Unrealized Appreciation (Depreciation) | (20,584) | 32,196 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,985 | 78,825 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (3,227) | (5,632) |
Admiral Shares | (21,993) | (34,658) |
Realized Capital Gain1 | ||
Investor Shares | — | (1,321) |
Admiral Shares | — | (6,943) |
Total Distributions | (25,220) | (48,554) |
Capital Share Transactions | ||
Investor Shares | (56,333) | (111,518) |
Admiral Shares | 115,566 | 528,979 |
Net Increase (Decrease) from Capital Share Transactions | 59,233 | 417,461 |
Total Increase (Decrease) | 43,998 | 447,732 |
Net Assets | ||
Beginning of Period | 6,959,181 | 6,511,449 |
End of Period | 7,003,179 | 6,959,181 |
1 Includes fiscal 2015 short-term gain distributions totaling $1,283,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.75 | $10.71 | $10.73 | $10.81 | $10.70 | $10.81 |
Investment Operations | ||||||
Net Investment Income | .034 | .055 | .039 | .044 | .071 | .116 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 020) | . 053 | (. 009) | (. 002) | .167 | . 089 |
Total from Investment Operations | .014 | .108 | .030 | .042 | . 238 | . 205 |
Distributions | ||||||
Dividends from Net Investment Income | (. 034) | (. 055) | (. 039) | (. 044) | (. 071) | (.116) |
Distributions from Realized Capital Gains | — | (. 013) | (. 011) | (. 078) | (. 057) | (.199) |
Total Distributions | (. 034) | (. 068) | (. 050) | (.122) | (.128) | (. 315) |
Net Asset Value, End of Period | $10.73 | $10.75 | $10.71 | $10.73 | $10.81 | $10.70 |
Total Return1 | 0.14% | 1.01% | 0.28% | 0.39% | 2.24% | 1.92% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $985 | $1,044 | $1,151 | $1,448 | $1,765 | $1,874 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.65% | 0.52% | 0.37% | 0.41% | 0.66% | 1.07% |
Portfolio Turnover Rate2 | 201% | 87% | 80% | 176% | 302% | 124% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 57%, 22%, 0%, 63%, 120%, and 0% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Short-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended Janurary 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.75 | $10.71 | $10.73 | $10.81 | $10.70 | $10.81 |
Investment Operations | ||||||
Net Investment Income | .040 | .066 | .050 | .055 | .082 | .129 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 020) | . 053 | (. 009) | (. 002) | .167 | . 089 |
Total from Investment Operations | .020 | .119 | .041 | .053 | . 249 | . 218 |
Distributions | ||||||
Dividends from Net Investment Income | (. 040) | (. 066) | (. 050) | (. 055) | (. 082) | (.129) |
Distributions from Realized Capital Gains | — | (. 013) | (. 011) | (. 078) | (. 057) | (.199) |
Total Distributions | (. 040) | (. 079) | (. 061) | (.133) | (.139) | (. 328) |
Net Asset Value, End of Period | $10.73 | $10.75 | $10.71 | $10.73 | $10.81 | $10.70 |
Total Return1 | 0.18% | 1.11% | 0.38% | 0.49% | 2.34% | 2.05% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,018 | $5,915 | $5,360 | $4,879 | $4,779 | $4,690 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.75% | 0.62% | 0.47% | 0.51% | 0.76% | 1.19% |
Portfolio Turnover Rate2 | 201% | 87% | 80% | 176% | 302% | 124% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 57%, 22%, 0%, 63%, 120%, and 0% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Short-Term Treasury Fund
Notes to Financial Statements
Vanguard Short-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counter-party risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 2% and 3% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
26
Short-Term Treasury Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.
3. 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. 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 master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $1,954,000 in connection with TBA transactions.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
27
Short-Term Treasury Fund
5. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. 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.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $615,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.25% of Vanguard’s capitalization. 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.
28
Short-Term Treasury Fund
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).
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 7,321,990 | — |
Temporary Cash Investments | 126,578 | — | — |
Liability for Options Written | (306) | — | — |
Futures Contracts—Assets1 | 539 | — | — |
Futures Contracts—Liabilities1 | (459) | — | — |
Total | 126,352 | 7,321,990 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
5-Year U.S. Treasury Note | September 2015 | 858 | 102,826 | 67 |
30-Year U.S. Treasury Bond | September 2015 | (375) | (58,477) | (808) |
2-Year U. S. Treasury Note | September 2015 | 262 | 57,394 | (4) |
Ultra Long U.S. Treasury Bond | September 2015 | (180) | (28,716) | (460) |
10-Year U.S. Treasury Note | September 2015 | (74) | (9,430) | (13) |
(1,218) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2015, the fund had available capital losses totaling $2,928,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses
29
Short-Term Treasury Fund
to offset net taxable capital gains, if any, realized during the year ending January 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At July 31, 2015, the cost of investment securities for tax purposes was $7,424,567,000. Net unrealized appreciation of investment securities for tax purposes was $24,001,000, consisting of unrealized gains of $25,377,000 on securities that had risen in value since their purchase and $1,376,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2015, the fund purchased $7,357,919,000 of investment securities and sold $7,300,517,000 of investment securities, other than U.S. government securities and temporary cash investments.
The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2015 | 1,860 | 697 | ||
Options Written | 6,529 | 2,437 | ||
Options Expired | (2,991) | (1,028) | ||
Options Closed | (4,542) | (1,815) | ||
Options Exercised | — | — | ||
Balance at July 31, 2015 | 856 | 291 | ||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 108,353 | 10,113 | 246,674 | 23,046 |
Issued in Lieu of Cash Distributions | 2,952 | 275 | 6,416 | 599 |
Redeemed | (167,638) | (15,650) | (364,608) | (34,066) |
Net Increase (Decrease)—Investor Shares | (56,333) | (5,262) | (111,518) | (10,421) |
Admiral Shares | ||||
Issued | 815,698 | 76,139 | 1,900,156 | 177,556 |
Issued in Lieu of Cash Distributions | 18,270 | 1,704 | 34,796 | 3,251 |
Redeemed | (718,402) | (67,043) | (1,405,973) | (131,339) |
Net Increase (Decrease)—Admiral Shares | 115,566 | 10,800 | 528,979 | 49,468 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
30
Short-Term Federal Fund
Fund Profile
As of July 31, 2015
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VSGBX | VSGDX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.73% | 0.83% | |
Financial Attributes | |||
Barclays | Barclays | ||
1–5 Year | Aggregate | ||
Gov’t | Bond | ||
Fund | Index | Index | |
Number of Bonds | 98 | 648 | 9,496 |
Yield to Maturity | |||
(before expenses) | 1.1% | 0.9% | 2.4% |
Average Coupon | 1.7% | 1.6% | 3.2% |
Average Duration | 2.3 years | 2.6 years | 5.6 years |
Average Effective | |||
Maturity | 2.7 years | 2.7 years | 7.8 years |
Short-Term | |||
Reserves | -4.4% | — | — |
The fund invested a portion of its cash reserves in equity and fixed income markets through the use of index futures contracts. After the effect of the futures investments, the fund's temporary cash portion was negative.
Sector Diversification (% of portfolio) | |
Government Mortgage-Backed | 15.0% |
Treasury/Agency | 85.0 |
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.
Volatility Measures | ||
Barclays | Barclays | |
1–5 Year | Aggregate | |
Gov’t | Bond | |
Index | Index | |
R-Squared | 0.90 | 0.79 |
Beta | 0.83 | 0.29 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. | ||
Distribution by Effective Maturity | ||
(% of portfolio) | ||
Under 1 Year | 4.0% | |
1 - 3 Years | 62.6 | |
3 - 5 Years | 26.7 | |
5 - 7 Years | 6.7 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 95.7% | |
Not Rated | 4.3 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.19% for Investor Shares and 0.09% for Admiral Shares.
31
Short-Term Federal Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
1–5 Year | ||||
Gov’t | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 3.31% | -1.35% | 1.96% | 1.63% |
2007 | 4.19 | 0.10 | 4.29 | 4.04 |
2008 | 4.77 | 4.48 | 9.25 | 9.86 |
2009 | 3.94 | 0.84 | 4.78 | 5.66 |
2010 | 2.39 | 1.62 | 4.01 | 2.56 |
2011 | 1.53 | 0.97 | 2.50 | 2.84 |
2012 | 1.00 | 2.09 | 3.09 | 3.26 |
2013 | 0.56 | 0.20 | 0.76 | 0.51 |
2014 | 0.54 | -0.32 | 0.22 | 0.40 |
2015 | 0.62 | 0.74 | 1.36 | 1.75 |
2016 | 0.41 | -0.22 | 0.19 | 0.13 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 12/31/1987 | 0.88% | 1.20% | 2.17% | 0.91% | 3.08% |
Admiral Shares | 2/12/2001 | 0.98 | 1.31 | 2.27 | 0.91 | 3.18 |
See Financial Highlights for dividend and capital gains information.
32
Short-Term Federal Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (104.2%) | |||||
U.S. Government Securities (8.0%) | |||||
United States Treasury Note/Bond | 0.625% | 7/31/17 | 19,900 | 19,881 | |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 76,850 | 76,549 | |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 1,750 | 1,743 | |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 1,000 | 1,002 | |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 10,250 | 10,298 | |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 43,350 | 43,221 | |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 16,000 | 16,175 | |
1 | United States Treasury Note/Bond | 1.250% | 10/31/18 | 45,000 | 45,211 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 26,500 | 26,690 | |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 2,500 | 2,525 | |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 10,500 | 10,344 | |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 6,350 | 6,293 | |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 700 | 697 | |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 41,000 | 40,270 | |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 60 | 60 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 1,400 | 1,407 | |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 98,400 | 98,831 | |
401,197 | |||||
Agency Bonds and Notes (80.6%) | |||||
2 | AID-Jordan | 2.578% | 6/30/22 | 33,500 | 33,904 |
2 | AID-Tunisia | 2.452% | 7/24/21 | 15,000 | 15,300 |
2 | AID-Ukraine | 1.847% | 5/29/20 | 33,000 | 33,096 |
3 | Federal Farm Credit Banks | 1.110% | 2/20/18 | 14,000 | 14,057 |
3 | Federal Home Loan Banks | 2.000% | 9/9/16 | 8,420 | 8,559 |
3 | Federal Home Loan Banks | 0.500% | 9/28/16 | 149,000 | 149,003 |
3 | Federal Home Loan Banks | 0.625% | 11/23/16 | 144,000 | 144,173 |
3 | Federal Home Loan Banks | 1.625% | 12/9/16 | 15,500 | 15,723 |
3 | Federal Home Loan Banks | 4.750% | 12/16/16 | 21,500 | 22,729 |
3 | Federal Home Loan Banks | 0.875% | 3/10/17 | 8,500 | 8,530 |
3 | Federal Home Loan Banks | 0.625% | 5/30/17 | 23,250 | 23,217 |
3 | Federal Home Loan Banks | 0.750% | 8/28/17 | 110,100 | 110,004 |
3,4 | Federal Home Loan Banks | 1.100% | 9/19/17 | 75,000 | 75,073 |
3 | Federal Home Loan Banks | 1.375% | 3/9/18 | 75,700 | 76,510 |
3 | Federal Home Loan Banks | 1.125% | 4/25/18 | 17,250 | 17,328 |
3,4 | Federal Home Loan Banks | 1.200% | 5/24/18 | 50,000 | 49,977 |
3 | Federal Home Loan Banks | 1.750% | 6/12/20 | 20,000 | 20,090 |
5 | Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 21,500 | 21,848 |
33
Short-Term Federal Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
5 | Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 87,000 | 87,438 |
5 | Federal Home Loan Mortgage Corp. | 0.500% | 1/27/17 | 135,800 | 135,634 |
5 | Federal Home Loan Mortgage Corp. | 0.875% | 2/22/17 | 123,000 | 123,480 |
5 | Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 339,500 | 341,534 |
4,5 | Federal Home Loan Mortgage Corp. | 0.800% | 4/28/17 | 28,600 | 28,590 |
4,5 | Federal Home Loan Mortgage Corp. | 0.875% | 6/16/17 | 40,000 | 40,047 |
5 | Federal Home Loan Mortgage Corp. | 0.750% | 7/14/17 | 87,700 | 87,730 |
5 | Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 145,250 | 145,799 |
5 | Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 50,000 | 54,783 |
5 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 207,650 | 206,687 |
4,5 | Federal Home Loan Mortgage Corp. | 1.250% | 1/30/18 | 50,000 | 50,096 |
4,5 | Federal Home Loan Mortgage Corp. | 1.250% | 4/20/18 | 50,000 | 50,098 |
4,5 | Federal Home Loan Mortgage Corp. | 1.250% | 5/25/18 | 50,000 | 50,027 |
4,5 | Federal Home Loan Mortgage Corp. | 1.400% | 5/25/18 | 75,000 | 75,047 |
5 | Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 95,000 | 96,279 |
5 | Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 50,000 | 49,550 |
5 | Federal National Mortgage Assn. | 0.625% | 8/26/16 | 29,650 | 29,699 |
5 | Federal National Mortgage Assn. | 1.375% | 11/15/16 | 30,000 | 30,327 |
5 | Federal National Mortgage Assn. | 1.250% | 1/30/17 | 61,500 | 62,109 |
5 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 23,500 | 25,066 |
5 | Federal National Mortgage Assn. | 1.125% | 4/27/17 | 55,150 | 55,579 |
5 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 94,500 | 101,639 |
4,5 | Federal National Mortgage Assn. | 2.000% | 5/16/17 | 80,000 | 81,034 |
5 | Federal National Mortgage Assn. | 5.375% | 6/12/17 | 17,800 | 19,326 |
4,5 | Federal National Mortgage Assn. | 1.000% | 8/14/17 | 35,000 | 35,007 |
4,5 | Federal National Mortgage Assn. | 2.000% | 9/26/17 | 100,000 | 101,622 |
5 | Federal National Mortgage Assn. | 1.000% | 9/27/17 | 35,750 | 35,885 |
4,5 | Federal National Mortgage Assn. | 1.070% | 9/27/17 | 27,000 | 27,030 |
4,5 | Federal National Mortgage Assn. | 2.000% | 10/17/17 | 100,000 | 101,776 |
5 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 88,000 | 88,063 |
5 | Federal National Mortgage Assn. | 1.000% | 11/28/17 | 20,500 | 20,547 |
5 | Federal National Mortgage Assn. | 0.875% | 12/20/17 | 31,000 | 30,973 |
5 | Federal National Mortgage Assn. | 0.875% | 2/8/18 | 25,100 | 25,074 |
4,5 | Federal National Mortgage Assn. | 1.050% | 4/13/18 | 50,000 | 49,996 |
5 | Federal National Mortgage Assn. | 1.125% | 7/20/18 | 194,000 | 194,326 |
4,5 | Federal National Mortgage Assn. | 1.350% | 8/13/18 | 70,000 | 70,020 |
4,5 | Federal National Mortgage Assn. | 1.250% | 9/27/18 | 10,000 | 10,038 |
5 | Federal National Mortgage Assn. | 1.875% | 2/19/19 | 63,000 | 64,257 |
5 | Federal National Mortgage Assn. | 1.750% | 6/20/19 | 94,000 | 95,176 |
5 | Federal National Mortgage Assn. | 1.750% | 9/12/19 | 30,750 | 31,112 |
5 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 130,000 | 119,548 |
5 | Federal National Mortgage Assn. | 1.750% | 11/26/19 | 35,500 | 35,864 |
5 | Federal National Mortgage Assn. | 1.625% | 1/21/20 | 37,500 | 37,615 |
4,040,648 | |||||
Conventional Mortgage-Backed Securities (15.6%) | |||||
4,5 | Fannie Mae Pool | 2.000% | 10/1/27–7/1/28 | 10,797 | 10,688 |
4,5,6 Fannie Mae Pool | 2.500% | 12/1/27–8/1/30 | 88,214 | 89,597 | |
4,5,6 Fannie Mae Pool | 3.000% | 12/1/20–8/1/30 | 91,697 | 95,302 | |
4,5,6 Fannie Mae Pool | 3.500% | 8/1/20–9/1/45 | 223,070 | 232,325 | |
4,5,6 Fannie Mae Pool | 4.000% | 6/1/18–9/1/45 | 116,650 | 123,749 | |
4,5 | Fannie Mae Pool | 4.500% | 1/1/18–10/1/25 | 14,428 | 15,067 |
4,5 | Fannie Mae Pool | 5.000% | 8/1/15–6/1/25 | 11,470 | 12,008 |
4,5 | Fannie Mae Pool | 5.500% | 3/1/16–1/1/25 | 6,098 | 6,366 |
4,5 | Fannie Mae Pool | 6.000% | 4/1/17–5/1/24 | 527 | 550 |
4,5 | Fannie Mae Pool | 6.500% | 8/1/16–9/1/16 | 509 | 521 |
34
Short-Term Federal Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 10,374 | 10,247 |
4,5,6 Freddie Mac Gold Pool | 2.500% | 6/1/22–8/1/30 | 62,968 | 63,891 | |
4,5,6 Freddie Mac Gold Pool | 3.000% | 11/1/29–8/1/30 | 52,397 | 54,403 | |
4,5 | Freddie Mac Gold Pool | 3.500% | 3/1/21–8/1/29 | 26,694 | 28,248 |
4,5 | Freddie Mac Gold Pool | 4.000% | 6/1/18–1/1/29 | 20,081 | 21,187 |
4,5 | Freddie Mac Gold Pool | 4.500% | 5/1/18–9/1/26 | 11,404 | 11,997 |
4,5 | Freddie Mac Gold Pool | 5.000% | 6/1/17–6/1/25 | 5,797 | 6,089 |
4,5 | Freddie Mac Gold Pool | 5.500% | 1/1/16–9/1/21 | 150 | 157 |
4,5 | Freddie Mac Gold Pool | 6.000% | 10/1/18 | 56 | 57 |
782,449 | |||||
Total U.S. Government and Agency Obligations (Cost $5,212,610) | 5,224,294 | ||||
Shares | |||||
Temporary Cash Investment (4.3%) | |||||
Money Market Fund (4.3%) | |||||
7 | Vanguard Market Liquidity Fund | ||||
(Cost $214,739) | 0.152% | 214,738,727 | 214,739 | ||
Total Investments (108.5%) (Cost $5,427,349) | 5,439,033 | ||||
Expiration | |||||
Date | Contracts | ||||
Liabilities for Options Written (0.0%) | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 83 | (74) | ||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 83 | (51) | ||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 149 | (60) | ||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 24 | (6) | ||
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 83 | (5) | ||
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 116 | (11) | ||
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 83 | (14) | ||
Total Liability for Options Written (Premium received $211) | (221) | ||||
Other Assets and Liabilities (-8.5%) | |||||
Other Assets | 508,536 | ||||
Liabilities | (934,082) | ||||
(425,546) | |||||
Net Assets (100%) | 5,013,266 |
35
Short-Term Federal Fund | |
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 5,224,294 |
Affiliated Vanguard Funds | 214,739 |
Total Investments in Securities | 5,439,033 |
Receivables for Investment Securities Sold | 486,727 |
Other Assets | 21,809 |
Total Assets | 5,947,569 |
Liabilities | |
Payables for Investment Securities Purchased | 921,368 |
Option Contacts Written | 221 |
Other Liabilities | 12,714 |
Total Liabilities | 934,303 |
Net Assets | 5,013,266 |
At July 31, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 4,997,577 |
Overdistributed Net Investment Income | (50) |
Accumulated Net Realized Gains | 5,118 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 11,684 |
Futures Contracts | (1,053) |
Options on Futures Contracts | (10) |
Net Assets | 5,013,266 |
Investor Shares—Net Assets | |
Applicable to 78,566,948 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 847,356 |
Net Asset Value Per Share—Investor Shares | $10.79 |
36
Short-Term Federal Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 386,263,146 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,165,910 |
Net Asset Value Per Share—Admiral Shares | $10.79 |
- See Note A in Notes to Financial Statements.
- Securities with a value of $2,210,000 have been segregated as initial margin for open futures contracts.
- U.S. government-guaranteed.
- The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
- 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.
- 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.
- Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Short-Term Federal Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 25,486 |
Total Income | 25,486 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 247 |
Management and Administrative—Investor Shares | 666 |
Management and Administrative—Admiral Shares | 1,256 |
Marketing and Distribution—Investor Shares | 103 |
Marketing and Distribution—Admiral Shares | 351 |
Custodian Fees | 35 |
Shareholders’ Reports—Investor Shares | 16 |
Shareholders’ Reports—Admiral Shares | 9 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,685 |
Net Investment Income | 22,801 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 3,457 |
Futures Contracts | (746) |
Options on Futures Contracts | 136 |
Realized Net Gain (Loss) | 2,847 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (17,531) |
Futures Contracts | 997 |
Options on Futures Contracts | 611 |
Change in Unrealized Appreciation (Depreciation) | (15,923) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,725 |
1 Interest income from an affiliated company of the fund was $173,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Short-Term Federal Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 22,801 | 35,818 |
Realized Net Gain (Loss) | 2,847 | 15,337 |
Change in Unrealized Appreciation (Depreciation) | (15,923) | 24,561 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,725 | 75,716 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (3,661) | (5,942) |
Admiral Shares | (19,162) | (29,965) |
Realized Capital Gain1 | ||
Investor Shares | (534) | — |
Admiral Shares | (2,437) | — |
Total Distributions | (25,794) | (35,907) |
Capital Share Transactions | ||
Investor Shares | (73,173) | (135,245) |
Admiral Shares | 56,960 | (115,103) |
Net Increase (Decrease) from Capital Share Transactions | (16,213) | (250,348) |
Total Increase (Decrease) | (32,282) | (210,539) |
Net Assets | ||
Beginning of Period | 5,045,548 | 5,256,087 |
End of Period2 | 5,013,266 | 5,045,548 |
1 Includes fiscal 2016 short-term gain distributions totaling $2,972,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($50,000) and ($89,000).
See accompanying Notes, which are an integral part of the Financial Statements.
39
Short-Term Federal Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.82 | $10.74 | $10.78 | $10.89 | $10.77 | $10.81 |
Investment Operations | ||||||
Net Investment Income | .045 | .066 | .058 | .061 | .106 | .163 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.024) | .080 | (.034) | .022 | .225 | .104 |
Total from Investment Operations | .021 | .146 | .024 | .083 | . 331 | . 267 |
Distributions | ||||||
Dividends from Net Investment Income | (. 045) | (. 066) | (. 058) | (. 061) | (.106) | (.163) |
Distributions from Realized Capital Gains | (. 006) | — | (. 006) | (.132) | (.105) | (.144) |
Total Distributions | (. 051) | (. 066) | (. 064) | (.193) | (. 211) | (. 307) |
Net Asset Value, End of Period | $10.79 | $10.82 | $10.74 | $10.78 | $10.89 | $10.77 |
Total Return1 | 0.19% | 1.36% | 0.22% | 0.76% | 3.09% | 2.50% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $847 | $924 | $1,051 | $1,884 | $2,282 | $2,465 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.83% | 0.61% | 0.54% | 0.56% | 0.97% | 1.49% |
Portfolio Turnover Rate2 | 357% | 361% | 418% | 436% | 411% | 211% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 113%, 99%, 87%, 139%, 149%, and 16% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Short-Term Federal Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended Janurary 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.82 | $10.74 | $10.78 | $10.89 | $10.77 | $10.81 |
Investment Operations | ||||||
Net Investment Income | .050 | .077 | .069 | .071 | .117 | .176 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.024) | .080 | (.034) | .022 | .225 | .104 |
Total from Investment Operations | .026 | .157 | .035 | .093 | . 342 | . 280 |
Distributions | ||||||
Dividends from Net Investment Income | (. 050) | (. 077) | (. 069) | (. 071) | (.117) | (.176) |
Distributions from Realized Capital Gains | (. 006) | — | (. 006) | (.132) | (.105) | (.144) |
Total Distributions | (. 056) | (. 077) | (. 075) | (. 203) | (. 222) | (. 320) |
Net Asset Value, End of Period | $10.79 | $10.82 | $10.74 | $10.78 | $10.89 | $10.77 |
Total Return1 | 0.24% | 1.47% | 0.33% | 0.86% | 3.20% | 2.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,166 | $4,122 | $4,205 | $3,792 | $3,481 | $3,419 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.93% | 0.71% | 0.64% | 0.66% | 1.07% | 1.61% |
Portfolio Turnover Rate2 | 357% | 361% | 418% | 436% | 411% | 211% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 113%, 99%, 87%, 139%, 149%, and 16% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Short-Term Federal Fund
Notes to Financial Statements
Vanguard Short-Term Federal Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counter-party risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 2% and 4% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
42
Short-Term Federal Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.
3. 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. 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 master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $2,007,000 in connection with TBA transactions.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
5. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
43
Short-Term Federal Fund
6. 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.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $448,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.18% of Vanguard’s capitalization. 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).
44
Short-Term Federal Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,224,294 | — |
Temporary Cash Investments | 214,739 | — | — |
Futures Contracts—Assets1 | 1,015 | — | — |
Futures Contracts—Liabilities1 | (1,139) | — | — |
Liability for Options Written | (221) | — | — |
Total | 214,394 | 5,224,294 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
2-Year U.S. Treasury Note | September 2015 | (380) | (83,244) | (110) |
5-Year U.S. Treasury Note | September 2015 | 607 | 72,745 | 32 |
10-Year U.S. Treasury Note | September 2015 | (431) | (54,926) | (182) |
30-Year U.S. Treasury Bond | September 2015 | (310) | (48,341) | (640) |
Ultra Long Treasury Bond | September 2015 | (33) | (5,265) | (153) |
(1,053) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At July 31, 2015, the cost of investment securities for tax purposes was $5,427,367,000. Net unrealized appreciation of investment securities for tax purposes was $11,666,000, consisting of unrealized gains of $14,736,000 on securities that had risen in value since their purchase and $3,070,000 in unrealized losses on securities that had fallen in value since their purchase.
45
Short-Term Federal Fund
F. During the six months ended July 31, 2015, the fund purchased $8,160,908,000 of investment securities and sold $8,312,084,000 of investment securities, other than temporary cash investments.
G. The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2015 | 1,345 | 503 | ||
Options Written | 4,470 | 1,539 | ||
Options Expired | (2,671) | (902) | ||
Options Closed | (2,523) | (929) | ||
Options Exercised | — | — | ||
Balance at July 31, 2015 | 621 | 211 | ||
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 77,886 | 7,223 | 174,390 | 16,219 |
Issued in Lieu of Cash Distributions | 3,848 | 357 | 5,384 | 500 |
Redeemed | (154,907) | (14,371) | (315,019) | (29,298) |
Net Increase (Decrease)—Investor Shares | (73,173) | (6,791) | (135,245) | (12,579) |
Admiral Shares | ||||
Issued | 541,920 | 50,267 | 1,149,586 | 106,916 |
Issued in Lieu of Cash Distributions | 18,989 | 1,760 | 26,358 | 2,449 |
Redeemed | (503,949) | (46,752) | (1,291,047) | (120,040) |
Net Increase (Decrease) —Admiral Shares | 56,960 | 5,275 | (115,103) | (10,675) |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
46
Intermediate-Term Treasury Fund
Fund Profile | |||
As of July 31, 2015 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFITX | VFIUX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 1.53% | 1.63% | |
Financial Attributes | |||
Barclays Barclays | |||
5–10 Year | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 91 | 55 | 9,496 |
Yield to Maturity | |||
(before expenses) | 1.7% | 1.9% | 2.4% |
Average Coupon | 2.0% | 2.4% | 3.2% |
Average Duration | 5.3 years | 6.5 years | 5.6 years |
Average Effective | |||
Maturity | 5.9 years | 7.0 years | 7.8 years |
Short-Term | |||
Reserves | -4.0% | — | — |
The fund invested a portion of its cash reserves in equity and fixed income markets through the use of index futures contracts. After the effect of the futures investments, the fund's temporary cash portion was negative.
Sector Diversification (% of portfolio) | |
Government Mortgage-Backed | 4.6% |
Treasury/Agency | 95.4 |
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.
Volatility Measures | ||
Barclays | Barclays | |
5–10 Year | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.98 | 0.89 |
Beta | 0.77 | 1.12 |
These measures show the degree and timing of the fund’s | |
fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | -4.4% |
1 - 3 Years | 0.3 |
3 - 5 Years | 48.7 |
5 - 7 Years | 33.7 |
7 - 10 Years | 21.7 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 98.7% |
Not Rated | 1.3 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.19% for Investor Shares and 0.09% for Admiral Shares.
47
Intermediate-Term Treasury Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
5–10 Year | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.55% | -3.14% | 1.41% | 1.05% |
2007 | 4.69 | -1.47 | 3.22 | 3.04 |
2008 | 4.98 | 8.70 | 13.68 | 14.13 |
2009 | 3.88 | 3.41 | 7.29 | 9.48 |
2010 | 3.10 | -0.39 | 2.71 | 0.47 |
2011 | 2.70 | 2.89 | 5.59 | 6.69 |
2012 | 2.11 | 8.25 | 10.36 | 13.95 |
2013 | 1.34 | -0.24 | 1.10 | 1.46 |
2014 | 1.47 | -2.21 | -0.74 | -1.47 |
2015 | 1.74 | 3.64 | 5.38 | 7.66 |
2016 | 0.80 | -1.87 | -1.07 | -1.66 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 10/28/1991 | 2.36% | 2.92% | 2.91% | 1.60% | 4.51% |
Admiral Shares | 2/12/2001 | 2.46 | 3.02 | 3.04 | 1.60 | 4.64 |
See Financial Highlights for dividend and capital gains information.
48
Intermediate-Term Treasury Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (104.1%) | |||||
U.S. Government Securities (99.3%) | |||||
United States Treasury Note/Bond | 0.625% | 7/31/17 | 20,000 | 19,981 | |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 8,000 | 8,075 | |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 60,000 | 60,281 | |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 13,000 | 13,112 | |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 10,000 | 10,072 | |
1 | United States Treasury Note/Bond | 1.500% | 12/31/18 | 133,000 | 134,496 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 91,000 | 91,199 | |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 77,000 | 77,830 | |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 40,000 | 42,150 | |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 15,000 | 15,089 | |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 91,000 | 91,938 | |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 78,000 | 78,780 | |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 49,000 | 49,682 | |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 75,000 | 76,019 | |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 78,000 | 77,610 | |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 54,000 | 54,456 | |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 75,000 | 75,937 | |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 118,000 | 115,935 | |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 55,000 | 55,636 | |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 18,000 | 19,620 | |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 72,000 | 71,010 | |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 7,000 | 7,080 | |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 157,000 | 154,670 | |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 105,000 | 106,608 | |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 17,000 | 16,915 | |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 68,000 | 68,308 | |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 56,000 | 60,585 | |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 40,000 | 39,300 | |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 87,000 | 87,381 | |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 111,000 | 109,544 | |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 53,000 | 53,439 | |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 125,000 | 123,886 | |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 43,000 | 42,852 | |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 56,000 | 61,311 | |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 81,000 | 80,215 | |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 55,000 | 54,803 |
49
Intermediate-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 101,000 | 99,327 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 109,000 | 108,489 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 43,000 | 42,234 |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 12,000 | 11,929 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 8,000 | 7,942 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 64,000 | 63,980 |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 60,850 | 61,135 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 6,000 | 6,096 |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 52,000 | 52,228 |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 13,000 | 13,274 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 70,500 | 74,058 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 48,000 | 49,275 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 13,500 | 13,766 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 80,000 | 80,500 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 219,000 | 229,814 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 12,500 | 12,727 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 32,000 | 32,730 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 41,300 | 41,952 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 16,000 | 16,455 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 15,000 | 16,139 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 48,000 | 48,675 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 39,000 | 39,786 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 50,000 | 51,320 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 122,500 | 124,816 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 4,000 | 4,046 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 39,500 | 40,228 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 51,000 | 51,526 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 97,000 | 97,954 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 55,000 | 55,120 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 67,500 | 68,618 |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 65,000 | 63,537 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 65,000 | 65,569 |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 14,000 | 13,891 |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 38,000 | 37,668 |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 90,000 | 89,156 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 59,000 | 58,401 |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 63,000 | 62,892 |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 138,000 | 139,875 |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 65,000 | 65,325 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 41,000 | 40,155 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 62,000 | 60,527 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 101,000 | 100,969 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 100,100 | 97,973 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 70,400 | 72,710 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 52,500 | 55,224 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 102,000 | 107,100 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 117,000 | 120,437 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 120,500 | 122,646 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 112,500 | 113,238 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 5,000 | 7,281 |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 142,500 | 140,229 |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 135,100 | 134,361 |
5,691,108 |
50
Intermediate-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Conventional Mortgage-Backed Securities (4.8%) | ||||
2,3,4 Fannie Mae Pool | 3.500% | 9/1/45 | 175,500 | 181,643 |
2,3,4 Fannie Mae Pool | 4.000% | 9/1/45 | 90,000 | 95,498 |
2,3 Freddie Mac Gold Pool | 7.000% | 12/1/15–3/1/16 | 7 | 7 |
277,148 | ||||
Total U.S. Government and Agency Obligations (Cost $5,899,213) | 5,968,256 | |||
Shares | ||||
Temporary Cash Investment (1.2%) | ||||
Money Market Fund (1.2%) | ||||
5 Vanguard Market Liquidity Fund | ||||
(Cost $71,687) | 0.152% | 71,686,833 | 71,687 | |
Total Investments (105.3%) (Cost $5,970,900) | 6,039,943 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 94 | (84) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 170 | (69) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 94 | (57) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 27 | (7) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 94 | (16) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 131 | (12) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 94 | (6) | |
Total Liability for Options Written (Premiums received $239) | (251) | |||
Other Assets and Liabilities (-5.3%) | ||||
Other Assets | 451,696 | |||
Other Liabilities | (757,854) | |||
(306,158) | ||||
Net Assets (100%) | 5,733,534 |
51
Intermediate-Term Treasury Fund | |
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 5,968,256 |
Affiliated Vanguard Funds | 71,687 |
Total Investments in Securities | 6,039,943 |
Receivables for Investment Securities Sold | 421,082 |
Receivables for Accrued Income | 25,945 |
Other Assets | 4,669 |
Total Assets | 6,491,639 |
Liabilities | |
Payables for Investment Securities Purchased | 746,310 |
Option Contracts Written | 251 |
Other Liabilities | 11,544 |
Total Liabilities | 758,105 |
Net Assets | 5,733,534 |
At July 31, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 5,633,501 |
Undistributed Net Investment Income | 12 |
Accumulated Net Realized Gains | 32,117 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 69,043 |
Futures Contracts | (1,127) |
Options on Futures Contracts | (12) |
Net Assets | 5,733,534 |
Investor Shares—Net Assets | |
Applicable to 113,082,743 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,292,911 |
Net Asset Value Per Share—Investor Shares | $11.43 |
Admiral Shares—Net Assets | |
Applicable to 388,392,094 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,440,623 |
Net Asset Value Per Share—Admiral Shares | $11.43 |
- See Note A in Notes to Financial Statements.
- Securities with a value of $1,416,000 have been segregated as initial margin for open futures contracts.
- 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.
- 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.
- Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Intermediate-Term Treasury Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 51,785 |
Total Income | 51,785 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 278 |
Management and Administrative—Investor Shares | 1,022 |
Management and Administrative—Admiral Shares | 1,341 |
Marketing and Distribution—Investor Shares | 139 |
Marketing and Distribution—Admiral Shares | 334 |
Custodian Fees | 31 |
Shareholders’ Reports—Investor Shares | 24 |
Shareholders’ Reports—Admiral Shares | 17 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,188 |
Net Investment Income | 48,597 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 38,919 |
Futures Contracts | 744 |
Options on Futures Contracts | 460 |
Realized Net Gain (Loss) | 40,123 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (143,904) |
Futures Contracts | 734 |
Options on Futures Contracts | 676 |
Change in Unrealized Appreciation (Depreciation) | (142,494) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (53,774) |
1 Interest income from an affiliated company of the fund was $22,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Intermediate-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 48,597 | 90,601 |
Realized Net Gain (Loss) | 40,123 | 7,077 |
Change in Unrealized Appreciation (Depreciation) | (142,494) | 187,116 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (53,774) | 284,794 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (10,988) | (23,088) |
Admiral Shares | (37,609) | (67,513) |
Realized Capital Gain1 | ||
Investor Shares | (1,395) | (5,008) |
Admiral Shares | (4,386) | (13,410) |
Total Distributions | (54,378) | (109,019) |
Capital Share Transactions | ||
Investor Shares | (70,877) | (121,904) |
Admiral Shares | 234,468 | 535,647 |
Net Increase (Decrease) from Capital Share Transactions | 163,591 | 413,743 |
Total Increase (Decrease) | 55,439 | 589,518 |
Net Assets | ||
Beginning of Period | 5,678,095 | 5,088,577 |
End of Period2 | 5,733,534 | 5,678,095 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $3,706,000 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $12,000 and $0.
See accompanying Notes, which are an integral part of the Financial Statements.
54
Intermediate-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.66 | $11.29 | $11.60 | $11.78 | $11.34 | $11.28 |
Investment Operations | ||||||
Net Investment Income | .094 | .188 | .170 | .156 | .226 | .299 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.218) | .410 | (.256) | (.028) | .931 | .323 |
Total from Investment Operations | (.124) | .598 | (.086) | .128 | 1.157 | .622 |
Distributions | ||||||
Dividends from Net Investment Income | (. 094) | (.188) | (.170) | (.156) | (. 226) | (. 299) |
Distributions from Realized Capital Gains | (. 012) | (. 040) | (. 054) | (.152) | (. 491) | (. 263) |
Total Distributions | (.106) | (. 228) | (. 224) | (. 308) | (.717) | (. 562) |
Net Asset Value, End of Period | $11.43 | $11.66 | $11.29 | $11.60 | $11.78 | $11.34 |
Total Return1 | -1.07% | 5.38% | -0.74% | 1.10% | 10.36% | 5.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,293 | $1,391 | $1,469 | $1,902 | $2,385 | $2,259 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.66% | 1.66% | 1.48% | 1.33% | 1.92% | 2.58% |
Portfolio Turnover Rate2 | 156% | 63% | 42% | 117% | 273% | 80% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 55%, 22%, 0%, 64%, 119%, and 0% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
55
Intermediate-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended Janurary 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.66 | $11.29 | $11.60 | $11.78 | $11.34 | $11.28 |
Investment Operations | ||||||
Net Investment Income | .100 | .199 | .181 | .168 | .237 | .313 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.218) | .410 | (.256) | (.028) | .931 | .323 |
Total from Investment Operations | (.118) | .609 | (.075) | .140 | 1.168 | .636 |
Distributions | ||||||
Dividends from Net Investment Income | (.100) | (.199) | (.181) | (.168) | (. 237) | (. 313) |
Distributions from Realized Capital Gains | (. 012) | (. 040) | (. 054) | (.152) | (. 491) | (. 263) |
Total Distributions | (.112) | (. 239) | (. 235) | (. 320) | (.728) | (. 576) |
Net Asset Value, End of Period | $11.43 | $11.66 | $11.29 | $11.60 | $11.78 | $11.34 |
Total Return1 | -1.02% | 5.48% | -0.64% | 1.20% | 10.47% | 5.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,441 | $4,287 | $3,619 | $4,112 | $4,115 | $4,101 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.76% | 1.76% | 1.58% | 1.43% | 2.02% | 2.70% |
Portfolio Turnover Rate2 | 156% | 63% | 42% | 117% | 273% | 80% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 55%, 22%, 0%, 64%, 119%, and 0% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Intermediate-Term Treasury Fund
Notes to Financial Statements
Vanguard Intermediate-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counter-party risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
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Intermediate-Term Treasury Fund
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 1% and 4% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.
3. 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. 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 master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $1,541,000 in connection with TBA transactions.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions
58
Intermediate-Term Treasury Fund
may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
5. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. 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.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $505,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.20% of Vanguard’s capitalization. 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.
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Intermediate-Term Treasury Fund
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).
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,968,256 | — |
Temporary Cash Investments | 71,687 | — | — |
Liability for Options Written | (251) | — | — |
Futures Contracts—Assets1 | 553 | — | — |
Futures Contracts—Liabilities1 | (440) | — | — |
Total | 71,549 | 5,968,256 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
2-Year U.S. Treasury Note | September 2015 | (654) | (143,267) | (167) |
5-Year U.S. Treasury Note | September 2015 | 723 | 86,647 | 64 |
30-Year U.S. Treasury Bond | September 2015 | (303) | (47,249) | (646) |
Ultra Long U.S. Treasury Bond | September 2015 | (147) | (23,451) | (371) |
10-Year U.S. Treasury Note | September 2015 | (40) | (5,098) | (7) |
(1,127) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
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Intermediate-Term Treasury Fund
At July 31, 2015, the cost of investment securities for tax purposes was $5,981,444,000. Net unrealized appreciation of investment securities for tax purposes was $58,499,000, consisting of unrealized gains of $66,417,000 on securities that had risen in value since their purchase and $7,918,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2015, the fund purchased $4,775,667,000 of investment securities and sold $4,615,607,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2015 | 1,497 | 561 | ||
Options Written | 5,352 | 1,997 | ||
Options Expired | (2,432) | (836) | ||
Options Closed | (3,713) | (1,483) | ||
Options Exercised | — | — | ||
Balance at July 31, 2015 | 704 | 239 | ||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 148,311 | 12,969 | 298,292 | 26,323 |
Issued in Lieu of Cash Distributions | 11,391 | 994 | 25,784 | 2,278 |
Redeemed | (230,579) | (20,201) | (445,980) | (39,401) |
Net Increase (Decrease)—Investor Shares | (70,877) | (6,238) | (121,904) | (10,800) |
Admiral Shares | ||||
Issued | 558,435 | 48,906 | 1,282,023 | 113,137 |
Issued in Lieu of Cash Distributions | 35,007 | 3,056 | 66,859 | 5,903 |
Redeemed | (358,974) | (31,423) | (813,235) | (71,707) |
Net Increase (Decrease)—Admiral Shares | 234,468 | 20,539 | 535,647 | 47,333 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
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GNMA Fund | |||
Fund Profile | |||
As of July 31, 2015 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFIIX | VFIJX | |
Expense Ratio1 | 0.21% | 0.11% | |
30-Day SEC Yield | 1.98% | 2.08% | |
Financial Attributes | |||
Barclays | |||
Barclays | Aggregate | ||
GNMA | Bond | ||
Fund | Index | Index | |
Number of Bonds | 35 | 95 | 9,496 |
Yield to Maturity | |||
(before expenses) | 2.6% | 2.6% | 2.4% |
Average Coupon | 3.5% | 3.8% | 3.2% |
Average Duration | 4.3 years | 4.0 years | 5.6 years |
Average Effective | |||
Maturity | 6.5 years | 6.2 years | 7.8 years |
Short-Term | |||
Reserves | 1.0% | — | — |
Number of Bonds: Issues are mortgage pools grouped by coupon. | |||
Sector Diversification (% of portfolio) | |||
Commercial Mortgage-Backed | 1.6% | ||
Government Mortgage-Backed | 96.1 | ||
Treasury/Agency | 2.3 | ||
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. | |||
Volatility Measures | ||
Barclays | ||
Barclays | Aggregate | |
GNMA | Bond | |
Index | Index | |
R-Squared | 0.98 | 0.77 |
Beta | 1.09 | 0.86 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. | ||
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 99.0% | |
Aaa | 1.8 | |
Cash | -0.8 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
Distribution by Coupon (% of portfolio) | |
Less Than 1.0% | 2.1% |
1.0% to 4.0% | 48.1 |
4.0% to 5.0% | 32.1 |
5.0% to 6.0% | 13.3 |
6.0% and Above | 4.4 |
Investment Focus
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
62
GNMA Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
GNMA | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.69% | -1.81% | 2.88% | 2.96% |
2007 | 5.20 | -1.26 | 3.94 | 4.27 |
2008 | 5.51 | 3.05 | 8.56 | 8.80 |
2009 | 5.08 | 0.57 | 5.65 | 5.98 |
2010 | 3.94 | 2.87 | 6.81 | 6.78 |
2011 | 3.42 | 2.29 | 5.71 | 5.33 |
2012 | 3.41 | 4.55 | 7.96 | 8.21 |
2013 | 2.61 | -1.26 | 1.35 | 1.54 |
2014 | 2.28 | -1.94 | 0.34 | 0.25 |
2015 | 2.66 | 2.63 | 5.29 | 4.56 |
2016 | 1.12 | -1.07 | 0.05 | 0.23 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 6/27/1980 | 2.33% | 3.17% | 3.76% | 0.85% | 4.61% |
Admiral Shares | 2/12/2001 | 2.44 | 3.27 | 3.87 | 0.85 | 4.72 |
See Financial Highlights for dividend and capital gains information.
63
GNMA Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (99.0%) | |||||
U.S. Government Securities (1.1%) | |||||
1 | United States Treasury Floating Rate Note | 0.120% | 7/31/16 | 300,000 | 300,066 |
Conventional Mortgage-Backed Securities (95.2%) | |||||
2,3 | Fannie Mae Pool | 2.090% | 11/1/22 | 1,657 | 1,629 |
2,3 | Fannie Mae Pool | 2.190% | 12/1/22 | 1,426 | 1,409 |
2,3 | Fannie Mae Pool | 2.350% | 12/1/22 | 954 | 952 |
2,3 | Fannie Mae Pool | 2.370% | 4/1/23–5/1/23 | 123,648 | 122,759 |
2,3 | Fannie Mae Pool | 2.390% | 4/1/22 | 483 | 476 |
2,3 | Fannie Mae Pool | 2.410% | 12/1/22 | 3,919 | 3,920 |
2,3 | Fannie Mae Pool | 2.440% | 11/1/22–1/1/23 | 5,819 | 5,817 |
2,3 | Fannie Mae Pool | 2.450% | 8/1/22–4/1/23 | 6,124 | 6,129 |
2,3 | Fannie Mae Pool | 2.480% | 8/1/22 | 688 | 693 |
2,3 | Fannie Mae Pool | 2.520% | 5/1/23 | 314 | 313 |
2,3 | Fannie Mae Pool | 2.550% | 2/1/23–5/1/23 | 8,656 | 8,700 |
2,3 | Fannie Mae Pool | 2.640% | 3/1/23 | 650 | 657 |
2,3 | Fannie Mae Pool | 2.650% | 8/1/22 | 1,150 | 1,159 |
2,3 | Fannie Mae Pool | 2.660% | 9/1/22 | 2,228 | 2,268 |
2,3 | Fannie Mae Pool | 2.690% | 4/1/25 | 12,660 | 12,623 |
2,3 | Fannie Mae Pool | 2.700% | 5/1/22–4/1/23 | 3,127 | 3,184 |
2,3 | Fannie Mae Pool | 2.730% | 2/1/23–11/1/24 | 3,973 | 4,031 |
2,3 | Fannie Mae Pool | 2.740% | 4/1/23 | 1,554 | 1,580 |
2,3 | Fannie Mae Pool | 2.750% | 3/1/22 | 490 | 495 |
2,3 | Fannie Mae Pool | 2.780% | 4/1/22 | 3,234 | 3,316 |
2,3 | Fannie Mae Pool | 2.790% | 6/1/23 | 1,935 | 1,973 |
2,3 | Fannie Mae Pool | 2.820% | 6/1/23 | 1,241 | 1,269 |
2,3 | Fannie Mae Pool | 2.860% | 4/1/23 | 1,023 | 1,048 |
2,3 | Fannie Mae Pool | 2.900% | 3/1/23 | 1,198 | 1,231 |
2,3 | Fannie Mae Pool | 2.910% | 8/1/23 | 1,628 | 1,674 |
2,3 | Fannie Mae Pool | 2.940% | 6/1/23 | 968 | 997 |
2,3 | Fannie Mae Pool | 2.950% | 6/1/22–5/1/28 | 19,399 | 19,527 |
2,3 | Fannie Mae Pool | 2.960% | 1/1/27 | 20,975 | 21,063 |
2,3 | Fannie Mae Pool | 2.970% | 7/1/23 | 7,948 | 8,203 |
2,3 | Fannie Mae Pool | 2.980% | 1/1/22 | 3,023 | 3,134 |
2,3 | Fannie Mae Pool | 3.000% | 8/1/20–5/1/22 | 3,987 | 4,172 |
2,3 | Fannie Mae Pool | 3.024% | 7/1/22 | 610 | 632 |
2,3 | Fannie Mae Pool | 3.040% | 7/1/23–2/1/27 | 16,020 | 16,258 |
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GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
2,3 | Fannie Mae Pool | 3.080% | 1/1/27 | 34,390 | 35,012 |
2,3 | Fannie Mae Pool | 3.100% | 6/1/22–5/1/33 | 39,741 | 40,942 |
2,3 | Fannie Mae Pool | 3.120% | 5/1/22 | 2,185 | 2,284 |
2,3 | Fannie Mae Pool | 3.130% | 7/1/27 | 5,253 | 5,344 |
2,3 | Fannie Mae Pool | 3.150% | 11/1/21 | 1,996 | 2,080 |
2,3 | Fannie Mae Pool | 3.180% | 12/1/24 | 9,000 | 9,291 |
2,3 | Fannie Mae Pool | 3.200% | 4/1/22–7/1/27 | 7,068 | 7,267 |
2,3 | Fannie Mae Pool | 3.210% | 5/1/23 | 24,480 | 25,660 |
2,3 | Fannie Mae Pool | 3.220% | 5/1/21–12/1/26 | 9,253 | 9,587 |
2,3 | Fannie Mae Pool | 3.230% | 2/1/27 | 2,160 | 2,222 |
2,3 | Fannie Mae Pool | 3.240% | 1/1/27 | 3,800 | 3,910 |
2,3 | Fannie Mae Pool | 3.250% | 11/1/23 | 9,704 | 10,196 |
2,3 | Fannie Mae Pool | 3.270% | 12/1/23 | 11,389 | 11,985 |
2,3 | Fannie Mae Pool | 3.300% | 12/1/23 | 6,024 | 6,349 |
2,3 | Fannie Mae Pool | 3.320% | 7/1/23 | 1,073 | 1,130 |
2,3 | Fannie Mae Pool | 3.340% | 4/1/24 | 12,030 | 12,686 |
2,3 | Fannie Mae Pool | 3.350% | 1/1/30 | 5,408 | 5,567 |
2,3 | Fannie Mae Pool | 3.360% | 11/1/23–12/1/23 | 19,139 | 20,244 |
2,3 | Fannie Mae Pool | 3.370% | 3/1/24–7/1/25 | 7,914 | 8,361 |
2,3 | Fannie Mae Pool | 3.380% | 1/1/27 | 5,361 | 5,584 |
2,3 | Fannie Mae Pool | 3.410% | 11/1/23–7/1/27 | 12,103 | 12,742 |
2,3 | Fannie Mae Pool | 3.415% | 11/1/23 | 6,580 | 6,983 |
2,3 | Fannie Mae Pool | 3.440% | 1/1/24 | 5,974 | 6,346 |
2,3 | Fannie Mae Pool | 3.450% | 1/1/24–1/1/24 | 23,194 | 24,661 |
2,3 | Fannie Mae Pool | 3.460% | 9/1/23–9/1/29 | 105,782 | 112,041 |
2,3 | Fannie Mae Pool | 3.470% | 11/1/23–1/1/24 | 6,373 | 6,783 |
2,3 | Fannie Mae Pool | 3.480% | 1/1/24 | 4,495 | 4,787 |
2,3,4 Fannie Mae Pool | 3.500% | 5/1/34–9/1/45 | 632,359 | 657,005 | |
2,3 | Fannie Mae Pool | 3.510% | 12/1/23–1/1/24 | 28,894 | 30,754 |
2,3 | Fannie Mae Pool | 3.520% | 1/1/24 | 4,902 | 5,232 |
2,3 | Fannie Mae Pool | 3.530% | 2/1/24 | 7,667 | 8,181 |
2,3 | Fannie Mae Pool | 3.540% | 8/1/23–2/1/24 | 32,092 | 34,254 |
2,3 | Fannie Mae Pool | 3.550% | 10/1/23–5/1/26 | 41,270 | 44,005 |
2,3 | Fannie Mae Pool | 3.560% | 12/1/23–1/1/24 | 6,893 | 7,373 |
2,3 | Fannie Mae Pool | 3.570% | 12/1/23–3/1/24 | 39,762 | 42,457 |
2,3 | Fannie Mae Pool | 3.580% | 2/1/24–7/1/29 | 42,135 | 44,771 |
2,3 | Fannie Mae Pool | 3.590% | 7/1/23 | 2,687 | 2,873 |
2,3 | Fannie Mae Pool | 3.600% | 12/1/23–4/1/28 | 8,564 | 9,162 |
2,3 | Fannie Mae Pool | 3.610% | 8/1/23–1/1/24 | 31,054 | 32,950 |
2,3 | Fannie Mae Pool | 3.620% | 2/1/24 | 8,208 | 8,800 |
2,3 | Fannie Mae Pool | 3.640% | 10/1/23–1/1/24 | 16,673 | 17,904 |
2,3 | Fannie Mae Pool | 3.650% | 8/1/23–11/1/23 | 23,485 | 25,232 |
2,3 | Fannie Mae Pool | 3.660% | 11/1/23 | 2,640 | 2,839 |
2,3 | Fannie Mae Pool | 3.665% | 1/1/24–1/1/24 | 37,745 | 40,591 |
2,3 | Fannie Mae Pool | 3.670% | 8/1/23–3/1/28 | 24,592 | 26,428 |
2,3 | Fannie Mae Pool | 3.680% | 10/1/23–3/1/24 | 20,525 | 22,084 |
2,3 | Fannie Mae Pool | 3.690% | 1/1/24 | 5,652 | 6,077 |
2,3 | Fannie Mae Pool | 3.700% | 10/1/23–1/1/24 | 20,171 | 21,725 |
2,3 | Fannie Mae Pool | 3.710% | 9/1/23 | 7,567 | 8,152 |
2,3 | Fannie Mae Pool | 3.725% | 10/1/23 | 3,469 | 3,741 |
2,3 | Fannie Mae Pool | 3.730% | 12/1/23 | 1,335 | 1,442 |
2,3 | Fannie Mae Pool | 3.750% | 9/1/23–7/1/25 | 13,374 | 14,455 |
2,3 | Fannie Mae Pool | 3.755% | 8/1/25 | 7,158 | 7,751 |
2,3 | Fannie Mae Pool | 3.760% | 3/1/24–1/1/26 | 8,152 | 8,762 |
65
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
2,3 | Fannie Mae Pool | 3.765% | 12/1/25 | 42,997 | 46,043 |
2,3 | Fannie Mae Pool | 3.770% | 1/1/24 | 1,678 | 1,814 |
2,3 | Fannie Mae Pool | 3.780% | 7/1/23–2/1/24 | 2,477 | 2,676 |
2,3 | Fannie Mae Pool | 3.790% | 8/1/25 | 2,569 | 2,790 |
2,3 | Fannie Mae Pool | 3.800% | 10/1/23 | 7,450 | 8,068 |
2,3 | Fannie Mae Pool | 3.810% | 11/1/23 | 391 | 424 |
2,3 | Fannie Mae Pool | 3.820% | 11/1/25–11/1/25 | 11,122 | 12,050 |
2,3 | Fannie Mae Pool | 3.830% | 2/1/24–6/1/34 | 19,862 | 21,421 |
2,3 | Fannie Mae Pool | 3.840% | 1/1/24 | 2,990 | 3,244 |
2,3 | Fannie Mae Pool | 3.850% | 1/1/24 | 883 | 959 |
2,3 | Fannie Mae Pool | 3.855% | 12/1/25 | 6,600 | 7,104 |
2,3 | Fannie Mae Pool | 3.860% | 11/1/23 | 3,435 | 3,725 |
2,3 | Fannie Mae Pool | 3.870% | 10/1/25 | 11,445 | 12,465 |
2,3 | Fannie Mae Pool | 3.890% | 9/1/23–5/1/30 | 16,103 | 17,268 |
2,3 | Fannie Mae Pool | 3.910% | 11/1/25 | 13,000 | 14,055 |
2,3 | Fannie Mae Pool | 3.930% | 10/1/23–3/1/26 | 22,682 | 24,672 |
2,3 | Fannie Mae Pool | 3.940% | 8/1/25 | 12,333 | 13,490 |
2,3 | Fannie Mae Pool | 3.960% | 12/1/25–5/1/34 | 7,680 | 8,208 |
2,3 | Fannie Mae Pool | 3.970% | 7/1/23–5/1/29 | 5,613 | 6,083 |
2,3 | Fannie Mae Pool | 3.990% | 9/1/25 | 9,629 | 10,402 |
2,3,4 Fannie Mae Pool | 4.000% | 8/1/45 | 440,700 | 468,795 | |
2,3 | Fannie Mae Pool | 4.060% | 9/1/25–3/1/29 | 15,985 | 17,483 |
2,3 | Fannie Mae Pool | 4.070% | 1/1/26 | 2,324 | 2,555 |
2,3 | Fannie Mae Pool | 4.080% | 2/1/29 | 3,035 | 3,313 |
2,3 | Fannie Mae Pool | 4.150% | 10/1/28–1/1/31 | 76,036 | 83,220 |
2,3 | Fannie Mae Pool | 4.180% | 11/1/30 | 30,400 | 33,195 |
2,3 | Fannie Mae Pool | 4.190% | 10/1/23 | 739 | 818 |
2,3 | Fannie Mae Pool | 4.210% | 1/1/26 | 1,005 | 1,115 |
2,3 | Fannie Mae Pool | 4.250% | 10/1/28–9/1/33 | 4,805 | 5,287 |
2,3 | Fannie Mae Pool | 4.280% | 11/1/28 | 5,482 | 6,083 |
2,3 | Fannie Mae Pool | 4.380% | 10/1/28 | 10,030 | 11,213 |
2,3 | Fannie Mae Pool | 4.400% | 8/1/28 | 2,265 | 2,536 |
2,3 | Fannie Mae Pool | 5.180% | 2/1/26 | 3,023 | 3,560 |
2,3 | Fannie Mae Pool | 6.000% | 7/1/22 | 11 | 12 |
2,3 | Fannie Mae Pool | 6.500% | 2/1/29–8/1/45 | 5,940 | 6,878 |
2,3 | Freddie Mac Gold Pool | 3.000% | 8/1/29 | 34,616 | 36,020 |
2,3 | Freddie Mac Gold Pool | 3.500% | 4/1/34–10/1/34 | 93,508 | 98,344 |
3 | Ginnie Mae I Pool | 2.500% | 11/15/42–9/15/43 | 146,528 | 143,297 |
3,4 | Ginnie Mae I Pool | 3.000% | 1/15/42–8/1/45 | 1,540,948 | 1,571,884 |
3 | Ginnie Mae I Pool | 3.500% | 7/15/39–3/15/45 | 1,891,900 | 1,981,962 |
3 | Ginnie Mae I Pool | 3.750% | 7/15/42 | 5,750 | 6,077 |
3 | Ginnie Mae I Pool | 3.875% | 5/15/42–6/15/42 | 10,177 | 10,915 |
3,4 | Ginnie Mae I Pool | 4.000% | 6/15/19–8/1/45 | 2,449,318 | 2,620,452 |
3 | Ginnie Mae I Pool | 4.500% | 5/15/19–8/1/45 | 1,293,157 | 1,413,096 |
3 | Ginnie Mae I Pool | 5.000% | 1/15/30–8/1/45 | 1,362,180 | 1,519,190 |
3 | Ginnie Mae I Pool | 5.500% | 9/15/23–8/1/45 | 735,108 | 826,302 |
3 | Ginnie Mae I Pool | 6.000% | 10/15/16–8/1/45 | 405,913 | 458,066 |
3 | Ginnie Mae I Pool | 6.500% | 4/15/23–7/15/40 | 308,151 | 345,877 |
3 | Ginnie Mae I Pool | 7.000% 11/15/31–11/15/36 | 85,935 | 100,129 | |
3 | Ginnie Mae I Pool | 7.250% | 1/15/27–2/15/27 | 66 | 69 |
3 | Ginnie Mae I Pool | 7.500% | 10/15/31 | 33,341 | 38,782 |
3 | Ginnie Mae I Pool | 7.750% | 2/15/27 | 27 | 28 |
3 | Ginnie Mae I Pool | 8.000% | 8/15/31 | 13,128 | 15,384 |
66
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3 | Ginnie Mae I Pool | 8.500% | 5/15/16–6/15/28 | 2,428 | 2,550 |
3 | Ginnie Mae I Pool | 9.000% | 4/15/16–5/15/21 | 631 | 664 |
3 | Ginnie Mae I Pool | 9.250% | 7/15/17 | 3 | 3 |
3 | Ginnie Mae I Pool | 9.500% | 3/15/16–8/15/21 | 758 | 794 |
3 | Ginnie Mae I Pool | 10.000% | 4/15/16–7/15/19 | 16 | 16 |
3 | Ginnie Mae I Pool | 11.000% | 2/15/18 | 2 | 2 |
3 | Ginnie Mae II Pool | 2.500% | 11/20/42–8/1/45 | 199,462 | 195,811 |
3 | Ginnie Mae II Pool | 3.000% | 9/20/42–8/1/45 | 663,240 | 676,319 |
3,4 | Ginnie Mae II Pool | 3.500% | 11/20/26–8/1/45 | 5,006,732 | 5,233,762 |
3,4 | Ginnie Mae II Pool | 4.000% | 4/20/39–8/1/45 | 2,392,407 | 2,546,289 |
3 | Ginnie Mae II Pool | 4.500% | 12/20/32–8/1/45 | 1,077,730 | 1,167,521 |
3,4 | Ginnie Mae II Pool | 5.000% | 10/20/32–8/1/45 | 877,193 | 964,521 |
3 | Ginnie Mae II Pool | 5.500% | 1/20/34–7/20/40 | 67,698 | 75,861 |
3 | Ginnie Mae II Pool | 6.000% | 4/20/28–8/20/40 | 88,505 | 100,716 |
3 | Ginnie Mae II Pool | 6.500% | 4/20/37–3/20/41 | 2,190 | 2,495 |
3 | Ginnie Mae II Pool | 7.000% | 10/20/25–5/20/38 | 350 | 384 |
3 | Ginnie Mae II Pool | 7.500% | 6/20/25–8/20/25 | 182 | 210 |
3 | Ginnie Mae II Pool | 8.000% | 12/20/15–4/20/16 | 5 | 5 |
3 | Ginnie Mae II Pool | 8.500% | 4/20/16–1/20/17 | 59 | 62 |
3 | Ginnie Mae II Pool | 9.000% | 6/20/16–9/20/16 | 7 | 7 |
3 | Ginnie Mae II Pool | 10.000% | 4/20/16–8/20/18 | 6 | 9 |
24,815,234 | |||||
Nonconventional Mortgage-Backed Securities (2.7%) | |||||
2,3 | Fannie Mae Pool | 2.329% | 8/1/43 | 25,730 | 26,600 |
2,3 | Fannie Mae Pool | 2.779% | 9/1/44 | 24,815 | 25,516 |
2,3 | Fannie Mae REMICS | 3.000% | 11/25/42–6/25/43 | 73,583 | 63,888 |
2,3 | Fannie Mae REMICS | 3.500% | 7/25/43 | 19,196 | 18,665 |
2,3 | Fannie Mae REMICS | 6.000% | 10/25/28–9/25/32 | 8,400 | 9,380 |
2,3 | Freddie Mac Non Gold Pool | 2.267% | 8/1/43 | 41,363 | 42,731 |
2,3 | Freddie Mac Non Gold Pool | 2.333% | 9/1/43 | 14,474 | 14,960 |
2,3 | Freddie Mac Non Gold Pool | 2.739% | 10/1/44 | 51,858 | 53,232 |
2,3 | Freddie Mac Non Gold Pool | 2.827% | 10/1/44 | 23,500 | 24,170 |
2,3 | Freddie Mac Non Gold Pool | 2.830% | 7/1/44 | 16,836 | 17,316 |
2,3 | Freddie Mac Non Gold Pool | 2.916% | 9/1/44 | 16,085 | 16,593 |
2,3 | Freddie Mac Non Gold Pool | 2.932% | 4/1/44 | 27,617 | 28,853 |
2,3 | Freddie Mac Non Gold Pool | 3.109% | 10/1/44 | 32,194 | 33,373 |
2,3 | Freddie Mac REMICS | 3.000% | 8/15/42–3/15/43 | 96,199 | 88,135 |
2,3 | Freddie Mac REMICS | 6.000% | 4/15/28–11/15/32 | 25,340 | 28,505 |
1,3 | Ginnie Mae REMICS | 0.388% | 2/20/37 | 6,287 | 6,273 |
3 | Ginnie Mae REMICS | 2.500% | 8/16/42–11/20/43 | 43,902 | 37,529 |
3 | Ginnie Mae REMICS | 3.000% | 3/20/40–8/20/44 | 61,451 | 57,623 |
3 | Ginnie Mae REMICS | 3.250% | 8/20/44 | 7,353 | 6,724 |
3 | Ginnie Mae REMICS | 3.500% | 7/20/43 | 23,327 | 24,254 |
3 | Ginnie Mae REMICs | 3.500% | 9/20/44 | 7,908 | 7,848 |
3 | Ginnie Mae REMICS | 4.500% | 6/20/39 | 6,923 | 7,501 |
3 | Ginnie Mae REMICS | 5.000% | 6/16/37 | 26,158 | 28,682 |
3 | Ginnie Mae REMICS | 5.500% | 1/20/33–8/16/36 | 27,001 | 30,038 |
3 | Ginnie Mae REMICS | 6.500% | 4/20/31 | 2,290 | 2,638 |
701,027 | |||||
Total U.S. Government and Agency Obligations (Cost $25,302,229) | 25,816,327 |
67
GNMA Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Temporary Cash Investments (11.5%) | ||||
Repurchase Agreements (1.7%) | ||||
Bank of America Securities, LLC | ||||
(Dated 7/31/15, Repurchase Value $2,600,000, | ||||
collateralized by Government National | ||||
Mortgage Assn. 3.500%, 7/20/45, with a value | ||||
of $2,652,000) | 0.150% | 8/3/15 | 2,600 | 2,600 |
Bank of Montreal | ||||
(Dated 7/31/15, Repurchase Value $100,001,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
3.000%–5.000%, 11/1/20–11/1/44, Federal | ||||
Home Loan Mortgage Corp. 2.500%–4.500%, | ||||
5/1/28–6/1/45, Government National Mortgage | ||||
Assn. 4.000%, 10/20/43, and U.S. Treasury | ||||
Note/Bond 6.250%–8.750%, 5/15/17–8/15/23, | ||||
with a value of $102,000,000) | 0.150% | 8/3/15 | 100,000 | 100,000 |
Bank of Montreal | ||||
(Dated 7/31/15, Repurchase Value $34,500,000, | ||||
collateralized by Federal Farm Credit Bank 2.620%, | ||||
4/27/22, Federal National Mortgage Assn. 2.000%, | ||||
3/27/28, Federal Home Loan Mortgage Corp. | ||||
0.850%–2.500%, 8/14/17–10/30/24, and | ||||
U.S. Treasury Note/Bond 0.625%–4.625%, | ||||
4/30/18–2/15/40, with a value of $35,190,000) | 0.130% | 8/3/15 | 34,500 | 34,500 |
Bank of Nova Scotia | ||||
(Dated 7/31/15, Repurchase Value $35,000,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.500%–6.500%, 6/15/16–11/15/26, with a | ||||
value of $35,700,000) | 0.150% | 8/3/15 | 35,000 | 35,000 |
Barclays Capital Inc. | ||||
(Dated 7/31/15, Repurchase Value $163,002,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.375%–3.375%, 8/31/15–5/15/44, with a | ||||
value of $166,260,000) | 0.130% | 8/3/15 | 163,000 | 163,000 |
Citigroup Global Markets Inc. | ||||
(Dated 7/31/15, Repurchase Value $7,400,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
2.250%, 3/31/21, with a value of $7,548,000) | 0.140% | 8/3/15 | 7,400 | 7,400 |
HSBC Bank USA | ||||
(Dated 7/31/15, Repurchase Value $4,700,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
4.000%, 3/1/44, with a value of $4,796,000) | 0.140% | 8/3/15 | 4,700 | 4,700 |
RBC Capital Markets LLC | ||||
(Dated 7/31/15, Repurchase Value $3,600,000, | ||||
collateralized by Federal National Mortgage | ||||
Assn. 2.690%–4.000%, 4/1/27–6/1/45, Federal | ||||
Home Loan Mortgage Corp. 2.191%–2.229%, | ||||
8/1/43–5/1/45, and Government National | ||||
Mortgage Assn. 3.500%–4.500%, | ||||
10/20/43–3/20/45, with a value of $3,672,000) | 0.140% | 8/3/15 | 3,600 | 3,600 |
68
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Societe Generale | |||||
(Dated 7/31/15, Repurchase Value $52,201,000, | |||||
collateralized by Federal National Mortgage | |||||
Assn. 0.000%, 7/1/45, Federal Home Loan | |||||
Mortgage Corp. 3.000%, 7/1/30, and U.S. | |||||
Treasury Note/Bond 0.625%–1.500%, | |||||
7/31/17–5/31/19, with a value of $53,244,000) | 0.170% | 8/3/15 | 52,200 | 52,200 | |
TD Securities (USA) LLC | |||||
(Dated 7/31/15, Repurchase Value $36,200,000, | |||||
collateralized by Federal National Mortgage | |||||
Assn. 3.000%, 10/1/29, and Federal Home | |||||
Loan Mortgage Corp. 4.000%, 12/1/40, with | |||||
a value of $36,924,000) | 0.150% | 8/3/15 | 36,200 | 36,200 | |
439,200 | |||||
Shares | |||||
Money Market Fund (5.0%) | |||||
5 | Vanguard Market Liquidity Fund | 0.152% | 1,315,715,000 | 1,315,715 | |
Face | |||||
Amount | |||||
($000) | |||||
U.S. Government and Agency Obligations (4.8%) | |||||
6 | Federal Home Loan Bank Discount Notes | 0.050% | 8/12/15 | 195,072 | 195,068 |
6 | Federal Home Loan Bank Discount Notes | 0.065% | 8/19/15 | 81,660 | 81,657 |
6 | Federal Home Loan Bank Discount Notes | 0.045% | 8/26/15 | 92,200 | 92,195 |
6 | Federal Home Loan Bank Discount Notes | 0.060% | 8/28/15 | 43,000 | 42,998 |
6 | Federal Home Loan Bank Discount Notes | 0.060% | 9/1/15 | 375,000 | 374,970 |
United States Treasury Bill | 0.023% | 8/13/15 | 398,994 | 398,990 | |
United States Treasury Bill | 0.010% | 8/20/15 | 66,506 | 66,505 | |
1,252,383 | |||||
Total Temporary Cash Investments (Cost $3,007,314) | 3,007,298 | ||||
Total Investments (110.5%) (Cost $28,309,543) | 28,823,625 | ||||
Other Assets and Liabilities (-10.5%) | |||||
Other Assets7 | 3,030,933 | ||||
Liabilities | (5,775,780) | ||||
(2,744,847) | |||||
Net Assets (100%) | 26,078,778 |
69
GNMA Fund | |
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 27,507,910 |
Affiliated Vanguard Funds | 1,315,715 |
Total Investments in Securities | 28,823,625 |
Receivables for Investment Securities Sold | 2,928,771 |
Other Assets | 102,162 |
Total Assets | 31,854,558 |
Liabilities | |
Payables for Investment Securities Purchased | 5,684,561 |
Other Liabilities | 91,219 |
Total Liabilities | 5,775,780 |
Net Assets | 26,078,778 |
At July 31, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 25,651,154 |
Overdistributed Net Investment Income | (5,384) |
Accumulated Net Realized Losses | (82,447) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 514,082 |
Futures Contracts | 1,373 |
Net Assets | 26,078,778 |
Investor Shares—Net Assets | |
Applicable to 819,223,538 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,774,216 |
Net Asset Value Per Share—Investor Shares | $10.71 |
Admiral Shares—Net Assets | |
Applicable to 1,615,675,253 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 17,304,562 |
Net Asset Value Per Share—Admiral Shares | $10.71 |
- See Note A in Notes to Financial Statements.
- Adjustable-rate security.
- 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.
- The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.
- Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
- The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
- Cash of $3,608,000 has been segregated as initial margin for open futures contracts. REMICS—Real Estate Mortgage Investment Conduits.
See accompanying Notes, which are an integral part of the Financial Statements.
70
GNMA Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 321,136 |
Total Income | 321,136 |
Expenses | |
Investment Advisory Fees—Note B | 1,270 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 7,481 |
Management and Administrative—Admiral Shares | 6,349 |
Marketing and Distribution—Investor Shares | 708 |
Marketing and Distribution—Admiral Shares | 999 |
Custodian Fees | 540 |
Shareholders’ Reports—Investor Shares | 119 |
Shareholders’ Reports—Admiral Shares | 71 |
Trustees’ Fees and Expenses | 21 |
Total Expenses | 17,558 |
Net Investment Income | 303,578 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (22,576) |
Futures Contracts | (29,711) |
Realized Net Gain (Loss) | (52,287) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (210,810) |
Futures Contracts | (10,717) |
Change in Unrealized Appreciation (Depreciation) | (221,527) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,764 |
1 Interest income from an affiliated company of the fund was $879,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
71
GNMA Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 303,578 | 689,037 |
Realized Net Gain (Loss) | (52,287) | 432,243 |
Change in Unrealized Appreciation (Depreciation) | (221,527) | 234,363 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 29,764 | 1,355,643 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (101,421) | (236,232) |
Admiral Shares | (204,777) | (456,430) |
Realized Capital Gain1 | ||
Investor Shares | (45,393) | (7,592) |
Admiral Shares | (87,317) | (14,465) |
Total Distributions | (438,908) | (714,719) |
Capital Share Transactions | ||
Investor Shares | (247,606) | (592,821) |
Admiral Shares | 28,879 | (154,010) |
Net Increase (Decrease) from Capital Share Transactions | (218,727) | (746,831) |
Total Increase (Decrease) | (627,871) | (105,907) |
Net Assets | ||
Beginning of Period | 26,706,649 | 26,812,556 |
End of Period2 | 26,078,778 | 26,706,649 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $68,321,000 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($5,384,000) and ($3,625,000).
See accompanying Notes, which are an integral part of the Financial Statements.
72
GNMA Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.88 | $10.61 | $10.83 | $11.09 | $10.73 | $10.76 |
Investment Operations | ||||||
Net Investment Income | .119 | .275 | .244 | .288 | .353 | .359 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.114) | . 278 | (. 210) | (.139) | . 488 | . 245 |
Total from Investment Operations | .005 | . 553 | .034 | .149 | . 841 | .604 |
Distributions | ||||||
Dividends from Net Investment Income | (.121) | (. 274) | (. 244) | (. 288) | (. 353) | (. 359) |
Distributions from Realized Capital Gains | (. 054) | (. 009) | (. 010) | (.121) | (.128) | (. 275) |
Total Distributions | (.175) | (. 283) | (. 254) | (. 409) | (. 481) | (. 634) |
Net Asset Value, End of Period | $10.71 | $10.88 | $10.61 | $10.83 | $11.09 | $10.73 |
Total Return1 | 0.05% | 5.29% | 0.34% | 1.35% | 7.96% | 5.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,774 | $9,163 | $9,535 | $13,745 | $15,151 | $14,384 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.21% | 0.21% | 0.21% | 0.21% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.25% | 2.56% | 2.31% | 2.59% | 3.25% | 3.26% |
Portfolio Turnover Rate 2 | 789% | 685% | 167% | 130% | 189% | 386% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 217%, 268%, 149%, 82%, 147%, and 207% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
73
GNMA Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended Janurary 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.88 | $10.61 | $10.83 | $11.09 | $10.73 | $10.76 |
Investment Operations | ||||||
Net Investment Income | .124 | .286 | .255 | .299 | .364 | .372 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.114) | . 278 | (. 210) | (.139) | . 488 | . 245 |
Total from Investment Operations | .010 | . 564 | .045 | .160 | . 852 | .617 |
Distributions | ||||||
Dividends from Net Investment Income | (.126) | (. 285) | (. 255) | (. 299) | (. 364) | (. 372) |
Distributions from Realized Capital Gains | (. 054) | (. 009) | (. 010) | (.121) | (.128) | (. 275) |
Total Distributions | (.180) | (. 294) | (. 265) | (. 420) | (. 492) | (. 647) |
Net Asset Value, End of Period | $10.71 | $10.88 | $10.61 | $10.83 | $11.09 | $10.73 |
Total Return1 | 0.09% | 5.39% | 0.44% | 1.45% | 8.07% | 5.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $17,305 | $17,544 | $17,277 | $25,127 | $23,806 | $21,612 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.35% | 2.66% | 2.41% | 2.69% | 3.35% | 3.38% |
Portfolio Turnover Rate2 | 789% | 685% | 167% | 130% | 189% | 386% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 217%, 268%, 149%, 82%, 147%, and 207% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
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GNMA Fund
Notes to Financial Statements
Vanguard GNMA Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 2% and 1% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. 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
75
GNMA Fund
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. 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 master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $5,488,000 in connection with TBA transactions.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future.
The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
5. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counter-party, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
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GNMA Fund
8. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
9. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the six months ended July 31, 2015, the investment advisory fee represented an effective annual rate of 0.01% of the fund’s average net assets.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $2,318,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.93% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. 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).
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GNMA Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 25,816,327 | — |
Temporary Cash Investments | 1,315,715 | 1,691,583 | — |
Futures Contracts—Assets1 | 879 | — | — |
Futures Contracts—Liabilities1 | (139) | — | — |
Total | 1,316,455 | 27,507,910 | — |
1 Represents variation margin on the last day of the reporting period. |
E. At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
30-Year U.S. Treasury Bond | September 2015 | 1,125 | 175,429 | 1,396 |
10-Year U.S. Treasury Note | September 2015 | 1,087 | 138,525 | (8) |
5-Year U.S. Treasury Note | September 2015 | (26) | (3,116) | (15) |
1,373 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
Certain of the fund’s U.S. Treasury inflation-indexed securities experienced deflation and amortization adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction will be deferred for tax purposes until it is used to offset future inflation adjustments that increase taxable income. The difference becomes permanent if the securities are sold. During the period ended July 31, 2015, the fund realized gains of $39,000 that were included in ordinary income for tax purposes as a result of deferred deflation and amortization adjustments; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income.
At July 31, 2015, the cost of investment securities for tax purposes was $28,315,327,000. Net unrealized appreciation of investment securities for tax purposes was $508,298,000, consisting of unrealized gains of $595,470,000 on securities that had risen in value since their purchase and $87,172,000 in unrealized losses on securities that had fallen in value since their purchase.
78
GNMA Fund
G. During the six months ended July 31, 2015, the fund purchased $100,051,491,000 of investment securities and sold $98,634,385,000 of investment securities, other than temporary cash investments.
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 494,103 | 45,820 | 1,068,942 | 99,281 |
Issued in Lieu of Cash Distributions | 135,898 | 12,604 | 223,302 | 20,829 |
Redeemed | (877,607) | (81,667) | (1,885,065) | (176,099) |
Net Increase (Decrease)—Investor Shares | (247,606) | (23,243) | (592,821) | (55,989) |
Admiral Shares | ||||
Issued | 1,237,401 | 114,958 | 2,412,757 | 224,926 |
Issued in Lieu of Cash Distributions | 231,176 | 21,442 | 359,968 | 33,572 |
Redeemed | (1,439,698) | (133,827) | (2,926,735) | (273,304) |
Net Increase (Decrease)—Admiral Shares | 28,879 | 2,573 | (154,010) | (14,806) |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
79
Long-Term Treasury Fund
Fund Profile
As of July 31, 2015
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VUSTX | VUSUX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 2.72% | 2.82% | |
Financial Attributes | |||
Barclays | Barclays | ||
Long | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 38 | 44 | 9,496 |
Yield to Maturity | |||
(before expenses) | 2.9% | 2.8% | 2.4% |
Average Coupon | 3.6% | 3.8% | 3.2% |
Average Duration | 16.3 years | 17.3 years | 5.6 years |
Average Effective | |||
Maturity | 25.1 years | 25.1 years | 7.8 years |
Short-Term | |||
Reserves | -4.3% | — | — |
The fund invested a portion of its cash reserves in equity and fixed income markets through the use of index futures contracts. After the effect of the futures investments, the fund's temporary cash portion was negative.
Sector Diversification (% of portfolio) | |
Government Mortgage-Backed | 4.9% |
Treasury/Agency | 95.1 |
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.
Volatility Measures | ||
Barclays | Barclays | |
Long | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.83 |
Beta | 1.04 | 3.52 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | -4.3% |
3 - 5 Years | 2.0 |
5 - 7 Years | 3.1 |
7 - 10 Years | 4.4 |
10 - 20 Years | 9.4 |
20 - 30 Years | 85.4 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 99.8% |
Not Rated | 0.2 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.19% for Investor Shares and 0.09% for Admiral Shares.
80
Long-Term Treasury Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
Long | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.84% | -1.86% | 2.98% | 2.93% |
2007 | 4.92 | -3.12 | 1.80 | 2.00 |
2008 | 5.27 | 7.82 | 13.09 | 13.58 |
2009 | 4.57 | 4.68 | 9.25 | 10.38 |
2010 | 3.98 | -5.33 | -1.35 | -2.19 |
2011 | 4.03 | -0.45 | 3.58 | 4.29 |
2012 | 4.13 | 28.40 | 32.53 | 32.74 |
2013 | 2.73 | -2.73 | 0.00 | -0.02 |
2014 | 2.97 | -7.42 | -4.45 | -4.49 |
2015 | 3.80 | 24.67 | 28.47 | 28.66 |
2016 | 1.24 | -10.47 | -9.23 | -9.11 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 5/19/1986 | 5.85% | 5.90% | 3.97% | 1.96% | 5.93% |
Admiral Shares | 2/12/2001 | 5.96 | 6.01 | 4.10 | 1.96 | 6.06 |
See Financial Highlights for dividend and capital gains information.
81
Long-Term Treasury Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (103.4%) | |||||
U.S. Government Securities (98.3%) | |||||
United States Treasury Note/Bond | 2.125% | 5/15/25 | 141,150 | 140,378 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 43,250 | 57,570 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 52,400 | 69,929 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 21,700 | 31,387 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 8,900 | 13,137 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 88,000 | 121,274 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 51,400 | 66,756 | |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 28,400 | 38,043 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 14,200 | 19,663 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 4,500 | 5,827 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 133,800 | 149,647 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 60,366 | 75,439 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 41,100 | 53,231 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 44,500 | 56,668 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 55,150 | 72,764 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 34,449 | 43,900 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 44,300 | 52,433 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 50,500 | 63,283 | |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 9,400 | 12,669 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 60,700 | 70,678 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 49,450 | 51,737 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 84,000 | 87,767 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 65,600 | 66,810 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 124,050 | 120,173 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 239,800 | 232,119 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 126,700 | 131,867 | |
1 | United States Treasury Note/Bond | 2.875% | 5/15/43 | 181,897 | 180,305 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 47,300 | 54,033 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 79,600 | 92,982 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 157,200 | 179,503 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 174,750 | 190,642 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 149,900 | 156,037 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 140,600 | 142,885 | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 150,800 | 138,075 | |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 76,500 | 77,875 | |
3,117,486 |
82
Long-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Conventional Mortgage-Backed Securities (5.1%) | ||||
2,3,4 Fannie Mae Pool | 3.500% | 9/1/45 | 94,000 | 97,290 |
2,3,4 Fannie Mae Pool | 4.000% | 9/1/45 | 59,000 | 62,604 |
2,3 Fannie Mae Pool | 6.000% | 2/1/26–11/1/28 | 26 | 30 |
159,924 | ||||
Total U.S. Government and Agency Obligations (Cost $3,018,676) | 3,277,410 | |||
Shares | ||||
Temporary Cash Investment (0.2%) | ||||
Money Market Fund (0.2%) | ||||
5 Vanguard Market Liquidity Fund | ||||
(Cost $7,384) | 0.152% | 7,383,813 | 7,384 | |
Total Investments (103.6%) (Cost $3,026,060) | 3,284,794 | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 50 | (44) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 92 | (37) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 51 | (31) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 15 | (4) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 51 | (9) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 71 | (7) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 50 | (3) | |
Total Liability for Options Written (Premium received $128) | (135) | |||
Other Assets and Liabilities (-3.6%) | ||||
Other Assets | 255,164 | |||
Other Liabilities | (368,489) | |||
(113,325) | ||||
Net Assets (100%) | 3,171,334 |
83
Long-Term Treasury Fund | |
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 3,277,410 |
Affiliated Vanguard Funds | 7,384 |
Total Investments in Securities | 3,284,794 |
Receivables for Investment Securities Sold | 217,903 |
Receivables for Accrued Income | 33,628 |
Other Assets | 3,633 |
Total Assets | 3,539,958 |
Liabilities | |
Payables for Investment Securities Purchased | 360,045 |
Payables for Capital Shares Redeemed | 2,685 |
Option Contracts Written | 135 |
Other Liabilities | 5,759 |
Total Liabilities | 368,624 |
Net Assets | 3,171,334 |
At July 31, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,902,454 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 10,758 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 258,734 |
Futures Contracts | (605) |
Options on Futures Contracts | (7) |
Net Assets | 3,171,334 |
Investor Shares—Net Assets | |
Applicable to 88,166,727 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,111,482 |
Net Asset Value Per Share—Investor Shares | $12.61 |
Admiral Shares—Net Assets | |
Applicable to 163,395,190 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,059,852 |
Net Asset Value Per Share—Admiral Shares | $12.61 |
- See Note A in Notes to Financial Statements.
- Securities with a value of $1,190,000 have been segregated as initial margin for open futures contracts.
- 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.
- 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.
- Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
84
Long-Term Treasury Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 48,852 |
Total Income | 48,852 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 171 |
Management and Administrative—Investor Shares | 894 |
Management and Administrative—Admiral Shares | 665 |
Marketing and Distribution—Investor Shares | 118 |
Marketing and Distribution—Admiral Shares | 157 |
Custodian Fees | 19 |
Shareholders’ Reports—Investor Shares | 22 |
Shareholders’ Reports—Admiral Shares | 11 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,058 |
Net Investment Income | 46,794 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 16,185 |
Futures Contracts | (866) |
Options on Futures Contracts | 268 |
Realized Net Gain (Loss) | 15,587 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (413,524) |
Futures Contracts | 349 |
Options on Futures Contracts | 406 |
Change in Unrealized Appreciation (Depreciation) | (412,769) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (350,388) |
1 Interest income from an affiliated company of the fund was $19,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
85
Long-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 46,794 | 90,125 |
Realized Net Gain (Loss) | 15,587 | 84,006 |
Change in Unrealized Appreciation (Depreciation) | (412,769) | 615,202 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (350,388) | 789,333 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (16,137) | (33,098) |
Admiral Shares | (30,657) | (57,027) |
Realized Capital Gain1 | ||
Investor Shares | (9,238) | (17,275) |
Admiral Shares | (16,853) | (30,929) |
Total Distributions | (72,885) | (138,329) |
Capital Share Transactions | ||
Investor Shares | (57,886) | 69,412 |
Admiral Shares | (113,577) | 470,130 |
Net Increase (Decrease) from Capital Share Transactions | (171,463) | 539,542 |
Total Increase (Decrease) | (594,736) | 1,190,546 |
Net Assets | ||
Beginning of Period | 3,766,070 | 2,575,524 |
End of Period | 3,171,334 | 3,766,070 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $3,411,000 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
86
Long-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $14.19 | $11.55 | $12.61 | $13.32 | $10.77 | $11.15 |
Investment Operations | ||||||
Net Investment Income | .177 | .372 | .374 | .369 | .382 | .462 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (1.480) | 2.833 | (.937) | (.361) | 3.058 | (.046) |
Total from Investment Operations | (1.303) | 3.205 | (.563) | .008 | 3.440 | .416 |
Distributions | ||||||
Dividends from Net Investment Income | (.177) | (. 372) | (. 374) | (. 369) | (. 382) | (. 462) |
Distributions from Realized Capital Gains | (.100) | (.193) | (.123) | (. 349) | (. 508) | (. 334) |
Total Distributions | (. 277) | (. 565) | (. 497) | (.718) | (. 890) | (.796) |
Net Asset Value, End of Period | $12.61 | $14.19 | $11.55 | $12.61 | $13.32 | $10.77 |
Total Return1 | -9.23% | 28.47% | -4.45% | 0.00% | 32.53% | 3.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,111 | $1,318 | $1,013 | $1,349 | $1,621 | $1,244 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.79% | 3.02% | 3.14% | 2.78% | 3.14% | 3.98% |
Portfolio Turnover Rate2 | 102% | 59% | 44% | 105% | 229% | 52% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 58%, 22%, 0%, 61%, 119%, and 0% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
87
Long-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended Janurary 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $14.19 | $11.55 | $12.61 | $13.32 | $10.77 | $11.15 |
Investment Operations | ||||||
Net Investment Income | .183 | .384 | .386 | .382 | .395 | .476 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (1.480) | 2.833 | (.937) | (.361) | 3.058 | (.046) |
Total from Investment Operations | (1.297) | 3.217 | (.551) | .021 | 3.453 | .430 |
Distributions | ||||||
Dividends from Net Investment Income | (.183) | (. 384) | (. 386) | (. 382) | (. 395) | (. 476) |
Distributions from Realized Capital Gains | (.100) | (.193) | (.123) | (. 349) | (. 508) | (. 334) |
Total Distributions | (. 283) | (. 577) | (. 509) | (.731) | (. 903) | (. 810) |
Net Asset Value, End of Period | $12.61 | $14.19 | $11.55 | $12.61 | $13.32 | $10.77 |
Total Return1 | -9.18% | 28.60% | -4.36% | 0.10% | 32.66% | 3.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,060 | $2,448 | $1,563 | $2,063 | $2,199 | $1,567 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.89% | 3.12% | 3.24% | 2.88% | 3.24% | 4.10% |
Portfolio Turnover Rate2 | 102% | 59% | 44% | 105% | 229% | 52% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Includes 58%, 22%, 0%, 61%, 119%, and 0% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
88
Long-Term Treasury Fund
Notes to Financial Statements
Vanguard Long-Term Treasury Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 1% and 4% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
89
Long-Term Treasury Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Assets and Liabilities as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Assets and Liabilities as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.
3. 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. 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 master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $925,000 in connection with TBA transactions.
4. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Assets and Liabilities.
5. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
90
Long-Term Treasury Fund
6. 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.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $275,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.11% of Vanguard’s capitalization. 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).
91
Long-Term Treasury Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 3,277,410 | — |
Temporary Cash Investments | 7,384 | — | — |
Liability for Options Written | (135) | — | — |
Futures Contracts—Assets1 | 463 | — | — |
Futures Contracts—Liabilities1 | (486) | — | — |
Total | 7,226 | 3,277,410 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
2-Year U.S. Treasury Note | September 2015 | (367) | (80,396) | (154) |
5-Year U.S. Treasury Note | September 2015 | 389 | 46,619 | — |
30-Year U.S. Treasury Bond | September 2015 | (171) | (26,665) | (309) |
Ultra Long U.S. Treasury Bond | September 2015 | (82) | (13,082) | (142) |
10-Year U.S. Treasury Note | September 2015 | 2 | 255 | — |
(605) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At July 31, 2015, the cost of investment securities for tax purposes was $3,032,207,000. Net unrealized appreciation of investment securities for tax purposes was $252,587,000, consisting of unrealized gains of $265,628,000 on securities that had risen in value since their purchase and $13,041,000 in unrealized losses on securities that had fallen in value since their purchase.
92
Long-Term Treasury Fund
F. During the six months ended July 31, 2015, the fund purchased $1,794,765,000 of investment securities and sold $1,987,391,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2015 | 916 | 345 | ||
Options Written | 3,138 | 1,174 | ||
Options Expired | (1,468) | (504) | ||
Options Closed | (2,206) | (887) | ||
Options Exercised | — | — | ||
Balance at July 31, 2015 | 380 | 128 | ||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 145,351 | 11,171 | 346,687 | 27,907 |
Issued in Lieu of Cash Distributions | 24,132 | 1,853 | 47,791 | 3,789 |
Redeemed | (227,369) | (17,768) | (325,066) | (26,437) |
Net Increase (Decrease)—Investor Shares | (57,886) | (4,744) | 69,412 | 5,259 |
Admiral Shares | ||||
Issued | 300,586 | 23,321 | 797,720 | 63,962 |
Issued in Lieu of Cash Distributions | 40,530 | 3,112 | 75,138 | 5,941 |
Redeemed | (454,693) | (35,594) | (402,728) | (32,616) |
Net Increase (Decrease)—Admiral Shares | (113,577) | (9,161) | 470,130 | 37,287 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
93
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.
94
Six Months Ended July 31, 2015 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
1/31/2015 | 7/31/2015 | Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,001.35 | $0.94 |
Admiral Shares | 1,000.00 | 1,001.85 | 0.45 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,001.94 | $0.94 |
Admiral Shares | 1,000.00 | 1,002.44 | 0.45 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $989.34 | $0.94 |
Admiral Shares | 1,000.00 | 989.83 | 0.44 |
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,000.45 | $0.99 |
Admiral Shares | 1,000.00 | 1,000.95 | 0.50 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $907.73 | $0.90 |
Admiral Shares | 1,000.00 | 908.18 | 0.43 |
95
Six Months Ended July 31, 2015 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
1/31/2015 | 7/31/2015 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,023.80 | $1.00 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Treasury Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the Short-Term Federal Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the GNMA Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; and for the Long-Term Treasury Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
96
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Short-Term, Intermediate-Term, and Long-Term Treasury Funds and Vanguard Short-Term Federal Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Fixed Income Group—serves as the investment advisor for the funds. The board also has renewed the investment advisory agreement between Vanguard GNMA Fund and Wellington Management Company LLP (Wellington Management). The board determined that renewing each fund’s advisory arrangement was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of each advisor. The board considered the following:
Vanguard. Vanguard has been managing investments for more than three decades and has advised the Short-Term, Intermediate-Term, and Long-Term Treasury Funds and Short-Term Federal Fund since their inceptions. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
Wellington Management. Founded in 1928, Wellington Management is among the nation’s oldest and most respected institutional investment managers. The firm has managed the GNMA Fund since the fund’s inception in 1980. The portfolio manager of the GNMA Fund is backed by a team of experienced analysts who help inform his strategic perspective and conduct statistical and cash-flow analysis. The team leverages its deep knowledge of the mortgage industry to analyze the relative value of various GNMA bonds and construct a portfolio with lower prepayment and extension risk than the benchmark, but with similar interest rate risk.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue. Information about each fund’s most recent performance can be found in the Performance Summary sections of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its respective peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections, which also contain information about the advisory expenses.
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The board did not consider profitability of Wellington Management in determining whether to approve the advisory fee for the GNMA Fund, because Wellington Management is independent of Vanguard, and the advisory fee is the result of arm’s-length negotiations. The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the GNMA Fund shareholders benefit from economies of scale because of breakpoints in the fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board concluded that with regard to the Short-Term, Intermediate-Term, and Long-Term Treasury Funds and the Short-Term Federal Fund, the funds’ at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” For the federal and Treasury funds, credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is shown. For the GNMA Fund, credit-quality ratings are obtained from Barclays and are from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. “Not Rated” is used to classify securities for which a rating is not available. Not rated securities include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts.
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Distribution by Coupon. A breakdown of the securities in a fund according to coupon rate—the interest rate that an issuer promises to pay, expressed as an annual percentage of face value. Securities with unusually high coupon rates may be subject to call risk, the possibility that they will be redeemed (or “called”) early by the issuer.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 193 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, Amerigroup Corporation (managed health care), the University of Rochester Medical Center, Monroe Community College Foundation, and North Carolina A&T University.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Tyco International PLC (diversified manufacturing and services), Hewlett-Packard Co. (electronic computer manufacturing), and Delphi Automotive PLC (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (1997–2008) of Johnson & Johnson (pharmaceuticals/medical devices/ consumer products); Director of Skytop Lodge Corporation (hotels), the University Medical Center at Princeton, the Robert Wood Johnson Foundation, and the Center for Talent Innovation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education, and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Investment Advisory Committee of Major League Baseball.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Trustee of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center and of the Advisory Board of the Parthenon Group (strategy consulting).
Executive Officers
Glenn Booraem
Born 1967. Treasurer Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Controller of each of the investment companies served by The Vanguard Group (2010–2015); Assistant Controller of each of the investment companies served by The Vanguard Group (2001–2010).
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Head of Global Fund Accounting at The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Heidi Stam
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Mortimer J. Buckley
Kathleen C. Gubanich
Paul A. Heller
Martha G. King
John T. Marcante
Chris D. McIsaac
James M. Norris
Thomas M. Rampulla
Glenn W. Reed
Karin A. Risi
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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Q322 092015 |
Semiannual Report | July 31, 2015
Vanguard Corporate Bond Funds
Vanguard Short-Term Investment-Grade Fund
Vanguard Intermediate-Term Investment-Grade Fund
Vanguard Long-Term Investment-Grade Fund
Vanguard High-Yield Corporate Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisors’ Report. | 9 |
Short-Term Investment-Grade Fund. | 16 |
Intermediate-Term Investment-Grade Fund. | 48 |
Long-Term Investment-Grade Fund. | 79 |
High-Yield Corporate Fund. | 104 |
About Your Fund’s Expenses. | 121 |
Trustees Approve Advisory Arrangements. | 123 |
Glossary. | 125 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns | ||||
Six Months Ended July 31, 2015 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Investment-Grade Fund | ||||
Investor Shares | 1.74% | 0.92% | -0.65% | 0.27% |
Admiral™ Shares | 1.84 | 0.97 | -0.65 | 0.32 |
Institutional Shares | 1.87 | 0.99 | -0.65 | 0.34 |
Barclays U.S. 1–5 Year Credit Bond Index | 0.26 | |||
1–5 Year Investment-Grade Debt Funds Average | 0.17 | |||
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Investment-Grade Fund | ||||
Investor Shares | 2.73% | 1.44% | -2.79% | -1.35% |
Admiral Shares | 2.83 | 1.49 | -2.79 | -1.30 |
Barclays U.S. 5–10 Year Credit Bond Index | -1.91 | |||
Core Bond Funds Average | -1.42 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Long-Term Investment-Grade Fund | ||||
Investor Shares | 4.09% | 1.93% | -9.66% | -7.73% |
Admiral Shares | 4.19 | 1.97 | -9.66 | -7.69 |
Barclays U.S. Long Credit A or Better Bond Index | -7.78 | |||
Corporate A-Rated Debt Funds Average | -2.62 | |||
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard High-Yield Corporate Fund | ||||
Investor Shares | 5.23% | 2.70% | -1.20% | 1.50% |
Admiral Shares | 5.33 | 2.75 | -1.20 | 1.55 |
High-Yield Corporate Composite Index | 1.37 | |||
High Yield Funds Average | 1.52 | |||
For a benchmark description, see the Glossary. | ||||
High Yield Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
1
Chairman’s Letter
Dear Shareholder,
After a strong run last fiscal year, bond prices declined and volatility increased over the six months ended July 31, 2015. Demand from risk-averse investors surged in January amid concerns about deflation and the shaky pace of global growth. But it slackened later as the economic picture brightened and the Federal Reserve seemed close to raising short-term interest rates for the first time in almost a decade.
With weaker demand depressing the prices of longer-term bonds in particular, Vanguard Long-Term Investment-Grade Fund returned –7.73%. (All returns and yields cited in this letter are for the funds’ Investor Shares.) More modest price declines for shorter-term investment-grade and high-yield bonds helped the three other funds perform better. Including the income they earned, their returns were –1.35% for Vanguard Intermediate-Term Investment-Grade Fund, 0.27% for Vanguard Short-Term Investment-Grade Fund, and 1.50% for Vanguard High-Yield Corporate Fund.
All four funds performed better than their benchmarks—the Intermediate-Term Fund by a wider margin than the others. Compared with their peers, results were mixed. The Short- and Intermediate-Term Funds outperformed the average return of their peer groups, the High-Yield Corporate Fund was about even, and the Long-Term Fund lagged.
2
As bond prices fell, the 30-day SEC yields for all four funds increased, to 18 to 55 basis points higher as of July 31 than they were six months earlier. (A basis point is one-hundredth of a percentage point.)
Fixed income fared poorly both at home and abroad
Prices of U.S. taxable bonds declined in four of the six months, returning –1.47%. U.S. municipal bonds held up a little better, but the slide in their prices still more than offset the income they generated. Their return was –0.92%.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.79%, curbed by the dollar’s strength against many foreign currencies. For currency-hedged investors, international bonds returned about –1%.
Returns were negligible for money market funds and savings accounts as the Fed’s target for short-term rates remained at 0%–0.25%.
U.S. stocks proved resilient in a challenging environment
The broad U.S. stock market returned more than 6% over the six months. Corporate earnings generally exceeded forecasts, and investors seemed encouraged by the monetary stimulus efforts of other nations’ central banks.
Market Barometer | |||
Total Returns | |||
Periods Ended July 31, 2015 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -1.47% | 2.82% | 3.27% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -0.92 | 3.56 | 4.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.02 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.60% | 11.24% | 16.45% |
Russell 2000 Index (Small-caps) | 6.98 | 12.03 | 15.27 |
Russell 3000 Index (Broad U.S. market) | 6.61 | 11.28 | 16.35 |
FTSE All-World ex US Index (International) | 4.26 | -3.74 | 6.23 |
CPI | |||
Consumer Price Index | 2.12% | 0.17% | 1.83% |
3
But stocks also encountered hurdles. During the latter part of the period, Greece’s debt crisis and a swoon by Chinese stocks weighed on global markets. The strong U.S. dollar’s negative effect on the profits of U.S.-based multinational companies, valuations that some investors perceived as high, and muddled economic news also roiled stocks at times.
For U.S. investors, international stocks returned about 4%; results would have been more robust if not for the dollar’s strength. Returns for the developed markets of Europe surpassed those of the Pacific region and emerging markets.
As the period went on, prospects for growth and inflation improved
Some of the uncertainties weighing on the global economy lifted a little as the half year progressed. At home, growth seemed to get back on track after a first quarter marked by severe winter weather in the Northeast and a port strike on the West Coast. Abroad, the pace of expansion in the euro zone and Japan proved more robust than expected.
These improvements helped allay deflationary fears that had stood center stage when the period began. They also helped counter some negative developments, including weakness in commodity prices, flare-ups in the Greek crisis, and further signs of a downshift in China’s growth.
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
Investor | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Average | |
Short-Term Investment-Grade Fund | 0.20% | 0.10% | 0.07% | 0.79% |
Intermediate-Term Investment-Grade | ||||
Fund | 0.20 | 0.10 | — | 0.83 |
Long-Term Investment-Grade Fund | 0.22 | 0.12 | — | 0.91 |
High-Yield Corporate Fund | 0.23 | 0.13 | — | 1.11 |
The fund expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the funds’ annualized expense ratios were: for the Short-Term Investment-Grade Fund, 0.19% for Investor Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the Long-Term Investment-Grade Fund, 0.21% for Investor Shares and 0.11% for Admiral Shares; and for the High-Yield Corporate Fund, 0.22% for Investor Shares and 0.12% for Admiral Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2014.
Peer groups: For the Short-Term Investment-Grade Fund, 1–5 Year Investment-Grade Debt Funds; for the Intermediate-Term Investment-Grade Fund, Core Bond Funds; for the Long-Term Investment-Grade Fund, Corporate A-Rated Debt Funds; and for the High-Yield Corporate Fund, High Yield Funds.
4
The brightening economic outlook and increasing likelihood of a Fed rate hike led bond yields to rise and prices to fall across the maturity spectrum, particularly among longer-dated securities. The price drop cut close to 10 percentage points from the return of the Long-Term Investment-Grade Fund and nearly 3 percentage points from that of the Intermediate-Term Investment-Grade Fund.
The other two funds saw more modest price declines of well under 2 percentage points and earned enough interest income to keep their returns in positive territory. (You can see each fund’s income and capital returns in the table on page 1.)
Sharp price drops can be disconcerting. Keep in mind, however, that prices surged in the preceding six months and that 12-month returns for all of the funds were positive. More important, although bond prices may fluctuate—sometimes significantly—income tends to be a bigger driver of their performance over the long term.
In relative terms, the investment-grade funds’ tilt toward shorter-dated maturities worked to their advantage. That was especially true for the Intermediate-Term Fund. With roughly one-third of its assets in securities maturing in less than five years, it outstripped its benchmark by 56 basis points. Another positive was these funds’ outsized allocation to financials at the expense of industrials.
Yields | ||
30-Day SEC Yields on | ||
January 31, | July 31, | |
Bond Fund | 2015 | 2015 |
Short-Term Investment-Grade | ||
Investor Shares | 1.56% | 1.74% |
Admiral Shares | 1.66 | 1.84 |
Institutional Shares | 1.69 | 1.87 |
Intermediate-Term Investment-Grade | ||
Investor Shares | 2.32% | 2.73% |
Admiral Shares | 2.42 | 2.83 |
Long-Term Investment-Grade | ||
Investor Shares | 3.54% | 4.09% |
Admiral Shares | 3.64 | 4.19 |
High-Yield Corporate | ||
Investor Shares | 4.99% | 5.23% |
Admiral Shares | 5.09 | 5.33 |
5
For diversification and liquidity reasons, the Short- and Intermediate-Term Funds hold asset-backed securities and Treasuries, which can drag on performance when riskier securities are in favor. But these holdings helped bolster relative returns over this period. So did security selection, especially among energy securities and foreign sovereign bonds.
Do you have the right ‘asset location’ for your bond fund?
Investors who want to maximize returns and minimize taxes should consider their “asset location,” or how their investments are spread among different types of accounts.
Broadly speaking, accounts are either tax-advantaged (as in tax-free or tax-deferred) or they’re taxable. IRAs and 401(k) plans, of course, are tax-advantaged.
As part of a series called IRA Insights (available at vanguard.com/research), analysts from Vanguard’s Investment Strategy Group studied data from hundreds of thousands of Vanguard accounts to determine how well investors were locating their assets. From a tax standpoint, were people choosing the optimal account type for a particular investment?
The analysts noted that bonds are tax-inefficient, because their return is almost entirely income. So investors are generally best served by holding them (and balanced funds, which include bonds) in IRAs and other tax-advantaged accounts. Otherwise, income from the bonds will drive up an investor’s annual tax liability, even if the income is automatically reinvested in a bond or balanced fund. And unlike qualified stock dividends, which are taxed at a preferential rate, bond income gets taxed at a higher “ordinary” income rate.
As you can see in results shown below from the study, there appears to be an opportunity for some bond investors to improve their asset location. These investors may be paying more in taxes than they need to.
Over half of investors with a choice own bonds in taxable accounts
Notes: Based on an analysis of almost 700,000 Vanguard IRA@ account owners who also have taxable investments at Vanguard and who own at least some bond investments. Data are as of December 31, 2014.
Source: Vanguard.
6
The Long-Term Fund’s out-of-benchmark allocation to taxable municipal bonds helped relative performance, but its holdings in BBB-rated bonds detracted modestly.
The High-Yield Corporate Fund’s investments in the energy segment, despite the further slide in the price of oil in July, added to relative performance. Underweighting metals and mining also worked out well for the fund because of the softness in commodity prices.
For a more detailed discussion of the management of the funds, please see the Advisors’ Report that follows this letter.
As your investment costs go down, your chance for success can go up
Being an investor can be frustrating at times: You’re planning for your financial future, but some factors—for example, the financial markets—are beyond your control. Although you can’t control the markets, you do have some choice in how much you pay to invest in them. And what you pay can greatly affect your chance for success.
At Vanguard, as you know, we take minimizing costs seriously. Indeed, that’s one of our four investment principles. (You can read more in
Vanguard’s Principles for Investing Success, available at vanguard.com/ research.) Paying less in expenses has an intuitive, immediate appeal.
Less obvious, perhaps, is the enormous advantage that low costs can offer over time.
Imagine two well-diversified portfolios, each with a starting balance of $100,000 and each earning a yearly return of 6%, which is reinvested over a 30-year period. In one scenario, the investor pays 0.25% of assets every year in portfolio expenses, while in the other, the investor pays 0.90%. (Keep in mind that this is a hypothetical example and doesn’t represent any particular investment.)
After 30 years, the lower-cost portfolio has a balance of more than $530,000, while the higher-cost portfolio has a balance of almost $440,000. What might seem like a trifling cost difference at the start becomes a meaningful difference in the long termin this example, nearly $100,000.
Increasingly, investors recognize the importance of minimizing costs. According to Morningstar, over the past ten years, 95% of cash flows have gone into funds ranked in the lowest 20% in expenses. We’re pleased to see this trend, because it means investors are keeping more of their returns and, by doing so, have given themselves a better chance of reaching their financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
August 12, 2015
7
Your Fund’s Performance at a Glance | ||||
January 31, 2015, Through July 31, 2015 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Investment-Grade Fund | ||||
Investor Shares | $10.73 | $10.66 | $0.099 | $0.000 |
Admiral Shares | 10.73 | 10.66 | 0.104 | 0.000 |
Institutional Shares | 10.73 | 10.66 | 0.106 | 0.000 |
Vanguard Intermediate-Term Investment-Grade | ||||
Fund | ||||
Investor Shares | $10.06 | $9.77 | $0.146 | $0.010 |
Admiral Shares | 10.06 | 9.77 | 0.151 | 0.010 |
Vanguard Long-Term Investment-Grade Fund | ||||
Investor Shares | $11.34 | $10.18 | $0.222 | $0.069 |
Admiral Shares | 11.34 | 10.18 | 0.228 | 0.069 |
Vanguard High-Yield Corporate Fund | ||||
Investor Shares | $5.98 | $5.90 | $0.162 | $0.008 |
Admiral Shares | 5.98 | 5.90 | 0.165 | 0.008 |
8
Advisors’ Report
Vanguard Fixed Income Group For the Short-, Intermediate-, and Long-Term Investment-Grade Funds
For the six months ended July 31, 2015, Vanguard Short-Term Investment-Grade Fund did a little better than its benchmark, returning 0.27% for Investor Shares, 0.32% for Admiral Shares, and 0.34% for Institutional Shares. Vanguard Intermediate-Term Investment-Grade Fund outpaced its benchmark by a wider margin, returning –1.35% for Investor Shares and –1.30% for Admiral Shares. Both funds exceeded the average returns of their peer groups.
We also manage about 10% of the assets of Vanguard Long-Term Investment-Grade Fund. It returned –7.73% for Investor Shares and –7.69% for Admiral Shares, ahead of its benchmark. The fund lagged its peer group, although that’s an imperfect yardstick because the typical peer fund has a much shorter duration.
The investment environment
As 2015 began, monetary policy and economic growth in the United States diverged from those in much of the rest of the world. Markets expected the Federal Reserve to begin raising interest rates modestly and gradually. Meanwhile, in March, the European Central Bank (ECB) began an aggressive monthly bond-buying program that led to negative rates on some sovereign bonds. Many other central banks also pursued accommodative policies that drove their rates lower.
Yields of U.S. Treasury Securities | ||
January 31, | July 31, | |
Maturity | 2015 | 2015 |
2 years | 0.52% | 0.73% |
3 years | 0.83 | 1.05 |
5 years | 1.27 | 1.62 |
10 years | 1.75 | 2.26 |
30 years | 2.32 | 2.94 |
Source: Vanguard. |
9
As the U.S. economy seemed to be on the upswing despite a slowdown in growth in the fourth quarter of 2014, major European economies faced concerns about deflation and little or no growth. China, the world’s second-largest economy, modestly lowered its growth target for 2015. Although we don’t anticipate a hard landing for China’s economy, significant stock market volatility appears likely to persist.
As the year progressed, however, Europe gained strength, helped by lower oil prices and the ECB’s actions. The U.S. economy almost ground to a halt in the first quarter, in part because of a harsh winter and a West Coast port strike. But it grew in the second quarter at an annual rate of 2.3%, based on the advance estimate.
Throughout the half year, questions about the timing of the Fed’s first rate increase in nearly a decade were top of mind for investors. The Fed’s decision depends on the health of the economy. It also wants to see continued improvement in the job market and an increase in inflation toward its 2% long-term target. (Inflation has been running well below that, in part reflecting lower commodity prices.)
In the spring, the Fed signaled that it most likely would not raise rates in June, as some had predicted. Although it removed the word “patient” from its statement, it still suggested that any increases would be gradual and that rates would probably remain low for a considerable time. It seemed increasingly likely that the ultimate federal funds rate during the current economic cycle would be lower than the market anticipated last year. Expectations centered on 2.5%, down from more than 3% last October.
In this environment, the yield of the benchmark 10-year Treasury note increased gradually after a significant January rally pushed it down to 1.75%. Safe-haven demand for Treasuries was strong at the height of the uncertainty about Greece’s possible default and exit from the euro zone. But the yield of the 10-year note closed out July at 2.26%.
Management of the funds
We maintained a structurally short duration stance in the Short- and Intermediate-Term Funds versus their benchmarks. (Duration measures the sensitivity of a bond fund’s holdings to changes in interest rates.) This conservative positioning can drag on performance when rates are falling, but it boosted the funds’ relative results over the six months as rates moved higher.
For the Short- and Intermediate-Term Funds, credit analysis was key as well. It enabled us to successfully navigate other volatile segments of the fixed income market, including European bank debt and emerging-market sovereign bonds.
Favoring financials over industrials also helped the two funds. They were underweighted in energy stocks, which performed a little better than corporate bonds as a whole. However, the funds were less exposed to the roller-coaster ride that energy-related industrial companies experienced as the price of oil began to
10
recover but then slumped further. Thanks in part to our credit analysts, the securities we did hold in the energy segment added to performance.
The funds’ out-of-benchmark holdings in asset-backed securities and commercial mortgage-backed securities also worked well as these securities outperformed their investment-grade counterparts.
A look ahead
Lower oil prices have tempered inflation and slowed corporate capital spending. Consumer spending and housing have been alternately stronger and weaker, and consumer confidence slid in July. Overall, though, we expect the U.S. economy to grow at an annual rate comfortably above 2% for the rest of 2015.
Interest rates, and hence bond prices, could remain volatile. The market views new information about the economy’s health through the lens of the data-dependent Fed, trying to guess when it will raise rates. It’s not unusual for volatility to increase as a rate increase approaches. Still, rates are likely to be range-bound. We expect the relative strength of the U.S. economy to set a floor, and global conditions—including the stronger dollar and ECB stimulus—should serve as a cap. We still believe that a rate increase is likely to come in the second half of 2015. The Fed may not raise rates as much as has been expected, however, especially in view of the tepid outlook for growth.
We maintain significant positions in very liquid assets. This “dry powder” should give us the flexibility to seize opportunities when they arise and help us meet potential shareholder redemptions without becoming forced sellers in the market.
Whatever the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to seek opportunities to produce competitive returns.
Gregory Davis, CFA, Principal Global Head of Fixed Income Group Gregory S. Nassour, CFA, Principal Portfolio Manager August 19, 2015
Wellington Management Company LLP
For the Long-Term Investment-Grade Fund
As mentioned earlier, Vanguard Long-Term Investment-Grade Fund returned –7.73% for Investor Shares and –7.69% for Admiral Shares for the six months ended July 31, 2015. It outpaced the –7.78% return of its benchmark, the Barclays U.S. Long Credit A or Better Bond Index, but lagged the –2.62% average return of its peers.
The portion of the fund that we manage (“the portfolio”) invests primarily in corporate bonds with maturities of 10 to 30 years. Its returns are influenced by the direction of interest rates and by economic conditions that affect the creditworthiness of corporate bond issuers.
11
Investment environment
Fixed income markets were volatile over the period. Investors grappled with a mixed global economic backdrop, accommodative monetary policies, the increased risk that Greece would exit the euro zone, and ups and downs in the price of oil.
Many central banks eased monetary policy; some resorted to radical measures to counter falling inflation and stimulate growth. The ECB launched an open-ended bond-buying program, prompting other central banks to act to stop their currencies from appreciating. China’s central bank entered into an aggressive monetary easing cycle to counter deflationary risks and slowing growth. Below-trend growth and low inflation kept the Bank of England on the sidelines, while the U.S. Federal Reserve charted a course for policy normalization.
Growth stabilized in the major developed markets but continued to languish in emerging markets, driven by a slowdown in Asia. Economic data in the euro zone improved, and more countries participated in the upturn, though the Greek debt crisis muddied the outlook. China’s first-quarter gross domestic product (GDP) slowed to its weakest level since the global financial crisis. U.S. economic activity picked up after a weak first quarter; consumer fundamentals improved, the housing market gained momentum, and labor market trends remained favorable. However, the manufacturing sector faced ongoing challenges from a strong dollar and lower oil prices.
After declining in the first quarter, government bond yields moved sharply higher in the second quarter. The economic outlook brightened in the United States and the euro zone, global deflation fears eased, and the Fed appeared on track to raise interest rates later this year. Greece took center stage toward the end of the period. After debt negotiations broke down, it defaulted on its payment to the International Monetary Fund, triggering a risk-averse tone throughout global markets.
Most global government bond yields gained over the six months and yield curves generally steepened, led by the long end of the curve. Absolute returns for the major fixed income sectors were mixed; some declined as interest rates rose.
Long-term corporate bonds posted negative total returns, primarily because of the increase in long-term Treasury yields. Corporate bonds underperformed duration-equivalent Treasuries toward the end of the period when Greek exit concerns intensified. Heavy new-issue supply also weighed on the sector.
The portfolio’s successes
Security selection in technology and banking bonds was strong. The portfolio also benefited from its underweighted allocation to basic industries and from positive selection among insurance issuers.
12
The portfolio’s shortfalls
An underweight allocation to energy and an overweighting of communications bonds detracted from relative performance. Security selection among electric issuers was also unfavorable, as was the portfolio’s duration posture.
The outlook
We are balancing a positive view of U.S. growth and corporate fundamentals with increasing concerns about central bank actions, uncertainty over Greece’s future, and the slowdown in China. This has led us to a near-neutral positioning in investment-grade corporate bonds.
The growth trajectory for the U.S. economy remains positive; GDP growth of 2.6% is forecast for 2015. The labor market continues to improve and wages have started to climb. Although inflation is below the Fed’s 2% target, we expect this gap to narrow. Economic data suggest that the Fed should raise rates in the second half of 2015; however, China’s slowdown could push the first increase to 2016. Even as China combats its downturn, the ECB and Bank of Japan are focused on disinflationary pressures and on keeping monetary policies accommodative. These factors, in our opinion, pose threats to the stability of the U.S. recovery.
As for fundamentals, corporate earnings could be pressured by the strength of the U.S. dollar, uncertainty in the euro zone, and China’s slowdown. Credit fundamentals are trending down for investment-grade companies. Mergers and acquisitions and other shareholder-friendly activities are expected to remain elevated. Default rates should stay low in the United States but may increase in the high-yield energy sector if low oil prices persist.
Market liquidity remains challenging, exacerbated because buy-side investors hold a larger share of corporate bonds than dealers do. Furthermore, new issuance is on pace to again exceed $1 trillion in 2015, which may hinder tighter spreads. During periods of heightened market volatility, liquidity conditions deteriorate, rendering it difficult to make tactical portfolio adjustments. Valuations are more attractive after the recent spread widening.
The timing, pace, and magnitude of an upturn in interest rates will determine the performance of fixed income markets in the future and may contribute to negative total returns. However, many of the forces that kept yields low in recent years—accommodative monetary policies, subdued inflation, and global recession fears—persist.
The portfolio‘s position in long-term investment-grade bonds should help provide income stability. The major risks are, of course, rising long-term interest rates, a widening in corporate bond risk premiums, or both.
Lucius T. Hill III, Senior Managing Director and Fixed Income Portfolio Manager Scott I. St. John, CFA
Senior Managing Director and Fixed Income Portfolio Manager August 19, 2015
13
Wellington Management Company llp For the High-Yield Corporate Fund
For the six months ended July 31, 2015, the fund returned 1.50% for Investor Shares and 1.55% for Admiral Shares. It outpaced the 1.37% return of its benchmark index.
The investment environment
Fixed income markets had their ups and downs along with the global economy. Many central banks adopted accommodative monetary policies, and the risk that Greece would exit the euro zone increased. Oil prices declined sharply in July as an Iran nuclear deal with the West neared and broader commodities weakened.
The 10-year U.S. Treasury yield ended the period at 2.26%, up from 1.75% at the end of January. Because bond yields and prices move in opposite directions, bond prices declined. Longer-duration and interest-rate-sensitive fixed income assets suffered along with underlying Treasuries. The high-yield market outperformed government bonds as continued improvements in the U.S. economy offset the flare-up in Greece’s debt crisis.
Performance by credit quality varied little during the half year. B-rated bonds did best, returning 1.65% as measured by the Barclays U.S. Corporate High Yield Bond Index; Ba-rated bonds returned 1.21% and Caa-rated bonds 1.01%. The spread of the high-yield market (a comparison of the yields of high-yield bonds and Treasury bonds) widened from 509 basis points to 513. Its average price declined $2, to $97.
Corporate fundamentals remain healthy and debt levels at most companies are stable. We expect above-trend U.S. GDP growth to continue over the second half of 2015 and believe that most high-yield companies will sustain solid credit profiles. We have seen a pickup, however, in shareholder-friendly actions, including mergers and acquisitions, and a weakening of bondholder covenants, which may put pressure on balance sheets. At this point, defaults remain manageable. Moody’s Investors Service’s trailing 12-month global speculative-grade default rate was 2.3% at the end of June, still well below the long-term average of 3.9%.
The new-issue market has been active this year, with more than $200 billion priced so far. Volatility in the energy industry has sparked a widening of spreads across the high-yield market. Although the problems affecting high-yield energy credits are justifiable, they are relatively isolated to that industry. We are looking to take advantage of recent dislocations created by the sell-off in non-energy companies, where wider spreads are attractive and the credits are well-supported by strong fundamentals.
The fund’s successes
The fund benefited from positive security selection in the energy sector, an underweight allocation to metals and mining, and an overweighting of health care.
14
The fund’s shortfalls
Selection in metals and mining as well as underweight allocations to the energy sector and the food and beverage industry detracted from performance.
The fund’s positioning
The fund remains consistent in its investment objective and strategy and maintains a significant exposure to relatively higher-rated companies in the high-yield market. We believe that these issuers have more stable businesses and more predictable cash flows than lower-rated names and can help us minimize defaults and provide stable income. We continue to diversify the fund’s holdings by issuer and industry and to de-emphasize non-cash-paying securities, preferred stocks, and equity-linked securities (such as convertibles) because of their potential volatility.
Michael L. Hong, CFA, Managing Director and Fixed Income Portfolio Manager August 19, 2015
15
Short-Term Investment-Grade Fund
Fund Profile | |||
As of July 31, 2015 | |||
Share-Class Characteristics | |||
Investor | Admiral Institutional | ||
Shares | Shares | Shares | |
Ticker Symbol | VFSTX | VFSUX | VFSIX |
Expense Ratio1 | 0.20% | 0.10% | 0.07% |
30-Day SEC Yield | 1.74% | 1.84% | 1.87% |
Financial Attributes | |||
Barclays | Barclays | ||
1–5 Year | Aggregate | ||
Credit | Bond | ||
Fund | Index | Index | |
Number of Bonds | 2,112 | 2,327 | 9,496 |
Yield to Maturity | |||
(before expenses) | 1.9% | 1.9% | 2.4% |
Average Coupon | 3.1% | 3.5% | 3.2% |
Average Duration | 2.6 years | 2.8 years | 5.6 years |
Average Effective | |||
Maturity | 3.1 years | 2.9 years | 7.8 years |
Short-Term | |||
Reserves | 0.4% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 9.6% | ||
Commercial Mortgage-Backed | 9.4 | ||
Finance | 29.3 | ||
Foreign | 7.1 | ||
Government Mortgage-Backed | 0.2 | ||
Industrial | 28.9 | ||
Treasury/Agency | 10.6 | ||
Utilities | 4.1 | ||
Other | 0.8 |
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.
Volatility Measures | ||
Barclays | Barclays | |
1–5 Year | Aggregate | |
Credit | Bond | |
Index | Index | |
R-Squared | 0.97 | 0.69 |
Beta | 0.84 | 0.35 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 15.3% |
1 - 3 Years | 46.7 |
3 - 5 Years | 26.4 |
5 - 7 Years | 5.1 |
7 - 10 Years | 5.9 |
10 - 20 Years | 0.2 |
20 - 30 Years | 0.2 |
Over 30 Years | 0.2 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 10.4% |
Aaa | 16.2 |
Aa | 15.1 |
A | 34.3 |
Baa | 21.9 |
Ba | 1.0 |
Ca | 0.1 |
Not Rated | 1.0 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.19% for Investor Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares.
16
Short-Term Investment-Grade Fund
Investment Focus
17
Short-Term Investment-Grade Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
1–5 Year | ||||
Credit | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 3.66% | -1.22% | 2.44% | 1.52% |
2007 | 4.58 | 0.38 | 4.96 | 4.74 |
2008 | 5.08 | 2.09 | 7.17 | 7.86 |
2009 | 4.48 | -8.83 | -4.35 | -1.17 |
2010 | 4.37 | 9.07 | 13.44 | 12.92 |
2011 | 3.39 | 0.99 | 4.38 | 4.78 |
2012 | 2.75 | -0.29 | 2.46 | 3.93 |
2013 | 2.21 | 1.27 | 3.48 | 3.98 |
2014 | 1.82 | -0.36 | 1.46 | 1.78 |
2015 | 1.88 | 0.15 | 2.03 | 2.36 |
2016 | 0.92 | -0.65 | 0.27 | 0.26 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 10/29/1982 | 1.02% | 2.43% | 3.35% | 0.20% | 3.55% |
Admiral Shares | 2/12/2001 | 1.12 | 2.53 | 3.46 | 0.20 | 3.66 |
Institutional Shares | 9/30/1997 | 1.15 | 2.56 | 3.49 | 0.20 | 3.69 |
See Financial Highlights for dividend and capital gains information.
18
Short-Term Investment-Grade Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2015
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||||
Maturity | Amount | Value• | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
U.S. Government and Agency Obligations | |||||||
U.S. Government Securities | |||||||
United States Treasury Note/Bond | 0.625% | 10/15/16 | 785,300 | 787,263 | 1.5% | ||
United States Treasury Note/Bond | 0.875% | 7/15/18 | 714,000 | 711,879 | 1.3% | ||
1 | United States Treasury Note/Bond | 0.250% | 12/15/15 | 579,400 | 579,672 | 1.1% | |
2 | United States Treasury Note/Bond | 0.875% | 11/15/17 | 486,050 | 487,115 | 0.9% | |
1 | United States Treasury Note/Bond | 0.250% | 12/31/15 | 387,700 | 387,820 | 0.7% | |
3 | United States Treasury Note/Bond | 0.875% | 1/15/18 | 360,150 | 360,543 | 0.7% | |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 342,000 | 342,855 | 0.6% | ||
United States Treasury Note/Bond | 1.000% | 8/31/16 | 338,900 | 341,123 | 0.6% | ||
United States Treasury Note/Bond | 0.375% | 3/15/16 | 317,600 | 317,848 | 0.6% | ||
United States Treasury Note/Bond | 0.625% | 8/15/16 | 280,500 | 281,156 | 0.5% | ||
United States Treasury Note/Bond | 1.125% | 6/15/18 | 255,600 | 256,799 | 0.5% | ||
United States Treasury Note/Bond | 1.000% | 10/31/16 | 206,900 | 208,324 | 0.4% | ||
1 | United States Treasury Note/Bond | 2.125% | 12/31/15 | 182,000 | 183,451 | 0.4% | |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 176,750 | 177,606 | 0.3% | ||
3 | United States Treasury | ||||||
Note/Bond | 0.500%–1.250% | 8/31/15–8/31/19 | 194,773 | 194,954 | 0.4% | ||
5,618,408 | 10.5% | ||||||
Conventional Mortgage-Backed Securities † | 2,179 | 0.0% | |||||
Nonconventional Mortgage-Backed Securities † | 28,740 | 0.1% | |||||
Total U.S. Government and Agency Obligations (Cost $5,643,899) | 5,649,327 | 10.6% | |||||
Asset-Backed/Commercial Mortgage-Backed Securities | |||||||
4 | Ally Master Owner | ||||||
Trust Series 2012-5 | 1.540% | 9/15/19 | 90,765 | 90,852 | 0.2% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 22,826 | 23,593 | 0.0% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 44,283 | 46,062 | 0.1% |
19
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Banc of America Commercial | |||||
Mortgage Trust 2007-2 | 5.562% | 4/10/49 | 33,667 | 35,480 | 0.1% | |
4 | Banc of America Commercial | |||||
Mortgage Trust 2008-1 | 6.171%–6.215% | 2/10/51 | 63,702 | 69,099 | 0.1% | |
4,5 | Banc of America Funding | |||||
2006-H Trust | 2.825% | 9/20/46 | 21,684 | 17,832 | 0.0% | |
4 | Banc of America Mortgage | |||||
2003-F Trust | 2.748% | 7/25/33 | 1,163 | 1,130 | 0.0% | |
4 | Bank of America Mortgage | |||||
2002-J Trust | 3.581% | 9/25/32 | 20 | 19 | 0.0% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2005-PWR9 | 4.943% | 9/11/42 | 3,216 | 3,214 | 0.0% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2006-PWR13 | 5.533% | 9/11/41 | 22,331 | 23,103 | 0.0% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2007-PWR16 | 5.705% | 6/11/40 | 21,504 | 22,746 | 0.0% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2007-PWR17 | 5.650% | 6/11/50 | 83,564 | 89,478 | 0.2% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2007-TOP28 | 5.710% | 9/11/42 | 41,287 | 44,243 | 0.1% | |
4,6 | Chase Issuance Trust 2007-C1 | 0.647% | 4/15/19 | 30,415 | 30,240 | 0.1% |
4,6 | Chase Issuance Trust 2012-A10 | 0.447% | 12/16/19 | 93,133 | 92,972 | 0.2% |
4,5 | Citigroup Mortgage Loan Trust | |||||
2007-AR8 | 2.803% | 7/25/37 | 1,317 | 1,230 | 0.0% | |
4 | COMM 15-CR22 Mortgage Trust | 3.309% | 3/10/48 | 30,240 | 30,479 | 0.1% |
4 | COMM 2006-C8 | |||||
Mortgage Trust | 5.292%–5.306% | 12/10/46 | 58,555 | 60,971 | 0.1% | |
4 | COMM 2007-C9 | |||||
Mortgage Trust | 5.796% | 12/10/49 | 25,097 | 26,801 | 0.1% | |
4 | COMM 2012-CCRE2 | |||||
Mortgage Trust | 3.147%–3.791% | 8/15/45 | 7,025 | 7,327 | 0.0% | |
4 | COMM 2012-CCRE3 | |||||
Mortgage Trust | 2.822% | 10/15/45 | 23,195 | 23,308 | 0.0% | |
4 | COMM 2012-CCRE4 | |||||
Mortgage Trust | 2.853% | 10/15/45 | 10,825 | 10,889 | 0.0% | |
4 | COMM 2012-CCRE5 | |||||
Mortgage Trust | 2.771% | 12/10/45 | 2,640 | 2,640 | 0.0% | |
4 | COMM 2013-CCRE11 | |||||
Mortgage Trust | 3.983%–4.258% | 10/10/46 | 57,295 | 62,359 | 0.1% | |
4 | COMM 2013-CCRE12 | |||||
Mortgage Trust | 3.623%–4.046% | 10/10/46 | 49,831 | 53,402 | 0.1% | |
4 | COMM 2013-CCRE13 | |||||
Mortgage Trust | 4.194%–4.754% | 11/10/23–12/10/23 | 37,967 | 41,093 | 0.1% | |
4 | COMM 2013-CCRE8 | |||||
Mortgage Trust | 3.612% | 6/10/46 | 22,465 | 23,600 | 0.0% | |
4,7 | COMM 2013-CCRE9 | |||||
Mortgage Trust | 2.972%–4.258% | 7/10/45–8/10/46 | 66,302 | 70,902 | 0.1% | |
4,7 | COMM 2013-CR9 | |||||
Mortgage Trust | 4.258% | 7/10/45 | 8,250 | 8,403 | 0.0% |
20
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4,7 | COMM 2013-LC13 | |||||
Mortgage Trust | 3.009%–4.557% | 8/10/46 | 75,158 | 80,304 | 0.2% | |
4 | COMM 2013-LC6 | |||||
Mortgage Trust | 2.941% | 1/10/46 | 4,100 | 4,137 | 0.0% | |
4,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 5,490 | 5,496 | 0.0% |
4,7 | COMM 2014-277P Mortgage Trust | 3.611% | 8/10/49 | 29,250 | 30,177 | 0.1% |
4 | COMM 2014-CCRE14 | |||||
Mortgage Trust | 3.147%–4.236% | 2/10/47 | 23,155 | 24,744 | 0.1% | |
4 | COMM 2014-CCRE15 | |||||
Mortgage Trust | 2.928%–4.716% | 2/10/47 | 55,540 | 59,303 | 0.1% | |
4 | COMM 2014-CR17 | |||||
Mortgage Trust | 3.977%–4.736% | 5/10/47 | 66,570 | 70,827 | 0.1% | |
4 | COMM 2014-CR18 | |||||
Mortgage Trust | 3.452%–3.828% | 7/15/47 | 36,894 | 38,837 | 0.1% | |
4 | COMM 2014-LC17 | |||||
Mortgage Trust | 3.917% | 10/10/47 | 11,570 | 12,265 | 0.0% | |
4 | COMM 2014-LC19 | |||||
Mortgage Trust | 3.040% | 2/10/48 | 4,330 | 4,402 | 0.0% | |
4 | COMM 2015-CR24 | |||||
Mortgage Trust | 3.445%–3.696% | 8/10/55 | 34,060 | 35,080 | 0.1% | |
4 | Discover Card Execution | |||||
Note Trust 2012-A6 | 1.670% | 1/18/22 | 114,300 | 113,788 | 0.2% | |
4 | Ford Credit Auto Lease | |||||
Trust 2013-A | 1.010%–1.280% | 5/15/16–6/15/16 | 31,638 | 31,641 | 0.1% | |
4 | Ford Credit Auto Lease | |||||
Trust 2014-A | 1.160% | 8/15/17 | 22,593 | 22,611 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2015-A | 1.310% | 8/15/18 | 8,390 | 8,376 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-C | 1.680% | 11/15/18 | 4,870 | 4,888 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-D | 1.540%–1.720% | 3/15/19–7/15/19 | 25,138 | 25,189 | 0.1% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2014-1 | 2.260%–2.410% | 11/15/25 | 27,358 | 27,543 | 0.1% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2014-2 | 2.310%–2.510% | 4/15/26 | 38,170 | 38,381 | 0.1% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2015-1 | 2.120% | 7/15/26 | 22,750 | 22,644 | 0.0% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2015-2 | 2.440% | 1/15/27 | 61,000 | 61,501 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2015-B | 2.040% | 10/15/20 | 12,700 | 12,702 | 0.0% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust | ||||||
A Series 2012-2 | 1.920% | 1/15/19 | 26,574 | 26,846 | 0.1% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust | ||||||
A Series 2012-5 | 1.490% | 9/15/19 | 117,285 | 117,446 | 0.2% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust | ||||||
A Series 2012-5 | 1.690%–2.140% | 9/15/19 | 15,650 | 15,736 | 0.0% | |
4 | Ford Credit Floorplan | |||||
Master Owner Trust | ||||||
A Series 2013-1 | 1.370%–1.820% | 1/15/18 | 35,104 | 35,175 | 0.1% |
21
Short-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
4 Ford Credit Floorplan | |||||
Master Owner Trust | |||||
A Series 2013-4 | 2.100%–2.790% | 6/15/20 | 15,460 | 15,566 | 0.0% |
4 Ford Credit Floorplan | |||||
Master Owner Trust | |||||
A Series 2014-1 | 1.400%–2.310% | 2/15/19–2/15/21 | 14,711 | 14,731 | 0.0% |
4,6 Ford Credit Floorplan Master | |||||
Owner Trust A Series 2014-2 | 0.687% | 2/15/21 | 9,200 | 9,209 | 0.0% |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series 2014-4 | 1.400% | 8/15/19 | 68,275 | 68,350 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series 2015-2 | 1.980% | 1/15/22 | 9,396 | 9,412 | 0.0% | |
4,6 | GE Capital Credit Card Master | |||||
Note Trust Series 2011-2 | 1.187% | 5/15/19 | 49,966 | 50,069 | 0.1% | |
4 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-2 | 2.220% | 1/15/22 | 72,000 | 72,954 | 0.1% | |
4 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-6 | 1.360% | 8/17/20 | 89,890 | 89,917 | 0.2% | |
4,6 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-2 | 0.938% | 4/22/19 | 47,694 | 47,830 | 0.1% | |
4,6 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-4 | 0.628% | 10/20/17 | 24,789 | 24,792 | 0.1% | |
4,6 | GE Dealer Floorplan Master | |||||
Note Trust Series 2015-2 | 0.838% | 1/20/22 | 10,860 | 10,795 | 0.0% | |
4,7 | GS Mortgage Securities Trust | |||||
2010-C2 | 5.246% | 12/10/43 | 3,530 | 3,874 | 0.0% | |
4,7 | GS Mortgage Securities Trust | |||||
2011-GC3 | 5.552% | 3/10/44 | 2,280 | 2,534 | 0.0% | |
4,7 | GS Mortgage Securities Trust | |||||
2012-ALOHA | 3.551% | 4/10/34 | 28,666 | 29,933 | 0.1% | |
4,7 | GS Mortgage Securities Trust | |||||
2012-BWTR | 2.954% | 11/5/34 | 36,047 | 36,201 | 0.1% | |
4,7 | GS Mortgage Securities Trust | |||||
2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,117 | 0.0% |
4 GS Mortgage Securities Trust | |||||
2013-GC13 | 4.037% | 7/10/46 | 22,170 | 24,048 | 0.1% |
4 GS Mortgage Securities |
Trust 2013-GCJ12 | 3.135%–3.777% | 6/10/46 | 18,175 | 18,511 | 0.0% |
4 GS Mortgage Securities | |||||
Trust 2013-GCJ14 | 2.995%–4.243% | 8/10/46 | 79,621 | 85,463 | 0.2% |
4 GS Mortgage Securities | |||||
Trust 2014-GC20 | 3.998% | 4/10/47 | 28,499 | 30,464 | 0.1% |
4 GS Mortgage Securities | |||||
Trust 2014-GC24 | 3.931%–4.528% | 9/10/47 | 63,966 | 67,372 | 0.1% |
4 GS Mortgage Securities | |||||
Trust 2014-GC26 | 3.629% | 11/10/47 | 18,190 | 18,836 | 0.0% |
4 GS Mortgage Securities | |||||
Trust 2015-GC28 | 3.396% | 2/10/48 | 9,730 | 9,878 | 0.0% |
4 GS Mortgage Securities | |||||
Trust 2015-GC30 | 3.382% | 5/10/50 | 16,885 | 17,227 | 0.0% |
4 GS Mortgage Securities | |||||
Trust 2015-GC32 | 3.764%–4.559% | 7/10/48 | 23,950 | 24,533 | 0.1% |
4 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2006-LDP6 | 5.471% | 4/15/43 | 28,099 | 28,573 | 0.1% |
22
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2006-LDP7 | 5.905% | 4/15/45 | 33,710 | 34,715 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-C1 | 5.716% | 2/15/51 | 4,812 | 5,108 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-CIBC20 | 5.746% | 2/12/51 | 43,541 | 46,483 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP10 | 5.439% | 1/15/49 | 38,979 | 41,007 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP12 | 5.850% | 2/15/51 | 29,024 | 30,960 | 0.1% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2009-IWST | 5.633% | 12/5/27 | 6,185 | 7,058 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C1 | 4.608% | 6/15/43 | 2,300 | 2,417 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C2 | 3.616%–5.502% | 11/15/43 | 19,765 | 21,224 | 0.0% | |
4,7 | JP Morgan Chase | |||||
Commercial Mortgage | ||||||
Securities Trust 2011-C3 | 4.388%–5.360% | 2/15/46 | 46,621 | 50,604 | 0.1% | |
4,7 | JP Morgan Chase | |||||
Commercial Mortgage | ||||||
Securities Trust 2011-C5 | 5.323% | 8/15/46 | 4,100 | 4,729 | 0.0% |
4 JP Morgan Chase | |||||
Commercial Mortgage | |||||
Securities Trust 2012-C6 | 3.507% | 5/15/45 | 18,490 | 19,414 | 0.0% |
4,7 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2012-C8 | 2.829%–3.424% | 10/15/45 | 17,175 | 17,268 | 0.0% |
4 JP Morgan Chase | |||||
Commercial Mortgage | |||||
Securities Trust 2012-CIBX | 4.271% | 6/15/45 | 27,000 | 28,902 | 0.1% |
4,7 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2012-HSBC | 3.093% | 7/5/32 | 5,850 | 5,944 | 0.0% |
4 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2012-LC9 | 2.840% | 12/15/47 | 40,130 | 40,233 | 0.1% |
4 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2013-C13 | 3.994% | 1/15/46 | 14,110 | 15,108 | 0.0% |
4 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2013-C16 | 3.674%–5.009% | 12/15/46 | 66,150 | 71,292 | 0.1% |
4 JP Morgan Chase | |||||
Commercial Mortgage | |||||
Securities Trust | |||||
2013-LC11 | 1.855%–2.960% | 4/15/46 | 16,187 | 16,234 | 0.0% |
23
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4,6 | MBNA Credit Card Master | |||||
Note Trust 2004-A3 | 0.447% | 8/16/21 | 89,145 | 88,749 | 0.2% | |
4 | Merrill Lynch Mortgage | |||||
Investors Trust MLMI | ||||||
Series 2003-A2 | 1.943% | 2/25/33 | 2,621 | 2,542 | 0.0% | |
4 | Merrill Lynch Mortgage Investors | |||||
Trust MLMI Series 2003-A4 | 2.715% | 7/25/33 | 804 | 796 | 0.0% | |
4 | Merrill Lynch Mortgage Trust | |||||
2006-C2 | 5.739% | 8/12/43 | 10,899 | 11,212 | 0.0% | |
4 | Merrill Lynch Mortgage Trust | |||||
2008-C1 | 5.690% | 2/12/51 | 8,372 | 8,993 | 0.0% | |
4 | ML-CFC Commercial | |||||
Mortgage Trust 2006-2 | 5.868% | 6/12/46 | 8,019 | 8,200 | 0.0% | |
4 | ML-CFC Commercial | |||||
Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 6,741 | 6,734 | 0.0% | |
4 | Morgan Stanley Capital I Trust | |||||
2006-HQ9 | 5.728% | 7/12/44 | 51,471 | 53,133 | 0.1% | |
4 | Morgan Stanley Capital I Trust | |||||
2006-IQ12 | 5.319% | 12/15/43 | 10,844 | 11,270 | 0.0% | |
4 | Morgan Stanley Capital I Trust | |||||
2007-IQ15 | 5.908% | 6/11/49 | 35,458 | 37,734 | 0.1% | |
4 | Morgan Stanley Capital I Trust | |||||
2007-IQ16 | 5.688% | 12/12/49 | 46,878 | 49,981 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2012-C4 | 3.244%–3.773% | 3/15/45 | 18,552 | 19,205 | 0.0% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2012-STAR | 3.201% | 8/5/34 | 17,045 | 17,283 | 0.0% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2014-150E | 3.912% | 9/9/32 | 27,955 | 29,380 | 0.1% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2014-CPT | 3.350% | 7/13/29 | 24,440 | 25,295 | 0.1% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2015-420 | 3.727% | 10/11/50 | 31,420 | 32,195 | 0.1% | |
4 | Synchrony Credit Card | |||||
Master Note Trust 2015-1 | 2.370% | 3/15/23 | 14,500 | 14,721 | 0.0% | |
7 | Asset-Backed/Commercial | |||||
Mortgage-Backed | ||||||
Securities—Other † | 6,671,036 | 12.5% | ||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $10,267,600) | 10,302,854 | 19.4% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Abbey National Treasury | ||||||
Services plc | 1.375% | 3/13/17 | 93,971 | 94,049 | 0.2% | |
Bank of America Corp. | 2.600% | 1/15/19 | 117,339 | 118,827 | 0.2% | |
Bank of America Corp. | 1.500%–6.875% | 9/1/15–4/21/20 | 600,342 | 627,266 | 1.2% | |
Bank of America NA | 1.125%–6.100% | 11/14/16–3/26/18 | 169,204 | 170,100 | 0.3% | |
Bank of Nova Scotia | 2.550% | 1/12/17 | 90,083 | 91,975 | 0.2% | |
Bear Stearns Cos. LLC | 5.300%–7.250% | 10/30/15–2/1/18 | 106,394 | 114,454 | 0.2% | |
BNP Paribas SA | 2.375% | 9/14/17 | 88,726 | 90,196 | 0.2% | |
Citigroup Inc. | 1.250%–6.125% | 1/15/16–7/29/19 | 618,425 | 629,130 | 1.2% | |
Cooperatieve Centrale | ||||||
Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 89,189 | 92,094 | 0.2% | |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 37,914 | 39,289 | 0.1% | |
Deutsche Bank AG | 6.000% | 9/1/17 | 97,907 | 106,207 | 0.2% |
24
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Deutsche Bank AG | 1.400% | 2/13/17 | 93,890 | 93,577 | 0.2% | |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 108,310 | 118,834 | 0.2% | |
8,9 | Goldman Sachs Group Inc. | 2.375%–6.250% | 8/1/15–10/23/19 | 544,728 | 584,702 | 1.1% |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 99,006 | 100,410 | 0.2% | |
4 | JPMorgan Chase & Co. | 1.100%–6.300% | 10/1/15–12/29/49 | 635,845 | 649,499 | 1.2% |
9 | JPMorgan Chase Bank NA | 5.375%–6.000% | 6/13/16–10/1/17 | 67,405 | 80,167 | 0.1% |
Morgan Stanley | 1.875%–6.625% | 10/15/15–6/16/20 | 513,711 | 530,842 | 1.0% | |
National City Bank | 5.250%–5.800% | 12/15/16–6/7/17 | 29,375 | 31,182 | 0.1% | |
National City Corp. | 6.875% | 5/15/19 | 8,085 | 9,328 | 0.0% | |
PNC Bank NA | 0.800%–6.875% | 1/28/16–10/18/19 | 475,282 | 479,637 | 0.9% | |
PNC Financial Services | ||||||
Group Inc. | 1.850%–2.600% | 7/20/18–7/21/20 | 38,690 | 38,783 | 0.1% | |
PNC Funding Corp. | 2.700%–5.625% | 9/21/15–2/8/20 | 75,138 | 77,009 | 0.1% | |
Synchrony Financial | 3.000% | 8/15/19 | 85,990 | 86,558 | 0.2% | |
Synchrony Financial | 2.700%–4.500% | 2/3/20–7/23/25 | 53,175 | 52,589 | 0.1% | |
Wachovia Bank NA | 5.000%–6.000% | 8/15/15–11/15/17 | 90,053 | 96,068 | 0.2% | |
Wachovia Corp. | 5.625%–5.750% | 10/15/16–2/1/18 | 124,991 | 135,234 | 0.2% | |
Wells Fargo & Co. | 2.125% | 4/22/19 | 102,100 | 102,460 | 0.2% | |
Wells Fargo & Co. | 1.150%–5.625% | 6/15/16–7/22/20 | 305,007 | 308,046 | 0.6% | |
7 | Banking—Other † | 6,749,380 | 12.6% | |||
Brokerage | ||||||
Nomura Holdings Inc. | 2.000% | 9/13/16 | 93,195 | 93,752 | 0.2% | |
7 | Brokerage—Other † | `238,515 | 0.4% | |||
Finance Companies | ||||||
Air Lease Corp. | 5.625% | 4/1/17 | 81,514 | 86,099 | 0.2% | |
General Electric Capital Corp. | 5.625% | 5/1/18 | 106,280 | 117,312 | 0.2% | |
4 | General Electric | |||||
Capital Corp. | 1.000%–6.375% | 9/21/15–11/15/67 | 345,887 | 359,107 | 0.7% | |
Finance Companies—Other † | 114,184 | 0.2% | ||||
7 | Insurance † | 990,530 | 1.9% | |||
Real Estate Investment Trusts | ||||||
ARC Properties Operating | ||||||
Partnership LP/Clark | ||||||
Acquisition LLC | 2.000% | 2/6/17 | 112,260 | 109,770 | 0.2% | |
7 | Real Estate Investment | |||||
Trusts—Other † | 869,181 | 1.6% | ||||
15,476,342 | 29.1% | |||||
Industrial | ||||||
7 | Basic Industry † | 1,095,461 | 2.0% | |||
Capital Goods | ||||||
General Electric Co. | 5.250% | 12/6/17 | 131,375 | 142,742 | 0.3% | |
General Electric Co. | 0.850% | 10/9/15 | 18,403 | 18,418 | 0.0% | |
7 | Capital Goods—Other † | 1,415,058 | 2.7% | |||
Communication | ||||||
Verizon Communications Inc. | 3.650% | 9/14/18 | 87,250 | 91,736 | 0.2% | |
7 | Communication—Other † | 2,229,389 | 4.2% | |||
Consumer Cyclical | ||||||
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 82,715 | 88,741 | 0.2% | |
Ford Motor Credit Co. LLC | 2.145%–8.000% | 4/15/16–8/4/20 | 346,184 | 357,715 | 0.7% | |
7 | Consumer Cyclical—Other † | 1,897,856 | 3.5% | |||
Consumer Noncyclical | ||||||
AbbVie Inc. | 1.800% | 5/14/18 | 126,410 | 126,112 | 0.2% | |
Actavis Funding SCS | 3.000% | 3/12/20 | 103,408 | 103,700 | 0.2% | |
7 | Consumer Noncyclical—Other † | 3,177,692 | 6.0% |
25
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Energy | ||||||
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 93,490 | 94,212 | 0.2% | |
7 | Energy—Other † | 2,081,433 | 3.9% | |||
7 | Other Industrial † | 84,633 | 0.1% | |||
Technology | ||||||
Oracle Corp. | 2.250% | 10/8/19 | 94,586 | 95,280 | 0.2% | |
Technology—Other † | 1,481,729 | 2.8% | ||||
7 | Transportation † | 668,463 | 1.2% | |||
15,250,370 | 28.6% | |||||
Utilities | ||||||
7 | Electric † | 1,966,658 | 3.7% | |||
Natural Gas † | 181,661 | 0.4% | ||||
Other Utility † | 10,267 | 0.0% | ||||
2,158,586 | 4.1% | |||||
Total Corporate Bonds (Cost $32,885,500) | 32,885,298 | 61.8% | ||||
Sovereign Bonds (U.S. Dollar-Denominated) | ||||||
Export-Import Bank of Korea | 4.000% | 1/11/17 | 98,200 | 101,928 | 0.2% | |
4 | Federative Republic of Brazil | 11.000% | 8/17/40 | 150,015 | 150,420 | 0.3% |
Petrobras International | ||||||
Finance Co. SA | 3.875% | 1/27/16 | 109,305 | 109,168 | 0.2% | |
Petroleos Mexicanos | 5.750% | 3/1/18 | 118,704 | 129,091 | 0.2% | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 90,850 | 98,431 | 0.2% | |
Republic of Turkey | 7.500% | 7/14/17 | 149,034 | 164,049 | 0.3% | |
Republic of Turkey | 7.000% | 9/26/16 | 100,305 | 106,549 | 0.2% | |
7 | Sovereign Bonds | |||||
(U.S. Dollar-Denominated)—Other † | 2,940,067 | 5.5% | ||||
Total Sovereign Bonds (Cost $3,785,602) | 3,799,703 | 7.1% | ||||
Taxable Municipal Bonds (Cost $209,330) † | 213,504 | 0.4% | ||||
Tax-Exempt Municipal Bonds (Cost $10,000) † | 10,000 | 0.0% | ||||
Shares | ||||||
Convertible Preferred Stocks (Cost $28,923) † | 29,160 | — | 0.0% | |||
Temporary Cash Investment | ||||||
Money Market Fund | ||||||
10 | Vanguard Market Liquidity Fund | |||||
(Cost $205,523) | 0.152% | 205,523,000 | 205,523 | 0.4% | ||
Total Investments (Cost $53,036,377) | 53,066,209 | 99.7% | ||||
Expiration | ||||||
Date | Contracts | |||||
Liability for Options Written | ||||||
Call Options on 10-year U.S. Treasury Note | ||||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 876 | (780) | 0.0% | ||
Call Options on 10-year U.S. Treasury Note | ||||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 1,579 | (642) | 0.0% | ||
Call Options on 10-year U.S. Treasury Note | ||||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 877 | (534) | 0.0% | ||
Call Options on 10-year U.S. Treasury Note | ||||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 267 | (67) | 0.0% |
26
Short-Term Investment-Grade Fund | ||||
Market | Percentage | |||
Expiration | Value• | of Net | ||
Date | Contracts | ($000) | Assets | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 877 | (151) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 1,230 | (115) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 876 | (55) | 0.0% |
Total Liability for Options Written (Premiums received $2,230) | (2,344) | 0.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 610,648 | 1.1% | ||
Liabilities | (426,686) | (0.8%) | ||
183,962 | 0.3% | |||
Net Assets | 53,247,827 | 100.0% | ||
At July 31, 2015, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 53,228,753 | |||
Undistributed Net Investment Income | 27,903 | |||
Accumulated Net Realized Losses | (55,455) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 29,832 | |||
Futures Contracts | (5,123) | |||
Options on Futures Contracts | (114) | |||
Swap Contracts | 17,750 | |||
Forward Currency Contracts | 4,483 | |||
Foreign Currencies | (202) | |||
Net Assets | 53,247,827 | |||
Investor Shares—Net Assets | ||||
Applicable to 965,881,700 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 10,301,018 | |||
Net Asset Value Per Share—Investor Shares | $10.66 | |||
Admiral Shares—Net Assets | ||||
Applicable to 3,205,013,994 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 34,181,107 | |||
Net Asset Value Per Share—Admiral Shares | $10.66 |
27
Short-Term Investment-Grade Fund | |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 821,921,617 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,765,702 |
Net Asset Value Per Share—Institutional Shares | $10.66 |
- See Note A in Notes to Financial Statements.
- Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
- Securities with a value of $11,346,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
- Securities with a value of $8,273,000 have been segregated as initial margin for open cleared swap contracts.
- Securities with a value of $18,505,000 have been segregated as initial margin for open futures contracts.
- 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.
- Security made only partial principal and/or interest payments during the period ended July 31, 2015.
- Adjustable-rate security.
- Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $6,718,589,000, representing 12.6% of net assets.
- Face amount denominated in Australian dollars.
- Face amount denominated in British pounds.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Short-Term Investment-Grade Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 541,046 |
Total Income | 541,046 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,614 |
Management and Administrative—Investor Shares | 8,258 |
Management and Administrative—Admiral Shares | 10,434 |
Management and Administrative—Institutional Shares | 1,466 |
Marketing and Distribution—Investor Shares | 1,093 |
Marketing and Distribution—Admiral Shares | 2,689 |
Marketing and Distribution—Institutional Shares | 585 |
Custodian Fees | 335 |
Shareholders’ Reports—Investor Shares | 116 |
Shareholders’ Reports—Admiral Shares | 137 |
Shareholders’ Reports—Institutional Shares | 5 |
Trustees’ Fees and Expenses | 19 |
Total Expenses | 27,751 |
Net Investment Income | 513,295 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (5,921) |
Futures Contracts | (3,658) |
Options on Futures Contracts | 4,271 |
Swap Contracts | 1,080 |
Foreign Currencies and Forward Currency Contracts | 4,141 |
Realized Net Gain (Loss) | (87) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (369,436) |
Futures Contracts | 34,730 |
Options on Futures Contracts | 6,484 |
Swap Contracts | (7,566) |
Foreign Currencies and Forward Currency Contracts | 4,577 |
Change in Unrealized Appreciation (Depreciation) | (331,211) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 181,997 |
1 Interest income from an affiliated company of the fund was $318,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
29
Short-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 513,295 | 980,683 |
Realized Net Gain (Loss) | (87) | 83,710 |
Change in Unrealized Appreciation (Depreciation) | (331,211) | 3,821 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 181,997 | 1,068,214 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (98,956) | (213,848) |
Admiral Shares | (331,148) | (619,772) |
Institutional Shares | (84,326) | (146,949) |
Realized Capital Gain1 | ||
Investor Shares | — | (26,851) |
Admiral Shares | — | (80,491) |
Institutional Shares | — | (20,406) |
Total Distributions | (514,430) | (1,108,317) |
Capital Share Transactions | ||
Investor Shares | (574,753) | (798,552) |
Admiral Shares | 622,298 | 4,164,504 |
Institutional Shares | 481,061 | 1,539,327 |
Net Increase (Decrease) from Capital Share Transactions | 528,606 | 4,905,279 |
Total Increase (Decrease) | 196,173 | 4,865,176 |
Net Assets | ||
Beginning of Period | 53,051,654 | 48,186,478 |
End of Period2 | 53,247,827 | 53,051,654 |
1 Includes fiscal 2015 short-term gain distributions totaling $64,494,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $27,903,000 and $30,496,000.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Short-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 | $10.70 |
Investment Operations | ||||||
Net Investment Income | .099 | .200 | .194 | .231 | .269 | .330 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 070) | . 016 | (. 039) | .139 | (. 008) | .132 |
Total from Investment Operations | .029 | .216 | .155 | .370 | .261 | .462 |
Distributions | ||||||
Dividends from Net Investment Income | (. 099) | (. 200) | (.194) | (. 234) | (. 292) | (. 356) |
Distributions from Realized Capital Gains — | (. 026) | (. 041) | (. 046) | (. 039) | (. 006) | |
Total Distributions | (. 099) | (. 226) | (. 235) | (. 280) | (. 331) | (. 362) |
Net Asset Value, End of Period | $10.66 | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 |
Total Return1 | 0.27% | 2.03% | 1.46% | 3.48% | 2.46% | 4.38% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,301 | $10,943 | $11,752 | $12,166 | $13,394 | $15,249 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.86% | 1.86% | 1.81% | 2.13% | 2.52% | 3.05% |
Portfolio Turnover Rate | 78% | 79% | 122% | 80% | 47%2 | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
31
Short-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 | $10.70 |
Investment Operations | ||||||
Net Investment Income | .104 | .211 | .205 | .242 | .279 | .342 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 070) | . 016 | (. 039) | .139 | (. 008) | .132 |
Total from Investment Operations | .034 | .227 | .166 | .381 | .271 | .474 |
Distributions | ||||||
Dividends from Net Investment Income | (.104) | (. 211) | (. 205) | (. 245) | (. 302) | (. 368) |
Distributions from Realized Capital Gains | — | (. 026) | (. 041) | (. 046) | (. 039) | (. 006) |
Total Distributions | (.104) | (. 237) | (. 246) | (. 291) | (. 341) | (. 374) |
Net Asset Value, End of Period | $10.66 | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 |
Total Return1 | 0.32% | 2.13% | 1.56% | 3.59% | 2.55% | 4.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $34,181 | $33,772 | $29,632 | $25,845 | $22,313 | $21,337 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.96% | 1.96% | 1.91% | 2.23% | 2.61% | 3.16% |
Portfolio Turnover Rate | 78% | 79% | 122% | 80% | 47%2 | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
32
Short-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 | $10.70 |
Investment Operations | ||||||
Net Investment Income | .106 | .214 | .208 | .245 | .283 | .346 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 070) | . 016 | (. 039) | .139 | (. 008) | .132 |
Total from Investment Operations | .036 | .230 | .169 | .384 | .275 | .478 |
Distributions | ||||||
Dividends from Net Investment Income | (.106) | (. 214) | (. 208) | (. 248) | (. 306) | (. 372) |
Distributions from Realized Capital Gains | — | (. 026) | (. 041) | (. 046) | (. 039) | (. 006) |
Total Distributions | (.106) | (. 240) | (. 249) | (. 294) | (. 345) | (. 378) |
Net Asset Value, End of Period | $10.66 | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 |
Total Return | 0.34% | 2.16% | 1.59% | 3.62% | 2.60% | 4.53% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,766 | $8,337 | $6,802 | $4,672 | $1,864 | $1,387 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.99% | 1.99% | 1.94% | 2.26% | 2.65% | 3.20% |
Portfolio Turnover Rate | 78% | 79% | 122% | 80% | 47%1 | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
33
Short-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Short-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in bonds denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures and Options: The fund uses futures contracts and options on 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
34
Short-Term Investment-Grade Fund
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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 5% and 2% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level,
35
Short-Term Investment-Grade Fund
triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended July 31, 2015, the fund’s average investment in forward currency contracts represented 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The fund invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit
36
Short-Term Investment-Grade Fund
protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
During the six months ended July 31, 2015, the fund’s average amounts of credit protection sold and credit protection purchased each represented 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of interest rate swaps represented 3% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of cross currency swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
37
Short-Term Investment-Grade Fund
7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
8. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
9. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $4,711,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.88% of Vanguard’s capitalization. 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).
38
Short-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,649,327 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 10,163,596 | 139,258 |
Corporate Bonds | — | 32,885,296 | 2 |
Sovereign Bonds | — | 3,799,703 | — |
Taxable Municipal Bonds | — | 213,504 | — |
Tax-Exempt Municipal Bonds | — | 10,000 | — |
Convertible Preferred Stocks | — | — | — |
Temporary Cash Investments | 205,523 | — | — |
Liability for Options Written | (2,344) | — | — |
Futures Contracts—Assets1 | 4,711 | — | — |
Futures Contracts—Liabilities1 | (3,528) | — | — |
Forward Currency Contracts—Assets | — | 5,229 | — |
Forward Currency Contracts—Liabilities | — | (746) | — |
Swap Contracts—Assets | 2881 | 25,213 | — |
Swap Contracts—Liabilities | (1,525)1 | (5,030) | — |
Total | 203,125 | 52,746,092 | 139,260 |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) | ($000) |
Other Assets | 4,999 | 26,680 | 3,762 | 35,441 |
Liability for Options Written | (2,344) | — | — | (2,344) |
Other Liabilities | (5,053) | (746) | (5,030) | (10,829) |
39
Short-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2015, were:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | (3,658) | — | — | (3,658) |
Options on Futures Contracts | 4,271 | — | — | 4,271 |
Swap Contracts | (802) | 1,254 | 628 | 1,080 |
Forward Currency Contracts | — | (1,667) | — | (1,667) |
Realized Net Gain (Loss) on Derivatives | (189) | (413) | 628 | 26 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 34,730 | — | — | 34,730 |
Options on Futures Contracts | 6,484 | — | — | 6,484 |
Swap Contracts | (652) | (8,408) | 1,494 | (7,566) |
Forward Currency Contracts | — | 4,360 | — | 4,360 |
Change in Unrealized Appreciation | ||||
(Depreciation) on Derivatives | 40,562 | (4,048) | 1,494 | 38,008 |
At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
5-Year U.S. Treasury Note | September 2015 | 21,115 | 2,530,501 | 4,929 |
30-Year U.S. Treasury Bond | September 2015 | (4,068) | (634,354) | (7,663) |
10-Year U.S. Treasury Note | September 2015 | (2,485) | (316,682) | (69) |
2-Year U.S. Treasury Note | September 2015 | 961 | 210,519 | 227 |
Euro-Bobl | September 2015 | (1,187) | (169,877) | (1,234) |
Euro-Bund | September 2015 | (389) | (65,963) | (1,204) |
AUD 3-Year Bond | September 2015 | (758) | (61,983) | (417) |
Ultra Long U.S. Treasury Bond | September 2015 | 151 | 24,089 | 390 |
Long Gilt | September 2015 | (117) | (21,433) | (89) |
Euro-Schatz | September 2015 | 15 | 1,833 | 7 |
(5,123) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
40
Short-Term Investment-Grade Fund
At July 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.
Unrealized | |||||||
Contract | Appreciation | ||||||
Settlement | Contract Amount (000) | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | |||
Bank of America N.A. | 8/4/15 | GBP | 67,351 | USD | 104,867 | 310 | |
Morgan Stanley Capital Services LLC | 8/4/15 | AUD | 61,370 | USD | 45,267 | (419) | |
Goldman Sachs Bank AG | 8/4/15 | EUR | 7,077 | USD | 7,714 | 59 | |
JPMorgan Chase Bank N.A. | 8/4/15 | EUR | 532 | USD | 596 | (12) | |
Morgan Stanley Capital Services LLC | 9/2/15 | USD | 259,069 | EUR | 235,858 | (73) | |
BNP Paribas | 8/4/15 | USD | 106,592 | GBP | 67,351 | 1,414 | |
Bank of America N.A. | 9/2/15 | USD | 79,093 | GBP | 50,809 | (235) | |
UBS AG | 8/4/15 | USD | 47,589 | AUD | 61,370 | 2,741 | |
Morgan Stanley Capital Services LLC | 9/2/15 | USD | 45,194 | AUD | 61,370 | 425 | |
BNP Paribas | 9/2/15 | USD | 19,996 | EUR | 18,000 | 219 | |
JPMorgan Chase Bank N.A. | 9/2/15 | USD | 11,666 | AUD | 16,000 | (6) | |
Morgan Stanley Capital Services LLC | 8/4/15 | USD | 4,485 | EUR | 4,084 | (1) | |
Bank of America N.A. | 8/4/15 | USD | 3,932 | EUR | 3,525 | 61 | |
4,483 | |||||||
AUD—Australian dollar. | |||||||
EUR—Euro. | |||||||
GBP—British pound. | |||||||
USD—U.S. dollar. | |||||||
At July 31, 2015, the fund had the following open swap contracts: | |||||||
Over-the-Counter Credit Default Swaps | |||||||
Remaining | |||||||
Up-Front | Periodic | ||||||
Premium | Premium | Unrealized | |||||
Notional | Received | Received | Appreciation | ||||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | |||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) | |
Credit Protection Sold/Moody’s Rating | |||||||
Bank of America Corp./Baa1 | 12/20/17 | MSCS | 16,900 | 305 | 1.000 | 546 | |
Boeing Co./A2 | 9/20/18 | GSCM | 4,885 | (56) | 1.000 | 73 | |
Energy Transfer Partners LP/Baa3 | 6/20/17 | BOANA | 14,630 | 327 | 1.000 | 389 | |
Federation of Malaysia/A3 | 9/20/20 | BOANA | 31,090 | 544 | 1.000 | (223) | |
Federation of Malaysia/A3 | 9/20/20 | GSCM | 18,000 | 307 | 1.000 | (137) | |
Federation of Malaysia/A3 | 9/20/20 | JPMC | 23,068 | 369 | 1.000 | (201) | |
Federation of Malaysia/A3 | 9/20/20 | JPMC | 21,400 | 346 | 1.000 | (183) | |
Federative Republic of Brazil/Baa2 | 9/20/20 | BNPSW | 11,795 | 933 | 1.000 | (84) | |
Federative Republic of Brazil/Baa2 | 9/20/20 | JPMC | 22,605 | 1,691 | 1.000 | (258) |
41
Short-Term Investment-Grade Fund | ||||||
Over-the-Counter Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
General Electric Capital Corp./A1 | 12/20/19 | DBAG | 29,290 | (538) | 1.000 | 161 |
Goldman Sachs Group Inc./A3 | 12/20/17 | MSCS | 9,760 | 205 | 1.000 | 322 |
Goldman Sachs Group Inc./A3 | 3/20/20 | BOANA | 21,610 | (178) | 1.000 | (11) |
Hartford Financial Services | ||||||
Group Inc./Baa2 | 3/20/18 | GSCM | 9,750 | 13 | 1.000 | 185 |
People’s Republic of China/Aa3 | 9/20/20 | JPMC | 24,405 | (106) | 1.000 | (120) |
Republic of Chile/Aa3 | 9/20/20 | BNPSW | 34,150 | (306) | 1.000 | (380) |
Republic of Chile/Aa3 | 9/20/20 | BOANA | 19,525 | (143) | 1.000 | (185) |
Republic of Chile/Aa3 | 9/20/20 | GSCM | 9,770 | (52) | 1.000 | (73) |
Republic of Chile/Aa3 | 9/20/20 | GSCM | 11,525 | (62) | 1.000 | (87) |
Republic of Indonesia/Baa3 | 9/20/20 | JPMC | 4,865 | 170 | 1.000 | (26) |
Republic of Peru/A3 | 9/20/20 | BNPSW | 32,300 | 619 | 1.000 | (126) |
Republic of Peru/A3 | 9/20/20 | JPMC | 22,725 | 439 | 1.000 | (85) |
Republic of Turkey/Baa3 | 12/20/16 | BNPSW | 10,740 | 24 | 1.000 | (17) |
Republic of Turkey/Baa3 | 9/20/20 | BNPSW | 15,550 | 767 | 1.000 | (211) |
Russian Federation/Ba1 | 6/20/17 | GSCM | 16,020 | 772 | 1.000 | 280 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 9,600 | 462 | 1.000 | 167 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 19,540 | 956 | 1.000 | 356 |
United Mexican States/A3 | 9/20/20 | DBAG | 23,780 | 343 | 1.000 | (206) |
United Mexican States/A3 | 9/20/20 | JPMC | 37,390 | 492 | 1.000 | (162) |
526,668 | (296) | |||||
Credit Protection Purchased | ||||||
Aetna Inc. | 12/20/19 | CSFBI | 19,525 | 562 | (1.000) | (32) |
Aetna Inc. | 6/20/20 | GSCM | 19,530 | 746 | (1.000) | 148 |
American International Group Inc. | 6/20/20 | BOANA | 11,720 | 211 | (1.000) | (60) |
American International Group Inc. | 6/20/20 | BOANA | 11,720 | 211 | (1.000) | (60) |
Banco Bilbao Vizcaya | ||||||
Argentaria SA | 12/20/19 | BOANA | 14,510 | 150 | (1.000) | 100 |
Banco Santander SA | 3/20/20 | BARC | 18,110 | 87 | (1.000) | 37 |
Banco Santander SA | 3/20/20 | BOANA | 17,975 | 16 | (1.000) | (33) |
Bank of America Corp. | 3/20/20 | GSCM | 21,610 | 316 | (1.000) | (55) |
BBVA Senior Finance | 3/20/20 | BOANA | 18,060 | 122 | (1.000) | 82 |
CMBX-NA-8-AAA | 10/17/57 | BARC | 40,675 | (1,814) | (0.500) | (60) |
42
Short-Term Investment-Grade Fund | ||||||
Over-the-Counter Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received Appreciation | ||||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
CMBX-NA-8-AAA | 10/17/57 | CSFBI | 40,675 | (1,555) | (0.500) | 198 |
CMBX-NA-8-AAA | 10/17/57 | MSCS | 40,675 | (1,528) | (0.500) | 226 |
Computer Sciences Corp. | 9/20/15 | BARC | 7,315 | 38 | (5.000) | (14) |
Computer Sciences Corp. | 9/20/15 | MSCS | 7,315 | 38 | (5.000) | (14) |
CVS Health Corp. | 9/20/20 | BOANA | 14,310 | 464 | (1.000) | (37) |
CVS Health Corp. | 9/20/20 | BOANA | 14,320 | 463 | (1.000) | (38) |
CVS Healthe Corp. | 9/20/20 | BOANA | 7,160 | 228 | (1.000) | (23) |
EI du Pont de Nemours & Co. | 9/20/18 | BARC | 5,200 | 79 | (1.000) | (50) |
EI du Pont de Nemours & Co. | 9/20/18 | BNPSW | 5,200 | 79 | (1.000) | (50) |
EI du Pont de Nemours & Co. | 9/20/18 | CSFBI | 6,865 | 126 | (1.000) | (45) |
EI du Pont de Nemours & Co. | 9/20/18 | DBAG | 5,200 | 79 | (1.000) | (50) |
EI du Pont de Nemours & Co. | 9/20/18 | GSCM | 5,200 | 81 | (1.000) | (49) |
Federal Express Corp. | 12/20/18 | GSCM | 21,640 | 227 | (1.000) | (344) |
Federative Republic of Brazil | 12/20/15 | BOANA | 3,500 | (3) | (1.000) | (7) |
Intesa Sanpaolo SpA | 6/20/19 | DBAG | 19,530 | 1,379 | (3.000) | (279) |
Intesa Sanpaolo SpA | 12/20/19 | BARC | 14,510 | 132 | (1.000) | 51 |
Intesa Sanpaolo SpA | 3/20/20 | BOANA | 18,060 | 82 | (1.000) | (5) |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | 469 | (1.000) | (117) |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | 458 | (1.000) | (128) |
Morgan Stanley | 9/20/15 | BARC | 11,000 | (17) | (1.000) | (30) |
Peoples Republic of China | 9/20/20 | MSCS | 15,745 | 30 | (1.000) | 19 |
Peoples Republic of China | 9/20/20 | MSCS | 22,190 | 48 | (1.000) | 32 |
PPG Industries Inc. | 3/20/18 | GSCM | 9,760 | 95 | (1.000) | (143) |
Republic of Austria | 9/20/17 | BNPSW | 3,800 | (94) | (1.000) | (168) |
Republic of Korea | 9/20/18 | JPMC | 7,800 | 45 | (1.000) | (135) |
Republic of South Africa | 9/20/20 | JPMC | 12,000 | (621) | (1.000) | 19 |
Russian Federation | 6/20/20 | GSCM | 21,480 | (1,933) | (1.000) | 137 |
Russian Federation | 9/20/20 | BARC | 12,500 | (1,180) | (1.000) | 96 |
Russian Federation | 9/20/20 | BOANA | 6,150 | (588) | (1.000) | 39 |
Russian Federation | 9/20/20 | JPMC | 6,750 | (640) | (1.000) | 49 |
United Mexican States | 12/20/15 | BOANA | 3,500 | (4) | (1.000) | (12) |
43
Short-Term Investment-Grade Fund | ||||||
Over-the-Counter Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
United Mexican States | 12/20/18 | DBAG | 4,900 | (21) | (1.000) | (29) |
UnitedHealth Group Inc. | 12/20/19 | CSFBI | 19,525 | 546 | (1.000) | (99) |
UnitedHealth Group Inc. | 6/20/20 | CSFBI | 19,530 | 717 | (1.000) | 50 |
Wells Fargo & Co. | 9/20/20 | BOANA | 25,940 | 543 | (1.000) | (89) |
669,100 | (972) | |||||
(1,268) |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 BARC—Barclays Bank plc. | |||||
BNPSW—BNP Paribas. | |||||
BOANA—Bank of America, N.A. | |||||
CSFBI—Credit Suisse First Boston International. | |||||
DBAG—Deutsche Bank AG. | |||||
GSCM—Goldman Sachs Bank USA. | |||||
JPMC—JP Morgan Chase Bank. | |||||
MSCS—Morgan Stanley Capital Services LLC. | |||||
Centrally Cleared Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Clearinghouse1 | ($000) | (%) | (%) | ($000) |
8/7/15 | CME | 100,000 | 0.413 | (0.188)3 | (112) |
11/7/15 | LCH | 120,000 | 0.375 | (0.188)3 | (146) |
12/15/15 | CME | 100,000 | 0.327 | (0.187)3 | 23 |
3/15/16 | LCH | 150,000 | 0.579 | (0.187)3 | 236 |
6/1/16 | CME | 9,500 | 2.910 | (0.283)2 | (113) |
6/1/16 | CME | 6,075 | 0.566 | (0.283)2 | — |
6/15/16 | CME | 100,000 | 0.446 | (0.187)3 | 39 |
11/15/16 | LCH | 150,000 | 0.681 | (0.187)3 | 254 |
11/15/17 | LCH | 100,000 | 1.069 | (0.187)3 | 415 |
7/10/18 | CME | 50,000 | (1.380) | 0.1893 | (442) |
1/15/19 | LCH | 200,000 | (1.400) | 0.1873 | (1,288) |
44
Short-Term Investment-Grade Fund | ||||||
Centrally Cleared Interest Rate Swaps (continued) | ||||||
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Amount | (Paid) | (Paid) | (Depreciation) | |||
Termination Date | Clearinghouse1 | ($000) | (%) | (%) | ($000) | |
2/7/19 | CME | 150,000 | (1.220) | 0.1883 | 191 | |
8/15/19 | LCH | 175,000 | (1.524) | 0.1873 | (1,228) | |
9/1/23 | LCH | 25,000 | (2.139) | 0.1873 | (262) | |
(2,433) | ||||||
1 CME—Chicago Mercantile Exchange. | ||||||
LCH—London Clearing House. | ||||||
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | ||||||
3 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | ||||||
Over-the-Counter Interest Rate Swaps | ||||||
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Amount | (Paid) | (Paid) | (Depreciation) | |||
Termination Date | Counterparty1 | ($000) | (%) | (%) | ($000) | |
6/1/16 | GSCM | 125 | 0.555 | (0.283)2 | — | |
1 GSCM—Goldman Sachs Bank USA. | ||||||
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | ||||||
Cross-Currency Swaps | ||||||
Notional | Notional | |||||
Amount of | Amount of | Unrealized | ||||
Fixed | Currency | Currency | Appreciation | |||
Fixed Interest | Interest | Termination | Received | Delivered | (Depreciation) | |
Rate Received | Rate Paid | Date | Counterparty1 | ($000) | (000) | ($000) |
USD 5.453% | GBP 5.875% | 4/28/17 | MSCS | 24,528 | GBP 14,650 | 1,626 |
USD 4.684% | GBP 5.375% | 9/28/16 | MSCS | 23,541 | GBP 13,750 | 2,036 |
USD 5.272% | EUR 3.750% | 11/9/20 | MSCS | 19,868 | EUR 14,645 | 4,225 |
USD 6.653% | EUR 6.375% | 4/4/16 | MSCS | 18,804 | EUR 13,675 | 3,900 |
USD 5.693% | GBP 6.125% | 5/14/17 | BARC | 16,195 | GBP 9,770 | 933 |
USD 4.020% | EUR 2.625% | 12/6/18 | BARC | 14,423 | EUR 10,777 | 2,770 |
USD 3.221% | EUR 2.125% | 12/1/20 | BARC | 13,998 | EUR 10,205 | 2,628 |
USD 5.686% | GBP 6.125% | 5/14/17 | BARC | 13,493 | GBP 8,119 | 812 |
USD 5.013% | EUR 3.750% | 7/12/18 | MSCS | 13,086 | EUR 9,800 | 2,521 |
21,451 | ||||||
1 BARC—Barclays Bank plc. | ||||||
MSCS—Morgan Stanley Capital Services LLC. | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
45
Short-Term Investment-Grade Fund
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $36,814,000 in connection with open swap contracts and forward currency contracts.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the six months ended July 31, 2015, the fund realized net foreign currency losses of $3,054,000 (including gains and losses on forward currency contracts and the foreign currency component on sales of foreign currency denominated bonds), which decreased distributable net income for tax purposes; accordingly, such losses have been reclassified from accumulated net realized losses to undistributed net investment income.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $1,596,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
The funds tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at January 31, 2015, the fund had available capital losses totaling $80,098,000. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At July 31, 2015, the cost of investment securities for tax purposes was $53,049,348,000. Net unrealized appreciation of investment securities for tax purposes was $16,861,000, consisting of unrealized gains of $322,254,000 on securities that had risen in value since their purchase and $305,393,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2015, the fund purchased $12,317,876,000 of investment securities and sold $9,232,890,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $8,140,074,000 and $10,849,812,000, respectively.
The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||
Number of | Received | |
Options Written | Contracts | ($000) |
Balance at January 31, 2015 | 14,303 | 5,353 |
Options Written | 41,903 | 15,099 |
Options Expired | (23,019) | (8,430) |
Options Closed | (26,605) | (9,792) |
Options Exercised | — | — |
Balance at July 31, 2015 | 6,582 | 2,230 |
46
Short-Term Investment-Grade Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,156,598 | 108,134 | 3,036,143 | 282,812 |
Issued in Lieu of Cash Distributions | 89,086 | 8,329 | 213,668 | 19,915 |
Redeemed | (1,820,437) | (170,269) | (4,048,363) | (377,178) |
Net Increase (Decrease)—Investor Shares | (574,753) | (53,806) | (798,552) | (74,451) |
Admiral Shares | ||||
Issued | 5,491,750 | 513,579 | 12,566,118 | 1,170,943 |
Issued in Lieu of Cash Distributions | 256,580 | 23,989 | 548,781 | 51,156 |
Redeemed | (5,126,032) | (479,359) | (8,950,395) | (834,173) |
Net Increase (Decrease)—Admiral Shares | 622,298 | 58,209 | 4,164,504 | 387,926 |
Institutional Shares | ||||
Issued | 1,662,875 | 155,623 | 4,643,518 | 432,778 |
Issued in Lieu of Cash Distributions | 73,891 | 6,908 | 135,886 | 12,670 |
Redeemed | (1,255,705) | (117,407) | (3,240,077) | (301,975) |
Net Increase (Decrease)—Institutional Shares | 481,061 | 45,124 | 1,539,327 | 143,473 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
47
Intermediate-Term Investment-Grade Fund
Fund Profile | |||
As of July 31, 2015 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFICX | VFIDX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 2.73% | 2.83% | |
Financial Attributes | |||
Barclays | Barclays | ||
5–10 Year | Aggregate | ||
Credit | Bond | ||
Fund | Index | Index | |
Number of Bonds | 2,006 | 1,932 | 9,496 |
Yield to Maturity | |||
(before expenses) | 2.9% | 3.5% | 2.4% |
Average Coupon | 3.5% | 3.9% | 3.2% |
Average Duration | 5.5 years | 6.5 years | 5.6 years |
Average Effective | |||
Maturity | 6.4 years | 7.4 years | 7.8 years |
Short-Term | |||
Reserves | 0.1% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 8.2% | ||
Commercial Mortgage-Backed | 5.4 | ||
Finance | 30.0 | ||
Foreign | 3.1 | ||
Government Mortgage-Backed | 0.1 | ||
Industrial | 40.3 | ||
Treasury/Agency | 6.9 | ||
Utilities | 5.7 | ||
Other | 0.3 |
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.
Volatility Measures | ||
Barclays | Barclays | |
5–10 Year | Aggregate | |
Credit | Bond | |
Index | Index | |
R-Squared | 0.98 | 0.91 |
Beta | 0.80 | 1.16 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 1.7% |
1 - 3 Years | 14.9 |
3 - 5 Years | 15.3 |
5 - 7 Years | 24.9 |
7 - 10 Years | 41.3 |
10 - 20 Years | 1.1 |
20 - 30 Years | 0.5 |
Over 30 Years | 0.3 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 6.6% |
Aaa | 12.9 |
Aa | 15.2 |
A | 45.3 |
Baa | 19.3 |
Ba | 0.3 |
Not Rated | 0.4 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.19% for Investor Shares and 0.09% for Admiral Shares.
48
Intermediate-Term Investment-Grade Fund
Investment Focus
49
Intermediate-Term Investment-Grade Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
5–10 Year | ||||
Credit | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.66% | -3.30% | 1.36% | 0.63% |
2007 | 5.17 | -0.72 | 4.45 | 4.43 |
2008 | 5.41 | 2.80 | 8.21 | 6.87 |
2009 | 4.98 | -12.54 | -7.56 | -5.91 |
2010 | 6.06 | 14.05 | 20.11 | 20.79 |
2011 | 4.98 | 3.66 | 8.64 | 9.09 |
2012 | 4.56 | 4.62 | 9.18 | 10.37 |
2013 | 3.64 | 2.56 | 6.20 | 7.63 |
2014 | 3.16 | -2.31 | 0.85 | 0.53 |
2015 | 3.25 | 3.46 | 6.71 | 8.52 |
2016 | 1.44 | -2.79 | -1.35 | -1.91 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 11/1/1993 | 1.88% | 4.92% | 4.50% | 0.70% | 5.20% |
Admiral Shares | 2/12/2001 | 1.99 | 5.03 | 4.61 | 0.70 | 5.31 |
See Financial Highlights for dividend and capital gains information.
50
Intermediate-Term Investment-Grade Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2015
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||||
Maturity | Amount | Value• | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
U.S. Government and Agency Obligations | |||||||
U.S. Government Securities | |||||||
United States Treasury Note/Bond | 0.875% | 7/15/18 | 445,750 | 444,426 | 2.2% | ||
1 | United States Treasury Note/Bond | 0.875% | 1/15/18 | 164,950 | 165,130 | 0.8% | |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 158,400 | 157,534 | 0.8% | ||
United States Treasury Note/Bond | 0.750% | 4/15/18 | 144,250 | 143,641 | 0.7% | ||
United States Treasury Note/Bond | 1.125% | 6/15/18 | 100,450 | 100,921 | 0.5% | ||
1,2 | United States Treasury Note/Bond | 0.750% | 1/15/17 | 90,500 | 90,811 | 0.5% | |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 73,610 | 73,794 | 0.4% | ||
United States Treasury Note/Bond | 1.000% | 12/15/17 | 71,000 | 71,344 | 0.4% | ||
United States Treasury Note/Bond | 0.875% | 11/15/17 | 70,250 | 70,404 | 0.3% | ||
2,3 | United States Treasury | ||||||
Note/Bond | 0.375%–3.625% | 9/30/16–8/15/19 | 54,490 | 55,745 | 0.3% | ||
1,373,750 | 6.9% | ||||||
Nonconventional Mortgage-Backed Securities † | 643 | 0.0% | |||||
Total U.S. Government and Agency Obligations (Cost $1,372,192) | 1,374,393 | 6.9% | |||||
Asset-Backed/Commercial Mortgage-Backed Securities | |||||||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 2,123 | 2,194 | 0.0% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 4,352 | 4,527 | 0.0% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2007-2 | 5.562% | 4/10/49 | 3,309 | 3,487 | 0.0% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2008-1 | 6.171%–6.215% | 2/10/51 | 25,498 | 27,651 | 0.2% |
4 Bear Stearns Commercial | |||||
Mortgage Securities Trust | |||||
2005-PWR9 | 4.943% | 9/11/42 | 318 | 317 | 0.0% |
51
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2006-PWR13 | 5.533% | 9/11/41 | 2,260 | 2,338 | 0.0% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2007-PWR16 | 5.705% | 6/11/40 | 22,140 | 23,419 | 0.1% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2007-PWR17 | 5.650% | 6/11/50 | 7,714 | 8,260 | 0.1% | |
4 | Bear Stearns Commercial | |||||
Mortgage Securities Trust | ||||||
2007-TOP28 | 5.710% | 9/11/42 | 3,822 | 4,096 | 0.0% | |
4,5 | Chase Issuance Trust 2007-C1 | 0.647% | 4/15/19 | 6,100 | 6,065 | 0.0% |
4,5 | Chase Issuance Trust 2012-A10 | 0.447% | 12/16/19 | 6,000 | 5,990 | 0.0% |
4 | Discover Card Execution | |||||
Note Trust 2012-A6 | 1.670% | 1/18/22 | 40,000 | 39,821 | 0.2% | |
4 | Ford Credit Auto Lease | |||||
Trust 2013-A | 1.010%–1.280% | 5/15/16–6/15/16 | 7,050 | 7,050 | 0.1% | |
4 | Ford Credit Auto Lease | |||||
Trust 2014-A | 1.160% | 8/15/17 | 4,730 | 4,734 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2015-A | 1.310% | 8/15/18 | 3,035 | 3,030 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-C | 1.680% | 11/15/18 | 2,000 | 2,008 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-D | 1.540%–1.720% | 3/15/19–7/15/19 | 5,690 | 5,702 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2014-1 | 2.260%–2.410% | 11/15/25 | 5,988 | 6,029 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2014-2 | 2.310%–2.510% | 4/15/26 | 12,530 | 12,600 | 0.1% |
4 Ford Credit Auto Owner | |||||
Trust 2014-C | 1.560% | 2/15/20 | 2,400 | 2,403 | 0.0% |
4,6 | Ford Credit Auto Owner | |||||
Trust 2015-1 | 2.120% | 7/15/26 | 6,600 | 6,569 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2015-2 | 2.440% | 1/15/27 | 26,000 | 26,213 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2015-B | 2.040% | 10/15/20 | 5,010 | 5,011 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series 2012-2 | 1.920% | 1/15/19 | 2,000 | 2,020 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2012-5 | 1.490%–2.140% | 9/15/19 | 27,703 | 27,755 | 0.2% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2013-1 | 1.370%–1.820% | 1/15/18 | 7,800 | 7,816 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2013-4 | 2.100%–2.790% | 6/15/20 | 1,680 | 1,691 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2014-1 | 1.400%–2.310% | 2/15/19–2/15/21 | 2,900 | 2,904 | 0.0% |
4,5 Ford Credit Floorplan Master | |||||
Owner Trust A Series | |||||
2014-2 | 0.687% | 2/15/21 | 6,100 | 6,106 | 0.0% |
52
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2014-4 | 1.400% | 8/15/19 | 14,795 | 14,811 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2015-2 | 1.980% | 1/15/22 | 11,758 | 11,778 | 0.1% | |
4,5 | GE Capital Credit Card Master | |||||
Note Trust Series 2011-2 | 1.187% | 5/15/19 | 10,800 | 10,822 | 0.1% | |
4 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-2 | 2.220% | 1/15/22 | 30,000 | 30,398 | 0.2% | |
4,5 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-3 | 0.637% | 3/15/20 | 39,385 | 39,390 | 0.2% | |
4 | GE Capital Credit Card Master | |||||
Note Trust Series 2012-6 | 1.360% | 8/17/20 | 2,300 | 2,301 | 0.0% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-2 | 0.938% | 4/22/19 | 13,000 | 13,037 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-4 | 0.628% | 10/20/17 | 10,000 | 10,001 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2014-2 | 0.638% | 10/20/19 | 4,400 | 4,386 | 0.0% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2015-2 | 0.838% | 1/20/22 | 20,920 | 20,794 | 0.1% | |
4,6 | GS Mortgage Securities | |||||
Trust 2010-C2 | 5.246% | 12/10/43 | 1,370 | 1,503 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2011-GC3 | 5.552% | 3/10/44 | 2,650 | 2,945 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-ALOHA | 3.551% | 4/10/34 | 4,550 | 4,751 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-BWTR | 2.954% | 11/5/34 | 7,625 | 7,657 | 0.1% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,145 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2013-GCJ12 | 3.135%–3.777% | 6/10/46 | 3,790 | 3,858 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2013-GCJ14 | 2.995%–3.817% | 8/10/46 | 2,800 | 2,931 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2014-GC20 | 3.998% | 4/10/47 | 6,075 | 6,494 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2014-GC24 | 3.931%–4.528% | 9/10/47 | 12,615 | 13,287 | 0.1% | |
4 | GS Mortgage Securities | |||||
Trust 2014-GC26 | 3.629% | 11/10/47 | 1,050 | 1,087 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC28 | 3.396% | 2/10/48 | 1,100 | 1,117 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC30 | 3.382% | 5/10/50 | 2,715 | 2,770 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC32 | 3.764%–4.559% | 7/10/48 | 5,105 | 5,231 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2006-LDP6 | 5.471% | 4/15/43 | 2,854 | 2,902 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2006-LDP7 | 5.905% | 4/15/45 | 3,428 | 3,530 | 0.0% |
53
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-C1 | 5.716% | 2/15/51 | 24,832 | 26,358 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-CIBC20 | 5.746% | 2/12/51 | 4,403 | 4,701 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP10 | 5.439% | 1/15/49 | 3,256 | 3,425 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP12 | 5.850% | 2/15/51 | 2,447 | 2,610 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C1 | 4.608% | 6/15/43 | 10,030 | 10,542 | 0.1% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C2 | 3.616%–5.502% | 11/15/43 | 7,468 | 8,018 | 0.1% | |
4,6 | JP Morgan Chase | |||||
Commercial Mortgage | ||||||
Securities Trust 2011-C3 | 4.388%–5.360% | 2/15/46 | 14,710 | 15,902 | 0.1% | |
4,6 | JP Morgan Chase | |||||
Commercial Mortgage | ||||||
Securities Trust 2011-C5 | 5.323% | 8/15/46 | 4,000 | 4,614 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-C6 | 3.507% | 5/15/45 | 4,499 | 4,724 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-C8 | 2.829%–3.424% | 10/15/45 | 8,710 | 8,786 | 0.1% |
4 JP Morgan Chase | |||||
Commercial Mortgage | |||||
Securities Trust 2012-CIBX | 4.271% | 6/15/45 | 1,350 | 1,445 | 0.0% |
4,6 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2012-HSBC | 3.093% | 7/5/32 | 5,900 | 5,995 | 0.0% |
4 JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | |||||
2012-LC9 | 2.840% | 12/15/47 | 4,670 | 4,682 | 0.0% |
4 JP Morgan Chase Commercial |
Mortgage Securities Trust | |||||
2013-C16 | 3.674%–5.009% | 12/15/46 | 4,365 | 4,684 | 0.0% |
4 JP Morgan Chase | |||||
Commercial Mortgage | |||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 5,378 | 5,394 | 0.0% |
4 Merrill Lynch Mortgage Trust | |||||
2006-C2 | 5.739% | 8/12/43 | 745 | 766 | 0.0% |
4 Merrill Lynch Mortgage Trust | |||||
2008-C1 | 5.690% | 2/12/51 | 11,703 | 12,571 | 0.1% |
4 ML-CFC Commercial | |||||
Mortgage Trust 2006-2 | 5.868% | 6/12/46 | 848 | 868 | 0.0% |
4 Morgan Stanley Capital I Trust | |||||
2006-HQ9 | 5.728% | 7/12/44 | 4,266 | 4,403 | 0.0% |
4 Morgan Stanley Capital I Trust | |||||
2006-IQ12 | 5.319% | 12/15/43 | 1,208 | 1,256 | 0.0% |
54
Intermediate-Term Investment-Grade Fund | |||||||
Face | Market | Percentage | |||||
Maturity | Amount | Value• | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
4 | Morgan Stanley Capital I Trust | ||||||
2007-IQ15 | 5.908% | 6/11/49 | 7,167 | 7,627 | 0.1% | ||
4 | Morgan Stanley Capital I Trust | ||||||
2007-IQ16 | 5.688% | 12/12/49 | 4,167 | 4,443 | 0.0% | ||
4 | Morgan Stanley Capital I | ||||||
Trust | |||||||
2012-C4 | 3.244%–3.773% | 3/15/45 | 4,700 | 4,886 | 0.0% | ||
4,6 | Morgan Stanley Capital I | ||||||
Trust 2012-STAR | 3.201% | 8/5/34 | 6,000 | 6,084 | 0.0% | ||
4,6 | Morgan Stanley Capital I | ||||||
Trust 2014-150E | 3.912% | 9/9/32 | 6,370 | 6,695 | 0.0% | ||
4,6 | Morgan Stanley Capital I | ||||||
Trust 2014-CPT | 3.350% | 7/13/29 | 2,795 | 2,893 | 0.0% | ||
4,6 | Morgan Stanley Capital I | ||||||
Trust 2015-420 | 3.727% | 10/11/50 | 4,820 | 4,939 | 0.0% | ||
4 | Synchrony Credit Card | ||||||
Master Note Trust 2015-1 | 2.370% | 3/15/23 | 6,670 | 6,772 | 0.1% | ||
4 | Synchrony Credit Card | ||||||
Master Note Trust 2015-2 | 1.600% | 4/15/21 | 10,400 | 10,430 | 0.1% | ||
6 | Asset-Backed/Commercial | ||||||
Mortgage-Backed Securities—Other † | 2,059,796 | 10.3% | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,698,512) | 2,723,041 | 13.6% | |||||
Corporate Bonds | |||||||
Finance | |||||||
Banking | |||||||
Abbey National Treasury | |||||||
Services plc | 4.000% | 3/13/24 | 43,500 | 45,276 | 0.2% | ||
Associates Corp. of | |||||||
North America | 6.950% | 11/1/18 | 8,855 | 10,157 | 0.1% | ||
Bank of America Corp. | 3.300% | 1/11/23 | 39,767 | 39,180 | 0.2% | ||
Bank of America Corp. | 2.250%–7.625% | 8/1/16–8/1/25 | 205,330 | 221,886 | 1.1% | ||
Bank of America NA | 5.300%–6.100% | 3/15/17–6/15/17 | 13,877 | 14,765 | 0.1% | ||
Barclays Bank plc | 3.750% | 5/15/24 | 57,613 | 58,311 | 0.3% | ||
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 5,500 | 6,033 | 0.0% | ||
BNP Paribas SA | 5.000% | 1/15/21 | 54,350 | 60,687 | 0.3% | ||
BPCE SA | 4.000% | 4/15/24 | 50,690 | 52,354 | 0.3% | ||
Citigroup Inc. | 4.500% | 1/14/22 | 46,600 | 50,277 | 0.3% | ||
Citigroup Inc. | 3.300%–8.500% | 8/15/17–9/13/25 | 166,730 | 178,891 | 0.9% | ||
Cooperatieve Centrale | |||||||
Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 68,532 | 70,959 | 0.4% | ||
Cooperatieve Centrale | |||||||
Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 53,100 | 55,869 | 0.3% | ||
Cooperatieve Centrale | |||||||
Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 49,880 | 50,011 | 0.2% | ||
Cooperatieve Centrale | |||||||
Raiffeisen-Boerenleenbank | |||||||
BA | 2.250%–5.250% | 1/14/19–9/14/27 | 46,484 | 50,114 | 0.3% | ||
Credit Suisse | 3.625% | 9/9/24 | 69,650 | 69,582 | 0.3% | ||
Credit Suisse | 3.000% | 10/29/21 | 40,000 | 39,919 | 0.2% | ||
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 42,535 | 48,728 | 0.2% | ||
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 47,290 | 48,438 | 0.2% | ||
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 40,000 | 39,812 | 0.2% | ||
Goldman Sachs Group Inc. | 2.375%–7.500% | 9/1/17–1/23/25 | 97,872 | 106,193 | 0.5% | ||
HSBC Bank USA NA | 4.875%–6.000% | 8/9/17–8/24/20 | 29,533 | 32,556 | 0.2% | ||
HSBC Holdings plc | 5.100% | 4/5/21 | 53,948 | 60,096 | 0.3% |
55
Intermediate-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
HSBC Holdings plc | 4.000%–4.250% | 3/30/22–3/14/24 | 65,100 | 67,655 | 0.3% |
HSBC USA Inc. | 2.375% | 11/13/19 | 17,185 | 17,184 | 0.1% |
4 JPMorgan Chase & Co. | 1.625%–6.300% | 6/27/17–12/29/49 | 278,686 | 291,478 | 1.5% |
JPMorgan Chase Bank NA | 6.000% | 7/5/17–10/1/17 | 16,880 | 18,308 | 0.1% |
Morgan Stanley | 3.875% | 4/29/24 | 43,400 | 44,035 | 0.2% |
Morgan Stanley | 2.650%–7.300% | 12/28/17–2/25/23 | 146,935 | 161,649 | 0.8% |
PNC Bank NA | 2.700% | 11/1/22 | 41,080 | 39,639 | 0.2% |
PNC Bank NA | 2.200%–6.875% | 12/7/17–2/23/25 | 98,279 | 99,614 | 0.5% |
PNC Financial Services | |||||
Group Inc. | 2.600%–2.854% | 7/21/20–11/9/22 | 27,613 | 27,491 | 0.1% |
PNC Funding Corp. | 3.300%–6.700% | 6/10/19–3/8/22 | 70,813 | 77,796 | 0.4% |
Synchrony Financial | 2.700%–4.500% | 2/3/20–7/23/25 | 47,225 | 47,250 | 0.2% |
Wachovia Bank NA | 6.000% | 11/15/17 | 8,000 | 8,777 | 0.0% |
Wachovia Corp. | 5.625%–5.750% | 10/15/16–2/1/18 | 23,305 | 25,185 | 0.1% |
Wells Fargo & Co. | 3.300% | 9/9/24 | 58,830 | 58,112 | 0.3% |
Wells Fargo & Co. | 2.150%–5.625% | 12/11/17–2/19/25 | 186,581 | 191,611 | 1.0% |
6 Banking—Other † | 1,292,026 | 6.5% | |||
6 Brokerage † | 347,877 | 1.8% | |||
Finance Companies | |||||
General Electric Capital Corp. | 4.650% | 10/17/21 | 35,847 | 39,606 | 0.2% |
4 General Electric | |||||
Capital Corp. | 2.200%–6.375% | 5/1/18–11/15/67 | 159,599 | 172,500 | 0.8% |
HSBC Finance Corp. | 6.676% | 1/15/21 | 63,939 | 74,457 | 0.4% |
Finance Companies—Other † | 38,112 | 0.2% | |||
Insurance | |||||
MetLife Inc. | 4.368% | 9/15/23 | 38,430 | 41,121 | 0.2% |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 38,550 | 39,297 | 0.2% |
6 Insurance—Other † | 807,185 | 4.0% | |||
6 Real Estate Investment Trusts † | 504,702 | 2.5% | |||
5,942,761 | 29.7% | ||||
Industrial | |||||
6 Basic Industry † | 517,443 | 2.6% | |||
Capital Goods | |||||
General Electric Co. | 2.700% | 10/9/22 | 47,000 | 46,342 | 0.3% |
General Electric Co. | 3.375% | 3/11/24 | 5,655 | 5,777 | 0.0% |
6 Capital Goods—Other † | 704,454 | 3.5% | |||
6 Communication † | 776,591 | 3.9% | |||
Consumer Cyclical | |||||
6 Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 39,665 | 38,149 | 0.2% |
Ford Motor Credit Co. LLC | 3.000%–8.125% | 6/12/17–1/9/22 | 89,049 | 97,372 | 0.5% |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 68,021 | 66,449 | 0.3% |
6 Consumer Cyclical—Other † | 827,549 | 4.1% | |||
Consumer Noncyclical | |||||
Covidien International | |||||
Finance SA | 2.950%–4.200% | 6/15/20–6/15/23 | 48,565 | 48,727 | 0.2% |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 57,084 | 57,602 | 0.3% |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 37,655 | 38,531 | 0.2% |
6 Medtronic Inc. | 3.500% | 3/15/25 | 71,300 | 71,256 | 0.4% |
6 Medtronic Inc. | 2.500%–4.450% | 3/15/20–3/15/24 | 101,553 | 102,459 | 0.5% |
Merck & Co. Inc. | 2.800% | 5/18/23 | 42,254 | 41,678 | 0.2% |
Merck & Co. Inc. | 2.750% | 2/10/25 | 41,960 | 40,032 | 0.2% |
6 Consumer Noncyclical—Other † | 1,476,663 | 7.4% | |||
Energy | |||||
BP Capital Markets plc | 1.375%–4.750% | 5/10/18–3/17/25 | 226,330 | 230,115 | 1.2% |
Chevron Corp. | 2.355% | 12/5/22 | 46,500 | 44,487 | 0.2% |
6 Energy—Other † | 1,206,816 | 6.0% |
56
Intermediate-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
6 Other Industrial † | 57,693 | 0.3% | |||
Technology | |||||
Apple Inc. | 2.400% | 5/3/23 | 104,325 | 99,696 | 0.5% |
Apple Inc. | 3.450% | 5/6/24 | 54,000 | 55,282 | 0.3% |
Apple Inc. | 1.000%–3.200% | 5/6/20–11/10/26 | 155,735 | 155,062 | 0.8% |
Intel Corp. | 3.700% | 7/29/25 | 47,621 | 48,108 | 0.2% |
Microsoft Corp. | 2.375% | 2/12/22 | 38,500 | 37,944 | 0.2% |
Oracle Corp. | 2.500% | 10/15/22 | 57,616 | 55,664 | 0.3% |
Oracle Corp. | 3.400% | 7/8/24 | 43,500 | 43,842 | 0.2% |
Oracle Corp. | 2.375%–3.875% | 1/15/19–5/15/25 | 123,980 | 123,765 | 0.6% |
6 Technology—Other † | 605,632 | 3.0% | |||
Transportation | |||||
United Parcel Service Inc. | 2.450% | 10/1/22 | 61,450 | 60,230 | 0.3% |
6 Transportation—Other † | 239,428 | 1.2% | |||
8,020,838 | 40.1% | ||||
Utilities | |||||
6 Electric † | 1,079,172 | 5.4% | |||
Natural Gas † | 47,480 | 0.3% | |||
Other Utility † | 3,027 | 0.0% | |||
1,129,679 | 5.7% | ||||
Total Corporate Bonds (Cost $14,926,048) | 15,093,278 | 75.5% | |||
Sovereign Bonds (U.S. Dollar-Denominated) | |||||
Republic of Turkey | 7.500% | 7/14/17 | 41,300 | 45,461 | 0.3% |
6 Sovereign Bonds | |||||
(U.S. Dollar-Denominated)—Other † | 581,618 | 2.9% | |||
Total Sovereign Bonds (Cost $623,073) | 627,079 | 3.2% | |||
Taxable Municipal Bonds (Cost $45,437) † | 47,023 | 0.2% | |||
Convertible Preferred Stocks (Cost $8,571) † | — | 0.0% | |||
Shares | |||||
Temporary Cash Investment | |||||
Money Market Fund | |||||
7 Vanguard Market Liquidity Fund | |||||
(Cost $25,858) | 0.152% | 25,857,586 | 25,858 | 0.1% | |
Total Investments (Cost $19,699,691) | 19,890,672 | 99.5% | |||
Expiration | |||||
Date | Contracts | ||||
Liability for Options Written (0.0%) | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 327 | (291) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 328 | (200) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 590 | (240) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 99 | (25) | 0.0% | |
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 327 | (20) | 0.0% |
57
Intermediate-Term Investment-Grade Fund | ||||
Market | Percentage | |||
Expiration | Value• | of Net | ||
Date | Contracts | ($000) | Assets | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 460 | (43) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 328 | (56) | 0.0% |
Total Liability for Options Written (Premiums received $833) | (875) | 0.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 494,180 | 2.5% | ||
Other Liabilities | (391,912) | (2.0%) | ||
102,268 | 0.5% | |||
Net Assets | 19,992,065 | 100.0% | ||
At July 31, 2015, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 19,730,008 | |||
Undistributed Net Investment Income | 5,248 | |||
Accumulated Net Realized Gains | 45,721 | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 190,981 | |||
Futures Contracts | 884 | |||
Options on Futures Contracts | (42) | |||
Swap Contracts | 12,227 | |||
Forward Currency Contracts | 7,107 | |||
Foreign Currencies | (69) | |||
Net Assets | 19,992,065 | |||
Investor Shares—Net Assets | ||||
Applicable to 276,628,792 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,702,353 | |||
Net Asset Value Per Share—Investor Shares | $9.77 |
58
Intermediate-Term Investment-Grade Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 1,769,875,326 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 17,289,712 |
Net Asset Value Per Share—Admiral Shares | $9.77 |
- See Note A in Notes to Financial Statements.
- Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
- Securities with a value of $1,002,000 have been segregated as collateral for forward currency contracts and open over-the-counter swap contracts.
- Securities with a value of $10,595,000 have been segregated as initial margin for open futures contracts.
- Securities with a value of $5,844,000 have been segregated as initial margin for open cleared swap contracts.
- 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.
- Adjustable-rate security.
- Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $1,974,389,000, representing 9.9% of net assets.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
59
Intermediate-Term Investment-Grade Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 305,263 |
Total Income | 305,263 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 962 |
Management and Administrative—Investor Shares | 2,192 |
Management and Administrative—Admiral Shares | 5,379 |
Marketing and Distribution—Investor Shares | 302 |
Marketing and Distribution—Admiral Shares | 1,159 |
Custodian Fees | 127 |
Shareholders’ Reports—Investor Shares | 40 |
Shareholders’ Reports—Admiral Shares | 65 |
Trustees’ Fees and Expenses | 7 |
Total Expenses | 10,233 |
Net Investment Income | 295,030 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 55,036 |
Futures Contracts | 11,628 |
Options on Futures Contracts | 1,618 |
Swap Contracts | 7,474 |
Foreign Currencies and Forward Currency Contracts | 1,975 |
Realized Net Gain (Loss) | 77,731 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (612,087) |
Futures Contracts | (11,348) |
Options on Futures Contracts | 2,276 |
Swap Contracts | (13,253) |
Foreign Currencies and Forward Currency Contracts | 6,702 |
Change in Unrealized Appreciation (Depreciation) | (627,710) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (254,949) |
1 Interest income from an affiliated company of the fund was $238,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
60
Intermediate-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 295,030 | 559,548 |
Realized Net Gain (Loss) | 77,731 | 182,433 |
Change in Unrealized Appreciation (Depreciation) | (627,710) | 444,741 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (254,949) | 1,186,722 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (42,281) | (91,766) |
Admiral Shares | (257,793) | (475,801) |
Realized Capital Gain1 | ||
Investor Shares | (2,826) | (25,414) |
Admiral Shares | (16,203) | (136,382) |
Total Distributions | (319,103) | (729,363) |
Capital Share Transactions | ||
Investor Shares | (164,432) | (220,390) |
Admiral Shares | 1,287,498 | 2,488,752 |
Net Increase (Decrease) from Capital Share Transactions | 1,123,066 | 2,268,362 |
Total Increase (Decrease) | 549,014 | 2,725,721 |
Net Assets | ||
Beginning of Period | 19,443,051 | 16,717,330 |
End of Period2 | 19,992,065 | 19,443,051 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $0 and $22,488,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $5,248,000 and $8,185,000.
See accompanying Notes, which are an integral part of the Financial Statements.
61
Intermediate-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.06 | $9.81 | $10.24 | $10.18 | $9.94 | $9.81 |
Investment Operations | ||||||
Net Investment Income | .144 | .303 | .311 | .354 | .418 | .458 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.278) | .341 | (.229) | .266 | .463 | .372 |
Total from Investment Operations | (.134) | .644 | .082 | .620 | . 881 | . 830 |
Distributions | ||||||
Dividends from Net Investment Income | (.146) | (. 307) | (. 317) | (. 360) | (. 428) | (. 473) |
Distributions from Realized Capital Gains | (. 010) | (. 087) | (.195) | (. 200) | (. 213) | (. 227) |
Total Distributions | (.156) | (. 394) | (. 512) | (. 560) | (. 641) | (.700) |
Net Asset Value, End of Period | $9.77 | $10.06 | $9.81 | $10.24 | $10.18 | $9.94 |
Total Return1 | -1.35% | 6.71% | 0.85% | 6.20% | 9.18% | 8.64% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,702 | $2,952 | $3,099 | $4,884 | $4,837 | $4,645 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.93% | 3.05% | 3.12% | 3.41% | 4.17% | 4.56% |
Portfolio Turnover Rate | 77% | 88% | 100% | 62% | 49% | 39% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
62
Intermediate-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.06 | $9.81 | $10.24 | $10.18 | $9.94 | $9.81 |
Investment Operations | ||||||
Net Investment Income | .149 | .313 | .321 | .364 | .428 | .470 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (.278) | .341 | (.229) | .266 | .463 | .372 |
Total from Investment Operations | (.129) | .654 | .092 | .630 | . 891 | . 842 |
Distributions | ||||||
Dividends from Net Investment Income | (.151) | (. 317) | (. 327) | (. 370) | (. 438) | (. 485) |
Distributions from Realized Capital Gains | (. 010) | (. 087) | (.195) | (. 200) | (. 213) | (. 227) |
Total Distributions | (.161) | (. 404) | (. 522) | (. 570) | (. 651) | (.712) |
Net Asset Value, End of Period | $9.77 | $10.06 | $9.81 | $10.24 | $10.18 | $9.94 |
Total Return1 | -1.30% | 6.81% | 0.95% | 6.30% | 9.29% | 8.77% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $17,290 | $16,491 | $13,618 | $14,582 | $11,411 | $9,717 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.03% | 3.15% | 3.22% | 3.51% | 4.27% | 4.68% |
Portfolio Turnover Rate | 77% | 88% | 100% | 62% | 49% | 39% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
63
Intermediate-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Intermediate-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in bonds denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures and Options: The fund uses futures contracts and options on 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
64
Intermediate-Term Investment-Grade Fund
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. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 7% and 3% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
65
Intermediate-Term Investment-Grade Fund
The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended July 31, 2015, the fund’s average investment in forward currency contracts represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The fund invests in cross-currency swaps to hedge the currency risk associated with investing in foreign securities. Under the terms of the swaps, the parties exchange a series of payments calculated on the basis of a fixed rate applied to a notional amount, on specified dates and in a specified currency. Additionally, currency amounts are exchanged by the counterparties at the initiation of the contract, with an agreement to reverse the exchange of the currency amounts upon termination of the contract.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount
66
Intermediate-Term Investment-Grade Fund
determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
During the six months ended July 31, 2015, the fund’s average amounts of credit protection sold and credit protection purchased each represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of interest rate swaps represented 3% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of cross currency swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
7. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
67
Intermediate-Term Investment-Grade Fund
8. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
9. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $1,758,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.70% of Vanguard’s capitalization. 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).
68
Intermediate-Term Investment-Grade Fund | |||
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 1,374,393 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 2,695,067 | 27,974 |
Corporate Bonds | — | 15,093,276 | 2 |
Sovereign Bonds | — | 627,079 | — |
Taxable Municipal Bonds | — | 47,023 | — |
Convertible Preferred Stocks | — | — | — |
Temporary Cash Investments | 25,858 | — | — |
Liability for Options Written | (875) | — | — |
Futures Contracts—Assets1 | 4,338 | — | — |
Futures Contracts—Liabilities1 | (2,533) | — | — |
Forward Currency Contracts—Assets | — | 7,214 | — |
Forward Currency Contracts—Liabilities | — | (107) | — |
Swap Contracts—Assets | 8321 | 13,061 | — |
Swap Contracts—Liabilities | — | (1,061) | — |
Total | 27,620 | 19,855,945 | 27,976 |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) | ($000) |
Other Assets | 10,024 | 14,800 | 621 | 25,445 |
Liability for Options Written | (875) | — | — | (875) |
Other Liabilities | (2,610) | (107) | (984) | (3,701) |
69
Intermediate-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2015, were:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | 11,628 | — | — | 11,628 |
Options on Futures Contracts | 1,618 | — | — | 1,618 |
Swap Contracts | 6,469 | 323 | 682 | 7,474 |
Forward Currency Contracts | — | (3,314) | — | (3,314) |
Realized Net Gain (Loss) on Derivatives | 19,715 | (2,991) | 682 | 17,406 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (11,348) | — | — | (11,348) |
Options on Futures Contracts | 2,276 | — | — | 2,276 |
Swap Contracts | (6,121) | (6,404) | (728) | (13,253) |
Forward Currency Contracts | — | 6,677 | — | 6,677 |
Change in Unrealized Appreciation | ||||
(Depreciation) on Derivatives | (15,193) | 273 | (728) | (15,648) |
At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
5-Year U.S. Treasury Note | September 2015 | 11,518 | 1,380,360 | 6,569 |
2-Year U.S. Treasury Note | September 2015 | (2,040) | (446,888) | (637) |
10-Year U.S. Treasury Note | September 2015 | (1,626) | (207,213) | (221) |
Euro-Bund | September 2015 | (811) | (137,523) | (2,345) |
30-Year U.S. Treasury Bond | September 2015 | (469) | (73,135) | 162 |
Ultra Long U.S. Treasury Bond | September 2015 | (218) | (34,778) | (937) |
Euro-Buxl | September 2015 | (132) | (22,615) | (1,257) |
Euro-Bobl | September 2015 | (127) | (18,176) | (129) |
Euro-Schatz | September 2015 | 87 | 10,634 | (18) |
Australia 10-Year Treasury Bond | September 2015 | (56) | (5,231) | (158) |
Long Gilt | September 2015 | (26) | (4,763) | (95) |
Australia 3-Year Treasury Bond | September 2015 | (52) | (4,252) | (50) |
884 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
70
Intermediate-Term Investment-Grade Fund
At July 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
Unrealized | ||||||
Contract | Appreciation | |||||
Contract Amount (000) | ||||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Morgan Stanley Capital Services LLC | 8/4/15 | EUR | 167,775 | USD | 184,217 | 53 |
Bank of America N.A. | 8/4/15 | GBP | 8,132 | USD | 12,662 | 37 |
Goldman Sachs Bank AG | 8/4/15 | EUR | 10,125 | USD | 11,037 | 84 |
UBS AG | 9/2/15 | EUR | 8,000 | USD | 8,780 | 10 |
Bank of America N.A. | 8/4/15 | EUR | 683 | USD | 758 | (8) |
Barclays Capital | 8/4/15 | GBP | 450 | USD | 700 | 2 |
BNP Paribas | 8/4/15 | USD | 200,626 | EUR | 176,563 | 6,704 |
Morgan Stanley Capital Services LLC | 9/2/15 | USD | 191,385 | EUR | 174,238 | (54) |
Bank of America N.A. | 9/2/15 | USD | 12,660 | GBP | 8,132 | (38) |
Morgan Stanley Capital Services LLC | 9/2/15 | USD | 12,342 | AUD | 16,760 | 116 |
J.P. Morgan Chase Bank N.A. | 8/4/15 | USD | 8,113 | GBP | 5,149 | 72 |
BNP Paribas | 9/2/15 | USD | 5,554 | EUR | 5,000 | 61 |
Morgan Stanley Capital Services LLC | 8/4/15 | USD | 5,431 | GBP | 3,433 | 70 |
UBS AG | 8/4/15 | USD | 1,096 | EUR | 1,000 | (2) |
Deutsche Bank | 8/4/15 | USD | 682 | EUR | 616 | 5 |
J.P. Morgan Chase Bank N.A. | 8/4/15 | USD | 438 | EUR | 403 | (5) |
7,107 | ||||||
AUD—Australian dollar. | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
71
Intermediate-Term Investment-Grade Fund | ||||||
At July 31, 2015, the fund had the following open swap contracts: | ||||||
Over-the-Counter Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
Bank of America Corp./Baa1 | 12/20/17 | MSCS | 7,680 | 139 | 1.000 | 248 |
Federation of Malaysia/A3 | 9/20/20 | JPMC | 860 | 14 | 1.000 | (7) |
Federation of Malaysia/A3 | 9/20/20 | JPMC | 340 | 5 | 1.000 | (4) |
Federation of Malaysia/A3 | 9/20/20 | BOANA | 3,100 | 54 | 1.000 | (22) |
Federation of Malaysia/A3 | 9/20/20 | GSCM | 1,500 | 26 | 1.000 | (11) |
Federation of Malaysia/A3 | 9/20/20 | JPMC | 2,900 | 47 | 1.000 | (25) |
Goldman Sachs Group Inc./A3 | 3/20/20 | BOANA | 7,870 | (65) | 1.000 | (4) |
Republic of Peru/A3 | 9/20/20 | JPMC | 8,000 | 155 | 1.000 | (30) |
Republic of Peru/A3 | 9/20/20 | BNPSW | 7,850 | 151 | 1.000 | (31) |
Republic of Chile/Aa3 | 9/20/20 | BNPSW | 5,550 | (50) | 1.000 | (62) |
Republic of Chile/Aa3 | 9/20/20 | GSCM | 10,100 | (54) | 1.000 | (76) |
Republic of Colombia/Baa2 | 9/20/20 | GSCM | 6,000 | 199 | 1.000 | (37) |
Republic of Colombia/Baa2 | 9/20/20 | JPMC | 6,000 | 191 | 1.000 | (45) |
Republic of Turkey/Baa3 | 12/20/16 | BNPSW | 7,000 | 16 | 1.000 | (11) |
Russian Federation/Ba1 | 6/20/17 | GSCM | 3,200 | 154 | 1.000 | 56 |
United Mexican States/A3 | 6/20/20 | GSCM | 3,500 | 48 | 1.000 | (3) |
81,450 | (64) | |||||
Credit Protection Purchased | ||||||
Banco Bilbao Vizcaya | ||||||
Argentaria SA | 12/20/19 | BOANA | 5,135 | 53 | (1.000) | 36 |
Banco Santander SA | 3/20/20 | BARC | 6,460 | 31 | (1.000) | 13 |
Banco Santander SA | 3/20/20 | BOANA | 6,595 | 6 | (1.000) | (12) |
Bank of America Corp. | 3/20/20 | GSCM | 7,870 | 115 | (1.000) | (20) |
BBVA Senior Finance | 3/20/20 | BOANA | 6,510 | 44 | (1.000) | 29 |
CMBS-NA-8-AAA | 10/17/57 | CSFBI | 8,350 | (319) | (0.500) | 41 |
CMBS-NA-8-AAA | 10/17/57 | MSCS | 8,350 | (314) | (0.500) | 47 |
CMBS-NA-8-AAA | 10/17/57 | BARC | 8,350 | (372) | (0.500) | (12) |
CVS Health Corp. | 9/20/20 | BOANA | 5,350 | 174 | (1.000) | (14) |
CVS Health Corp. | 9/20/20 | BOANA | 5,340 | 173 | (1.000) | (14) |
CVS Health Corp. | 9/20/20 | BOANA | 2,670 | 85 | (1.000) | (9) |
Devon Energy Corporation | 9/20/18 | BARC | 7,000 | 19 | (1.000) | (96) |
EI du Pont de Nemours & Co. | 9/20/18 | CSFBI | 2,970 | 54 | (1.000) | (19) |
72
Intermediate-Term Investment-Grade Fund | ||||||
Over-the-Counter Credit Default Swaps (continued) | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received Appreciation | ||||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
EI du Pont de Nemours & Co. | 9/20/18 | GSCM | 2,250 | 35 | (1.000) | (21) |
EI du Pont de Nemours & Co. | 9/20/18 | DBAG | 2,250 | 34 | (1.000) | (22) |
EI du Pont de Nemours & Co. | 9/20/18 | BNPSW | 2,250 | 34 | (1.000) | (22) |
EI du Pont de Nemours & Co. | 9/20/18 | BARC | 2,250 | 34 | (1.000) | (22) |
Federal Express Corp. | 12/20/18 | GSCM | 7,840 | 82 | (1.000) | (125) |
Federative Republic of Brazil | 12/20/15 | BOANA | 1,500 | (1) | (1.000) | (3) |
Intesa Sanpaolo SpA | 12/20/19 | BARC | 5,135 | 47 | (1.000) | 18 |
Intesa Sanpaolo SpA | 3/20/20 | BOANA | 6,510 | 30 | (1.000) | (2) |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | 164 | (1.000) | (41) |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | 160 | (1.000) | (45) |
Morgan Stanley | 9/20/15 | BARC | 4,400 | (7) | (1.000) | (12) |
People’s Republic of China | 9/20/20 | MSCS | 5,875 | 11 | (1.000) | 7 |
People’s Republic of China | 9/20/20 | MSCS | 8,280 | 18 | (1.000) | 12 |
Republic of Austria | 9/20/17 | BNPSW | 1,200 | (12) | (1.000) | (36) |
Republic of Korea | 9/20/18 | JPMC | 2,000 | 11 | (1.000) | (34) |
Republic of South Africa | 9/20/20 | JPMC | 7,400 | (383) | (1.000) | 12 |
United Mexican States | 12/20/15 | BOANA | 1,500 | (2) | (1.000) | (5) |
United Mexican States | 6/20/20 | DBAG | 3,500 | (41) | (1.000) | 3 |
Wells Fargo & Co. | 9/20/20 | BOANA | 9,700 | 206 | (1.000) | (30) |
Russian Federation | 6/20/20 | GSCM | 1,530 | (138) | (1.000) | 10 |
Russian Federation | 9/20/20 | BARC | 6,200 | (585) | (1.000) | 47 |
Russian Federation | 9/20/20 | JPMC | 3,100 | (294) | (1.000) | 22 |
Russian Federation | 9/20/20 | BOANA | 3,100 | (297) | (1.000) | 20 |
181,440 | (299) | |||||
(363) |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 BARC—Barclays Bank plc. BNPSW—BNP Paribas.
BOANA—Bank of America, N.A. CSFBI—Credit Suisse First Boston International. DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA. JPMC—JP Morgan Chase Bank. MSCS—Morgan Stanley Capital Services LLC.
73
Intermediate-Term Investment-Grade Fund | |||||
Centrally Cleared Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) (Depreciation) | |||
Termination Date | Clearinghouse1 | ($000) | (%) | (%) | ($000) |
8/15/15 | CME | 44,145 | 1.587 | (0.187)3 | (306) |
10/20/15 | LCH | 10,000 | 0.390 | (0.188)3 | (14) |
2/15/16 | LCH | 4,000 | 0.450 | (0.187)3 | (5) |
2/15/16 | CME | 4,733 | 0.448 | (0.187)3 | (3) |
5/16/16 | CME | 10,800 | 0.434 | (0.187)3 | (1) |
5/16/16 | CME | 1,400 | 0.451 | (0.187)3 | — |
5/22/16 | CME | 3,800 | 0.546 | (0.284)2 | 2 |
6/15/16 | LCH | 2,752 | 0.299 | (0.187)3 | (2) |
6/17/16 | CME | 1,100 | 0.485 | (0.186)3 | 1 |
6/17/16 | CME | 970 | 0.485 | (0.186)3 | 1 |
6/17/16 | CME | 4,400 | 0.444 | (0.186)3 | 1 |
9/17/16 | CME | 1,050 | 0.643 | (0.186)3 | 2 |
9/17/16 | CME | 2,560 | 0.643 | (0.186)3 | 4 |
10/25/16 | CME | 15,200 | 1.714 | (0.295)2 | (73) |
12/10/16 | LCH | 8,355 | 0.656 | (0.189)3 | 9 |
1/15/17 | CME | 3,050 | 0.770 | (0.187)3 | 7 |
1/17/17 | LCH | 6,500 | 0.700 | (0.186)3 | 9 |
2/15/17 | CME | 1,600 | 0.729 | (0.187)3 | 2 |
2/15/17 | LCH | 6,585 | 1.875 | (0.187)3 | (57) |
2/15/17 | CME | 625 | 3.373 | (0.187)3 | (8) |
2/15/17 | CME | 950 | 2.407 | (0.187)3 | (8) |
2/15/17 | CME | 5,700 | 2.407 | (0.187)3 | (47) |
2/15/17 | CME | 400 | 0.714 | (0.187)3 | — |
2/15/17 | CME | 1,490 | 3.180 | (0.187)3 | (19) |
2/15/17 | CME | 1,145 | 2.287 | (0.187)3 | (9) |
2/15/17 | CME | 365 | 3.432 | (0.187)3 | (5) |
3/15/17 | CME | 39,385 | 0.937 | (0.187)3 | 175 |
4/20/17 | CME | 13,000 | 0.960 | (0.188)3 | (16) |
5/5/17 | LCH | 4,555 | 0.876 | (0.187)3 | (1) |
5/17/17 | CME | 3,900 | 1.036 | (0.186)3 | 22 |
6/17/17 | LCH | 2,925 | 0.736 | (0.186)3 | (1) |
7/17/17 | CME | 3,900 | 0.781 | (0.186)3 | — |
9/15/17 | LCH | 5,910 | 0.755 | (0.187)3 | 15 |
9/15/17 | CME | 1,100 | 2.345 | (0.187)3 | (8) |
9/15/17 | CME | 5,400 | 3.363 | (0.187)3 | (72) |
9/15/17 | CME | 4,850 | 3.520 | (0.187)3 | (66) |
74
Intermediate-Term Investment-Grade Fund | |||||
Centrally Cleared Interest Rate Swaps (continued) | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Clearinghouse1 | ($000) | (%) | (%) | ($000) |
9/15/17 | CME | 7,295 | 2.532 | (0.187)3 | (64) |
10/16/17 | CME | 7,000 | 0.749 | (0.187)3 | 9 |
12/15/17 | CME | 6,000 | 0.788 | (0.187)3 | 1 |
2/15/18 | CME | 10,170 | 1.348 | (0.187)3 | 99 |
2/15/18 | CME | 18,000 | 0.923 | (0.187)3 | (18) |
2/15/18 | LCH | 35,000 | 1.097 | (0.187)3 | 118 |
4/16/18 | LCH | 3,500 | 1.013 | (0.187)3 | — |
5/1/18 | CME | 3,400 | 1.214 | (0.187)3 | 18 |
5/24/18 | CME | 10,000 | 0.984 | (0.187)3 | (15) |
1/15/19 | LCH | 18,930 | 1.509 | (0.187)3 | 192 |
3/15/19 | CME | 5,135 | 1.701 | (0.187)3 | 82 |
3/15/19 | CME | 22,370 | 1.699 | (0.187)3 | 356 |
3/15/19 | CME | 4,990 | 1.399 | (0.187)3 | (23) |
6/12/19 | CME | 4,600 | 1.674 | (0.288)2 | 41 |
1/20/20 | CME | 20,920 | 1.224 | (0.188)3 | (203) |
4/15/20 | LCH | 14,650 | 1.344 | (0.187)3 | (96) |
4/25/20 | CME | 28,610 | 3.024 | (0.295)2 | (395) |
7/15/20 | CME | 8,920 | 1.571 | (0.187)3 | 12 |
2/15/21 | CME | 6,100 | 2.200 | (0.187)3 | 178 |
10/15/21 | LCH | 5,720 | 1.949 | (0.187)3 | 65 |
2/15/22 | LCH | 8,755 | 1.583 | (0.187)3 | (123) |
1/25/23 | CME | 4,500 | 2.560 | (0.191)3 | 197 |
3/25/23 | CME | 1,150 | 2.773 | (0.191)3 | 68 |
2/25/25 | CME | 2,490 | 2.077 | (0.191)3 | (16) |
2/25/25 | CME | 3,100 | 2.077 | (0.191)3 | (20) |
5/27/25 | CME | 5,785 | 2.170 | (0.191)3 | 1 |
9/17/31 | CME | 2,396 | 3.065 | (0.186)3 | 194 |
9/17/31 | CME | 498 | 3.065 | (0.186)3 | 40 |
227 | |||||
1 CME—Chicago Mercantile Exchange. | |||||
LCH—London Clearing House. | |||||
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | |||||
3 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. |
75
Intermediate-Term Investment-Grade Fund | |||||
Over-the-Counter Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Counterparty1 | ($000) | (%) | (%) | ($000) |
2/22/16 | BNPSW | 1,420 | 0.522 | (0.284)2 | 1 |
5/19/16 | WFC | 1,246 | 1.454 | (0.277)2 | 11 |
8/15/18 | BNPSW | 5,400 | 0.715 | (0.187)3 | (10) |
4/25/19 | WFC | 8,822 | 2.053 | (0.293)2 | 813 |
4/25/19 | WFC | 4,537 | 2.756 | (0.295)2 | 166 |
4/25/20 | GSCM | 3,620 | 2.794 | (0.295)2 | 148 |
4/1/21 | WFC | 4,958 | 0.965 | (0.187)3 | (41) |
6/25/21 | GSCM | 5,720 | 3.143 | (0.281)2 | 307 |
10/25/21 | WFC | 6,500 | 3.328 | (0.295)2 | 415 |
11/25/22 | UBSAG | 2,518 | 2.491 | (0.282)2 | 82 |
11/25/22 | BARC | 16,018 | 2.758 | (0.282)2 | 652 |
1/25/23 | WFC | 3,000 | 3.144 | (0.295)2 | 182 |
7/25/23 | BARC | 24,625 | 3.483 | (0.295)2 | 1,967 |
12/25/26 | WFC | 16,000 | 1.920 | (0.191)3 | 110 |
9/25/29 | GSCM | 11,860 | 1.794 | (0.191)3 | (26) |
4,777 | |||||
1 BARC—Barclays Bank plc. | |||||
BNPSW—BNP Paribas. | |||||
GSCM—Goldman Sachs Bank USA. | |||||
UBSAG—UBS AG. | |||||
WFC—Wells Fargo Bank N.A. | |||||
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | |||||
3 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. |
76
Intermediate-Term Investment-Grade Fund | ||||||
Cross-Currency Swaps | ||||||
Notional | Notional | |||||
Amount of | Amount of | Unrealized | ||||
Fixed | Currency | Currency | Appreciation | |||
Fixed Interest | Interest | Termination | Received | Delivered | (Depreciation) | |
Rate Received | Rate Paid | Date | Counterparty1 | ($000) | (000) | ($000) |
USD 5.555% | GBP 5.500% | 10/6/26 | BARC | 10,725 | GBP 6,250 | 803 |
USD 3.180% | EUR 1.900% | 4/8/22 | BARC | 9,666 | EUR 7,000 | 1,885 |
USD 3.331% | GBP 3.250% | 9/25/24 | BNPSW | 8,523 | GBP 5,000 | 556 |
USD 5.502% | GBP 5.250% | 9/14/27 | MSCS | 8,061 | GBP 4,800 | 435 |
USD 4.076% | EUR 2.750% | 8/2/22 | MSCS | 6,897 | EUR 5,000 | 1,412 |
USD 4.112% | EUR 2.625% | 4/1/21 | MSCS | 6,783 | EUR 5,000 | 1,364 |
USD 8.542% | GBP 8.750% | 4/8/21 | MSCS | 5,134 | GBP 3,000 | 510 |
USD 6.043% | GBP 6.500% | 4/8/22 | BARC | 5,072 | GBP 3,000 | 354 |
USD 5.780% | GBP 5.500% | 10/6/26 | MSCS | 4,146 | GBP 2,500 | 190 |
USD 3.766% | EUR 2.625% | 4/1/21 | BARC | 384 | EUR 277 | 77 |
7,586 | ||||||
1 BARC—Barclays Bank plc. | ||||||
BNPSW—BNP Paribas. | ||||||
MSCS—Morgan Stanley Capital Services LLC. | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
At July 31, 2015, counterparties had deposited in segregated accounts securities and cash with a value of $19,333,000 in connection with open swap contracts and forward currency contracts.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended July 31, 2015, the fund realized net foreign currency losses of $2,738,000 (including gains and losses on forward currency contracts and the foreign currency component on sales of foreign currency denominated bonds), which decreased distributable net income for tax purposes; accordingly, such losses have been reclassified from accumulated net realized gains to undistributed net investment income.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $4,845,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
77
Intermediate-Term Investment-Grade Fund
At July 31, 2015, the cost of investment securities for tax purposes was $19,719,640,000. Net unrealized appreciation of investment securities for tax purposes was $171,032,000, consisting of unrealized gains of $382,615,000 on securities that had risen in value since their purchase and $211,583,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2015, the fund purchased $5,395,305,000 of investment securities and sold $3,520,660,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,756,065,000 and $3,863,649,000, respectively.
G. The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2015 | 5,052 | 1,895 | ||
Options Written | 15,597 | 5,616 | ||
Options Expired | (8,371) | (3,069) | ||
Options Closed | (9,819) | (3,609) | ||
Options Exercised | — | — | ||
Balance at July 31, 2015 | 2,459 | 833 | ||
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 335,744 | 33,948 | 772,465 | 78,049 |
Issued in Lieu of Cash Distributions | 39,472 | 3,994 | 102,688 | 10,381 |
Redeemed | (539,648) | (54,870) | (1,095,543) | (110,813) |
Net Increase (Decrease)—Investor Shares | (164,432) | (16,928) | (220,390) | (22,383) |
Admiral Shares | ||||
Issued | 2,728,508 | 276,737 | 4,649,825 | 469,737 |
Issued in Lieu of Cash Distributions | 219,615 | 22,231 | 490,098 | 49,543 |
Redeemed | (1,660,625) | (168,736) | (2,651,171) | (267,911) |
Net Increase (Decrease)—Admiral Shares | 1,287,498 | 130,232 | 2,488,752 | 251,369 |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
78
Long-Term Investment-Grade Fund
Fund Profile | |||
As of July 31, 2015 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VWESX | VWETX | |
Expense Ratio1 | 0.22% | 0.12% | |
30-Day SEC Yield | 4.09% | 4.19% | |
Financial Attributes | |||
Barclays | Barclays | ||
Long Credit | Aggregate | ||
A/Better | Bond | ||
Fund | Index | Index | |
Number of Bonds | 776 | 1,148 | 9,496 |
Yield to Maturity | |||
(before expenses) | 4.3% | 4.4% | 2.4% |
Average Coupon | 4.9% | 5.4% | 3.2% |
Average Duration | 13.1 years | 13.8 years | 5.6 years |
Average Effective | |||
Maturity | 22.3 years | 23.4 years | 7.8 years |
Short-Term | |||
Reserves | 5.1% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 26.0% | ||
Foreign | 1.7 | ||
Industrial | 40.1 | ||
Treasury/Agency | 3.4 | ||
Utilities | 13.4 | ||
Other | 15.4 |
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.
Volatility Measures | ||
Barclays | Barclays | |
Long Credit | Aggregate | |
A/Better | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.89 |
Beta | 1.00 | 2.71 |
These measures show the degree and timing of the fund’s | |
fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 5.3% |
3 - 5 Years | 0.1 |
5 - 7 Years | 0.2 |
7 - 10 Years | 2.5 |
10 - 20 Years | 18.8 |
20 - 30 Years | 69.6 |
Over 30 Years | 3.5 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 7.3% |
Aaa | 3.3 |
Aa | 31.3 |
A | 49.2 |
Baa | 7.9 |
Not Rated | 1.0 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.21% for Investor Shares and 0.11% for Admiral Shares.
79
Long-Term Investment-Grade Fund
Investment Focus
80
Long-Term Investment-Grade Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
Barclays | ||||
Long Credit | ||||
A/Better | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 5.27% | -4.00% | 1.27% | 1.32% |
2007 | 5.74 | -2.35 | 3.39 | 3.63 |
2008 | 5.85 | -1.42 | 4.43 | 3.70 |
2009 | 5.75 | -9.20 | -3.45 | -5.66 |
2010 | 6.91 | 10.38 | 17.29 | 17.13 |
2011 | 5.79 | 1.22 | 7.01 | 7.22 |
2012 | 6.29 | 15.68 | 21.97 | 22.56 |
2013 | 4.86 | 2.53 | 7.39 | 6.35 |
2014 | 4.64 | -5.05 | -0.41 | -1.10 |
2015 | 5.17 | 14.81 | 19.98 | 19.54 |
2016 | 1.93 | -9.66 | -7.73 | -7.78 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 7/9/1973 | 1.12% | 7.05% | 5.49% | 0.43% | 5.92% |
Admiral Shares | 2/12/2001 | 1.22 | 7.16 | 5.61 | 0.43 | 6.04 |
See Financial Highlights for dividend and capital gains information.
81
Long-Term Investment-Grade Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2015
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
U.S. Government and Agency Obligations | ||||||
U.S. Government Securities | ||||||
1,2 | United States Treasury Note/Bond | 4.500% | 2/15/36 | 162,475 | 211,015 | 1.5% |
United States Treasury | ||||||
Note/Bond | 0.875%–6.125% | 7/15/17–5/15/45 | 223,807 | 251,330 | 1.7% | |
462,345 | 3.2% | |||||
Agency Notes † | 23,321 | 0.1% | ||||
Total U.S. Government and Agency Obligations (Cost $465,677) | 485,666 | 3.3% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Bank of America Corp. | 3.950%–7.750% | 1/22/25–4/1/44 | 120,739 | 137,206 | 0.9% | |
Bank of America NA | 6.000% | 10/15/36 | 21,760 | 26,292 | 0.2% | |
Bank One Corp. | 7.625%–8.000% | 7/15/25–4/29/27 | 75,544 | 98,153 | 0.7% | |
Citigroup Inc. | 4.400%–8.125% | 6/1/25–7/30/45 | 155,607 | 176,432 | 1.2% | |
Cooperatieve Centrale | ||||||
Raiffeisen-Boerenleenbank BA | 5.750% | 12/1/43 | 52,730 | 58,346 | 0.4% | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 49,400 | 56,908 | 0.4% | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 46,315 | 55,698 | 0.4% | |
Goldman Sachs Group Inc. | 4.800%–6.250% | 2/15/33–7/8/44 | 80,387 | 93,386 | 0.6% | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 44,700 | 53,073 | 0.4% | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 23,725 | 27,193 | 0.2% | |
HSBC Holdings plc | 6.800% | 6/1/38 | 86,849 | 110,497 | 0.8% | |
HSBC Holdings plc | 5.250%–7.625% | 5/17/32–3/14/44 | 91,340 | 109,708 | 0.7% | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 90,000 | 113,770 | 0.8% | |
3 | JPMorgan Chase & Co. | 3.375%–5.625% | 5/1/23–12/29/49 | 118,449 | 129,034 | 0.9% |
Morgan Stanley | 7.250% | 4/1/32 | 44,360 | 58,306 | 0.4% | |
Morgan Stanley | 3.950%–6.375% | 7/23/25–1/27/45 | 124,346 | 131,184 | 0.9% | |
Synchrony Financial | 4.500% | 7/23/25 | 110 | 111 | 0.0% | |
Wachovia Corp. | 5.500%–6.605% | 10/1/25–8/1/35 | 24,905 | 28,292 | 0.2% |
82
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 152,733 | 170,730 | 1.2% |
Wells Fargo & Co. | 3.900%–5.375% | 6/3/26–5/1/45 | 156,766 | 160,811 | 1.1% |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 662 | 0.0% |
4 Banking—Other † | 92,803 | 0.6% | |||
4 Brokerage † | 27,045 | 0.2% | |||
Finance Companies | |||||
General Electric Capital Corp. | 6.750% | 3/15/32 | 126,620 | 168,048 | 1.1% |
General Electric Capital Corp. | 5.875% | 1/14/38 | 125,585 | 153,693 | 1.1% |
General Electric Capital Corp. | 6.875% | 1/10/39 | 62,215 | 85,505 | 0.6% |
3 General Electric | |||||
Capital Corp. | 6.150%–7.500% | 8/21/35–12/29/49 | 16,025 | 18,596 | 0.1% |
Insurance | |||||
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 44,557 | 45,201 | 0.3% |
4 Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 39,206 | 59,835 | 0.4% |
4 New York Life Insurance Co. | 5.875% | 5/15/33 | 47,575 | 56,301 | 0.4% |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 49,846 | 58,870 | 0.4% |
UnitedHealth Group Inc. | 3.750%–6.875% | 7/15/25–7/15/45 | 88,612 | 98,756 | 0.7% |
4 Insurance—Other † | 426,796 | 3.0% | |||
4 Real Estate Investment Trusts † | 30,711 | 0.2% | |||
3,117,952 | 21.5% | ||||
Industrial | |||||
Basic Industry † | 140,377 | 1.0% | |||
Capital Goods | |||||
General Electric Co. | 4.125%–4.500% | 10/9/42–3/11/44 | 35,725 | 36,406 | 0.3% |
United Technologies Corp. | 6.125% | 7/15/38 | 55,575 | 68,699 | 0.5% |
United Technologies Corp. | 4.500%–7.500% | 9/15/29–6/1/42 | 75,585 | 86,321 | 0.6% |
4 Capital Goods—Other † | 367,507 | 2.5% | |||
Communication | |||||
Comcast Corp. | 6.950% | 8/15/37 | 66,717 | 88,409 | 0.6% |
Comcast Corp. | 4.750% | 3/1/44 | 66,270 | 69,149 | 0.5% |
Comcast Corp. | 4.200%–7.050% | 1/15/33–8/15/45 | 182,124 | 209,150 | 1.4% |
NBCUniversal Media LLC | 4.450%–6.400% | 4/30/40–1/15/43 | 55,810 | 59,888 | 0.4% |
4 Communication—Other † | 287,743 | 2.0% | |||
Consumer Cyclical | |||||
Home Depot Inc. | 4.875% | 2/15/44 | 68,200 | 75,463 | 0.5% |
Home Depot Inc. | 4.200%–5.950% | 12/16/36–4/1/46 | 106,300 | 120,949 | 0.8% |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 83,350 | 107,454 | 0.8% |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 74,432 | 90,750 | 0.6% |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 51,000 | 72,646 | 0.5% |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 42,625 | 56,263 | 0.4% |
Wal-Mart Stores Inc. | 4.000%–5.625% | 9/1/35–4/22/44 | 92,289 | 100,661 | 0.7% |
4 Consumer Cyclical—Other † | 326,332 | 2.3% | |||
Consumer Noncyclical | |||||
Anheuser-Busch InBev | |||||
Worldwide Inc. | 8.200% | 1/15/39 | 41,590 | 62,940 | 0.4% |
AstraZeneca plc | 6.450% | 9/15/37 | 47,330 | 61,199 | 0.4% |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 54,345 | 69,325 | 0.5% |
4 Medtronic Inc. | 4.625% | 3/15/45 | 93,690 | 96,076 | 0.7% |
4 Medtronic Inc. | 4.375%–6.500% | 3/15/35–3/15/44 | 79,892 | 86,605 | 0.6% |
Pfizer Inc. | 7.200% | 3/15/39 | 44,462 | 62,062 | 0.4% |
Pfizer Inc. | 4.300% | 6/15/43 | 15,300 | 15,352 | 0.1% |
Pharmacia Corp. | 6.750% | 12/15/27 | 2,800 | 3,629 | 0.0% |
Wyeth LLC | 5.950% | 4/1/37 | 68,185 | 82,854 | 0.6% |
Wyeth LLC | 6.000% | 2/15/36 | 1,600 | 1,969 | 0.0% |
4 Consumer Noncyclical—Other † | 1,129,802 | 7.8% |
83
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Energy | |||||
Burlington Resources Finance Co. 7.400% | 12/1/31 | 23,500 | 31,615 | 0.2% | |
ConocoPhillips | 6.500% | 2/1/39 | 81,416 | 101,603 | 0.7% |
ConocoPhillips | 5.900%–7.000% | 3/30/29–10/15/32 | 30,450 | 36,690 | 0.2% |
ConocoPhillips Canada | |||||
Funding Co. I | 5.950% | 10/15/36 | 1,500 | 1,755 | 0.0% |
ConocoPhillips Co. | 4.300% | 11/15/44 | 25,655 | 25,032 | 0.2% |
Shell International Finance BV 6.375% | 12/15/38 | 43,260 | 55,581 | 0.4% | |
Shell International | |||||
Finance BV | 4.125%–5.500% | 5/11/35–5/11/45 | 123,320 | 127,118 | 0.9% |
Tosco Corp. | 7.800%–8.125% | 1/1/27–2/15/30 | 21,500 | 29,972 | 0.2% |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 49,100 | 65,619 | 0.4% |
Energy—Other † | 214,303 | 1.5% | |||
4 Other Industrial † | 82,053 | 0.6% | |||
Technology | |||||
Microsoft Corp. | 3.750% | 2/12/45 | 71,860 | 65,524 | 0.4% |
Oracle Corp. | 6.500% | 4/15/38 | 40,833 | 51,966 | 0.4% |
Oracle Corp. | 3.900%–6.125% | 7/8/34–5/15/55 | 145,719 | 151,043 | 1.0% |
4 Technology—Other † | 434,203 | 3.0% | |||
Transportation | |||||
Burlington Northern | |||||
Santa Fe LLC | 5.750%–6.875% | 12/1/27–5/1/40 | 20,388 | 24,122 | 0.2% |
4 Transportation—Other † | 105,235 | 0.7% | |||
5,639,414 | 38.9% | ||||
Utilities | |||||
Electric | |||||
Alabama Power Co. | 3.750%–6.000% | 3/1/39–3/1/45 | 69,143 | 75,357 | 0.5% |
Berkshire Hathaway | |||||
Energy Co. | 4.500%–6.125% | 4/1/36–2/1/45 | 48,127 | 52,656 | 0.4% |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 52,400 | 65,846 | 0.5% |
Duke Energy Carolinas LLC | 4.000%–6.450% | 10/15/32–9/30/42 | 73,982 | 77,455 | 0.5% |
Duke Energy Florida Inc. | 3.850%–6.750% | 2/1/28–11/15/42 | 17,160 | 20,555 | 0.2% |
Duke Energy Indiana Inc. | 4.200%–6.450% | 10/15/35–7/15/43 | 51,333 | 57,684 | 0.4% |
Duke Energy Progress Inc. | 4.100%–5.700% | 4/1/35–3/30/44 | 19,050 | 19,056 | 0.1% |
Georgia Power Co. | 4.300%–5.950% | 2/1/39–3/15/42 | 68,589 | 75,491 | 0.5% |
MidAmerican Energy Co. | 4.800%–5.800% | 10/15/36–9/15/43 | 29,800 | 32,957 | 0.2% |
Mississippi Power Co. | 4.250% | 3/15/42 | 2,000 | 1,814 | 0.0% |
Nevada Power Co. | 5.375%–6.650% | 4/1/36–5/15/41 | 47,680 | 55,820 | 0.4% |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 46,041 | 56,216 | 0.4% |
Pacific Gas & Electric Co. | 4.500%–6.350% | 3/1/37–2/15/44 | 90,952 | 107,105 | 0.7% |
PacifiCorp | 4.100%–6.350% | 6/15/35–2/1/42 | 101,082 | 121,432 | 0.8% |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 71,685 | 0.5% |
4 Electric—Other † | 1,024,107 | 7.1% | |||
Natural Gas † | 7,939 | 0.1% | |||
1,923,175 | 13.3% | ||||
Total Corporate Bonds (Cost $9,834,000) | 10,680,541 | 73.7% | |||
4Sovereign Bonds (U.S. Dollar-Denominated) (Cost $231,265) † | 240,825 | 1.7% | |||
Taxable Municipal Bonds | |||||
American Municipal Power | |||||
Ohio Inc. Revenue (Prairie State | |||||
Energy Campus Project) | 6.270% | 2/15/50 | 53,500 | 64,361 | 0.4% |
84
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Bay Area Toll Authority | |||||
California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 44,640 | 59,266 | 0.4% |
California GO | 7.300% | 10/1/39 | 109,045 | 154,230 | 1.0% |
California GO | 7.600% | 11/1/40 | 74,320 | 111,715 | 0.8% |
California GO | 7.550% | 4/1/39 | 55,350 | 81,679 | 0.5% |
California GO | 7.350%–7.625% | 4/1/34–3/1/40 | 60,335 | 87,391 | 0.6% |
Illinois GO | 5.100% | 6/1/33 | 193,305 | 183,574 | 1.3% |
Los Angeles CA Unified | |||||
School District GO | 6.758% | 7/1/34 | 64,235 | 85,084 | 0.6% |
5 New Jersey Economic | |||||
Development Authority Revenue | |||||
(State Pension Funding) | 7.425% | 2/15/29 | 50,002 | 57,139 | 0.4% |
New Jersey Turnpike Authority | |||||
Revenue | 7.102% | 1/1/41 | 62,755 | 84,909 | 0.6% |
New Jersey Turnpike Authority | |||||
Revenue | 7.414% | 1/1/40 | 52,934 | 73,941 | 0.5% |
New York Metropolitan | |||||
Transportation Authority Revenue | |||||
(Dedicated Tax Fund) | 7.336% | 11/15/39 | 66,105 | 96,327 | 0.7% |
Port Authority of New York | |||||
& New Jersey Revenue | 4.458%–6.040% | 12/1/29–10/1/62 | 132,285 | 146,568 | 1.0% |
1 President & Fellows of | |||||
Harvard College | |||||
Massachusetts GO | 6.300% | 10/1/37 | 52,593 | 54,565 | 0.4% |
Taxable Municipal Bonds—Other † | 880,867 | 6.1% | |||
Total Taxable Municipal Bonds (Cost $1,949,597) | 2,221,616 | 15.3% | |||
Shares | |||||
Temporary Cash Investments | |||||
Money Market Fund | |||||
6 Vanguard Market Liquidity Fund | 0.152% | 142,204,326 | 142,204 | 1.0% | |
Face | |||||
Amount | |||||
($000) | |||||
Repurchase Agreements | |||||
Bank of America Securities, LLC | |||||
(Dated 7/31/15, Repurchase | |||||
Value $51,401,000, collateralized | |||||
by Government National | |||||
Mortgage Assn. 3.500%, | |||||
7/20/45, with a value of | |||||
$52,548,000) | 0.150% | 8/3/15 | 51,400 | 51,400 | 0.4% |
Bank of Montreal (Dated 7/31/15, | |||||
Repurchase Value $55,501,000, | |||||
collateralized by U.S. Treasury | |||||
Note/Bond 0.875%–3.000%, | |||||
9/30/16–12/31/20, with a value | |||||
of $56,610,000) | 0.130% | 8/3/15 | 55,500 | 55,500 | 0.4% |
85
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Bank of Montreal | |||||
(Dated 7/31/15, Repurchase | |||||
Value $50,001,000, collateralized | |||||
by Federal National Mortgage | |||||
Assn. 4.000%, 8/1/44, Federal | |||||
Home Loan Mortgage Corp. | |||||
3.500%–5.500%, 4/1/34–5/1/45, | |||||
and Government National | |||||
Mortgage Assn. 5.500%, 9/15/29, | |||||
with a value of $51,000,000) | 0.150% | 8/3/15 | 50,000 | 50,000 | 0.3% |
Barclays Capital Inc. | |||||
(Dated 7/31/15, Repurchase | |||||
Value $173,602,000, collateralized | |||||
by U.S. Treasury Note/Bond | |||||
2.750%, 2/15/24, with a value | |||||
of $177,072,000) | 0.130% | 8/3/15 | 173,600 | 173,600 | 1.2% |
Citigroup Global Markets Inc. | |||||
(Dated 7/31/15, Repurchase | |||||
Value $137,402,000, collateralized | |||||
by U.S. Treasury Note/Bond | |||||
0.875%–2.250%, 7/15/18–4/30/21, | |||||
with a value of $140,148,000) | 0.140% | 8/3/15 | 137,400 | 137,400 | 0.9% |
RBC Capital Markets LLC | |||||
(Dated 7/31/15, Repurchase | |||||
Value $116,201,000, collateralized | |||||
by Federal National Mortgage | |||||
Assn. 1.354%–6.000%, | |||||
5/1/26–6/1/45, Federal Home | |||||
Loan Mortgage Corp. | |||||
2.191%–4.500%, 6/1/25–5/1/45, | |||||
and Government National | |||||
Mortgage Assn. 1.625%–4.571%, | |||||
8/20/40–3/20/65, with a value of | |||||
$118,524,000) | 0.140% | 8/3/15 | 116,200 | 116,200 | 0.8% |
584,100 | 4.0% | ||||
Total Temporary Cash Investments (Cost $726,304) | 726,304 | 5.0% | |||
Total Investments (Cost $13,206,843) | 14,354,952 | 99.0% | |||
Expiration | |||||
Date | Contracts | ||||
Liability for Options Written (0.0%) | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 24 | (21) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 24 | (15) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 43 | (17) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 6 | (2) | 0.0% | |
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 24 | (2) | 0.0% |
86
Long-Term Investment-Grade Fund | ||||
Market | Percentage | |||
Expiration | Value• | of Net | ||
Date | Contracts | ($000) | Assets | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 33 | (3) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 24 | (4) | 0.0% |
Total Liability for Options Written (Premiums received $61) | (64) | 0.0% | ||
Other Assets and Liabilities | ||||
Other Assets7 | 224,411 | 1.5% | ||
Other Liabilities | (80,249) | (0.5%) | ||
144,162 | 1.0% | |||
Net Assets | 14,499,050 | 100.0% | ||
At July 31, 2015, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 13,216,901 | |||
Undistributed Net Investment Income | 8 | |||
Accumulated Net Realized Gains | 110,620 | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 1,148,109 | |||
Futures Contracts | 15,275 | |||
Options on Futures Contracts | (3) | |||
Swap Contracts | 8,008 | |||
Forward Currency Contracts | 127 | |||
Foreign Currencies | 5 | |||
Net Assets | 14,499,050 | |||
Investor Shares—Net Assets | ||||
Applicable to 416,714,508 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,242,864 | |||
Net Asset Value Per Share—Investor Shares | $10.18 |
87
Long-Term Investment-Grade Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 1,007,317,465 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,256,186 |
Net Asset Value Per Share—Admiral Shares | $10.18 |
- See Note A in Notes to Financial Statements.
- Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
- Securities with a value of $5,179,000 have been segregated as initial margin for open futures contracts.
- Securities with a value of $26,632,000 have been segregated as initial margin for open cleared swap contracts.
- 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.
- Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $950,205,000, representing 6.6% of net assets.
- Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
- Cash of $11,849,000 has been segregated as initial margin for open futures contracts. GO—General Obligation Bond.
See accompanying Notes, which are an integral part of the Financial Statements.
88
Long-Term Investment-Grade Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 337,203 |
Total Income | 337,203 |
Expenses | |
Investment Advisory Fees—Note B | 2,066 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 3,547 |
Management and Administrative—Admiral Shares | 3,529 |
Marketing and Distribution—Investor Shares | 345 |
Marketing and Distribution—Admiral Shares | 867 |
Custodian Fees | 68 |
Shareholders’ Reports—Investor Shares | 26 |
Shareholders’ Reports—Admiral Shares | 12 |
Trustees’ Fees and Expenses | 12 |
Total Expenses | 10,472 |
Net Investment Income | 326,731 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 185,243 |
Futures Contracts | (18,941) |
Options on Futures Contracts | 122 |
Swap Contracts | 9,858 |
Foreign Currencies and Forward Currency Contracts | 87 |
Realized Net Gain (Loss) | 176,369 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (1,787,261) |
Futures Contracts | (28,927) |
Options on Futures Contracts | 191 |
Swap Contracts | (1,961) |
Foreign Currencies and Forward Currency Contracts | 114 |
Change in Unrealized Appreciation (Depreciation) | (1,817,844) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,314,744) |
1 Interest income from an affiliated company of the fund was $125,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
89
Long-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 326,731 | 669,729 |
Realized Net Gain (Loss) | 176,369 | 309,736 |
Change in Unrealized Appreciation (Depreciation) | (1,817,844) | 1,880,477 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,314,744) | 2,859,942 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (93,511) | (191,346) |
Admiral Shares | (243,979) | (498,282) |
Realized Capital Gain1 | ||
Investor Shares | (28,717) | (63,485) |
Admiral Shares | (73,631) | (162,325) |
Total Distributions | (439,838) | (915,438) |
Capital Share Transactions | ||
Investor Shares | 17,262 | 56,137 |
Admiral Shares | (820,032) | 917,905 |
Net Increase (Decrease) from Capital Share Transactions | (802,770) | 974,042 |
Total Increase (Decrease) | (2,557,352) | 2,918,546 |
Net Assets | ||
Beginning of Period | 17,056,402 | 14,137,856 |
End of Period2 | 14,499,050 | 17,056,402 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $21,484,000 and $69,071,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $8,000 and ($41,000).
See accompanying Notes, which are an integral part of the Financial Statements.
90
Long-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.34 | $10.02 | $10.65 | $10.50 | $9.15 | $9.04 |
Investment Operations | ||||||
Net Investment Income | . 214 | .453 | .469 | .491 | .515 | .516 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (1.083) | 1.487 | (.525) | .274 | 1.439 | .117 |
Total from Investment Operations | (.869) | 1.940 | (.056) | .765 | 1.954 | .633 |
Distributions | ||||||
Dividends from Net Investment Income | (. 222) | (. 466) | (. 481) | (. 499) | (. 521) | (. 523) |
Distributions from Realized Capital Gains | (. 069) | (.154) | (. 093) | (.116) | (. 083) | — |
Total Distributions | (. 291) | (. 620) | (. 574) | (. 615) | (. 604) | (. 523) |
Net Asset Value, End of Period | $10.18 | $11.34 | $10.02 | $10.65 | $10.50 | $9.15 |
Total Return1 | -7.73% | 19.98% | -0.41% | 7.39% | 21.97% | 7.01% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,243 | $4,714 | $4,112 | $4,429 | $4,340 | $3,770 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.21% | 0.22% | 0.22% | 0.22% | 0.22% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.13% | 4.30% | 4.64% | 4.57% | 5.25% | 5.53% |
Portfolio Turnover Rate | 32% | 21% | 26% | 21% | 29% | 19% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
91
Long-Term Investment-Grade Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.34 | $10.02 | $10.65 | $10.50 | $9.15 | $9.04 |
Investment Operations | ||||||
Net Investment Income | . 220 | .463 | .480 | .502 | .525 | .528 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (1.083) | 1.487 | (.525) | .274 | 1.439 | .117 |
Total from Investment Operations | (.863) | 1.950 | (.045) | .776 | 1.964 | .645 |
Distributions | ||||||
Dividends from Net Investment Income | (. 228) | (. 476) | (. 492) | (. 510) | (. 531) | (. 535) |
Distributions from Realized Capital Gains | (. 069) | (.154) | (. 093) | (.116) | (. 083) | — |
Total Distributions | (. 297) | (. 630) | (. 585) | (. 626) | (. 614) | (. 535) |
Net Asset Value, End of Period | $10.18 | $11.34 | $10.02 | $10.65 | $10.50 | $9.15 |
Total Return1 | -7.69% | 20.10% | -0.31% | 7.49% | 22.09% | 7.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,256 | $12,342 | $10,026 | $9,112 | $7,113 | $5,340 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.11% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.23% | 4.40% | 4.74% | 4.67% | 5.35% | 5.65% |
Portfolio Turnover Rate | 32% | 21% | 26% | 21% | 29% | 19% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
92
Long-Term Investment-Grade Fund
Notes to Financial Statements
Vanguard Long-Term Investment-Grade Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in bonds denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures and Options: The fund uses futures contracts and options on 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. The primary risk associated with purchasing
93
Long-Term Investment-Grade Fund
options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 5% and less than 1% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended July 31, 2015, the fund’s average value of options purchased and options written each represented less than 1% of net assets based on the average market values at each quarter-end during the period.
4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral
94
Long-Term Investment-Grade Fund
received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended July 31, 2015, the fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into interest rate swap transactions to adjust the fund’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may
95
Long-Term Investment-Grade Fund
default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The fund enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
During the six months ended July 31, 2015, the fund’s average amounts of credit protection sold and credit protection purchased represented 13% and less than 1% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period. The average amount of interest rate swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
6. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
7. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
96
Long-Term Investment-Grade Fund
8. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
9. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
10. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. Wellington Management Company LLP provides investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor.
The Vanguard Group provides investment advisory services to a portion of the fund on an at-cost basis; the fund paid Vanguard advisory fees of $801,000 for the six months ended July 31, 2015.
For the six months ended July 31, 2015, the aggregate investment advisory fee represented an effective annual basic rate of 0.03% of the fund’s average net assets.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $1,331,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.53% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
97
Long-Term Investment-Grade Fund
D. 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).
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 485,666 | — |
Corporate Bonds | — | 10,680,541 | — |
Sovereign Bonds | — | 240,825 | — |
Taxable Municipal Bonds | — | 2,221,616 | — |
Temporary Cash Investments | 142,204 | 584,100 | — |
Futures Contracts—Assets1 | 3,693 | — | — |
Futures Contracts—Liabilities1 | (165) | — | — |
Forward Currency Contracts—Assets | — | 130 | — |
Forward Currency Contracts—Liabilities | — | (3) | — |
Swap Contracts—Assets | 2,6841 | 14,887 | — |
Swap Contracts—Liabilities | (2,143)1 | (332) | — |
Liability for Options Written | (64) | — | — |
Total | 146,209 | 14,227,430 | — |
1 Represents variation margin on the last day of the reporting period. |
E. At July 31, 2015, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) | ($000) |
Other Assets | 3,770 | 130 | 17,494 | 21,394 |
Liability for Options Written | (64) | — | — | (64) |
Other Liabilities | (260) | (3) | (2,380) | (2,643) |
98
Long-Term Investment-Grade Fund
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2015, were:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | (18,941) | — | — | (18,941) |
Options on Futures Contracts | 122 | — | — | 122 |
Swap Contracts | (92) | — | 9,950 | 9,858 |
Forward Currency Contracts | — | 79 | — | 79 |
Realized Net Gain (Loss) on Derivatives | (18,911) | 79 | 9,950 | (8,882) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | (28,927) | — | — | (28,927) |
Options on Futures Contracts | 191 | — | — | 191 |
Swap Contracts | 751 | — | (2,712) | (1,961) |
Forward Currency Contracts | — | 85 | — | 85 |
Change in Unrealized Appreciation | ||||
(Depreciation) on Derivatives | (27,985) | 85 | (2,712) | (30,612) |
At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
30-Year U.S. Treasury Bond | September 2015 | 2,071 | 322,947 | 9,117 |
Ultra Long U.S. Treasury Bond | September 2015 | 1,844 | 294,176 | 4,581 |
10-Year U.S. Treasury Note | September 2015 | 1,502 | 191,411 | 1,673 |
5-Year U.S. Treasury Note | September 2015 | 259 | 31,040 | 87 |
2-Year U.S. Treasury Note | September 2015 | (23) | (5,038) | (3) |
Euro-Buxl | September 2015 | (18) | (3,084) | (146) |
Euro-Bund | September 2015 | (12) | (2,035) | (34) |
15,275 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
99
Long-Term Investment-Grade Fund
At July 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
Unrealized | |||||||
Contract | Contract Amount (000) | Appreciation | |||||
Settlement | (Depreciation) | ||||||
Counterparty | Date | Receive | Deliver | ($000) | |||
Morgan Stanley Capital Services LLC | 8/4/15 | EUR | 3,430 | USD | 3,766 | 1 | |
Bank of America N.A. | 8/4/15 | GBP | 115 | USD | 179 | — | |
Deutsche Bank AG | 8/4/15 | EUR | 36 | USD | 39 | — | |
Morgan Stanley Capital Services LLC | 9/2/15 | USD | 5,295 | EUR | 4,821 | (1) | |
BNP Paribas | 8/4/15 | USD | 3,820 | EUR | 3,363 | 127 | |
Morgan Stanley Capital Services LLC | 8/4/15 | USD | 182 | GBP | 115 | 2 | |
Bank of America N.A. | 9/2/15 | USD | 179 | GBP | 115 | (1) | |
Goldman Sachs Bank USA | 8/4/15 | USD | 112 | EUR | 103 | (1) | |
127 | |||||||
EUR—Euro. | |||||||
GBP—British pound. | |||||||
USD—U.S. dollar. | |||||||
At July 31, 2015, the fund had the following open swap contracts: | |||||||
Centrally Cleared Credit Default Swaps | |||||||
Remaining | |||||||
Up-Front | Periodic | ||||||
Premium | Premium | Unrealized | |||||
Notional | Received | Received | Appreciation | ||||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | |||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) | |
Credit Protection Sold/Moody’s Rating | |||||||
CDX-IG-24-V1/Aa32 | 6/20/20 | CME | 969,300 | (15,766) | 1.000 | (4,580) | |
CDX-IG-24-V1/A22 | 6/20/20 | ICE | 401,700 | (7,421) | 1.000 | (1,866) | |
1,371,000 | (6,446) |
1 CME—Chicago Mercantile Exchange. ICE—Intercontinental Exchange.
2 Investment Grade Corporate Credit Default Swap Index—Version 24.
100
Long-Term Investment-Grade Fund | ||||||
Over-the-Counter Credit Default Swaps | ||||||
Remaining | ||||||
Up-Front | Periodic | |||||
Premium | Premium | Unrealized | ||||
Notional | Received | Received | Appreciation | |||
Termination | Amount | (Paid) | (Paid) | (Depreciation) | ||
Reference Entity | Date | Counterparty1 | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
CDX-IGS-14-V1-10Y/Baa32 | 6/20/20 | BOANA | 100,000 | 90 | 1.000 | 1,452 |
CDX-IGS-16-V1-10Y/Baa33 | 6/20/21 | GSI | 200,000 | 2,635 | 1.000 | 4,475 |
CDX-IGS-19-V1-10Y/Baa34 | 12/20/22 | BOANA | 25,000 | 638 | 1.000 | 699 |
CDX-IGS-19-V1-10Y/Baa34 | 12/20/22 | BOANA | 300,000 | 7,480 | 1.000 | 8,221 |
Federation of Malaysia/A3 | 9/20/20 | GSCM | 8,000 | 103 | 1.000 | (95) |
Peoples Republic of China/Aa3 | 9/20/20 | GSCM | 8,000 | (35) | 1.000 | (39) |
Republic of Chile/Aa3 | 9/20/20 | BNPSW | 13,000 | (116) | 1.000 | (144) |
Republic of Peru/A3 | 9/20/20 | BNPSW | 4,000 | 77 | 1.000 | (16) |
Republic of Turkey/Baa3 | 3/20/20 | BOANA | 500 | 23 | 1.000 | (3) |
Republic of Turkey/Baa3 | 6/20/20 | BNPSW | 1,584 | 74 | 1.000 | (17) |
Republic of Turkey/Baa3 | 12/20/16 | BNPSW | 2,000 | 4 | 1.000 | (3) |
Russian Federation/Ba1 | 6/20/17 | GSCM | 400 | 19 | 1.000 | 7 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 200 | 10 | 1.000 | 4 |
United Mexican States/A3 | 9/20/20 | DBAG | 1,750 | 25 | 1.000 | (15) |
664,434 | 14,526 | |||||
Credit Protection Purchased | ||||||
People’s Republic of China | 9/20/20 | MSCS | 3,000 | 6 | (1.000) | 3 |
People’s Republic of China | 9/20/20 | MSCS | 4,000 | 9 | (1.000) | 6 |
Republic of Colombia | 9/20/20 | GSCM | 2,000 | (68) | (1.000) | 6 |
Russian Federation | 6/20/20 | GSCM | 290 | (26) | (1.000) | 2 |
Russian Federation | 9/20/20 | BARC | 1,000 | (94) | (1.000) | 8 |
Russian Federation | 9/20/20 | BOANA | 600 | (57) | (1.000) | 4 |
10,890 | 29 | |||||
14,555 |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
1 BARC—Barclays Bank plc. BOANA—Bank of America, N.A.
DBAG—Deutsche Bank AG. GSCM—Goldman Sachs Bank USA. GSI—Goldman Sachs International. MSCS—Morgan Stanley Capital Services LLC.
2 Investment Grade Corporate Credit Default Swap Index—Version 14. 3 Investment Grade Corporate Credit Default Swap Index—Version 16. 4 Investment Grade Corporate Credit Default Swap Index—Version 19.
101
Long-Term Investment-Grade Fund | |||||
Centrally Cleared Interest Rate Swaps | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Clearinghouse1 | ($000) | (%) | (%) | ($000) |
9/16/35 | CME | 11,051 | 3.000 | (0.000)2 | 266 |
9/16/45 | CME | 13,410 | (3.000) | 0.0002 | (367) |
(101) | |||||
1 CME—Chicago Mercantile Exchange. | |||||
2 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. |
At July 31, 2015, counterparties had deposited in segregated accounts securities with a value of $5,526,000 in connection with open swap contracts and forward currency contracts.
F. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended July 31, 2015, the fund realized net foreign currency gains of $93,000 (including gains and losses on forward currency contracts and the foreign currency component on sales of foreign currency denominated bonds), which increased distributable net income for tax purposes; accordingly, such gains have been reclassified from accumulated net realized gains to undistributed net investment income.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes; the effect on the fund’s income dividends to shareholders is offset by a change in principal return. Realized gains of $10,716,000 on swap contracts have been reclassified from accumulated net realized gains to overdistributed net investment income.
At July 31, 2015, the cost of investment securities for tax purposes was $13,217,124,000. Net unrealized appreciation of investment securities for tax purposes was $1,137,828,000, consisting of unrealized gains of $1,284,725,000 on securities that had risen in value since their purchase and $146,897,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended July 31, 2015, the fund purchased $2,112,977,000 of investment securities and sold $3,102,309,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $302,037,000 and $264,971,000, respectively. Total purchases and sales include $0 and $816,408,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
102
Long-Term Investment-Grade Fund
The following table summarizes the fund’s options written during the six months ended July 31, 2015.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2015 | 422 | 158 | ||
Options written | 1,208 | 436 | ||
Options expired | (680) | (249) | ||
Options closed | (772) | (284) | ||
Options exercised | — | — | ||
Balance at July 31, 2015 | 178 | 61 | ||
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 262,721 | 24,954 | 579,785 | 55,104 |
Issued in Lieu of Cash Distributions | 117,651 | 11,127 | 245,252 | 23,188 |
Redeemed | (363,110) | (35,075) | (768,900) | (72,847) |
Net Increase (Decrease)—Investor Shares | 17,262 | 1,006 | 56,137 | 5,445 |
Admiral Shares | ||||
Issued | 703,446 | 66,860 | 2,361,853 | 225,018 |
Issued in Lieu of Cash Distributions | 248,094 | 23,451 | 524,052 | 49,529 |
Redeemed | (1,771,572) | (171,407) | (1,968,000) | (186,569) |
Net Increase (Decrease)—Admiral Shares | (820,032) | (81,096) | 917,905 | 87,978 |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
103
High-Yield Corporate Fund
Fund Profile
As of July 31, 2015
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VWEHX | VWEAX | |
Expense Ratio1 | 0.23% | 0.13% | |
30-Day SEC Yield | 5.23% | 5.33% | |
Financial Attributes | |||
High-Yield | Barclays | ||
Corporate | Corporate | ||
Composite | High Yield | ||
Fund | Index | Index | |
Number of Bonds | 398 | 1,898 | 2,220 |
Yield to Maturity | |||
(before expenses) | 5.6% | 5.9% | 7.2% |
Average Coupon | 5.9% | 6.2% | 6.8% |
Average Duration | 4.3 years | 4.3 years | 4.3 years |
Average Effective | |||
Maturity | 5.3 years | 5.3 years | 5.3 years |
Short-Term | |||
Reserves | 2.7% | — | — |
Sector Diversification (% of portfolio) | |||
Basic Industry | 6.2% | ||
Capital Goods | 6.4 | ||
Communication | 25.7 | ||
Consumer Cyclical | 6.8 | ||
Consumer Non-Cyclical | 13.8 | ||
Energy | 10.0 | ||
Finance | 13.5 | ||
Technology | 9.5 | ||
Transportation | 1.3 | ||
Treasury / Agency | 2.3 | ||
Utilities | 4.5 |
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.
Volatility Measures | ||
High-Yield | Barclays | |
Corporate | Corporate | |
Composite | High Yield | |
Index | Index | |
R-Squared | 0.96 | 0.92 |
Beta | 1.00 | 0.91 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 4.5% |
1 - 5 Years | 25.8 |
5 - 10 Years | 64.1 |
10 - 20 Years | 3.9 |
20 - 30 Years | 1.1 |
Over 30 Years | 0.6 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 1.9% |
Aaa | 0.8 |
Baa | 4.1 |
Ba | 45.6 |
B | 40.7 |
Caa | 6.4 |
C | 0.4 |
Not Rated | 0.1 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated May 27, 2015, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2015, the annualized expense ratios were 0.22% for Investor Shares and 0.12% for Admiral Shares.
104
High-Yield Corporate Fund
Investment Focus
105
High-Yield Corporate Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 31, 2005, Through July 31, 2015 | ||||
High-Yield | ||||
Corporate | ||||
Composite | ||||
Investor Shares | Index1 | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 7.02% | -3.13% | 3.89% | — |
2007 | 7.41 | 0.48 | 7.89 | 8.64% |
2008 | 7.13 | -6.43 | 0.70 | 1.95 |
2009 | 6.83 | -23.02 | -16.19 | -14.77 |
2010 | 10.36 | 22.32 | 32.68 | 34.94 |
2011 | 8.23 | 5.47 | 13.70 | 14.22 |
2012 | 7.35 | 0.69 | 8.04 | 6.68 |
2013 | 6.76 | 5.15 | 11.91 | 12.38 |
2014 | 5.84 | -1.31 | 4.53 | 5.60 |
2015 | 5.55 | -0.99 | 4.56 | 3.57 |
2016 | 2.70 | -1.20 | 1.50 | 1.37 |
Note: For 2016, performance data reflect the six months ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 12/27/1978 | 1.45% | 8.16% | 7.15% | -0.58% | 6.57% |
Admiral Shares | 11/12/2001 | 1.55 | 8.27 | 7.27 | -0.58 | 6.69 |
1 Benchmark history is unavailable prior to May 31, 2005.
See Financial Highlights for dividend and capital gains information.
106
High-Yield Corporate Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2015
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
U.S. Government and Agency Obligations | ||||||
U.S. Government Securities | ||||||
United States Treasury Note/Bond 0.375% | 5/31/16 | 170,920 | 171,053 | 1.0% | ||
United States Treasury Note/Bond | 0.875% | 11/30/16 | 169,570 | 170,471 | 0.9% | |
Total U.S. Government and Agency Obligations (Cost $341,289) | 341,524 | 1.9% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (Cost $55,572) † | 55,914 | 0.3% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
1,2 | Credit Suisse Group AG | 6.250% | 12/29/49 | 96,200 | 94,036 | 0.5% |
Royal Bank of Scotland Group plc | 6.125% | 12/15/22 | 113,600 | 122,562 | 0.7% | |
2 | Banking—Other † | 270,053 | 1.5% | |||
Finance Companies | ||||||
2 | AerCap Ireland Capital Ltd. / | |||||
AerCap Global | ||||||
Aviation Trust | 3.750%–5.000% | 5/15/19–7/1/22 | 147,390 | 149,917 | 0.8% | |
2 | CIT Group Inc. | 6.625% | 4/1/18 | 120,655 | 130,006 | 0.7% |
CIT Group Inc. | 5.250% | 3/15/18 | 102,005 | 106,085 | 0.6% | |
CIT Group Inc. | 5.375% | 5/15/20 | 98,370 | 104,149 | 0.6% | |
CIT Group Inc. | 5.000% | 8/15/22 | 96,680 | 98,251 | 0.5% | |
2 | CIT Group Inc. | 3.875%–5.500% | 2/15/19–2/19/19 | 112,210 | 116,910 | 0.6% |
Homer City Generation LP | 8.734% | 10/1/26 | 121,041 | 122,856 | 0.7% | |
International Lease | ||||||
Finance Corp. | 3.875%–8.750% | 3/15/17–8/15/22 | 288,307 | 317,487 | 1.8% | |
Navient Corp. | 5.500%–8.450% | 6/15/18–1/25/23 | 225,825 | 226,643 | 1.3% | |
Finance Companies—Other † | 55,586 | 0.3% | ||||
Insurance | ||||||
1 | Voya Financial Inc. | 5.650% | 5/15/53 | 87,753 | 89,618 | 0.5% |
2 | Insurance—Other † | 139,793 | 0.8% |
107
High-Yield Corporate Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Other Finance | ||||||
2 | Argos Merger Sub Inc. | 7.125% | 3/15/23 | 87,535 | 92,459 | 0.5% |
Other Finance—Other † | 27,277 | 0.1% | ||||
2 | Real Estate Investment Trusts † | 56,049 | 0.3% | |||
2,319,737 | 12.8% | |||||
Industrial | ||||||
Basic Industry | ||||||
2 | FMG Resources August | |||||
2006 Pty Ltd. | 6.875% | 4/1/22 | 161,760 | 93,416 | 0.5% | |
Hexion US Finance Corp. | 6.625% | 4/15/20 | 123,010 | 112,708 | 0.6% | |
2,3 | VWR Funding Inc. | 4.625% | 4/15/22 | 112,916 | 119,874 | 0.7% |
2,5 | Basic Industry—Other † | 742,933 | 4.1% | |||
Capital Goods | ||||||
Case New Holland Inc. | 7.875% | 12/1/17 | 91,500 | 100,536 | 0.5% | |
2 | Cemex SAB de CV | 6.125% | 5/5/25 | 108,600 | 108,166 | 0.6% |
2 | CNH Industrial Capital LLC | 3.375%–6.250% | 11/1/16–7/15/19 | 103,273 | 105,502 | 0.6% |
2 | Capital Goods—Other † | 777,762 | 4.3% | |||
Communication | ||||||
2 | CCO Holdings LLC / CCO | |||||
Holdings Capital Corp. | 5.125% | 5/1/23 | 97,010 | 96,603 | 0.5% | |
2 | CCO Holdings LLC / CCO | |||||
Holdings Capital Corp. | 5.125%–7.000% | 1/15/19–5/1/27 | 207,492 | 208,193 | 1.1% | |
2 | CCO Safari II LLC | 4.908%–6.484% | 7/23/25–10/23/45 | 106,165 | 107,735 | 0.6% |
CSC Holdings LLC | 7.625% | 7/15/18 | 79,045 | 86,949 | 0.5% | |
DISH DBS Corp. | 6.750% | 6/1/21 | 153,840 | 162,301 | 0.9% | |
DISH DBS Corp. | 5.875% | 7/15/22 | 94,575 | 94,102 | 0.5% | |
DISH DBS Corp. | 5.000%–7.875% | 9/1/19–11/15/24 | 34,865 | 35,013 | 0.2% | |
Hughes Satellite | ||||||
Systems Corp. | 6.500% | 6/15/19 | 81,968 | 89,755 | 0.5% | |
Intelsat Jackson Holdings | ||||||
SA | 7.250% | 10/15/20 | 164,947 | 164,122 | 0.9% | |
Intelsat Jackson Holdings | ||||||
SA | 5.500%–7.500% | 4/1/19–8/1/23 | 200,580 | 194,036 | 1.1% | |
Level 3 Escrow II Inc. | 5.375% | 8/15/22 | 75,480 | 76,235 | 0.4% | |
2 | Level 3 Financing Inc. | 5.125%–6.125% | 1/15/21–5/1/25 | 103,775 | 102,551 | 0.6% |
4,5 | Level 3 Financing, Inc. | |||||
Bank Loan | 4.000% | 1/15/20 | 40,855 | 40,944 | 0.2% | |
Liberty Interactive LLC | 8.250% | 2/1/30 | 115,253 | 121,592 | 0.7% | |
MetroPCS Wireless Inc. | 6.625% | 11/15/20 | 75,800 | 78,832 | 0.4% | |
2 | Nielsen Finance LLC / | |||||
Nielsen Finance Co. | 5.000% | 4/15/22 | 128,155 | 126,873 | 0.7% | |
2 | Softbank Corp. | 4.500% | 4/15/20 | 159,095 | 159,493 | 0.9% |
Sprint Corp. | 7.250% | 9/15/21 | 95,745 | 91,676 | 0.5% | |
Sprint Corp. | 7.125%–7.875% | 9/15/23–6/15/24 | 93,375 | 88,372 | 0.5% | |
2 | Sprint Nextel Corp. | 7.000% | 3/1/20 | 135,830 | 144,659 | 0.8% |
2 | Sprint Nextel Corp. | 9.000% | 11/15/18 | 92,545 | 103,650 | 0.6% |
T-Mobile USA Inc. | 5.250%–6.836% | 9/1/18–1/15/24 | 196,463 | 206,376 | 1.1% | |
2 | Univision | |||||
Communications Inc. | 5.125% | 2/15/25 | 126,080 | 126,395 | 0.7% | |
Videotron Ltd. | 5.000% | 7/15/22 | 85,064 | 86,340 | 0.5% | |
2 | Zayo Group LLC / Zayo Capital Inc. 6.000% | 4/1/23 | 104,300 | 104,039 | 0.6% | |
2,5 | Communication—Other † | 1,519,163 | 8.4% | |||
2,5 | Consumer Cyclical † | 1,164,881 | 6.4% | |||
Consumer Noncyclical | ||||||
2 | Capsugel SA | 7.000% | 5/15/19 | 46,650 | 47,350 | 0.3% |
108
High-Yield Corporate Fund | |||||||
Face | Market | Percentage | |||||
Maturity | Amount | Value• | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
CHS/Community Health | |||||||
Systems Inc. | 6.875% | 2/1/22 | 149,325 | 159,778 | 0.9% | ||
CHS/Community Health | |||||||
Systems Inc. | 5.125%–7.125% | 7/15/20–8/1/21 | 48,900 | 51,701 | 0.3% | ||
2 | Envision Healthcare Corp. | 5.125% | 7/1/22 | 86,215 | 87,724 | 0.5% | |
HCA Holdings Inc. | 6.250% | 2/15/21 | 27,980 | 30,638 | 0.2% | ||
HCA Inc. | 6.500% | 2/15/20 | 127,050 | 142,137 | 0.8% | ||
HCA Inc. | 4.750%–7.690% | 3/15/22–6/15/25 | 211,790 | 222,591 | 1.2% | ||
2 | IMS Health Inc. | 6.000% | 11/1/20 | 93,781 | 96,829 | 0.5% | |
Party City Holdings Inc. | 8.875% | 8/1/20 | 105,297 | 113,194 | 0.6% | ||
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 106,879 | 0.6% | ||
2 | Tenet Healthcare Corp. | 4.500%–8.125% | 11/1/18–4/1/22 | 212,502 | 223,833 | 1.2% | |
2 | THC Escrow Corp. II | 6.750% | 6/15/23 | 11,570 | 12,091 | 0.1% | |
2 | VRX Escrow Corp. | 6.125% | 4/15/25 | 197,580 | 206,965 | 1.1% | |
2,5 | Consumer Noncyclical—Other † | 867,044 | 4.8% | ||||
2,5 | Energy † | 1,720,989 | 9.5% | ||||
Technology | |||||||
2 | Audatex North America Inc. | 6.125% | 11/1/23 | 97,715 | 95,883 | 0.5% | |
CDW LLC / CDW Finance Corp. | 6.000% | 8/15/22 | 118,945 | 124,297 | 0.7% | ||
2 | First Data Corp. | 8.250% | 1/15/21 | 113,800 | 120,486 | 0.7% | |
2 | First Data Corp. | 6.750%–12.625% | 6/15/19–8/15/21 | 157,550 | 173,622 | 1.0% | |
4,5 | First Data Corp. Bank Loan | 3.687%–3.937% | 3/23/18-7/8/22 | 95,763 | 95,483 | 0.5% | |
4,5 | Freescale Semiconductor Inc. | ||||||
Bank Loan | 4.250% | 3/1/20 | 99,470 | 99,688 | 0.5% | ||
2 | Infor US Inc. | 6.500% | 5/15/22 | 106,715 | 108,849 | 0.6% | |
SunGard Data Systems Inc. | 6.625% | 11/1/19 | 108,115 | 111,899 | 0.6% | ||
2 | Technology—Other † | 694,673 | 3.9% | ||||
Transportation | |||||||
Hertz Corp. | 4.250%–7.375% | 4/1/18–1/15/21 | 175,695 | 182,319 | 1.0% | ||
2 | Transportation—Other † | 45,411 | 0.2% | ||||
13,684,130 | 75.5% | ||||||
Utilities | |||||||
Electric | |||||||
AES Corp. | 5.500% | 3/15/24 | 119,951 | 117,552 | 0.7% | ||
AES Corp. | 4.875%–8.000% | 6/1/20–5/15/23 | 44,980 | 46,933 | 0.3% | ||
Calpine Corp. | 5.750% | 1/15/25 | 119,130 | 116,450 | 0.6% | ||
DPL Inc. | 7.250% | 10/15/21 | 55,170 | 59,170 | 0.3% | ||
GenOn Energy Inc. | 7.875%–9.875% | 6/15/17–10/15/20 | 98,455 | 99,144 | 0.6% | ||
NRG Energy Inc. | 6.250%–7.875% | 5/15/21–5/1/24 | 115,000 | 114,770 | 0.6% | ||
2 | Electric—Other † | 221,898 | 1.2% | ||||
775,917 | 4.3% | ||||||
Total Corporate Bonds (Cost $16,786,164) | 16,779,784 | 92.6% | |||||
Shares | |||||||
Preferred Stocks | |||||||
GMAC Capital Trust I Pfd. | 8.125% | 4,743,200 | 124,509 | 0.7% | |||
Hartford Financial Services | |||||||
Group Inc. Pfd. | 7.875% | 2,944,300 | 91,921 | 0.5% | |||
Preferred Stocks—Other † | 7,014 | 0.0% | |||||
Total Preferred Stocks (Cost $204,781) | 223,444 | 1.2% | |||||
Other † (Cost $27,348) | 327 | 0.0% |
109
High-Yield Corporate Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Temporary Cash Investments | |||||
Repurchase Agreements | |||||
Bank of America Securities, LLC | |||||
(Dated 7/31/15, Repurchase Value | |||||
$189,802,000, collateralized by | |||||
Federal Home Loan Mortgage Corp. | |||||
4.000%, 4/1/45, and Federal | |||||
National Mortgage Assn. | |||||
3.500%–4.500%, 7/1/41–1/1/45, | |||||
with a value of $193,596,000) | 0.150% | 8/3/15 | 189,800 | 189,800 | 1.0% |
Bank of Montreal | |||||
(Dated 7/31/15, Repurchase Value | |||||
$4,100,000, collateralized by | |||||
U.S. Treasury Note/Bond | |||||
1.500%–5.000%, 9/30/16–5/15/45, | |||||
with a value of $4,182,000) | 0.130% | 8/3/15 | 4,100 | 4,100 | 0.0% |
Bank of Montreal | |||||
(Dated 7/31/15, Repurchase Value | |||||
$34,500,000, collateralized by | |||||
Federal Home Loan | |||||
Mortgage Corp. 4.000%–5.319%, | |||||
8/1/38–8/1/44, Federal National | |||||
Mortgage Assn. 2.000%–6.000%, | |||||
11/1/19–2/1/45, Government | |||||
National Mortgage Assn. 4.000%, | |||||
10/20/43, and U.S. Treasury | |||||
Note/Bond 0.375%, 11/15/15, | |||||
with a value of $35,190,000) | 0.150% | 8/3/15 | 34,500 | 34,500 | 0.2% |
RBC Capital Markets LLC | |||||
(Dated 7/31/15, Repurchase Value | |||||
$29,900,000, collateralized by | |||||
Federal Home Loan Mortgage Corp. | |||||
2.229%–4.500%, 10/1/29–6/1/45, | |||||
Federal National Mortgage Assn. | |||||
2.277%–4.000%, 4/1/27–6/1/45, | |||||
and Government National | |||||
Mortgage Assn. 2.573%–4.500%, | |||||
10/20/43–6/20/65, with a value of | |||||
$30,498,000) | 0.140% | 8/3/15 | 29,900 | 29,900 | 0.2% |
TD Securities (USA) LLC | |||||
(Dated 7/31/15, Repurchase Value | |||||
$30,700,000, collateralized by | |||||
Federal National Mortgage Assn. | |||||
3.000%, 10/1/29, with a value of | |||||
$31,314,000) | 0.150% | 8/3/15 | 30,700 | 30,700 | 0.2% |
289,000 | 1.6% | ||||
U.S. Government and Agency Obligations | |||||
United States Treasury Bill | 0.015% | 9/10/15 | 150,000 | 149,994 | 0.8% |
U.S. Government and | |||||
Agency Obligations—Other † | 44,989 | 0.3% | |||
194,983 | 1.1% | ||||
Total Temporary Cash Investments (Cost $483,990) | 483,983 | 2.7% | |||
Total Investments (Cost $17,899,144) | 17,884,976 | 98.7% |
110
High-Yield Corporate Fund | ||
Market | Percentage | |
Value• | of Net | |
($000) | Assets | |
Other Assets and Liabilities | ||
Other Assets | 313,301 | 1.7% |
Liabilities | (84,108) | (0.4%) |
229,193 | 1.3% | |
Net Assets | 18,114,169 | 100.0% |
At July 31, 2015, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 18,043,258 | |
Overdistributed Net Investment Income | (21,661) | |
Accumulated Net Realized Gains | 104,315 | |
Unrealized Appreciation (Depreciation) | ||
Investment Securities | (14,168) | |
Forward Currency Contracts | 2,572 | |
Foreign Currencies | (147) | |
Net Assets | 18,114,169 | |
Investor Shares—Net Assets | ||
Applicable to 691,263,170 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 4,080,455 | |
Net Asset Value Per Share—Investor Shares | $5.90 | |
Admiral Shares—Net Assets | ||
Applicable to 2,377,426,487 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 14,033,714 | |
Net Asset Value Per Share—Admiral Shares | $5.90 |
- See Note A in Notes to Financial Statements.
- Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
- 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.
- Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $6,097,132,000, representing 33.7% of net assets.
- Face amount denominated in euro.
- Adjustable-rate security.
- Certain of the fund’s securities are senior, secured, high-yield floating-rate loans. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At July 31, 2015, the aggregate value of these securities was $685,902,000, representing 3.8% of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
111
High-Yield Corporate Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,999 |
Interest | 492,761 |
Total Income | 500,760 |
Expenses | |
Investment Advisory Fees—Note B | 2,773 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 3,535 |
Management and Administrative—Admiral Shares | 5,120 |
Marketing and Distribution—Investor Shares | 366 |
Marketing and Distribution—Admiral Shares | 826 |
Custodian Fees | 67 |
Shareholders’ Reports—Investor Shares | 68 |
Shareholders’ Reports—Admiral Shares | 41 |
Trustees’ Fees and Expenses | 14 |
Total Expenses | 12,810 |
Net Investment Income | 487,950 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 109,071 |
Foreign Currencies and Forward Currency Contracts | (7,528) |
Realized Net Gain (Loss) | 101,543 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (319,824) |
Foreign Currencies and Forward Currency Contracts | 1,525 |
Change in Unrealized Appreciation (Depreciation) | (318,299) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 271,194 |
See accompanying Notes, which are an integral part of the Financial Statements.
112
High-Yield Corporate Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2015 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 487,950 | 942,040 |
Realized Net Gain (Loss) | 101,543 | 301,837 |
Change in Unrealized Appreciation (Depreciation) | (318,299) | (490,044) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 271,194 | 753,833 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (114,450) | (236,054) |
Admiral Shares | (373,027) | (704,924) |
Realized Capital Gain | ||
Investor Shares | (5,965) | — |
Admiral Shares | (18,652) | — |
Total Distributions | (512,094) | (940,978) |
Capital Share Transactions | ||
Investor Shares | (40,670) | (177,568) |
Admiral Shares | 1,340,685 | 1,063,671 |
Net Increase (Decrease) from Capital Share Transactions | 1,300,015 | 886,103 |
Total Increase (Decrease) | 1,059,115 | 698,958 |
Net Assets | ||
Beginning of Period | 17,055,054 | 16,356,096 |
End of Period1 | 18,114,169 | 17,055,054 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($21,661,000) and ($14,606,000).
See accompanying Notes, which are an integral part of the Financial Statements.
113
High-Yield Corporate Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $5.98 | $6.04 | $6.12 | $5.82 | $5.78 | $5.48 |
Investment Operations | ||||||
Net Investment Income | .162 | .331 | .348 | .372 | .405 | .422 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 072) | (. 059) | (. 080) | . 300 | . 040 | . 300 |
Total from Investment Operations | .090 | .272 | .268 | .672 | .445 | .722 |
Distributions | ||||||
Dividends from Net Investment Income | (.162) | (. 332) | (. 348) | (. 372) | (. 405) | (. 422) |
Distributions from Realized Capital Gains | (.008) | — | — | — | — | — |
Total Distributions | (.170) | (. 332) | (. 348) | (. 372) | (. 405) | (. 422) |
Net Asset Value, End of Period | $5.90 | $5.98 | $6.04 | $6.12 | $5.82 | $5.78 |
Total Return1 | 1.50% | 4.56% | 4.53% | 11.91% | 8.04% | 13.70% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,080 | $4,176 | $4,394 | $5,607 | $5,476 | $4,909 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.22% | 0.23% | 0.23% | 0.23% | 0.23% | 0.25% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 5.46% | 5.46% | 5.76% | 6.25% | 7.04% | 7.59% |
Portfolio Turnover Rate | 36% | 35% | 28% | 30% | 26% | 38% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
114
High-Yield Corporate Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2015 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $5.98 | $6.04 | $6.12 | $5.82 | $5.78 | $5.48 |
Investment Operations | ||||||
Net Investment Income | .165 | .337 | .354 | .378 | .411 | .429 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | (. 072) | (. 059) | (. 080) | . 300 | . 040 | . 300 |
Total from Investment Operations | .093 | .278 | .274 | .678 | .451 | .729 |
Distributions | ||||||
Dividends from Net Investment Income | (.165) | (. 338) | (. 354) | (. 378) | (. 411) | (. 429) |
Distributions from Realized Capital Gains (.008) | — | — | — | — | — | |
Total Distributions | (.173) | (. 338) | (. 354) | (. 378) | (. 411) | (. 429) |
Net Asset Value, End of Period | $5.90 | $5.98 | $6.04 | $6.12 | $5.82 | $5.78 |
Total Return1 | 1.55% | 4.66% | 4.64% | 12.02% | 8.15% | 13.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,034 | $12,879 | $11,962 | $12,713 | $10,075 | $8,320 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 5.56% | 5.56% | 5.86% | 6.35% | 7.14% | 7.71% |
Portfolio Turnover Rate | 36% | 35% | 28% | 30% | 26% | 38% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
115
High-Yield Corporate Fund
Notes to Financial Statements
Vanguard High-Yield Corporate Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. To minimize the currency risk associated with investment in bonds denominated in currencies other than the U.S. dollar, the fund attempts to hedge its currency exposures. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the
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High-Yield Corporate Fund
event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized forward currency contract gains (losses).
During the six months ended July 31, 2015, the fund’s average investment in forward currency contracts represented 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Repurchase Agreements: The fund enters into repurchase agreements with institutional counter-parties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. 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.
5. 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 (January 31, 2012–2015), and for the period ended July 31, 2015, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
6. 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.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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
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High-Yield Corporate Fund
to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. 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. Wellington Management Company LLP provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the six months ended July 31, 2015, the investment advisory fee represented an effective annual rate of 0.03% of the fund’s average net assets.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $1,602,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.64% of Vanguard’s capitalization.
The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. 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).
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High-Yield Corporate Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 341,524 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 55,914 | — |
Corporate Bonds | — | 16,779,784 | — |
Preferred Stocks | — | 223,444 | — |
Other | — | — | 327 |
Temporary Cash Investments | — | 483,983 | — |
Forward Currency Contracts—Assets | — | 2,827 | — |
Forward Currency Contracts—Liabilities | — | (255) | — |
Total | — | 17,887,221 | 327 |
E. At July 31, 2015, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as ordinary income for tax purposes.
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | Contract Amount (000) | (Depreciation) | ||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Deutsche Bank AG | 8/31/15 | USD | 158,793 | EUR | 143,361 | 1,284 |
UBS AG | 9/16/15 | USD | 65,936 | EUR | 58,595 | 1,543 |
Goldman Sachs Bank USA | 8/28/15 | USD | 38,801 | GBP | 25,014 | (255) |
2,572 | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
At July 31, 2015, counterparties had deposited in segregated accounts cash and securities with a value of $4,146,000 in connection with forward currency contracts.
F. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended July 31, 2015, the fund realized net foreign currency losses of $7,528,000 (including gains and losses on forward currency contracts), which decreased distributable net income for tax purposes; accordingly, such lossess have been reclassified from accumulated net realized gains to overdistributed net investment income.
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High-Yield Corporate Fund
At July 31, 2015, the cost of investment securities for tax purposes was $17,899,144,000. Net unrealized depreciation of investment securities for tax purposes was $14,168,000, consisting of unrealized gains of $442,174,000 on securities that had risen in value since their purchase and $456,342,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended July 31, 2015, the fund purchased $3,814,284,000 of investment securities and sold $2,801,293,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $0 and $169,634,000, respectively.
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2015 | January 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 544,759 | 90,732 | 936,989 | 154,971 |
Issued in Lieu of Cash Distributions | 102,148 | 17,059 | 199,234 | 32,795 |
Redeemed | (687,577) | (114,934) | (1,313,791) | (216,627) |
Net Increase (Decrease)—Investor Shares | (40,670) | (7,143) | (177,568) | (28,861) |
Admiral Shares | ||||
Issued | 2,172,014 | 362,779 | 3,223,729 | 531,298 |
Issued in Lieu of Cash Distributions | 261,401 | 43,670 | 476,405 | 78,432 |
Redeemed | (1,092,730) | (182,701) | (2,636,463) | (435,861) |
Net Increase (Decrease)—Admiral Shares | 1,340,685 | 223,748 | 1,063,671 | 173,869 |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
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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.
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Six Months Ended July 31, 2015 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
1/31/2015 | 7/31/2015 | Period | |
Based on Actual Fund Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,002.71 | $0.94 |
Admiral Shares | 1,000.00 | 1,003.21 | 0.45 |
Institutional Shares | 1,000.00 | 1,003.36 | 0.30 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $986.55 | $0.94 |
Admiral Shares | 1,000.00 | 987.04 | 0.44 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $922.68 | $1.00 |
Admiral Shares | 1,000.00 | 923.14 | 0.52 |
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,015.03 | $1.10 |
Admiral Shares | 1,000.00 | 1,015.53 | 0.60 |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.85 | $0.95 |
Admiral Shares | 1,000.00 | 1,024.35 | 0.45 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.75 | $1.05 |
Admiral Shares | 1,000.00 | 1,024.25 | 0.55 |
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,023.70 | $1.10 |
Admiral Shares | 1,000.00 | 1,024.20 | 0.60 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Investment-Grade Fund, 0.19% for Investor Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.19% for Investor Shares and 0.09% for Admiral Shares; for the Long-Term Investment-Grade Fund, 0.21% for Investor Shares and 0.11% for Admiral Shares; for the High-Yield Corporate Fund, 0.22% for Investor Shares and 0.12% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Short-Term, Intermediate-Term, and Long-Term Investment-Grade Funds has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Fixed Income Group—serves as the investment advisor for the funds. The board also has renewed the investment advisory arrangements between Vanguard Long-Term Investment-Grade and High-Yield Corporate Funds and the funds’ advisor, Wellington Management Company LLP (Wellington Management). The board determined that renewing the funds’ advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decisions.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of each advisor. The board considered the following:
Vanguard. Vanguard has been managing investments for more than three decades and has advised the Short-Term and Intermediate-Term Investment-Grade Funds since their inceptions, and a portion of the Long-Term Investment-Grade Fund since 2013. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
Wellington Management. Founded in 1928, Wellington Management is among the nation’s oldest and most respected institutional investment managers. The firm has managed the Long-Term Investment-Grade and High-Yield Corporate Funds since their inceptions. The portfolio managers of the funds are backed by well-tenured teams of research analysts who conduct detailed fundamental analysis. For the Long-Term Investment-Grade Fund, the team conducts intensive fundamental research on each prospective issuer to support the investment process. The portfolio managers draw upon the sector experience of these analysts and the broader fixed-income team at Wellington Management to manage the fund’s duration, sector, quality, and curve positioning. For the High-Yield Corporate Fund, the team focuses on high-yield bonds, as it expects these higher-quality issues to offer a more favorable risk/reward trade-off over the long term. The team’s credit analysis seeks to identify companies whose fundamentals are stable or improving and whose securities offer an attractive yield.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that the advisory arrangements should continue. Information about each fund’s most recent performance can be found in the Performance Summary sections of this report.
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Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections, which also include information about the advisory expenses.
The board did not consider profitability of Wellington Management in determining whether to approve the advisory fees for the Long-Term Investment-Grade and High-Yield Corporate Funds, because Wellington Management is independent of Vanguard, and the advisory fees are the result of arm’s length negotiations. The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the Long-Term Investment-Grade and High-Yield Corporate Funds’ shareholders benefit from economies of scale because of the breakpoints in each fund’s advisory fee schedule with Wellington Management. The breakpoints reduce the effective rate of the fee as the fund’s assets increase.
The board concluded that with regard to the Short-Term, Intermediate-Term, and Long-Term Investment-Grade Funds, the funds’ at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” For the three investment-grade funds, credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is shown. For the High-Yield Corporate Fund, credit-quality ratings are obtained from Barclays and are from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. “Not Rated” is used to classify securities for which a rating is not available. Not rated securities include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts.
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Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
Benchmark Information
High-Yield Corporate Composite Index: Consists of 95% Barclays U.S. High-Yield Ba/B 2% Issuer Capped Index and 5% Barclays U.S. 1–5 Year Treasury Bond Index.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 193 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, Amerigroup Corporation (managed health care), the University of Rochester Medical Center, Monroe Community College Foundation, and North Carolina A&T University.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Tyco International PLC (diversified manufacturing and services), Hewlett-Packard Co. (electronic computer manufacturing), and Delphi Automotive PLC (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (1997–2008) of Johnson & Johnson (pharmaceuticals/medical devices/ consumer products); Director of Skytop Lodge Corporation (hotels), the University Medical Center at Princeton, the Robert Wood Johnson Foundation, and the Center for Talent Innovation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education, and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Investment Advisory Committee of Major League Baseball.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Trustee of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center and of the Advisory Board of the Parthenon Group (strategy consulting).
Executive Officers
Glenn Booraem
Born 1967. Treasurer Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Controller of each of the investment companies served by The Vanguard Group (2010–2015); Assistant Controller of each of the investment companies served by The Vanguard Group (2001–2010).
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Head of Global Fund Accounting at The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Heidi Stam
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Mortimer J. Buckley
Kathleen C. Gubanich
Paul A. Heller
Martha G. King
John T. Marcante
Chris D. McIsaac
James M. Norris
Thomas M. Rampulla
Glenn W. Reed
Karin A. Risi
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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Q392 092015 |
Semiannual Report | July 31, 2015
Vanguard Ultra-Short-Term Bond Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 7 |
Fund Profile. | 10 |
Performance Summary. | 11 |
Financial Statements. | 12 |
Trustees Approve Advisory Arrangement. | 35 |
Glossary. | 36 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns | ||||
Period Ended July 31, 2015 | ||||
Returns | ||||
30-Day SEC | Income | Capital | Since | |
Yield | Returns | Returns | Inception | |
Vanguard Ultra-Short-Term Bond Fund | ||||
Investor Shares (Inception: 2/24/2015) | 0.59% | 0.20% | -0.10% | 0.10% |
Admiral™ Shares (Inception: 2/24/2015) | 0.67 | 0.23 | -0.05 | 0.18 |
Barclays U.S. Treasury Bellwethers: 1 Year Index | 0.18 | |||
Ultra-Short Obligations Funds Average | 0.16 | |||
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. | ||||
Benchmark returns are calculated from the start of the reporting period or from the earliest share-class inception date. | ||||
Your Fund’s Performance at a Glance | ||||
Inception Through July 31, 2015 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Ultra-Short-Term Bond Fund | ||||
Investor Shares (Inception: 2/24/2015) | $10.00 | $9.99 | $0.020 | $0.000 |
Admiral Shares (Inception: 2/24/2015) | 20.00 | 19.99 | 0.046 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
I am pleased to provide you with the first shareholder report for Vanguard Ultra-Short-Term Bond Fund, which we launched to further enhance Vanguard’s lineup of actively managed taxable bond funds. For investors who can accept more risk than comes with a money market fund, this fund offers the opportunity for a modest yield pickup—without as much additional interest rate risk as with short- and longer-term bond funds.
From its inception on February 24, 2015, through July 31, the fund returned 0.10% for Investor Shares and 0.18% for Admiral Shares. That performance was in line with its benchmark index, which, like all indexes, incurs no expenses. The average return of peer funds was 0.16%.
The fund’s benchmark, the Barclays U.S. Treasury Bellwethers: 1 Year Index, consists of a single bond—the most recently issued 1-year Treasury. As such, the index provides a frame of reference to evaluate the performance of bonds with a one-year duration. (Duration measures the sensitivity of bond—and bond mutual fund—prices to interest rate movements.) Your fund, however, holds a broadly diversified portfolio of nearly 600 securities, including asset-backed and corporate bonds, that is actively managed to have a duration of about one year.
2
Your fund’s 30-day SEC yield at the end of the period was 0.59% for Investor Shares and 0.67% for Admiral Shares.
This report includes a brief look at the financial markets over the full six months of the fund’s fiscal half year, followed by a review of the fund’s performance since February 24, when it began operations.
Returns of taxable bonds slid as a rate hike grew likelier
The broad U.S. taxable bond market returned –1.47% for the half year, as bond prices declined in four of the six months. The yield of the 10-year Treasury note ended July at 2.26%, up from a relatively low 1.75% following January’s significant rally. (Bond prices and yields move in opposite directions.)
Treasury bond yields mostly rose over the period as it appeared more likely that the Federal Reserve would raise short-term interest rates before year’s end.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.79%, curbed by the dollar’s strength against many foreign currencies. Without this currency effect, international bonds returned about –1%.
Returns were negligible for money market funds and savings accounts as the Fed’s target for short-term rates remained at 0%–0.25%.
Market Barometer | |||
Total Returns | |||
Periods Ended July 31, 2015 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | -1.47% | 2.82% | 3.27% |
Barclays Municipal Bond Index (Broad tax-exempt market) | -0.92 | 3.56 | 4.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.02 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.60% | 11.24% | 16.45% |
Russell 2000 Index (Small-caps) | 6.98 | 12.03 | 15.27 |
Russell 3000 Index (Broad U.S. market) | 6.61 | 11.28 | 16.35 |
FTSE All-World ex US Index (International) | 4.26 | -3.74 | 6.23 |
CPI | |||
Consumer Price Index | 2.12% | 0.17% | 1.83% |
3
U.S. stocks proved resilient in a challenging environment
The broad U.S. stock market returned more than 6%. Corporate earnings generally exceeded forecasts, and investors seemed encouraged by the monetary stimulus efforts of other nations’ central banks.
But stocks also encountered hurdles. During the latter part of the period, Greece’s debt crisis and a swoon by Chinese stocks weighed on global markets. The strong U.S. dollar’s negative effect on the profits of U.S.-based multinational companies, valuations that some investors perceived as high, and muddled economic news also riled stocks at times.
For U.S. investors, international stocks returned about 4%; results would have been more robust if not for the dollar’s strength against many foreign currencies. Returns for the developed markets of Europe and the Pacific region surpassed those of emerging markets, which declined.
The fund is off to a good start in meeting its investment goal
The investment objective of the Ultra-Short-Term Bond Fund is to provide current income while maintaining limited price volatility. Your fund’s advisor, Vanguard Fixed Income Group, seeks to achieve this by investing in money market instruments and short-term high-quality bonds from various sectors of the fixed income market.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Admiral | Peer Group | |
Shares | Shares | Average | |
Ultra-Short-Term Bond Fund | 0.20% | 0.12% | 0.58% |
The fund expense ratios shown are from the prospectus dated February 9, 2015, and represent estimated costs for the current fiscal year. For the period from inception through July 31, 2015, the fund’s annualized expense ratios were 0.20% for Investor Shares and 0.12% for Admiral Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2014.
Peer group: Ultra-Short Obligations Funds.
4
As with Vanguard’s other active bond funds, the expertise of our experienced team of credit analysts is an integral part of the process of managing this fund.
In the period since inception, the advisor’s selections among asset-backed securities boosted performance. Bonds backed by automobile loans, which made up about half of the fund’s allocation to asset-backed securities, were strong contributors.
Although your fund has less than six months of history, it’s off to a good start in meeting its objective. As always, however, we encourage you to evaluate results over a long-term horizon.
For more discussion of the management and performance of the fund, please see the Advisor’s Report that follows this letter.
As your investment costs go down, your chance for success can go up
Being an investor can be frustrating at times: You’re planning for your financial future, but some factors—for example, the financial markets—are beyond your control. Although you can’t control the markets, you do have some choice in how much you pay to invest in them. And what you pay can greatly affect your chance for investing success.
The Ultra-Short-Term Bond Fund can play a complementary role
With interest rates on money market funds and savings accounts near zero for several years, higher-yielding short-term fixed income funds have found favor with investors.
But this quest for yield means taking on more risk. Savings accounts are federally insured up to certain limits, and money market funds seek to maintain a stable net asset value of $1 per share. (Most investors will still have stable NAV money market options after Securities and Exchange Commission regulatory changes are implemented by late 2016.)
In contrast, short-term bond funds—including ultra-short funds—have floating NAVs and longer durations. (Duration measures the sensitivity of bond, and bond mutual fund, prices to interest rate movements.) So when interest rates rise, these funds can lose value.
The duration of Vanguard Ultra-Short-Term Bond Fund is about one year, while the average maturity of Vanguard Prime Money Market Fund is about 1½ months. That’s why it’s important to keep in mind that the Ultra-Short-Term Bond Fund is not intended as an alternative or substitute for a money market fund. Depending on your time horizon and risk appetite, this fund can complement other fixed income and money market investments in your portfolio.
5
At Vanguard, as you know, we take minimizing costs seriously. Indeed, that’s one of our four investment principles. (You can read more in
Vanguard’s Principles for Investing Success, available at vanguard.com/ research.) Paying less in expenses has an intuitive, immediate appeal.
Less obvious, perhaps, is the enormous advantage that low costs can offer over time.
Imagine two well-diversified portfolios, each with a starting balance of $100,000 and each earning a yearly return of 6%, which is reinvested over a 30-year period. In one scenario, the investor pays 0.25% of assets every year in portfolio expenses, while in the other the investor pays 0.90%. (Keep in mind that this is a hypothetical example and doesn’t represent any particular investment.)
After 30 years, the lower-cost portfolio has a balance of more than $530,000, while the higher-cost portfolio has a balance of almost $440,000. What might seem like a trifling cost difference at the start becomes a meaningful difference in the long termin this example, nearly $100,000.
Increasingly, investors recognize the importance of minimizing costs. According to Morningstar, over the past ten years, 95% of cash flows have gone into funds ranked in the lowest 20% in expenses. We’re pleased to see this trend, because it means investors are keeping more of their returns and, by doing so, have given themselves a better chance of reaching their financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
August 14, 2015
6
Advisor’s Report
We are pleased to present this first Advisor’s Report for Vanguard Ultra-Short-Term Bond Fund, which began operations on February 24, 2015.
As we’ll discuss further, this fund is designed to give investors low-cost exposure to money market instruments and short-term high-quality bonds.
From its inception through July 31, 2015, the fund returned 0.10% for Investor Shares and 0.18% for Admiral Shares. The Barclays U.S. Treasury Bellwethers: 1 Year Index, which consists of a single 1-year Treasury note, returned 0.18%. The average return of peer funds was 0.16%.
The investment environment
As 2015 began, monetary policy and economic growth in the United States diverged from those of much of the rest of the world. Markets expected the Federal Reserve to begin raising interest rates modestly and gradually, while the European Central Bank (ECB) began an aggressive monthly bond-buying program in March that led to negative rates on some sovereign bonds. Many other central banks also pursued stimulative policies.
And even as the U.S. economy seemed to be on the upswing despite a slowdown in growth in the fourth quarter of 2014, major European economies faced concerns about deflation and little or no growth. China, the world’s second-largest economy, modestly lowered its growth target for 2015. Although we don’t anticipate a hard
landing for China’s economy, significant stock market volatility appears likely to persist.
As the year progressed, however, Europe gained strength, helped by lower oil prices and the ECB’s actions. The U.S. economy grew only slightly in the first quarter, in part because of a harsh winter and a West Coast port strike, but second-quarter growth came in at an annual rate of 2.3% based on the advance estimate.
Throughout the half year, questions about the timing of the Fed’s first rate increase in nearly a decade were top of mind for investors. The Fed’s decision depends on the health of the economy; it also wants to see continued improvement in the job market and unemployment rate and an increase in inflation toward its 2% long-term target. (Inflation has been running well below that, in part reflecting lower commodity prices.)
In the spring, the Fed signaled that it most likely would not raise rates in June, as some had predicted. Although it removed the word “patient” from its positioning statement, the Fed still suggested that any increases would be gradual and that rates would probably remain low for a considerable time. It seemed increasingly likely that the ultimate level of the federal funds rate during the current economic cycle would be lower than the market anticipated last year. Expectations centered on 2.5%, down from more than 3% last October.
7
In this environment, the yield of the benchmark 10-year Treasury note increased gradually, after a significant January rally pushed it down to 1.75%. Safe-haven demand for Treasuries was strong at the height of the uncertainty about Greece’s possible default and exit from the euro zone, but the yield of the 10-year note closed out July at 2.26%. The 1-year Treasury yield rose from 0.14% at the end of January to 0.31% at the end of July, as the timing of the Fed’s “liftoff” appeared closer.
Management of the fund
We launched this fund to further enhance Vanguard’s offering of actively managed taxable bond funds, and we manage it using the same investment philosophy and processes as the other funds in that lineup. For example, in addition to being guided by Vanguard’s global macroeconomic outlook and expectations about Fed policy, we consider relative values in the bond marketplace and the credit outlook for various bond market sectors and specific issuers. However, for the Ultra-Short-Term Bond Fund, our overall portfolio tilt is a bit more conservative.
The majority of the securities we own in the fund have an expected maturity of not longer than three years, and we generally plan to hold them until they mature. Consistent with the fund’s investment objective of seeking to provide current income while maintaining limited price volatility, we maintained its duration at its policy-neutral level of one year. (Duration is a measure of the sensitivity of bond—and bond mutual fund—prices to changes in interest rates.)
For the Ultra-Short-Term Bond Fund, as with Vanguard’s other investment-grade active bond funds, we invest in a diversified mix of Treasury, agency, corporate, asset-backed, and other bonds. Our portfolio management decisions regarding the appropriate allocations among these sectors can result in over- or underperformance compared with the fund’s Treasury benchmark.
For the reporting period, we added value with our selection of asset-backed securities (ABS), particularly those backed by automobile loans. ABS constituted the largest sector in the fund, about 27% of total assets at the end of July, and bonds backed by auto loans averaged about half of our ABS holdings.
A look ahead
Lower oil prices have tempered inflation and slowed corporate capital spending. Consumer spending and housing have been alternately stronger and weaker, and consumer confidence slid in July. Overall, though, we expect the U.S. economy to grow at an annual rate of roughly 2.5% for the rest of 2015.
Interest rates, and hence bond prices, could remain volatile. The market views new information about the economy’s health through the lens of the data-dependent Fed, trying to guess when the Fed will raise rates. It’s not unusual for volatility to increase as a rate hike approaches. Still, rates are likely to be range-bound. We expect the relative strength of the U.S. economy to set a floor, and global conditions—including the stronger dollar and
8
ECB stimulus—should serve as a cap. We still believe that a rate increase is likely to come in the second half of 2015. The Fed may not raise rates over time as much as has been expected, especially in view of tepid growth.
We expect to continue to maintain a high level of liquidity in the fund, through our holdings of Treasury and agency securities and a variety of money market instruments.
Gregory S. Nassour, CFA, Principal
Portfolio Manager
David Van Ommeren, Principal
Portfolio Manager
Vanguard Fixed Income Group
August 20, 2015
9
Ultra-Short-Term Bond Fund
Fund Profile
As of July 31, 2015
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VUBFX | VUSFX | |
Expense Ratio1 | 0.20% | 0.12% | |
30-Day SEC Yield | 0.59% | 0.67% | |
Financial Attributes | |||
Barclays | |||
U.S. | Barclays | ||
Treasury | Aggregate | ||
Bellwethers: | Bond | ||
Fund | 1 Year Index | Index | |
Number of Bonds | 599 | 1 | 9,496 |
Yield to Maturity | |||
(before expenses) | 0.7% | 0.3% | 2.4% |
Average Coupon | 1.8% | 0.0% | 3.2% |
Average Duration | 1.0 years | 1.0 years | 5.6 years |
Average Effective | |||
Maturity | 1.0 years | 1.0 years | 7.8 years |
Short-Term | |||
Reserves | 24.0% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 26.6% | ||
Commercial Mortgage-Backed | 2.1 | ||
Finance | 10.4 | ||
Foreign | 1.2 | ||
Government Mortgage-Backed | 0.2 | ||
Industrial | 11.1 | ||
Treasury/Agency | 22.0 | ||
Utilities | 2.4 | ||
Short-Term Reserves | 24.0 |
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.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 52.6% |
1 - 3 Years | 45.8 |
3 - 5 Years | 1.6 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 21.5% |
Aaa | 27.2 |
Aa | 8.6 |
A | 13.9 |
Baa | 4.7 |
Not Rated | 24.1 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated February 9, 2015, and represent estimated costs for the current fiscal year. For the period from inception through July 31, 2015, the annualized expense ratios were 0.20% for Investor Shares and 0.12% for Admiral Shares.
10
Ultra-Short-Term Bond Fund
Performance Summary
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.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): February 24, 2015, Through July 31, 2015 | ||||
Barclays | ||||
U.S. Treasury | ||||
Bellwethers: | ||||
Investor Shares | 1 Year Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2016 | 0.20% | -0.10% | 0.10% | 0.18% |
Note: For 2016, performance data reflect the period ended July 31, 2015. |
Average Annual Total Returns: Periods Ended June 30, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Since Inception | ||||
Inception Date | Income | Capital | Total | |
Investor Shares | 2/24/2015 | 0.15% | 0.00% | 0.15% |
Admiral Shares | 2/24/2015 | 0.18 | -0.05 | 0.13 |
See Financial Highlights for dividend and capital gains information.
11
Ultra-Short-Term Bond Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2015
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (21.9%) | |||||
U.S. Government Securities (12.2%) | |||||
United States Treasury Note/Bond | 0.250% | 10/31/15 | 1,770 | 1,771 | |
United States Treasury Note/Bond | 0.250% | 12/15/15 | 1,680 | 1,681 | |
1 | United States Treasury Note/Bond | 0.250% | 12/31/15 | 530 | 530 |
United States Treasury Note/Bond | 1.750% | 5/31/16 | 1,600 | 1,619 | |
United States Treasury Note/Bond | 1.500% | 6/30/16 | 4,000 | 4,042 | |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 6,150 | 6,164 | |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 4,400 | 4,429 | |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 1,700 | 1,709 | |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 6,000 | 6,015 | |
United States Treasury Note/Bond | 0.375% | 10/31/16 | 6,400 | 6,395 | |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 6,300 | 6,343 | |
40,698 | |||||
Agency Bonds and Notes (9.7%) | |||||
2 | Federal Home Loan Banks | 0.375% | 8/28/15 | 1,250 | 1,250 |
2 | Federal Home Loan Banks | 0.190% | 11/19/15 | 500 | 500 |
2 | Federal Home Loan Banks | 0.500% | 11/20/15 | 2,255 | 2,257 |
2 | Federal Home Loan Banks | 1.375% | 12/11/15 | 400 | 402 |
2 | Federal Home Loan Banks | 5.000% | 12/11/15 | 250 | 254 |
2 | Federal Home Loan Banks | 0.375% | 12/30/15 | 1,000 | 1,001 |
2 | Federal Home Loan Banks | 0.340% | 1/25/16 | 350 | 350 |
2 | Federal Home Loan Banks | 0.375% | 2/19/16 | 1,335 | 1,336 |
2 | Federal Home Loan Banks | 0.250% | 3/11/16 | 200 | 200 |
2 | Federal Home Loan Banks | 1.000% | 3/11/16 | 1,200 | 1,205 |
2 | Federal Home Loan Banks | 3.125% | 3/11/16 | 1,670 | 1,699 |
2 | Federal Home Loan Banks | 0.250% | 4/29/16 | 1,000 | 999 |
2 | Federal Home Loan Banks | 0.250% | 5/18/16 | 650 | 650 |
2 | Federal Home Loan Banks | 5.375% | 5/18/16 | 1,350 | 1,404 |
2 | Federal Home Loan Banks | 2.125% | 6/10/16 | 1,700 | 1,726 |
2 | Federal Home Loan Banks | 0.500% | 9/28/16 | 1,000 | 1,000 |
3 | Federal Home Loan Mortgage Corp. | 4.750% | 11/17/15 | 356 | 361 |
3 | Federal Home Loan Mortgage Corp. | 5.250% | 4/18/16 | 1,300 | 1,346 |
3 | Federal Home Loan Mortgage Corp. | 0.500% | 5/13/16 | 1,350 | 1,352 |
3 | Federal Home Loan Mortgage Corp. | 0.400% | 5/27/16 | 300 | 300 |
3 | Federal Home Loan Mortgage Corp. | 2.500% | 5/27/16 | 900 | 916 |
3 | Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 1,000 | 1,016 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 2,700 | 2,714 |
3 | Federal National Mortgage Assn. | 2.000% | 9/21/15 | 250 | 251 |
12
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal National Mortgage Assn. | 1.625% | 10/26/15 | 450 | 451 |
3 | Federal National Mortgage Assn. | 0.375% | 12/21/15 | 1,050 | 1,051 |
3 | Federal National Mortgage Assn. | 5.000% | 3/15/16 | 2,050 | 2,110 |
3 | Federal National Mortgage Assn. | 0.500% | 3/30/16 | 1,485 | 1,487 |
3 | Federal National Mortgage Assn. | 1.250% | 9/28/16 | 2,000 | 2,017 |
3 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 500 | 533 |
32,138 | |||||
Total U.S. Government and Agency Obligations (Cost $72,824) | 72,836 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (29.1%) | |||||
4 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 800 | 799 |
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 800 | 800 |
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 40 | 40 |
4 | Ally Auto Receivables Trust 2015-SN1 | 0.930% | 6/20/17 | 800 | 800 |
4,5 | Ally Master Owner Trust Series 2010-4 | 1.257% | 8/15/17 | 286 | 286 |
4,5,6 Ally Master Owner Trust Series 2010-4 | 1.737% | 8/15/17 | 237 | 237 | |
4,5,6 Ally Master Owner Trust Series 2010-4 | 2.137% | 8/15/17 | 180 | 180 | |
4,5 | Ally Master Owner Trust Series 2014-1 | 0.657% | 1/15/19 | 151 | 151 |
4 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 155 | 155 |
4 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 1,200 | 1,202 |
4,5 | American Express Credit Account Secured | ||||
Note Trust 2008-2 | 1.447% | 9/15/20 | 1,300 | 1,331 | |
4,5 | American Express Credit Account Secured | ||||
Note Trust 2012-4 | 0.737% | 5/15/20 | 168 | 168 | |
4,5 | American Express Credit Account Secured | ||||
Note Trust 2014-5 | 0.477% | 5/15/20 | 410 | 410 | |
4,5,6 American Homes 4 Rent 2014-SFR1 | 1.600% | 6/17/31 | 100 | 99 | |
4 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 19 | 19 |
4 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 88 | 88 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 97 | 98 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 21 | 21 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 39 | 39 |
4,5 | AmeriCredit Automobile Receivables Trust 2014-2 | 0.466% | 10/10/17 | 329 | 329 |
4 | AmeriCredit Automobile Receivables Trust 2015-2 | 0.830% | 9/10/18 | 650 | 650 |
4,6 | ARI Fleet Lease Trust 2014-A | 0.810% | 11/15/22 | 717 | 717 |
4,6 | ARI Fleet Lease Trust 2015-A | 1.110% | 11/15/18 | 1,100 | 1,101 |
4,5,6 Arran Residential Mortgages Funding 2011-1 plc | 1.726% | 11/19/47 | 92 | 92 | |
4,6 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2012-2A | 2.802% | 5/20/18 | 1,300 | 1,328 | |
4,5 | BA Credit Card Trust 2007-A4 | 0.227% | 11/15/19 | 1,101 | 1,095 |
4 | BA Credit Card Trust 2015-A2 | 1.360% | 9/15/20 | 850 | 849 |
4 | Banc of America Commercial Mortgage | ||||
Trust 2006-5 | 5.415% | 9/10/47 | 103 | 106 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2006-6 | 5.347% | 10/10/45 | 199 | 207 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2007-2 | 5.562% | 4/10/49 | 151 | 159 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2008-1 | 6.171% | 2/10/51 | 130 | 141 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2008-1 | 6.215% | 2/10/51 | 21 | 22 | |
4,6 | Bank of The West Auto Trust 2015-1 | 0.870% | 4/16/18 | 1,700 | 1,700 |
4 | Bear Stearns Commercial Mortgage | ||||
Securities Trust 2006-PWR13 | 5.533% | 9/11/41 | 105 | 108 |
13
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Bear Stearns Commercial Mortgage | ||||
Securities Trust 2007-PWR16 | 5.705% | 6/11/40 | 107 | 113 | |
4 | Bear Stearns Commercial Mortgage | ||||
Securities Trust 2007-PWR17 | 5.650% | 6/11/50 | 214 | 229 | |
4 | Bear Stearns Commercial Mortgage | ||||
Securities Trust 2007-TOP28 | 5.710% | 9/11/42 | 147 | 158 | |
4,5,6 BMW Floorplan Master Owner Trust 2015-1A | 0.686% | 7/15/20 | 1,250 | 1,250 | |
4,5 | Brazos Higher Education Authority Inc. | ||||
Series 2010-1 | 1.182% | 5/25/29 | 231 | 231 | |
4,5 | Brazos Higher Education Authority Inc. | ||||
Series 2011-1 | 1.082% | 2/25/30 | 304 | 306 | |
4 | California Republic Auto Receivables Trust 2015-2 | 0.880% | 2/15/18 | 1,500 | 1,500 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 34 | 34 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 33 | 33 |
4 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 81 | 83 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 190 | 191 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 92 | 93 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 82 | 83 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 103 | 103 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 37 | 37 |
4 | Capital Auto Receivables Asset Trust 2015-2 | 1.730% | 9/20/19 | 800 | 799 |
4,5 | Capital One Multi-asset Execution Trust 2007-A1 | 0.237% | 11/15/19 | 100 | 100 |
4,5 | Capital One Multi-asset Execution Trust 2007-A5 | 0.227% | 7/15/20 | 1,168 | 1,160 |
4 | Carmax Auto Owner Trust 2013-3 | 1.910% | 3/15/19 | 36 | 36 |
4 | Carmax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 22 | 22 |
4 | Carmax Auto Owner Trust 2015-2 | 0.820% | 6/15/18 | 1,000 | 999 |
4,5 | Chase Issuance Trust 2007-C1 | 0.647% | 4/15/19 | 185 | 184 |
4,5 | Chase Issuance Trust 2012-A10 | 0.447% | 12/16/19 | 250 | 250 |
4,5 | Chase Issuance Trust 2013-A7 | 0.617% | 9/15/20 | 1,000 | 1,002 |
4,5 | Chase Issuance Trust 2014-A3 | 0.387% | 5/15/18 | 350 | 350 |
4,5 | Chase Issuance Trust 2015-A3 | 0.437% | 4/15/19 | 1,200 | 1,199 |
4 | Chase Issuance Trust 2015-A5 | 1.360% | 4/15/20 | 400 | 400 |
4,6 | Chrysler Capital Auto Receivables Trust 2013-A | 0.910% | 4/16/18 | 448 | 449 |
4,6 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 24 | 24 |
4,6 | Chrysler Capital Auto Receivables Trust 2013-BA | 1.270% | 3/15/19 | 1,415 | 1,419 |
4,6 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 138 | 138 |
4,5 | Citibank Credit Card Issuance Trust 2013-A2 | 0.619% | 9/10/20 | 130 | 130 |
4 | Citibank Credit Card Issuance Trust 2014-A4 | 1.230% | 4/24/19 | 600 | 602 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 1.987% | 4/10/46 | 19 | 19 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 100 | 104 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 1.199% | 3/10/47 | 103 | 103 |
4 | CNH Equipment Trust 2015-A | 0.840% | 6/15/18 | 250 | 250 |
4 | CNH Equipment Trust 2015-B | 0.840% | 8/15/18 | 1,400 | 1,400 |
4 | COBALT CMBS Commercial Mortgage Trust | ||||
2007-C2 | 5.484% | 4/15/47 | 109 | 115 | |
4,5,6 Colony American Homes 2014-1 | 1.400% | 5/17/31 | 140 | 140 | |
4,5,6 Colony American Homes 2014-1 | 1.600% | 5/17/31 | 100 | 98 | |
4,5,6 Colony American Homes 2015-1 | 1.386% | 7/17/32 | 210 | 208 | |
4,5,6 Colony American Homes Single-Family Rental | |||||
Pass-Through Certificates 2014-2 | 1.537% | 7/17/31 | 100 | 99 | |
4 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 127 | 133 |
4 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 158 | 165 |
4 | COMM 2007-C9 Mortgage Trust | 5.796% | 12/10/49 | 113 | 121 |
4 | COMM 2013-CCRE10 Mortgage Trust | 1.278% | 8/10/46 | 266 | 267 |
4 | COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/18 | 122 | 122 |
14
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2013-CCRE6 Mortgage Trust | 0.719% | 3/10/46 | 37 | 36 |
4 | COMM 2013-CCRE9 Mortgage Trust | 2.972% | 8/10/46 | 93 | 96 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 100 | 104 |
4 | COMM 2014-CCRE17 Mortgage Trust | 1.275% | 5/10/47 | 117 | 116 |
4 | COMM 2014-CR14 Mortgage Trust | 1.330% | 2/10/47 | 41 | 41 |
4 | COMM 2014-CR16 Mortgage Trust | 1.445% | 4/10/47 | 81 | 81 |
4 | Commercial Mortgage Trust 2006-GG7 | 5.819% | 7/10/38 | 149 | 152 |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C3 | 5.806% | 6/15/38 | 80 | 82 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2007-C1 | 5.361% | 2/15/40 | 12 | 13 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2008-C1 | 5.973% | 2/15/41 | 124 | 135 | |
4,6 | Dell Equipment Finance Trust 2015-1 | 1.010% | 7/24/17 | 1,100 | 1,101 |
4,5 | Discover Card Execution Note Trust 2012-A4 | 0.557% | 11/15/19 | 297 | 297 |
4,5 | Discover Card Execution Note Trust 2013-A1 | 0.487% | 8/17/20 | 400 | 400 |
4 | Discover Card Execution Note Trust 2013-A2 | 0.690% | 8/15/18 | 525 | 525 |
4,5 | Discover Card Execution Note Trust 2015-A1 | 0.537% | 8/17/20 | 1,000 | 1,000 |
4,6 | Drive Auto Receivables Trust 2015-A | 1.010% | 11/15/17 | 1,048 | 1,048 |
4,6 | Drive Auto Receivables Trust 2015-B | 1.300% | 6/15/18 | 140 | 140 |
4,6 | Drive Auto Receivables Trust 2015-BA | 2.120% | 6/17/19 | 130 | 130 |
4,6 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 330 | 329 |
4,6 | Drive Auto Receivables Trust 2015-C | 2.230% | 9/16/19 | 135 | 135 |
4,6 | Drive Auto Receivables Trust 2015-C | 3.010% | 5/17/21 | 200 | 200 |
4,6 | Drive Auto Receivables Trust 2015-C | 4.200% | 9/15/21 | 145 | 145 |
4,6 | Enterprise Fleet Financing LLC Series 2012-2 | 0.930% | 4/20/18 | 491 | 491 |
4,6 | Enterprise Fleet Financing LLC Series 2015-1 | 1.300% | 9/20/20 | 250 | 250 |
4,6 | Enterprise Fleet Financing LLC Series 2015-2 | 1.590% | 2/22/21 | 1,500 | 1,501 |
4,6 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 980 | 981 |
4,5 | Fannie Mae Connecticut Avenue Securities | ||||
2015-C01 | 1.690% | 2/25/25 | 28 | 28 | |
4,5 | Fannie Mae Connecticut Avenue Securities | ||||
2015-C01 | 1.690% | 2/25/25 | 28 | 28 | |
4,5 | Fannie Mae Connecticut Avenue Securities | ||||
2015-C02 | 1.340% | 5/25/25 | 109 | 109 | |
4,5 | Fannie Mae Connecticut Avenue Securities | ||||
2015-C02 | 1.391% | 5/25/25 | 198 | 198 | |
4,5 | Fannie Mae Connecticut Avenue Securities | ||||
2015-C03 | 1.688% | 7/25/25 | 135 | 135 | |
4,5 | Fannie Mae Connecticut Avenue Securities | ||||
2015-C03 | 1.689% | 7/25/25 | 105 | 105 | |
4 | Ford Credit Auto Lease Trust 2013-A | 1.010% | 5/15/16 | 109 | 109 |
4 | Ford Credit Auto Lease Trust 2013-A | 1.280% | 6/15/16 | 83 | 83 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 137 | 137 |
4 | Ford Credit Auto Lease Trust 2015-A | 0.790% | 12/15/17 | 1,000 | 1,000 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.680% | 11/15/18 | 30 | 30 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.540% | 3/15/19 | 62 | 62 |
4 | Ford Credit Auto Owner Trust 2015-A | 0.810% | 1/15/18 | 500 | 501 |
4 | Ford Credit Auto Owner Trust 2015-B | 0.720% | 3/15/18 | 1,400 | 1,400 |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2012-2 | 1.920% | 1/15/19 | 226 | 228 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2012-5 | 1.690% | 9/15/19 | 100 | 100 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2012-5 | 2.140% | 9/15/19 | 100 | 101 |
15
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-1 | 1.370% | 1/15/18 | 155 | 155 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-1 | 1.820% | 1/15/18 | 100 | 100 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-1 | 1.400% | 2/15/19 | 62 | 62 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-1 | 2.310% | 2/15/21 | 27 | 27 | |
4,5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-4 | 0.537% | 8/15/19 | 495 | 494 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-4 | 1.400% | 8/15/19 | 250 | 250 | |
4,6 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 62 | 62 |
4,5 | GE Capital Credit Card Master Note Trust | ||||
Series 2011-2 | 1.187% | 5/15/19 | 304 | 305 | |
4 | GE Capital Credit Card Master Note Trust | ||||
Series 2012-6 | 1.360% | 8/17/20 | 250 | 250 | |
4,5 | GE Dealer Floorplan Master Note Trust | ||||
Series 2012-2 | 0.938% | 4/22/19 | 406 | 407 | |
4,5 | GE Dealer Floorplan Master Note Trust | ||||
Series 2012-4 | 0.628% | 10/20/17 | 211 | 211 | |
4,5 | GE Dealer Floorplan Master Note Trust | ||||
Series 2014-2 | 0.638% | 10/20/19 | 875 | 872 | |
4 | GE Equipment Transportation LLC Series 2015-1 | 0.890% | 11/24/17 | 250 | 250 |
4,6 | GM Financial Leasing Trust 2014-1A | 1.760% | 5/21/18 | 100 | 100 |
4 | GM Financial Leasing Trust 2015-1 | 1.100% | 12/20/17 | 600 | 601 |
4 | GM Financial Leasing Trust 2015-2 | 1.680% | 12/20/18 | 1,100 | 1,102 |
4 | GM Financial Leasing Trust 2015-2 | 2.420% | 7/22/19 | 140 | 140 |
4 | GM Financial Leasing Trust 2015-2 | 2.990% | 7/22/19 | 120 | 120 |
4,6 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 450 | 451 |
4,6 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 100 | 100 |
4,6 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 536 | 541 |
4,5,6 Golden Credit Card Trust 2015-3A | 0.607% | 7/15/19 | 2,000 | 2,000 | |
4,5 | Granite Master Issuer plc Series 2007-2 | 0.266% | 12/17/54 | 12 | 12 |
4,6 | Great America Leasing Receivables 2015-1 | 1.120% | 6/20/17 | 500 | 501 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 101 | 105 |
4 | GS Mortgage Securities Trust 2014-GC22 | 1.290% | 6/10/47 | 55 | 55 |
4 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 1,163 | 1,161 |
4 | Harley-Davidson Motorcycle Trust 2015-2 | 1.300% | 3/16/20 | 1,100 | 1,097 |
4,6 | Hertz Vehicle Financing LLC 2010-1A | 3.740% | 2/25/17 | 441 | 445 |
4,6 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 1,351 | 1,387 |
4 | Honda Auto Receivables 2015-2 Owner Trust | 1.470% | 8/23/21 | 800 | 797 |
4 | Huntington Auto Trust 2015-1 | 0.760% | 10/16/17 | 1,500 | 1,500 |
4,6 | Hyundai Auto Lease Securitization Trust 2014-A | 1.300% | 7/16/18 | 100 | 100 |
4,6 | Hyundai Auto Lease Securitization Trust 2014-B | 1.540% | 12/17/18 | 100 | 100 |
4,6 | Hyundai Auto Lease Securitization Trust 2015-A | 1.000% | 10/16/17 | 300 | 301 |
4,6 | Hyundai Auto Lease Securitization Trust 2015-B | 1.660% | 7/15/19 | 1,000 | 1,002 |
4,6 | Hyundai Auto Lease Securitization Trust 2015-B | 2.210% | 5/15/20 | 250 | 251 |
4 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 49 | 49 |
4 | Hyundai Auto Receivables Trust 2013-B | 1.450% | 2/15/19 | 35 | 35 |
4 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 60 | 61 |
4 | Hyundai Auto Receivables Trust 2015-B | 0.690% | 4/16/18 | 1,100 | 1,099 |
5 | Illinois Student Assistance Commission | ||||
Series 2010-1 | 1.345% | 4/25/22 | 94 | 94 | |
4,5,6 Invitation Homes 2014-SFR1 Trust | 1.686% | 6/17/31 | 149 | 148 | |
4,5,6 Invitation Homes 2014-SFR2 Trust | 1.788% | 9/17/31 | 100 | 99 |
16
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5,6 Invitation Homes 2015-SFR2 Trust | 1.536% | 6/17/32 | 98 | 98 | |
4 | John Deere Owner Trust 2015-A | 0.870% | 2/15/18 | 300 | 300 |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP6 | 5.471% | 4/15/43 | 126 | 128 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP7 | 5.905% | 4/15/45 | 151 | 156 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-C1 | 5.716% | 2/15/51 | 19 | 20 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC20 | 5.746% | 2/12/51 | 162 | 173 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP10 | 5.439% | 1/15/49 | 175 | 184 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP12 | 5.850% | 2/15/51 | 130 | 139 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 1.855% | 4/15/46 | 19 | 19 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.019% | 8/15/46 | 62 | 64 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 1.247% | 1/15/47 | 80 | 80 | |
4,5,6 Kildare Securities Ltd. 2007-1A | 0.402% | 12/10/43 | 7 | 7 | |
4,6 | Kubota Credit Owner Trust 2014-1 | 1.160% | 5/15/18 | 400 | 401 |
4,5,6 Lanark Master Issuer plc 2012-2A | 1.684% | 12/22/54 | 249 | 250 | |
4 | LB-UBS Commercial Mortgage Trust 2006-C3 | 5.641% | 3/15/39 | 203 | 206 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 94 | 97 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 47 | 49 |
4 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.387% | 2/15/40 | 131 | 138 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 121 | 131 |
4,6 | Macquarie Equipment Funding Trust 2012-A | 0.850% | 10/22/18 | 51 | 51 |
4,6 | Master Credit Card Trust 2012-2A | 1.970% | 4/21/17 | 100 | 100 |
4,6 | Master Credit Card Trust 2013-3A | 2.280% | 1/22/18 | 100 | 100 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.340% | 12/16/19 | 1,100 | 1,098 |
4,6 | Mercedes-Benz Master Owner Trust 2012-A | 0.790% | 11/15/17 | 436 | 436 |
4,5,6 Mercedes-Benz Master Owner Trust 2015-A | 0.507% | 4/15/19 | 1,200 | 1,200 | |
4 | Merrill Lynch Mortgage Trust 2006-C2 | 5.739% | 8/12/43 | 53 | 54 |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 32 | 34 |
4 | ML-CFC Commercial Mortgage Trust 2006-2 | 5.868% | 6/12/46 | 31 | 31 |
4 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 34 | 34 |
4,6 | MMAF Equipment Finance LLC 2009-A | 3.510% | 1/15/30 | 26 | 26 |
4,6 | MMAF Equipment Finance LLC 2011-A | 2.100% | 7/15/17 | 123 | 123 |
4,6 | MMAF Equipment Finance LLC 2011-A | 3.040% | 8/15/28 | 234 | 240 |
4,6 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 100 | 101 |
4,6 | MMAF Equipment Finance LLC 2013-A | 1.030% | 12/11/17 | 595 | 596 |
4,6 | MMAF Equipment Finance LLC 2015-A | 0.960% | 9/18/17 | 1,000 | 1,001 |
4 | Morgan Stanley Bank of America | ||||
Merrill Lynch Trust 2012-C5 | 0.916% | 8/15/45 | 45 | 45 | |
4 | Morgan Stanley Bank of America | ||||
Merrill Lynch Trust 2013-C11 | 1.308% | 8/15/46 | 243 | 241 | |
4 | Morgan Stanley Bank of America | ||||
Merrill Lynch Trust 2013-C11 | 3.085% | 8/15/46 | 84 | 87 | |
4 | Morgan Stanley Capital I Trust 2006-HQ9 | 5.728% | 7/12/44 | 203 | 210 |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 58 | 60 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.908% | 6/11/49 | 159 | 169 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 137 | 147 |
4,5 | Navient Student Loan Trust 2015-2 | 0.470% | 11/25/24 | 925 | 924 |
17
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Navient Student Loan Trust 2015-3 | 0.539% | 7/25/30 | 1,700 | 1,700 |
4,5 | New Mexico Educational Assistance | ||||
Foundation 2013-1 | 0.887% | 1/2/25 | 124 | 124 | |
4 | Nissan Auto Lease Trust 2014-B | 1.290% | 3/16/20 | 681 | 681 |
4 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 445 | 446 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 0.670% | 9/15/17 | 900 | 900 |
4,5 Nissan Master Owner Trust Receivables | ||||
Series 2013-A | 0.487% | 2/15/18 | 331 | 331 |
4 | Nissan Master Owner Trust Receivables | ||||
Series 2015-A | 1.440% | 1/15/20 | 61 | 61 | |
5 | North Carolina State Education Assistance | ||||
Authority 2011-1 | 1.181% | 1/26/26 | 138 | 137 | |
4,5 | North Carolina State Education Assistance | ||||
Authority 2011-2 | 1.076% | 7/25/25 | 98 | 98 | |
4,5,6 PFS Financing Corp. 2015-AA | 0.807% | 4/15/20 | 100 | 99 | |
4,6 | Porsche Innovative Lease Owner Trust 2015-1 | 1.430% | 5/21/21 | 400 | 400 |
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 146 | 147 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 48 | 48 |
4 | Santander Drive Auto Receivables Trust 2015-2 | 0.880% | 9/17/18 | 1,000 | 1,000 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 1.490% | 6/17/19 | 705 | 706 |
4,5,6 Silver Bay Realty 2014-1 Trust | 1.636% | 9/17/31 | 100 | 99 | |
4,5 | SLM Student Loan Trust 2005-5 | 0.395% | 4/25/25 | 332 | 331 |
4,5 | SLM Student Loan Trust 2005-9 | 0.415% | 1/27/25 | 117 | 117 |
4,5 | SLM Student Loan Trust 2006-6 | 0.405% | 10/27/25 | 182 | 181 |
4,5,6 SLM Student Loan Trust 2011-A | 1.187% | 10/15/24 | 45 | 45 | |
4,6 | SLM Student Loan Trust 2011-A | 4.370% | 4/17/28 | 100 | 106 |
4,5,6 SLM Student Loan Trust 2011-C | 1.587% | 12/15/23 | 31 | 32 | |
4,5,6 SLM Student Loan Trust 2012-B | 1.287% | 12/15/21 | 13 | 13 | |
4,6 | SLM Student Loan Trust 2012-B | 3.480% | 10/15/30 | 152 | 156 |
4,5,6 SLM Student Loan Trust 2012-E | 0.937% | 10/16/23 | 82 | 82 | |
4,6 | SLM Student Loan Trust 2013-B | 1.850% | 6/17/30 | 100 | 99 |
4 | SMART ABS Series 2012-4US Trust | 0.970% | 3/14/17 | 113 | 113 |
4 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 892 | 892 |
4 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 411 | 410 |
4 | SMART ABS Series 2013-2US Trust | 1.180% | 2/14/19 | 520 | 522 |
4 | SMART ABS Series 2014-1US Trust | 0.950% | 2/14/18 | 1,000 | 1,002 |
4,5,6 SMB Private Education Loan Trust 2015-A | 0.787% | 7/17/23 | 842 | 842 | |
4,6 | Sonic Capital LLC 2011-1A | 5.438% | 5/20/41 | 79 | 83 |
4,5 | South Carolina Student Loan Corp. | ||||
Revenue 2010-1 | 1.295% | 7/25/25 | 194 | 196 | |
4,5,6 SWAY Residential 2014-1 Trust | 1.486% | 1/17/32 | 193 | 192 | |
4 | Synchrony Credit Card Master Note Trust 2015-2 | 1.600% | 4/15/21 | 250 | 251 |
4 | Toyota Auto Receivables 2015-A Owner Trust | 0.710% | 7/17/17 | 250 | 250 |
4 | UBS Commercial Mortgage Trust 2011-C1 | 1.524% | 1/10/45 | 96 | 96 |
4 | USAA Auto Owner Trust 2015-1 | 1.540% | 11/16/20 | 1,400 | 1,400 |
4 | Volkswagen Auto Lease Trust 2015-A | 0.870% | 6/20/17 | 250 | 250 |
4,6 | Volkswagen Credit Auto Master Owner | ||||
Trust 2014-1A | 1.400% | 7/22/19 | 336 | 336 | |
4,6 | Volvo Financial Equipment LLC Series 2012-1 | 2.380% | 9/16/19 | 50 | 50 |
4,6 | Volvo Financial Equipment LLC Series 2015-1A | 0.950% | 11/15/17 | 500 | 500 |
4 | Wachovia Bank Commercial Mortgage | ||||
Trust Series 2006-C27 | 5.765% | 7/15/45 | 37 | 38 | |
4 | Wachovia Bank Commercial Mortgage | ||||
Trust Series 2006-C28 | 5.559% | 10/15/48 | 99 | 103 | |
4 | Wachovia Bank Commercial Mortgage | ||||
Trust Series 2006-C28 | 5.572% | 10/15/48 | 181 | 188 |
18
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Wachovia Bank Commercial Mortgage | ||||
Trust Series 2006-C29 | 5.297% | 11/15/48 | 155 | 162 | |
4 | Wachovia Bank Commercial Mortgage | ||||
Trust Series 2007-C33 | 5.951% | 2/15/51 | 17 | 19 | |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 2.900% | 8/15/46 | 40 | 41 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 1.406% | 9/15/46 | 144 | 145 |
4 | WFRBS Commercial Mortgage Trust 2013-UBS1 | 1.122% | 3/15/46 | 38 | 38 |
4,6 | Wheels SPV 2 LLC 2014-1A | 0.840% | 3/20/23 | 511 | 510 |
4,6 | Wheels SPV 2 LLC 2015-1 A3 | 1.810% | 4/22/24 | 200 | 200 |
4 | World Financial Network Credit Card Master | ||||
Note Trust Series 2013-B | 0.910% | 3/16/20 | 1,100 | 1,099 | |
4,5 | World Financial Network Credit Card Master | ||||
Note Trust Series 2014-A | 0.567% | 12/15/19 | 1,000 | 1,000 | |
4,5 | World Financial Network Credit Card Master | ||||
Note Trust Series 2015-A | 0.667% | 2/15/22 | 115 | 115 | |
4 | World Omni Auto Receivables Trust 2013-A | 0.640% | 4/16/18 | 100 | 100 |
4 | World Omni Auto Receivables Trust 2015-A | 0.790% | 7/16/18 | 250 | 250 |
4 | World Omni Automobile Lease Securitization | ||||
Trust 2013-A | 1.100% | 12/15/16 | 336 | 336 | |
4 | World Omni Automobile Lease Securitization | ||||
Trust 2015-A | 1.730% | 12/15/20 | 380 | 380 | |
4,5,6 World Omni Master Owner Trust 2013-1 | 0.537% | 2/15/18 | 1,352 | 1,352 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $96,863) | 96,808 | ||||
Corporate Bonds (23.6%) | |||||
Finance (10.3%) | |||||
Banking (9.0%) | |||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 108 | 110 | |
Abbey National Treasury Services plc | 1.375% | 3/13/17 | 701 | 702 | |
6 | ABN AMRO Bank NV | 4.250% | 2/2/17 | 600 | 625 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 500 | 506 | |
Australia & New Zealand Banking Group Ltd. | 1.500% | 1/16/18 | 842 | 842 | |
Bank of America Corp. | 3.700% | 9/1/15 | 20 | 20 | |
Bank of America Corp. | 1.500% | 10/9/15 | 29 | 29 | |
Bank of America Corp. | 3.625% | 3/17/16 | 29 | 30 | |
Bank of America Corp. | 3.750% | 7/12/16 | 29 | 30 | |
Bank of America Corp. | 6.500% | 8/1/16 | 29 | 30 | |
Bank of America Corp. | 1.350% | 11/21/16 | 410 | 409 | |
Bank of America Corp. | 6.400% | 8/28/17 | 229 | 250 | |
Bank of America Corp. | 6.000% | 9/1/17 | 29 | 31 | |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 770 | 782 | |
Bank of Nova Scotia | 2.050% | 10/7/15 | 62 | 62 | |
Bank of Nova Scotia | 0.750% | 10/9/15 | 62 | 62 | |
Bank of Nova Scotia | 2.900% | 3/29/16 | 1,162 | 1,180 | |
Bank of Nova Scotia | 1.375% | 7/15/16 | 938 | 943 | |
Bank of Nova Scotia | 2.550% | 1/12/17 | 252 | 257 | |
Bank of Nova Scotia | 1.300% | 7/21/17 | 62 | 62 | |
Bear Stearns Cos. LLC | 5.300% | 10/30/15 | 14 | 14 | |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 14 | 15 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 14 | 15 | |
BNP Paribas SA | 1.375% | 3/17/17 | 680 | 680 | |
BPCE SA | 1.700% | 4/25/16 | 285 | 287 | |
BPCE SA | 1.613% | 7/25/17 | 214 | 215 | |
Canadian Imperial Bank of Commerce | 2.350% | 12/11/15 | 350 | 352 | |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 842 | 843 | |
Capital One Financial Corp. | 3.150% | 7/15/16 | 280 | 285 |
19
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Capital One NA | 1.500% | 3/22/18 | 342 | 338 |
Citigroup Inc. | 1.250% | 1/15/16 | 26 | 26 |
Citigroup Inc. | 1.300% | 4/1/16 | 26 | 26 |
Citigroup Inc. | 3.953% | 6/15/16 | 223 | 228 |
Citigroup Inc. | 1.700% | 7/25/16 | 440 | 442 |
Citigroup Inc. | 4.450% | 1/10/17 | 26 | 27 |
Citigroup Inc. | 1.350% | 3/10/17 | 26 | 26 |
Citigroup Inc. | 1.550% | 8/14/17 | 44 | 44 |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 850 | 852 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 250 | 253 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 2.125% | 10/13/15 | 135 | 135 |
Cooperatieve Centrale | ||||
Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 671 | 693 |
Deutsche Bank AG | 3.250% | 1/11/16 | 208 | 210 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 529 | 560 |
Goldman Sachs Group Inc. | 3.700% | 8/1/15 | 32 | 32 |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 50 | 51 |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 235 | 238 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 650 | 710 |
Huntington National Bank | 1.375% | 4/24/17 | 250 | 249 |
JPMorgan Chase & Co. | 5.150% | 10/1/15 | 14 | 14 |
JPMorgan Chase & Co. | 1.100% | 10/15/15 | 14 | 14 |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 162 | 163 |
JPMorgan Chase & Co. | 1.125% | 2/26/16 | 154 | 154 |
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 14 | 14 |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 319 | 325 |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 14 | 14 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 41 | 41 |
Lloyds Bank plc | 4.875% | 1/21/16 | 650 | 663 |
6 Macquarie Bank Ltd. | 2.000% | 8/15/16 | 416 | 420 |
Morgan Stanley | 1.750% | 2/25/16 | 461 | 463 |
Morgan Stanley | 1.875% | 1/5/18 | 800 | 802 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 500 | 513 |
National Australia Bank Ltd. | 1.875% | 7/23/18 | 760 | 762 |
National City Bank | 5.250% | 12/15/16 | 500 | 526 |
PNC Bank NA | 1.500% | 10/18/17 | 310 | 311 |
PNC Funding Corp. | 2.700% | 9/19/16 | 485 | 493 |
Royal Bank of Canada | 1.250% | 6/16/17 | 1,496 | 1,497 |
Royal Bank of Scotland plc | 3.950% | 9/21/15 | 60 | 60 |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 240 | 244 |
State Street Corp. | 2.875% | 3/7/16 | 770 | 780 |
State Street Corp. | 1.350% | 5/15/18 | 350 | 348 |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 1,233 | 1,254 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 1,580 | 1,578 |
UBS AG | 1.375% | 6/1/17 | 570 | 568 |
UBS AG | 1.375% | 8/14/17 | 600 | 597 |
US Bank NA | 1.375% | 9/11/17 | 635 | 637 |
US Bank NA | 1.350% | 1/26/18 | 400 | 400 |
Wells Fargo & Co. | 1.250% | 7/20/16 | 735 | 738 |
Westpac Banking Corp. | 1.125% | 9/25/15 | 53 | 53 |
Westpac Banking Corp. | 3.000% | 12/9/15 | 362 | 365 |
Westpac Banking Corp. | 0.950% | 1/12/16 | 64 | 64 |
Westpac Banking Corp. | 1.050% | 11/25/16 | 64 | 64 |
Westpac Banking Corp. | 1.200% | 5/19/17 | 64 | 64 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 64 | 65 |
20
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Brokerage (0.3%) | ||||
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 214 | 217 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 214 | 214 |
Nomura Holdings Inc. | 4.125% | 1/19/16 | 200 | 203 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 200 | 201 |
NYSE Euronext | 2.000% | 10/5/17 | 367 | 371 |
Finance Companies (0.3%) | ||||
Air Lease Corp. | 5.625% | 4/1/17 | 116 | 123 |
General Electric Capital Corp. | 4.375% | 9/21/15 | 12 | 12 |
General Electric Capital Corp. | 2.250% | 11/9/15 | 17 | 17 |
General Electric Capital Corp. | 1.000% | 12/11/15 | 17 | 17 |
General Electric Capital Corp. | 5.000% | 1/8/16 | 17 | 17 |
General Electric Capital Corp. | 2.950% | 5/9/16 | 17 | 17 |
General Electric Capital Corp. | 1.500% | 7/12/16 | 17 | 17 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 17 | 17 |
General Electric Capital Corp. | 5.375% | 10/20/16 | 300 | 316 |
General Electric Capital Corp. | 2.900% | 1/9/17 | 17 | 17 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 17 | 18 |
General Electric Capital Corp. | 2.450% | 3/15/17 | 132 | 135 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 17 | 19 |
5 HSBC Finance Corp. | 0.713% | 6/1/16 | 216 | 216 |
Insurance (0.4%) | ||||
American International Group Inc. | 5.050% | 10/1/15 | 150 | 151 |
Manulife Financial Corp. | 3.400% | 9/17/15 | 159 | 159 |
6 MassMutual Global Funding II | 3.125% | 4/14/16 | 160 | 163 |
6 MassMutual Global Funding II | 2.000% | 4/5/17 | 159 | 161 |
MetLife Inc. | 6.750% | 6/1/16 | 372 | 390 |
UnitedHealth Group Inc. | 1.450% | 7/17/17 | 320 | 321 |
Real Estate Investment Trusts (0.3%) | ||||
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 116 | 123 |
DDR Corp. | 7.500% | 4/1/17 | 136 | 148 |
Health Care REIT Inc. | 3.625% | 3/15/16 | 260 | 264 |
Health Care REIT Inc. | 2.250% | 3/15/18 | 400 | 402 |
34,322 | ||||
Industrial (11.0%) | ||||
Basic Industry (1.6%) | ||||
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 1,164 | 1,178 |
Airgas Inc. | 3.250% | 10/1/15 | 170 | 170 |
Airgas Inc. | 2.950% | 6/15/16 | 225 | 229 |
Airgas Inc. | 1.650% | 2/15/18 | 100 | 100 |
BHP Billiton Finance USA Ltd. | 5.250% | 12/15/15 | 70 | 71 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 571 | 576 |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 271 | 273 |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 71 | 76 |
Eastman Chemical Co. | 3.000% | 12/15/15 | 270 | 272 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 250 | 254 |
Ecolab Inc. | 3.000% | 12/8/16 | 500 | 511 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 30 | 31 |
PPG Industries Inc. | 1.900% | 1/15/16 | 326 | 328 |
Praxair Inc. | 0.750% | 2/21/16 | 200 | 200 |
Praxair Inc. | 5.200% | 3/15/17 | 1,100 | 1,172 |
21
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Capital Goods (1.3%) | ||||
Boeing Capital Corp. | 2.125% | 8/15/16 | 214 | 217 |
Danaher Corp. | 2.300% | 6/23/16 | 214 | 217 |
General Dynamics Corp. | 2.250% | 7/15/16 | 214 | 217 |
General Dynamics Corp. | 1.000% | 11/15/17 | 200 | 199 |
General Electric Co. | 0.850% | 10/9/15 | 17 | 17 |
General Electric Co. | 5.250% | 12/6/17 | 300 | 326 |
John Deere Capital Corp. | 0.750% | 1/22/16 | 76 | 76 |
John Deere Capital Corp. | 2.250% | 6/7/16 | 25 | 25 |
John Deere Capital Corp. | 1.850% | 9/15/16 | 25 | 25 |
John Deere Capital Corp. | 1.050% | 10/11/16 | 16 | 16 |
John Deere Capital Corp. | 1.050% | 12/15/16 | 16 | 16 |
John Deere Capital Corp. | 2.000% | 1/13/17 | 25 | 25 |
John Deere Capital Corp. | 1.400% | 3/15/17 | 25 | 25 |
John Deere Capital Corp. | 1.125% | 6/12/17 | 135 | 135 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 25 | 26 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 870 | 869 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 275 | 279 |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 275 | 281 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 950 | 945 |
6 Siemens Financieringsmaatschappij NV | 1.450% | 5/25/18 | 400 | 400 |
Communication (1.4%) | ||||
America Movil SAB de CV | 2.375% | 9/8/16 | 1,250 | 1,265 |
AT&T Inc. | 0.800% | 12/1/15 | 100 | 100 |
AT&T Inc. | 2.950% | 5/15/16 | 425 | 431 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 46 | 52 |
Comcast Corp. | 6.500% | 1/15/17 | 46 | 50 |
Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | 425 | 438 |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 841 | 853 |
Omnicom Group Inc. | 5.900% | 4/15/16 | 550 | 568 |
TCI Communications Inc. | 8.750% | 8/1/15 | 32 | 32 |
Thomson Reuters Corp. | 0.875% | 5/23/16 | 500 | 499 |
Verizon Communications Inc. | 2.500% | 9/15/16 | 458 | 465 |
Verizon Communications Inc. | 1.350% | 6/9/17 | 58 | 58 |
Consumer Cyclical (1.6%) | ||||
American Honda Finance Corp. | 1.125% | 10/7/16 | 214 | 215 |
American Honda Finance Corp. | 0.950% | 5/5/17 | 400 | 399 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 200 | 200 |
AutoZone Inc. | 5.500% | 11/15/15 | 232 | 235 |
6 Daimler Finance North America LLC | 1.600% | 8/3/17 | 400 | 401 |
6 Daimler Finance North America LLC | 1.650% | 5/18/18 | 400 | 398 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 290 | 296 |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 100 | 102 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 100 | 109 |
6 Harley-Davidson Financial Services Inc. | 1.150% | 9/15/15 | 53 | 53 |
6 Harley-Davidson Financial Services Inc. | 3.875% | 3/15/16 | 353 | 359 |
6 Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 53 | 54 |
Lowe’s Cos. Inc. | 2.125% | 4/15/16 | 200 | 202 |
Lowe’s Cos. Inc. | 1.625% | 4/15/17 | 108 | 109 |
Lowe’s Cos. Inc. | 6.100% | 9/15/17 | 108 | 119 |
PACCAR Financial Corp. | 0.750% | 8/14/15 | 80 | 80 |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 135 | 136 |
Starbucks Corp. | 0.875% | 12/5/16 | 425 | 425 |
22
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Toyota Motor Credit Corp. | 0.800% | 5/17/16 | 100 | 100 |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 100 | 101 |
Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 400 | 405 |
Wal-Mart Stores Inc. | 0.600% | 4/11/16 | 124 | 124 |
Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 124 | 126 |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 124 | 134 |
6 Wesfarmers Ltd. | 2.983% | 5/18/16 | 259 | 263 |
Consumer Noncyclical (2.7%) | ||||
AbbVie Inc. | 1.800% | 5/14/18 | 450 | 449 |
Actavis Funding SCS | 1.850% | 3/1/17 | 99 | 99 |
Actavis Funding SCS | 1.300% | 6/15/17 | 100 | 99 |
Actavis Funding SCS | 2.350% | 3/12/18 | 39 | 39 |
Actavis Inc. | 1.875% | 10/1/17 | 39 | 39 |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 116 | 128 |
Amgen Inc. | 2.500% | 11/15/16 | 55 | 56 |
Amgen Inc. | 2.125% | 5/15/17 | 58 | 59 |
Amgen Inc. | 5.850% | 6/1/17 | 58 | 63 |
AstraZeneca plc | 5.900% | 9/15/17 | 480 | 525 |
6 Baxalta Inc. | 2.000% | 6/22/18 | 250 | 250 |
6 Cargill Inc. | 1.900% | 3/1/17 | 459 | 464 |
Celgene Corp. | 1.900% | 8/15/17 | 370 | 372 |
Clorox Co. | 5.950% | 10/15/17 | 400 | 437 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 1,239 | 1,270 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 265 | 267 |
6 JM Smucker Co. | 1.750% | 3/15/18 | 500 | 500 |
Medtronic Inc. | 2.625% | 3/15/16 | 350 | 354 |
Mondelez International Inc. | 4.125% | 2/9/16 | 58 | 59 |
Mylan Inc. | 1.800% | 6/24/16 | 180 | 181 |
PepsiCo Inc. | 2.500% | 5/10/16 | 625 | 634 |
PepsiCo Inc. | 1.125% | 7/17/17 | 700 | 701 |
Reynolds American Inc. | 2.300% | 6/12/18 | 600 | 606 |
St. Jude Medical Inc. | 2.500% | 1/15/16 | 319 | 321 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 360 | 364 |
Tyson Foods Inc. | 6.600% | 4/1/16 | 216 | 224 |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 350 | 350 |
Energy (1.1%) | ||||
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 17 | 18 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 116 | 123 |
Energy Transfer Partners LP | 2.500% | 6/15/18 | 500 | 501 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 170 | 186 |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 100 | 100 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 117 | 118 |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 17 | 18 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 17 | 18 |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 17 | 19 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 17 | 17 |
Occidental Petroleum Corp. | 4.125% | 6/1/16 | 600 | 617 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 850 | 847 |
Shell International Finance BV | 0.625% | 12/4/15 | 300 | 300 |
6 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 17 | 18 |
Total Capital International SA | 1.500% | 2/17/17 | 687 | 692 |
Total Capital International SA | 1.550% | 6/28/17 | 187 | 188 |
23
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Technology (0.9%) | ||||
Apple Inc. | 0.900% | 5/12/17 | 300 | 300 |
Applied Materials Inc. | 2.650% | 6/15/16 | 800 | 812 |
Corning Inc. | 1.500% | 5/8/18 | 300 | 299 |
Intel Corp. | 1.950% | 10/1/16 | 214 | 217 |
Intel Corp. | 1.350% | 12/15/17 | 200 | 200 |
Oracle Corp. | 5.250% | 1/15/16 | 367 | 375 |
Oracle Corp. | 1.200% | 10/15/17 | 350 | 350 |
QUALCOMM Inc. | 1.400% | 5/18/18 | 400 | 396 |
Transportation (0.4%) | ||||
Canadian National Railway Co. | 5.850% | 11/15/17 | 345 | 376 |
6 ERAC USA Finance LLC | 1.400% | 4/15/16 | 308 | 308 |
6 ERAC USA Finance LLC | 6.375% | 10/15/17 | 58 | 64 |
Ryder System Inc. | 2.500% | 3/1/17 | 275 | 279 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 214 | 214 |
36,613 | ||||
Utilities (2.3%) | ||||
Electric (2.3%) | ||||
Arizona Public Service Co. | 6.250% | 8/1/16 | 420 | 442 |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 54 | 57 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 116 | 128 |
CMS Energy Corp. | 6.550% | 7/17/17 | 139 | 152 |
CMS Energy Corp. | 5.050% | 2/15/18 | 39 | 42 |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 54 | 57 |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 54 | 54 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 454 | 498 |
Consumers Energy Co. | 5.500% | 8/15/16 | 119 | 124 |
Consumers Energy Co. | 5.150% | 2/15/17 | 135 | 143 |
Consumers Energy Co. | 6.125% | 3/15/19 | 125 | 144 |
Duke Energy Carolinas LLC | 5.300% | 10/1/15 | 288 | 290 |
Duke Energy Florida Inc. | 0.650% | 11/15/15 | 38 | 38 |
Duke Energy Florida Inc. | 5.100% | 12/1/15 | 38 | 39 |
Duke Energy Florida Inc. | 5.800% | 9/15/17 | 246 | 268 |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 50 | 56 |
Duke Energy Progress Inc. | 5.250% | 12/15/15 | 38 | 39 |
Exelon Corp. | 1.550% | 6/9/17 | 600 | 600 |
Louisville Gas & Electric Co. | 1.625% | 11/15/15 | 414 | 415 |
National Rural Utilities Cooperative Finance Corp. | 1.900% | 11/1/15 | 171 | 172 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 671 | 681 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 221 | 237 |
National Rural Utilities Cooperative Finance Corp. | 0.950% | 4/24/17 | 225 | 225 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 1,155 | 1,257 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 300 | 359 |
TECO Finance Inc. | 4.000% | 3/15/16 | 143 | 146 |
TECO Finance Inc. | 6.572% | 11/1/17 | 58 | 64 |
5 TECO Finance Inc. | 0.883% | 4/10/18 | 100 | 100 |
Union Electric Co. | 6.400% | 6/15/17 | 464 | 506 |
Xcel Energy Inc. | 0.750% | 5/9/16 | 250 | 250 |
Xcel Energy Inc. | 1.200% | 6/1/17 | 300 | 300 |
7,883 | ||||
Total Corporate Bonds (Cost $78,930) | 78,818 |
24
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Sovereign Bonds (U.S. Dollar-Denominated) (1.2%) | ||||
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 800 | 800 |
Corp. Andina de Fomento | 3.750% | 1/15/16 | 150 | 152 |
Corp. Andina de Fomento | 7.790% | 3/1/17 | 200 | 220 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 200 | 206 |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 200 | 208 |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 50 | 50 |
Korea Development Bank | 3.250% | 3/9/16 | 100 | 101 |
Korea Development Bank | 4.000% | 9/9/16 | 1,000 | 1,032 |
Korea Development Bank | 2.250% | 8/7/17 | 200 | 203 |
North American Development Bank | 2.300% | 10/10/18 | 300 | 305 |
Statoil ASA | 3.125% | 8/17/17 | 200 | 207 |
Statoil ASA | 1.200% | 1/17/18 | 300 | 298 |
Svensk Exportkredit AB | 0.625% | 5/31/16 | 300 | 300 |
Total Sovereign Bonds (Cost $4,081) | 4,082 | |||
Taxable Municipal Bonds (0.1%) | ||||
Louisiana Local Government Environmental | ||||
Facilities & Community Development | ||||
Authority Revenue 2010-EGSL (Cost $256) | 3.220% | 2/1/21 | 247 | 255 |
Shares | ||||
Temporary Cash Investment (24.1%) | ||||
Money Market Fund (24.1%) | ||||
7 Vanguard Market Liquidity Fund (Cost $80,019) | 0.152% | 80,019,440 | 80,019 | |
Total Investments (100.0%) (Cost $332,973) | 332,818 | |||
Other Assets and Liabilities (0.0%) | ||||
Other Assets | 2,485 | |||
Liabilities | (2,394) | |||
91 | ||||
Net Assets (100%) | 332,909 |
25
Ultra-Short-Term Bond Fund | |
At July 31, 2015, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 333,105 |
Overdistributed Net Investment Income | (20) |
Accumulated Net Realized Losses | (21) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (155) |
Futures Contracts | — |
Net Assets | 332,909 |
Investor Shares—Net Assets | |
Applicable to 3,594,621 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 35,924 |
Net Asset Value Per Share—Investor Shares | $9.99 |
Admiral Shares—Net Assets | |
Applicable to 14,857,969 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 296,985 |
Net Asset Value Per Share—Admiral Shares | $19.99 |
- See Note A in Notes to Financial Statements.
- Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
- The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
- 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.
- 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.
- Adjustable-rate security.
- Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $38,145,000, representing 11.5% of net assets.
- Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
26
Ultra-Short-Term Bond Fund | |
Statement of Operations | |
February 10, 20151 to | |
July 31, 2015 | |
($000) | |
Investment Income | |
Income | |
Interest2 | 607 |
Total Income | 607 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 4 |
Management and Administrative—Investor Shares | 18 |
Management and Administrative—Admiral Shares | 78 |
Marketing and Distribution—Investor Shares | — |
Marketing and Distribution—Admiral Shares | 1 |
Custodian Fees | 4 |
Shareholders’ Reports—Investor Shares | 2 |
Shareholders’ Reports—Admiral Shares | 1 |
Total Expenses | 108 |
Net Investment Income | 499 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 6 |
Futures Contracts | (27) |
Realized Net Gain (Loss) | (21) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (155) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 323 |
1 Commencement of subscription period for the fund. | |
2 Interest income from an affiliated company of the fund was $31,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
27
Ultra-Short-Term Bond Fund | |
Statement of Changes in Net Assets | |
February 10, 20151 to | |
July 31, 2015 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 499 |
Realized Net Gain (Loss) | (21) |
Change in Unrealized Appreciation (Depreciation) | (155) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 323 |
Distributions | |
Net Investment Income | |
Investor Shares | (53) |
Admiral Shares | (466) |
Realized Capital Gain | |
Investor Shares | — |
Admiral Shares | — |
Total Distributions | (519) |
Capital Share Transactions | |
Investor Shares | 35,944 |
Admiral Shares | 297,161 |
Net Increase (Decrease) from Capital Share Transactions | 333,105 |
Total Increase (Decrease) | 332,909 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 332,909 |
1 Commencement of subscription period for the fund. | |
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($20,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
28
Ultra-Short-Term Bond Fund | |
Financial Highlights | |
Investor Shares | |
February 10, 20151 to | |
For a Share Outstanding Throughout the Period | July 31, 2015 |
Net Asset Value, Beginning of Period | $10.00 |
Investment Operations | |
Net Investment Income | . 019 |
Net Realized and Unrealized Gain (Loss) on Investments | (.009) |
Total from Investment Operations | .010 |
Distributions | |
Dividends from Net Investment Income | (.020) |
Distributions from Realized Capital Gains | — |
Total Distributions | (. 020) |
Net Asset Value, End of Period | $9.99 |
Total Return2 | 0.10% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $36 |
Ratio of Total Expenses to Average Net Assets | 0.20% |
Ratio of Net Investment Income to Average Net Assets | 0.53% |
Portfolio Turnover Rate | 10% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Subscription period for the fund was February 10, 2015, to February 23, 2015, during which time all assets were held in money market instruments. Performance measurement began February 24, 2015, at a net asset value of $10.00.
2 Total returns do not include account service fees that may have applied in the period shown. Fund prospectuses provide information about any applicable account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Ultra-Short-Term Bond Fund | |
Financial Highlights | |
Admiral Shares | |
February 10, 20151 to | |
For a Share Outstanding Throughout the Period | July 31, 2015 |
Net Asset Value, Beginning of Period | $20.00 |
Investment Operations | |
Net Investment Income | . 045 |
Net Realized and Unrealized Gain (Loss) on Investments | (.009) |
Total from Investment Operations | .036 |
Distributions | |
Dividends from Net Investment Income | (.046) |
Distributions from Realized Capital Gains | — |
Total Distributions | (. 046) |
Net Asset Value, End of Period | $19.99 |
Total Return2 | 0.18% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $297 |
Ratio of Total Expenses to Average Net Assets | 0.12% |
Ratio of Net Investment Income to Average Net Assets | 0.61% |
Portfolio Turnover Rate | 10% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Subscription period for the fund was February 10, 2015, to February 23, 2015, during which time all assets were held in money market instruments. Performance measurement began February 24, 2015, at a net asset value of $20.00.
2 Total returns do not include account service fees that may have applied in the period shown. Fund prospectuses provide information about any applicable account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Ultra-Short-Term Bond Fund
Notes to Financial Statements
Vanguard Ultra-Short-Term Bond Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearing-house, 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.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the period ended July 31, 2015, the fund’s average investments in long and short futures contracts represented 8% and less than 1% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
31
Ultra-Short-Term Bond Fund
3. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended July 31, 2015, 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.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $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 0.06% 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 equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2015, or at any time during the period then ended.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and 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. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At July 31, 2015, the fund had contributed capital of $25,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. 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).
32
Ultra-Short-Term Bond Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2015, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 72,836 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 96,808 | — |
Corporate Bonds | — | 78,818 | — |
Sovereign Bonds | — | 4,082 | — |
Taxable Municipal Bonds | — | 255 | — |
Temporary Cash Investments | 80,019 | — | — |
Futures Contracts—Assets1 | 3 | — | — |
Futures Contracts—Liabilities1 | (9) | — | — |
Total | 80,013 | 252,799 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
90-Day Euro | September 2015 | 49 | 12,205 | 7 |
2-Year U.S. Treasury Note | September 2015 | 54 | 11,829 | (2) |
5-Year U.S. Treasury Note | September 2015 | (10) | (1,198) | (5) |
— |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At July 31, 2015, the cost of investment securities for tax purposes was $332,973,000. Net unrealized depreciation of investment securities for tax purposes was $155,000, consisting of unrealized gains of $96,000 on securities that had risen in value since their purchase and $251,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the period ended July 31, 2015, the fund purchased $136,515,000 of investment securities and sold $3,188,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $51,087,000 and $1,002,000, respectively.
33
Ultra-Short-Term Bond Fund | ||
G. Capital share transactions for each class of shares were: | ||
February 10, 20151 to | ||
July 31, 2015 | ||
Amount | Shares | |
($000) | (000) | |
Investor Shares | ||
Issued | 53,970 | 5,398 |
Issued in Lieu of Cash Distributions | 50 | 5 |
Redeemed | (18,076) | (1,808) |
Net Increase (Decrease)—Investor Shares | 35,944 | 3,595 |
Admiral Shares | ||
Issued | 328,586 | 16,429 |
Issued in Lieu of Cash Distributions | 410 | 21 |
Redeemed | (31,835) | (1,592) |
Net Increase (Decrease) —Admiral Shares | 297,161 | 14,858 |
1 Commencement of subscription period for the fund. |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2015, that would require recognition or disclosure in these financial statements.
34
Trustees Approve Advisory Arrangement
The board of trustees approved the launch of Vanguard Ultra-Short-Term Bond Fund with an internalized management structure whereby the Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group—would provide investment advisory services to the fund at cost. The board determined that the investment advisory arrangement with Vanguard was in the best interests of the fund and its prospective shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the investment management services to be provided to the fund and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board could not consider the performance of the fund because it was newly launched. However, the board determined that, in its management of other Vanguard active funds, the Fixed Income Group has a track record of consistent performance and disciplined investment processes. Information about the fund’s performance since inception can be found in the Performance Summary section of this report.
Cost
The board considered the cost of services to be provided and concluded that the fund’s expense ratio would be below the average expense ratio charged by funds in its peer group.
The board did not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
35
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is shown. ”Not Rated” is used to classify securities for which a rating is not available. Not rated securities include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
36
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 193 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, Amerigroup Corporation (managed health care), the University of Rochester Medical Center, Monroe Community College Foundation, and North Carolina A&T University.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Tyco International PLC (diversified manufacturing and services), Hewlett-Packard Co. (electronic computer manufacturing), and Delphi Automotive PLC (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (1997–2008) of Johnson & Johnson (pharmaceuticals/medical devices/ consumer products); Director of Skytop Lodge Corporation (hotels), the University Medical Center at Princeton, the Robert Wood Johnson Foundation, and the Center for Talent Innovation; Member of the Advisory Board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education, and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Investment Advisory Committee of Major League Baseball.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Trustee of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center and of the Advisory Board of the Parthenon Group (strategy consulting).
Executive Officers
Glenn Booraem
Born 1967. Treasurer Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Controller of each of the investment companies served by The Vanguard Group (2010–2015); Assistant Controller of each of the investment companies served by The Vanguard Group (2001–2010).
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Head of Global Fund Accounting at The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Heidi Stam
Born 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation.
Vanguard Senior Management Team
Mortimer J. Buckley
Kathleen C. Gubanich
Paul A. Heller
Martha G. King
John T. Marcante
Chris D. McIsaac
James M. Norris
Thomas M. Rampulla
Glenn W. Reed
Karin A. Risi
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | |
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Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
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Commission, Washington, DC 20549-1520. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q14922 092015 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (10.6%) | |||||
U.S. Government Securities (10.5%) | |||||
United States Treasury Note/Bond | 1.250% | 8/31/15 | 363 | 363 | |
1 | United States Treasury Note/Bond | 0.250% | 12/15/15 | 579,400 | 579,672 |
1 | United States Treasury Note/Bond | 0.250% | 12/31/15 | 387,700 | 387,820 |
1 | United States Treasury Note/Bond | 2.125% | 12/31/15 | 182,000 | 183,451 |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 317,600 | 317,848 | |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 342,000 | 342,855 | |
United States Treasury Note/Bond | 0.625% | 8/15/16 | 280,500 | 281,156 | |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 338,900 | 341,123 | |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 77,100 | 77,486 | |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 6,440 | 6,447 | |
United States Treasury Note/Bond | 0.625% | 10/15/16 | 785,300 | 787,263 | |
United States Treasury Note/Bond | 1.000% | 10/31/16 | 206,900 | 208,324 | |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 1,000 | 1,005 | |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 28,500 | 28,433 | |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 32,120 | 32,200 | |
2 | United States Treasury Note/Bond | 0.875% | 11/15/17 | 486,050 | 487,115 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 176,750 | 177,606 | |
3 | United States Treasury Note/Bond | 0.875% | 1/15/18 | 360,150 | 360,543 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 45,500 | 45,322 | |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 255,600 | 256,799 | |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 714,000 | 711,879 | |
3 | United States Treasury Note/Bond | 1.000% | 8/31/19 | 3,750 | 3,698 |
5,618,408 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
4,5 | Fannie Mae Pool | 6.000% | 12/1/16–5/1/17 | 996 | 1,034 |
4,5 | Fannie Mae Pool | 6.500% | 9/1/16 | 555 | 570 |
4,5 | Freddie Mac Gold Pool | 6.000% | 3/1/17–4/1/17 | 560 | 575 |
2,179 | |||||
Nonconventional Mortgage-Backed Securities (0.1%) | |||||
4,5,6 | Fannie Mae Pool | 2.125% | 12/1/32 | 445 | 457 |
4,5,6 | Fannie Mae Pool | 2.250% | 9/1/32 | 334 | 353 |
4,5,6 | Fannie Mae Pool | 2.285% | 8/1/33 | 4,769 | 4,974 |
4,5,6 | Fannie Mae Pool | 2.310% | 7/1/32 | 381 | 407 |
4,5,6 | Fannie Mae Pool | 2.340% | 9/1/32 | 27 | 29 |
4,5,6 | Fannie Mae Pool | 2.356% | 2/1/37 | 1,663 | 1,776 |
4,5,6 | Fannie Mae Pool | 2.375% | 6/1/33 | 3,700 | 3,870 |
4,5,6 | Fannie Mae Pool | 2.439% | 8/1/37 | 660 | 699 |
4,5,6 | Fannie Mae Pool | 2.459% | 7/1/33 | 3,759 | 3,880 |
4,5,6 | Fannie Mae Pool | 2.460% | 5/1/33 | 2,888 | 3,078 |
4,5,6 | Fannie Mae Pool | 2.586% | 5/1/33 | 645 | 690 |
4,5,6 | Freddie Mac Non Gold Pool | 2.272% | 8/1/37 | 2,530 | 2,729 |
4,5,6 | Freddie Mac Non Gold Pool | 2.375% | 8/1/32 | 1,122 | 1,164 |
4,5,6 | Freddie Mac Non Gold Pool | 2.379% | 9/1/32 | 257 | 281 |
4,5,6 | Freddie Mac Non Gold Pool | 2.393% | 8/1/32–9/1/32 | 1,735 | 1,820 |
4,5,6 | Freddie Mac Non Gold Pool | 2.461% | 10/1/32–8/1/33 | 1,484 | 1,585 |
4,5,6 | Freddie Mac Non Gold Pool | 2.551% | 1/1/33 | 519 | 565 |
4,5,6 | Freddie Mac Non Gold Pool | 2.586% | 2/1/33 | 370 | 383 |
28,740 | |||||
Total U.S. Government and Agency Obligations (Cost $5,643,899) | 5,649,327 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (19.4%) | |||||
4 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 10,300 | 10,289 |
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 11,675 | 11,671 |
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 4,315 | 4,316 |
4,6 | Ally Master Owner Trust Series 2010-4 | 1.257% | 8/15/17 | 25,459 | 25,466 |
4,6,7 | Ally Master Owner Trust Series 2010-4 | 1.737% | 8/15/17 | 38,935 | 38,949 |
4,6,7 | Ally Master Owner Trust Series 2010-4 | 2.137% | 8/15/17 | 29,590 | 29,603 |
4 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 90,765 | 90,852 |
4,6 | Ally Master Owner Trust Series 2014-1 | 0.657% | 1/15/19 | 14,849 | 14,855 |
4 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 15,845 | 15,878 |
1
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ally Master Owner Trust Series 2014-3 | 1.330% | 3/15/19 | 11,330 | 11,359 |
4,6 | American Express Credit Account Secured Note Trust | ||||
2008-2 | 1.447% | 9/15/20 | 8,418 | 8,619 | |
4,6 | American Express Credit Account Secured Note Trust | ||||
2012-4 | 0.737% | 5/15/20 | 27,587 | 27,563 | |
4,6,7 | American Homes 4 Rent 2014-SFR1 | 1.250% | 6/17/31 | 5,092 | 5,078 |
4,6,7 | American Homes 4 Rent 2014-SFR1 | 1.600% | 6/17/31 | 4,320 | 4,266 |
4,7 | American Homes 4 Rent 2014-SFR2 | 3.786% | 10/17/36 | 13,305 | 13,670 |
4,7 | American Homes 4 Rent 2014-SFR2 | 4.290% | 10/17/36 | 3,360 | 3,452 |
4,7 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 18,039 | 18,397 |
4,7 | American Homes 4 Rent 2015-SFR1 | 3.467% | 4/17/52 | 16,058 | 16,145 |
4,7 | Americold 2010 LLC Trust Series 2010-ART | 4.954% | 1/14/29 | 16,990 | 18,863 |
4,7 | Americold 2010 LLC Trust Series 2010-ART | 6.811% | 1/14/29 | 11,185 | 13,010 |
4 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 3,181 | 3,185 |
4 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 14,512 | 14,558 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 16,003 | 16,176 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 3.000% | 7/8/19 | 20,500 | 20,823 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 3,439 | 3,493 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 3.310% | 10/8/19 | 4,660 | 4,756 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 6,336 | 6,386 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.860% | 12/9/19 | 7,170 | 7,240 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 2.150% | 3/9/20 | 4,900 | 4,905 |
4 | AmeriCredit Automobile Receivables Trust 2014-2 | 2.180% | 6/8/20 | 9,220 | 9,233 |
4,7 | AOA 2015-1177 Mortgage Trust | 2.957% | 12/13/29 | 13,390 | 13,528 |
4,7 | Applebee's Funding LLC/IHOP Funding LLC 2014-1 | 4.277% | 9/5/44 | 10,140 | 10,271 |
4,7 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 13,740 | 13,713 |
4,7 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 10,077 | 10,076 |
4,6,7 | Arran Residential Mortgages Funding 2011-1 plc | 1.726% | 11/19/47 | 10,807 | 10,834 |
4,7 | Aventura Mall Trust 2013-AVM | 3.743% | 12/5/32 | 15,105 | 16,027 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2013-2A | 2.970% | 2/20/20 | 29,200 | 29,911 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2015-1A | 2.500% | 7/20/21 | 34,860 | 34,880 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2015-2A | 2.630% | 12/20/21 | 25,728 | 25,794 |
4,7 | BAMLL Commercial Mortgage Securities Trust 2012- | ||||
PARK | 2.959% | 12/10/30 | 4,900 | 4,904 | |
4 | Banc of America Commercial Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 22,826 | 23,593 |
4 | Banc of America Commercial Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 44,283 | 46,062 |
4 | Banc of America Commercial Mortgage Trust 2007-2 | 5.562% | 4/10/49 | 33,667 | 35,480 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.171% | 2/10/51 | 58,280 | 63,219 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.215% | 2/10/51 | 5,422 | 5,880 |
4,8 | Banc of America Funding 2006-H Trust | 2.825% | 9/20/46 | 21,684 | 17,832 |
4 | Banc of America Mortgage 2003-F Trust | 2.748% | 7/25/33 | 1,163 | 1,130 |
4 | Bank of America Mortgage 2002-J Trust | 3.581% | 9/25/32 | 20 | 19 |
4,6,7 | Bank of America Student Loan Trust 2010-1A | 1.095% | 2/25/43 | 24,106 | 24,113 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 18,965 | 18,835 | |
4,7 | Beacon Container Finance LLC 2012-1A | 3.720% | 9/20/27 | 12,779 | 13,020 |
4,8 | Bear Stearns ARM Trust 2006-4 | 2.781% | 10/25/36 | 33,095 | 28,605 |
4,8 | Bear Stearns ARM Trust 2007-3 | 2.779% | 5/25/47 | 23,950 | 20,298 |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR9 | 4.943% | 9/11/42 | 3,216 | 3,214 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR13 | 5.533% | 9/11/41 | 22,331 | 23,103 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.705% | 6/11/40 | 21,504 | 22,746 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.650% | 6/11/50 | 83,564 | 89,478 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.710% | 9/11/42 | 41,287 | 44,243 | |
4,6,7 | BMW Floorplan Master Owner Trust 2015-1A | 0.686% | 7/15/20 | 47,800 | 47,813 |
4,6 | Brazos Higher Education Authority Inc. Series 2005-3 | 0.481% | 6/25/26 | 15,150 | 14,836 |
4,6 | Brazos Higher Education Authority Inc. Series 2010-1 | 1.182% | 5/25/29 | 24,883 | 24,903 |
4,6 | Brazos Higher Education Authority Inc. Series 2011-1 | 1.082% | 2/25/30 | 34,551 | 34,735 |
4 | Cabela's Credit Card Master Note Trust 2015-1A | 2.260% | 3/15/23 | 9,170 | 9,277 |
4,6 | Cabela's Credit Card Master Note Trust 2015-2A | 0.857% | 7/17/23 | 25,050 | 25,066 |
4,7 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 6,743 | 6,778 |
2
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 12,343 | 12,401 |
7 | Canadian Imperial Bank of Commerce | 2.250% | 7/21/20 | 22,560 | 22,694 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 5,566 | 5,570 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 5,387 | 5,403 |
4 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 13,319 | 13,657 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 22,285 | 22,371 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 15,138 | 15,239 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 13,543 | 13,727 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 3.220% | 5/20/19 | 11,935 | 12,105 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 12,097 | 12,149 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 6,163 | 6,223 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.840% | 4/22/19 | 4,900 | 4,982 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 4,100 | 4,183 |
4,6 | Capital One Multi-asset Execution Trust 2007-A5 | 0.227% | 7/15/20 | 11,605 | 11,528 |
4,6 | Capital One Multi-Asset Execution Trust 2014-A3 | 0.567% | 1/18/22 | 35,000 | 35,009 |
4 | Capital One Multi-asset Execution Trust 2015-A4 | 2.750% | 5/15/25 | 60,710 | 61,394 |
4 | Carmax Auto Owner Trust 2013-3 | 1.910% | 3/15/19 | 5,904 | 5,956 |
4 | Carmax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 3,608 | 3,645 |
4 | Carmax Auto Owner Trust 2014-1 | 1.690% | 8/15/19 | 2,530 | 2,528 |
4 | Carmax Auto Owner Trust 2014-1 | 1.930% | 11/15/19 | 4,730 | 4,720 |
4 | Carmax Auto Owner Trust 2015-1 | 1.830% | 7/15/20 | 4,400 | 4,416 |
4 | Carmax Auto Owner Trust 2015-2 | 3.040% | 11/15/21 | 5,850 | 5,858 |
4 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 21,400 | 21,806 |
4,7 | CFCRE Commercial Mortgage Trust 2011-C1 | 5.537% | 4/15/44 | 3,100 | 3,515 |
4,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.574% | 12/15/47 | 14,930 | 17,341 |
4,6 | Chase Issuance Trust 2007-C1 | 0.647% | 4/15/19 | 30,415 | 30,240 |
4,6 | Chase Issuance Trust 2012-A10 | 0.447% | 12/16/19 | 93,133 | 92,972 |
4 | CHL Mortgage Pass-Through Trust 2003-HYB3 | 2.540% | 11/19/33 | 1,352 | 1,276 |
4,8 | CHL Mortgage Pass-Through Trust 2006-HYB1 | 2.431% | 3/20/36 | 14,454 | 12,502 |
4,8 | CHL Mortgage Pass-Through Trust 2007-HYB2 | 2.592% | 2/25/47 | 16,185 | 13,982 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 3,961 | 3,970 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.280% | 7/15/19 | 4,785 | 4,775 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.930% | 8/17/20 | 5,185 | 5,229 |
4,7 | Chrysler Capital Auto Receivables Trust 2014-AA | 2.280% | 11/15/19 | 10,230 | 10,223 |
4,7 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 12,735 | 12,741 |
4,6 | Citibank Credit Card Issuance Trust 2008-A7 | 1.563% | 5/20/20 | 61,200 | 62,941 |
4 | Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 16,000 | 16,597 |
4 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 80,045 | 81,155 |
4 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,980 | 6,075 |
4,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 2,100 | 2,185 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 1.987% | 4/10/46 | 4,866 | 4,899 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 6,100 | 6,167 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 33,778 | 35,163 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 7,270 | 7,760 |
4,6,7 | Citigroup Commercial Mortgage Trust 2014-388G | 0.937% | 6/15/33 | 18,500 | 18,502 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 1,565 | 1,679 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 6,190 | 6,455 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 18,240 | 19,300 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 6,830 | 7,085 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 10,396 | 10,823 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.175% | 7/10/47 | 3,754 | 3,870 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.454% | 7/10/47 | 6,380 | 6,404 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 27,540 | 28,561 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 2.944% | 2/10/48 | 8,880 | 8,940 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 23,985 | 23,862 |
4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 38,475 | 40,139 |
4,8 | Citigroup Mortgage Loan Trust 2007-AR8 | 2.803% | 7/25/37 | 1,317 | 1,230 |
4,7 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 22,900 | 23,507 |
4,7 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 20,269 | 20,227 |
4 | COBALT CMBS Commercial Mortgage Trust 2007-C2 | 5.484% | 4/15/47 | 22,662 | 23,807 |
4,6,7 | Colony American Homes 2014-1 | 1.400% | 5/17/31 | 12,537 | 12,473 |
4,6,7 | Colony American Homes 2014-1 | 1.600% | 5/17/31 | 15,545 | 15,271 |
4,6,7 | Colony American Homes 2015-1 | 1.386% | 7/17/32 | 11,368 | 11,273 |
3
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,6,7 | Colony American Homes Single-Family Rental Pass- | ||||
Through Certificates 2014-2 | 1.537% | 7/17/31 | 12,850 | 12,658 | |
4 | COMM 15-CR22 Mortgage Trust | 3.309% | 3/10/48 | 30,240 | 30,479 |
4 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 23,350 | 24,340 |
4 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 35,205 | 36,631 |
4 | COMM 2007-C9 Mortgage Trust | 5.796% | 12/10/49 | 25,097 | 26,801 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,925 | 3,008 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 4,100 | 4,319 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 23,195 | 23,308 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 10,825 | 10,889 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,640 | 2,640 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 13,320 | 14,288 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 43,975 | 48,071 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 14,650 | 15,418 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 35,181 | 37,984 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/23 | 25,210 | 27,458 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.754% | 12/10/23 | 4,517 | 4,952 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.754% | 12/10/23 | 8,240 | 8,683 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 22,465 | 23,600 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.234% | 7/10/45 | 24,875 | 27,298 |
4,7 | COMM 2013-CCRE9 Mortgage Trust | 4.258% | 7/10/45 | 11,250 | 12,099 |
4 | COMM 2013-CCRE9 Mortgage Trust | 2.972% | 8/10/46 | 20,657 | 21,347 |
4 | COMM 2013-CCRE9 Mortgage Trust | 3.795% | 8/10/46 | 9,520 | 10,158 |
4,7 | COMM 2013-CR9 Mortgage Trust | 4.258% | 7/10/45 | 8,250 | 8,403 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 32,300 | 33,610 |
4,7 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 10,688 | 11,442 |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 13,605 | 14,849 |
4,7 | COMM 2013-LC13 Mortgage Trust | 4.557% | 8/10/46 | 18,565 | 20,403 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 4,100 | 4,137 |
4,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 5,490 | 5,496 |
4,7 | COMM 2014-277P Mortgage Trust | 3.611% | 8/10/49 | 29,250 | 30,177 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 7,670 | 8,005 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 5,375 | 5,719 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 10,110 | 11,020 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 16,800 | 17,339 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 17,040 | 18,349 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.426% | 2/10/47 | 13,450 | 14,566 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.716% | 2/10/47 | 8,250 | 9,049 |
4 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 34,940 | 37,320 |
4 | COMM 2014-CR17 Mortgage Trust | 4.174% | 5/10/47 | 27,380 | 29,078 |
4 | COMM 2014-CR17 Mortgage Trust | 4.736% | 5/10/47 | 4,250 | 4,429 |
4 | COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 10,600 | 11,069 |
4 | COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 26,294 | 27,768 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 11,570 | 12,265 |
4 | COMM 2014-LC19 Mortgage Trust | 3.040% | 2/10/48 | 4,330 | 4,402 |
4 | COMM 2015-CR24 Mortgage Trust | 3.445% | 8/10/55 | 10,030 | 10,331 |
4 | COMM 2015-CR24 Mortgage Trust | 3.696% | 8/10/55 | 24,030 | 24,749 |
4 | Commercial Mortgage Trust 2006-GG7 | 5.819% | 7/10/38 | 32,755 | 33,343 |
7 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 19,400 | 19,571 |
7 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 38,330 | 38,368 |
4,7 | Core Industrial Trust 2015-TEXW | 3.077% | 2/10/34 | 42,700 | 43,482 |
4 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C3 | 5.806% | 6/15/38 | 17,950 | 18,230 | |
4 | Credit Suisse Commercial Mortgage Trust Series 2008- | ||||
C1 | 5.973% | 2/15/41 | 35,230 | 38,306 | |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 3.504% | 6/15/57 | 42,350 | 43,345 |
4,7 | DB Master Finance LL 2015-1 | 3.262% | 2/20/45 | 10,451 | 10,543 |
4 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 114,300 | 113,788 |
4,6 | Discover Card Execution Note Trust 2013-A1 | 0.487% | 8/17/20 | 51,286 | 51,244 |
4 | Discover Card Execution Note Trust 2014-A4 | 2.120% | 12/15/21 | 50,450 | 51,114 |
4,7 | Drive Auto Receivables Trust 2015-A | 2.280% | 6/17/19 | 12,310 | 12,332 |
4,7 | Drive Auto Receivables Trust 2015-A | 3.060% | 5/17/21 | 8,060 | 8,081 |
4,7 | Drive Auto Receivables Trust 2015-A | 4.120% | 6/15/22 | 5,860 | 5,882 |
4,7 | Drive Auto Receivables Trust 2015-B | 1.300% | 6/15/18 | 7,030 | 7,027 |
4
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | Drive Auto Receivables Trust 2015-BA | 2.120% | 6/17/19 | 7,210 | 7,205 |
4,7 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 17,610 | 17,549 |
4,7 | Drive Auto Receivables Trust 2015-BA | 3.840% | 7/15/21 | 10,490 | 10,407 |
4,7 | Drive Auto Receivables Trust 2015-C | 2.230% | 9/16/19 | 14,405 | 14,397 |
4,7 | Drive Auto Receivables Trust 2015-C | 3.010% | 5/17/21 | 21,610 | 21,581 |
4,7 | Drive Auto Receivables Trust 2015-C | 4.200% | 9/15/21 | 15,845 | 15,831 |
4,6,7 | Edsouth Indenture No 5 LLC 2015-1 | 0.991% | 10/25/56 | 36,863 | 36,786 |
4,7 | Enterprise Fleet Financing LLC Series 2012-2 | 0.930% | 4/20/18 | 9,636 | 9,637 |
4,7 | Enterprise Fleet Financing LLC Series 2015-1 | 1.740% | 9/20/20 | 11,850 | 11,859 |
4,7 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 24,390 | 24,413 |
4,6 | Fannie Mae Connecticut Avenue Securities 2015-C01 | 1.690% | 2/25/25 | 4,591 | 4,601 |
4,6 | Fannie Mae Connecticut Avenue Securities 2015-C01 | 1.690% | 2/25/25 | 4,637 | 4,640 |
4,6 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.340% | 5/25/25 | 5,679 | 5,668 |
4,6 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.391% | 5/25/25 | 10,674 | 10,644 |
4,6 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.688% | 7/25/25 | 18,060 | 18,107 |
4,6 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.689% | 7/25/25 | 14,450 | 14,479 |
4,8 | First Horizon Mortgage Pass-Through Trust 2006-AR3 | 2.063% | 11/25/36 | 12,563 | 10,828 |
8 | First Horizon Mortgage Pass-Through Trust 2006-AR4 | 2.593% | 1/25/37 | 24,862 | 21,933 |
4 | Ford Credit Auto Lease Trust 2013-A | 1.010% | 5/15/16 | 17,941 | 17,942 |
4 | Ford Credit Auto Lease Trust 2013-A | 1.280% | 6/15/16 | 13,697 | 13,699 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 22,593 | 22,611 |
4 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 8,390 | 8,376 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.680% | 11/15/18 | 4,870 | 4,888 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.540% | 3/15/19 | 12,338 | 12,359 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.720% | 7/15/19 | 12,800 | 12,830 |
4,7 | Ford Credit Auto Owner Trust 2014-1 | 2.260% | 11/15/25 | 20,918 | 21,068 |
4,7 | Ford Credit Auto Owner Trust 2014-1 | 2.410% | 11/15/25 | 6,440 | 6,475 |
4,7 | Ford Credit Auto Owner Trust 2014-2 | 2.310% | 4/15/26 | 32,410 | 32,593 |
4,7 | Ford Credit Auto Owner Trust 2014-2 | 2.510% | 4/15/26 | 5,760 | 5,788 |
4,7 | Ford Credit Auto Owner Trust 2015-1 | 2.120% | 7/15/26 | 22,750 | 22,644 |
4,7 | Ford Credit Auto Owner Trust 2015-2 | 2.440% | 1/15/27 | 61,000 | 61,501 |
4 | Ford Credit Auto Owner Trust 2015-B | 2.040% | 10/15/20 | 12,700 | 12,702 |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-2 | 1.920% | 1/15/19 | 26,574 | 26,846 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.490% | 9/15/19 | 117,285 | 117,446 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.690% | 9/15/19 | 7,100 | 7,123 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 2.140% | 9/15/19 | 8,550 | 8,613 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.370% | 1/15/18 | 25,544 | 25,593 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.820% | 1/15/18 | 9,560 | 9,582 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.100% | 6/15/20 | 6,180 | 6,228 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.290% | 6/15/20 | 6,630 | 6,653 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.790% | 6/15/20 | 2,650 | 2,685 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 1.400% | 2/15/19 | 10,238 | 10,226 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 2.310% | 2/15/21 | 4,473 | 4,505 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-2 | 0.687% | 2/15/21 | 9,200 | 9,209 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-4 | 1.400% | 8/15/19 | 68,275 | 68,350 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2015-2 | 1.980% | 1/15/22 | 9,396 | 9,412 | |
4,7 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 4,533 | 4,505 |
4,7 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 28,448 | 28,575 |
4,6 | GE Capital Credit Card Master Note Trust Series 2011-2 | 1.187% | 5/15/19 | 49,966 | 50,069 |
4 | GE Capital Credit Card Master Note Trust Series 2012-2 | 2.220% | 1/15/22 | 72,000 | 72,954 |
5
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | GE Capital Credit Card Master Note Trust Series 2012-6 | 1.360% | 8/17/20 | 89,890 | 89,917 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-2 | 0.938% | 4/22/19 | 47,694 | 47,830 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-4 | 0.628% | 10/20/17 | 24,789 | 24,792 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2015-2 | 0.838% | 1/20/22 | 10,860 | 10,795 |
4,7 | GM Financial Leasing Trust 2014-1A | 1.760% | 5/21/18 | 7,900 | 7,933 |
4 | GM Financial Leasing Trust 2015-1 | 1.730% | 6/20/19 | 6,350 | 6,367 |
4 | GM Financial Leasing Trust 2015-2 | 2.420% | 7/22/19 | 6,120 | 6,137 |
4 | GM Financial Leasing Trust 2015-2 | 2.990% | 7/22/19 | 5,440 | 5,455 |
4 | GMACM Mortgage Loan Trust 2005-AR6 | 2.829% | 11/19/35 | 4,417 | 4,211 |
4,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 58,850 | 58,922 |
4,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 6,570 | 6,582 |
4,7 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 82,764 | 83,511 |
4,6,7 | Golden Credit Card Trust 2015-1A | 0.627% | 2/15/20 | 59,900 | 59,843 |
4,7 | Golden Credit Card Trust 2015-2A | 2.020% | 4/15/22 | 53,490 | 53,419 |
4,7 | GRACE 2014-GRCE Mortgage Trust | 3.369% | 6/10/28 | 20,500 | 21,262 |
4,6 | Granite Master Issuer plc Series 2007-1 | 0.328% | 12/20/54 | 3,226 | 3,200 |
4,6 | Granite Master Issuer plc Series 2007-2 | 0.266% | 12/17/54 | 1,071 | 1,062 |
4,7 | Great America Leasing Receivables 2013-1 | 1.160% | 5/15/18 | 11,500 | 11,510 |
4,7 | Great America Leasing Receivables 2015-1 | 2.020% | 6/21/21 | 4,920 | 4,957 |
4,7 | GS Mortgage Securities Trust 2010-C2 | 5.246% | 12/10/43 | 3,530 | 3,874 |
4,7 | GS Mortgage Securities Trust 2011-GC3 | 5.552% | 3/10/44 | 2,280 | 2,534 |
4,7 | GS Mortgage Securities Trust 2012-ALOHA | 3.551% | 4/10/34 | 28,666 | 29,933 |
4,7 | GS Mortgage Securities Trust 2012-BWTR | 2.954% | 11/5/34 | 36,047 | 36,201 |
4,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,117 |
4 | GS Mortgage Securities Trust 2013-GC13 | 4.037% | 7/10/46 | 22,170 | 24,048 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 9,925 | 10,054 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 8,250 | 8,457 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 22,429 | 23,352 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 8,192 | 8,690 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 49,000 | 53,421 |
4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 28,499 | 30,464 |
4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 40,940 | 43,412 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.507% | 9/10/47 | 9,410 | 9,945 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.528% | 9/10/47 | 13,616 | 14,015 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 18,190 | 18,836 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 9,730 | 9,878 |
4 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 16,885 | 17,227 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 14,580 | 15,016 |
4 | GS Mortgage Securities Trust 2015-GC32 | 4.549% | 7/10/48 | 6,520 | 6,715 |
4 | GS Mortgage Securities Trust 2015-GC32 | 4.559% | 7/10/48 | 2,850 | 2,802 |
7 | GTP Acquisition Partners I LLC | 3.482% | 6/16/25 | 26,340 | 26,209 |
4,7 | Hertz Vehicle Financing LLC 2010-1A | 3.740% | 2/25/17 | 51,709 | 52,186 |
4,7 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 55,039 | 56,511 |
4,7 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 60,150 | 59,844 |
4,7 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 15,740 | 15,714 |
4,7 | Hilton USA Trust 2013-HLT | 3.367% | 11/5/30 | 16,365 | 16,469 |
4,7 | Hilton USA Trust 2013-HLT | 3.714% | 11/5/30 | 7,365 | 7,367 |
4,7 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 30,910 | 30,486 |
4,7 | Hyundai Auto Lease Securitization Trust 2014-A | 1.300% | 7/16/18 | 8,800 | 8,795 |
4,7 | Hyundai Auto Lease Securitization Trust 2014-B | 1.540% | 12/17/18 | 10,100 | 10,090 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-A | 1.650% | 8/15/19 | 21,000 | 21,096 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-A | 2.070% | 11/15/19 | 21,250 | 21,293 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-B | 2.210% | 5/15/20 | 16,395 | 16,437 |
4 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 8,051 | 8,097 |
4 | Hyundai Auto Receivables Trust 2013-B | 1.450% | 2/15/19 | 5,805 | 5,817 |
4 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 9,790 | 9,924 |
4 | Hyundai Auto Receivables Trust 2013-C | 2.480% | 3/15/19 | 6,500 | 6,589 |
4 | Hyundai Auto Receivables Trust 2013-C | 3.090% | 1/15/20 | 5,470 | 5,605 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 8,350 | 8,341 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 5,710 | 5,762 |
4 | Hyundai Auto Receivables Trust 2014-B | 2.100% | 11/15/19 | 10,050 | 10,034 |
4,6,7 | Hyundai Floorplan Master Owner Trust Series 2013-1 | 0.837% | 5/15/18 | 8,950 | 8,953 |
4,7 | Icon Brands Holdings LLC 2012-1 | 4.229% | 1/25/43 | 16,054 | 16,111 |
6 | Illinois Student Assistance Commission Series 2010-1 | 1.345% | 4/25/22 | 15,426 | 15,429 |
6
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,6,7 | Invitation Homes 2014-SFR1 Trust | 1.686% | 6/17/31 | 24,491 | 24,317 |
4,6,7 | Invitation Homes 2014-SFR2 Trust | 1.288% | 9/17/31 | 11,731 | 11,622 |
4,6,7 | Invitation Homes 2014-SFR2 Trust | 1.788% | 9/17/31 | 8,980 | 8,905 |
4,6,7 | Invitation Homes 2015-SFR2 Trust | 1.538% | 6/17/32 | 7,376 | 7,387 |
4,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 14,450 | 14,551 |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP6 | 5.471% | 4/15/43 | 28,099 | 28,573 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 5.905% | 4/15/45 | 33,710 | 34,715 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-C1 | 5.716% | 2/15/51 | 4,812 | 5,108 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.746% | 2/12/51 | 43,541 | 46,483 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP10 | 5.439% | 1/15/49 | 38,979 | 41,007 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.850% | 2/15/51 | 29,024 | 30,960 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2009-IWST | 5.633% | 12/5/27 | 6,185 | 7,058 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C1 | 4.608% | 6/15/43 | 2,300 | 2,417 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 3.616% | 11/15/43 | 3,300 | 3,431 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 4.070% | 11/15/43 | 3,140 | 3,347 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.502% | 11/15/43 | 7,100 | 7,617 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.502% | 11/15/43 | 6,225 | 6,829 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.388% | 2/15/46 | 17,600 | 18,695 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 26,091 | 28,717 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 5.360% | 2/15/46 | 2,930 | 3,192 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.323% | 8/15/46 | 4,100 | 4,729 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 18,490 | 19,414 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 13,145 | 13,172 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 4,030 | 4,096 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-CIBX | 4.271% | 6/15/45 | 27,000 | 28,902 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 5,850 | 5,944 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-LC9 | 2.840% | 12/15/47 | 40,130 | 40,233 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C13 | 3.994% | 1/15/46 | 14,110 | 15,108 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 9,630 | 10,146 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 1,300 | 1,380 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.166% | 12/15/46 | 9,700 | 10,516 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.517% | 12/15/46 | 14,600 | 15,860 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.944% | 12/15/46 | 21,150 | 23,041 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 5.009% | 12/15/46 | 9,770 | 10,349 |
7
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 1.855% | 4/15/46 | 4,866 | 4,880 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 11,321 | 11,354 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 17,080 | 17,947 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.025% | 7/15/45 | 7,520 | 7,963 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.019% | 8/15/46 | 16,345 | 16,899 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 17,400 | 18,436 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.133% | 8/15/46 | 11,000 | 11,909 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 24,290 | 25,070 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 4,050 | 4,266 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.131% | 11/15/45 | 27,200 | 29,434 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.927% | 11/15/45 | 17,820 | 19,258 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 5.081% | 11/15/45 | 13,360 | 14,273 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 22,300 | 24,201 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.079% | 2/15/47 | 18,600 | 19,956 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.439% | 2/15/47 | 12,950 | 13,941 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.810% | 2/15/47 | 13,200 | 14,217 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.810% | 2/15/47 | 5,850 | 6,070 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.428% | 8/15/47 | 8,370 | 8,670 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.639% | 11/15/47 | 10,310 | 10,672 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.494% | 1/15/48 | 44,910 | 45,845 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.559% | 7/15/48 | 8,089 | 8,399 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.822% | 7/15/48 | 40,150 | 41,884 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 4.226% | 7/15/48 | 15,901 | 16,585 | |
6 | Kentucky Higher Education Student Loan Corp. 2013-2 | 0.787% | 9/1/28 | 11,297 | 11,246 |
4,6,7 | Kildare Securities Ltd. 2007-1A | 0.402% | 12/10/43 | 1,393 | 1,387 |
4,7 | Ladder Capital Commercial Mortgage 2013-GCP | ||||
Mortgage Trust | 3.388% | 5/15/31 | 18,640 | 19,358 | |
4,6,7 | Lanark Master Issuer plc 2012-2A | 1.684% | 12/22/54 | 21,885 | 21,964 |
4,6,7 | Lanark Master Issuer plc 2013-1A | 0.784% | 12/22/54 | 14,833 | 14,818 |
4 | LB-UBS Commercial Mortgage Trust 2006-C3 | 5.641% | 3/15/39 | 55,257 | 56,098 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 20,879 | 21,589 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 9,718 | 10,102 |
4 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.387% | 2/15/40 | 29,007 | 30,637 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 26,932 | 29,123 |
4,7 | Macquarie Equipment Funding Trust 2012-A | 0.850% | 10/22/18 | 4,640 | 4,643 |
4,7 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 12,460 | 13,327 |
4,7 | Master Credit Card Trust 2012-2A | 1.970% | 4/21/17 | 3,900 | 3,907 |
4,7 | Master Credit Card Trust 2013-3A | 2.280% | 1/22/18 | 4,219 | 4,221 |
4 | MASTR Adjustable Rate Mortgages Trust 2004-3 | 2.188% | 4/25/34 | 1,650 | 1,525 |
4,6 | MBNA Credit Card Master Note Trust 2004-A3 | 0.447% | 8/16/21 | 89,145 | 88,749 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.750% | 12/15/21 | 21,700 | 21,675 |
8
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | Mercedes-Benz Master Owner Trust 2012-A | 0.790% | 11/15/17 | 34,300 | 34,311 |
4,6,7 | Mercedes-Benz Master Owner Trust 2015-B | 0.567% | 4/15/20 | 9,160 | 9,162 |
4 | Merrill Lynch Mortgage Investors Trust MLMI Series | ||||
2003-A2 | 1.943% | 2/25/33 | 2,621 | 2,542 | |
4 | Merrill Lynch Mortgage Investors Trust MLMI Series | ||||
2003-A4 | 2.715% | 7/25/33 | 804 | 796 | |
4 | Merrill Lynch Mortgage Trust 2006-C2 | 5.739% | 8/12/43 | 10,899 | 11,212 |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 8,372 | 8,993 |
4,7 | Miramax LLC 2014-1A | 3.340% | 7/20/26 | 3,993 | 4,016 |
4 | ML-CFC Commercial Mortgage Trust 2006-2 | 5.868% | 6/12/46 | 8,019 | 8,200 |
4 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 6,741 | 6,734 |
4,7 | MMAF Equipment Finance LLC 2009-A | 3.510% | 1/15/30 | 3,057 | 3,066 |
4,7 | MMAF Equipment Finance LLC 2011-A | 2.100% | 7/15/17 | 14,389 | 14,463 |
4,7 | MMAF Equipment Finance LLC 2011-A | 3.040% | 8/15/28 | 27,566 | 28,240 |
4,7 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 13,700 | 13,822 |
4,7 | MMAF Equipment Finance LLC 2015-A | 2.490% | 2/19/36 | 33,860 | 33,935 |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 21,300 | 21,891 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 2,000 | 2,088 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 5,700 | 5,733 | |
4,7 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-CKSV | 3.277% | 10/15/30 | 21,775 | 21,734 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.082% | 7/15/46 | 27,100 | 29,307 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.085% | 8/15/46 | 22,116 | 22,881 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.215% | 8/15/46 | 45,116 | 49,165 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.824% | 10/15/46 | 8,080 | 8,600 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 8,300 | 8,916 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 6,400 | 6,403 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 2,940 | 2,995 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 27,425 | 27,711 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 16,600 | 17,790 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 2/15/47 | 17,500 | 18,795 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.051% | 4/15/47 | 6,870 | 7,351 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 27,350 | 28,917 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.094% | 6/15/47 | 9,540 | 10,024 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.325% | 6/15/47 | 12,300 | 12,967 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.758% | 6/15/47 | 12,300 | 12,832 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 3.741% | 8/15/47 | 19,580 | 20,455 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 4.011% | 8/15/47 | 5,340 | 5,575 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 11,150 | 11,792 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.326% | 12/15/47 | 14,610 | 15,089 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.526% | 12/15/47 | 6,390 | 6,556 |
9
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.069% | 2/15/48 | 8,060 | 8,193 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.249% | 2/15/48 | 4,475 | 4,487 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.306% | 4/15/48 | 23,040 | 23,170 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.719% | 7/15/50 | 24,660 | 25,625 | |
4,± | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.479% | 8/15/47 | 20,280 | 20,595 | |
4,± | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.732% | 8/15/47 | 20,280 | 21,004 | |
4 | Morgan Stanley Capital I Trust 2006-HQ9 | 5.728% | 7/12/44 | 51,471 | 53,133 |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 10,844 | 11,270 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.908% | 6/11/49 | 35,458 | 37,734 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 46,878 | 49,981 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 16,052 | 16,593 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,500 | 2,612 |
4,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 17,045 | 17,283 |
4,7 | Morgan Stanley Capital I Trust 2014-150E | 3.912% | 9/9/32 | 27,955 | 29,380 |
4,7 | Morgan Stanley Capital I Trust 2014-CPT | 3.350% | 7/13/29 | 24,440 | 25,295 |
4,7 | Morgan Stanley Capital I Trust 2015-420 | 3.727% | 10/11/50 | 31,420 | 32,195 |
4 | Morgan Stanley Mortgage Loan Trust 2006-8AR | 2.128% | 6/25/36 | 11,281 | 9,755 |
4,6 | Navient Student Loan Trust 2014-1 | 0.941% | 2/25/39 | 5,940 | 5,842 |
4,6 | Navient Student Loan Trust 2015-1 | 0.790% | 4/25/40 | 8,650 | 8,353 |
4,6 | Navient Student Loan Trust 2015-3 | 0.839% | 6/26/56 | 23,540 | 23,498 |
4,6 | New Mexico Educational Assistance Foundation 2013-1 | 0.887% | 1/2/25 | 24,569 | 24,573 |
4 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 5,380 | 5,389 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 7,870 | 7,864 |
4,6 | Nissan Master Owner Trust Receivables Series 2013-A | 0.487% | 2/15/18 | 20,441 | 20,436 |
4 | Nissan Master Owner Trust Receivables Series 2015-A | 1.440% | 1/15/20 | 12,139 | 12,121 |
6 | North Carolina State Education Assistance Authority | ||||
2011-1 | 1.181% | 1/26/26 | 22,661 | 22,609 | |
4,6 | North Carolina State Education Assistance Authority | ||||
2011-2 | 1.076% | 7/25/25 | 5,211 | 5,197 | |
4,7 | OBP Depositor LLC Trust 2010-OBP | 4.646% | 7/15/45 | 10,065 | 11,206 |
4,6,7 | PFS Financing Corp. 2014-AA | 0.787% | 2/15/19 | 8,300 | 8,294 |
4,6,7 | PFS Financing Corp. 2015-AA | 0.807% | 4/15/20 | 10,150 | 10,066 |
4,7 | Porsche Innovative Lease Owner Trust 2015-1 | 1.430% | 5/21/21 | 14,440 | 14,429 |
4,7 | Progress Residential 2015-SFR2 Trust | 2.740% | 6/12/32 | 7,320 | 7,248 |
4,6,7 | Resimac MBS Trust 2014-1A | 0.988% | 12/12/45 | 16,774 | 16,774 |
4,8 | RFMSI Series 2006-SA2 Trust | 3.585% | 8/25/36 | 23,610 | 21,213 |
4,8 | RFMSI Series 2006-SA3 Trust | 3.615% | 9/25/36 | 8,416 | 7,044 |
Royal Bank of Canada | 1.875% | 2/5/20 | 24,700 | 24,585 | |
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 24,054 | 24,175 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 7,946 | 7,966 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 1.490% | 6/17/19 | 15,520 | 15,547 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 3.490% | 5/17/21 | 14,985 | 15,053 |
4,6,7 | Silver Bay Realty 2014-1 Trust | 1.186% | 9/17/31 | 10,995 | 10,835 |
4,6,7 | Silver Bay Realty 2014-1 Trust | 1.636% | 9/17/31 | 6,500 | 6,415 |
4,6 | SLM Student Loan Trust 2005-5 | 0.395% | 4/25/25 | 39,070 | 38,906 |
4,6 | SLM Student Loan Trust 2005-9 | 0.415% | 1/27/25 | 13,793 | 13,761 |
4,6 | SLM Student Loan Trust 2006-5 | 0.405% | 1/25/27 | 24,500 | 24,297 |
4,6 | SLM Student Loan Trust 2006-6 | 0.405% | 10/27/25 | 36,118 | 35,876 |
4,6 | SLM Student Loan Trust 2007-1 | 0.385% | 1/26/26 | 66,950 | 65,668 |
4,6,7 | SLM Student Loan Trust 2011-A | 1.187% | 10/15/24 | 5,238 | 5,249 |
4,7 | SLM Student Loan Trust 2011-A | 4.370% | 4/17/28 | 12,100 | 12,826 |
4,7 | SLM Student Loan Trust 2011-B | 3.740% | 2/15/29 | 60,000 | 63,043 |
4,6,7 | SLM Student Loan Trust 2011-C | 1.587% | 12/15/23 | 3,703 | 3,711 |
4,7 | SLM Student Loan Trust 2011-C | 4.540% | 10/17/44 | 22,200 | 23,826 |
4,6,7 | SLM Student Loan Trust 2012-B | 1.287% | 12/15/21 | 1,158 | 1,159 |
4,7 | SLM Student Loan Trust 2012-B | 3.480% | 10/15/30 | 15,048 | 15,445 |
4,6,7 | SLM Student Loan Trust 2012-E | 0.937% | 10/16/23 | 9,670 | 9,688 |
4,6,7 | SLM Student Loan Trust 2013-1 | 1.237% | 5/17/27 | 24,000 | 23,992 |
10
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | SLM Student Loan Trust 2013-1 | 2.500% | 3/15/47 | 8,000 | 7,722 |
4,6 | SLM Student Loan Trust 2013-6 | 0.840% | 6/26/28 | 19,400 | 19,217 |
4,7 | SLM Student Loan Trust 2013-B | 1.850% | 6/17/30 | 14,650 | 14,495 |
4,7 | SLM Student Loan Trust 2013-B | 3.000% | 5/16/44 | 14,700 | 14,465 |
4,7 | SLM Student Loan Trust 2013-C | 3.500% | 6/15/44 | 5,860 | 5,874 |
4,6 | SLM Student Loan Trust 2014-1 | 0.790% | 2/26/29 | 10,900 | 10,883 |
4,7 | SLM Student Loan Trust 2014-A | 2.590% | 1/15/26 | 4,500 | 4,576 |
4,7 | SLM Student Loan Trust 2014-A | 3.500% | 11/15/44 | 4,100 | 4,047 |
4 | SMART ABS Series 2012-4US Trust | 0.970% | 3/14/17 | 9,008 | 9,000 |
4 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 9,023 | 9,026 |
4 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 18,344 | 18,309 |
4,7 | Sonic Capital LLC 2011-1A | 5.438% | 5/20/41 | 13,012 | 13,601 |
4,6 | South Carolina Student Loan Corp. Revenue 2010-1 | 1.295% | 7/25/25 | 22,828 | 22,979 |
4,7 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 24,490 | 24,266 |
7 | Stadshypotek AB | 1.750% | 4/9/20 | 35,833 | 35,318 |
4,6,7 | SWAY Residential 2014-1 Trust | 1.486% | 1/17/32 | 22,706 | 22,541 |
4 | Synchrony Credit Card Master Note Trust 2015-1 | 2.370% | 3/15/23 | 14,500 | 14,721 |
4,7 | Tidewater Auto Receivables Trust 2014-AA | 1.400% | 7/15/18 | 4,000 | 4,002 |
4,7 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 22,300 | 22,970 |
7 | Toronto-Dominion Bank | 1.950% | 4/2/20 | 35,735 | 35,571 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 0.889% | 12/10/18 | 29,820 | 29,853 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 1.438% | 12/10/18 | 5,640 | 5,645 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 2.438% | 12/10/18 | 3,095 | 3,086 |
4,6,7 | Trafigura Securitisation Finance plc 2014-1A | 1.137% | 10/15/21 | 20,770 | 20,742 |
4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,250 | 1,343 |
4,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 24,595 | 25,349 |
4 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 8,915 | 8,907 |
4,7 | VNO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 13,250 | 13,303 |
4,7 | VNO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 11,130 | 11,766 |
4,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 3,270 | 3,459 |
4,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 2,450 | 2,561 |
4,7 | Volkswagen Credit Auto Master Owner Trust 2014-1A | 1.400% | 7/22/19 | 39,464 | 39,500 |
4,7 | Volvo Financial Equipment LLC Series 2012-1 | 2.380% | 9/16/19 | 5,350 | 5,352 |
4,7 | Volvo Financial Equipment LLC Series 2015-1A | 1.910% | 1/15/20 | 9,160 | 9,210 |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C27 | 5.765% | 7/15/45 | 7,656 | 7,859 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.559% | 10/15/48 | 20,130 | 20,924 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.572% | 10/15/48 | 40,404 | 41,765 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.297% | 11/15/48 | 34,739 | 36,167 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2002-AR18 | 2.515% | 1/25/33 | 215 | 216 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2003-AR7 | 2.414% | 8/25/33 | 1,331 | 1,324 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2003-AR9 | 2.411% | 9/25/33 | 1,878 | 1,897 | |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 29,967 | 30,190 |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 1,650 | 1,703 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 8,075 | 8,633 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 34,646 | 37,610 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.300% | 7/15/46 | 4,906 | 5,294 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.477% | 8/15/50 | 17,100 | 17,808 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.817% | 8/15/50 | 43,100 | 45,384 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.020% | 8/15/50 | 7,100 | 7,454 |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.322% | 8/15/50 | 12,250 | 12,736 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.458% | 8/15/50 | 6,830 | 6,836 | |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.244% | 12/15/47 | 31,900 | 32,674 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 2.991% | 2/15/48 | 13,450 | 13,543 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 3.166% | 2/15/48 | 16,400 | 16,348 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.278% | 2/15/48 | 8,570 | 8,782 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.451% | 2/15/48 | 16,620 | 16,933 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.400% | 6/15/48 | 4,194 | 4,320 |
11
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 31,575 | 32,568 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 4.225% | 6/15/48 | 12,420 | 11,959 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.411% | 9/15/48 | 34,310 | 34,653 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/48 | 20,610 | 21,227 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.067% | 9/15/48 | 17,222 | 17,737 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.646% | 9/15/48 | 6,130 | 6,028 |
4,8 | Wells Fargo Mortgage Backed Securities 2006-AR14 | 2.633% | 10/25/36 | 20,611 | 19,299 |
4,7 | Wendys Funding LLC 2015-1 | 4.080% | 6/15/45 | 16,330 | 16,318 |
7 | Westpac Banking Corp. | 2.000% | 3/3/20 | 24,850 | 24,813 |
4,7 | WFLD 2014-MONT Mortgage Trust | 3.755% | 8/10/31 | 38,950 | 40,381 |
4,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 11,545 | 12,606 |
4 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 10,955 | 10,971 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 11,630 | 12,100 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 5,056 | 5,394 |
4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 4,400 | 4,459 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 23,790 | 23,876 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,860 | 2,923 |
4 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 2,230 | 2,264 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 2.900% | 8/15/46 | 7,946 | 8,189 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 22,490 | 23,807 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 2,800 | 3,029 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 14,650 | 16,128 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 3,500 | 3,672 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 9,770 | 10,469 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 8,940 | 9,253 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 6,710 | 7,080 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 25,260 | 27,329 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.671% | 12/15/46 | 5,775 | 6,250 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 20,984 | 22,596 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 21,637 | 22,745 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 22,270 | 23,875 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.513% | 5/15/47 | 4,500 | 4,543 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 32,990 | 34,399 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.891% | 8/15/47 | 7,130 | 7,417 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 4.234% | 8/15/47 | 12,290 | 12,144 |
4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 4,980 | 5,272 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 2,100 | 2,196 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 22,500 | 24,202 |
4 | World Financial Network Credit Card Master Note Trust | ||||
Series 2013-A | 1.610% | 12/15/21 | 19,000 | 19,085 | |
4,6 | World Financial Network Credit Card Master Note Trust | ||||
Series 2015-A | 0.667% | 2/15/22 | 20,670 | 20,636 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2015-A | 1.730% | 12/15/20 | 6,555 | 6,559 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $10,267,600) | 10,302,854 | ||||
Corporate Bonds (61.8%) | |||||
Finance (29.1%) | |||||
Banking (23.5%) | |||||
Abbey National Treasury Services plc | 4.000% | 4/27/16 | 35,212 | 36,009 | |
Abbey National Treasury Services plc | 1.375% | 3/13/17 | 93,971 | 94,049 | |
Abbey National Treasury Services plc | 1.650% | 9/29/17 | 5,280 | 5,294 | |
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 45,920 | 47,633 | |
Abbey National Treasury Services plc | 2.350% | 9/10/19 | 8,485 | 8,543 | |
Abbey National Treasury Services plc | 2.375% | 3/16/20 | 78,145 | 78,285 | |
7 | ABN AMRO Bank NV | 4.250% | 2/2/17 | 28,452 | 29,626 |
7 | ABN AMRO Bank NV | 1.800% | 6/4/18 | 28,325 | 28,327 |
7 | ABN AMRO Bank NV | 2.500% | 10/30/18 | 22,475 | 22,827 |
American Express Centurion Bank | 6.000% | 9/13/17 | 64,650 | 70,462 | |
American Express Co. | 6.150% | 8/28/17 | 19,963 | 21,807 | |
American Express Co. | 7.000% | 3/19/18 | 22,315 | 25,257 | |
American Express Credit Corp. | 2.750% | 9/15/15 | 55,697 | 55,829 | |
American Express Credit Corp. | 2.800% | 9/19/16 | 56,170 | 57,303 |
12
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
American Express Credit Corp. | 2.375% | 3/24/17 | 31,210 | 31,732 | |
American Express Credit Corp. | 1.550% | 9/22/17 | 11,440 | 11,445 | |
American Express Credit Corp. | 2.125% | 3/18/19 | 17,349 | 17,439 | |
American Express Credit Corp. | 2.250% | 8/15/19 | 24,247 | 24,326 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 34,000 | 33,861 | |
7 | ANZ New Zealand International Ltd. | 1.750% | 3/29/18 | 29,305 | 29,284 |
Australia & New Zealand Banking Group Ltd. | 0.900% | 2/12/16 | 19,500 | 19,538 | |
7 | Australia & New Zealand Banking Group Ltd. | 3.250% | 3/1/16 | 28,325 | 28,735 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 53,942 | 54,589 | |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 16,600 | 16,538 | |
7 | Australia & New Zealand Banking Group Ltd. | 4.500% | 3/19/24 | 36,815 | 37,347 |
7 | Banco Votorantim SA | 5.250% | 2/11/16 | 11,720 | 11,877 |
Bank of America Corp. | 3.700% | 9/1/15 | 5,940 | 5,952 | |
Bank of America Corp. | 1.500% | 10/9/15 | 24,336 | 24,364 | |
Bank of America Corp. | 3.625% | 3/17/16 | 32,076 | 32,610 | |
Bank of America Corp. | 6.050% | 5/16/16 | 33,472 | 34,652 | |
Bank of America Corp. | 3.750% | 7/12/16 | 52,549 | 53,789 | |
Bank of America Corp. | 6.500% | 8/1/16 | 81,244 | 85,301 | |
Bank of America Corp. | 5.420% | 3/15/17 | 21,197 | 22,383 | |
Bank of America Corp. | 5.700% | 5/2/17 | 6,525 | 6,922 | |
Bank of America Corp. | 6.400% | 8/28/17 | 14,568 | 15,900 | |
Bank of America Corp. | 6.000% | 9/1/17 | 43,443 | 47,037 | |
Bank of America Corp. | 5.750% | 12/1/17 | 63,938 | 69,444 | |
Bank of America Corp. | 2.000% | 1/11/18 | 56,895 | 57,100 | |
Bank of America Corp. | 6.875% | 4/25/18 | 51,349 | 57,878 | |
Bank of America Corp. | 5.650% | 5/1/18 | 15,500 | 16,962 | |
Bank of America Corp. | 1.950% | 5/12/18 | 29,300 | 29,325 | |
Bank of America Corp. | 1.750% | 6/5/18 | 53,480 | 53,351 | |
Bank of America Corp. | 2.600% | 1/15/19 | 117,339 | 118,827 | |
Bank of America Corp. | 2.250% | 4/21/20 | 14,530 | 14,296 | |
Bank of America NA | 1.125% | 11/14/16 | 63,100 | 63,121 | |
Bank of America NA | 1.250% | 2/14/17 | 19,100 | 19,086 | |
Bank of America NA | 5.300% | 3/15/17 | 9,760 | 10,318 | |
Bank of America NA | 6.100% | 6/15/17 | 6,429 | 6,919 | |
Bank of America NA | 1.650% | 3/26/18 | 70,815 | 70,656 | |
Bank of Montreal | 2.500% | 1/11/17 | 18,545 | 18,936 | |
Bank of Montreal | 1.300% | 7/14/17 | 19,000 | 19,014 | |
Bank of Montreal | 1.400% | 9/11/17 | 25,675 | 25,671 | |
Bank of Montreal | 1.450% | 4/9/18 | 10,670 | 10,623 | |
Bank of Montreal | 1.400% | 4/10/18 | 31,155 | 31,002 | |
Bank of Montreal | 1.800% | 7/31/18 | 36,610 | 36,632 | |
Bank of New York Mellon Corp. | 2.300% | 7/28/16 | 8,594 | 8,723 | |
Bank of New York Mellon Corp. | 2.400% | 1/17/17 | 28,950 | 29,491 | |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 8,100 | 8,217 | |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 3,460 | 3,467 | |
Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 43,940 | 44,249 | |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 29,290 | 29,352 | |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 21,000 | 20,833 | |
Bank of Nova Scotia | 2.050% | 10/7/15 | 14,618 | 14,662 | |
Bank of Nova Scotia | 0.750% | 10/9/15 | 29,298 | 29,326 | |
Bank of Nova Scotia | 1.375% | 7/15/16 | 38,978 | 39,204 | |
Bank of Nova Scotia | 2.550% | 1/12/17 | 90,083 | 91,975 | |
Bank of Nova Scotia | 1.250% | 4/11/17 | 9,765 | 9,787 | |
Bank of Nova Scotia | 1.300% | 7/21/17 | 21,154 | 21,177 | |
Bank of Nova Scotia | 1.375% | 12/18/17 | 31,425 | 31,394 | |
Bank of Nova Scotia | 1.450% | 4/25/18 | 46,055 | 45,899 | |
Bank of Nova Scotia | 1.700% | 6/11/18 | 37,000 | 37,023 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 68,761 | 69,304 | |
Bank of Nova Scotia | 2.050% | 6/5/19 | 10,850 | 10,940 | |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.300% | 3/10/19 | 11,750 | 11,797 |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.300% | 3/5/20 | 39,075 | 38,934 |
Barclays Bank plc | 5.000% | 9/22/16 | 15,695 | 16,404 | |
Barclays Bank plc | 2.500% | 2/20/19 | 51,925 | 52,482 | |
Barclays Bank plc | 6.750% | 5/22/19 | 27,855 | 32,465 |
13
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Barclays plc | 2.750% | 11/8/19 | 54,965 | 55,000 | |
Barclays plc | 2.875% | 6/8/20 | 24,420 | 24,344 | |
BB&T Corp. | 5.200% | 12/23/15 | 21,527 | 21,859 | |
BB&T Corp. | 3.200% | 3/15/16 | 14,240 | 14,427 | |
BB&T Corp. | 2.150% | 3/22/17 | 69,521 | 70,519 | |
BB&T Corp. | 4.900% | 6/30/17 | 9,750 | 10,287 | |
BB&T Corp. | 1.600% | 8/15/17 | 6,820 | 6,837 | |
BB&T Corp. | 2.050% | 6/19/18 | 18,058 | 18,256 | |
BB&T Corp. | 2.450% | 1/15/20 | 24,415 | 24,563 | |
Bear Stearns Cos. LLC | 5.300% | 10/30/15 | 22,331 | 22,567 | |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 24,436 | 25,788 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 38,076 | 41,768 | |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 21,551 | 24,331 | |
BNP Paribas SA | 3.600% | 2/23/16 | 84,830 | 86,097 | |
BNP Paribas SA | 1.375% | 3/17/17 | 46,900 | 46,916 | |
BNP Paribas SA | 2.375% | 9/14/17 | 88,726 | 90,196 | |
BNP Paribas SA | 2.700% | 8/20/18 | 70,011 | 71,664 | |
BNP Paribas SA | 2.400% | 12/12/18 | 2,850 | 2,881 | |
BPCE SA | 1.625% | 2/10/17 | 27,780 | 27,943 | |
BPCE SA | 1.613% | 7/25/17 | 17,366 | 17,413 | |
BPCE SA | 1.625% | 1/26/18 | 9,770 | 9,762 | |
BPCE SA | 2.500% | 12/10/18 | 77,265 | 78,440 | |
BPCE SA | 2.250% | 1/27/20 | 14,785 | 14,708 | |
9,± | BPCE SA | 3.500% | 4/24/20 | 16,150 | 11,650 |
Branch Banking & Trust Co. | 5.625% | 9/15/16 | 9,510 | 9,967 | |
Branch Banking & Trust Co. | 1.000% | 4/3/17 | 25,400 | 25,284 | |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 29,280 | 29,232 | |
7 | Caisse Centrale Desjardins | 1.750% | 1/29/18 | 68,370 | 68,341 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 27,065 | 27,099 | |
Capital One Bank USA NA | 1.150% | 11/21/16 | 11,720 | 11,663 | |
Capital One Bank USA NA | 1.200% | 2/13/17 | 8,750 | 8,708 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 11,650 | 11,581 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 24,420 | 24,252 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 32,965 | 32,718 | |
Capital One Financial Corp. | 6.150% | 9/1/16 | 4,335 | 4,545 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 25,525 | 25,529 | |
Capital One Financial Corp. | 3.200% | 2/5/25 | 7,200 | 6,794 | |
Capital One NA | 1.500% | 9/5/17 | 17,570 | 17,445 | |
Capital One NA | 1.650% | 2/5/18 | 27,200 | 27,017 | |
Capital One NA | 1.500% | 3/22/18 | 60,395 | 59,705 | |
Capital One NA | 2.400% | 9/5/19 | 16,790 | 16,663 | |
Citigroup Inc. | 1.250% | 1/15/16 | 3,941 | 3,948 | |
Citigroup Inc. | 1.300% | 4/1/16 | 13,644 | 13,672 | |
Citigroup Inc. | 3.953% | 6/15/16 | 54,042 | 55,327 | |
Citigroup Inc. | 5.850% | 8/2/16 | 8,595 | 8,988 | |
Citigroup Inc. | 4.450% | 1/10/17 | 51,479 | 53,644 | |
Citigroup Inc. | 1.350% | 3/10/17 | 7,914 | 7,907 | |
Citigroup Inc. | 1.550% | 8/14/17 | 13,826 | 13,788 | |
Citigroup Inc. | 6.125% | 11/21/17 | 53,745 | 58,858 | |
Citigroup Inc. | 1.850% | 11/24/17 | 60,550 | 60,688 | |
Citigroup Inc. | 1.800% | 2/5/18 | 36,140 | 36,081 | |
Citigroup Inc. | 1.700% | 4/27/18 | 83,010 | 82,510 | |
Citigroup Inc. | 1.750% | 5/1/18 | 68,076 | 67,719 | |
Citigroup Inc. | 6.125% | 5/15/18 | 9,760 | 10,835 | |
Citigroup Inc. | 2.150% | 7/30/18 | 12,353 | 12,397 | |
Citigroup Inc. | 2.500% | 9/26/18 | 61,030 | 61,791 | |
Citigroup Inc. | 2.550% | 4/8/19 | 59,260 | 59,850 | |
Citigroup Inc. | 2.500% | 7/29/19 | 21,060 | 21,127 | |
4,7,10 | Colonial BancGroup Inc. | 7.114% | 5/29/49 | 25,100 | ca |
Comerica Bank | 5.750% | 11/21/16 | 17,000 | 17,957 | |
Comerica Bank | 5.200% | 8/22/17 | 6,825 | 7,267 | |
Commonwealth Bank of Australia | 1.250% | 9/18/15 | 33,150 | 33,183 | |
Commonwealth Bank of Australia | 1.125% | 3/13/17 | 9,750 | 9,758 | |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 53,400 | 53,507 |
14
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 19,030 | 19,267 | |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 23,445 | 23,545 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 64,205 | 65,668 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 57,815 | 58,328 | |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 34,200 | 34,315 | |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 21,490 | 21,524 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.375% | 1/19/17 | 89,189 | 92,094 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 1.700% | 3/19/18 | 46,263 | 46,325 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 76,230 | 76,851 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/20 | 25,125 | 25,089 | |
11 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.750% | 11/9/20 | 19,526 | 23,600 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.375% | 8/4/25 | 8,370 | 8,416 | |
Countrywide Financial Corp. | 6.250% | 5/15/16 | 37,914 | 39,289 | |
Credit Suisse | 1.375% | 5/26/17 | 46,525 | 46,489 | |
Credit Suisse | 1.750% | 1/29/18 | 40,800 | 40,773 | |
Credit Suisse | 1.700% | 4/27/18 | 58,595 | 58,273 | |
Credit Suisse | 2.300% | 5/28/19 | 69,795 | 70,136 | |
Credit Suisse | 4.375% | 8/5/20 | 2,030 | 2,216 | |
7 | Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 14,655 | 14,570 |
Credit Suisse USA Inc. | 5.125% | 8/15/15 | 45,875 | 45,930 | |
7 | Danske Bank A/S | 3.875% | 4/14/16 | 34,300 | 34,987 |
Deutsche Bank AG | 3.250% | 1/11/16 | 38,861 | 39,276 | |
Deutsche Bank AG | 1.400% | 2/13/17 | 93,890 | 93,577 | |
Deutsche Bank AG | 6.000% | 9/1/17 | 97,907 | 106,207 | |
Deutsche Bank AG | 1.875% | 2/13/18 | 56,405 | 56,263 | |
Deutsche Bank AG | 2.500% | 2/13/19 | 21,485 | 21,649 | |
Discover Bank | 3.100% | 6/4/20 | 24,430 | 24,522 | |
Fifth Third Bank | 0.900% | 2/26/16 | 24,395 | 24,413 | |
Fifth Third Bank | 2.375% | 4/25/19 | 25,627 | 25,772 | |
First Horizon National Corp. | 5.375% | 12/15/15 | 31,966 | 32,404 | |
First Republic Bank | 2.375% | 6/17/19 | 47,605 | 47,604 | |
Goldman Sachs Group Inc. | 3.700% | 8/1/15 | 50,099 | 50,103 | |
Goldman Sachs Group Inc. | 5.350% | 1/15/16 | 43,487 | 44,359 | |
Goldman Sachs Group Inc. | 3.625% | 2/7/16 | 4,999 | 5,068 | |
Goldman Sachs Group Inc. | 5.625% | 1/15/17 | 37,115 | 39,186 | |
12 | Goldman Sachs Group Inc. | 6.125% | 5/14/17 | 37,400 | 62,532 |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 73,865 | 80,666 | |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 108,310 | 118,834 | |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 80,630 | 81,806 | |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 31,713 | 35,128 | |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 76,640 | 78,682 | |
9 | Goldman Sachs Group Inc. | 5.000% | 8/8/18 | 12,310 | 9,397 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 68,810 | 69,978 | |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 27,660 | 27,797 | |
7 | HSBC Bank plc | 1.500% | 5/15/18 | 17,965 | 17,913 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 10,110 | 10,952 | |
HSBC USA Inc. | 1.500% | 11/13/17 | 7,190 | 7,173 | |
HSBC USA Inc. | 1.625% | 1/16/18 | 56,555 | 56,484 | |
HSBC USA Inc. | 2.625% | 9/24/18 | 36,735 | 37,488 | |
HSBC USA Inc. | 2.250% | 6/23/19 | 29,545 | 29,495 | |
HSBC USA Inc. | 2.375% | 11/13/19 | 48,435 | 48,434 | |
HSBC USA Inc. | 2.350% | 3/5/20 | 19,540 | 19,426 | |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 43,955 | 44,516 | |
Huntington National Bank | 1.375% | 4/24/17 | 25,150 | 25,038 | |
Huntington National Bank | 2.000% | 6/30/18 | 53,720 | 53,769 | |
7 | ING Bank NV | 3.750% | 3/7/17 | 66,683 | 69,112 |
7 | ING Bank NV | 2.450% | 3/16/20 | 39,075 | 39,255 |
Intesa Sanpaolo SPA | 3.125% | 1/15/16 | 59,065 | 59,532 | |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 71,950 | 72,226 | |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 55,390 | 57,217 | |
JPMorgan Chase & Co. | 5.150% | 10/1/15 | 9,836 | 9,898 | |
JPMorgan Chase & Co. | 1.100% | 10/15/15 | 35,284 | 35,318 | |
JPMorgan Chase & Co. | 2.600% | 1/15/16 | 38,773 | 39,073 | |
JPMorgan Chase & Co. | 1.125% | 2/26/16 | 4,476 | 4,481 |
15
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
JPMorgan Chase & Co. | 3.450% | 3/1/16 | 99,006 | 100,410 | |
JPMorgan Chase & Co. | 3.150% | 7/5/16 | 49,792 | 50,712 | |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 12,476 | 12,480 | |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 25,984 | 26,202 | |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 71,913 | 78,981 | |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 19,720 | 19,750 | |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 49,200 | 49,092 | |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 18,926 | 18,822 | |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 85,037 | 85,646 | |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 35,973 | 41,131 | |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 43,950 | 43,922 | |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 55,770 | 55,148 | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 64,725 | 64,973 | |
4 | JPMorgan Chase & Co. | 5.300% | 12/29/49 | 14,010 | 13,870 |
JPMorgan Chase Bank NA | 5.875% | 6/13/16 | 9,750 | 10,119 | |
12 | JPMorgan Chase Bank NA | 5.375% | 9/28/16 | 13,750 | 22,379 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 8,592 | 9,288 | |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 35,313 | 38,381 | |
KeyBank NA | 1.650% | 2/1/18 | 5,305 | 5,300 | |
KeyBank NA | 1.700% | 6/1/18 | 9,750 | 9,727 | |
4,7 | LBG Capital No.1 plc | 8.000% | 12/29/49 | 10,997 | 12,564 |
Lloyds Bank plc | 4.875% | 1/21/16 | 12,562 | 12,803 | |
Lloyds Bank plc | 1.750% | 5/14/18 | 21,290 | 21,274 | |
Lloyds Bank plc | 2.300% | 11/27/18 | 13,185 | 13,346 | |
Lloyds Bank plc | 2.350% | 9/5/19 | 15,160 | 15,222 | |
Lloyds Bank plc | 2.400% | 3/17/20 | 34,190 | 34,214 | |
7 | Macquarie Bank Ltd. | 1.600% | 10/27/17 | 57,550 | 57,221 |
7 | Macquarie Bank Ltd. | 2.400% | 1/21/20 | 36,370 | 36,166 |
7 | Macquarie Bank Ltd. | 4.875% | 6/10/25 | 21,000 | 20,930 |
Manufacturers & Traders Trust Co. | 1.250% | 1/30/17 | 9,750 | 9,735 | |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 39,089 | 43,366 | |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 34,010 | 33,763 | |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 38,480 | 38,640 | |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 40,550 | 40,649 | |
Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 19,530 | 19,343 | |
4 | Manufacturers & Traders Trust Co. | 5.629% | 12/1/21 | 9,755 | 9,892 |
7 | Mitsubishi UFJ Trust & Banking Corp. | 1.600% | 10/16/17 | 29,290 | 29,181 |
7 | Mitsubishi UFJ Trust & Banking Corp. | 2.450% | 10/16/19 | 29,290 | 29,378 |
Morgan Stanley | 5.375% | 10/15/15 | 26,120 | 26,353 | |
Morgan Stanley | 3.450% | 11/2/15 | 9,750 | 9,810 | |
Morgan Stanley | 3.800% | 4/29/16 | 39,075 | 39,884 | |
Morgan Stanley | 5.750% | 10/18/16 | 69,245 | 72,894 | |
Morgan Stanley | 5.450% | 1/9/17 | 27,352 | 28,869 | |
Morgan Stanley | 5.550% | 4/27/17 | 19,495 | 20,792 | |
Morgan Stanley | 6.250% | 8/28/17 | 8,665 | 9,450 | |
Morgan Stanley | 5.950% | 12/28/17 | 54,821 | 59,786 | |
Morgan Stanley | 1.875% | 1/5/18 | 62,508 | 62,666 | |
Morgan Stanley | 6.625% | 4/1/18 | 22,850 | 25,603 | |
Morgan Stanley | 2.125% | 4/25/18 | 30,740 | 30,965 | |
Morgan Stanley | 2.500% | 1/24/19 | 33,000 | 33,378 | |
Morgan Stanley | 2.375% | 7/23/19 | 44,790 | 44,823 | |
Morgan Stanley | 2.650% | 1/27/20 | 32,700 | 32,830 | |
Morgan Stanley | 2.800% | 6/16/20 | 32,600 | 32,739 | |
MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 14,400 | 14,371 | |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 29,300 | 29,119 | |
MUFG Union Bank NA | 5.950% | 5/11/16 | 53,730 | 55,693 | |
MUFG Union Bank NA | 3.000% | 6/6/16 | 56,590 | 57,574 | |
MUFG Union Bank NA | 1.500% | 9/26/16 | 39,855 | 39,982 | |
MUFG Union Bank NA | 2.125% | 6/16/17 | 29,740 | 30,114 | |
MUFG Union Bank NA | 2.625% | 9/26/18 | 39,640 | 40,272 | |
MUFG Union Bank NA | 2.250% | 5/6/19 | 24,420 | 24,564 | |
National Australia Bank Ltd. | 1.600% | 8/7/15 | 9,750 | 9,751 | |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 21,800 | 22,173 | |
National City Bank | 5.250% | 12/15/16 | 14,750 | 15,503 |
16
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
National City Bank | 5.800% | 6/7/17 | 14,625 | 15,679 | |
National City Corp. | 6.875% | 5/15/19 | 8,085 | 9,328 | |
7 | Nationwide Building Society | 2.350% | 1/21/20 | 39,835 | 39,745 |
PNC Bank NA | 0.800% | 1/28/16 | 26,345 | 26,371 | |
PNC Bank NA | 5.250% | 1/15/17 | 27,935 | 29,443 | |
PNC Bank NA | 1.125% | 1/27/17 | 46,690 | 46,640 | |
PNC Bank NA | 4.875% | 9/21/17 | 22,535 | 23,976 | |
PNC Bank NA | 1.500% | 10/18/17 | 48,800 | 48,886 | |
PNC Bank NA | 6.000% | 12/7/17 | 4,885 | 5,333 | |
PNC Bank NA | 1.500% | 2/23/18 | 55,800 | 55,568 | |
PNC Bank NA | 6.875% | 4/1/18 | 4,197 | 4,698 | |
PNC Bank NA | 1.600% | 6/1/18 | 81,400 | 81,115 | |
PNC Bank NA | 2.200% | 1/28/19 | 48,707 | 49,122 | |
PNC Bank NA | 2.250% | 7/2/19 | 44,590 | 44,647 | |
PNC Bank NA | 2.400% | 10/18/19 | 63,398 | 63,838 | |
PNC Financial Services Group Inc. | 1.850% | 7/20/18 | 24,260 | 24,290 | |
PNC Financial Services Group Inc. | 2.600% | 7/21/20 | 14,430 | 14,493 | |
PNC Funding Corp. | 4.250% | 9/21/15 | 23,385 | 23,496 | |
PNC Funding Corp. | 2.700% | 9/19/16 | 40,143 | 40,781 | |
PNC Funding Corp. | 5.625% | 2/1/17 | 4,380 | 4,640 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 7,230 | 8,092 | |
Regions Bank | 7.500% | 5/15/18 | 7,579 | 8,640 | |
Regions Financial Corp. | 2.000% | 5/15/18 | 27,350 | 27,264 | |
Royal Bank of Canada | 2.875% | 4/19/16 | 73,300 | 74,464 | |
Royal Bank of Canada | 2.300% | 7/20/16 | 41,185 | 41,783 | |
Royal Bank of Canada | 1.250% | 6/16/17 | 19,520 | 19,533 | |
Royal Bank of Canada | 1.400% | 10/13/17 | 26,360 | 26,350 | |
Royal Bank of Canada | 1.500% | 1/16/18 | 3,900 | 3,900 | |
Royal Bank of Canada | 2.200% | 7/27/18 | 25,890 | 26,266 | |
Royal Bank of Canada | 1.800% | 7/30/18 | 18,752 | 18,813 | |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 8,295 | 9,307 | |
Royal Bank of Scotland plc | 3.950% | 9/21/15 | 43,808 | 43,974 | |
Royal Bank of Scotland plc | 4.375% | 3/16/16 | 3,945 | 4,014 | |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 12,650 | 14,346 | |
Santander Bank NA | 8.750% | 5/30/18 | 33,955 | 39,236 | |
7 | Skandinaviska Enskilda Banken AB | 2.450% | 5/27/20 | 22,860 | 23,001 |
Societe Generale SA | 2.750% | 10/12/17 | 24,310 | 24,928 | |
State Street Bank & Trust Co. | 5.300% | 1/15/16 | 7,261 | 7,402 | |
4 | State Street Corp. | 5.250% | 12/29/49 | 14,020 | 14,090 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 14,620 | 14,578 | |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 12,711 | 13,086 | |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 8,795 | 9,559 | |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 39,685 | 40,490 | |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 12,975 | 13,088 | |
Synchrony Financial | 3.000% | 8/15/19 | 85,990 | 86,558 | |
Synchrony Financial | 2.700% | 2/3/20 | 39,200 | 38,554 | |
Synchrony Financial | 3.750% | 8/15/21 | 9,760 | 9,799 | |
Synchrony Financial | 4.500% | 7/23/25 | 4,215 | 4,236 | |
Toronto-Dominion Bank | 2.500% | 7/14/16 | 23,423 | 23,812 | |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 63,495 | 63,782 | |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 28,510 | 28,413 | |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 51,810 | 51,745 | |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 63,831 | 64,240 | |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 57,880 | 58,269 | |
UBS AG | 5.875% | 12/20/17 | 52,925 | 58,061 | |
UBS AG | 1.800% | 3/26/18 | 54,700 | 54,774 | |
UBS AG | 5.750% | 4/25/18 | 72,185 | 79,527 | |
UBS AG | 2.375% | 8/14/19 | 44,990 | 45,075 | |
US Bank NA | 1.100% | 1/30/17 | 5,729 | 5,737 | |
US Bank NA | 1.375% | 9/11/17 | 42,077 | 42,178 | |
US Bank NA | 1.350% | 1/26/18 | 22,067 | 22,042 | |
US Bank NA | 2.125% | 10/28/19 | 37,470 | 37,544 | |
Wachovia Bank NA | 5.000% | 8/15/15 | 9,750 | 9,762 | |
Wachovia Bank NA | 5.600% | 3/15/16 | 26,540 | 27,322 |
17
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wachovia Bank NA | 6.000% | 11/15/17 | 53,763 | 58,984 | |
Wachovia Corp. | 5.625% | 10/15/16 | 34,080 | 35,901 | |
Wachovia Corp. | 5.750% | 6/15/17 | 37,230 | 40,289 | |
Wachovia Corp. | 5.750% | 2/1/18 | 53,681 | 59,044 | |
10 | Washington Mutual Bank/Debt not acq. by JPMorgan | 6.875% | 6/15/11 | 21,983 | 55 |
Wells Fargo & Co. | 3.676% | 6/15/16 | 53,334 | 54,653 | |
Wells Fargo & Co. | 1.150% | 6/2/17 | 7,300 | 7,292 | |
Wells Fargo & Co. | 1.400% | 9/8/17 | 36,020 | 36,036 | |
Wells Fargo & Co. | 5.625% | 12/11/17 | 19,840 | 21,723 | |
Wells Fargo & Co. | 1.500% | 1/16/18 | 40,770 | 40,812 | |
Wells Fargo & Co. | 2.150% | 1/15/19 | 25,673 | 25,890 | |
Wells Fargo & Co. | 2.125% | 4/22/19 | 102,100 | 102,460 | |
Wells Fargo & Co. | 2.150% | 1/30/20 | 70,570 | 69,986 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 51,500 | 51,654 | |
Westpac Banking Corp. | 1.125% | 9/25/15 | 26,447 | 26,473 | |
Westpac Banking Corp. | 3.000% | 12/9/15 | 33,086 | 33,373 | |
Westpac Banking Corp. | 0.950% | 1/12/16 | 19,436 | 19,466 | |
Westpac Banking Corp. | 1.050% | 11/25/16 | 24,571 | 24,628 | |
Westpac Banking Corp. | 1.200% | 5/19/17 | 19,436 | 19,462 | |
Westpac Banking Corp. | 2.000% | 8/14/17 | 54,486 | 55,276 | |
Westpac Banking Corp. | 1.500% | 12/1/17 | 48,825 | 48,855 | |
Westpac Banking Corp. | 1.600% | 1/12/18 | 44,378 | 44,561 | |
Westpac Banking Corp. | 1.550% | 5/25/18 | 30,270 | 30,165 | |
Westpac Banking Corp. | 2.250% | 7/30/18 | 20,830 | 21,146 | |
Westpac Banking Corp. | 2.250% | 1/17/19 | 23,400 | 23,669 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 35,464 | 39,350 | |
Westpac Banking Corp. | 2.300% | 5/26/20 | 23,770 | 23,755 | |
Zions Bancorporation | 5.500% | 11/16/15 | 819 | 824 | |
Brokerage (0.6%) | |||||
Ameriprise Financial Inc. | 5.650% | 11/15/15 | 3,160 | 3,202 | |
4 | Ameriprise Financial Inc. | 7.518% | 6/1/66 | 6,634 | 6,534 |
Charles Schwab Corp. | 6.375% | 9/1/17 | 5,860 | 6,462 | |
Charles Schwab Corp. | 1.500% | 3/10/18 | 19,535 | 19,536 | |
Franklin Resources Inc. | 1.375% | 9/15/17 | 15,056 | 15,086 | |
Jefferies Group LLC | 5.125% | 4/13/18 | 12,335 | 13,100 | |
Legg Mason Inc. | 2.700% | 7/15/19 | 5,860 | 5,868 | |
10 | Lehman Brothers Holdings E-Capital Trust I | 3.589% | 8/19/65 | 9,410 | 1 |
Nomura Holdings Inc. | 4.125% | 1/19/16 | 23,440 | 23,746 | |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 93,195 | 93,752 | |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 26,430 | 26,764 | |
NYSE Euronext | 2.000% | 10/5/17 | 39,586 | 39,974 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 17,515 | 17,486 | |
7 | TIAA Asset Management Finance Co. LLC | 2.950% | 11/1/19 | 60,100 | 60,756 |
Finance Companies (1.3%) | |||||
Air Lease Corp. | 5.625% | 4/1/17 | 81,514 | 86,099 | |
Air Lease Corp. | 3.375% | 1/15/19 | 31,655 | 32,169 | |
General Electric Capital Corp. | 4.375% | 9/21/15 | 9,252 | 9,300 | |
General Electric Capital Corp. | 2.250% | 11/9/15 | 18,773 | 18,855 | |
General Electric Capital Corp. | 1.000% | 12/11/15 | 6,813 | 6,825 | |
General Electric Capital Corp. | 5.000% | 1/8/16 | 22,888 | 23,329 | |
General Electric Capital Corp. | 2.950% | 5/9/16 | 17,620 | 17,922 | |
General Electric Capital Corp. | 1.500% | 7/12/16 | 38,903 | 39,204 | |
General Electric Capital Corp. | 3.350% | 10/17/16 | 56,233 | 57,881 | |
General Electric Capital Corp. | 2.900% | 1/9/17 | 14,748 | 15,132 | |
General Electric Capital Corp. | 5.400% | 2/15/17 | 34,848 | 37,130 | |
General Electric Capital Corp. | 2.450% | 3/15/17 | 3,868 | 3,945 | |
General Electric Capital Corp. | 5.625% | 9/15/17 | 55,809 | 60,760 | |
General Electric Capital Corp. | 5.625% | 5/1/18 | 106,280 | 117,312 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 14,432 | 16,580 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 44,590 | 44,636 | |
4 | General Electric Capital Corp. | 6.375% | 11/15/67 | 7,110 | 7,608 |
HSBC Finance Corp. | 5.500% | 1/19/16 | 63,490 | 64,812 | |
6 | HSBC Finance Corp. | 0.713% | 6/1/16 | 17,234 | 17,203 |
18
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Insurance (1.9%) | |||||
Aflac Inc. | 2.400% | 3/16/20 | 11,720 | 11,835 | |
Alleghany Corp. | 5.625% | 9/15/20 | 8,890 | 9,941 | |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 55,754 | 59,004 | |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 2,075 | 2,303 | |
Alterra Finance LLC | 6.250% | 9/30/20 | 9,765 | 11,241 | |
American Financial Group Inc. | 9.875% | 6/15/19 | 31,750 | 39,696 | |
American International Group Inc. | 2.375% | 8/24/15 | 9,750 | 9,760 | |
American International Group Inc. | 5.050% | 10/1/15 | 9,835 | 9,899 | |
American International Group Inc. | 2.300% | 7/16/19 | 9,916 | 9,933 | |
American International Group Inc. | 3.875% | 1/15/35 | 3,760 | 3,408 | |
Anthem Inc. | 1.875% | 1/15/18 | 19,336 | 19,266 | |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 25,904 | 28,520 | |
Assurant Inc. | 2.500% | 3/15/18 | 29,300 | 29,346 | |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 11,618 | 13,159 | |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 14,650 | 14,688 | |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 24,144 | 26,732 | |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 4,850 | 4,929 | |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 4,875 | 4,925 | |
CNA Financial Corp. | 6.500% | 8/15/16 | 20,495 | 21,589 | |
CNA Financial Corp. | 7.350% | 11/15/19 | 3,900 | 4,606 | |
Manulife Financial Corp. | 3.400% | 9/17/15 | 14,461 | 14,507 | |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 9,875 | 10,058 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 14,385 | 14,400 | |
7 | MassMutual Global Funding II | 3.125% | 4/14/16 | 11,760 | 11,945 |
7 | MassMutual Global Funding II | 2.000% | 4/5/17 | 8,141 | 8,235 |
7 | MassMutual Global Funding II | 2.100% | 8/2/18 | 12,735 | 12,876 |
7 | MassMutual Global Funding II | 2.500% | 10/17/22 | 14,335 | 13,813 |
MetLife Inc. | 6.750% | 6/1/16 | 40,736 | 42,722 | |
MetLife Inc. | 1.756% | 12/15/17 | 14,600 | 14,704 | |
MetLife Inc. | 6.817% | 8/15/18 | 13,300 | 15,254 | |
MetLife Inc. | 7.717% | 2/15/19 | 9,219 | 11,000 | |
4 | MetLife Inc. | 5.250% | 12/29/49 | 7,005 | 6,987 |
7 | Metropolitan Life Global Funding I | 1.500% | 1/10/18 | 29,350 | 29,352 |
7 | Metropolitan Life Global Funding I | 2.300% | 4/10/19 | 11,225 | 11,334 |
7 | Metropolitan Life Global Funding I | 2.000% | 4/14/20 | 19,530 | 19,369 |
7 | New York Life Global Funding | 1.950% | 2/11/20 | 17,975 | 17,794 |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 20,530 | 23,083 | |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 15,600 | 15,708 | |
7 | Principal Life Global Funding II | 2.250% | 10/15/18 | 11,725 | 11,893 |
7 | Principal Life Global Funding II | 2.200% | 4/8/20 | 28,665 | 28,468 |
4 | Progressive Corp. | 6.700% | 6/15/67 | 9,760 | 10,163 |
Prudential Financial Inc. | 3.000% | 5/12/16 | 11,725 | 11,911 | |
Prudential Financial Inc. | 7.375% | 6/15/19 | 10,442 | 12,382 | |
Prudential Financial Inc. | 2.350% | 8/15/19 | 9,790 | 9,825 | |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 12,290 | 12,106 |
Reinsurance Group of America Inc. | 5.625% | 3/15/17 | 12,900 | 13,725 | |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 21,183 | 24,347 | |
7 | Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 52,630 | 52,618 |
7 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 17,860 | 17,661 |
Torchmark Corp. | 9.250% | 6/15/19 | 7,053 | 8,758 | |
Transatlantic Holdings Inc. | 5.750% | 12/14/15 | 18,420 | 18,739 | |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 2,273 | 2,528 | |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 2,930 | 3,352 | |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,300 | 4,639 | |
UnitedHealth Group Inc. | 1.450% | 7/17/17 | 27,900 | 27,960 | |
UnitedHealth Group Inc. | 1.400% | 12/15/17 | 12,210 | 12,157 | |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 30,270 | 30,376 | |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 9,765 | 9,783 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 14,640 | 14,799 | |
Unum Group | 7.125% | 9/30/16 | 13,498 | 14,372 | |
7 | UnumProvident Finance Co. plc | 6.850% | 11/15/15 | 9,895 | 10,047 |
19
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Real Estate Investment Trusts (1.8%) | |||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 29,896 | 29,617 | |
ARC Properties Operating Partnership LP/Clark | |||||
Acquisition LLC | 2.000% | 2/6/17 | 112,260 | 109,770 | |
ARC Properties Operating Partnership LP/Clark | |||||
Acquisition LLC | 3.000% | 2/6/19 | 22,495 | 21,528 | |
AvalonBay Communities Inc. | 3.625% | 10/1/20 | 8,980 | 9,375 | |
AvalonBay Communities Inc. | 3.450% | 6/1/25 | 11,985 | 11,898 | |
BioMed Realty LP | 3.850% | 4/15/16 | 16,095 | 16,358 | |
Boston Properties LP | 3.700% | 11/15/18 | 4,900 | 5,141 | |
Boston Properties LP | 5.875% | 10/15/19 | 32,163 | 36,644 | |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 15,370 | 16,321 | |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 21,275 | 22,574 | |
DDR Corp. | 9.625% | 3/15/16 | 8,701 | 9,136 | |
DDR Corp. | 7.500% | 4/1/17 | 289 | 315 | |
DDR Corp. | 4.750% | 4/15/18 | 29,245 | 31,103 | |
DDR Corp. | 7.500% | 7/15/18 | 2,500 | 2,863 | |
DDR Corp. | 7.875% | 9/1/20 | 7,085 | 8,633 | |
Digital Realty Trust LP | 5.875% | 2/1/20 | 29,982 | 33,677 | |
Digital Realty Trust LP | 3.950% | 7/1/22 | 25,043 | 25,160 | |
Duke Realty LP | 5.950% | 2/15/17 | 882 | 940 | |
Duke Realty LP | 6.500% | 1/15/18 | 3,235 | 3,601 | |
ERP Operating LP | 2.375% | 7/1/19 | 4,875 | 4,898 | |
ERP Operating LP | 4.750% | 7/15/20 | 4,304 | 4,709 | |
Essex Portfolio LP | 3.500% | 4/1/25 | 14,862 | 14,344 | |
7 | Goodman Funding Pty Ltd. | 6.375% | 11/12/20 | 21,270 | 24,460 |
HCP Inc. | 3.750% | 2/1/16 | 32,511 | 32,950 | |
HCP Inc. | 6.700% | 1/30/18 | 9,705 | 10,800 | |
HCP Inc. | 2.625% | 2/1/20 | 12,357 | 12,253 | |
HCP Inc. | 5.375% | 2/1/21 | 18,503 | 20,411 | |
Health Care REIT Inc. | 3.625% | 3/15/16 | 46,635 | 47,284 | |
Health Care REIT Inc. | 4.700% | 9/15/17 | 14,620 | 15,507 | |
Health Care REIT Inc. | 2.250% | 3/15/18 | 15,769 | 15,862 | |
Health Care REIT Inc. | 4.125% | 4/1/19 | 46,860 | 49,612 | |
Health Care REIT Inc. | 6.125% | 4/15/20 | 14,650 | 16,747 | |
Health Care REIT Inc. | 4.000% | 6/1/25 | 10,725 | 10,675 | |
Highwoods Realty LP | 5.850% | 3/15/17 | 4,425 | 4,714 | |
Kilroy Realty LP | 4.800% | 7/15/18 | 20,030 | 21,328 | |
Liberty Property LP | 5.500% | 12/15/16 | 27,672 | 29,109 | |
Liberty Property LP | 4.750% | 10/1/20 | 10,940 | 11,761 | |
Liberty Property LP | 3.750% | 4/1/25 | 3,575 | 3,491 | |
ProLogis LP | 4.500% | 8/15/17 | 7,300 | 7,704 | |
ProLogis LP | 2.750% | 2/15/19 | 4,255 | 4,326 | |
11 | ProLogis LP | 1.375% | 5/13/21 | 15,142 | 16,402 |
Realty Income Corp. | 2.000% | 1/31/18 | 4,870 | 4,891 | |
Realty Income Corp. | 6.750% | 8/15/19 | 5,985 | 6,935 | |
Regency Centers LP | 5.875% | 6/15/17 | 13,675 | 14,728 | |
Senior Housing Properties Trust | 4.300% | 1/15/16 | 11,460 | 11,560 | |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 36,150 | 36,352 | |
Simon Property Group LP | 2.800% | 1/30/17 | 22,815 | 23,311 | |
Simon Property Group LP | 2.150% | 9/15/17 | 1,572 | 1,598 | |
Simon Property Group LP | 10.350% | 4/1/19 | 10,565 | 13,381 | |
Simon Property Group LP | 5.650% | 2/1/20 | 16,085 | 18,315 | |
Simon Property Group LP | 4.375% | 3/1/21 | 7,375 | 8,000 | |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 14,362 | 14,441 | |
7 | WEA Finance LLC / Westfield UK & Europe Finance plc | 1.750% | 9/15/17 | 29,290 | 29,315 |
7 | WEA Finance LLC / Westfield UK & Europe Finance plc | 2.700% | 9/17/19 | 6,825 | 6,829 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 9,088 | 8,910 | |
Weingarten Realty Investors | 3.850% | 6/1/25 | 6,445 | 6,384 | |
15,476,342 | |||||
Industrial (28.6%) | |||||
Basic Industry (2.0%) | |||||
Agrium Inc. | 6.750% | 1/15/19 | 11,665 | 13,294 |
20
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 10,706 | 10,834 | |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 11,225 | 11,209 | |
Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 7,155 | 7,809 | |
Airgas Inc. | 2.950% | 6/15/16 | 8,867 | 9,006 | |
Airgas Inc. | 1.650% | 2/15/18 | 23,552 | 23,521 | |
Airgas Inc. | 2.375% | 2/15/20 | 9,890 | 9,829 | |
Albemarle Corp. | 3.000% | 12/1/19 | 4,880 | 4,918 | |
Barrick North America Finance LLC | 6.800% | 9/15/18 | 16,290 | 18,178 | |
11 | BHP Billiton Finance Ltd. | 6.375% | 4/4/16 | 13,675 | 15,624 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 3,874 | 3,911 | |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 68,574 | 69,145 | |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 35,646 | 37,986 | |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 13,920 | 14,010 | |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 36,339 | 41,834 | |
CF Industries Inc. | 6.875% | 5/1/18 | 38,450 | 43,112 | |
Eastman Chemical Co. | 3.000% | 12/15/15 | 7,704 | 7,758 | |
Eastman Chemical Co. | 2.400% | 6/1/17 | 19,169 | 19,440 | |
Eastman Chemical Co. | 2.700% | 1/15/20 | 8,775 | 8,784 | |
Ecolab Inc. | 3.000% | 12/8/16 | 3,339 | 3,412 | |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 27,383 | 30,568 | |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 11,348 | 12,489 | |
Freeport-McMoRan Inc. | 2.375% | 3/15/18 | 19,020 | 17,742 | |
7 | Glencore Finance Canada Ltd. | 3.600% | 1/15/17 | 19,830 | 20,175 |
7 | Glencore Funding LLC | 2.500% | 1/15/19 | 9,770 | 9,597 |
Goldcorp Inc. | 2.125% | 3/15/18 | 14,640 | 14,602 | |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 42,005 | 45,489 | |
Monsanto Co. | 1.150% | 6/30/17 | 9,770 | 9,733 | |
Monsanto Co. | 5.125% | 4/15/18 | 22,515 | 24,445 | |
Monsanto Co. | 1.850% | 11/15/18 | 3,000 | 3,015 | |
Monsanto Co. | 2.125% | 7/15/19 | 39,050 | 38,786 | |
Monsanto Co. | 2.750% | 7/15/21 | 15,740 | 15,422 | |
Nucor Corp. | 5.850% | 6/1/18 | 23,033 | 25,606 | |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 18,650 | 18,091 | |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 6,446 | 6,382 | |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 11,008 | 10,898 | |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 28,554 | 29,506 | |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 5,052 | 5,819 | |
PPG Industries Inc. | 1.900% | 1/15/16 | 9,911 | 9,965 | |
PPG Industries Inc. | 2.300% | 11/15/19 | 29,285 | 29,195 | |
11 | PPG Industries Inc. | 0.875% | 3/13/22 | 20,714 | 22,141 |
Praxair Inc. | 4.500% | 8/15/19 | 21,490 | 23,484 | |
Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 27,361 | 30,761 | |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 15,620 | 19,396 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 4,460 | 4,344 | |
Rio Tinto Finance USA plc | 1.375% | 6/17/16 | 38,045 | 38,090 | |
Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 40,230 | 40,600 | |
Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 56,904 | 56,753 | |
Teck Resources Ltd. | 3.150% | 1/15/17 | 12,405 | 11,980 | |
Teck Resources Ltd. | 3.850% | 8/15/17 | 8,395 | 8,103 | |
Teck Resources Ltd. | 2.500% | 2/1/18 | 11,230 | 10,219 | |
Teck Resources Ltd. | 3.000% | 3/1/19 | 2,380 | 2,142 | |
Vale Overseas Ltd. | 6.250% | 1/11/16 | 22,625 | 23,062 | |
Vale Overseas Ltd. | 6.250% | 1/23/17 | 34,195 | 35,885 | |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 16,145 | 17,362 | |
Capital Goods (3.0%) | |||||
7 | ABB Treasury Center USA Inc. | 2.500% | 6/15/16 | 14,650 | 14,833 |
Boeing Capital Corp. | 2.125% | 8/15/16 | 17,596 | 17,820 | |
Boeing Capital Corp. | 2.900% | 8/15/18 | 22,681 | 23,674 | |
Boeing Capital Corp. | 4.700% | 10/27/19 | 38,917 | 43,147 | |
Boeing Co. | 0.950% | 5/15/18 | 16,015 | 15,822 | |
Boeing Co. | 6.000% | 3/15/19 | 13,172 | 15,080 | |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 45,680 | 50,391 | |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 6,360 | 7,374 |
21
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 42,395 | 49,914 | |
Caterpillar Inc. | 7.900% | 12/15/18 | 40,399 | 48,360 | |
Crane Co. | 2.750% | 12/15/18 | 12,615 | 12,864 | |
Danaher Corp. | 2.300% | 6/23/16 | 32,674 | 33,122 | |
Danaher Corp. | 5.400% | 3/1/19 | 21,460 | 23,888 | |
Danaher Corp. | 3.900% | 6/23/21 | 21,861 | 23,556 | |
11 | DH Europe Finance SA | 1.000% | 7/8/19 | 17,300 | 19,151 |
11 | Dover Corp. | 2.125% | 12/1/20 | 10,205 | 11,765 |
7 | Embraer Overseas Ltd. | 5.696% | 9/16/23 | 10,379 | 10,829 |
General Dynamics Corp. | 2.250% | 7/15/16 | 5,423 | 5,505 | |
General Electric Co. | 0.850% | 10/9/15 | 18,403 | 18,418 | |
General Electric Co. | 5.250% | 12/6/17 | 131,375 | 142,742 | |
Harris Corp. | 1.999% | 4/27/18 | 14,650 | 14,627 | |
Harris Corp. | 2.700% | 4/27/20 | 7,150 | 7,042 | |
Harsco Corp. | 2.700% | 10/15/15 | 10,192 | 10,192 | |
Honeywell International Inc. | 5.300% | 3/1/18 | 38,124 | 41,890 | |
Honeywell International Inc. | 5.000% | 2/15/19 | 55,684 | 61,798 | |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 9,765 | 11,093 | |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 33,363 | 33,966 | |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 9,760 | 9,723 | |
John Deere Capital Corp. | 2.250% | 6/7/16 | 28,350 | 28,744 | |
John Deere Capital Corp. | 1.850% | 9/15/16 | 37,790 | 38,254 | |
John Deere Capital Corp. | 2.000% | 1/13/17 | 12,655 | 12,836 | |
John Deere Capital Corp. | 1.400% | 3/15/17 | 19,465 | 19,624 | |
John Deere Capital Corp. | 2.800% | 9/18/17 | 6,545 | 6,765 | |
John Deere Capital Corp. | 1.200% | 10/10/17 | 35,080 | 35,051 | |
John Deere Capital Corp. | 1.550% | 12/15/17 | 19,525 | 19,603 | |
John Deere Capital Corp. | 5.350% | 4/3/18 | 19,520 | 21,528 | |
John Deere Capital Corp. | 5.750% | 9/10/18 | 19,420 | 21,734 | |
John Deere Capital Corp. | 1.950% | 12/13/18 | 47,286 | 47,627 | |
John Deere Capital Corp. | 1.950% | 3/4/19 | 8,311 | 8,350 | |
John Deere Capital Corp. | 2.300% | 9/16/19 | 12,500 | 12,610 | |
John Deere Capital Corp. | 2.050% | 3/10/20 | 19,535 | 19,462 | |
John Deere Capital Corp. | 2.375% | 7/14/20 | 20,335 | 20,391 | |
9 | John Deere Financial Ltd. | 3.500% | 12/18/19 | 19,040 | 14,100 |
L-3 Communications Corp. | 3.950% | 11/15/16 | 11,560 | 11,886 | |
L-3 Communications Corp. | 1.500% | 5/28/17 | 9,765 | 9,677 | |
L-3 Communications Corp. | 5.200% | 10/15/19 | 15,207 | 16,506 | |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 51,280 | 55,711 | |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 19,010 | 19,555 | |
Mohawk Industries Inc. | 6.125% | 1/15/16 | 38,574 | 39,431 | |
11 | Mohawk Industries Inc. | 2.000% | 1/14/22 | 15,752 | 17,638 |
Precision Castparts Corp. | 0.700% | 12/20/15 | 18,045 | 18,032 | |
Raytheon Co. | 6.750% | 3/15/18 | 14,663 | 16,660 | |
Raytheon Co. | 6.400% | 12/15/18 | 30,010 | 34,590 | |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 4,885 | 5,341 | |
Roper Technologies Inc. | 1.850% | 11/15/17 | 21,480 | 21,559 | |
Roper Technologies Inc. | 2.050% | 10/1/18 | 9,590 | 9,576 | |
11 | Schneider Electric SE | 3.750% | 7/12/18 | 9,800 | 11,812 |
7 | Schneider Electric SE | 2.950% | 9/27/22 | 21,466 | 21,292 |
7 | Siemens Financieringsmaatschappij NV | 1.450% | 5/25/18 | 28,405 | 28,399 |
7 | Siemens Financieringsmaatschappij NV | 2.150% | 5/27/20 | 28,790 | 28,576 |
United Rentals North America Inc. | 4.625% | 7/15/23 | 14,375 | 14,213 | |
United Technologies Corp. | 5.375% | 12/15/17 | 28,015 | 30,623 | |
United Technologies Corp. | 6.125% | 2/1/19 | 33,666 | 38,476 | |
Waste Management Inc. | 2.600% | 9/1/16 | 8,200 | 8,330 | |
Waste Management Inc. | 6.100% | 3/15/18 | 11,725 | 13,070 | |
Communication (4.4%) | |||||
21st Century Fox America Inc. | 7.250% | 5/18/18 | 7,205 | 8,297 | |
21st Century Fox America Inc. | 6.900% | 3/1/19 | 6,840 | 7,945 | |
America Movil SAB de CV | 2.375% | 9/8/16 | 30,209 | 30,575 | |
America Movil SAB de CV | 5.625% | 11/15/17 | 29,869 | 32,544 | |
11 | America Movil SAB de CV | 1.000% | 6/4/18 | 29,300 | 32,488 |
22
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
America Movil SAB de CV | 5.000% | 10/16/19 | 8,810 | 9,696 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 42,094 | 46,564 | |
American Tower Corp. | 4.500% | 1/15/18 | 29,290 | 30,886 | |
American Tower Corp. | 3.400% | 2/15/19 | 16,615 | 17,006 | |
American Tower Corp. | 2.800% | 6/1/20 | 34,200 | 33,855 | |
AT&T Inc. | 2.400% | 8/15/16 | 16,141 | 16,350 | |
AT&T Inc. | 1.600% | 2/15/17 | 14,738 | 14,781 | |
12 | AT&T Inc. | 5.875% | 4/28/17 | 28,800 | 48,031 |
AT&T Inc. | 1.700% | 6/1/17 | 15,250 | 15,305 | |
AT&T Inc. | 1.400% | 12/1/17 | 24,400 | 24,240 | |
AT&T Inc. | 5.500% | 2/1/18 | 50,249 | 54,694 | |
AT&T Inc. | 5.600% | 5/15/18 | 6,038 | 6,640 | |
AT&T Inc. | 5.800% | 2/15/19 | 44,620 | 49,954 | |
AT&T Inc. | 2.300% | 3/11/19 | 9,500 | 9,541 | |
AT&T Inc. | 2.450% | 6/30/20 | 57,750 | 56,709 | |
British Telecommunications plc | 1.250% | 2/14/17 | 14,655 | 14,618 | |
British Telecommunications plc | 2.350% | 2/14/19 | 19,535 | 19,552 | |
CBS Corp. | 1.950% | 7/1/17 | 22,671 | 22,816 | |
CBS Corp. | 4.625% | 5/15/18 | 2,690 | 2,883 | |
CBS Corp. | 2.300% | 8/15/19 | 17,480 | 17,343 | |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 24,479 | 27,675 | |
Comcast Corp. | 6.500% | 1/15/17 | 26,164 | 28,180 | |
Comcast Corp. | 6.300% | 11/15/17 | 12,729 | 14,114 | |
Comcast Corp. | 5.875% | 2/15/18 | 17,672 | 19,612 | |
Comcast Corp. | 5.700% | 5/15/18 | 50,722 | 56,382 | |
Comcast Corp. | 5.700% | 7/1/19 | 36,293 | 41,276 | |
Comcast Corp. | 5.150% | 3/1/20 | 2,407 | 2,704 | |
7 | Deutsche Telekom International Finance BV | 3.125% | 4/11/16 | 21,376 | 21,684 |
7 | Deutsche Telekom International Finance BV | 2.250% | 3/6/17 | 18,870 | 19,095 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 10,804 | 12,329 | |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 11,530 | 13,097 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.500% | 3/1/16 | 32,190 | 32,646 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 2.400% | 3/15/17 | 62,931 | 63,700 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 1.750% | 1/15/18 | 47,725 | 47,377 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 37,260 | 42,074 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 24,582 | 27,066 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 4,762 | 5,056 | |
Embarq Corp. | 7.082% | 6/1/16 | 18,952 | 19,727 | |
Interpublic Group of Cos. Inc. | 2.250% | 11/15/17 | 2,000 | 2,017 | |
7 | KT Corp. | 1.750% | 4/22/17 | 34,185 | 34,132 |
7 | McGraw Hill Financial Inc. | 4.000% | 6/15/25 | 14,295 | 14,425 |
Moody's Corp. | 2.750% | 7/15/19 | 56,407 | 57,275 | |
Moody's Corp. | 5.500% | 9/1/20 | 8,645 | 9,709 | |
NBCUniversal Media LLC | 2.875% | 4/1/16 | 23,134 | 23,467 | |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 50,640 | 56,945 | |
Omnicom Group Inc. | 5.900% | 4/15/16 | 34,830 | 35,949 | |
Omnicom Group Inc. | 6.250% | 7/15/19 | 5,860 | 6,686 | |
Omnicom Group Inc. | 4.450% | 8/15/20 | 31,102 | 33,621 | |
Orange SA | 2.750% | 9/14/16 | 18,127 | 18,423 | |
Orange SA | 2.750% | 2/6/19 | 29,240 | 29,776 | |
Qwest Corp. | 6.500% | 6/1/17 | 9,653 | 10,310 | |
Rogers Communications Inc. | 6.800% | 8/15/18 | 21,753 | 24,752 | |
7 | SES Global Americas Holdings GP | 2.500% | 3/25/19 | 53,705 | 53,272 |
7 | Sky plc | 2.625% | 9/16/19 | 12,200 | 12,157 |
TCI Communications Inc. | 8.750% | 8/1/15 | 9,828 | 9,828 | |
Telecom Italia Capital SA | 5.250% | 10/1/15 | 4,900 | 4,924 | |
Telefonica Emisiones SAU | 3.992% | 2/16/16 | 47,895 | 48,594 | |
Telefonica Emisiones SAU | 6.421% | 6/20/16 | 8,695 | 9,065 | |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 11,382 | 12,326 | |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 23,952 | 24,601 | |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 5,000 | 5,612 | |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 10,250 | 11,319 | |
Thomson Reuters Corp. | 0.875% | 5/23/16 | 13,012 | 12,995 | |
Thomson Reuters Corp. | 1.300% | 2/23/17 | 21,480 | 21,445 |
23
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Thomson Reuters Corp. | 6.500% | 7/15/18 | 27,270 | 30,714 | |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 19,869 | 21,749 | |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 29,200 | 31,107 | |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 76,845 | 85,489 | |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 18,305 | 21,736 | |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 23,445 | 27,599 | |
Verizon Communications Inc. | 2.500% | 9/15/16 | 24,700 | 25,078 | |
Verizon Communications Inc. | 1.350% | 6/9/17 | 69,868 | 69,794 | |
Verizon Communications Inc. | 6.100% | 4/15/18 | 16,606 | 18,416 | |
Verizon Communications Inc. | 3.650% | 9/14/18 | 87,250 | 91,736 | |
Verizon Communications Inc. | 6.350% | 4/1/19 | 24,747 | 28,236 | |
Verizon Communications Inc. | 2.625% | 2/21/20 | 62,087 | 62,032 | |
Verizon Communications Inc. | 4.500% | 9/15/20 | 25,450 | 27,402 | |
Viacom Inc. | 6.250% | 4/30/16 | 13,025 | 13,509 | |
Viacom Inc. | 2.500% | 12/15/16 | 9,880 | 10,012 | |
Viacom Inc. | 6.125% | 10/5/17 | 10,695 | 11,645 | |
Viacom Inc. | 2.500% | 9/1/18 | 13,895 | 14,011 | |
Viacom Inc. | 5.625% | 9/15/19 | 3,195 | 3,566 | |
Vodafone Group plc | 1.250% | 9/26/17 | 21,359 | 21,136 | |
Vodafone Group plc | 5.450% | 6/10/19 | 4,900 | 5,426 | |
Consumer Cyclical (4.4%) | |||||
7 | Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 37,630 | 37,475 |
7 | Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 67,825 | 67,210 |
Amazon.com Inc. | 2.600% | 12/5/19 | 19,535 | 19,739 | |
American Honda Finance Corp. | 1.125% | 10/7/16 | 19,816 | 19,878 | |
American Honda Finance Corp. | 0.950% | 5/5/17 | 15,960 | 15,919 | |
American Honda Finance Corp. | 1.600% | 7/13/18 | 10,770 | 10,761 | |
American Honda Finance Corp. | 2.125% | 10/10/18 | 18,825 | 19,038 | |
American Honda Finance Corp. | 2.250% | 8/15/19 | 41,660 | 42,004 | |
AutoZone Inc. | 7.125% | 8/1/18 | 33,707 | 38,719 | |
AutoZone Inc. | 4.000% | 11/15/20 | 16,040 | 16,973 | |
Brinker International Inc. | 2.600% | 5/15/18 | 26,410 | 26,454 | |
Costco Wholesale Corp. | 5.500% | 3/15/17 | 5,860 | 6,287 | |
Costco Wholesale Corp. | 1.750% | 2/15/20 | 14,650 | 14,508 | |
CVS Health Corp. | 1.900% | 7/20/18 | 24,415 | 24,522 | |
CVS Health Corp. | 2.250% | 12/5/18 | 24,400 | 24,653 | |
CVS Health Corp. | 2.800% | 7/20/20 | 76,575 | 77,299 | |
7 | Daimler Finance North America LLC | 2.950% | 1/11/17 | 16,915 | 17,296 |
7 | Daimler Finance North America LLC | 1.125% | 3/10/17 | 27,650 | 27,510 |
7 | Daimler Finance North America LLC | 2.400% | 4/10/17 | 9,740 | 9,884 |
7 | Daimler Finance North America LLC | 1.375% | 8/1/17 | 19,525 | 19,444 |
7 | Daimler Finance North America LLC | 1.875% | 1/11/18 | 5,520 | 5,539 |
7 | Daimler Finance North America LLC | 1.650% | 3/2/18 | 14,035 | 13,980 |
7 | Daimler Finance North America LLC | 1.650% | 5/18/18 | 18,505 | 18,421 |
7 | Daimler Finance North America LLC | 2.375% | 8/1/18 | 38,500 | 38,875 |
7 | Daimler Finance North America LLC | 2.250% | 9/3/19 | 14,645 | 14,563 |
7 | Daimler Finance North America LLC | 2.250% | 3/2/20 | 14,035 | 13,863 |
7 | Daimler Finance North America LLC | 2.450% | 5/18/20 | 14,125 | 14,014 |
Dollar General Corp. | 4.125% | 7/15/17 | 12,850 | 13,366 | |
Dollar General Corp. | 1.875% | 4/15/18 | 9,965 | 9,907 | |
eBay Inc. | 2.200% | 8/1/19 | 19,800 | 19,461 | |
7 | Experian Finance plc | 2.375% | 6/15/17 | 35,430 | 35,631 |
Ford Motor Credit Co. LLC | 4.207% | 4/15/16 | 52,658 | 53,731 | |
Ford Motor Credit Co. LLC | 3.984% | 6/15/16 | 30,550 | 31,205 | |
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 55,625 | 60,320 | |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 9,755 | 10,105 | |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 24,125 | 24,580 | |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 57,191 | 62,292 | |
Ford Motor Credit Co. LLC | 2.145% | 1/9/18 | 29,300 | 29,298 | |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 82,715 | 88,741 | |
Ford Motor Credit Co. LLC | 2.240% | 6/15/18 | 14,650 | 14,619 | |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 19,535 | 19,381 | |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 18,950 | 18,747 |
24
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 19,535 | 19,100 | |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 14,310 | 14,337 | |
General Motors Co. | 3.500% | 10/2/18 | 24,415 | 24,995 | |
General Motors Financial Co. Inc. | 2.625% | 7/10/17 | 19,525 | 19,818 | |
General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 975 | 1,021 | |
General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 64,135 | 64,856 | |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 48,840 | 54,090 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 30,330 | 30,785 | |
General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 39,065 | 38,723 | |
7 | Harley-Davidson Financial Services Inc. | 1.150% | 9/15/15 | 38,887 | 38,906 |
7 | Harley-Davidson Financial Services Inc. | 3.875% | 3/15/16 | 14,640 | 14,904 |
7 | Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 16,094 | 16,442 |
7 | Harley-Davidson Financial Services Inc. | 2.400% | 9/15/19 | 9,765 | 9,881 |
7 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 10,800 | 10,732 |
7 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 3,665 | 4,170 |
Home Depot Inc. | 2.000% | 6/15/19 | 19,525 | 19,673 | |
7 | Hyundai Capital America | 4.000% | 6/8/17 | 10,785 | 11,223 |
7 | Hyundai Capital Services Inc. | 4.375% | 7/27/16 | 8,300 | 8,544 |
7 | Kia Motors Corp. | 3.625% | 6/14/16 | 26,624 | 27,072 |
Lowe's Cos. Inc. | 1.625% | 4/15/17 | 39,826 | 40,238 | |
Lowe's Cos. Inc. | 6.100% | 9/15/17 | 12,582 | 13,819 | |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 15,127 | 16,644 | |
Macy's Retail Holdings Inc. | 5.900% | 12/1/16 | 12,254 | 12,999 | |
Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 6,179 | 6,861 | |
Marriott International Inc. | 6.375% | 6/15/17 | 6,872 | 7,458 | |
Marriott International Inc. | 3.000% | 3/1/19 | 9,760 | 10,022 | |
MasterCard Inc. | 2.000% | 4/1/19 | 12,700 | 12,796 | |
Nordstrom Inc. | 6.250% | 1/15/18 | 24,970 | 27,699 | |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 17,431 | 17,607 | |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 19,025 | 19,185 | |
QVC Inc. | 3.125% | 4/1/19 | 9,770 | 9,749 | |
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 5,250 | 5,379 | |
Staples Inc. | 2.750% | 1/12/18 | 2,770 | 2,801 | |
Starbucks Corp. | 0.875% | 12/5/16 | 4,090 | 4,088 | |
Target Corp. | 2.300% | 6/26/19 | 27,835 | 28,308 | |
TJX Cos. Inc. | 6.950% | 4/15/19 | 13,700 | 16,047 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 25,415 | 25,795 | |
Toyota Motor Credit Corp. | 2.000% | 9/15/16 | 6,069 | 6,149 | |
Toyota Motor Credit Corp. | 2.050% | 1/12/17 | 27,380 | 27,817 | |
Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 27,350 | 27,338 | |
Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 14,740 | 14,724 | |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 20,510 | 20,665 | |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 19,530 | 19,708 | |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 39,540 | 39,734 | |
VF Corp. | 5.950% | 11/1/17 | 5,860 | 6,453 | |
Wal-Mart Stores Inc. | 0.600% | 4/11/16 | 28,886 | 28,908 | |
Wal-Mart Stores Inc. | 2.800% | 4/15/16 | 22,139 | 22,493 | |
Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 20,191 | 21,718 | |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 23,798 | 26,467 | |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 22,940 | 22,884 | |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 8,280 | 8,408 | |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 23,005 | 24,654 | |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 19,080 | 20,106 | |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 1,685 | 1,846 | |
Walgreen Co. | 1.800% | 9/15/17 | 23,321 | 23,700 | |
Walgreen Co. | 5.250% | 1/15/19 | 14,070 | 15,468 | |
12 | Walgreens Boots Alliance Inc. | 2.875% | 11/20/20 | 11,561 | 18,042 |
7 | Wesfarmers Ltd. | 2.983% | 5/18/16 | 48,251 | 49,020 |
7 | Wesfarmers Ltd. | 1.874% | 3/20/18 | 17,250 | 17,232 |
Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 7,800 | 7,922 | |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 6,835 | 6,845 | |
Yum! Brands Inc. | 6.250% | 4/15/16 | 9,285 | 9,616 | |
Yum! Brands Inc. | 6.250% | 3/15/18 | 3,096 | 3,416 |
25
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Consumer Noncyclical (6.4%) | |||||
AbbVie Inc. | 1.750% | 11/6/17 | 36,285 | 36,334 | |
AbbVie Inc. | 1.800% | 5/14/18 | 126,410 | 126,112 | |
AbbVie Inc. | 2.500% | 5/14/20 | 73,150 | 72,772 | |
Actavis Funding SCS | 1.850% | 3/1/17 | 29,461 | 29,505 | |
Actavis Funding SCS | 2.350% | 3/12/18 | 48,961 | 49,210 | |
Actavis Funding SCS | 2.450% | 6/15/19 | 9,765 | 9,714 | |
Actavis Funding SCS | 3.000% | 3/12/20 | 103,408 | 103,700 | |
Actavis Inc. | 1.875% | 10/1/17 | 26,481 | 26,368 | |
Actavis Inc. | 6.125% | 8/15/19 | 9,765 | 11,007 | |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 2,257 | 2,492 | |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 10,435 | 11,460 | |
Allergan Inc. | 5.750% | 4/1/16 | 27,255 | 28,081 | |
Allergan Inc. | 1.350% | 3/15/18 | 7,800 | 7,672 | |
Altria Group Inc. | 4.125% | 9/11/15 | 48,357 | 48,529 | |
Altria Group Inc. | 9.250% | 8/6/19 | 57,579 | 71,958 | |
Altria Group Inc. | 4.750% | 5/5/21 | 29,917 | 32,488 | |
Amgen Inc. | 2.125% | 5/15/17 | 76,632 | 77,701 | |
Amgen Inc. | 5.850% | 6/1/17 | 39,277 | 42,396 | |
Amgen Inc. | 6.150% | 6/1/18 | 4,525 | 5,075 | |
Amgen Inc. | 5.700% | 2/1/19 | 7,895 | 8,865 | |
Amgen Inc. | 2.200% | 5/22/19 | 40,475 | 40,525 | |
Amgen Inc. | 2.125% | 5/1/20 | 20,485 | 20,166 | |
Anheuser-Busch Cos. LLC | 5.050% | 10/15/16 | 4,875 | 5,117 | |
Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 5,275 | 5,649 | |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 8,650 | 9,487 | |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 2,345 | 2,338 | |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 28,710 | 28,907 | |
Anheuser-Busch InBev Worldwide Inc. | 2.875% | 2/15/16 | 17,115 | 17,324 | |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 64,832 | 65,114 | |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 22,450 | 26,589 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 9,850 | 11,147 | |
7 | Baxalta Inc. | 2.000% | 6/22/18 | 9,525 | 9,526 |
7 | Baxalta Inc. | 2.875% | 6/23/20 | 35,775 | 35,839 |
Baxter International Inc. | 5.375% | 6/1/18 | 9,745 | 10,717 | |
7 | Bayer US Finance LLC | 1.500% | 10/6/17 | 19,525 | 19,571 |
7 | Bayer US Finance LLC | 2.375% | 10/8/19 | 58,575 | 59,062 |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 14,600 | 14,584 | |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 9,815 | 9,891 | |
Biogen Inc. | 6.875% | 3/1/18 | 4,880 | 5,497 | |
Boston Scientific Corp. | 2.650% | 10/1/18 | 20,960 | 21,370 | |
Boston Scientific Corp. | 2.850% | 5/15/20 | 14,600 | 14,551 | |
Bottling Group LLC | 5.500% | 4/1/16 | 12,544 | 12,952 | |
Cardinal Health Inc. | 1.900% | 6/15/17 | 6,830 | 6,884 | |
Cardinal Health Inc. | 1.700% | 3/15/18 | 20,540 | 20,473 | |
Cardinal Health Inc. | 1.950% | 6/15/18 | 32,300 | 32,347 | |
7 | Cargill Inc. | 1.900% | 3/1/17 | 26,836 | 27,112 |
7 | Cargill Inc. | 6.000% | 11/27/17 | 12,295 | 13,536 |
11 | Cargill Inc. | 1.875% | 9/4/19 | 9,766 | 11,295 |
Catholic Health Initiatives Colorado GO | 2.600% | 8/1/18 | 2,900 | 2,948 | |
Clorox Co. | 5.950% | 10/15/17 | 4,880 | 5,328 | |
Coca-Cola Co. | 1.650% | 3/14/18 | 6,774 | 6,835 | |
Coca-Cola Co. | 1.150% | 4/1/18 | 14,755 | 14,679 | |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 18,500 | 18,838 | |
ConAgra Foods Inc. | 1.300% | 1/25/16 | 29,250 | 29,267 | |
ConAgra Foods Inc. | 5.819% | 6/15/17 | 2,977 | 3,196 | |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 46,240 | 46,010 | |
ConAgra Foods Inc. | 2.100% | 3/15/18 | 2,811 | 2,797 | |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 3,909 | 4,446 | |
Constellation Brands Inc. | 3.875% | 11/15/19 | 9,750 | 9,982 | |
Constellation Brands Inc. | 3.750% | 5/1/21 | 5,130 | 5,162 | |
Covidien International Finance SA | 6.000% | 10/15/17 | 48,315 | 52,938 | |
CR Bard Inc. | 1.375% | 1/15/18 | 15,595 | 15,427 |
26
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Diageo Capital plc | 1.125% | 4/29/18 | 7,115 | 6,978 | |
Dignity Health California GO | 2.637% | 11/1/19 | 2,000 | 2,032 | |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 24,400 | 24,861 | |
Express Scripts Holding Co. | 2.650% | 2/15/17 | 52,581 | 53,452 | |
General Mills Inc. | 5.700% | 2/15/17 | 9,110 | 9,702 | |
General Mills Inc. | 5.650% | 2/15/19 | 14,700 | 16,484 | |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 24,786 | 25,409 | |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 13,675 | 14,946 | |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 34,340 | 37,263 | |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 16,600 | 18,459 | |
Ingredion Inc. | 1.800% | 9/25/17 | 5,855 | 5,838 | |
7 | JM Smucker Co. | 1.750% | 3/15/18 | 26,400 | 26,415 |
7 | JM Smucker Co. | 2.500% | 3/15/20 | 38,595 | 38,552 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 6,275 | 6,354 | |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 14,240 | 15,917 | |
7 | Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 34,200 | 34,426 |
Kroger Co. | 1.200% | 10/17/16 | 6,840 | 6,835 | |
Kroger Co. | 2.200% | 1/15/17 | 6,895 | 6,976 | |
Kroger Co. | 6.800% | 12/15/18 | 5,950 | 6,832 | |
Kroger Co. | 2.300% | 1/15/19 | 31,250 | 31,513 | |
Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 9,765 | 9,724 | |
11 | Luxottica Group SPA | 3.625% | 3/19/19 | 21,450 | 26,182 |
McKesson Corp. | 0.950% | 12/4/15 | 23,400 | 23,406 | |
McKesson Corp. | 3.250% | 3/1/16 | 16,079 | 16,278 | |
McKesson Corp. | 5.700% | 3/1/17 | 5,675 | 6,052 | |
McKesson Corp. | 2.284% | 3/15/19 | 34,250 | 34,236 | |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 32,695 | 37,103 | |
7 | Medtronic Inc. | 1.500% | 3/15/18 | 28,725 | 28,712 |
7 | Medtronic Inc. | 2.500% | 3/15/20 | 75,710 | 76,218 |
Medtronic Inc. | 4.450% | 3/15/20 | 12,806 | 14,001 | |
7 | Medtronic Inc. | 3.150% | 3/15/22 | 9,750 | 9,780 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 14,231 | 15,817 | |
Mondelez International Inc. | 4.125% | 2/9/16 | 34,462 | 35,046 | |
Mondelez International Inc. | 2.250% | 2/1/19 | 38,795 | 39,009 | |
11 | Mondelez International Inc. | 2.375% | 1/26/21 | 7,984 | 9,320 |
11 | Mondelez International Inc. | 1.000% | 3/7/22 | 29,731 | 31,941 |
Mylan Inc. | 1.800% | 6/24/16 | 31,375 | 31,513 | |
Mylan Inc. | 2.550% | 3/28/19 | 14,340 | 14,256 | |
Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 12,540 | 12,628 | |
Newell Rubbermaid Inc. | 2.875% | 12/1/19 | 9,675 | 9,801 | |
PepsiCo Inc. | 5.000% | 6/1/18 | 13,670 | 14,972 | |
PepsiCo Inc. | 7.900% | 11/1/18 | 13,680 | 16,304 | |
PepsiCo Inc. | 2.250% | 1/7/19 | 7,900 | 8,032 | |
PepsiCo Inc. | 4.500% | 1/15/20 | 20,055 | 21,975 | |
PepsiCo Inc. | 1.850% | 4/30/20 | 43,850 | 43,036 | |
7 | Pernod Ricard SA | 2.950% | 1/15/17 | 58,895 | 59,985 |
7 | Pernod Ricard SA | 4.450% | 1/15/22 | 9,775 | 10,314 |
Perrigo Co. plc | 2.300% | 11/8/18 | 14,645 | 14,607 | |
Pfizer Inc. | 6.200% | 3/15/19 | 53,797 | 61,619 | |
Pharmacia Corp. | 6.500% | 12/1/18 | 8,300 | 9,580 | |
Philip Morris International Inc. | 2.500% | 5/16/16 | 20,635 | 20,934 | |
Philip Morris International Inc. | 1.125% | 8/21/17 | 4,975 | 4,970 | |
Philip Morris International Inc. | 5.650% | 5/16/18 | 19,490 | 21,601 | |
Procter & Gamble Co. | 4.850% | 12/15/15 | 2,925 | 2,971 | |
Procter & Gamble Co. | 4.700% | 2/15/19 | 10,940 | 12,081 | |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 19,535 | 19,797 | |
7 | Reynolds American Inc. | 3.500% | 8/4/16 | 30,285 | 30,938 |
Reynolds American Inc. | 6.750% | 6/15/17 | 10,880 | 11,853 | |
Reynolds American Inc. | 2.300% | 6/12/18 | 28,700 | 28,971 | |
7 | Reynolds American Inc. | 8.125% | 6/23/19 | 20,285 | 24,074 |
Reynolds American Inc. | 3.250% | 6/12/20 | 45,202 | 45,983 | |
7 | Roche Holdings Inc. | 6.000% | 3/1/19 | 22,318 | 25,351 |
7 | Roche Holdings Inc. | 2.250% | 9/30/19 | 29,295 | 29,614 |
Sanofi | 1.250% | 4/10/18 | 48,805 | 48,591 |
27
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
St. Jude Medical Inc. | 2.500% | 1/15/16 | 19,291 | 19,428 | |
Stryker Corp. | 1.300% | 4/1/18 | 11,850 | 11,780 | |
Sutter Health California GO | 1.090% | 8/15/53 | 10,000 | 9,725 | |
7 | Takeda Pharmaceutical Co. Ltd. | 1.625% | 3/17/17 | 57,004 | 57,292 |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 38,645 | 39,109 | |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 11,800 | 12,014 | |
Thermo Fisher Scientific Inc. | 3.200% | 3/1/16 | 19,490 | 19,711 | |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 13,695 | 13,835 | |
Tyson Foods Inc. | 6.600% | 4/1/16 | 38,414 | 39,811 | |
Tyson Foods Inc. | 2.650% | 8/15/19 | 65,403 | 66,039 | |
Tyson Foods Inc. | 4.500% | 6/15/22 | 9,035 | 9,594 | |
Whirlpool Corp. | 6.500% | 6/15/16 | 2,950 | 3,083 | |
Wyeth LLC | 5.500% | 2/15/16 | 9,745 | 10,003 | |
Wyeth LLC | 5.450% | 4/1/17 | 3,270 | 3,507 | |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 19,535 | 19,546 | |
Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 34,220 | 34,122 | |
Zoetis Inc. | 1.875% | 2/1/18 | 3,640 | 3,623 | |
Energy (4.1%) | |||||
Anadarko Petroleum Corp. | 5.950% | 9/15/16 | 35,870 | 37,639 | |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 12,242 | 13,376 | |
BP Capital Markets plc | 3.200% | 3/11/16 | 77,518 | 78,649 | |
BP Capital Markets plc | 2.248% | 11/1/16 | 37,575 | 38,147 | |
BP Capital Markets plc | 1.846% | 5/5/17 | 41,475 | 41,896 | |
BP Capital Markets plc | 1.375% | 11/6/17 | 19,450 | 19,406 | |
BP Capital Markets plc | 1.375% | 5/10/18 | 53,854 | 53,502 | |
BP Capital Markets plc | 2.241% | 9/26/18 | 24,638 | 24,973 | |
9 | BP Capital Markets plc | 4.750% | 11/15/18 | 10,550 | 8,076 |
BP Capital Markets plc | 4.750% | 3/10/19 | 30,289 | 33,215 | |
BP Capital Markets plc | 2.237% | 5/10/19 | 24,500 | 24,704 | |
BP Capital Markets plc | 2.315% | 2/13/20 | 53,650 | 53,741 | |
Canadian Natural Resources Ltd. | 1.750% | 1/15/18 | 9,750 | 9,686 | |
Cenovus Energy Inc. | 5.700% | 10/15/19 | 24,325 | 27,165 | |
Chevron Corp. | 1.345% | 11/15/17 | 24,565 | 24,607 | |
Chevron Corp. | 1.104% | 12/5/17 | 13,700 | 13,639 | |
Chevron Corp. | 1.365% | 3/2/18 | 28,485 | 28,433 | |
Chevron Corp. | 1.718% | 6/24/18 | 29,300 | 29,482 | |
Chevron Corp. | 1.961% | 3/3/20 | 25,185 | 25,016 | |
Chevron Corp. | 2.427% | 6/24/20 | 25,000 | 25,278 | |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 34,080 | 35,960 | |
ConocoPhillips Co. | 2.200% | 5/15/20 | 12,580 | 12,543 | |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 21,500 | 21,681 | |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 12,700 | 12,666 | |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 10,283 | 10,946 | |
7 | Enable Midstream Partners LP | 2.400% | 5/15/19 | 19,530 | 18,645 |
4 | Enbridge Energy Partners LP | 8.050% | 10/1/77 | 1,860 | 1,897 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 19,467 | 20,636 | |
Energy Transfer Partners LP | 2.500% | 6/15/18 | 19,050 | 19,072 | |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 40,929 | 45,501 | |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 22,450 | 23,041 | |
Ensco plc | 4.700% | 3/15/21 | 13,180 | 12,928 | |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 24,325 | 24,287 | |
EOG Resources Inc. | 5.875% | 9/15/17 | 2,950 | 3,223 | |
EOG Resources Inc. | 5.625% | 6/1/19 | 6,611 | 7,445 | |
EOG Resources Inc. | 4.400% | 6/1/20 | 28,540 | 31,253 | |
EOG Resources Inc. | 2.625% | 3/15/23 | 8,571 | 8,276 | |
Exxon Mobil Corp. | 1.912% | 3/6/20 | 29,700 | 29,527 | |
7 | GS Caltex Corp. | 5.500% | 10/15/15 | 14,165 | 14,283 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/16 | 16,018 | 16,217 | |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 15,818 | 16,778 | |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 19,173 | 20,799 | |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 18,525 | 18,266 | |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 17,870 | 20,216 | |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 23,460 | 25,507 |
28
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Kinder Morgan Inc. | 7.250% | 6/1/18 | 14,650 | 16,418 | |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 30,610 | 30,345 | |
Marathon Oil Corp. | 0.900% | 11/1/15 | 12,630 | 12,622 | |
Marathon Oil Corp. | 5.900% | 3/15/18 | 13,565 | 14,822 | |
Marathon Oil Corp. | 2.700% | 6/1/20 | 32,070 | 31,818 | |
Nabors Industries Inc. | 2.350% | 9/15/16 | 16,600 | 16,553 | |
Nabors Industries Inc. | 6.150% | 2/15/18 | 19,540 | 20,793 | |
Noble Holding International Ltd. | 3.450% | 8/1/15 | 7,581 | 7,581 | |
Noble Holding International Ltd. | 3.050% | 3/1/16 | 16,130 | 16,250 | |
Occidental Petroleum Corp. | 1.750% | 2/15/17 | 93,490 | 94,212 | |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 50,620 | 50,461 | |
ONEOK Partners LP | 3.200% | 9/15/18 | 11,720 | 11,880 | |
ONEOK Partners LP | 8.625% | 3/1/19 | 7,940 | 9,408 | |
Petro-Canada | 6.050% | 5/15/18 | 4,885 | 5,421 | |
Phillips 66 | 2.950% | 5/1/17 | 42,140 | 43,215 | |
Pioneer Natural Resources Co. | 6.650% | 3/15/17 | 4,880 | 5,245 | |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 12,710 | 14,127 | |
Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 9,640 | 10,409 | |
Pride International Inc. | 8.500% | 6/15/19 | 7,750 | 9,002 | |
Pride International Inc. | 6.875% | 8/15/20 | 11,625 | 13,029 | |
Shell International Finance BV | 5.200% | 3/22/17 | 14,225 | 15,156 | |
Shell International Finance BV | 1.125% | 8/21/17 | 6,900 | 6,890 | |
Shell International Finance BV | 1.900% | 8/10/18 | 9,775 | 9,860 | |
Shell International Finance BV | 2.000% | 11/15/18 | 15,675 | 15,837 | |
Shell International Finance BV | 4.300% | 9/22/19 | 9,750 | 10,597 | |
Shell International Finance BV | 2.125% | 5/11/20 | 63,500 | 63,475 | |
7 | Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 11,453 | 12,131 |
Southern Natural Gas Co. LLC / Southern Natural | |||||
Issuing Corp. | 4.400% | 6/15/21 | 6,395 | 6,637 | |
Southwestern Energy Co. | 3.300% | 1/23/18 | 10,600 | 10,741 | |
Southwestern Energy Co. | 7.500% | 2/1/18 | 23,180 | 25,556 | |
Southwestern Energy Co. | 4.050% | 1/23/20 | 52,635 | 53,418 | |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,770 | 9,989 | |
Suncor Energy Inc. | 6.100% | 6/1/18 | 12,721 | 14,183 | |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 43,977 | 44,022 | |
Total Capital International SA | 1.500% | 2/17/17 | 28,278 | 28,466 | |
Total Capital International SA | 1.550% | 6/28/17 | 17,925 | 18,045 | |
Total Capital International SA | 2.125% | 1/10/19 | 39,500 | 39,881 | |
Total Capital International SA | 2.100% | 6/19/19 | 14,600 | 14,739 | |
Total Capital SA | 2.125% | 8/10/18 | 11,627 | 11,774 | |
4 | TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 5,060 | 4,700 |
Transocean Inc. | 5.550% | 12/15/16 | 60,726 | 61,409 | |
Transocean Inc. | 3.000% | 10/15/17 | 65,947 | 61,990 | |
Transocean Inc. | 6.000% | 3/15/18 | 19,535 | 18,925 | |
Valero Energy Corp. | 6.125% | 6/15/17 | 9,010 | 9,744 | |
Weatherford International LLC | 6.350% | 6/15/17 | 13,005 | 13,713 | |
Weatherford International Ltd. | 5.500% | 2/15/16 | 9,760 | 9,941 | |
Weatherford International Ltd. | 6.000% | 3/15/18 | 10,655 | 11,176 | |
Weatherford International Ltd. | 5.125% | 9/15/20 | 11,700 | 11,267 | |
Western Gas Partners LP | 2.600% | 8/15/18 | 6,840 | 6,840 | |
Williams Partners LP | 3.600% | 3/15/22 | 20,500 | 19,814 | |
7 | Woodside Finance Ltd. | 8.750% | 3/1/19 | 15,850 | 18,895 |
Other Industrial (0.1%) | |||||
11 | G4S International Finance plc | 2.625% | 12/6/18 | 10,777 | 12,510 |
7 | Hutchison Whampoa International 09 Ltd. | 7.625% | 4/9/19 | 30,700 | 36,309 |
7 | Hutchison Whampoa International 14 Ltd. | 1.625% | 10/31/17 | 35,955 | 35,814 |
Technology (3.0%) | |||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 20,025 | 22,020 | |
Altera Corp. | 1.750% | 5/15/17 | 7,375 | 7,415 | |
Altera Corp. | 2.500% | 11/15/18 | 50,990 | 51,863 | |
Amphenol Corp. | 2.550% | 1/30/19 | 9,127 | 9,238 | |
Apple Inc. | 0.900% | 5/12/17 | 17,765 | 17,756 | |
Apple Inc. | 1.000% | 5/3/18 | 29,410 | 29,112 |
29
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2015 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Apple Inc. | 2.100% | 5/6/19 | 61,365 | 62,084 |
Apple Inc. | 1.550% | 2/7/20 | 19,535 | 19,187 |
Apple Inc. | 2.000% | 5/6/20 | 25,650 | 25,551 |
Apple Inc. | 2.850% | 5/6/21 | 37,000 | 37,500 |
Applied Materials Inc. | 2.650% | 6/15/16 | 9,800 | 9,945 |
Autodesk Inc. | 3.125% | 6/15/20 | 24,415 | 24,556 |
Baidu Inc. | 2.250% | 11/28/17 | 16,615 | 16,664 |
Baidu Inc. | 3.250% | 8/6/18 | 31,200 | 31,906 |
Baidu Inc. | 2.750% | 6/9/19 | 17,575 | 17,547 |
CA Inc. | 3.600% | 8/1/20 | 10,730 | 10,779 |
Cisco Systems Inc. | 1.650% | 6/15/18 | 19,345 | 19,427 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 40,890 | 45,206 |
Cisco Systems Inc. | 2.125% | 3/1/19 | 34,564 | 34,932 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 27,210 | 29,758 |
Cisco Systems Inc. | 2.450% | 6/15/20 | 24,420 | 24,671 |
Computer Sciences Corp. | 2.500% | 9/15/15 | 14,630 | 14,657 |
Computer Sciences Corp. | 6.500% | 3/15/18 | 21,220 | 23,478 |
Corning Inc. | 1.450% | 11/15/17 | 19,705 | 19,662 |
Corning Inc. | 1.500% | 5/8/18 | 27,985 | 27,934 |
Corning Inc. | 6.625% | 5/15/19 | 5,575 | 6,463 |
EMC Corp. | 1.875% | 6/1/18 | 16,210 | 16,276 |
EMC Corp. | 2.650% | 6/1/20 | 12,165 | 12,283 |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 11,230 | 11,192 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 3,015 | 3,007 |
Fiserv Inc. | 2.700% | 6/1/20 | 12,151 | 12,153 |
Hewlett-Packard Co. | 2.125% | 9/13/15 | 14,010 | 14,032 |
Hewlett-Packard Co. | 2.200% | 12/1/15 | 10,232 | 10,276 |
Hewlett-Packard Co. | 2.650% | 6/1/16 | 25,208 | 25,511 |
Hewlett-Packard Co. | 3.000% | 9/15/16 | 73,977 | 75,295 |
Hewlett-Packard Co. | 3.300% | 12/9/16 | 24,852 | 25,442 |
Hewlett-Packard Co. | 5.400% | 3/1/17 | 12,791 | 13,551 |
Hewlett-Packard Co. | 2.600% | 9/15/17 | 36,000 | 36,588 |
Hewlett-Packard Co. | 5.500% | 3/1/18 | 7,330 | 8,016 |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 16,760 | 16,966 |
Intel Corp. | 1.950% | 10/1/16 | 7,566 | 7,670 |
Intel Corp. | 1.350% | 12/15/17 | 78,638 | 78,569 |
Intel Corp. | 2.450% | 7/29/20 | 13,600 | 13,679 |
Intel Corp. | 3.300% | 10/1/21 | 7,815 | 8,068 |
International Business Machines Corp. | 1.250% | 2/6/17 | 19,600 | 19,694 |
International Business Machines Corp. | 5.700% | 9/14/17 | 25,910 | 28,303 |
International Business Machines Corp. | 1.250% | 2/8/18 | 9,700 | 9,684 |
International Business Machines Corp. | 7.625% | 10/15/18 | 6,040 | 7,144 |
International Business Machines Corp. | 1.950% | 2/12/19 | 26,865 | 27,033 |
KLA-Tencor Corp. | 2.375% | 11/1/17 | 13,845 | 13,965 |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 3,625 | 3,701 |
Lam Research Corp. | 2.750% | 3/15/20 | 24,420 | 24,330 |
Oracle Corp. | 1.200% | 10/15/17 | 27,305 | 27,283 |
Oracle Corp. | 5.750% | 4/15/18 | 16,818 | 18,681 |
Oracle Corp. | 2.375% | 1/15/19 | 53,488 | 54,501 |
Oracle Corp. | 5.000% | 7/8/19 | 13,670 | 15,229 |
Oracle Corp. | 2.250% | 10/8/19 | 94,586 | 95,280 |
Oracle Corp. | 2.800% | 7/8/21 | 31,730 | 31,997 |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 687 | 740 |
Pitney Bowes Inc. | 5.600% | 3/15/18 | 4,880 | 5,290 |
QUALCOMM Inc. | 1.400% | 5/18/18 | 17,690 | 17,514 |
QUALCOMM Inc. | 2.250% | 5/20/20 | 16,035 | 15,815 |
Seagate HDD Cayman | 3.750% | 11/15/18 | 29,275 | 30,300 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 5,355 | 5,912 |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 14,650 | 14,796 |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 18,380 | 18,432 |
Xerox Corp. | 5.625% | 12/15/19 | 15,675 | 17,470 |
Xerox Corp. | 2.750% | 9/1/20 | 14,655 | 14,507 |
Xilinx Inc. | 2.125% | 3/15/19 | 31,415 | 31,523 |
30
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Transportation (1.2%) | |||||
4,7 | AA Aircraft Financing 2013-1 LLC | 6.500% | 11/1/17 | 18,276 | 18,642 |
4,7 | American Airlines 2013-2 Class A Pass Through Trust | 3.596% | 11/1/19 | 29,516 | 30,106 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 15,930 | 17,358 | |
Canadian National Railway Co. | 5.550% | 3/1/19 | 3,810 | 4,279 | |
Canadian National Railway Co. | 2.850% | 12/15/21 | 8,250 | 8,383 | |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 14,710 | 16,571 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 8,325 | 9,816 | |
4 | Continental Airlines 1997-4 Class A Pass Through Trust | 6.900% | 7/2/19 | 3,931 | 4,103 |
4 | Continental Airlines 1998-1 Class A Pass Through Trust | 6.648% | 3/15/19 | 1,582 | 1,638 |
4 | Continental Airlines 1998-1 Class B Pass Through Trust | 6.748% | 9/15/18 | 3,585 | 3,773 |
4 | Continental Airlines 1999-1 Class B Pass Through Trust | 6.795% | 2/2/20 | 842 | 872 |
4 | Continental Airlines 2000-1 Class A-1 Pass Through | ||||
Trust | 8.048% | 11/1/20 | 3,992 | 4,521 | |
4 | Continental Airlines 2005-ERJ1 Pass Through Trust | 9.798% | 10/1/22 | 14,329 | 15,797 |
4 | Continental Airlines 2012-2 Class B Pass Through Trust | 5.500% | 4/29/22 | 2,905 | 3,014 |
CSX Corp. | 6.250% | 3/15/18 | 30,078 | 33,618 | |
4,13 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718% | 7/2/24 | 16,106 | 18,280 |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 24,704 | 28,193 |
4 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 10,188 | 11,066 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 2,545 | 2,685 |
7 | ERAC USA Finance LLC | 1.400% | 4/15/16 | 8,717 | 8,727 |
7 | ERAC USA Finance LLC | 6.375% | 10/15/17 | 11,112 | 12,204 |
7 | ERAC USA Finance LLC | 2.800% | 11/1/18 | 16,645 | 16,998 |
7 | ERAC USA Finance LLC | 2.350% | 10/15/19 | 11,715 | 11,680 |
4 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 7,510 | 7,397 | |
7 | HPHT Finance 15 Ltd. | 2.250% | 3/17/18 | 29,305 | 29,174 |
JB Hunt Transport Services Inc. | 3.375% | 9/15/15 | 16,590 | 16,638 | |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 5,100 | 5,139 | |
4,6,13 | JetBlue Airways 2004-2 G-2 Pass Through Trust | 0.724% | 5/15/18 | 9,655 | 9,510 |
4 | Northwest Airlines 2007-1 Class B Pass Through Trust | 8.028% | 11/1/17 | 23,420 | 25,879 |
Ryder System Inc. | 7.200% | 9/1/15 | 10,820 | 10,871 | |
Ryder System Inc. | 5.850% | 11/1/16 | 8,440 | 8,897 | |
Ryder System Inc. | 2.500% | 3/1/17 | 12,635 | 12,831 | |
Ryder System Inc. | 2.450% | 11/15/18 | 5,850 | 5,936 | |
Ryder System Inc. | 2.350% | 2/26/19 | 7,499 | 7,526 | |
Ryder System Inc. | 2.550% | 6/1/19 | 6,840 | 6,866 | |
Ryder System Inc. | 2.650% | 3/2/20 | 14,650 | 14,657 | |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 5,044 | 5,674 |
4 | Spirit Airlines 2015-1 Pass Through Trust B | 4.450% | 10/1/25 | 14,650 | 14,613 |
4,7 | UAL 2009-2B Pass Through Trust | 12.000% | 7/15/17 | 2,544 | 2,637 |
Union Pacific Corp. | 5.750% | 11/15/17 | 9,624 | 10,578 | |
Union Pacific Corp. | 5.700% | 8/15/18 | 28,989 | 32,573 | |
Union Pacific Corp. | 2.250% | 2/15/19 | 15,645 | 15,871 | |
Union Pacific Corp. | 1.800% | 2/1/20 | 8,400 | 8,269 | |
Union Pacific Corp. | 2.250% | 6/19/20 | 29,305 | 29,473 | |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 6,335 | 6,652 | |
United Parcel Service Inc. | 5.125% | 4/1/19 | 50,822 | 56,744 | |
United Parcel Service of America Inc. | 8.375% | 4/1/20 | 32,757 | 41,734 | |
15,250,370 | |||||
Utilities (4.1%) | |||||
Electric (3.7%) | |||||
Ameren Illinois Co. | 6.125% | 11/15/17 | 6,810 | 7,534 | |
Ameren Illinois Co. | 6.250% | 4/1/18 | 4,690 | 5,221 | |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 35,350 | 35,311 | |
Appalachian Power Co. | 5.000% | 6/1/17 | 5,605 | 5,950 | |
Arizona Public Service Co. | 6.250% | 8/1/16 | 3,892 | 4,095 | |
Arizona Public Service Co. | 8.750% | 3/1/19 | 14,605 | 17,888 | |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 6,756 | 7,123 | |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 44,840 | 49,538 | |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 39,110 | 39,324 | |
Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 17,600 | 17,611 |
31
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | �� | ||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CenterPoint Energy Inc. | 5.950% | 2/1/17 | 21,490 | 22,955 | |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 7,270 | 8,132 | |
CMS Energy Corp. | 6.550% | 7/17/17 | 2,646 | 2,894 | |
CMS Energy Corp. | 5.050% | 2/15/18 | 45,536 | 49,091 | |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 38,233 | 40,176 | |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 34,091 | 34,403 | |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 27,867 | 30,581 | |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 36,085 | 40,046 | |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 6,840 | 6,886 | |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 18,626 | 20,042 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 4,550 | 4,752 | |
Consumers Energy Co. | 5.500% | 8/15/16 | 2,130 | 2,228 | |
Consumers Energy Co. | 5.150% | 2/15/17 | 13,960 | 14,773 | |
Consumers Energy Co. | 5.650% | 9/15/18 | 12,700 | 14,206 | |
Consumers Energy Co. | 6.125% | 3/15/19 | 25,262 | 29,050 | |
Consumers Energy Co. | 6.700% | 9/15/19 | 27,675 | 32,645 | |
DTE Electric Co. | 5.600% | 6/15/18 | 16,931 | 18,788 | |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 25,322 | 27,666 | |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 27,502 | 32,112 | |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 12,615 | 13,845 | |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 4,851 | 5,198 | |
Duke Energy Corp. | 2.100% | 6/15/18 | 10,490 | 10,607 | |
Duke Energy Corp. | 6.250% | 6/15/18 | 21,562 | 24,214 | |
Duke Energy Corp. | 5.050% | 9/15/19 | 12,700 | 14,096 | |
Duke Energy Florida Inc. | 5.800% | 9/15/17 | 11,424 | 12,464 | |
Duke Energy Florida Inc. | 5.650% | 6/15/18 | 39,575 | 43,995 | |
Duke Energy Florida Inc. | 4.550% | 4/1/20 | 18,900 | 20,832 | |
Duke Energy Progress Inc. | 5.250% | 12/15/15 | 14,832 | 15,086 | |
7 | EDP Finance BV | 6.000% | 2/2/18 | 4,880 | 5,232 |
7 | EDP Finance BV | 4.900% | 10/1/19 | 17,314 | 18,125 |
7 | EDP Finance BV | 4.125% | 1/15/20 | 37,745 | 38,344 |
7 | EDP Finance BV | 5.250% | 1/14/21 | 5,405 | 5,718 |
Entergy Corp. | 4.700% | 1/15/17 | 11,695 | 12,143 | |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 1,230 | 1,367 | |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 14,300 | 16,283 | |
Eversource Energy | 1.450% | 5/1/18 | 21,490 | 21,268 | |
Eversource Energy | 4.500% | 11/15/19 | 3,980 | 4,290 | |
Exelon Corp. | 1.550% | 6/9/17 | 23,800 | 23,795 | |
Exelon Corp. | 2.850% | 6/15/20 | 21,460 | 21,553 | |
Exelon Corp. | 3.950% | 6/15/25 | 14,650 | 14,820 | |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 16,105 | 17,557 | |
Exelon Generation Co. LLC | 2.950% | 1/15/20 | 18,560 | 18,664 | |
FirstEnergy Corp. | 2.750% | 3/15/18 | 23,426 | 23,735 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 26,204 | 26,634 | |
7 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 28,370 | 29,061 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 13,790 | 13,610 | |
Florida Power & Light Co. | 3.250% | 6/1/24 | 10,125 | 10,306 | |
4,7 | FPL Energy Marcus Hook LP | 7.590% | 7/10/18 | 16,398 | 17,546 |
Georgia Power Co. | 5.400% | 6/1/18 | 7,815 | 8,625 | |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 13,482 | 14,156 | |
Louisville Gas & Electric Co. | 1.625% | 11/15/15 | 4,826 | 4,840 | |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 14,170 | 15,377 | |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 37,367 | 40,861 | |
National Rural Utilities Cooperative Finance Corp. | 1.900% | 11/1/15 | 12,199 | 12,241 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 3/1/16 | 7,729 | 7,843 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 11,340 | 12,167 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 32,768 | 35,845 | |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 20,513 | 25,913 | |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 27,680 | 27,796 | |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 13,665 | 13,807 | |
National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 29,405 | 29,136 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 31,755 | 31,790 | |
Nevada Power Co. | 6.500% | 5/15/18 | 32,715 | 37,122 | |
Nevada Power Co. | 6.500% | 8/1/18 | 9,683 | 11,017 |
32
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 8,766 | 9,841 | |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 19,530 | 19,435 | |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 29,770 | 30,088 | |
NSTAR Electric Co. | 5.625% | 11/15/17 | 4,930 | 5,393 | |
NV Energy Inc. | 6.250% | 11/15/20 | 12,195 | 14,055 | |
Ohio Power Co. | 6.000% | 6/1/16 | 9,838 | 10,243 | |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 52,634 | 57,289 | |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 25,020 | 29,957 | |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 33,200 | 34,853 | |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 8,790 | 9,443 | |
PacifiCorp | 5.650% | 7/15/18 | 20,566 | 22,841 | |
PacifiCorp | 5.500% | 1/15/19 | 4,630 | 5,186 | |
PacifiCorp | 3.850% | 6/15/21 | 3,900 | 4,173 | |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 5,445 | 5,923 | |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 13,915 | 13,893 | |
Public Service Electric & Gas Co. | 5.300% | 5/1/18 | 2,930 | 3,215 | |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 28,815 | 29,356 | |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 14,020 | 14,356 | |
SCANA Corp. | 4.750% | 5/15/21 | 7,705 | 8,144 | |
Sierra Pacific Power Co. | 6.000% | 5/15/16 | 18,500 | 19,262 | |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 1,125 | 1,256 | |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 12,181 | 14,037 | |
Southern California Edison Co. | 1.125% | 5/1/17 | 6,840 | 6,834 | |
Southern California Edison Co. | 5.500% | 8/15/18 | 5,295 | 5,883 | |
Southern Co. | 2.750% | 6/15/20 | 36,610 | 36,670 | |
Southwestern Electric Power Co. | 5.550% | 1/15/17 | 2,010 | 2,126 | |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 10,080 | 11,103 | |
Tampa Electric Co. | 6.100% | 5/15/18 | 21,670 | 24,310 | |
TECO Finance Inc. | 6.572% | 11/1/17 | 9,950 | 11,020 | |
Union Electric Co. | 6.400% | 6/15/17 | 14,987 | 16,356 | |
Union Electric Co. | 6.700% | 2/1/19 | 16,542 | 19,213 | |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 5,992 | 6,606 | |
Xcel Energy Inc. | 1.200% | 6/1/17 | 14,355 | 14,353 | |
Natural Gas (0.4%) | |||||
11 | 2i Rete Gas SPA | 1.750% | 7/16/19 | 23,545 | 26,700 |
Atmos Energy Corp. | 8.500% | 3/15/19 | 9,760 | 11,854 | |
Sempra Energy | 6.500% | 6/1/16 | 77,159 | 80,573 | |
Sempra Energy | 2.300% | 4/1/17 | 36,630 | 37,108 | |
Sempra Energy | 6.150% | 6/15/18 | 13,585 | 15,226 | |
Sempra Energy | 2.400% | 3/15/20 | 10,265 | 10,200 | |
Other Utility (0.0%) | |||||
American Water Capital Corp. | 6.085% | 10/15/17 | 9,357 | 10,267 | |
2,158,586 | |||||
Total Corporate Bonds (Cost $32,885,500) | 32,885,298 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (7.1%) | |||||
Abu Dhabi National Energy Co. PJSC | 4.125% | 3/13/17 | 4,077 | 4,225 | |
7 | Banco de Costa Rica | 5.250% | 8/12/18 | 4,800 | 4,915 |
7 | Banco del Estado de Chile | 2.000% | 11/9/17 | 6,200 | 6,217 |
7 | Banco del Estado de Chile | 3.875% | 2/8/22 | 2,000 | 2,068 |
7 | Banco do Nordeste do Brasil SA | 3.625% | 11/9/15 | 2,000 | 2,007 |
7 | Banco Latinoamericano de Comercio Exterior SA | 3.750% | 4/4/17 | 8,750 | 8,990 |
Banco Latinoamericano de Comercio Exterior SA | 3.750% | 4/4/17 | 28,235 | 29,040 | |
7 | Banco Nacional de Desenvolvimento Economico e | ||||
Social | 3.375% | 9/26/16 | 6,400 | 6,432 | |
7 | Bank Nederlandse Gemeenten | 0.875% | 2/21/17 | 23,500 | 23,506 |
7 | Bank Nederlandse Gemeenten | 2.500% | 1/23/23 | 2,450 | 2,486 |
7 | Bermuda | 4.138% | 1/3/23 | 6,000 | 6,034 |
7 | Bermuda | 4.854% | 2/6/24 | 5,800 | 6,095 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.125% | 1/30/17 | 3,000 | 3,018 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.375% | 1/29/18 | 4,875 | 4,912 |
7 | Caixa Economica Federal | 2.375% | 11/6/17 | 12,375 | 11,911 |
33
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 24,580 | 25,067 |
7 | Centrais Eletricas Brasileiras SA | 7.750% | 11/30/15 | 2,250 | 2,284 |
Centrais Eletricas Brasileiras SA | 5.750% | 10/27/21 | 10,800 | 9,517 | |
7 | CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,800 | 1,823 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 4,000 | 3,970 | |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 38,025 | 38,013 | |
7 | CNPC General Capital Ltd. | 1.450% | 4/16/16 | 2,000 | 2,002 |
7 | CNPC General Capital Ltd. | 2.750% | 4/19/17 | 4,875 | 4,939 |
7 | CNPC General Capital Ltd. | 2.750% | 5/14/19 | 9,765 | 9,781 |
7 | CNPC HK Overseas Capital Ltd. | 3.125% | 4/28/16 | 5,000 | 5,064 |
Corp . Andina de Fomento | 1.500% | 8/8/17 | 8,790 | 8,822 | |
Corp. Andina de Fomento | 3.750% | 1/15/16 | 74,569 | 75,593 | |
Corp. Andina de Fomento | 5.750% | 1/12/17 | 8,900 | 9,474 | |
Corp. Andina de Fomento | 7.790% | 3/1/17 | 9,570 | 10,503 | |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 32,912 | 35,789 | |
Corp. Financiera de Desarrollo SA | 3.250% | 7/15/19 | 2,000 | 2,000 | |
7 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 4,825 | 5,024 |
7 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 15,796 | 16,086 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 2,800 | 2,834 | |
7 | Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 19,525 | 18,582 |
Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 1,200 | 1,132 | |
7 | Corp. Nacional del Cobre de Chile | 4.500% | 8/13/23 | 10,800 | 11,215 |
7 | Democratic Socialist Republic of Sri Lanka | 5.125% | 4/11/19 | 3,300 | 3,296 |
14 | Development Bank of Japan Inc. | 2.750% | 3/15/16 | 6,900 | 6,996 |
14 | Development Bank of Japan Inc. | 5.125% | 2/1/17 | 4,800 | 5,100 |
7 | Development Bank of Kazakhstan JSC | 5.500% | 12/20/15 | 2,762 | 2,797 |
Development Bank of Kazakhstan JSC | 5.500% | 12/20/15 | 310 | 314 | |
7,15 | Dexia Credit Local SA | 1.250% | 10/18/16 | 12,700 | 12,756 |
Ecopetrol SA | 7.375% | 9/18/43 | 3,900 | 4,042 | |
Ecopetrol SA | 5.875% | 5/28/45 | 23,770 | 20,662 | |
7 | Electricite de France SA | 1.150% | 1/20/17 | 58,610 | 58,748 |
7 | Electricite de France SA | 2.150% | 1/22/19 | 34,190 | 34,448 |
7 | Electricite de France SA | 6.000% | 1/22/14 | 1,610 | 1,822 |
9 | Emirates NBD PJSC | 5.750% | 5/8/19 | 10,770 | 8,321 |
4,7 | ENA Norte Trust | 4.950% | 4/25/28 | 1,761 | 1,805 |
Eskom Holdings SOC Ltd. | 5.750% | 1/26/21 | 32,800 | 31,816 | |
European Investment Bank | 2.500% | 5/16/16 | 5,000 | 5,083 | |
Export-Import Bank of Korea | 4.125% | 9/9/15 | 33,625 | 33,733 | |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 18,695 | 19,254 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 98,200 | 101,928 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 11,700 | 12,053 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,000 | 2,138 | |
7 | Federation of Malaysia | 2.991% | 7/6/16 | 4,875 | 4,951 |
4 | Federative Republic of Brazil | 8.000% | 1/15/18 | 16,889 | 18,367 |
4 | Federative Republic of Brazil | 11.000% | 8/17/40 | 150,015 | 150,420 |
Federative Republic of Brazil | 5.000% | 1/27/45 | 26,985 | 22,567 | |
Fondo MIVIVIENDA SA | 3.375% | 4/2/19 | 4,850 | 4,911 | |
7 | Fondo MIVIVIENDA SA | 3.375% | 4/2/19 | 19,500 | 19,825 |
Hydro-Quebec | 2.000% | 6/30/16 | 21,750 | 22,064 | |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 14,720 | 14,833 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 15,950 | 16,287 | |
International Bank for Reconstruction & Development | 0.625% | 10/14/16 | 10,000 | 9,999 | |
IPIC GMTN Ltd. | 3.125% | 11/15/15 | 9,750 | 9,820 | |
7 | IPIC GMTN Ltd. | 3.750% | 3/1/17 | 2,850 | 2,957 |
14 | Japan Bank for International Cooperation | 1.875% | 9/24/15 | 60,350 | 60,445 |
14 | Japan Bank for International Cooperation | 2.500% | 1/21/16 | 19,500 | 19,675 |
14 | Japan Bank for International Cooperation | 2.500% | 5/18/16 | 22,000 | 22,344 |
14 | Japan Bank for International Cooperation | 2.250% | 7/13/16 | 34,090 | 34,621 |
14 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 26,800 | 27,140 |
14 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 9,750 | 10,720 |
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 31,776 | 35,867 | |
7 | Kommunalbanken AS | 2.375% | 1/19/16 | 5,875 | 5,930 |
7 | Kommunalbanken AS | 0.875% | 10/3/16 | 9,775 | 9,813 |
7 | Kommunalbanken AS | 1.125% | 5/23/18 | 31,300 | 31,263 |
34
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Korea Development Bank | 4.375% | 8/10/15 | 15,460 | 15,467 | |
Korea Development Bank | 1.000% | 1/22/16 | 4,800 | 4,804 | |
Korea Development Bank | 3.250% | 3/9/16 | 29,606 | 30,010 | |
Korea Development Bank | 4.000% | 9/9/16 | 5,200 | 5,364 | |
Korea Development Bank | 3.250% | 9/20/16 | 9,800 | 10,028 | |
Korea Development Bank | 3.875% | 5/4/17 | 24,125 | 25,078 | |
Korea Development Bank | 2.250% | 8/7/17 | 19,445 | 19,691 | |
Korea Development Bank | 3.500% | 8/22/17 | 22,675 | 23,552 | |
Korea Development Bank | 1.500% | 1/22/18 | 5,850 | 5,825 | |
7 | Korea Electric Power Corp. | 3.000% | 10/5/15 | 10,800 | 10,838 |
Korea Electric Power Corp. | 3.000% | 10/5/15 | 29,300 | 29,404 | |
7 | Korea Expressway Corp. | 1.625% | 4/28/17 | 9,800 | 9,771 |
Korea Expressway Corp. | 1.625% | 4/28/17 | 9,800 | 9,771 | |
7 | Korea Expressway Corp. | 1.875% | 10/22/17 | 1,000 | 1,003 |
Korea Expressway Corp. | 1.875% | 10/22/17 | 22,630 | 22,680 | |
Korea Gas Corp. | 2.875% | 7/29/18 | 4,800 | 4,925 | |
7 | Korea Hydro & Nuclear Power Co. Ltd. | 3.125% | 9/16/15 | 4,900 | 4,913 |
7 | Korea Land & Housing Corp. | 1.875% | 8/2/17 | 7,000 | 7,019 |
7 | Korea National Oil Corp. | 2.875% | 11/9/15 | 2,900 | 2,916 |
7 | Korea National Oil Corp. | 4.000% | 10/27/16 | 19,201 | 19,839 |
Korea National Oil Corp. | 2.750% | 1/23/19 | 14,650 | 14,906 | |
7 | Korea Resources Corp. | 2.125% | 5/2/18 | 4,675 | 4,688 |
7 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 7,800 | 7,965 |
Majapahit Holding BV | 8.000% | 8/7/19 | 16,600 | 19,189 | |
7 | MDC-GMTN B.V. | 3.750% | 4/20/16 | 6,000 | 6,118 |
North American Development Bank | 2.300% | 10/10/18 | 3,675 | 3,737 | |
North American Development Bank | 2.400% | 10/26/22 | 2,700 | 2,655 | |
7 | OCP SA | 5.625% | 4/25/24 | 8,325 | 8,720 |
16 | Oesterreichische Kontrollbank AG | 1.750% | 10/5/15 | 59,400 | 59,556 |
16 | Oesterreichische Kontrollbank AG | 2.000% | 6/3/16 | 24,350 | 24,663 |
7 | Ooredoo International Finance Ltd. | 3.375% | 10/14/16 | 9,025 | 9,236 |
7 | Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | 4,925 | 4,810 |
7 | Ooredoo International Finance Ltd. | 3.875% | 1/31/28 | 1,800 | 1,737 |
7 | Perusahaan Penerbit SBSN Indonesia II | 4.000% | 11/21/18 | 4,800 | 5,028 |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 4,005 | 2,969 | |
Petrobras International Finance Co. SA | 3.875% | 1/27/16 | 109,305 | 109,168 | |
Petrobras International Finance Co. SA | 5.875% | 3/1/18 | 73,323 | 73,457 | |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 51,055 | 53,127 | |
Petrobras International Finance Co. SA | 6.875% | 1/20/40 | 2,950 | 2,507 | |
Petroleos Mexicanos | 5.750% | 3/1/18 | 118,704 | 129,091 | |
Petroleos Mexicanos | 3.500% | 7/18/18 | 5,000 | 5,173 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 31,155 | 36,554 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 90,850 | 98,431 | |
Petroleos Mexicanos | 4.875% | 1/24/22 | 19,600 | 20,413 | |
Province of Manitoba | 1.300% | 4/3/17 | 32,225 | 32,452 | |
Province of New Brunswick | 2.750% | 6/15/18 | 485 | 504 | |
Province of Ontario | 1.875% | 9/15/15 | 62,047 | 62,166 | |
Province of Ontario | 5.450% | 4/27/16 | 5,000 | 5,183 | |
Province of Ontario | 2.300% | 5/10/16 | 67,725 | 68,691 | |
Province of Ontario | 1.200% | 2/14/18 | 5,200 | 5,191 | |
Province of Ontario | 3.000% | 7/16/18 | 15,905 | 16,629 | |
Province of Ontario | 1.875% | 5/21/20 | 9,770 | 9,775 | |
Quebec | 5.000% | 3/1/16 | 9,750 | 10,011 | |
Quebec | 5.125% | 11/14/16 | 11,000 | 11,580 | |
Quebec | 3.500% | 7/29/20 | 4,750 | 5,102 | |
Quebec | 2.750% | 8/25/21 | 16,785 | 17,302 | |
Quebec | 2.625% | 2/13/23 | 5,150 | 5,220 | |
Quebec | 2.875% | 10/16/24 | 6,750 | 6,880 | |
4,7 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 5,549 | 5,980 |
4 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 8,596 | 9,284 |
4 | Republic of Colombia | 5.000% | 6/15/45 | 10,300 | 9,566 |
Republic of Croatia | 6.250% | 4/27/17 | 42,520 | 44,837 | |
Republic of Hungary | 4.000% | 3/25/19 | 30,950 | 32,234 | |
Republic of Indonesia | 6.875% | 3/9/17 | 4,885 | 5,282 |
35
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Republic of Indonesia | 6.875% | 1/17/18 | 11,463 | 12,781 | |
Republic of Indonesia | 5.875% | 3/13/20 | 51,308 | 57,147 | |
11 | Republic of Indonesia | 3.375% | 7/30/25 | 18,070 | 19,641 |
Republic of Indonesia | 6.625% | 2/17/37 | 11,540 | 12,954 | |
Republic of Italy | 4.750% | 1/25/16 | 45,945 | 46,768 | |
11 | Republic of Italy | 1.050% | 12/1/19 | 31,000 | 34,605 |
Republic of Kazakhstan | 5.125% | 7/21/25 | 25,825 | 25,541 | |
Republic of Kazakhstan | 6.500% | 7/21/45 | 5,600 | 5,551 | |
Republic of Korea | 5.125% | 12/7/16 | 9,750 | 10,297 | |
7 | Republic of Latvia | 5.250% | 2/22/17 | 2,000 | 2,124 |
7 | Republic of Latvia | 2.750% | 1/12/20 | 4,000 | 4,023 |
Republic of Namibia | 5.500% | 11/3/21 | 8,850 | 9,514 | |
Republic of Poland | 6.375% | 7/15/19 | 38,990 | 45,082 | |
Republic of Poland | 5.125% | 4/21/21 | 15,530 | 17,452 | |
Republic of Poland | 5.000% | 3/23/22 | 39,165 | 43,767 | |
Republic of Poland | 4.000% | 1/22/24 | 6,800 | 7,194 | |
Republic of Romania | 4.375% | 8/22/23 | 9,800 | 10,167 | |
7 | Republic of Serbia | 5.250% | 11/21/17 | 1,000 | 1,038 |
Republic of Serbia | 5.250% | 11/21/17 | 4,800 | 4,974 | |
Republic of Slovakia | 4.375% | 5/21/22 | 3,000 | 3,309 | |
7 | Republic of Slovakia | 4.375% | 5/21/22 | 5,500 | 6,010 |
7 | Republic of Slovenia | 5.250% | 2/18/24 | 10,700 | 11,775 |
Republic of Turkey | 7.000% | 9/26/16 | 100,305 | 106,549 | |
Republic of Turkey | 7.500% | 7/14/17 | 149,034 | 164,049 | |
Republic of Turkey | 6.750% | 4/3/18 | 59,060 | 65,084 | |
Republic of Turkey | 7.000% | 3/11/19 | 9,600 | 10,783 | |
Republic of Turkey | 3.250% | 3/23/23 | 7,900 | 7,307 | |
Republic of Turkey | 4.250% | 4/14/26 | 12,735 | 12,076 | |
Republic of Turkey | 4.875% | 4/16/43 | 9,765 | 8,803 | |
4,7 | Rio Oil Finance Trust Series 2014-3 | 6.750% | 1/6/27 | 12,310 | 11,479 |
SABIC Capital II BV | 2.625% | 10/3/18 | 9,600 | 9,708 | |
7 | Saudi Electricity Global Sukuk Co. 3 | 4.000% | 4/8/24 | 16,820 | 17,666 |
7 | Sinopec Group Overseas Development 2012 Ltd. | 2.750% | 5/17/17 | 5,775 | 5,872 |
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 20,200 | 21,044 |
Sinopec Group Overseas Development 2014 Ltd. | 1.750% | 4/10/17 | 2,000 | 1,999 | |
State Bank of India | 4.125% | 8/1/17 | 33,613 | 34,912 | |
State of Israel | 5.500% | 11/9/16 | 4,875 | 5,167 | |
State of Israel | 4.000% | 6/30/22 | 1,900 | 2,052 | |
State of Israel | 3.150% | 6/30/23 | 6,000 | 6,162 | |
7 | State of Qatar | 3.125% | 1/20/17 | 8,000 | 8,260 |
Statoil ASA | 1.800% | 11/23/16 | 5,900 | 5,957 | |
Statoil ASA | 3.125% | 8/17/17 | 8,956 | 9,282 | |
Statoil ASA | 1.200% | 1/17/18 | 21,105 | 20,990 | |
Statoil ASA | 2.250% | 11/8/19 | 19,500 | 19,631 | |
Statoil ASA | 2.900% | 11/8/20 | 10,000 | 10,284 | |
Statoil ASA | 3.150% | 1/23/22 | 2,000 | 2,028 | |
Svensk Exportkredit AB | 1.750% | 10/20/15 | 56,450 | 56,626 | |
Svensk Exportkredit AB | 2.125% | 7/13/16 | 24,400 | 24,773 | |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 4,900 | 4,979 | |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 9,750 | 9,748 | |
7 | Temasek Financial I Ltd. | 4.300% | 10/25/19 | 7,250 | 7,958 |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 4,932 |
7 | Turkiye Halk Bankasi AS | 4.875% | 7/19/17 | 1,800 | 1,850 |
United Mexican States | 5.625% | 1/15/17 | 23,323 | 24,762 | |
United Mexican States | 3.500% | 1/21/21 | 12,200 | 12,484 | |
United Mexican States | 4.000% | 10/2/23 | 11,025 | 11,363 | |
United Mexican States | 5.750% | 10/12/10 | 7,365 | 7,404 | |
Total Sovereign Bonds (Cost $3,785,602) | 3,799,703 | ||||
Taxable Municipal Bonds (0.4%) | |||||
California Department of Water Resources Water | |||||
System Revenue (Central Valley Project) | 1.871% | 12/1/19 | 9,800 | 9,872 | |
California GO | 5.950% | 3/1/18 | 26,110 | 29,044 |
36
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2015 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
California GO | 6.200% | 10/1/19 | 13,650 | 15,930 |
Colorado Housing & Finance Authority Employment | ||||
Compensation Special Assessment Revenue | 1.600% | 5/15/16 | 14,600 | 14,732 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 1.298% | 7/1/16 | 7,800 | 7,831 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.107% | 7/1/18 | 5,350 | 5,395 |
George Washington University District of Columbia GO | 3.485% | 9/15/22 | 4,800 | 4,952 |
Harris County TX Toll Road Revenue | 1.361% | 8/15/17 | 9,750 | 9,777 |
Illinois GO | 4.961% | 3/1/16 | 25,550 | 26,074 |
Illinois GO | 5.365% | 3/1/17 | 16,540 | 17,331 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 1.570% | 1/1/17 | 2,000 | 2,014 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 2.217% | 1/1/19 | 1,850 | 1,875 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
EGSL | 3.220% | 2/1/21 | 29,003 | 29,900 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
ELL | 3.450% | 2/1/22 | 13,800 | 14,322 |
6 Mississippi GO (Nissan North America, Inc. Project) | 0.887% | 11/1/17 | 12,180 | 12,214 |
New York City NY Industrial Development Agency | ||||
Special Facility Revenue (American Airlines Inc. John | ||||
F. Kennedy International Airport Project) | 7.500% | 8/1/16 | 2,385 | 2,458 |
University of California Revenue | 2.054% | 5/15/18 | 3,400 | 3,496 |
University of California Revenue | 1.745% | 5/15/19 | 6,250 | 6,287 |
Total Taxable Municipal Bonds (Cost $209,330) | 213,504 | |||
Tax-Exempt Municipal Bonds (0.0%) | ||||
Calhoun County TX Navigation Industrial Development | ||||
Authority Port Revenue (BP plc) VRDO (Cost | ||||
$10,000) | 0.050% | 8/7/15 | 10,000 | 10,000 |
Shares | ||||
Convertible Preferred Stocks (0.0%) | ||||
10 Lehman Brothers Holdings Inc. Pfd. (Cost $28,923) | 29,160 | — | ||
Temporary Cash Investment (0.4%) | ||||
Money Market Fund (0.4%) | ||||
17 Vanguard Market Liquidity Fund (Cost | ||||
$205,523) | 0.152% | 205,523,000 | 205,523 | |
Total Investments (99.7%) (Cost $53,036,377) | 53,066,209 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $127.00 | 8/21/15 | 876 | (780) | |
Call Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $128.00 | 8/21/15 | 1,579 | (642) | |
Call Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $127.50 | 8/21/15 | 877 | (534) | |
Call Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $128.50 | 8/21/15 | 267 | (67) | |
Put Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $126.00 | 8/21/15 | 877 | (151) | |
Put Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $125.50 | 8/21/15 | 1,230 | (115) | |
Put Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $125.00 | 8/21/15 | 876 | (55) | |
Total Liability for Options Written (Premiums received $2,230) | (2,344) | |||
Other Assets and Liabilities—Net (0.3%) | 183,962 | |||
Net Assets (100%) | 53,247,827 |
37
Vanguard® Short-Term Investment-Grade Fund
Schedule of Investments
July 31, 2015
1 Securities with a value of $11,346,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap
contracts.
2 Securities with a value of $8,273,000 have been segregated as initial margin for open cleared swap contracts.
3 Securities with a value of $18,505,000 have been segregated as initial margin for open futures contracts.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal
Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
6 Adjustable-rate security.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $6,718,589,000,
representing 12.6% of net assets.
8 Security made only partial principal and/or interest payments during the period ended July 31, 2015.
9 Face amount denominated in Australian dollars.
10 Non-income-producing security--security in default.
11 Face amount denominated in Euro.
12 Face amount denominated in British pounds.
13 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
14 Guaranteed by the Government of Japan.
15 Guaranteed by multiple countries.
16 Guaranteed by the Republic of Austria.
17 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
± Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
VRDO—Variable Rate Demand Obligation.
38
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (6.9%) | |||||
U.S. Government Securities (6.9%) | |||||
United States Treasury Note/Bond | 0.500% | 9/30/16 | 315 | 315 | |
United States Treasury Note/Bond | 0.375% | 10/31/16 | 500 | 500 | |
United States Treasury Note/Bond | 0.500% | 11/30/16 | 5,250 | 5,252 | |
1,2 | United States Treasury Note/Bond | 0.750% | 1/15/17 | 90,500 | 90,811 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 22,500 | 22,447 | |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 73,610 | 73,794 | |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 70,250 | 70,404 | |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 71,000 | 71,344 | |
2 | United States Treasury Note/Bond | 0.875% | 1/15/18 | 164,950 | 165,130 |
3 | United States Treasury Note/Bond | 2.875% | 3/31/18 | 15,000 | 15,783 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 144,250 | 143,641 | |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 100,450 | 100,921 | |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 445,750 | 444,426 | |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 6,395 | 6,739 | |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 3,000 | 3,041 | |
1 | United States Treasury Note/Bond | 3.625% | 8/15/19 | 1,530 | 1,668 |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 158,400 | 157,534 | |
1,373,750 | |||||
Nonconventional Mortgage-Backed Securities (0.0%) | |||||
4,5,6 | Freddie Mac Non Gold Pool | 2.375% | 8/1/32 | 446 | 462 |
4,5,6 | Freddie Mac Non Gold Pool | 2.393% | 9/1/32 | 176 | 181 |
643 | |||||
Total U.S. Government and Agency Obligations (Cost $1,372,192) | 1,374,393 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (13.6%) | |||||
5 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 3,000 | 3,001 |
5 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 3,755 | 3,751 |
5 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 4,300 | 4,299 |
5 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 1,545 | 1,545 |
4,5 | Ally Master Owner Trust Series 2010-4 | 1.257% | 8/15/17 | 29,885 | 29,893 |
4,5,7 | Ally Master Owner Trust Series 2010-4 | 1.737% | 8/15/17 | 8,100 | 8,103 |
4,5,7 | Ally Master Owner Trust Series 2010-4 | 2.137% | 8/15/17 | 6,160 | 6,163 |
5 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 2,620 | 2,623 |
4,5 | Ally Master Owner Trust Series 2014-1 | 0.657% | 1/15/19 | 3,050 | 3,051 |
5 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 3,500 | 3,507 |
5 | Ally Master Owner Trust Series 2014-3 | 1.330% | 3/15/19 | 2,400 | 2,406 |
5 | Ally Master Owner Trust Series 2014-5 | 1.600% | 10/15/19 | 10,380 | 10,405 |
4,5 | American Express Credit Account Secured Note Trust | ||||
2008-2 | 1.447% | 9/15/20 | 10,170 | 10,413 | |
4,5 | American Express Credit Account Secured Note Trust | ||||
2012-4 | 0.737% | 5/15/20 | 7,000 | 6,994 | |
4,5,7 | American Homes 4 Rent 2014-SFR1 | 1.250% | 6/17/31 | 1,079 | 1,076 |
4,5,7 | American Homes 4 Rent 2014-SFR1 | 1.600% | 6/17/31 | 970 | 958 |
5,7 | American Homes 4 Rent 2014-SFR2 | 3.786% | 10/17/36 | 4,149 | 4,262 |
5,7 | American Homes 4 Rent 2014-SFR2 | 4.290% | 10/17/36 | 1,060 | 1,089 |
5,7 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 5,147 | 5,249 |
5,7 | American Homes 4 Rent 2015-SFR1 | 3.467% | 4/17/52 | 5,465 | 5,495 |
5,7 | Americold 2010 LLC Trust Series 2010-ART | 4.954% | 1/14/29 | 6,000 | 6,661 |
5,7 | Americold 2010 LLC Trust Series 2010-ART | 6.811% | 1/14/29 | 3,540 | 4,118 |
5 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 720 | 721 |
5 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 3,100 | 3,110 |
5 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 1,500 | 1,516 |
5 | AmeriCredit Automobile Receivables Trust 2013-3 | 3.000% | 7/8/19 | 2,500 | 2,539 |
5 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 1,660 | 1,686 |
5 | AmeriCredit Automobile Receivables Trust 2013-4 | 3.310% | 10/8/19 | 2,230 | 2,276 |
5 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 1,470 | 1,482 |
5 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.860% | 12/9/19 | 1,655 | 1,671 |
5 | AmeriCredit Automobile Receivables Trust 2014-1 | 2.150% | 3/9/20 | 1,000 | 1,001 |
5 | AmeriCredit Automobile Receivables Trust 2014-2 | 2.180% | 6/8/20 | 500 | 501 |
5,7 | AOA 2015-1177 Mortgage Trust | 2.957% | 12/13/29 | 1,330 | 1,344 |
5,7 | Applebee's Funding LLC/IHOP Funding LLC 2014-1 | 4.277% | 9/5/44 | 2,090 | 2,117 |
39
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5,7 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 830 | 828 |
5,7 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 1,665 | 1,665 |
4,5,7 | Arran Residential Mortgages Funding 2010-1 PLC | 1.676% | 5/16/47 | 3,071 | 3,076 |
4,5,7 | Arran Residential Mortgages Funding 2011-1 plc | 1.726% | 11/19/47 | 1,998 | 2,003 |
5,7 | Aventura Mall Trust 2013-AVM | 3.743% | 12/5/32 | 1,370 | 1,454 |
5,7 | Avis Budget Rental Car Funding AESOP LLC 2013-2A | 2.970% | 2/20/20 | 10,300 | 10,551 |
5,7 | Avis Budget Rental Car Funding AESOP LLC 2015-1A | 2.500% | 7/20/21 | 14,310 | 14,318 |
5,7 | Avis Budget Rental Car Funding AESOP LLC 2015-2A | 2.630% | 12/20/21 | 8,115 | 8,136 |
4,5 | BA Credit Card Trust 2014-A1 | 0.567% | 6/15/21 | 18,930 | 18,955 |
5,7 | BAMLL Commercial Mortgage Securities Trust 2012- | ||||
PARK | 2.959% | 12/10/30 | 4,975 | 4,979 | |
5 | Banc of America Commercial Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 2,123 | 2,194 |
5 | Banc of America Commercial Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 4,352 | 4,527 |
5 | Banc of America Commercial Mortgage Trust 2007-2 | 5.562% | 4/10/49 | 3,309 | 3,487 |
5 | Banc of America Commercial Mortgage Trust 2008-1 | 6.171% | 2/10/51 | 5,739 | 6,225 |
5 | Banc of America Commercial Mortgage Trust 2008-1 | 6.215% | 2/10/51 | 19,759 | 21,426 |
4,5,7 | Bank of America Student Loan Trust 2010-1A | 1.095% | 2/25/43 | 9,779 | 9,782 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 4,450 | 4,419 | |
5,7 | Bank of The West Auto Trust 2014-1 | 1.650% | 3/16/20 | 9,400 | 9,449 |
5 | Barclays Dryrock Issuance Trust 2014-3 | 2.410% | 7/15/22 | 15,800 | 16,123 |
5,7 | Beacon Container Finance LLC 2012-1A | 3.720% | 9/20/27 | 2,692 | 2,743 |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2005-PWR9 | 4.943% | 9/11/42 | 318 | 317 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR13 | 5.533% | 9/11/41 | 2,260 | 2,338 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.705% | 6/11/40 | 22,140 | 23,419 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.650% | 6/11/50 | 7,714 | 8,260 | |
5 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.710% | 9/11/42 | 3,822 | 4,096 | |
4,5,7 | BMW Floorplan Master Owner Trust | 0.686% | 7/15/20 | 17,100 | 17,105 |
4,5 | Brazos Higher Education Authority Inc. Series 2005-3 | 0.481% | 6/25/26 | 5,720 | 5,601 |
4,5 | Brazos Higher Education Authority Inc. Series 2010-1 | 1.182% | 5/25/29 | 2,109 | 2,111 |
4,5 | Brazos Higher Education Authority Inc. Series 2011-1 | 1.082% | 2/25/30 | 12,890 | 12,959 |
5 | Cabela's Credit Card Master Note Trust 2015-1A | 2.260% | 3/15/23 | 3,160 | 3,197 |
4,5 | Cabela's Credit Card Master Note Trust 2015-2A | 0.857% | 7/17/23 | 8,920 | 8,926 |
5,7 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 1,813 | 1,822 |
5,7 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 2,722 | 2,734 |
5 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 1,550 | 1,551 |
5 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 1,700 | 1,705 |
5 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 6,485 | 6,650 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 5,020 | 5,039 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 3,400 | 3,423 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 3,045 | 3,086 |
5 | Capital Auto Receivables Asset Trust 2013-4 | 3.220% | 5/20/19 | 1,775 | 1,800 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 2,500 | 2,511 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 650 | 656 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 2.840% | 4/22/19 | 1,000 | 1,017 |
5 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 800 | 816 |
4,5 | Capital One Multi-asset Execution Trust 2007-A5 | 0.227% | 7/15/20 | 18,644 | 18,520 |
4,5 | Capital One Multi-Asset Execution Trust 2014-A3 | 0.567% | 1/18/22 | 5,135 | 5,136 |
5 | Capital One Multi-Asset Execution Trust 2015-A2 | 2.080% | 3/15/23 | 8,780 | 8,833 |
5 | Capital One Multi-asset Execution Trust 2015-A4 | 2.750% | 5/15/25 | 21,700 | 21,944 |
5 | Carmax Auto Owner Trust 2013-3 | 1.910% | 3/15/19 | 2,920 | 2,946 |
5 | Carmax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 1,785 | 1,803 |
5 | Carmax Auto Owner Trust 2014-1 | 1.690% | 8/15/19 | 520 | 520 |
5 | Carmax Auto Owner Trust 2014-1 | 1.930% | 11/15/19 | 970 | 968 |
5 | Carmax Auto Owner Trust 2014-4 | 1.810% | 7/15/20 | 3,850 | 3,864 |
5 | Carmax Auto Owner Trust 2015-1 | 1.830% | 7/15/20 | 11,290 | 11,330 |
5 | CarMax Auto Owner Trust 2015-2 | 1.800% | 3/15/21 | 3,070 | 3,073 |
5 | Carmax Auto Owner Trust 2015-2 | 3.040% | 11/15/21 | 2,010 | 2,013 |
5 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 9,100 | 9,273 |
5,7 | CFCRE Commercial Mortgage Trust 2011-C1 | 5.537% | 4/15/44 | 2,900 | 3,288 |
40
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.574% | 12/15/47 | 5,260 | 6,109 |
4,5 | Chase Issuance Trust 2007-C1 | 0.647% | 4/15/19 | 6,100 | 6,065 |
4,5 | Chase Issuance Trust 2012-A10 | 0.447% | 12/16/19 | 6,000 | 5,990 |
5,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 915 | 917 |
5,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.280% | 7/15/19 | 1,100 | 1,098 |
5,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.930% | 8/17/20 | 1,190 | 1,200 |
5,7 | Chrysler Capital Auto Receivables Trust 2014-AA | 2.280% | 11/15/19 | 2,150 | 2,149 |
5,7 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 2,955 | 2,957 |
4,5 | Citibank Credit Card Issuance Trust 2008-A7 | 1.563% | 5/20/20 | 11,800 | 12,136 |
4,5 | Citibank Credit Card Issuance Trust 2013-A2 | 0.467% | 5/26/20 | 10,000 | 9,977 |
5 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 23,045 | 23,365 |
5 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 6,650 | 6,884 |
5 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,770 | 5,861 |
5,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 2,017 | 2,098 |
5 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 5,650 | 5,712 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 3,300 | 3,435 |
5 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 700 | 747 |
4,5,7 | Citigroup Commercial Mortgage Trust 2014-388G | 0.937% | 6/15/33 | 1,000 | 1,000 |
5 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 230 | 247 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 920 | 959 |
5 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 2,480 | 2,624 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 2,460 | 2,552 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 1,020 | 1,062 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.175% | 7/10/47 | 740 | 763 |
5 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.454% | 7/10/47 | 1,250 | 1,255 |
5 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 5,300 | 5,496 |
5 | Citigroup Commercial Mortgage Trust 2015-GC27 | 2.944% | 2/10/48 | 940 | 946 |
5 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 2,535 | 2,522 |
5 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 7,710 | 8,043 |
5,7 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 5,290 | 5,430 |
5,7 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 4,525 | 4,515 |
4,5,7 | Colony American Homes 2014-1 | 1.400% | 5/17/31 | 2,633 | 2,620 |
4,5,7 | Colony American Homes 2014-1 | 1.600% | 5/17/31 | 1,960 | 1,925 |
4,5,7 | Colony American Homes 2015-1 | 1.386% | 7/17/32 | 3,900 | 3,867 |
4,5,7 | Colony American Homes Single-Family Rental Pass- | ||||
Through Certificates 2014-2 | 1.537% | 7/17/31 | 700 | 690 | |
5 | COMM 15-CR22 Mortgage Trust | 3.309% | 3/10/48 | 4,730 | 4,767 |
5 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 1,928 | 2,009 |
5 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 15,334 | 15,955 |
5 | COMM 2007-C9 Mortgage Trust | 5.796% | 12/10/49 | 3,620 | 3,866 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,700 | 2,776 |
5 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 3,900 | 4,108 |
5 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 6,005 | 6,034 |
5 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 6,215 | 6,252 |
5 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,700 | 2,700 |
5 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 4,800 | 5,149 |
5 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 4,690 | 5,127 |
5 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,400 | 1,473 |
5 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 7,740 | 8,357 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/23 | 6,375 | 6,943 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.754% | 12/10/23 | 855 | 937 |
5 | COMM 2013-CCRE13 Mortgage Trust | 4.754% | 12/10/23 | 1,560 | 1,644 |
5 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 5,000 | 5,253 |
5 | COMM 2013-CCRE9 Mortgage Trust | 4.234% | 7/10/45 | 4,980 | 5,465 |
5 | COMM 2013-CCRE9 Mortgage Trust | 2.972% | 8/10/46 | 1,700 | 1,757 |
5 | COMM 2013-CCRE9 Mortgage Trust | 3.795% | 8/10/46 | 800 | 854 |
5,7 | COMM 2013-CR9 Mortgage Trust | 4.258% | 7/10/45 | 1,600 | 1,630 |
5 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 3,180 | 3,309 |
5,7 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 1,050 | 1,124 |
5 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 585 | 639 |
5 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 3,800 | 3,834 |
5,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 6,500 | 6,507 |
5,7 | COMM 2014-277P Mortgage Trust | 3.611% | 8/10/49 | 6,150 | 6,345 |
5 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 2,890 | 3,016 |
41
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 1,520 | 1,617 |
5 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 2,540 | 2,769 |
5 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 1,650 | 1,703 |
5 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 2,510 | 2,703 |
5 | COMM 2014-CCRE15 Mortgage Trust | 4.426% | 2/10/47 | 1,300 | 1,408 |
5 | COMM 2014-CCRE15 Mortgage Trust | 4.716% | 2/10/47 | 1,600 | 1,755 |
5 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 3,335 | 3,562 |
5 | COMM 2014-CR17 Mortgage Trust | 4.174% | 5/10/47 | 1,290 | 1,370 |
5 | COMM 2014-CR17 Mortgage Trust | 4.736% | 5/10/47 | 1,340 | 1,396 |
5 | COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 1,600 | 1,671 |
5 | COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 3,865 | 4,082 |
5 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 2,270 | 2,406 |
5 | COMM 2014-LC19 Mortgage Trust | 3.040% | 2/10/48 | 470 | 478 |
5 | COMM 2015-CR24 Mortgage Trust | 3.445% | 8/10/55 | 2,000 | 2,060 |
5 | COMM 2015-CR24 Mortgage Trust | 3.696% | 8/10/55 | 5,100 | 5,253 |
5 | Commercial Mortgage Trust 2006-GG7 | 5.819% | 7/10/38 | 23,754 | 24,181 |
7 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 4,300 | 4,338 |
7 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 16,700 | 16,717 |
5,7 | Core Industrial Trust 2015-TEXW | 3.077% | 2/10/34 | 5,580 | 5,682 |
5 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C3 | 5.806% | 6/15/38 | 687 | 698 | |
5 | Credit Suisse Commercial Mortgage Trust Series 2008- | ||||
C1 | 5.973% | 2/15/41 | 3,168 | 3,444 | |
5 | CSAIL Commercial Mortgage Trust 2015-C2 | 3.504% | 6/15/57 | 6,650 | 6,806 |
5,7 | DB Master Finance LL 2015-1 | 3.262% | 2/20/45 | 4,294 | 4,332 |
5 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 40,000 | 39,821 |
4,5 | Discover Card Execution Note Trust 2013-A1 | 0.487% | 8/17/20 | 18,000 | 17,985 |
5 | Discover Card Execution Note Trust 2014-A4 | 2.120% | 12/15/21 | 10,900 | 11,044 |
7 | DNB Boligkreditt AS | 1.450% | 3/21/18 | 3,300 | 3,306 |
5,7 | Drive Auto Receivables Trust 2015-A | 2.280% | 6/17/19 | 4,200 | 4,208 |
5,7 | Drive Auto Receivables Trust 2015-A | 3.060% | 5/17/21 | 2,750 | 2,757 |
5,7 | Drive Auto Receivables Trust 2015-A | 4.120% | 6/15/22 | 2,000 | 2,007 |
5,7 | Drive Auto Receivables Trust 2015-B | 1.300% | 6/15/18 | 2,570 | 2,569 |
5,7 | Drive Auto Receivables Trust 2015-BA | 2.120% | 6/17/19 | 2,480 | 2,478 |
5,7 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 6,040 | 6,019 |
5,7 | Drive Auto Receivables Trust 2015-BA | 3.840% | 7/15/21 | 3,600 | 3,571 |
5,7 | Drive Auto Receivables Trust 2015-C | 2.230% | 9/16/19 | 5,115 | 5,112 |
5,7 | Drive Auto Receivables Trust 2015-C | 3.010% | 5/17/21 | 7,675 | 7,665 |
5,7 | Drive Auto Receivables Trust 2015-C | 4.200% | 9/15/21 | 5,630 | 5,625 |
4,5,7 | Edsouth Indenture No 5 LLC 2015-1 | 0.991% | 10/25/56 | 12,571 | 12,544 |
5,7 | Enterprise Fleet Financing LLC Series 2012-2 | 0.930% | 4/20/18 | 2,058 | 2,058 |
5,7 | Enterprise Fleet Financing LLC Series 2015-1 | 1.740% | 9/20/20 | 17,660 | 17,673 |
5,7 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 7,190 | 7,197 |
4,5 | Fannie Mae Connecticut Avenue Securities 2015-C01 | 1.690% | 2/25/25 | 1,568 | 1,571 |
4,5 | Fannie Mae Connecticut Avenue Securities 2015-C01 | 1.690% | 2/25/25 | 1,575 | 1,576 |
4,5 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.340% | 5/25/25 | 1,989 | 1,985 |
4,5 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.391% | 5/25/25 | 3,743 | 3,732 |
4,5 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.688% | 7/25/25 | 6,370 | 6,387 |
4,5 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.689% | 7/25/25 | 5,100 | 5,110 |
5 | Ford Credit Auto Lease Trust 2013-A | 1.010% | 5/15/16 | 4,000 | 4,000 |
5 | Ford Credit Auto Lease Trust 2013-A | 1.280% | 6/15/16 | 3,050 | 3,050 |
5 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 4,730 | 4,734 |
5 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 3,035 | 3,030 |
5 | Ford Credit Auto Owner Trust 2013-C | 1.680% | 11/15/18 | 2,000 | 2,008 |
5 | Ford Credit Auto Owner Trust 2013-D | 1.540% | 3/15/19 | 2,800 | 2,805 |
5 | Ford Credit Auto Owner Trust 2013-D | 1.720% | 7/15/19 | 2,890 | 2,897 |
5,7 | Ford Credit Auto Owner Trust 2014-1 | 2.260% | 11/15/25 | 4,588 | 4,621 |
5,7 | Ford Credit Auto Owner Trust 2014-1 | 2.410% | 11/15/25 | 1,400 | 1,408 |
5,7 | Ford Credit Auto Owner Trust 2014-2 | 2.310% | 4/15/26 | 10,930 | 10,992 |
5,7 | Ford Credit Auto Owner Trust 2014-2 | 2.510% | 4/15/26 | 1,600 | 1,608 |
5 | Ford Credit Auto Owner Trust 2014-C | 1.560% | 2/15/20 | 2,400 | 2,403 |
5,7 | Ford Credit Auto Owner Trust 2015-1 | 2.120% | 7/15/26 | 6,600 | 6,569 |
5,7 | Ford Credit Auto Owner Trust 2015-2 | 2.440% | 1/15/27 | 26,000 | 26,213 |
5 | Ford Credit Auto Owner Trust 2015-B | 2.040% | 10/15/20 | 5,010 | 5,011 |
42
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-2 | 1.920% | 1/15/19 | 2,000 | 2,020 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.490% | 9/15/19 | 24,203 | 24,236 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.690% | 9/15/19 | 1,600 | 1,605 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 2.140% | 9/15/19 | 1,900 | 1,914 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.370% | 1/15/18 | 5,700 | 5,711 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-1 | 1.820% | 1/15/18 | 2,100 | 2,105 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.100% | 6/15/20 | 670 | 675 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.290% | 6/15/20 | 720 | 722 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.790% | 6/15/20 | 290 | 294 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 1.400% | 2/15/19 | 2,000 | 1,998 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 2.310% | 2/15/21 | 900 | 906 | |
4,5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-2 | 0.687% | 2/15/21 | 6,100 | 6,106 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-4 | 1.400% | 8/15/19 | 14,795 | 14,811 | |
5 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2015-2 | 1.980% | 1/15/22 | 11,758 | 11,778 | |
5,7 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 1,006 | 1,000 |
5,7 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 6,074 | 6,101 |
4,5 | GE Capital Credit Card Master Note Trust Series 2011-2 | 1.187% | 5/15/19 | 10,800 | 10,822 |
5 | GE Capital Credit Card Master Note Trust Series 2012-2 | 2.220% | 1/15/22 | 30,000 | 30,398 |
4,5 | GE Capital Credit Card Master Note Trust Series 2012-3 | 0.637% | 3/15/20 | 39,385 | 39,390 |
5 | GE Capital Credit Card Master Note Trust Series 2012-6 | 1.360% | 8/17/20 | 2,300 | 2,301 |
4,5 | GE Dealer Floorplan Master Note Trust Series 2012-2 | 0.938% | 4/22/19 | 13,000 | 13,037 |
4,5 | GE Dealer Floorplan Master Note Trust Series 2012-4 | 0.628% | 10/20/17 | 10,000 | 10,001 |
4,5 | GE Dealer Floorplan Master Note Trust Series 2014-2 | 0.638% | 10/20/19 | 4,400 | 4,386 |
4,5 | GE Dealer Floorplan Master Note Trust Series 2015-2 | 0.838% | 1/20/22 | 20,920 | 20,794 |
5,7 | GM Financial Leasing Trust 2014-1A | 1.760% | 5/21/18 | 1,700 | 1,707 |
5,7 | GM Financial Leasing Trust 2014-2A | 1.620% | 2/20/18 | 8,000 | 8,033 |
5 | GM Financial Leasing Trust 2015-1 | 1.730% | 6/20/19 | 1,650 | 1,654 |
5 | GM Financial Leasing Trust 2015-2 | 2.420% | 7/22/19 | 2,600 | 2,607 |
5 | GM Financial Leasing Trust 2015-2 | 2.990% | 7/22/19 | 2,320 | 2,327 |
5,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 12,000 | 12,015 |
5,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 2,180 | 2,184 |
5,7 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 18,000 | 18,163 |
4,5,7 | Golden Credit Card Trust 2015-1A | 0.627% | 2/15/20 | 35,000 | 34,967 |
5,7 | Golden Credit Card Trust 2015-2A | 2.020% | 4/15/22 | 13,530 | 13,512 |
5,7 | GRACE 2014-GRCE Mortgage Trust | 3.369% | 6/10/28 | 1,000 | 1,037 |
5,7 | Great America Leasing Receivables 2013-1 | 1.160% | 5/15/18 | 2,500 | 2,502 |
5,7 | Great America Leasing Receivables 2015-1 | 2.020% | 6/21/21 | 1,680 | 1,693 |
5,7 | GS Mortgage Securities Trust 2010-C2 | 5.246% | 12/10/43 | 1,370 | 1,503 |
5,7 | GS Mortgage Securities Trust 2011-GC3 | 5.552% | 3/10/44 | 2,650 | 2,945 |
5,7 | GS Mortgage Securities Trust 2012-ALOHA | 3.551% | 4/10/34 | 4,550 | 4,751 |
5,7 | GS Mortgage Securities Trust 2012-BWTR | 2.954% | 11/5/34 | 7,625 | 7,657 |
5,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,145 |
5 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 2,240 | 2,269 |
5 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 1,550 | 1,589 |
5 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 2,000 | 2,082 |
5 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 800 | 849 |
5 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 6,075 | 6,494 |
5 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 8,070 | 8,557 |
5 | GS Mortgage Securities Trust 2014-GC24 | 4.507% | 9/10/47 | 1,860 | 1,966 |
5 | GS Mortgage Securities Trust 2014-GC24 | 4.528% | 9/10/47 | 2,685 | 2,764 |
43
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 1,050 | 1,087 |
5 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 1,100 | 1,117 |
5 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 2,715 | 2,770 |
5 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 3,200 | 3,296 |
5 | GS Mortgage Securities Trust 2015-GC32 | 4.549% | 7/10/48 | 1,325 | 1,365 |
5 | GS Mortgage Securities Trust 2015-GC32 | 4.559% | 7/10/48 | 580 | 570 |
7 | GTP Acquisition Partners I LLC | 3.482% | 6/16/25 | 9,030 | 8,985 |
5 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 3,500 | 3,493 |
5,7 | Hertz Vehicle Financing LLC 2010-1A | 3.740% | 2/25/17 | 7,930 | 8,003 |
5,7 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 12,280 | 12,608 |
5,7 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 13,350 | 13,282 |
5,7 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 3,120 | 3,115 |
5,7 | Hilton USA Trust 2013-HLT | 3.367% | 11/5/30 | 3,240 | 3,261 |
5,7 | Hilton USA Trust 2013-HLT | 3.714% | 11/5/30 | 1,455 | 1,455 |
5 | Honda Auto Receivables 2014-4 Owner Trust | 1.460% | 10/15/20 | 1,660 | 1,661 |
5,7 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 4,000 | 3,945 |
5,7 | Hyundai Auto Lease Securitization Trust 2014-A | 1.300% | 7/16/18 | 1,900 | 1,899 |
5,7 | Hyundai Auto Lease Securitization Trust 2014-B | 1.540% | 12/17/18 | 550 | 549 |
5,7 | Hyundai Auto Lease Securitization Trust 2015-A | 1.650% | 8/15/19 | 10,880 | 10,930 |
5,7 | Hyundai Auto Lease Securitization Trust 2015-A | 2.070% | 11/15/19 | 7,250 | 7,265 |
5,7 | Hyundai Auto Lease Securitization Trust 2015-B | 2.210% | 5/15/20 | 7,130 | 7,148 |
5 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 1,700 | 1,710 |
5 | Hyundai Auto Receivables Trust 2013-B | 1.450% | 2/15/19 | 1,000 | 1,002 |
5 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 1,200 | 1,216 |
5 | Hyundai Auto Receivables Trust 2013-C | 2.480% | 3/15/19 | 2,350 | 2,382 |
5 | Hyundai Auto Receivables Trust 2013-C | 3.090% | 1/15/20 | 1,900 | 1,947 |
5 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 1,700 | 1,698 |
5 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 1,150 | 1,161 |
5 | Hyundai Auto Receivables Trust 2014-B | 2.100% | 11/15/19 | 2,200 | 2,196 |
4,5,7 | Hyundai Floorplan Master Owner Trust Series 2013-1 | 0.837% | 5/15/18 | 1,400 | 1,401 |
5,7 | Icon Brands Holdings LLC 2012-1 | 4.229% | 1/25/43 | 4,116 | 4,131 |
4 | Illinois Student Assistance Commission Series 2010-1 | 1.345% | 4/25/22 | 6,274 | 6,275 |
4,5,7 | Invitation Homes 2014-SFR1 Trust | 1.686% | 6/17/31 | 4,750 | 4,716 |
4,5,7 | Invitation Homes 2014-SFR2 Trust | 1.288% | 9/17/31 | 2,560 | 2,536 |
4,5,7 | Invitation Homes 2014-SFR2 Trust | 1.788% | 9/17/31 | 700 | 694 |
4,5,7 | Invitation Homes 2015-SFR2 Trust | 1.536% | 6/17/32 | 2,867 | 2,871 |
5,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 6,000 | 6,042 |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP6 | 5.471% | 4/15/43 | 2,854 | 2,902 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 5.905% | 4/15/45 | 3,428 | 3,530 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-C1 | 5.716% | 2/15/51 | 24,832 | 26,358 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.746% | 2/12/51 | 4,403 | 4,701 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP10 | 5.439% | 1/15/49 | 3,256 | 3,425 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.850% | 2/15/51 | 2,447 | 2,610 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C1 | 4.608% | 6/15/43 | 10,030 | 10,542 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 3.616% | 11/15/43 | 1,250 | 1,299 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 4.070% | 11/15/43 | 1,175 | 1,253 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.502% | 11/15/43 | 2,313 | 2,537 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.502% | 11/15/43 | 2,730 | 2,929 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.388% | 2/15/46 | 6,550 | 6,957 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 4,990 | 5,492 |
44
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 5.360% | 2/15/46 | 3,170 | 3,453 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.323% | 8/15/46 | 4,000 | 4,614 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 4,499 | 4,724 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 4,640 | 4,649 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 4,070 | 4,137 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-CIBX | 4.271% | 6/15/45 | 1,350 | 1,445 | |
5,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 5,900 | 5,995 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-LC9 | 2.840% | 12/15/47 | 4,670 | 4,682 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 980 | 1,033 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 290 | 308 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.944% | 12/15/46 | 2,135 | 2,326 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 5.009% | 12/15/46 | 960 | 1,017 | |
5 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 5,378 | 5,394 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 5,000 | 5,254 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.025% | 7/15/45 | 5,000 | 5,294 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.019% | 8/15/46 | 1,300 | 1,344 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 1,400 | 1,483 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.133% | 8/15/46 | 1,630 | 1,765 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 2,300 | 2,374 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 400 | 421 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.927% | 11/15/45 | 1,750 | 1,891 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 5.081% | 11/15/45 | 1,300 | 1,389 | |
5 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 4,070 | 4,417 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.079% | 2/15/47 | 7,000 | 7,510 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.439% | 2/15/47 | 600 | 646 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.810% | 2/15/47 | 2,500 | 2,693 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.810% | 2/15/47 | 1,000 | 1,038 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.428% | 8/15/47 | 680 | 704 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.639% | 11/15/47 | 2,000 | 2,070 | |
5 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.494% | 1/15/48 | 4,130 | 4,216 | |
5 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.559% | 7/15/48 | 7,120 | 7,393 | |
5 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.822% | 7/15/48 | 8,840 | 9,222 |
45
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 4.226% | 7/15/48 | 2,245 | 2,342 | |
4 | Kentucky Higher Education Student Loan Corp. 2013-2 | 0.787% | 9/1/28 | 2,604 | 2,592 |
5,7 | Ladder Capital Commercial Mortgage 2013-GCP | ||||
Mortgage Trust | 3.388% | 5/15/31 | 910 | 945 | |
4,5,7 | Lanark Master Issuer plc 2012-2A | 1.684% | 12/22/54 | 1,462 | 1,467 |
4,5,7 | Lanark Master Issuer plc 2013-1A | 0.784% | 12/22/54 | 3,330 | 3,327 |
5 | LB-UBS Commercial Mortgage Trust 2006-C3 | 5.641% | 3/15/39 | 5,768 | 5,856 |
5 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 2,205 | 2,280 |
5 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 25,211 | 26,206 |
5 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.387% | 2/15/40 | 18,446 | 19,482 |
5 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 15,692 | 16,968 |
5,7 | Macquarie Equipment Funding Trust 2012-A | 0.850% | 10/22/18 | 2,946 | 2,948 |
5,7 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 1,245 | 1,332 |
5,7 | Master Credit Card Trust 2012-2A | 1.970% | 4/21/17 | 1,400 | 1,403 |
5,7 | Master Credit Card Trust 2013-3A | 2.280% | 1/22/18 | 2,100 | 2,101 |
4,5 | MBNA Credit Card Master Note Trust 2004-A3 | 0.447% | 8/16/21 | 27,360 | 27,239 |
5 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.750% | 12/15/21 | 7,780 | 7,771 |
5,7 | Mercedes-Benz Master Owner Trust 2012-A | 0.790% | 11/15/17 | 10,036 | 10,039 |
4,5,7 | Mercedes-Benz Master Owner Trust 2015-B | 0.567% | 4/15/20 | 14,650 | 14,653 |
5 | Merrill Lynch Mortgage Trust 2006-C2 | 5.739% | 8/12/43 | 745 | 766 |
5 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 11,703 | 12,571 |
5,7 | Miramax LLC 2014-1A | 3.340% | 7/20/26 | 868 | 873 |
5 | ML-CFC Commercial Mortgage Trust 2006-2 | 5.868% | 6/12/46 | 848 | 868 |
5,7 | MMAF Equipment Finance LLC 2012-A | 1.980% | 6/10/32 | 2,880 | 2,906 |
5,7 | MMAF Equipment Finance LLC 2015-A | 2.490% | 2/19/36 | 13,600 | 13,630 |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 7,445 | 7,652 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 2,050 | 2,140 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 5,740 | 5,774 | |
5,7 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-CKSV | 3.277% | 10/15/30 | 6,000 | 5,989 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.082% | 7/15/46 | 780 | 844 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.085% | 8/15/46 | 1,800 | 1,862 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.215% | 8/15/46 | 7,317 | 7,974 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.824% | 10/15/46 | 810 | 862 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 400 | 430 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 2,470 | 2,471 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 2,000 | 2,037 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 12,980 | 13,116 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 2,300 | 2,465 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 2/15/47 | 1,600 | 1,718 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.051% | 4/15/47 | 3,250 | 3,478 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 4,610 | 4,874 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.094% | 6/15/47 | 935 | 982 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.325% | 6/15/47 | 2,400 | 2,530 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.758% | 6/15/47 | 2,400 | 2,504 |
46
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 3.741% | 8/15/47 | 10,050 | 10,499 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 4.011% | 8/15/47 | 530 | 553 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 2,150 | 2,274 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.326% | 12/15/47 | 1,080 | 1,115 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.526% | 12/15/47 | 470 | 482 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.069% | 2/15/48 | 765 | 778 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.249% | 2/15/48 | 425 | 426 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.306% | 4/15/48 | 4,030 | 4,053 | |
5 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.719% | 7/15/50 | 17,750 | 18,445 | |
5,8 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.479% | 8/15/47 | 4,300 | 4,367 | |
5,8 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.732% | 8/15/47 | 4,300 | 4,453 | |
5 | Morgan Stanley Capital I Trust 2006-HQ9 | 5.728% | 7/12/44 | 4,266 | 4,403 |
5 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 1,208 | 1,256 |
5 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.908% | 6/11/49 | 7,167 | 7,627 |
5 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 4,167 | 4,443 |
5 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 2,260 | 2,336 |
5 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,440 | 2,550 |
5,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 6,000 | 6,084 |
5,7 | Morgan Stanley Capital I Trust 2014-150E | 3.912% | 9/9/32 | 6,370 | 6,695 |
5,7 | Morgan Stanley Capital I Trust 2014-CPT | 3.350% | 7/13/29 | 2,795 | 2,893 |
5,7 | Morgan Stanley Capital I Trust 2015-420 | 3.727% | 10/11/50 | 4,820 | 4,939 |
4,5 | Navient Student Loan Trust 2014-1 | 0.941% | 2/25/39 | 650 | 639 |
4,5 | Navient Student Loan Trust 2015-1 | 0.790% | 4/25/40 | 16,000 | 15,451 |
4,5 | New Mexico Educational Assistance Foundation 2013-1 | 0.887% | 1/2/25 | 4,442 | 4,443 |
5 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 1,790 | 1,793 |
5 | Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 2,870 | 2,868 |
4,5 | Nissan Master Owner Trust Receivables Series 2013-A | 0.487% | 2/15/18 | 4,733 | 4,732 |
5 | Nissan Master Owner Trust Receivables Series 2015-A | 1.440% | 1/15/20 | 21,640 | 21,608 |
7 | Norddeutsche Landesbank Girozentrale | 2.000% | 2/5/19 | 5,500 | 5,559 |
4 | North Carolina State Education Assistance Authority | ||||
2011-1 | 1.181% | 1/26/26 | 3,380 | 3,372 | |
4,5,7 | PFS Financing Corp. 2014-AA | 0.787% | 2/15/19 | 1,600 | 1,599 |
4,5,7 | PFS Financing Corp. 2015-AA | 0.807% | 4/15/20 | 3,500 | 3,471 |
5,7 | Porsche Innovative Lease Owner Trust 2015-1 | 1.430% | 5/21/21 | 4,900 | 4,896 |
5,7 | Progress Residential 2015-SFR2 Trust | 2.740% | 6/12/32 | 2,500 | 2,475 |
4,5,7 | Resimac MBS Trust 2014-1A | 0.988% | 12/12/45 | 3,640 | 3,640 |
5 | Royal Bank of Canada | 1.200% | 9/19/18 | 5,750 | 5,748 |
Royal Bank of Canada | 1.875% | 2/5/20 | 13,500 | 13,437 | |
5 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 5,500 | 5,528 |
5 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 1,758 | 1,762 |
5 | Santander Drive Auto Receivables Trust 2015-3 | 1.490% | 6/17/19 | 5,735 | 5,745 |
5 | Santander Drive Auto Receivables Trust 2015-3 | 3.490% | 5/17/21 | 5,160 | 5,183 |
4,5,7 | Silver Bay Realty 2014-1 Trust | 1.186% | 9/17/31 | 2,378 | 2,343 |
4,5,7 | Silver Bay Realty 2014-1 Trust | 1.636% | 9/17/31 | 498 | 491 |
4,5 | SLM Student Loan Trust 2005-5 | 0.395% | 4/25/25 | 2,829 | 2,817 |
4,5 | SLM Student Loan Trust 2006-5 | 0.405% | 1/25/27 | 3,000 | 2,975 |
4,5 | SLM Student Loan Trust 2006-6 | 0.405% | 10/27/25 | 6,500 | 6,456 |
4,5 | SLM Student Loan Trust 2007-1 | 0.385% | 1/26/26 | 24,625 | 24,153 |
5,7 | SLM Student Loan Trust 2011-A | 4.370% | 4/17/28 | 1,700 | 1,802 |
5,7 | SLM Student Loan Trust 2011-B | 3.740% | 2/15/29 | 10,500 | 11,033 |
4,5,7 | SLM Student Loan Trust 2011-C | 1.587% | 12/15/23 | 597 | 598 |
5,7 | SLM Student Loan Trust 2011-C | 4.540% | 10/17/44 | 5,450 | 5,849 |
4,5,7 | SLM Student Loan Trust 2012-B | 1.287% | 12/15/21 | 344 | 344 |
47
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5,7 | SLM Student Loan Trust 2012-B | 3.480% | 10/15/30 | 4,550 | 4,670 |
4,5,7 | SLM Student Loan Trust 2012-E | 0.937% | 10/16/23 | 4,430 | 4,438 |
4,5,7 | SLM Student Loan Trust 2013-1 | 1.237% | 5/17/27 | 5,400 | 5,398 |
5,7 | SLM Student Loan Trust 2013-1 | 2.500% | 3/15/47 | 1,800 | 1,738 |
4,5 | SLM Student Loan Trust 2013-6 | 0.840% | 6/26/28 | 4,500 | 4,458 |
5,7 | SLM Student Loan Trust 2013-B | 1.850% | 6/17/30 | 3,000 | 2,968 |
5,7 | SLM Student Loan Trust 2013-B | 3.000% | 5/16/44 | 3,000 | 2,952 |
5,7 | SLM Student Loan Trust 2013-C | 3.500% | 6/15/44 | 2,000 | 2,005 |
4,5 | SLM Student Loan Trust 2014-1 | 0.790% | 2/26/29 | 1,150 | 1,148 |
5,7 | SLM Student Loan Trust 2014-A | 2.590% | 1/15/26 | 900 | 915 |
5,7 | SLM Student Loan Trust 2014-A | 3.500% | 11/15/44 | 800 | 790 |
5 | SMART ABS Series 2012-4US Trust | 0.970% | 3/14/17 | 1,976 | 1,975 |
5 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 2,000 | 2,001 |
5 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 4,200 | 4,192 |
5,7 | Sonic Capital LLC 2011-1A | 5.438% | 5/20/41 | 2,995 | 3,131 |
4,5 | South Carolina Student Loan Corp. Revenue 2010-1 | 1.295% | 7/25/25 | 8,834 | 8,892 |
7 | SpareBank 1 Boligkreditt AS | 1.250% | 5/2/18 | 2,000 | 1,991 |
5,7 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 10,400 | 10,305 |
7 | Stadshypotek AB | 1.250% | 5/23/18 | 1,930 | 1,918 |
7 | Stadshypotek AB | 1.750% | 4/9/20 | 8,294 | 8,175 |
4,5,7 | SWAY Residential 2014-1 Trust | 1.486% | 1/17/32 | 6,443 | 6,397 |
5 | Synchrony Credit Card Master Note Trust 2015-1 | 2.370% | 3/15/23 | 6,670 | 6,772 |
5 | Synchrony Credit Card Master Note Trust 2015-2 | 1.600% | 4/15/21 | 10,400 | 10,430 |
5,7 | Tidewater Auto Receivables Trust 2014-AA | 1.400% | 7/15/18 | 900 | 900 |
5,7 | TMSQ_14-1500 | 3.680% | 10/10/36 | 2,160 | 2,225 |
7 | Toronto-Dominion Bank | 1.950% | 4/2/20 | 8,400 | 8,361 |
4,5,7 | Trade MAPS 1 Ltd. 2013-1A | 0.889% | 12/10/18 | 6,460 | 6,467 |
4,5,7 | Trade MAPS 1 Ltd. 2013-1A | 1.438% | 12/10/18 | 1,225 | 1,226 |
4,5,7 | Trade MAPS 1 Ltd. 2013-1A | 2.438% | 12/10/18 | 670 | 668 |
4,5,7 | Trafigura Securitisation Finance plc TRFIG_14-1A | 1.137% | 10/15/21 | 5,720 | 5,712 |
5 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,200 | 1,289 |
5,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 6,000 | 6,184 |
5 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 5,055 | 5,051 |
5,7 | VNO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 8,350 | 8,383 |
5,7 | VNO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 1,100 | 1,163 |
5,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 650 | 688 |
5,7 | VNO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 490 | 512 |
5,7 | Volkswagen Credit Auto Master Owner Trust 2014-1A | 1.400% | 7/22/19 | 8,600 | 8,608 |
5,7 | Volvo Financial Equipment LLC Series 2012-1 | 2.380% | 9/16/19 | 1,200 | 1,200 |
5,7 | Volvo Financial Equipment LLC Series 2015-1A | 1.910% | 1/15/20 | 3,105 | 3,122 |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C27 | 5.765% | 7/15/45 | 10,196 | 10,467 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.559% | 10/15/48 | 2,089 | 2,172 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.572% | 10/15/48 | 22,068 | 22,811 | |
5 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.297% | 11/15/48 | 3,518 | 3,663 | |
5 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 5,990 | 6,035 |
5 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 1,610 | 1,662 |
5 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 750 | 802 |
5 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 7,570 | 8,218 |
5 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.477% | 8/15/50 | 2,400 | 2,499 |
5 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.817% | 8/15/50 | 5,800 | 6,107 |
5 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.020% | 8/15/50 | 700 | 735 |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.322% | 8/15/50 | 2,400 | 2,495 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.458% | 8/15/50 | 1,450 | 1,451 | |
5 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.244% | 12/15/47 | 2,410 | 2,468 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 2.991% | 2/15/48 | 1,840 | 1,853 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 3.166% | 2/15/48 | 2,480 | 2,472 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.278% | 2/15/48 | 1,260 | 1,291 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.451% | 2/15/48 | 3,010 | 3,067 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.400% | 6/15/48 | 3,700 | 3,811 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 7,735 | 7,978 |
48
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
5 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 4.225% | 6/15/48 | 2,310 | 2,224 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.411% | 9/15/48 | 7,300 | 7,373 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/48 | 4,380 | 4,511 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.067% | 9/15/48 | 2,250 | 2,317 |
5 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.646% | 9/15/48 | 1,250 | 1,229 |
5,7 | Wendys Funding LLC 2015-1 | 4.080% | 6/15/45 | 7,270 | 7,264 |
7 | Westpac Banking Corp. | 1.850% | 11/26/18 | 6,285 | 6,322 |
7 | Westpac Banking Corp. | 2.000% | 3/3/20 | 13,000 | 12,981 |
5,7 | WFLD 2014-MONT Mortgage Trust | 3.755% | 8/10/31 | 5,090 | 5,277 |
5,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 5,450 | 5,951 |
5 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 5,280 | 5,288 |
5 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 5,400 | 5,618 |
5 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 4,170 | 4,449 |
5 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 3,300 | 3,344 |
5 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 9,300 | 9,334 |
5 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,870 | 2,933 |
5 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 2,220 | 2,254 |
5 | WFRBS Commercial Mortgage Trust 2013-C15 | 2.900% | 8/15/46 | 600 | 618 |
5 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 1,900 | 2,011 |
5 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 630 | 682 |
5 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 357 | 375 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 3,365 | 3,483 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 1,895 | 2,000 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 6,340 | 6,859 |
5 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.671% | 12/15/46 | 1,085 | 1,174 |
5 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 6,635 | 7,145 |
5 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 3,020 | 3,175 |
5 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 2,430 | 2,605 |
5 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.513% | 5/15/47 | 1,410 | 1,423 |
5 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 8,275 | 8,628 |
5 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.891% | 8/15/47 | 700 | 728 |
5 | WFRBS Commercial Mortgage Trust 2014-C21 | 4.234% | 8/15/47 | 2,410 | 2,381 |
5 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 980 | 1,038 |
5 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 170 | 178 |
5 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 3,200 | 3,442 |
5 | World Financial Network Credit Card Master Note Trust | ||||
Series 2013-A | 1.610% | 12/15/21 | 4,000 | 4,018 | |
4,5 | World Financial Network Credit Card Master Note Trust | ||||
Series 2015-A | 0.667% | 2/15/22 | 8,755 | 8,741 | |
5 | World Omni Automobile Lease Securitization Trust | ||||
2015-A | 1.730% | 12/15/20 | 2,300 | 2,302 | |
4,5,7 | World Omni Master Owner Trust 2013-1 | 0.537% | 2/15/18 | 4,000 | 4,000 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,698,512) | 2,723,041 | ||||
Corporate Bonds (75.5%) | |||||
Finance (29.7%) | |||||
Banking (19.4%) | |||||
Abbey National Treasury Services plc | 3.050% | 8/23/18 | 3,950 | 4,097 | |
Abbey National Treasury Services plc | 2.350% | 9/10/19 | 3,415 | 3,438 | |
Abbey National Treasury Services plc | 4.000% | 3/13/24 | 43,500 | 45,276 | |
7 | ABN AMRO Bank NV | 2.450% | 6/4/20 | 8,000 | 8,002 |
7 | ABN AMRO Bank NV | 4.750% | 7/28/25 | 12,000 | 12,059 |
AgriBank FCB | 9.125% | 7/15/19 | 5,000 | 6,219 | |
American Express Bank FSB | 6.000% | 9/13/17 | 4,250 | 4,621 | |
American Express Centurion Bank | 5.950% | 6/12/17 | 10,000 | 10,812 | |
American Express Centurion Bank | 6.000% | 9/13/17 | 5,060 | 5,515 | |
American Express Co. | 6.150% | 8/28/17 | 10,900 | 11,907 | |
American Express Co. | 7.000% | 3/19/18 | 12,000 | 13,582 | |
American Express Co. | 2.650% | 12/2/22 | 16,082 | 15,501 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 4,700 | 4,681 | |
Associates Corp. of North America | 6.950% | 11/1/18 | 8,855 | 10,157 | |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 8,000 | 8,096 | |
7 | Australia & New Zealand Banking Group Ltd. | 4.875% | 1/12/21 | 16,817 | 18,914 |
49
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Australia & New Zealand Banking Group Ltd. | 4.500% | 3/19/24 | 16,000 | 16,231 |
7 | Banco de Credito del Peru | 4.250% | 4/1/23 | 5,000 | 5,116 |
Bank of America Corp. | 6.500% | 8/1/16 | 6,375 | 6,693 | |
Bank of America Corp. | 6.400% | 8/28/17 | 7,850 | 8,568 | |
Bank of America Corp. | 6.000% | 9/1/17 | 1,750 | 1,895 | |
Bank of America Corp. | 5.750% | 12/1/17 | 4,000 | 4,344 | |
Bank of America Corp. | 6.875% | 4/25/18 | 8,123 | 9,156 | |
Bank of America Corp. | 5.650% | 5/1/18 | 4,500 | 4,924 | |
Bank of America Corp. | 6.875% | 11/15/18 | 2,797 | 3,197 | |
Bank of America Corp. | 2.600% | 1/15/19 | 13,000 | 13,165 | |
Bank of America Corp. | 7.625% | 6/1/19 | 13,000 | 15,421 | |
Bank of America Corp. | 2.250% | 4/21/20 | 3,400 | 3,345 | |
Bank of America Corp. | 5.625% | 7/1/20 | 19,340 | 21,785 | |
Bank of America Corp. | 5.875% | 1/5/21 | 16,010 | 18,282 | |
Bank of America Corp. | 5.000% | 5/13/21 | 5,285 | 5,819 | |
Bank of America Corp. | 5.700% | 1/24/22 | 25,800 | 29,353 | |
Bank of America Corp. | 3.300% | 1/11/23 | 39,767 | 39,180 | |
Bank of America Corp. | 4.100% | 7/24/23 | 11,500 | 11,897 | |
Bank of America Corp. | 4.125% | 1/22/24 | 34,600 | 35,743 | |
Bank of America Corp. | 4.000% | 4/1/24 | 6,000 | 6,151 | |
Bank of America Corp. | 4.200% | 8/26/24 | 12,000 | 12,065 | |
Bank of America Corp. | 3.875% | 8/1/25 | 10,000 | 10,083 | |
Bank of America NA | 5.300% | 3/15/17 | 8,877 | 9,384 | |
Bank of America NA | 6.100% | 6/15/17 | 5,000 | 5,381 | |
Bank of Montreal | 2.375% | 1/25/19 | 5,000 | 5,086 | |
Bank of Montreal | 2.550% | 11/6/22 | 16,000 | 15,612 | |
Bank of New York Mellon Corp. | 5.500% | 12/1/17 | 5,465 | 5,945 | |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 6,580 | 7,385 | |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 14,300 | 15,678 | |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 2,840 | 2,817 | |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 21,944 | 23,761 | |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 16,040 | 16,764 | |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 17,000 | 17,467 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 20,200 | 20,387 | |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 11,142 | 11,109 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 15,800 | 15,254 | |
Bank of Nova Scotia | 1.450% | 4/25/18 | 5,085 | 5,068 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 26,275 | 26,483 | |
Bank of Nova Scotia | 2.050% | 6/5/19 | 7,930 | 7,996 | |
Bank of Nova Scotia | 4.375% | 1/13/21 | 8,500 | 9,295 | |
Bank of Nova Scotia | 2.800% | 7/21/21 | 17,352 | 17,492 | |
Barclays Bank plc | 3.750% | 5/15/24 | 57,613 | 58,311 | |
Barclays plc | 2.750% | 11/8/19 | 12,000 | 12,008 | |
Barclays plc | 3.650% | 3/16/25 | 10,000 | 9,586 | |
BB&T Corp. | 4.900% | 6/30/17 | 5,300 | 5,592 | |
BB&T Corp. | 6.850% | 4/30/19 | 5,714 | 6,661 | |
BB&T Corp. | 5.250% | 11/1/19 | 12,000 | 13,291 | |
BB&T Corp. | 3.950% | 3/22/22 | 4,400 | 4,583 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 5,500 | 6,033 | |
BNP Paribas SA | 2.400% | 12/12/18 | 3,150 | 3,185 | |
BNP Paribas SA | 5.000% | 1/15/21 | 54,350 | 60,687 | |
BNP Paribas SA | 3.250% | 3/3/23 | 21,235 | 21,409 | |
BPCE SA | 2.500% | 12/10/18 | 3,375 | 3,426 | |
BPCE SA | 2.250% | 1/27/20 | 2,000 | 1,990 | |
BPCE SA | 4.000% | 4/15/24 | 50,690 | 52,354 | |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 5,000 | 5,066 | |
7 | Canadian Imperial Bank of Commerce | 2.250% | 7/21/20 | 7,310 | 7,353 |
Capital One Financial Corp. | 2.450% | 4/24/19 | 2,450 | 2,450 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 3,000 | 2,957 | |
Capital One Financial Corp. | 3.200% | 2/5/25 | 2,650 | 2,500 | |
Capital One NA | 1.500% | 3/22/18 | 7,000 | 6,920 | |
Capital One NA | 2.950% | 7/23/21 | 12,000 | 11,713 | |
Citigroup Inc. | 6.000% | 8/15/17 | 3,000 | 3,249 | |
Citigroup Inc. | 6.125% | 11/21/17 | 12,491 | 13,679 |
50
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Citigroup Inc. | 6.125% | 5/15/18 | 15,000 | 16,651 | |
Citigroup Inc. | 8.500% | 5/22/19 | 19,317 | 23,525 | |
Citigroup Inc. | 5.375% | 8/9/20 | 31,422 | 35,203 | |
Citigroup Inc. | 4.500% | 1/14/22 | 46,600 | 50,277 | |
Citigroup Inc. | 3.375% | 3/1/23 | 21,000 | 20,983 | |
Citigroup Inc. | 3.875% | 10/25/23 | 28,500 | 29,242 | |
Citigroup Inc. | 3.750% | 6/16/24 | 12,000 | 12,038 | |
Citigroup Inc. | 3.300% | 4/27/25 | 15,000 | 14,457 | |
Citigroup Inc. | 5.500% | 9/13/25 | 9,000 | 9,864 | |
5,7,9 | Colonial BancGroup Inc. | 7.114% | 5/29/49 | 17,340 | 2 |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 8,165 | 8,351 | |
7 | Commonwealth Bank of Australia | 5.000% | 10/15/19 | 2,702 | 3,016 |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 3,000 | 3,005 | |
7 | Commonwealth Bank of Australia | 5.000% | 3/19/20 | 11,560 | 12,919 |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/19 | 4,000 | 4,033 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 2.250% | 1/14/20 | 3,500 | 3,495 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.500% | 1/11/21 | 5,744 | 6,283 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.875% | 2/8/22 | 53,100 | 55,869 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 49,880 | 50,011 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.625% | 12/1/23 | 68,532 | 70,959 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.375% | 5/21/25 | 25,310 | 24,869 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.375% | 8/4/25 | 3,130 | 3,147 | |
10 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.250% | 9/14/27 | 4,800 | 8,287 |
7 | Credit Agricole SA | 4.375% | 3/17/25 | 5,000 | 4,884 |
Credit Suisse | 2.300% | 5/28/19 | 9,820 | 9,868 | |
Credit Suisse | 4.375% | 8/5/20 | 11,370 | 12,413 | |
Credit Suisse | 3.000% | 10/29/21 | 40,000 | 39,919 | |
Credit Suisse | 3.625% | 9/9/24 | 69,650 | 69,582 | |
7 | Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 10,000 | 9,764 |
Deutsche Bank AG | 2.500% | 2/13/19 | 4,000 | 4,030 | |
Deutsche Bank AG | 3.700% | 5/30/24 | 34,250 | 34,256 | |
Discover Bank | 7.000% | 4/15/20 | 3,665 | 4,263 | |
Discover Bank | 3.100% | 6/4/20 | 14,990 | 15,046 | |
Fifth Third Bank | 2.875% | 10/1/21 | 10,000 | 9,910 | |
FirstMerit Corp. | 4.350% | 2/4/23 | 9,000 | 9,269 | |
Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 3,000 | 3,276 | |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 3,000 | 3,044 | |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 2,315 | 2,564 | |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 55 | 56 | |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 2,240 | 2,278 | |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 15,000 | 17,659 | |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 2,200 | 2,211 | |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 12,555 | 14,022 | |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 14,720 | 16,871 | |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 12,087 | 13,463 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 42,535 | 48,728 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 13,300 | 13,419 | |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 47,290 | 48,438 | |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 9,400 | 9,530 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 8,000 | 7,800 | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 40,000 | 39,812 | |
HSBC Bank USA NA | 6.000% | 8/9/17 | 5,055 | 5,476 | |
HSBC Bank USA NA | 4.875% | 8/24/20 | 24,478 | 27,080 | |
HSBC Holdings plc | 5.100% | 4/5/21 | 53,948 | 60,096 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 30,100 | 31,889 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 35,000 | 35,766 | |
HSBC USA Inc. | 2.375% | 11/13/19 | 17,185 | 17,184 | |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 10,000 | 10,356 | |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 3,000 | 3,237 | |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 6,000 | 6,590 | |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 8,100 | 8,112 | |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 3,395 | 3,376 | |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 10,650 | 12,177 | |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 6,000 | 5,996 |
51
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 7,500 | 7,416 | |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 21,496 | 23,724 | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 6,075 | 6,098 | |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 18,510 | 19,993 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 20,480 | 21,972 | |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 22,450 | 24,447 | |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 14,235 | 15,267 | |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 25,000 | 26,859 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 23,500 | 23,548 | |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 15,225 | 15,128 | |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 22,900 | 23,463 | |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 14,750 | 14,802 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 9,200 | 8,854 | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 15,000 | 15,251 | |
5 | JPMorgan Chase & Co. | 5.300% | 12/29/49 | 5,220 | 5,168 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 6,500 | 7,026 | |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 10,380 | 11,282 | |
KeyBank NA | 1.650% | 2/1/18 | 4,000 | 3,996 | |
KeyBank NA | 3.300% | 6/1/25 | 10,000 | 9,788 | |
5,7 | LBG Capital No.1 plc | 8.000% | 12/29/49 | 3,763 | 4,299 |
11 | Leeds Building Society | 2.625% | 4/1/21 | 5,277 | 6,113 |
Lloyds Bank plc | 6.375% | 1/21/21 | 16,892 | 20,077 | |
Lloyds Bank plc | 3.500% | 5/14/25 | 18,630 | 18,421 | |
7 | Macquarie Bank Ltd. | 2.400% | 1/21/20 | 7,765 | 7,721 |
7 | Macquarie Bank Ltd. | 4.875% | 6/10/25 | 7,910 | 7,884 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 8,555 | 9,491 | |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 5,758 | 5,782 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 22,400 | 21,344 | |
7 | Mitsubishi UFJ Trust & Banking Corp. | 2.450% | 10/16/19 | 20,000 | 20,060 |
Morgan Stanley | 5.950% | 12/28/17 | 2,000 | 2,181 | |
Morgan Stanley | 6.625% | 4/1/18 | 5,700 | 6,387 | |
Morgan Stanley | 7.300% | 5/13/19 | 5,000 | 5,883 | |
Morgan Stanley | 5.625% | 9/23/19 | 20,500 | 22,953 | |
Morgan Stanley | 5.500% | 1/26/20 | 16,035 | 17,947 | |
Morgan Stanley | 2.650% | 1/27/20 | 4,300 | 4,317 | |
Morgan Stanley | 2.800% | 6/16/20 | 4,600 | 4,620 | |
Morgan Stanley | 5.500% | 7/24/20 | 12,000 | 13,514 | |
Morgan Stanley | 5.750% | 1/25/21 | 24,000 | 27,249 | |
Morgan Stanley | 5.500% | 7/28/21 | 26,800 | 30,200 | |
Morgan Stanley | 3.750% | 2/25/23 | 26,000 | 26,398 | |
Morgan Stanley | 3.875% | 4/29/24 | 43,400 | 44,035 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 21,891 | 22,215 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 10,000 | 9,522 | |
MUFG Union Bank NA | 5.950% | 5/11/16 | 1,131 | 1,172 | |
MUFG Union Bank NA | 2.125% | 6/16/17 | 3,695 | 3,741 | |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 14,320 | 14,370 | |
7 | Nationwide Building Society | 2.350% | 1/21/20 | 14,215 | 14,183 |
7 | Nationwide Building Society | 3.900% | 7/21/25 | 8,000 | 8,101 |
Northern Trust Co. | 5.850% | 11/9/17 | 7,280 | 8,012 | |
Northern Trust Co. | 6.500% | 8/15/18 | 4,000 | 4,556 | |
Northern Trust Corp. | 3.450% | 11/4/20 | 500 | 528 | |
Northern Trust Corp. | 3.375% | 8/23/21 | 13,036 | 13,639 | |
People's United Financial Inc. | 3.650% | 12/6/22 | 11,405 | 11,414 | |
PNC Bank NA | 6.000% | 12/7/17 | 4,500 | 4,913 | |
PNC Bank NA | 6.875% | 4/1/18 | 12,085 | 13,528 | |
PNC Bank NA | 2.200% | 1/28/19 | 4,630 | 4,669 | |
PNC Bank NA | 2.400% | 10/18/19 | 10,000 | 10,070 | |
PNC Bank NA | 2.700% | 11/1/22 | 41,080 | 39,639 | |
PNC Bank NA | 2.950% | 1/30/23 | 15,000 | 14,628 | |
PNC Bank NA | 3.800% | 7/25/23 | 15,750 | 16,123 | |
PNC Bank NA | 3.300% | 10/30/24 | 19,634 | 19,607 | |
PNC Bank NA | 2.950% | 2/23/25 | 16,680 | 16,076 | |
PNC Financial Services Group Inc. | 2.600% | 7/21/20 | 15,120 | 15,186 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 12,493 | 12,305 |
52
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
PNC Funding Corp. | 6.700% | 6/10/19 | 12,000 | 13,998 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 21,243 | 23,775 | |
PNC Funding Corp. | 4.375% | 8/11/20 | 23,000 | 25,095 | |
PNC Funding Corp. | 3.300% | 3/8/22 | 14,570 | 14,928 | |
Regions Bank | 7.500% | 5/15/18 | 1,732 | 1,975 | |
Regions Financial Corp. | 2.000% | 5/15/18 | 2,000 | 1,994 | |
Royal Bank of Scotland plc | 5.625% | 8/24/20 | 5,626 | 6,380 | |
Royal Bank of Scotland plc | 6.125% | 1/11/21 | 4,500 | 5,253 | |
Santander Bank NA | 8.750% | 5/30/18 | 5,000 | 5,778 | |
7 | Skandinaviska Enskilda Banken AB | 2.450% | 5/27/20 | 8,590 | 8,643 |
State Street Corp. | 1.350% | 5/15/18 | 3,000 | 2,986 | |
State Street Corp. | 4.375% | 3/7/21 | 10,740 | 11,846 | |
State Street Corp. | 3.100% | 5/15/23 | 15,025 | 14,792 | |
State Street Corp. | 3.700% | 11/20/23 | 32,620 | 34,071 | |
State Street Corp. | 3.300% | 12/16/24 | 27,435 | 27,309 | |
5 | State Street Corp. | 5.250% | 12/29/49 | 5,240 | 5,266 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 3,000 | 3,015 | |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 8,160 | 8,555 | |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 5,000 | 5,043 | |
Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 5,000 | 5,068 | |
SunTrust Bank | 2.750% | 5/1/23 | 16,661 | 16,076 | |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 2,895 | 2,954 | |
Synchrony Financial | 2.700% | 2/3/20 | 8,550 | 8,409 | |
Synchrony Financial | 3.750% | 8/15/21 | 27,100 | 27,208 | |
Synchrony Financial | 4.500% | 7/23/25 | 11,575 | 11,633 | |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 25,705 | 25,878 | |
UBS AG | 2.375% | 8/14/19 | 4,340 | 4,348 | |
UBS AG | 2.350% | 3/26/20 | 8,000 | 7,970 | |
UBS AG | 4.875% | 8/4/20 | 22,600 | 25,146 | |
US Bancorp | 4.125% | 5/24/21 | 28,055 | 30,431 | |
US Bancorp | 3.000% | 3/15/22 | 23,724 | 23,941 | |
US Bancorp | 2.950% | 7/15/22 | 35,200 | 34,813 | |
US Bancorp | 3.700% | 1/30/24 | 18,500 | 19,242 | |
US Bancorp | 3.600% | 9/11/24 | 14,800 | 14,952 | |
US Bank NA | 2.125% | 10/28/19 | 4,441 | 4,450 | |
US Bank NA | 2.800% | 1/27/25 | 14,400 | 13,947 | |
Wachovia Bank NA | 6.000% | 11/15/17 | 8,000 | 8,777 | |
Wachovia Corp. | 5.625% | 10/15/16 | 8,000 | 8,427 | |
Wachovia Corp. | 5.750% | 6/15/17 | 4,280 | 4,632 | |
Wachovia Corp. | 5.750% | 2/1/18 | 11,025 | 12,126 | |
9 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.500% | 1/15/13 | 6,147 | 15 | |
9 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.650% | 8/15/14 | 7,500 | 19 | |
9 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.125% | 1/15/15 | 9,000 | 23 | |
Wells Fargo & Co. | 5.625% | 12/11/17 | 11,400 | 12,482 | |
Wells Fargo & Co. | 2.150% | 1/15/19 | 18,636 | 18,793 | |
Wells Fargo & Co. | 2.150% | 1/30/20 | 15,460 | 15,332 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 19,260 | 19,318 | |
Wells Fargo & Co. | 4.600% | 4/1/21 | 31,673 | 34,695 | |
Wells Fargo & Co. | 3.500% | 3/8/22 | 30,172 | 31,036 | |
Wells Fargo & Co. | 3.450% | 2/13/23 | 36,700 | 36,586 | |
Wells Fargo & Co. | 4.125% | 8/15/23 | 13,100 | 13,597 | |
Wells Fargo & Co. | 3.300% | 9/9/24 | 58,830 | 58,112 | |
Wells Fargo & Co. | 3.000% | 2/19/25 | 10,180 | 9,772 | |
Westpac Banking Corp. | 1.600% | 1/12/18 | 3,390 | 3,404 | |
Westpac Banking Corp. | 2.250% | 7/30/18 | 9,010 | 9,147 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 10,795 | 11,978 | |
Westpac Banking Corp. | 2.300% | 5/26/20 | 4,460 | 4,457 | |
Brokerage (1.8%) | |||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 10,000 | 10,203 | |
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 6,200 | 7,355 |
53
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 9,570 | 10,817 | |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 10,819 | 11,392 | |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 26,500 | 27,255 | |
BlackRock Inc. | 4.250% | 5/24/21 | 4,250 | 4,672 | |
BlackRock Inc. | 3.375% | 6/1/22 | 12,000 | 12,375 | |
BlackRock Inc. | 3.500% | 3/18/24 | 20,000 | 20,392 | |
Charles Schwab Corp. | 4.450% | 7/22/20 | 6,500 | 7,173 | |
Charles Schwab Corp. | 3.225% | 9/1/22 | 11,150 | 11,361 | |
CME Group Inc. | 3.000% | 3/15/25 | 13,500 | 13,171 | |
Franklin Resources Inc. | 4.625% | 5/20/20 | 7,550 | 8,354 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 11,000 | 10,938 | |
Franklin Resources Inc. | 2.850% | 3/30/25 | 8,000 | 7,771 | |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 34,330 | 35,848 | |
Invesco Finance plc | 3.125% | 11/30/22 | 30,485 | 30,519 | |
Invesco Finance plc | 4.000% | 1/30/24 | 21,300 | 21,985 | |
Jefferies Group LLC | 6.875% | 4/15/21 | 8,000 | 9,154 | |
Jefferies Group LLC | 5.125% | 1/20/23 | 5,000 | 5,102 | |
Legg Mason Inc. | 3.950% | 7/15/24 | 5,000 | 5,084 | |
9 | Lehman Brothers Holdings Inc. | 6.500% | 7/19/17 | 20,000 | 2 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 9,950 | 10,076 | |
NYSE Euronext | 2.000% | 10/5/17 | 8,000 | 8,078 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 16,715 | 16,687 | |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 11,400 | 11,565 | |
7 | TIAA Asset Management Finance Co. LLC | 4.125% | 11/1/24 | 30,000 | 30,548 |
Finance Companies (1.6%) | |||||
Air Lease Corp. | 3.375% | 1/15/19 | 8,000 | 8,130 | |
Air Lease Corp. | 3.875% | 4/1/21 | 6,000 | 6,060 | |
Air Lease Corp. | 4.250% | 9/15/24 | 9,000 | 8,888 | |
General Electric Capital Corp. | 5.625% | 5/1/18 | 12,975 | 14,322 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 12,900 | 14,820 | |
General Electric Capital Corp. | 5.500% | 1/8/20 | 20,772 | 23,585 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 6,175 | 6,181 | |
General Electric Capital Corp. | 5.550% | 5/4/20 | 2,144 | 2,457 | |
General Electric Capital Corp. | 4.375% | 9/16/20 | 24,866 | 27,171 | |
General Electric Capital Corp. | 4.625% | 1/7/21 | 13,492 | 14,905 | |
General Electric Capital Corp. | 5.300% | 2/11/21 | 13,500 | 15,254 | |
General Electric Capital Corp. | 4.650% | 10/17/21 | 35,847 | 39,606 | |
General Electric Capital Corp. | 3.150% | 9/7/22 | 20,095 | 20,431 | |
General Electric Capital Corp. | 3.100% | 1/9/23 | 22,700 | 22,824 | |
General Electric Capital Corp. | 3.450% | 5/15/24 | 2,980 | 3,060 | |
5 | General Electric Capital Corp. | 6.375% | 11/15/67 | 7,000 | 7,490 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 63,939 | 74,457 | |
7 | Peachtree Corners Funding Trust | 3.976% | 2/15/25 | 15,000 | 15,034 |
Insurance (4.4%) | |||||
ACE INA Holdings Inc. | 2.700% | 3/13/23 | 7,695 | 7,454 | |
ACE INA Holdings Inc. | 3.350% | 5/15/24 | 20,000 | 19,868 | |
ACE INA Holdings Inc. | 3.150% | 3/15/25 | 14,000 | 13,617 | |
Aetna Inc. | 2.750% | 11/15/22 | 24,000 | 22,722 | |
Aetna Inc. | 3.500% | 11/15/24 | 15,000 | 14,665 | |
Aflac Inc. | 4.000% | 2/15/22 | 2,000 | 2,119 | |
Aflac Inc. | 3.625% | 6/15/23 | 16,000 | 16,315 | |
Aflac Inc. | 3.625% | 11/15/24 | 15,000 | 15,162 | |
7 | AIA Group Ltd. | 3.200% | 3/11/25 | 12,000 | 11,673 |
Alleghany Corp. | 4.950% | 6/27/22 | 2,586 | 2,799 | |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 2,000 | 2,219 | |
Allstate Corp. | 3.150% | 6/15/23 | 1,000 | 1,006 | |
5 | Allstate Corp. | 5.750% | 8/15/53 | 5,000 | 5,237 |
Alterra Finance LLC | 6.250% | 9/30/20 | 8,000 | 9,210 | |
American Financial Group Inc. | 9.875% | 6/15/19 | 10,000 | 12,503 | |
American International Group Inc. | 4.875% | 6/1/22 | 1,650 | 1,819 | |
American International Group Inc. | 3.875% | 1/15/35 | 1,315 | 1,192 | |
Anthem Inc. | 4.350% | 8/15/20 | 2,000 | 2,137 | |
Anthem Inc. | 3.700% | 8/15/21 | 3,090 | 3,177 |
54
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 5,500 | 5,649 | |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 25,240 | 28,589 | |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 20,202 | 22,368 | |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 2,000 | 2,190 | |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 4,360 | 4,444 | |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 11,500 | 12,369 | |
Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 12,706 | 13,256 | |
11 | Berkshire Hathaway Inc. | 0.750% | 3/16/23 | 8,000 | 8,402 |
11 | Berkshire Hathaway Inc. | 1.125% | 3/16/27 | 8,300 | 8,357 |
Brown & Brown Inc. | 4.200% | 9/15/24 | 15,000 | 14,935 | |
5 | Chubb Corp. | 6.375% | 3/29/67 | 4,900 | 5,065 |
CNA Financial Corp. | 5.875% | 8/15/20 | 5,000 | 5,690 | |
CNA Financial Corp. | 3.950% | 5/15/24 | 2,000 | 2,014 | |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 8,500 | 9,464 | |
First American Financial Corp. | 4.600% | 11/15/24 | 12,000 | 12,192 | |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 2,880 | 3,207 | |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 10,547 | 11,103 | |
7 | Jackson National Life Global Funding | 4.700% | 6/1/18 | 2,500 | 2,693 |
Kemper Corp. | 4.350% | 2/15/25 | 15,000 | 15,061 | |
Loews Corp. | 2.625% | 5/15/23 | 8,000 | 7,681 | |
Manulife Financial Corp. | 4.900% | 9/17/20 | 24,150 | 26,765 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 5,275 | 5,281 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 4,850 | 5,385 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 8,000 | 8,382 | |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 22,915 | 22,885 | |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 12,000 | 11,964 | |
7 | MassMutual Global Funding II | 2.500% | 10/17/22 | 10,500 | 10,118 |
MetLife Inc. | 4.750% | 2/8/21 | 17,000 | 18,795 | |
MetLife Inc. | 3.048% | 12/15/22 | 17,000 | 16,878 | |
MetLife Inc. | 4.368% | 9/15/23 | 38,430 | 41,121 | |
MetLife Inc. | 3.600% | 4/10/24 | 28,005 | 28,260 | |
MetLife Inc. | 3.000% | 3/1/25 | 18,500 | 17,845 | |
5 | MetLife Inc. | 5.250% | 12/29/49 | 2,635 | 2,628 |
7 | New York Life Global Funding | 1.950% | 2/11/20 | 6,595 | 6,529 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 7,269 | 7,496 | |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 3,857 | 4,337 | |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 16,550 | 18,492 | |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 11,195 | 13,763 | |
5 | Principal Financial Group Inc. | 4.700% | 5/15/55 | 1,500 | 1,482 |
7 | Principal Life Global Funding II | 2.200% | 4/8/20 | 10,650 | 10,577 |
5 | Progressive Corp. | 6.700% | 6/15/67 | 6,500 | 6,768 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 1,950 | 1,957 | |
5 | Prudential Financial Inc. | 5.875% | 9/15/42 | 6,000 | 6,330 |
5 | Prudential Financial Inc. | 5.625% | 6/15/43 | 7,875 | 8,151 |
5 | Prudential Financial Inc. | 5.200% | 3/15/44 | 2,500 | 2,437 |
5 | Prudential Financial Inc. | 5.375% | 5/15/45 | 7,150 | 7,043 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 5,000 | 5,504 | |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 3,000 | 3,209 | |
7 | Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 19,115 | 19,111 |
7 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 6,710 | 6,635 |
Swiss Re Solutions Holding Corp. | 6.450% | 3/1/19 | 11,250 | 12,687 | |
7 | Swiss Re Treasury US Corp. | 2.875% | 12/6/22 | 2,000 | 1,947 |
Torchmark Corp. | 9.250% | 6/15/19 | 3,000 | 3,725 | |
Trinity Acquisition plc | 4.625% | 8/15/23 | 3,000 | 3,089 | |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 10,000 | 10,018 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 3,870 | 3,912 | |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 14,000 | 14,914 | |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 13,000 | 14,274 | |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 10,000 | 10,000 | |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 26,816 | 26,525 | |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 17,660 | 17,996 | |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 12,000 | 11,550 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 9,000 | 8,752 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 38,550 | 39,297 |
55
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
WR Berkley Corp. | 4.625% | 3/15/22 | 2,977 | 3,166 | |
Real Estate Investment Trusts (2.5%) | |||||
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 6,465 | 6,447 | |
American Campus Communities Operating Partnership | |||||
LP | 3.750% | 4/15/23 | 2,000 | 1,969 | |
AvalonBay Communities Inc. | 3.450% | 6/1/25 | 12,725 | 12,633 | |
BioMed Realty LP | 4.250% | 7/15/22 | 3,082 | 3,165 | |
Boston Properties LP | 3.125% | 9/1/23 | 2,654 | 2,592 | |
Boston Properties LP | 3.800% | 2/1/24 | 3,375 | 3,435 | |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 17,000 | 16,913 | |
8 | Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 5,000 | 4,999 |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 7,000 | 6,795 | |
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 15,000 | 15,074 | |
CubeSmart LP | 4.375% | 12/15/23 | 725 | 754 | |
DDR Corp. | 7.500% | 4/1/17 | 1,750 | 1,910 | |
DDR Corp. | 3.375% | 5/15/23 | 7,000 | 6,725 | |
DDR Corp. | 3.625% | 2/1/25 | 10,000 | 9,578 | |
Digital Realty Trust LP | 5.250% | 3/15/21 | 12,225 | 13,322 | |
Digital Realty Trust LP | 3.950% | 7/1/22 | 9,362 | 9,406 | |
Duke Realty LP | 6.500% | 1/15/18 | 5 | 6 | |
Duke Realty LP | 3.875% | 2/15/21 | 11,530 | 11,930 | |
ERP Operating LP | 3.375% | 6/1/25 | 27,000 | 26,682 | |
Essex Portfolio LP | 3.500% | 4/1/25 | 12,182 | 11,757 | |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 22,448 | 22,382 | |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 3,000 | 2,890 | |
Federal Realty Investment Trust | 3.950% | 1/15/24 | 13,269 | 13,833 | |
7 | Goodman Funding Pty Ltd. | 6.375% | 4/15/21 | 3,650 | 4,188 |
7 | Goodman Funding Pty Ltd. | 6.000% | 3/22/22 | 8,155 | 9,158 |
HCP Inc. | 2.625% | 2/1/20 | 7,000 | 6,941 | |
HCP Inc. | 5.375% | 2/1/21 | 11,600 | 12,796 | |
Health Care REIT Inc. | 6.125% | 4/15/20 | 5,000 | 5,716 | |
Health Care REIT Inc. | 4.950% | 1/15/21 | 8,000 | 8,734 | |
Health Care REIT Inc. | 3.750% | 3/15/23 | 5,000 | 4,961 | |
Health Care REIT Inc. | 4.500% | 1/15/24 | 7,000 | 7,270 | |
Health Care REIT Inc. | 4.000% | 6/1/25 | 4,020 | 4,001 | |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 5,000 | 5,566 | |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 13,000 | 12,629 | |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 7,000 | 6,826 | |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 2,000 | 2,001 | |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 13,030 | 12,699 | |
Highwoods Realty LP | 3.200% | 6/15/21 | 6,000 | 5,973 | |
Liberty Property LP | 4.400% | 2/15/24 | 4,000 | 4,118 | |
Liberty Property LP | 3.750% | 4/1/25 | 1,340 | 1,308 | |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,000 | 2,076 | |
National Retail Properties Inc. | 3.900% | 6/15/24 | 6,000 | 6,001 | |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 19,000 | 19,475 | |
7 | Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 10,000 | 9,600 |
11 | ProLogis LP | 1.375% | 5/13/21 | 5,397 | 5,846 |
ProLogis LP | 4.250% | 8/15/23 | 5,000 | 5,183 | |
Realty Income Corp. | 4.650% | 8/1/23 | 6,000 | 6,341 | |
Senior Housing Properties Trust | 6.750% | 12/15/21 | 4,000 | 4,553 | |
Simon Property Group LP | 4.375% | 3/1/21 | 28,394 | 30,800 | |
Simon Property Group LP | 4.125% | 12/1/21 | 20,822 | 22,328 | |
Simon Property Group LP | 3.375% | 3/15/22 | 7,000 | 7,187 | |
Simon Property Group LP | 2.750% | 2/1/23 | 7,500 | 7,288 | |
Simon Property Group LP | 3.750% | 2/1/24 | 30,500 | 31,424 | |
Simon Property Group LP | 3.375% | 10/1/24 | 4,000 | 3,996 | |
UDR Inc. | 4.625% | 1/10/22 | 3,455 | 3,706 | |
Ventas Realty LP | 3.750% | 5/1/24 | 10,000 | 9,862 | |
Weingarten Realty Investors | 3.375% | 10/15/22 | 5,694 | 5,582 | |
Weingarten Realty Investors | 3.850% | 6/1/25 | 3,404 | 3,372 | |
5,942,761 |
56
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Industrial (40.1%) | |||||
Basic Industry (2.6%) | |||||
Agrium Inc. | 3.150% | 10/1/22 | 3,908 | 3,855 | |
Agrium Inc. | 3.500% | 6/1/23 | 15,000 | 14,750 | |
Agrium Inc. | 3.375% | 3/15/25 | 5,000 | 4,800 | |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 5,390 | 5,453 | |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 7,000 | 7,066 | |
Airgas Inc. | 2.375% | 2/15/20 | 3,725 | 3,702 | |
Airgas Inc. | 3.650% | 7/15/24 | 3,500 | 3,514 | |
Barrick Gold Corp. | 3.850% | 4/1/22 | 5,500 | 4,950 | |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 5,430 | 5,234 | |
10 | BHP Billiton Finance Ltd. | 3.250% | 9/25/24 | 7,000 | 10,940 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 18,030 | 18,155 | |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 17,750 | 17,230 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 26,800 | 27,312 | |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 3,500 | 3,714 | |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 4,000 | 4,166 | |
CF Industries Inc. | 7.125% | 5/1/20 | 3,480 | 4,076 | |
CF Industries Inc. | 3.450% | 6/1/23 | 5,685 | 5,371 | |
Dow Chemical Co. | 3.500% | 10/1/24 | 2,000 | 1,954 | |
Eastman Chemical Co. | 4.500% | 1/15/21 | 8,139 | 8,842 | |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 13,635 | 14,301 | |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 967 | 1,052 | |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 18,225 | 17,625 | |
Freeport-McMoRan Inc. | 3.875% | 3/15/23 | 5,000 | 4,158 | |
7 | Glencore Funding LLC | 4.125% | 5/30/23 | 5,000 | 4,739 |
Goldcorp Inc. | 3.700% | 3/15/23 | 4,000 | 3,740 | |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 8,000 | 8,664 | |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 5,000 | 5,688 | |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 7,340 | 8,243 | |
Monsanto Co. | 2.125% | 7/15/19 | 7,397 | 7,347 | |
Monsanto Co. | 2.750% | 7/15/21 | 15,885 | 15,564 | |
Monsanto Co. | 2.200% | 7/15/22 | 14,160 | 13,161 | |
Monsanto Co. | 3.375% | 7/15/24 | 15,000 | 14,490 | |
Monsanto Co. | 2.850% | 4/15/25 | 6,000 | 5,538 | |
Newmont Mining Corp. | 3.500% | 3/15/22 | 4,000 | 3,647 | |
Packaging Corp. of America | 3.650% | 9/15/24 | 7,000 | 6,921 | |
Plains Exploration & Production Co. | 6.500% | 11/15/20 | 5,863 | 5,687 | |
Plains Exploration & Production Co. | 6.750% | 2/1/22 | 4,870 | 4,821 | |
Plains Exploration & Production Co. | 6.875% | 2/15/23 | 9,148 | 9,057 | |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 6,559 | 7,554 | |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 4,764 | 5,235 | |
Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 10,955 | 10,305 | |
PPG Industries Inc. | 3.600% | 11/15/20 | 10,840 | 11,335 | |
11 | PPG Industries Inc. | 0.875% | 3/13/22 | 6,563 | 7,015 |
11 | PPG Industries Inc. | 1.400% | 3/13/27 | 3,800 | 3,874 |
Praxair Inc. | 4.050% | 3/15/21 | 8,000 | 8,643 | |
Praxair Inc. | 3.000% | 9/1/21 | 16,915 | 17,602 | |
Praxair Inc. | 2.450% | 2/15/22 | 8,215 | 8,089 | |
Praxair Inc. | 2.650% | 2/5/25 | 2,865 | 2,772 | |
11 | Praxair Inc. | 1.625% | 12/1/25 | 8,000 | 8,769 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 3,000 | 3,725 | |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 11,500 | 11,905 | |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 12,935 | 13,651 | |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 18,820 | 19,362 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 11,670 | 11,368 | |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 11,000 | 11,040 | |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 5,000 | 4,789 | |
Southern Copper Corp. | 3.875% | 4/23/25 | 7,000 | 6,729 | |
Syngenta Finance NV | 3.125% | 3/28/22 | 8,895 | 8,799 | |
Teck Resources Ltd. | 3.000% | 3/1/19 | 2,000 | 1,800 | |
Teck Resources Ltd. | 4.500% | 1/15/21 | 2,000 | 1,705 | |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 6,000 | 6,452 | |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 5,000 | 5,243 |
57
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Vale Overseas Ltd. | 4.375% | 1/11/22 | 10,500 | 10,155 | |
Capital Goods (3.8%) | |||||
ABB Finance USA Inc. | 2.875% | 5/8/22 | 5,000 | 4,966 | |
7 | ABB Treasury Center USA Inc. | 4.000% | 6/15/21 | 7,000 | 7,492 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 10,000 | 11,009 | |
7 | Airbus Group Finance BV | 2.700% | 4/17/23 | 18,000 | 17,357 |
7 | BAE Systems Holdings Inc. | 3.800% | 10/7/24 | 15,000 | 15,026 |
Boeing Co. | 4.875% | 2/15/20 | 10,580 | 11,949 | |
Boeing Co. | 7.950% | 8/15/24 | 17,489 | 24,095 | |
Boeing Co. | 2.850% | 10/30/24 | 5,000 | 4,965 | |
10 | Bouygues SA | 5.500% | 10/6/26 | 8,750 | 16,197 |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 14,000 | 14,675 | |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 10,000 | 10,018 | |
Caterpillar Inc. | 3.400% | 5/15/24 | 18,000 | 18,332 | |
Crane Co. | 4.450% | 12/15/23 | 2,000 | 2,106 | |
7 | CRH America Inc. | 3.875% | 5/18/25 | 10,000 | 9,973 |
Danaher Corp. | 5.400% | 3/1/19 | 2,535 | 2,822 | |
Danaher Corp. | 3.900% | 6/23/21 | 22,957 | 24,737 | |
Deere & Co. | 4.375% | 10/16/19 | 11,850 | 12,940 | |
Deere & Co. | 2.600% | 6/8/22 | 29,800 | 29,290 | |
Dover Corp. | 4.300% | 3/1/21 | 7,000 | 7,721 | |
7 | Embraer Overseas Ltd. | 5.696% | 9/16/23 | 7,025 | 7,330 |
Embraer SA | 5.150% | 6/15/22 | 8,000 | 8,205 | |
Emerson Electric Co. | 2.625% | 2/15/23 | 29,150 | 28,753 | |
Flowserve Corp. | 3.500% | 9/15/22 | 5,000 | 5,004 | |
General Dynamics Corp. | 3.875% | 7/15/21 | 17,155 | 18,579 | |
General Dynamics Corp. | 2.250% | 11/15/22 | 21,925 | 20,722 | |
General Electric Co. | 2.700% | 10/9/22 | 47,000 | 46,342 | |
General Electric Co. | 3.375% | 3/11/24 | 5,655 | 5,777 | |
Harris Corp. | 2.700% | 4/27/20 | 2,680 | 2,639 | |
Harris Corp. | 3.832% | 4/27/25 | 10,000 | 9,828 | |
Honeywell International Inc. | 3.350% | 12/1/23 | 27,295 | 28,305 | |
Huntington Ingalls Industries Inc. | 7.125% | 3/15/21 | 7,320 | 7,713 | |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 5,000 | 4,908 | |
John Deere Capital Corp. | 2.000% | 1/13/17 | 9,500 | 9,636 | |
John Deere Capital Corp. | 1.200% | 10/10/17 | 1,250 | 1,249 | |
John Deere Capital Corp. | 5.350% | 4/3/18 | 3,000 | 3,309 | |
John Deere Capital Corp. | 5.750% | 9/10/18 | 8,000 | 8,953 | |
John Deere Capital Corp. | 1.700% | 1/15/20 | 7,000 | 6,863 | |
John Deere Capital Corp. | 2.800% | 3/4/21 | 7,005 | 7,134 | |
John Deere Capital Corp. | 3.150% | 10/15/21 | 8,050 | 8,257 | |
John Deere Capital Corp. | 2.750% | 3/15/22 | 26,550 | 26,490 | |
John Deere Capital Corp. | 2.800% | 1/27/23 | 4,000 | 3,977 | |
L-3 Communications Corp. | 5.200% | 10/15/19 | 8,500 | 9,226 | |
L-3 Communications Corp. | 4.750% | 7/15/20 | 4,000 | 4,248 | |
L-3 Communications Corp. | 3.950% | 5/28/24 | 2,000 | 1,941 | |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 28,523 | 29,341 | |
Lockheed Martin Corp. | 2.900% | 3/1/25 | 10,000 | 9,596 | |
11 | Mohawk Industries Inc. | 2.000% | 1/14/22 | 3,871 | 4,334 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 4,250 | 4,267 | |
Owens Corning | 6.500% | 12/1/16 | 121 | 128 | |
Owens Corning | 9.000% | 6/15/19 | 195 | 232 | |
Parker Hannifin Corp. | 3.500% | 9/15/22 | 4,885 | 5,047 | |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 20,015 | 20,259 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 34,382 | 33,226 | |
Raytheon Co. | 2.500% | 12/15/22 | 30,000 | 29,508 | |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 9,000 | 9,319 | |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 2,300 | 2,400 | |
Roper Industries Inc. | 3.125% | 11/15/22 | 3,000 | 2,944 | |
Roper Technologies Inc. | 2.050% | 10/1/18 | 3,175 | 3,170 | |
Roper Technologies Inc. | 6.250% | 9/1/19 | 2,700 | 3,080 | |
7 | Schneider Electric SE | 2.950% | 9/27/22 | 20,425 | 20,259 |
7 | Siemens Financieringsmaatschappij NV | 2.900% | 5/27/22 | 6,690 | 6,695 |
58
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Siemens Financieringsmaatschappij NV | 3.250% | 5/27/25 | 6,690 | 6,641 |
Textron Inc. | 3.875% | 3/1/25 | 7,000 | 6,982 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 5,285 | 5,226 | |
United Technologies Corp. | 3.100% | 6/1/22 | 14,000 | 14,114 | |
11 | United Technologies Corp. | 1.250% | 5/22/23 | 8,100 | 8,747 |
Communication (3.9%) | |||||
21st Century Fox America Inc. | 6.900% | 3/1/19 | 7,000 | 8,131 | |
America Movil SAB de CV | 5.000% | 10/16/19 | 12,000 | 13,206 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 18,500 | 20,465 | |
America Movil SAB de CV | 3.125% | 7/16/22 | 32,300 | 31,878 | |
American Tower Corp. | 4.500% | 1/15/18 | 10,000 | 10,545 | |
American Tower Corp. | 3.450% | 9/15/21 | 15,565 | 15,561 | |
American Tower Corp. | 3.500% | 1/31/23 | 5,000 | 4,824 | |
American Tower Corp. | 4.000% | 6/1/25 | 12,000 | 11,772 | |
AT&T Inc. | 5.500% | 2/1/18 | 6,085 | 6,623 | |
AT&T Inc. | 2.450% | 6/30/20 | 6,000 | 5,892 | |
AT&T Inc. | 4.450% | 5/15/21 | 21,500 | 22,842 | |
AT&T Inc. | 3.875% | 8/15/21 | 7,329 | 7,592 | |
AT&T Inc. | 3.000% | 2/15/22 | 7,396 | 7,238 | |
AT&T Inc. | 3.000% | 6/30/22 | 16,000 | 15,486 | |
AT&T Inc. | 3.900% | 3/11/24 | 6,000 | 6,093 | |
AT&T Inc. | 3.400% | 5/15/25 | 12,000 | 11,443 | |
British Telecommunications plc | 2.350% | 2/14/19 | 6,000 | 6,005 | |
CBS Corp. | 4.300% | 2/15/21 | 3,000 | 3,178 | |
CBS Corp. | 3.700% | 8/15/24 | 6,000 | 5,879 | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 5,685 | 5,670 | |
7 | CCO Safari II LLC | 4.908% | 7/23/25 | 15,000 | 15,024 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 9,966 | 13,806 | |
Comcast Corp. | 3.125% | 7/15/22 | 25,126 | 25,247 | |
Comcast Corp. | 3.600% | 3/1/24 | 32,000 | 32,790 | |
Comcast Corp. | 3.375% | 8/15/25 | 20,000 | 19,929 | |
10 | Deutsche Telekom International Finance BV | 6.500% | 4/8/22 | 7,200 | 13,732 |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 7,500 | 8,258 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 9,375 | 9,954 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 10,637 | 11,497 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 13,800 | 13,866 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.450% | 4/1/24 | 18,568 | 19,081 | |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 6,000 | 5,951 | |
7 | McGraw Hill Financial Inc. | 4.000% | 6/15/25 | 5,365 | 5,414 |
Moody's Corp. | 4.500% | 9/1/22 | 16,700 | 17,903 | |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 20,560 | 23,120 | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 28,710 | 31,129 | |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 15,000 | 14,721 | |
Omnicom Group Inc. | 4.450% | 8/15/20 | 10,427 | 11,272 | |
Omnicom Group Inc. | 3.625% | 5/1/22 | 14,163 | 14,304 | |
Omnicom Group Inc. | 3.650% | 11/1/24 | 6,000 | 5,931 | |
Orange SA | 2.750% | 2/6/19 | 6,200 | 6,314 | |
Orange SA | 4.125% | 9/14/21 | 6,400 | 6,778 | |
Qwest Corp. | 6.750% | 12/1/21 | 12,628 | 13,780 | |
Rogers Communications Inc. | 4.100% | 10/1/23 | 3,000 | 3,069 | |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 9,000 | 10,101 | |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 3,500 | 3,694 | |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 12,000 | 12,547 | |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 6,000 | 6,675 | |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 4,500 | 5,297 | |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 4,363 | 4,682 | |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 4,000 | 4,990 | |
Time Warner Inc. | 4.750% | 3/29/21 | 4,500 | 4,866 | |
Time Warner Inc. | 4.000% | 1/15/22 | 5,000 | 5,164 | |
Verizon Communications Inc. | 6.350% | 4/1/19 | 8,806 | 10,047 | |
Verizon Communications Inc. | 4.500% | 9/15/20 | 17,000 | 18,304 | |
Verizon Communications Inc. | 3.450% | 3/15/21 | 13,000 | 13,235 | |
Verizon Communications Inc. | 4.600% | 4/1/21 | 18,000 | 19,365 |
59
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Verizon Communications Inc. | 3.000% | 11/1/21 | 7,000 | 6,931 | |
Verizon Communications Inc. | 3.500% | 11/1/21 | 15,971 | 16,198 | |
Verizon Communications Inc. | 2.450% | 11/1/22 | 3,200 | 3,055 | |
Verizon Communications Inc. | 5.150% | 9/15/23 | 28,000 | 30,848 | |
Verizon Communications Inc. | 3.500% | 11/1/24 | 8,000 | 7,883 | |
Viacom Inc. | 3.125% | 6/15/22 | 4,365 | 4,133 | |
Vodafone Group plc | 1.500% | 2/19/18 | 3,750 | 3,700 | |
Vodafone Group plc | 4.375% | 3/16/21 | 4,500 | 4,764 | |
Vodafone Group plc | 2.950% | 2/19/23 | 1,904 | 1,796 | |
Walt Disney Co. | 2.350% | 12/1/22 | 10,000 | 9,699 | |
WPP Finance 2010 | 4.750% | 11/21/21 | 5,000 | 5,424 | |
Consumer Cyclical (5.1%) | |||||
7 | Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 5,130 | 5,084 |
7 | Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 27,760 | 27,271 |
7 | Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 39,665 | 38,149 |
Amazon.com Inc. | 3.300% | 12/5/21 | 1,000 | 1,019 | |
American Honda Finance Corp. | 2.125% | 10/10/18 | 7,235 | 7,317 | |
AutoZone Inc. | 3.700% | 4/15/22 | 15,915 | 16,374 | |
AutoZone Inc. | 2.875% | 1/15/23 | 8,500 | 8,199 | |
Brinker International Inc. | 3.875% | 5/15/23 | 7,000 | 6,788 | |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 6,880 | 6,697 | |
Cummins Inc. | 3.650% | 10/1/23 | 7,500 | 7,841 | |
CVS Health Corp. | 2.800% | 7/20/20 | 35,605 | 35,941 | |
CVS Health Corp. | 2.750% | 12/1/22 | 6,156 | 5,950 | |
CVS Health Corp. | 3.875% | 7/20/25 | 12,000 | 12,216 | |
7 | Daimler Finance North America LLC | 1.650% | 3/2/18 | 5,130 | 5,110 |
7 | Daimler Finance North America LLC | 2.250% | 3/2/20 | 5,130 | 5,067 |
7 | Daimler Finance North America LLC | 2.450% | 5/18/20 | 5,290 | 5,248 |
7 | Daimler Finance North America LLC | 2.875% | 3/10/21 | 11,605 | 11,694 |
7 | Daimler Finance North America LLC | 3.875% | 9/15/21 | 3,506 | 3,705 |
7 | Daimler Finance North America LLC | 3.250% | 8/1/24 | 6,500 | 6,486 |
Dollar General Corp. | 3.250% | 4/15/23 | 4,500 | 4,314 | |
eBay Inc. | 2.875% | 8/1/21 | 8,385 | 8,071 | |
eBay Inc. | 2.600% | 7/15/22 | 10,000 | 9,223 | |
eBay Inc. | 3.450% | 8/1/24 | 2,200 | 2,094 | |
Expedia Inc. | 4.500% | 8/15/24 | 7,000 | 7,074 | |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 5,250 | 5,349 | |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 13,056 | 14,221 | |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 17,348 | 18,612 | |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 5,500 | 6,653 | |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 5,350 | 5,360 | |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 19,545 | 21,978 | |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 18,000 | 20,297 | |
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 5,000 | 4,902 | |
Gap Inc. | 5.950% | 4/12/21 | 5,000 | 5,606 | |
General Motors Co. | 4.875% | 10/2/23 | 6,000 | 6,172 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 11,340 | 11,510 | |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 20,000 | 20,475 | |
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 5,000 | 4,825 | |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 10,000 | 9,875 | |
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 4,000 | 3,850 | |
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 3,000 | 2,963 | |
7 | Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 3,618 | 3,696 |
7 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 3,945 | 3,920 |
7 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 12,380 | 14,084 |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 12,000 | 12,003 | |
Harman International Industries Inc. | 4.150% | 5/15/25 | 10,000 | 9,930 | |
Home Depot Inc. | 2.625% | 6/1/22 | 6,960 | 6,892 | |
Home Depot Inc. | 2.700% | 4/1/23 | 14,625 | 14,418 | |
Home Depot Inc. | 3.750% | 2/15/24 | 15,000 | 15,740 | |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 10,000 | 9,869 | |
7 | Kia Motors Corp. | 3.625% | 6/14/16 | 3,200 | 3,254 |
Kohl's Corp. | 3.250% | 2/1/23 | 5,970 | 5,854 |
60
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Kohl's Corp. | 4.250% | 7/17/25 | 3,000 | 3,003 | |
L Brands Inc. | 6.625% | 4/1/21 | 3,628 | 4,095 | |
L Brands Inc. | 5.625% | 10/15/23 | 5,000 | 5,294 | |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 11,350 | 12,139 | |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 6,650 | 7,075 | |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 15,000 | 15,220 | |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 22,795 | 24,175 | |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 7,925 | 7,923 | |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 7,500 | 7,165 | |
Marriott International Inc. | 6.375% | 6/15/17 | 3,040 | 3,299 | |
Marriott International Inc. | 3.000% | 3/1/19 | 2,500 | 2,567 | |
Marriott International Inc. | 3.250% | 9/15/22 | 3,500 | 3,492 | |
MasterCard Inc. | 2.000% | 4/1/19 | 1,250 | 1,259 | |
MasterCard Inc. | 3.375% | 4/1/24 | 16,000 | 16,408 | |
McDonald's Corp. | 3.625% | 5/20/21 | 4,500 | 4,740 | |
McDonald's Corp. | 2.625% | 1/15/22 | 9,000 | 8,795 | |
Nordstrom Inc. | 4.000% | 10/15/21 | 7,500 | 8,032 | |
NVR Inc. | 3.950% | 9/15/22 | 10,000 | 10,188 | |
O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 5,320 | 5,849 | |
O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 7,000 | 7,576 | |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 4,000 | 4,100 | |
PACCAR Financial Corp. | 1.600% | 3/15/17 | 2,500 | 2,525 | |
11 | Priceline Group Inc. | 1.800% | 3/3/27 | 8,000 | 8,039 |
QVC Inc. | 3.125% | 4/1/19 | 2,000 | 1,996 | |
QVC Inc. | 4.850% | 4/1/24 | 5,000 | 5,018 | |
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 1,600 | 1,639 | |
Staples Inc. | 2.750% | 1/12/18 | 5,150 | 5,209 | |
Starbucks Corp. | 2.700% | 6/15/22 | 9,745 | 9,777 | |
Starbucks Corp. | 3.850% | 10/1/23 | 12,000 | 12,717 | |
Target Corp. | 2.900% | 1/15/22 | 4,500 | 4,572 | |
Target Corp. | 3.500% | 7/1/24 | 15,985 | 16,520 | |
TJX Cos. Inc. | 6.950% | 4/15/19 | 15,663 | 18,346 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 6,000 | 6,090 | |
TJX Cos. Inc. | 2.500% | 5/15/23 | 16,900 | 16,332 | |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 9,000 | 9,930 | |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 5,155 | 5,631 | |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 24,460 | 25,439 | |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 16,000 | 16,528 | |
VF Corp. | 3.500% | 9/1/21 | 5,505 | 5,837 | |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 6,720 | 7,202 | |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 21,195 | 22,335 | |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 13,619 | 14,918 | |
11 | Wal-Mart Stores Inc. | 1.900% | 4/8/22 | 7,000 | 8,119 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 68,021 | 66,449 | |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 25,930 | 26,467 | |
Walgreen Co. | 5.250% | 1/15/19 | 4,125 | 4,535 | |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 15,000 | 14,936 | |
7 | Wesfarmers Ltd. | 1.874% | 3/20/18 | 6,000 | 5,994 |
11 | Wesfarmers Ltd. | 2.750% | 8/2/22 | 5,000 | 6,027 |
Wyndham Worldwide Corp. | 5.625% | 3/1/21 | 2,500 | 2,750 | |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 4,000 | 4,030 | |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,000 | 1,978 | |
Consumer Noncyclical (9.4%) | |||||
Abbott Laboratories | 2.550% | 3/15/22 | 9,000 | 8,818 | |
Abbott Laboratories | 2.950% | 3/15/25 | 5,000 | 4,818 | |
AbbVie Inc. | 3.600% | 5/14/25 | 20,000 | 19,728 | |
Actavis Funding SCS | 3.450% | 3/15/22 | 21,500 | 21,203 | |
Actavis Funding SCS | 3.850% | 6/15/24 | 25,000 | 24,635 | |
Actavis Inc. | 3.250% | 10/1/22 | 30,191 | 29,366 | |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 2,000 | 2,196 | |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 10,000 | 9,757 | |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 7,500 | 7,586 | |
Allergan Inc. | 3.375% | 9/15/20 | 5,333 | 5,421 |
61
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Allergan Inc. | 2.800% | 3/15/23 | 5,000 | 4,676 | |
Altria Group Inc. | 9.250% | 8/6/19 | 8,014 | 10,015 | |
Altria Group Inc. | 2.850% | 8/9/22 | 29,650 | 28,790 | |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 6,270 | 6,904 | |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 8,000 | 7,953 | |
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 10,000 | 9,705 | |
Amgen Inc. | 6.150% | 6/1/18 | 5,000 | 5,608 | |
Amgen Inc. | 3.625% | 5/15/22 | 12,000 | 12,215 | |
Amgen Inc. | 3.625% | 5/22/24 | 14,000 | 14,008 | |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 80 | 88 | |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 3,145 | 3,461 | |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 12,382 | 11,852 | |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 15,000 | 15,422 | |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 5,570 | 6,597 | |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 8,514 | 10,105 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 7,210 | 8,159 | |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 12,286 | 13,739 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 30,792 | 29,725 | |
7 | BAT International Finance plc | 9.500% | 11/15/18 | 4,000 | 4,928 |
7 | Baxalta Inc. | 3.600% | 6/23/22 | 7,000 | 7,024 |
7 | Baxalta Inc. | 4.000% | 6/23/25 | 10,000 | 9,929 |
Baxter International Inc. | 5.375% | 6/1/18 | 2,000 | 2,199 | |
Baxter International Inc. | 4.500% | 8/15/19 | 2,000 | 2,174 | |
Baxter International Inc. | 4.250% | 3/15/20 | 3,000 | 3,227 | |
7 | Bayer US Finance LLC | 3.000% | 10/8/21 | 7,000 | 7,042 |
7 | Bayer US Finance LLC | 3.375% | 10/8/24 | 13,000 | 12,987 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 4,700 | 5,147 | |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 7,000 | 7,217 | |
Boston Scientific Corp. | 6.000% | 1/15/20 | 6,500 | 7,344 | |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,000 | 2,047 | |
Boston Scientific Corp. | 3.850% | 5/15/25 | 6,500 | 6,275 | |
Bottling Group LLC | 5.125% | 1/15/19 | 2,275 | 2,520 | |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 15,200 | 14,464 | |
Cardinal Health Inc. | 3.500% | 11/15/24 | 7,000 | 6,887 | |
7 | Cargill Inc. | 4.307% | 5/14/21 | 8,565 | 9,337 |
7 | Cargill Inc. | 3.250% | 11/15/21 | 7,515 | 7,785 |
11 | Cargill Inc. | 2.500% | 2/15/23 | 5,000 | 5,930 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 1,500 | 1,475 | |
Catholic Health Initiatives Colorado GO | 4.200% | 8/1/23 | 2,000 | 2,132 | |
Celgene Corp. | 3.250% | 8/15/22 | 12,000 | 11,839 | |
Clorox Co. | 3.800% | 11/15/21 | 5,000 | 5,296 | |
Clorox Co. | 3.050% | 9/15/22 | 1,400 | 1,375 | |
Coca-Cola Co. | 3.150% | 11/15/20 | 7,950 | 8,302 | |
Coca-Cola Co. | 3.300% | 9/1/21 | 10,245 | 10,724 | |
Coca-Cola Co. | 3.200% | 11/1/23 | 28,420 | 28,941 | |
11 | Coca-Cola Co. | 1.125% | 3/9/27 | 10,000 | 10,326 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 3,095 | 3,151 | |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 5,000 | 5,438 | |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 12,500 | 13,104 | |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 8,000 | 7,858 | |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 2,079 | 1,988 | |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 17,000 | 16,329 | |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 20,375 | 21,045 | |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 2,502 | 2,846 | |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 8,450 | 8,067 | |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 10,000 | 9,403 | |
Constellation Brands Inc. | 3.750% | 5/1/21 | 4,250 | 4,277 | |
Constellation Brands Inc. | 4.750% | 11/15/24 | 5,000 | 5,075 | |
Covidien International Finance SA | 4.200% | 6/15/20 | 7,735 | 8,321 | |
Covidien International Finance SA | 3.200% | 6/15/22 | 13,500 | 13,618 | |
Covidien International Finance SA | 2.950% | 6/15/23 | 27,330 | 26,788 | |
DENTSPLY International Inc. | 4.125% | 8/15/21 | 1,900 | 2,012 | |
Diageo Capital plc | 4.828% | 7/15/20 | 5,689 | 6,281 | |
Diageo Capital plc | 2.625% | 4/29/23 | 10,300 | 9,817 |
62
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Diageo Investment Corp. | 2.875% | 5/11/22 | 11,000 | 10,832 | |
Dignity Health | 3.812% | 11/1/24 | 1,000 | 1,044 | |
11 | Eli Lilly & Co. | 1.000% | 6/2/22 | 4,900 | 5,376 |
11 | Eli Lilly & Co. | 1.625% | 6/2/26 | 3,600 | 3,929 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 5,000 | 4,896 | |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 3,000 | 3,516 | |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 7,625 | 8,236 | |
Flowers Foods Inc. | 4.375% | 4/1/22 | 2,000 | 2,112 | |
Genzyme Corp. | 5.000% | 6/15/20 | 15,349 | 17,467 | |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 9,050 | 9,820 | |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 37,655 | 38,531 | |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 57,084 | 57,602 | |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 16,570 | 16,326 | |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 10,000 | 10,001 | |
7 | Grupo Bimbo SAB de CV | 3.875% | 6/27/24 | 12,000 | 12,010 |
Hershey Co. | 4.125% | 12/1/20 | 4,125 | 4,520 | |
Hershey Co. | 2.625% | 5/1/23 | 20,450 | 20,290 | |
Hormel Foods Corp. | 4.125% | 4/15/21 | 625 | 687 | |
7 | JM Smucker Co. | 2.500% | 3/15/20 | 1,575 | 1,573 |
7 | JM Smucker Co. | 3.000% | 3/15/22 | 10,000 | 9,848 |
7 | JM Smucker Co. | 3.500% | 3/15/25 | 8,000 | 7,880 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 5,765 | 5,893 | |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 10,000 | 11,831 | |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 3,300 | 3,507 | |
Koninklijke Philips NV | 3.750% | 3/15/22 | 5,000 | 5,077 | |
Kraft Heinz Foods Co. | 6.125% | 8/23/18 | 6,000 | 6,706 | |
Kraft Heinz Foods Co. | 3.500% | 6/6/22 | 6,000 | 6,070 | |
Kroger Co. | 2.200% | 1/15/17 | 2,920 | 2,954 | |
Kroger Co. | 3.300% | 1/15/21 | 5,500 | 5,617 | |
Kroger Co. | 2.950% | 11/1/21 | 3,000 | 2,982 | |
Kroger Co. | 3.400% | 4/15/22 | 3,000 | 3,038 | |
Kroger Co. | 3.850% | 8/1/23 | 5,000 | 5,140 | |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 2,000 | 1,930 | |
11 | Luxottica Group SPA | 2.625% | 2/10/24 | 11,000 | 13,254 |
McKesson Corp. | 7.500% | 2/15/19 | 6,100 | 7,203 | |
McKesson Corp. | 2.850% | 3/15/23 | 5,000 | 4,808 | |
7 | Medtronic Inc. | 2.500% | 3/15/20 | 17,700 | 17,819 |
Medtronic Inc. | 4.450% | 3/15/20 | 10,000 | 10,933 | |
Medtronic Inc. | 3.125% | 3/15/22 | 7,000 | 7,078 | |
7 | Medtronic Inc. | 3.150% | 3/15/22 | 36,853 | 36,968 |
Medtronic Inc. | 2.750% | 4/1/23 | 20,000 | 19,410 | |
Medtronic Inc. | 3.625% | 3/15/24 | 10,000 | 10,251 | |
7 | Medtronic Inc. | 3.500% | 3/15/25 | 71,300 | 71,256 |
Merck & Co. Inc. | 2.350% | 2/10/22 | 3,804 | 3,719 | |
Merck & Co. Inc. | 2.400% | 9/15/22 | 2,380 | 2,312 | |
Merck & Co. Inc. | 2.800% | 5/18/23 | 42,254 | 41,678 | |
Merck & Co. Inc. | 2.750% | 2/10/25 | 41,960 | 40,032 | |
Mondelez International Inc. | 2.250% | 2/1/19 | 5,000 | 5,028 | |
11 | Mondelez International Inc. | 1.000% | 3/7/22 | 4,275 | 4,593 |
Mondelez International Inc. | 4.000% | 2/1/24 | 3,000 | 3,112 | |
11 | Mondelez International Inc. | 1.625% | 3/8/27 | 13,000 | 13,353 |
7 | Mylan Inc. | 3.125% | 1/15/23 | 16,325 | 15,598 |
Newell Rubbermaid Inc. | 4.000% | 12/1/24 | 4,500 | 4,543 | |
Novartis Capital Corp. | 4.400% | 4/24/20 | 5,000 | 5,532 | |
Novartis Capital Corp. | 2.400% | 9/21/22 | 29,555 | 28,745 | |
Novartis Capital Corp. | 3.400% | 5/6/24 | 10,000 | 10,215 | |
PepsiCo Inc. | 4.500% | 1/15/20 | 13,800 | 15,121 | |
PepsiCo Inc. | 3.000% | 8/25/21 | 17,990 | 18,436 | |
PepsiCo Inc. | 2.750% | 3/5/22 | 13,860 | 13,755 | |
PepsiCo Inc. | 3.100% | 7/17/22 | 21,550 | 21,932 | |
PepsiCo Inc. | 2.750% | 3/1/23 | 9,000 | 8,862 | |
PepsiCo Inc. | 3.600% | 3/1/24 | 32,563 | 33,613 | |
PepsiCo Inc. | 2.750% | 4/30/25 | 20,000 | 19,240 | |
PepsiCo Inc. | 3.500% | 7/17/25 | 23,900 | 24,227 |
63
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
PerkinElmer Inc. | 5.000% | 11/15/21 | 8,000 | 8,696 | |
7 | Pernod Ricard SA | 5.750% | 4/7/21 | 2,250 | 2,533 |
7 | Pernod Ricard SA | 4.450% | 1/15/22 | 10,000 | 10,551 |
7 | Pernod Ricard SA | 4.250% | 7/15/22 | 5,000 | 5,205 |
Perrigo Finance plc | 3.900% | 12/15/24 | 10,000 | 9,840 | |
Pfizer Inc. | 3.000% | 6/15/23 | 10,000 | 9,974 | |
Pfizer Inc. | 3.400% | 5/15/24 | 16,737 | 16,905 | |
Pharmacia Corp. | 6.500% | 12/1/18 | 6,045 | 6,977 | |
Philip Morris International Inc. | 2.900% | 11/15/21 | 6,000 | 6,084 | |
Philip Morris International Inc. | 2.500% | 8/22/22 | 8,425 | 8,176 | |
Philip Morris International Inc. | 2.625% | 3/6/23 | 2,000 | 1,930 | |
Philip Morris International Inc. | 3.600% | 11/15/23 | 5,000 | 5,149 | |
Philip Morris International Inc. | 3.250% | 11/10/24 | 16,000 | 15,902 | |
Procter & Gamble Co. | 3.100% | 8/15/23 | 5,000 | 5,086 | |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 1,000 | 1,098 | |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 4,000 | 4,343 | |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 2,000 | 2,048 | |
7 | Reynolds American Inc. | 6.875% | 5/1/20 | 7,065 | 8,193 |
Reynolds American Inc. | 4.000% | 6/12/22 | 5,000 | 5,144 | |
Reynolds American Inc. | 3.250% | 11/1/22 | 5,011 | 4,873 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 20,000 | 20,566 | |
7 | Roche Holdings Inc. | 6.000% | 3/1/19 | 13,574 | 15,419 |
7 | Roche Holdings Inc. | 3.350% | 9/30/24 | 12,000 | 12,173 |
Sanofi | 4.000% | 3/29/21 | 12,500 | 13,478 | |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 9,138 | 9,059 | |
Stryker Corp. | 4.375% | 1/15/20 | 4,000 | 4,373 | |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 9,248 | 9,416 | |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 16,158 | 15,506 | |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 8,791 | 8,951 | |
Thermo Fisher Scientific Inc. | 2.250% | 8/15/16 | 2,840 | 2,869 | |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 4,400 | 4,849 | |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 4,100 | 4,393 | |
11 | Thermo Fisher Scientific Inc. | 2.000% | 4/15/25 | 6,000 | 6,455 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 5,750 | 6,106 | |
Tyson Foods Inc. | 3.950% | 8/15/24 | 23,150 | 23,418 | |
Unilever Capital Corp. | 4.800% | 2/15/19 | 1,920 | 2,112 | |
Unilever Capital Corp. | 3.100% | 7/30/25 | 12,000 | 11,962 | |
Wyeth LLC | 5.500% | 2/15/16 | 5,000 | 5,132 | |
Zimmer Holdings Inc. | 3.550% | 4/1/25 | 15,000 | 14,501 | |
Zoetis Inc. | 3.250% | 2/1/23 | 5,000 | 4,795 | |
Energy (7.4%) | |||||
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 3,000 | 2,939 | |
Baker Hughes Inc. | 7.500% | 11/15/18 | 4,845 | 5,656 | |
BP Capital Markets plc | 1.375% | 5/10/18 | 2,000 | 1,987 | |
BP Capital Markets plc | 4.750% | 3/10/19 | 8,350 | 9,157 | |
BP Capital Markets plc | 2.521% | 1/15/20 | 5,000 | 5,062 | |
BP Capital Markets plc | 4.500% | 10/1/20 | 20,500 | 22,538 | |
BP Capital Markets plc | 4.742% | 3/11/21 | 8,748 | 9,643 | |
BP Capital Markets plc | 3.561% | 11/1/21 | 31,470 | 32,693 | |
BP Capital Markets plc | 3.062% | 3/17/22 | 8,970 | 8,985 | |
BP Capital Markets plc | 3.245% | 5/6/22 | 35,000 | 35,227 | |
BP Capital Markets plc | 2.500% | 11/6/22 | 16,352 | 15,680 | |
BP Capital Markets plc | 2.750% | 5/10/23 | 34,560 | 33,067 | |
BP Capital Markets plc | 3.994% | 9/26/23 | 5,000 | 5,192 | |
BP Capital Markets plc | 3.814% | 2/10/24 | 35,410 | 36,073 | |
BP Capital Markets plc | 3.506% | 3/17/25 | 14,970 | 14,811 | |
Cameron International Corp. | 3.600% | 4/30/22 | 1,335 | 1,309 | |
Cameron International Corp. | 4.000% | 12/15/23 | 5,000 | 4,952 | |
Cameron International Corp. | 3.700% | 6/15/24 | 5,000 | 4,821 | |
Cenovus Energy Inc. | 3.800% | 9/15/23 | 10,225 | 10,024 | |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 3,000 | 3,249 | |
Chevron Corp. | 4.950% | 3/3/19 | 3,347 | 3,695 | |
Chevron Corp. | 2.193% | 11/15/19 | 2,000 | 2,018 |
64
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Chevron Corp. | 1.961% | 3/3/20 | 9,220 | 9,158 | |
Chevron Corp. | 2.411% | 3/3/22 | 8,315 | 8,133 | |
Chevron Corp. | 2.355% | 12/5/22 | 46,500 | 44,487 | |
Chevron Corp. | 3.191% | 6/24/23 | 29,083 | 29,333 | |
ConocoPhillips | 6.000% | 1/15/20 | 5,000 | 5,781 | |
ConocoPhillips Co. | 2.875% | 11/15/21 | 12,000 | 12,007 | |
ConocoPhillips Co. | 2.400% | 12/15/22 | 10,000 | 9,411 | |
ConocoPhillips Co. | 3.350% | 11/15/24 | 23,184 | 22,933 | |
Continental Resources Inc. | 5.000% | 9/15/22 | 14,000 | 13,300 | |
Continental Resources Inc. | 3.800% | 6/1/24 | 5,000 | 4,413 | |
Devon Energy Corp. | 6.300% | 1/15/19 | 5,000 | 5,645 | |
Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 5,000 | 5,571 | |
Diamond Offshore Drilling Inc. | 3.450% | 11/1/23 | 6,000 | 5,730 | |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 25,000 | 24,926 | |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 1,750 | 1,926 | |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 2,500 | 2,704 | |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 6,150 | 6,305 | |
5 | Enbridge Energy Partners LP | 8.050% | 10/1/77 | 1,110 | 1,132 |
Enbridge Inc. | 3.500% | 6/10/24 | 3,000 | 2,804 | |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 4,432 | 5,377 | |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 2,334 | 2,782 | |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 7,850 | 8,044 | |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 11,530 | 11,910 | |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 5,909 | 5,507 | |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 3,042 | 3,066 | |
Energy Transfer Partners LP | 4.050% | 3/15/25 | 15,000 | 13,980 | |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 5,000 | 4,876 | |
Ensco plc | 4.700% | 3/15/21 | 14,300 | 14,026 | |
Ensco plc | 5.200% | 3/15/25 | 6,000 | 5,704 | |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 5,500 | 5,378 | |
5 | Enterprise Products Operating LLC | 8.375% | 8/1/66 | 1,500 | 1,530 |
EOG Resources Inc. | 5.625% | 6/1/19 | 10,250 | 11,544 | |
EOG Resources Inc. | 2.450% | 4/1/20 | 5,950 | 5,996 | |
EOG Resources Inc. | 4.400% | 6/1/20 | 12,000 | 13,141 | |
EOG Resources Inc. | 4.100% | 2/1/21 | 11,000 | 11,737 | |
EOG Resources Inc. | 2.625% | 3/15/23 | 23,885 | 23,062 | |
EOG Resources Inc. | 3.150% | 4/1/25 | 14,630 | 14,322 | |
EQT Corp. | 8.125% | 6/1/19 | 5,500 | 6,516 | |
EQT Corp. | 4.875% | 11/15/21 | 4,000 | 4,187 | |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 8,825 | 8,699 | |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 21,100 | 20,476 | |
Halliburton Co. | 6.150% | 9/15/19 | 4,631 | 5,323 | |
Halliburton Co. | 3.250% | 11/15/21 | 10,800 | 11,006 | |
Halliburton Co. | 3.500% | 8/1/23 | 5,000 | 5,022 | |
Hess Corp. | 8.125% | 2/15/19 | 5,075 | 5,991 | |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 2,100 | 2,071 | |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 5,410 | 6,451 | |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 8,227 | 9,410 | |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,000 | 5,434 | |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 1,240 | 1,218 | |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 7,060 | 6,999 | |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 13,600 | 12,911 | |
11 | Kinder Morgan Inc. | 2.250% | 3/16/27 | 8,000 | 8,156 |
Marathon Oil Corp. | 3.850% | 6/1/25 | 15,000 | 14,490 | |
Nabors Industries Inc. | 5.000% | 9/15/20 | 3,319 | 3,451 | |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 24,000 | 22,798 | |
Noble Energy Inc. | 8.250% | 3/1/19 | 6,000 | 7,137 | |
Noble Energy Inc. | 3.900% | 11/15/24 | 1,000 | 978 | |
Noble Holding International Ltd. | 4.900% | 8/1/20 | 5,000 | 4,807 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 20,922 | 22,291 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 19,080 | 19,077 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 32,604 | 31,252 | |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 6,000 | 6,006 | |
ONEOK Partners LP | 8.625% | 3/1/19 | 2,000 | 2,370 |
65
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
ONEOK Partners LP | 3.375% | 10/1/22 | 12,083 | 11,163 | |
Petro-Canada | 6.050% | 5/15/18 | 4,000 | 4,439 | |
Phillips 66 | 2.950% | 5/1/17 | 4,000 | 4,102 | |
Phillips 66 | 4.300% | 4/1/22 | 9,000 | 9,485 | |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 3,000 | 3,002 | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 14,970 | 15,053 | |
Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 1,902 | 1,804 | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 9,542 | 9,222 | |
Pride International Inc. | 6.875% | 8/15/20 | 12,178 | 13,649 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 5.000% | 10/1/22 | 7,410 | 7,401 | |
Rowan Cos. Inc. | 4.875% | 6/1/22 | 8,000 | 7,702 | |
7 | Schlumberger Investment SA | 3.300% | 9/14/21 | 20,900 | 21,373 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 28,000 | 29,085 | |
Shell International Finance BV | 5.200% | 3/22/17 | 2,680 | 2,855 | |
Shell International Finance BV | 4.300% | 9/22/19 | 16,000 | 17,390 | |
Shell International Finance BV | 4.375% | 3/25/20 | 14,035 | 15,346 | |
Shell International Finance BV | 2.375% | 8/21/22 | 29,609 | 28,611 | |
Shell International Finance BV | 2.250% | 1/6/23 | 10,500 | 9,941 | |
Shell International Finance BV | 3.400% | 8/12/23 | 5,000 | 5,135 | |
Shell International Finance BV | 3.250% | 5/11/25 | 38,000 | 37,430 | |
Southwestern Energy Co. | 7.500% | 2/1/18 | 5,000 | 5,513 | |
Southwestern Energy Co. | 4.050% | 1/23/20 | 5,000 | 5,074 | |
Southwestern Energy Co. | 4.100% | 3/15/22 | 7,000 | 6,772 | |
Southwestern Energy Co. | 4.950% | 1/23/25 | 10,000 | 9,758 | |
Suncor Energy Inc. | 3.600% | 12/1/24 | 6,745 | 6,709 | |
Talisman Energy Inc. | 7.750% | 6/1/19 | 3,000 | 3,477 | |
Talisman Energy Inc. | 3.750% | 2/1/21 | 3,300 | 3,248 | |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 7,700 | 7,708 | |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 19,420 | 18,748 | |
Total Capital International SA | 2.750% | 6/19/21 | 7,000 | 7,059 | |
12 | Total Capital International SA | 4.250% | 11/26/21 | 9,816 | 7,389 |
Total Capital International SA | 2.875% | 2/17/22 | 31,378 | 31,263 | |
Total Capital International SA | 2.700% | 1/25/23 | 23,160 | 22,460 | |
Total Capital International SA | 3.700% | 1/15/24 | 10,000 | 10,302 | |
Total Capital International SA | 3.750% | 4/10/24 | 25,000 | 25,828 | |
Total Capital SA | 4.450% | 6/24/20 | 20,212 | 22,245 | |
Total Capital SA | 4.125% | 1/28/21 | 12,525 | 13,477 | |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 4,292 | 4,574 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 530 | 507 | |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 18,315 | 18,603 | |
5 | TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 2,000 | 1,858 |
Transocean Inc. | 6.875% | 12/15/21 | 5,000 | 4,225 | |
Valero Energy Corp. | 9.375% | 3/15/19 | 4,200 | 5,169 | |
Weatherford International Ltd. | 9.625% | 3/1/19 | 3,750 | 4,271 | |
Weatherford International Ltd. | 5.125% | 9/15/20 | 9,647 | 9,290 | |
Weatherford International Ltd. | 4.500% | 4/15/22 | 2,000 | 1,817 | |
Williams Cos. Inc. | 4.550% | 6/24/24 | 17,000 | 15,982 | |
Williams Partners LP | 4.500% | 11/15/23 | 11,000 | 10,896 | |
Williams Partners LP | 4.000% | 9/15/25 | 15,000 | 13,947 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 5,000 | 4,875 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 9,000 | 8,843 | |
7 | Woodside Finance Ltd. | 3.650% | 3/5/25 | 15,000 | 14,357 |
Other Industrial (0.3%) | |||||
Fluor Corp. | 3.500% | 12/15/24 | 31,375 | 31,984 | |
7 | Hutchison Whampoa Finance CI Ltd. | 3.625% | 10/31/24 | 5,000 | 4,929 |
7 | Hutchison Whampoa International 11 Ltd. | 4.625% | 1/13/22 | 19,240 | 20,780 |
Technology (6.1%) | |||||
Adobe Systems Inc. | 3.250% | 2/1/25 | 4,000 | 3,849 | |
Altera Corp. | 1.750% | 5/15/17 | 3,205 | 3,222 | |
Altera Corp. | 2.500% | 11/15/18 | 10,000 | 10,171 | |
Altera Corp. | 4.100% | 11/15/23 | 4,623 | 4,921 | |
Apple Inc. | 2.000% | 5/6/20 | 9,585 | 9,548 |
66
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Apple Inc. | 2.850% | 5/6/21 | 37,125 | 37,626 | |
Apple Inc. | 2.150% | 2/9/22 | 19,000 | 18,372 | |
Apple Inc. | 2.700% | 5/13/22 | 19,350 | 19,234 | |
11 | Apple Inc. | 1.000% | 11/10/22 | 7,500 | 8,214 |
Apple Inc. | 2.400% | 5/3/23 | 104,325 | 99,696 | |
Apple Inc. | 3.450% | 5/6/24 | 54,000 | 55,282 | |
Apple Inc. | 2.500% | 2/9/25 | 23,500 | 22,055 | |
Apple Inc. | 3.200% | 5/13/25 | 34,675 | 34,509 | |
11 | Apple Inc. | 1.625% | 11/10/26 | 5,000 | 5,504 |
Applied Materials Inc. | 4.300% | 6/15/21 | 10,615 | 11,413 | |
Autodesk Inc. | 3.125% | 6/15/20 | 5,000 | 5,029 | |
Autodesk Inc. | 4.375% | 6/15/25 | 10,000 | 10,126 | |
Baidu Inc. | 3.250% | 8/6/18 | 10,100 | 10,329 | |
Baidu Inc. | 3.500% | 11/28/22 | 13,000 | 12,878 | |
Broadcom Corp. | 2.500% | 8/15/22 | 9,000 | 8,921 | |
Broadcom Corp. | 3.500% | 8/1/24 | 6,485 | 6,481 | |
CA Inc. | 3.600% | 8/1/20 | 4,015 | 4,033 | |
Corning Inc. | 4.250% | 8/15/20 | 9,000 | 9,804 | |
Corning Inc. | 2.900% | 5/15/22 | 6,980 | 6,989 | |
Corning Inc. | 3.700% | 11/15/23 | 15,000 | 15,555 | |
EMC Corp. | 3.375% | 6/1/23 | 15,500 | 15,529 | |
Equifax Inc. | 6.300% | 7/1/17 | 5,000 | 5,419 | |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 9,165 | 8,656 | |
Fiserv Inc. | 2.700% | 6/1/20 | 5,350 | 5,351 | |
Fiserv Inc. | 3.500% | 10/1/22 | 8,000 | 8,067 | |
Fiserv Inc. | 3.850% | 6/1/25 | 3,000 | 2,981 | |
Hewlett-Packard Co. | 2.750% | 1/14/19 | 6,250 | 6,327 | |
Hewlett-Packard Co. | 3.750% | 12/1/20 | 5,024 | 5,194 | |
Hewlett-Packard Co. | 4.300% | 6/1/21 | 5,000 | 5,232 | |
Hewlett-Packard Co. | 4.375% | 9/15/21 | 4,022 | 4,215 | |
Intel Corp. | 2.450% | 7/29/20 | 5,075 | 5,105 | |
Intel Corp. | 3.300% | 10/1/21 | 34,900 | 36,029 | |
Intel Corp. | 3.100% | 7/29/22 | 11,500 | 11,540 | |
Intel Corp. | 2.700% | 12/15/22 | 28,000 | 27,200 | |
Intel Corp. | 3.700% | 7/29/25 | 47,621 | 48,108 | |
International Business Machines Corp. | 1.875% | 8/1/22 | 17,000 | 15,815 | |
International Business Machines Corp. | 3.375% | 8/1/23 | 31,000 | 31,211 | |
International Business Machines Corp. | 3.625% | 2/12/24 | 23,000 | 23,333 | |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,285 | 1,312 | |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 3,000 | 3,055 | |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 5,000 | 4,942 | |
Lam Research Corp. | 3.800% | 3/15/25 | 4,000 | 3,900 | |
Microsoft Corp. | 2.375% | 2/12/22 | 38,500 | 37,944 | |
Microsoft Corp. | 2.125% | 11/15/22 | 9,000 | 8,650 | |
Microsoft Corp. | 3.625% | 12/15/23 | 19,000 | 19,890 | |
Microsoft Corp. | 2.700% | 2/12/25 | 39,250 | 37,847 | |
11 | Microsoft Corp. | 3.125% | 12/6/28 | 5,593 | 7,094 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 7,000 | 6,881 | |
Oracle Corp. | 2.375% | 1/15/19 | 3,250 | 3,312 | |
Oracle Corp. | 3.875% | 7/15/20 | 13,000 | 13,955 | |
Oracle Corp. | 2.800% | 7/8/21 | 18,000 | 18,151 | |
Oracle Corp. | 2.500% | 5/15/22 | 30,730 | 29,853 | |
Oracle Corp. | 2.500% | 10/15/22 | 57,616 | 55,664 | |
Oracle Corp. | 3.625% | 7/15/23 | 24,000 | 24,732 | |
Oracle Corp. | 3.400% | 7/8/24 | 43,500 | 43,842 | |
Oracle Corp. | 2.950% | 5/15/25 | 35,000 | 33,762 | |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 5,000 | 5,099 | |
QUALCOMM Inc. | 2.250% | 5/20/20 | 5,985 | 5,903 | |
QUALCOMM Inc. | 3.000% | 5/20/22 | 14,510 | 14,128 | |
QUALCOMM Inc. | 3.450% | 5/20/25 | 27,540 | 26,070 | |
Seagate HDD Cayman | 3.750% | 11/15/18 | 5,670 | 5,868 | |
Seagate HDD Cayman | 4.750% | 6/1/23 | 5,000 | 5,025 | |
Seagate HDD Cayman | 4.750% | 1/1/25 | 13,500 | 13,264 | |
7 | Seagate HDD Cayman | 4.875% | 6/1/27 | 3,000 | 2,895 |
67
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Texas Instruments Inc. | 2.250% | 5/1/23 | 5,000 | 4,777 | |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 2,990 | 3,301 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 16,710 | 17,113 | |
11 | Tyco Electronics Group SA | 1.100% | 3/1/23 | 7,453 | 7,935 |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 7,000 | 7,104 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 16,264 | 16,501 | |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 8,000 | 7,898 | |
Xerox Corp. | 5.625% | 12/15/19 | 8,000 | 8,916 | |
Xilinx Inc. | 3.000% | 3/15/21 | 19,000 | 19,339 | |
Transportation (1.5%) | |||||
5 | American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 5,000 | 4,925 |
Canadian National Railway Co. | 2.850% | 12/15/21 | 6,580 | 6,686 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 3,375 | 3,980 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 5,085 | 5,494 | |
5 | Continental Airlines 1997-4 Class A Pass Through Trust | 6.900% | 7/2/19 | 1,229 | 1,283 |
5 | Continental Airlines 1998-1 Class A Pass Through Trust | 6.648% | 3/15/19 | 204 | 211 |
5 | Continental Airlines 2000-1 Class A-1 Pass Through | ||||
Trust | 8.048% | 11/1/20 | 979 | 1,109 | |
5 | Continental Airlines 2005-ERJ1 Pass Through Trust | 9.798% | 10/1/22 | 1,263 | 1,393 |
5 | Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 3,739 | 4,253 |
5 | Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 6,183 | 6,538 |
5 | Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 7,952 | 8,131 |
5 | Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 20,479 | 20,735 |
5 | Continental Airlines 2012-2 Class B Pass Through Trust | 5.500% | 4/29/22 | 1,334 | 1,384 |
CSX Corp. | 7.900% | 5/1/17 | 5,000 | 5,558 | |
CSX Corp. | 7.375% | 2/1/19 | 3,375 | 3,959 | |
CSX Corp. | 3.400% | 8/1/24 | 5,000 | 5,028 | |
5 | CSX Transportation Inc. | 6.251% | 1/15/23 | 3,086 | 3,637 |
5 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718% | 7/2/24 | 6,011 | 6,823 |
5 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 1,991 | 2,285 |
5 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 3,623 | 4,135 |
5 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 6,305 | 6,848 |
5 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 3,127 | 3,299 |
7 | ERAC USA Finance LLC | 6.375% | 10/15/17 | 6,370 | 6,996 |
7 | ERAC USA Finance LLC | 5.250% | 10/1/20 | 3,750 | 4,170 |
7 | ERAC USA Finance LLC | 4.500% | 8/16/21 | 5,000 | 5,424 |
7 | ERAC USA Finance LLC | 3.850% | 11/15/24 | 3,000 | 3,038 |
10 | Firstgroup plc | 8.750% | 4/8/21 | 6,000 | 11,749 |
5 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 5,394 | 5,313 | |
4,5,13 | JetBlue Airways 2004-2 G-2 Pass Through Trust | 0.724% | 5/15/18 | 2,465 | 2,428 |
5 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 4,410 | 4,961 |
5 | Spirit Airlines 2015-1 Pass Through Trust A | 4.100% | 10/1/29 | 20,000 | 20,100 |
Union Pacific Corp. | 4.163% | 7/15/22 | 5,255 | 5,633 | |
Union Pacific Corp. | 2.950% | 1/15/23 | 5,939 | 5,893 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 17,503 | 17,089 | |
Union Pacific Corp. | 3.646% | 2/15/24 | 5,000 | 5,193 | |
Union Pacific Corp. | 3.750% | 3/15/24 | 24,925 | 26,088 | |
5 | United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 2,149 | 2,214 |
5 | United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 2,500 | 2,531 |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 2,775 | 2,914 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 61,450 | 60,230 | |
8,020,838 | |||||
Utilities (5.7%) | |||||
Electric (5.4%) | |||||
Alabama Power Co. | 3.375% | 10/1/20 | 7,000 | 7,304 | |
Alabama Power Co. | 3.550% | 12/1/23 | 5,750 | 5,944 | |
Alabama Power Co. | 2.800% | 4/1/25 | 7,000 | 6,748 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 22,449 | 22,182 | |
Ameren Illinois Co. | 3.250% | 3/1/25 | 16,680 | 16,724 | |
Arizona Public Service Co. | 8.750% | 3/1/19 | 10,850 | 13,289 | |
Arizona Public Service Co. | 3.350% | 6/15/24 | 8,200 | 8,308 | |
Arizona Public Service Co. | 3.150% | 5/15/25 | 10,000 | 9,927 |
68
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 11,190 | 11,693 | |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 13,600 | 13,423 | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 15,197 | 15,443 | |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 4,100 | 4,206 | |
CMS Energy Corp. | 8.750% | 6/15/19 | 11,180 | 13,637 | |
CMS Energy Corp. | 6.250% | 2/1/20 | 3,255 | 3,731 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 5,400 | 5,639 | |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 3,990 | 3,997 | |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 11,695 | 13,120 | |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 24,900 | 24,079 | |
Consumers Energy Co. | 5.650% | 9/15/18 | 1,000 | 1,119 | |
Consumers Energy Co. | 6.125% | 3/15/19 | 5,600 | 6,440 | |
Consumers Energy Co. | 6.700% | 9/15/19 | 6,319 | 7,454 | |
Consumers Energy Co. | 5.650% | 4/15/20 | 10,683 | 12,305 | |
Consumers Energy Co. | 2.850% | 5/15/22 | 15,640 | 15,816 | |
Consumers Energy Co. | 3.375% | 8/15/23 | 6,144 | 6,313 | |
Consumers Energy Co. | 3.125% | 8/31/24 | 16,000 | 16,185 | |
DTE Electric Co. | 3.450% | 10/1/20 | 7,680 | 8,089 | |
DTE Electric Co. | 3.900% | 6/1/21 | 14,650 | 15,668 | |
DTE Electric Co. | 2.650% | 6/15/22 | 1,000 | 988 | |
DTE Electric Co. | 3.375% | 3/1/25 | 14,575 | 14,884 | |
Duke Energy Indiana Inc. | 3.750% | 7/15/20 | 14,270 | 15,235 | |
Duke Energy Progress Inc. | 5.300% | 1/15/19 | 12,448 | 13,877 | |
Duke Energy Progress Inc. | 3.000% | 9/15/21 | 17,523 | 17,913 | |
7 | EDP Finance BV | 4.900% | 10/1/19 | 5,425 | 5,679 |
7 | EDP Finance BV | 4.125% | 1/15/20 | 13,460 | 13,674 |
7 | EDP Finance BV | 5.250% | 1/14/21 | 3,020 | 3,195 |
11 | Enel Finance International NV | 1.966% | 1/27/25 | 6,000 | 6,722 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 8,770 | 9,260 | |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 7,410 | 7,315 | |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 3,318 | 3,471 | |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 5,699 | 6,685 | |
Entergy Louisiana LLC | 4.800% | 5/1/21 | 12,780 | 14,030 | |
Entergy Louisiana LLC | 3.300% | 12/1/22 | 6,915 | 6,947 | |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 5,400 | 5,721 | |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 3,562 | 4,148 | |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 9,250 | 9,352 | |
Eversource Energy | 4.500% | 11/15/19 | 925 | 997 | |
Eversource Energy | 2.800% | 5/1/23 | 2,000 | 1,926 | |
Exelon Corp. | 2.850% | 6/15/20 | 8,030 | 8,065 | |
Exelon Corp. | 3.950% | 6/15/25 | 10,000 | 10,116 | |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 4,000 | 4,181 | |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 5,000 | 5,145 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 8,864 | 9,009 | |
7 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 10,090 | 10,336 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 21,755 | 21,472 | |
Florida Power & Light Co. | 3.250% | 6/1/24 | 13,960 | 14,210 | |
5,7 | FPL Energy Marcus Hook LP | 7.590% | 7/10/18 | 4,930 | 5,275 |
ITC Holdings Corp. | 3.650% | 6/15/24 | 7,000 | 7,007 | |
7 | Kansas Gas & Electric Co. | 6.700% | 6/15/19 | 4,824 | 5,605 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 13,086 | 13,741 | |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 9,785 | 10,590 | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 5,500 | 5,772 | |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 30,240 | 31,134 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 5,450 | 5,456 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 13,340 | 13,508 | |
National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 13,737 | 14,048 | |
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 15,870 | 15,448 | |
Nevada Power Co. | 7.125% | 3/15/19 | 7,350 | 8,609 | |
7 | Niagara Mohawk Power Corp. | 2.721% | 11/28/22 | 2,000 | 1,936 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 7,700 | 7,402 | |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 6,200 | 6,661 | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 4,050 | 4,150 | |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,500 | 6,228 |
69
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 21,500 | 21,518 | |
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 3,710 | 3,860 | |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 20,000 | 20,563 | |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 20,475 | 20,511 | |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 9,650 | 9,716 | |
PacifiCorp | 3.850% | 6/15/21 | 16,844 | 18,024 | |
PacifiCorp | 3.600% | 4/1/24 | 6,000 | 6,237 | |
Potomac Electric Power Co. | 3.050% | 4/1/22 | 2,270 | 2,245 | |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 12,690 | 13,033 | |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 15,868 | 16,165 | |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 5,000 | 4,815 | |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 8,000 | 8,447 | |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 18,825 | 18,093 | |
Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 1,000 | 1,010 | |
Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 10,470 | 10,349 | |
Puget Energy Inc. | 6.500% | 12/15/20 | 15,565 | 18,332 | |
Puget Energy Inc. | 6.000% | 9/1/21 | 4,235 | 4,883 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 19,769 | 22,303 | |
7 | Puget Energy Inc. | 3.650% | 5/15/25 | 13,000 | 12,730 |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 5,240 | 5,365 | |
SCANA Corp. | 6.250% | 4/1/20 | 8,500 | 9,556 | |
SCANA Corp. | 4.750% | 5/15/21 | 10,787 | 11,402 | |
SCANA Corp. | 4.125% | 2/1/22 | 2,000 | 2,017 | |
Southern California Edison Co. | 3.875% | 6/1/21 | 11,156 | 12,016 | |
Southern California Edison Co. | 3.500% | 10/1/23 | 17,500 | 18,081 | |
Tampa Electric Co. | 5.400% | 5/15/21 | 13,000 | 14,974 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 6,220 | 6,055 | |
TECO Finance Inc. | 5.150% | 3/15/20 | 14,332 | 16,032 | |
7 | Trans-Allegheny Interstate Line Co. | 3.850% | 6/1/25 | 11,000 | 11,011 |
Union Electric Co. | 6.700% | 2/1/19 | 2,427 | 2,819 | |
Union Electric Co. | 3.500% | 4/15/24 | 5,410 | 5,558 | |
Virginia Electric & Power Co. | 5.000% | 6/30/19 | 3,930 | 4,365 | |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 9,000 | 9,269 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 7,000 | 7,194 | |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 4,300 | 4,279 | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 10,000 | 10,439 | |
Natural Gas (0.3%) | |||||
Nisource Finance Corp. | 3.850% | 2/15/23 | 8,518 | 8,841 | |
Sempra Energy | 6.150% | 6/15/18 | 5,938 | 6,656 | |
Sempra Energy | 9.800% | 2/15/19 | 4,340 | 5,434 | |
Sempra Energy | 2.875% | 10/1/22 | 2,000 | 1,963 | |
Sempra Energy | 3.550% | 6/15/24 | 2,000 | 1,991 | |
Southern California Gas Co. | 3.150% | 9/15/24 | 22,290 | 22,595 | |
Other Utility (0.0%) | |||||
American Water Capital Corp. | 3.400% | 3/1/25 | 3,000 | 3,027 | |
1,129,679 | |||||
Total Corporate Bonds (Cost $14,926,048) | 15,093,278 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (3.2%) | |||||
7 | Abu Dhabi National Energy Co. | 6.165% | 10/25/17 | 1,000 | 1,090 |
7 | Abu Dhabi National Energy Co. PJSC | 3.625% | 1/12/23 | 1,000 | 1,001 |
Asian Development Bank | 1.125% | 3/15/17 | 4,000 | 4,029 | |
Asian Development Bank | 1.875% | 10/23/18 | 3,000 | 3,065 | |
7 | Banco Latinoamericano de Comercio Exterior SA | 3.250% | 5/7/20 | 4,000 | 4,027 |
7 | Bank Nederlandse Gemeenten | 2.500% | 1/23/23 | 1,000 | 1,015 |
7 | Bank of China Hong Kong Ltd. | 3.750% | 11/8/16 | 920 | 947 |
7 | Bermuda | 5.603% | 7/20/20 | 2,300 | 2,556 |
7 | Bermuda | 4.138% | 1/3/23 | 2,000 | 2,011 |
7 | Bermuda | 4.854% | 2/6/24 | 1,000 | 1,051 |
Cayman Islands | 5.950% | 11/24/19 | 500 | 565 | |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 8,000 | 8,159 |
Centrais Eletricas Brasileiras SA | 5.750% | 10/27/21 | 1,800 | 1,586 |
70
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | CEZ AS | 4.250% | 4/3/22 | 1,000 | 1,041 |
China Development Bank Corp. | 5.000% | 10/15/15 | 1,500 | 1,512 | |
7 | CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,000 | 1,013 |
7 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 981 |
Corp. Andina de Fomento | 3.750% | 1/15/16 | 11,500 | 11,658 | |
Corp. Financiera de Desarrollo SA | 3.250% | 7/15/19 | 5,000 | 5,000 | |
7 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 1,400 | 1,458 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 1,500 | 1,518 | |
7 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 3,000 | 3,055 |
7 | Corp. Nacional del Cobre de Chile | 4.500% | 8/13/23 | 1,500 | 1,558 |
Ecopetrol SA | 7.375% | 9/18/43 | 1,000 | 1,036 | |
Ecopetrol SA | 5.875% | 5/28/45 | 4,200 | 3,651 | |
7 | Electricite de France SA | 6.000% | 1/22/14 | 50 | 57 |
12 | Emirates NBD PJSC | 5.750% | 5/8/19 | 4,060 | 3,137 |
5,7 | ENA Norte Trust | 4.950% | 4/25/28 | 1,761 | 1,805 |
Eskom Holdings SOC Ltd. | 5.750% | 1/26/21 | 12,200 | 11,834 | |
European Investment Bank | 2.250% | 3/15/16 | 8,000 | 8,095 | |
European Investment Bank | 2.125% | 7/15/16 | 10,000 | 10,161 | |
European Investment Bank | 2.500% | 4/15/21 | 7,000 | 7,223 | |
European Investment Bank | 3.250% | 1/29/24 | 2,000 | 2,152 | |
Export-Import Bank of Korea | 4.125% | 9/9/15 | 2,000 | 2,006 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 10,000 | 10,380 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 3,000 | 3,091 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 2,000 | 2,247 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 1,000 | 1,069 | |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 2,000 | 2,133 | |
Federative Republic of Brazil | 5.000% | 1/27/45 | 22,620 | 18,917 | |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 5,000 | 5,060 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 2,400 | 2,451 | |
Inter-American Development Bank | 3.000% | 2/21/24 | 6,425 | 6,804 | |
International Finance Corp. | 1.000% | 4/24/17 | 6,700 | 6,706 | |
International Finance Corp. | 1.750% | 9/4/18 | 3,000 | 3,048 | |
7 | IPIC GMTN Ltd. | 5.500% | 3/1/22 | 800 | 915 |
14 | KFW | 1.250% | 2/15/17 | 4,000 | 4,035 |
14 | KFW | 1.000% | 6/11/18 | 11,750 | 11,716 |
14 | KFW | 2.750% | 10/1/20 | 3,000 | 3,148 |
14 | KFW | 2.625% | 1/25/22 | 9,000 | 9,330 |
14 | KFW | 2.000% | 10/4/22 | 2,000 | 1,984 |
7 | Kommunalbanken AS | 1.000% | 9/26/17 | 1,500 | 1,502 |
Korea Development Bank | 3.250% | 9/20/16 | 1,000 | 1,023 | |
Korea Development Bank | 3.875% | 5/4/17 | 5,000 | 5,198 | |
Korea Development Bank | 1.500% | 1/22/18 | 2,000 | 1,991 | |
Korea Development Bank | 4.625% | 11/16/21 | 2,000 | 2,214 | |
7 | Korea Land & Housing Corp. | 1.875% | 8/2/17 | 5,000 | 5,013 |
7 | Korea Western Power Co. Ltd. | 3.125% | 5/10/17 | 1,300 | 1,329 |
7 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 2,000 | 2,042 |
7 | Kowloon-Canton Railway Corp. | 5.125% | 5/20/19 | 2,500 | 2,767 |
14 | Landwirtschaftliche Rentenbank | 2.125% | 7/15/16 | 5,000 | 5,078 |
14 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 2,000 | 1,986 |
Nexen Energy ULC | 6.200% | 7/30/19 | 2,000 | 2,242 | |
North American Development Bank | 2.300% | 10/10/18 | 1,500 | 1,525 | |
North American Development Bank | 2.400% | 10/26/22 | 1,300 | 1,278 | |
7 | OCP SA | 5.625% | 4/25/24 | 1,200 | 1,257 |
7 | Ooredoo International Finance Ltd. | 4.750% | 2/16/21 | 1,500 | 1,641 |
7 | Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | 700 | 684 |
7 | Pertamina Persero PT | 6.000% | 5/3/42 | 1,000 | 925 |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 9,510 | 7,050 | |
Petrobras International Finance Co. SA | 3.875% | 1/27/16 | 4,025 | 4,020 | |
Petrobras International Finance Co. SA | 5.875% | 3/1/18 | 15,631 | 15,660 | |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 11,700 | 12,175 | |
Petrobras International Finance Co. SA | 6.875% | 1/20/40 | 800 | 680 | |
Petroleos Mexicanos | 5.750% | 3/1/18 | 15,500 | 16,856 | |
Petroleos Mexicanos | 8.000% | 5/3/19 | 7,100 | 8,331 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 26,000 | 28,169 |
71
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Petroleos Mexicanos | 4.875% | 1/24/22 | 28,500 | 29,682 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 2,000 | 1,901 | |
Province of New Brunswick | 2.750% | 6/15/18 | 1,250 | 1,299 | |
Province of Ontario | 3.000% | 7/16/18 | 3,000 | 3,137 | |
Province of Ontario | 4.000% | 10/7/19 | 4,500 | 4,907 | |
Quebec | 2.625% | 2/13/23 | 5,700 | 5,777 | |
Quebec | 2.875% | 10/16/24 | 8,250 | 8,409 | |
11 | Republic of Chile | 1.875% | 5/27/30 | 4,500 | 4,642 |
Republic of Colombia | 6.125% | 1/18/41 | 5,450 | 5,875 | |
5 | Republic of Colombia | 5.000% | 6/15/45 | 3,140 | 2,916 |
Republic of Hungary | 4.000% | 3/25/19 | 5,250 | 5,468 | |
Republic of Indonesia | 3.750% | 4/25/22 | 3,000 | 2,974 | |
11 | Republic of Indonesia | 3.375% | 7/30/25 | 4,000 | 4,348 |
Republic of Indonesia | 6.625% | 2/17/37 | 2,000 | 2,245 | |
11 | Republic of Italy | 1.050% | 12/1/19 | 6,000 | 6,698 |
Republic of Kazakhstan | 6.500% | 7/21/45 | 5,900 | 5,848 | |
Republic of Korea | 7.125% | 4/16/19 | 1,500 | 1,779 | |
7 | Republic of Latvia | 2.750% | 1/12/20 | 1,000 | 1,006 |
Republic of Lithuania | 7.375% | 2/11/20 | 5,000 | 5,981 | |
Republic of Namibia | 5.500% | 11/3/21 | 4,400 | 4,730 | |
Republic of Poland | 5.125% | 4/21/21 | 15,100 | 16,969 | |
Republic of Poland | 4.000% | 1/22/24 | 6,000 | 6,348 | |
Republic of Romania | 4.375% | 8/22/23 | 2,000 | 2,075 | |
Republic of Turkey | 7.500% | 7/14/17 | 41,300 | 45,461 | |
Republic of Turkey | 6.750% | 4/3/18 | 23,090 | 25,445 | |
Republic of Turkey | 7.000% | 3/11/19 | 21,000 | 23,588 | |
Republic of Turkey | 7.000% | 6/5/20 | 6,000 | 6,814 | |
Republic of Turkey | 6.250% | 9/26/22 | 4,700 | 5,206 | |
Republic of Turkey | 7.375% | 2/5/25 | 4,165 | 4,965 | |
Republic of Turkey | 4.250% | 4/14/26 | 2,500 | 2,371 | |
Republic of Turkey | 4.875% | 4/16/43 | 3,900 | 3,516 | |
7 | Saudi Electricity Global Sukuk Co. 3 | 4.000% | 4/8/24 | 1,000 | 1,050 |
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 1,800 | 1,875 |
State of Israel | 5.125% | 3/26/19 | 2,550 | 2,873 | |
State of Israel | 3.150% | 6/30/23 | 2,000 | 2,054 | |
7 | State of Qatar | 5.250% | 1/20/20 | 1,000 | 1,130 |
Statoil ASA | 3.150% | 1/23/22 | 3,000 | 3,043 | |
Statoil ASA | 2.450% | 1/17/23 | 3,000 | 2,877 | |
Statoil ASA | 3.950% | 5/15/43 | 1,000 | 944 | |
Statoil ASA | 4.800% | 11/8/43 | 2,000 | 2,153 | |
Svensk Exportkredit AB | 1.750% | 10/20/15 | 3,000 | 3,009 | |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,000 | 986 |
United Mexican States | 3.500% | 1/21/21 | 4,620 | 4,728 | |
United Mexican States | 4.000% | 10/2/23 | 5,100 | 5,256 | |
United Mexican States | 6.050% | 1/11/40 | 1,676 | 1,942 | |
United Mexican States | 5.550% | 1/21/45 | 1,700 | 1,844 | |
United Mexican States | 5.750% | 10/12/10 | 2,200 | 2,212 | |
Total Sovereign Bonds (Cost $623,073) | 627,079 | ||||
Taxable Municipal Bonds (0.2%) | |||||
Allentown PA Neighborhood Improvement Zone | |||||
Development Authority Revenue | 5.420% | 5/1/21 | 4,000 | 4,142 | |
California GO | 5.750% | 3/1/17 | 2,000 | 2,154 | |
Florida Hurricane Catastrophe Fund Finance Corp. | |||||
Revenue | 2.995% | 7/1/20 | 1,250 | 1,287 | |
Illinois GO | 5.365% | 3/1/17 | 1,000 | 1,048 | |
Illinois GO | 5.000% | 1/1/23 | 1,835 | 1,893 | |
JobsOhio Beverage System Statewide Liquor Profits | |||||
Revenue | 2.885% | 1/1/21 | 1,000 | 1,043 | |
Johns Hopkins University Maryland GO | 5.250% | 7/1/19 | 199 | 225 | |
Louisiana Local Government Environmental Facilities & | |||||
Community Development Authority Revenue 2010- | |||||
EGSL | 3.220% | 2/1/21 | 12,000 | 12,371 |
72
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2015 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
ELL | 3.450% | 2/1/22 | 5,475 | 5,682 |
4 Mississippi GO (Nissan North America, Inc. Project) | 0.887% | 11/1/17 | 5,520 | 5,535 |
New York City NY Industrial Development Agency | ||||
Special Facility Revenue (American Airlines Inc. John | ||||
F. Kennedy International Airport Project) | 7.500% | 8/1/16 | 865 | 891 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.125% | 2/1/24 | 1,500 | 1,717 |
New York State Dormitory Authority Revenue | ||||
(Employer Assessment) | 3.892% | 12/1/24 | 2,000 | 2,123 |
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,000 | 2,428 |
San Diego County CA Regional Airport Authority | ||||
Revenue | 3.730% | 7/1/21 | 800 | 837 |
Texas GO | 3.682% | 8/1/24 | 2,000 | 2,126 |
University of California Revenue | 2.054% | 5/15/18 | 500 | 514 |
University of California Revenue | 2.300% | 5/15/21 | 1,000 | 1,007 |
Total Taxable Municipal Bonds (Cost $45,437) | 47,023 | |||
Shares | ||||
Convertible Preferred Stocks (0.0%) | ||||
*,9 Lehman Brothers Holdings Inc. Pfd. (Cost $8,571) | 7.250% | 8,740 | — | |
Temporary Cash Investment (0.1%) | ||||
Money Market Fund (0.1%) | ||||
15 Vanguard Market Liquidity Fund (Cost $25,858) | 0.152% | 25,857,586 | 25,858 | |
Total Investments (99.5%) (Cost $19,699,691) | 19,890,672 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 327 | (291) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 328 | (200) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 590 | (240) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 99 | (25) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 327 | (20) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 460 | (43) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 328 | (56) | |
Total Liability for Options Written (Premiums received $833) | (875) | |||
Other Assets and Liabilities—Net (0.5%) | 102,268 | |||
Net Assets (100%) | 19,992,065 |
* Non-income-producing security.
1 Securities with a value of $10,595,000 have been segregated as initial margin for open futures contracts.
2 Securities with a value of $1,002,000 have been segregated as collateral for forward currency contracts and open over-the-counter swap
contracts.
3 Securities with a value of $5,844,000 have been segregated as initial margin for open cleared swap contracts.
4 Adjustable-rate security.
5 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
73
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments
July 31, 2015
6 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.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $1,974,388,000,
representing 9.9% of net assets.
8 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2015.
9 Non-income-producing security--security in default.
10 Face amount denominated in British pounds.
11 Face amount denominated in euro.
12 Face amount denominated in Australian dollars.
13 Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association.
14 Guaranteed by the Federal Republic of Germany.
15 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
74
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (3.3%) | |||||
U.S. Government Securities (3.2%) | |||||
United States Treasury Note/Bond | 0.875% | 7/15/17 | 50 | 50 | |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 350 | 351 | |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 100 | 101 | |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 100 | 100 | |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 500 | 502 | |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 1,500 | 1,496 | |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 2,750 | 2,781 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 14,500 | 14,595 | |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 16,500 | 16,237 | |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 3,700 | 3,680 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 25,900 | 34,564 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 22,100 | 31,966 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 23,750 | 32,730 | |
1,2 | United States Treasury Note/Bond | 4.500% | 2/15/36 | 162,475 | 211,015 |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 3,697 | 4,319 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 45,100 | 46,946 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 3,310 | 3,364 | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 33,500 | 30,673 | |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 26,400 | 26,875 | |
462,345 | |||||
Agency Notes (0.1%) | |||||
3 | Tennessee Valley Authority | 5.250% | 9/15/39 | 18,800 | 23,321 |
Total U.S. Government and Agency Obligations (Cost $465,677) | 485,666 | ||||
Corporate Bonds (73.7%) | |||||
Finance (21.5%) | |||||
Banking (13.0%) | |||||
American Express Co. | 4.050% | 12/3/42 | 13,881 | 13,157 | |
Bank of America Corp. | 4.000% | 1/22/25 | 13,285 | 13,072 | |
Bank of America Corp. | 3.950% | 4/21/25 | 10,885 | 10,528 | |
Bank of America Corp. | 6.110% | 1/29/37 | 14,850 | 17,051 | |
Bank of America Corp. | 7.750% | 5/14/38 | 21,355 | 29,072 | |
Bank of America Corp. | 5.875% | 2/7/42 | 30,710 | 36,257 | |
Bank of America Corp. | 5.000% | 1/21/44 | 28,005 | 29,502 | |
Bank of America Corp. | 4.875% | 4/1/44 | 1,649 | 1,724 | |
Bank of America NA | 6.000% | 10/15/36 | 21,760 | 26,292 | |
Bank One Corp. | 7.750% | 7/15/25 | 22,900 | 29,030 | |
Bank One Corp. | 7.625% | 10/15/26 | 21,775 | 28,114 | |
Bank One Corp. | 8.000% | 4/29/27 | 30,869 | 41,009 | |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 900 | 917 | |
Citigroup Inc. | 6.875% | 6/1/25 | 1,000 | 1,228 | |
Citigroup Inc. | 4.400% | 6/10/25 | 7,700 | 7,732 | |
Citigroup Inc. | 6.625% | 1/15/28 | 2,500 | 3,086 | |
Citigroup Inc. | 6.625% | 6/15/32 | 31,545 | 37,824 | |
Citigroup Inc. | 6.000% | 10/31/33 | 40,155 | 45,967 | |
Citigroup Inc. | 6.125% | 8/25/36 | 26,968 | 31,556 | |
Citigroup Inc. | 8.125% | 7/15/39 | 2,650 | 3,857 | |
Citigroup Inc. | 5.875% | 1/30/42 | 10,364 | 12,218 | |
Citigroup Inc. | 4.950% | 11/7/43 | 475 | 500 | |
Citigroup Inc. | 4.650% | 7/30/45 | 32,250 | 32,464 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 3.950% | 11/9/22 | 2,000 | 2,005 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.375% | 8/4/25 | 230 | 231 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.250% | 5/24/41 | 5,000 | 5,602 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 5.750% | 12/1/43 | 52,730 | 58,346 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank | |||||
BA/Netherlands | 5.250% | 8/4/45 | 17,225 | 17,568 | |
4 | Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 28,920 | 28,238 |
Deutsche Bank AG | 4.500% | 4/1/25 | 23,875 | 23,080 | |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 38,270 | 46,020 | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 49,400 | 56,908 |
75
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 46,315 | 55,698 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 24,525 | 29,522 | |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 17,592 | 17,844 | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 44,700 | 53,073 | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 23,725 | 27,193 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 21,200 | 27,076 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 10,000 | 12,218 | |
HSBC Holdings plc | 6.500% | 9/15/37 | 42,415 | 51,453 | |
HSBC Holdings plc | 6.800% | 6/1/38 | 86,849 | 110,497 | |
HSBC Holdings plc | 6.100% | 1/14/42 | 1,000 | 1,259 | |
HSBC Holdings plc | 5.250% | 3/14/44 | 16,725 | 17,702 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 1,060 | 1,035 | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 90,000 | 113,770 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 25,675 | 29,355 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 17,652 | 20,491 | |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 43,832 | 48,016 | |
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 29,800 | 29,711 | |
5 | JPMorgan Chase & Co. | 5.300% | 12/29/49 | 430 | 426 |
4 | Macquarie Bank Ltd. | 4.875% | 6/10/25 | 590 | 588 |
Morgan Stanley | 4.000% | 7/23/25 | 25,255 | 25,697 | |
Morgan Stanley | 6.250% | 8/9/26 | 525 | 635 | |
Morgan Stanley | 4.350% | 9/8/26 | 9,000 | 8,986 | |
Morgan Stanley | 3.950% | 4/23/27 | 13,120 | 12,517 | |
Morgan Stanley | 7.250% | 4/1/32 | 44,360 | 58,306 | |
Morgan Stanley | 6.375% | 7/24/42 | 35,331 | 44,143 | |
Morgan Stanley | 4.300% | 1/27/45 | 41,115 | 39,206 | |
PNC Bank NA | 4.200% | 11/1/25 | 965 | 1,015 | |
5 | State Street Corp. | 5.250% | 12/29/49 | 400 | 402 |
Synchrony Financial | 4.500% | 7/23/25 | 110 | 111 | |
Wachovia Corp. | 6.605% | 10/1/25 | 3,000 | 3,609 | |
Wachovia Corp. | 5.500% | 8/1/35 | 21,905 | 24,683 | |
Wells Fargo & Co. | 4.100% | 6/3/26 | 50,287 | 50,472 | |
Wells Fargo & Co. | 4.300% | 7/22/27 | 23,295 | 23,716 | |
Wells Fargo & Co. | 5.375% | 2/7/35 | 8,240 | 9,403 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 43,122 | 46,799 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 152,733 | 170,730 | |
Wells Fargo & Co. | 4.650% | 11/4/44 | 21,222 | 20,694 | |
Wells Fargo & Co. | 3.900% | 5/1/45 | 10,600 | 9,727 | |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 662 | |
Brokerage (0.2%) | |||||
4 | FMR LLC | 6.450% | 11/15/39 | 18,200 | 22,693 |
Invesco Finance plc | 5.375% | 11/30/43 | 2,000 | 2,220 | |
Legg Mason Inc. | 5.625% | 1/15/44 | 2,000 | 2,132 | |
Finance Companies (2.9%) | |||||
General Electric Capital Corp. | 6.750% | 3/15/32 | 126,620 | 168,048 | |
General Electric Capital Corp. | 7.500% | 8/21/35 | 700 | 990 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 5,325 | 6,719 | |
General Electric Capital Corp. | 5.875% | 1/14/38 | 125,585 | 153,693 | |
General Electric Capital Corp. | 6.875% | 1/10/39 | 62,215 | 85,505 | |
5 | General Electric Capital Corp. | 6.250% | 12/29/49 | 10,000 | 10,887 |
Insurance (5.2%) | |||||
ACE Capital Trust II | 9.700% | 4/1/30 | 7,050 | 10,328 | |
Aetna Inc. | 4.125% | 11/15/42 | 24,995 | 22,873 | |
Allstate Corp. | 4.500% | 6/15/43 | 1,465 | 1,501 | |
American International Group Inc. | 4.700% | 7/10/35 | 8,310 | 8,386 | |
American International Group Inc. | 4.500% | 7/16/44 | 35,210 | 34,000 | |
Anthem Inc. | 6.375% | 6/15/37 | 11,791 | 14,003 | |
Anthem Inc. | 4.625% | 5/15/42 | 17,100 | 16,258 | |
AXA Financial Inc. | 7.000% | 4/1/28 | 24,910 | 31,039 | |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 3,000 | 3,127 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 44,557 | 45,201 | |
4 | Guardian Life Insurance Co. of America | 7.375% | 9/30/39 | 12,160 | 16,546 |
4 | Guardian Life Insurance Co. of America | 4.875% | 6/19/64 | 10,700 | 10,420 |
76
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | �� | ||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 200 | 261 |
4 | John Hancock Life Insurance Co. | 7.375% | 2/15/24 | 16,350 | 20,254 |
Loews Corp. | 4.125% | 5/15/43 | 1,800 | 1,667 | |
4,5 | Massachusetts Mutual Life Insurance Co. | 7.625% | 11/15/23 | 600 | 749 |
4 | Massachusetts Mutual Life Insurance Co. | 8.875% | 6/1/39 | 16,751 | 25,479 |
4 | Massachusetts Mutual Life Insurance Co. | 5.375% | 12/1/41 | 6,160 | 6,895 |
4 | Massachusetts Mutual Life Insurance Co. | 4.500% | 4/15/65 | 1,000 | 912 |
MetLife Inc. | 6.500% | 12/15/32 | 900 | 1,130 | |
MetLife Inc. | 4.125% | 8/13/42 | 20,385 | 19,322 | |
MetLife Inc. | 4.875% | 11/13/43 | 769 | 821 | |
MetLife Inc. | 4.050% | 3/1/45 | 3,000 | 2,818 | |
5 | MetLife Inc. | 5.250% | 12/29/49 | 195 | 195 |
4 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 32,250 | 42,278 |
4 | Nationwide Mutual Insurance Co. | 8.250% | 12/1/31 | 6,285 | 8,546 |
4 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 39,206 | 59,835 |
4 | Nationwide Mutual Insurance Co. | 4.950% | 4/22/44 | 13,215 | 13,057 |
4 | New York Life Insurance Co. | 5.875% | 5/15/33 | 47,575 | 56,301 |
4 | Northwestern Mutual Life Insurance Co. | 6.063% | 3/30/40 | 14,890 | 18,135 |
4 | Pacific Life Insurance Co. | 9.250% | 6/15/39 | 26,945 | 41,116 |
5 | Progressive Corp. | 6.700% | 6/15/67 | 1,051 | 1,094 |
5 | Prudential Financial Inc. | 5.375% | 5/15/45 | 270 | 266 |
4 | Swiss Re Treasury US Corp. | 4.250% | 12/6/42 | 12,470 | 12,118 |
4 | Teachers Insurance & Annuity Association of America | 6.850% | 12/16/39 | 20,452 | 25,548 |
4 | Teachers Insurance & Annuity Association of America | 4.900% | 9/15/44 | 10,720 | 11,182 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 500 | 661 | |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 1,355 | 1,720 | |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 2,000 | 2,091 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 8,645 | 8,813 | |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 12,240 | 12,721 | |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 49,846 | 58,870 | |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 1,100 | 1,406 | |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 800 | 1,027 | |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 26,847 | 35,638 | |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 3,045 | 3,113 | |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 25,000 | 24,598 | |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 10,935 | 11,440 | |
Real Estate Investment Trusts (0.2%) | |||||
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 535 | 533 | |
ERP Operating LP | 4.500% | 6/1/45 | 680 | 679 | |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,000 | 1,012 | |
4 | Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 4,000 | 3,840 |
Simon Property Group LP | 6.750% | 2/1/40 | 10,700 | 14,176 | |
Simon Property Group LP | 4.250% | 10/1/44 | 10,750 | 10,471 | |
3,117,952 | |||||
Industrial (38.9%) | |||||
Basic Industry (1.0%) | |||||
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 16,000 | 14,614 | |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 36,165 | 37,448 | |
CF Industries Inc. | 5.375% | 3/15/44 | 12,495 | 12,219 | |
International Paper Co. | 4.800% | 6/15/44 | 13,440 | 12,700 | |
Monsanto Co. | 4.200% | 7/15/34 | 1,000 | 938 | |
Monsanto Co. | 5.875% | 4/15/38 | 3,000 | 3,350 | |
Monsanto Co. | 3.600% | 7/15/42 | 600 | 478 | |
Monsanto Co. | 4.650% | 11/15/43 | 600 | 553 | |
Monsanto Co. | 4.400% | 7/15/44 | 24,630 | 22,143 | |
Monsanto Co. | 3.950% | 4/15/45 | 1,000 | 843 | |
Monsanto Co. | 4.700% | 7/15/64 | 1,500 | 1,313 | |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 500 | 566 | |
PPG Industries Inc. | 5.500% | 11/15/40 | 1,225 | 1,438 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 120 | 117 | |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 8,894 | 8,928 | |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,400 | 1,343 | |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 24,175 | 21,386 |
77
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Capital Goods (3.9%) | |||||
3M Co. | 6.375% | 2/15/28 | 18,965 | 24,485 | |
3M Co. | 5.700% | 3/15/37 | 13,500 | 16,668 | |
Boeing Co. | 6.125% | 2/15/33 | 22,065 | 28,000 | |
Boeing Co. | 7.875% | 4/15/43 | 6,700 | 10,261 | |
Caterpillar Inc. | 6.050% | 8/15/36 | 3,082 | 3,771 | |
Caterpillar Inc. | 3.803% | 8/15/42 | 44,022 | 40,885 | |
Caterpillar Inc. | 4.300% | 5/15/44 | 19,745 | 19,911 | |
Deere & Co. | 7.125% | 3/3/31 | 15,000 | 20,271 | |
Dover Corp. | 6.600% | 3/15/38 | 3,175 | 4,186 | |
Emerson Electric Co. | 6.000% | 8/15/32 | 1,071 | 1,306 | |
Emerson Electric Co. | 5.250% | 11/15/39 | 775 | 901 | |
General Electric Co. | 4.125% | 10/9/42 | 13,425 | 13,222 | |
General Electric Co. | 4.500% | 3/11/44 | 22,300 | 23,184 | |
Honeywell International Inc. | 5.700% | 3/15/36 | 2,960 | 3,606 | |
Honeywell International Inc. | 5.700% | 3/15/37 | 3,065 | 3,749 | |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 17,210 | 16,419 | |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 8,102 | 10,206 | |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 6,000 | 6,989 | |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 27,319 | 29,088 | |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 10,120 | 9,547 | |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 13,625 | 12,241 | |
Raytheon Co. | 4.700% | 12/15/41 | 37,524 | 40,629 | |
Raytheon Co. | 4.200% | 12/15/44 | 3,185 | 3,196 | |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 20,129 | 21,842 | |
4 | Siemens Financieringsmaatschappij NV | 4.400% | 5/27/45 | 2,000 | 2,000 |
United Technologies Corp. | 7.500% | 9/15/29 | 14,755 | 20,981 | |
United Technologies Corp. | 6.125% | 7/15/38 | 55,575 | 68,699 | |
United Technologies Corp. | 5.700% | 4/15/40 | 22,500 | 26,767 | |
United Technologies Corp. | 4.500% | 6/1/42 | 38,330 | 38,573 | |
Waste Management Inc. | 4.100% | 3/1/45 | 20,700 | 19,102 | |
WW Grainger Inc. | 4.600% | 6/15/45 | 17,690 | 18,248 | |
Communication (4.9%) | |||||
21st Century Fox America Inc. | 6.400% | 12/15/35 | 6,575 | 7,847 | |
21st Century Fox America Inc. | 7.900% | 12/1/95 | 3,975 | 4,916 | |
Alltel Corp. | 7.875% | 7/1/32 | 2,400 | 3,208 | |
America Movil SAB de CV | 6.375% | 3/1/35 | 3,600 | 4,194 | |
America Movil SAB de CV | 6.125% | 3/30/40 | 24,520 | 28,367 | |
America Movil SAB de CV | 4.375% | 7/16/42 | 2,750 | 2,555 | |
AT&T Inc. | 6.300% | 1/15/38 | 1,000 | 1,119 | |
AT&T Inc. | 6.550% | 2/15/39 | 575 | 666 | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 1,500 | 1,496 | |
Comcast Corp. | 4.250% | 1/15/33 | 11,435 | 11,408 | |
Comcast Corp. | 7.050% | 3/15/33 | 10,535 | 13,825 | |
Comcast Corp. | 4.200% | 8/15/34 | 2,300 | 2,271 | |
Comcast Corp. | 5.650% | 6/15/35 | 42,764 | 49,613 | |
Comcast Corp. | 6.450% | 3/15/37 | 18,000 | 22,676 | |
Comcast Corp. | 6.950% | 8/15/37 | 66,717 | 88,409 | |
Comcast Corp. | 6.400% | 5/15/38 | 10,485 | 13,202 | |
Comcast Corp. | 6.550% | 7/1/39 | 11,765 | 15,052 | |
Comcast Corp. | 6.400% | 3/1/40 | 19,865 | 25,099 | |
Comcast Corp. | 4.650% | 7/15/42 | 7,865 | 8,099 | |
Comcast Corp. | 4.500% | 1/15/43 | 14,610 | 14,704 | |
Comcast Corp. | 4.750% | 3/1/44 | 66,270 | 69,149 | |
Comcast Corp. | 4.600% | 8/15/45 | 32,500 | 33,201 | |
4 | COX Communications Inc. | 6.450% | 12/1/36 | 9,000 | 9,677 |
4 | COX Communications Inc. | 8.375% | 3/1/39 | 19,110 | 24,712 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 17,730 | 25,158 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.350% | 3/15/40 | 2,500 | 2,724 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 1,000 | 1,048 | |
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.150% | 3/15/42 | 1,300 | 1,244 | |
Grupo Televisa SAB | 5.000% | 5/13/45 | 1,500 | 1,431 | |
Historic TW Inc. | 6.625% | 5/15/29 | 22,275 | 26,999 |
78
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Moody's Corp. | 5.250% | 7/15/44 | 2,750 | 2,890 | |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 2,850 | 3,594 | |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 18,000 | 21,548 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 34,960 | 34,746 | |
Orange SA | 9.000% | 3/1/31 | 12,000 | 17,217 | |
Qwest Corp. | 6.875% | 9/15/33 | 2,000 | 1,985 | |
4 | SES Global Americas Holdings GP | 5.300% | 3/25/44 | 1,000 | 1,001 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 20,475 | 21,003 | |
Time Warner Inc. | 7.625% | 4/15/31 | 9,000 | 11,900 | |
Verizon Communications Inc. | 7.750% | 12/1/30 | 2,000 | 2,638 | |
Verizon Communications Inc. | 5.850% | 9/15/35 | 1,500 | 1,641 | |
Verizon Communications Inc. | 6.550% | 9/15/43 | 1,098 | 1,296 | |
Verizon Communications Inc. | 4.862% | 8/21/46 | 276 | 261 | |
4 | Verizon Communications Inc. | 4.522% | 9/15/48 | 54,356 | 48,570 |
Verizon Communications Inc. | 5.012% | 8/21/54 | 600 | 556 | |
4 | Verizon Communications Inc. | 4.672% | 3/15/55 | 945 | 829 |
Walt Disney Co. | 3.700% | 12/1/42 | 9,300 | 8,796 | |
Walt Disney Co. | 7.550% | 7/15/93 | 15,750 | 19,799 | |
Consumer Cyclical (6.6%) | |||||
4 | Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 2,500 | 2,416 |
Brinker International Inc. | 3.875% | 5/15/23 | 2,000 | 1,939 | |
Cummins Inc. | 4.875% | 10/1/43 | 1,400 | 1,529 | |
CVS Health Corp. | 3.875% | 7/20/25 | 15,555 | 15,835 | |
CVS Health Corp. | 4.875% | 7/20/35 | 13,390 | 13,869 | |
CVS Health Corp. | 5.750% | 5/15/41 | 7,110 | 8,150 | |
CVS Health Corp. | 5.125% | 7/20/45 | 13,385 | 14,230 | |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 21,570 | 32,102 | |
Ford Motor Co. | 7.450% | 7/16/31 | 18,700 | 23,864 | |
Ford Motor Co. | 4.750% | 1/15/43 | 1,000 | 984 | |
Home Depot Inc. | 5.875% | 12/16/36 | 39,775 | 48,796 | |
Home Depot Inc. | 5.950% | 4/1/41 | 20,470 | 25,469 | |
Home Depot Inc. | 4.200% | 4/1/43 | 6,035 | 6,036 | |
Home Depot Inc. | 4.875% | 2/15/44 | 68,200 | 75,463 | |
Home Depot Inc. | 4.400% | 3/15/45 | 12,900 | 13,337 | |
Home Depot Inc. | 4.250% | 4/1/46 | 27,120 | 27,311 | |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 20,160 | 25,686 | |
Lowe's Cos. Inc. | 5.500% | 10/15/35 | 600 | 697 | |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 2,060 | 2,474 | |
Lowe's Cos. Inc. | 6.650% | 9/15/37 | 12,497 | 16,469 | |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 11,390 | 13,798 | |
Lowe's Cos. Inc. | 5.125% | 11/15/41 | 7,460 | 8,386 | |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 1,250 | 1,321 | |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 28,090 | 31,433 | |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 800 | 803 | |
McDonald's Corp. | 6.300% | 10/15/37 | 15,765 | 19,195 | |
McDonald's Corp. | 6.300% | 3/1/38 | 26,940 | 32,561 | |
McDonald's Corp. | 5.700% | 2/1/39 | 550 | 630 | |
NIKE Inc. | 3.625% | 5/1/43 | 30,604 | 28,405 | |
Starbucks Corp. | 4.300% | 6/15/45 | 1,000 | 1,021 | |
Target Corp. | 6.500% | 10/15/37 | 18,673 | 24,449 | |
Target Corp. | 7.000% | 1/15/38 | 1,100 | 1,515 | |
Target Corp. | 4.000% | 7/1/42 | 1,000 | 976 | |
VF Corp. | 6.450% | 11/1/37 | 1,226 | 1,595 | |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 51,000 | 72,646 | |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 4,789 | 5,603 | |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 42,625 | 56,263 | |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 83,350 | 107,454 | |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 10,000 | 12,212 | |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 20,000 | 22,209 | |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 16,855 | 18,942 | |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 74,432 | 90,750 | |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 24,345 | 24,027 | |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 15,300 | 16,631 |
79
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 1,000 | 1,037 | |
Consumer Noncyclical (11.5%) | |||||
Abbott Laboratories | 6.000% | 4/1/39 | 11,105 | 13,759 | |
AbbVie Inc. | 4.500% | 5/14/35 | 10,345 | 10,094 | |
Actavis Funding SCS | 4.550% | 3/15/35 | 27,125 | 25,795 | |
Actavis Funding SCS | 4.750% | 3/15/45 | 13,630 | 12,946 | |
Altria Group Inc. | 9.950% | 11/10/38 | 1,608 | 2,638 | |
Altria Group Inc. | 5.375% | 1/31/44 | 1,250 | 1,337 | |
Amgen Inc. | 6.375% | 6/1/37 | 5,500 | 6,605 | |
Anheuser-Busch Cos. LLC | 6.750% | 12/15/27 | 400 | 512 | |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 500 | 642 | |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 11,460 | 13,721 | |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 9,000 | 8,404 | |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 850 | 877 | |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 41,590 | 62,940 | |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 10,000 | 14,884 | |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 14,844 | 18,974 | |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 23,940 | 21,502 | |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 500 | 527 | |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 7,009 | 6,856 | |
5 | Ascension Health | 4.847% | 11/15/53 | 10,040 | 10,830 |
AstraZeneca plc | 6.450% | 9/15/37 | 47,330 | 61,199 | |
4 | Baxalta Inc. | 5.250% | 6/23/45 | 4,000 | 4,031 |
Becton Dickinson & Co. | 7.000% | 8/1/27 | 800 | 1,017 | |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 5,800 | 5,052 | |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 22,500 | 24,169 | |
Cardinal Health Inc. | 4.500% | 11/15/44 | 18,770 | 18,179 | |
Cardinal Health Inc. | 4.900% | 9/15/45 | 5,010 | 5,058 | |
4 | Cargill Inc. | 6.125% | 4/19/34 | 200 | 247 |
4 | Cargill Inc. | 6.125% | 9/15/36 | 27,045 | 33,983 |
4 | Cargill Inc. | 6.625% | 9/15/37 | 5,590 | 7,376 |
4 | Cargill Inc. | 4.100% | 11/1/42 | 15,500 | 15,080 |
5 | Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 19,400 | 18,135 |
Catholic Health Initiatives Colorado GO | 4.268% | 5/15/44 | 500 | 484 | |
City of Hope | 5.623% | 11/15/43 | 12,480 | 14,188 | |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 4,000 | 3,827 | |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 1,200 | 1,325 | |
ConAgra Foods Inc. | 4.650% | 1/25/43 | 2,246 | 1,989 | |
Diageo Capital plc | 3.875% | 4/29/43 | 5,245 | 4,775 | |
Diageo Investment Corp. | 4.250% | 5/11/42 | 500 | 487 | |
Dignity Health | 5.267% | 11/1/64 | 800 | 827 | |
Dignity Health California GO | 4.500% | 11/1/42 | 19,865 | 18,909 | |
Eli Lilly & Co. | 3.700% | 3/1/45 | 27,670 | 25,698 | |
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 1,500 | 1,519 | |
General Mills Inc. | 5.400% | 6/15/40 | 800 | 893 | |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 19,915 | 23,327 | |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 26,555 | 27,443 | |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 25,580 | 25,543 | |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 18,497 | 21,558 | |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 54,345 | 69,325 | |
4 | Grupo Bimbo SAB de CV | 4.875% | 6/27/44 | 3,000 | 2,872 |
4 | JM Smucker Co. | 4.250% | 3/15/35 | 7,805 | 7,417 |
4 | JM Smucker Co. | 4.375% | 3/15/45 | 1,250 | 1,172 |
Johnson & Johnson | 5.950% | 8/15/37 | 1,462 | 1,897 | |
Johnson & Johnson | 4.500% | 9/1/40 | 12,015 | 13,083 | |
Johnson & Johnson | 4.500% | 12/5/43 | 5,725 | 6,250 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 28,625 | 31,082 | |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 5,300 | 7,088 | |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 600 | 694 | |
Kraft Heinz Foods Co. | 6.875% | 1/26/39 | 1,300 | 1,616 | |
4 | Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 19,830 | 20,923 |
5 | Mayo Clinic | 3.774% | 11/15/43 | 13,095 | 12,532 |
McKesson Corp. | 4.883% | 3/15/44 | 18,395 | 18,519 |
80
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Medtronic Inc. | 4.375% | 3/15/35 | 45,792 | 45,948 |
Medtronic Inc. | 6.500% | 3/15/39 | 21,200 | 27,221 | |
Medtronic Inc. | 5.550% | 3/15/40 | 1,900 | 2,208 | |
Medtronic Inc. | 4.500% | 3/15/42 | 9,000 | 9,142 | |
Medtronic Inc. | 4.625% | 3/15/44 | 2,000 | 2,086 | |
4 | Medtronic Inc. | 4.625% | 3/15/45 | 93,690 | 96,076 |
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 4,675 | 4,409 | |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 24,775 | 27,151 | |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 11,285 | 10,320 | |
Merck & Co. Inc. | 3.600% | 9/15/42 | 11,567 | 10,487 | |
Merck & Co. Inc. | 4.150% | 5/18/43 | 9,400 | 9,417 | |
Merck & Co. Inc. | 3.700% | 2/10/45 | 44,720 | 41,108 | |
6 | Mondelez International Inc. | 2.375% | 3/6/35 | 1,000 | 1,004 |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 19,585 | 18,619 | |
North Shore-Long Island Jewish Health Care Inc. | |||||
Revenue | 4.800% | 11/1/42 | 8,265 | 7,926 | |
North Shore-Long Island Jewish Health Care Inc. | |||||
Revenue | 6.150% | 11/1/43 | 20,550 | 24,566 | |
Novant Health Inc. | 4.371% | 11/1/43 | 552 | 536 | |
Novartis Capital Corp. | 4.400% | 5/6/44 | 29,840 | 31,609 | |
NYU Hospitals Center | 4.784% | 7/1/44 | 2,000 | 2,024 | |
PepsiCo Inc. | 5.500% | 1/15/40 | 27,645 | 32,084 | |
PepsiCo Inc. | 4.875% | 11/1/40 | 10,375 | 11,239 | |
PepsiCo Inc. | 4.000% | 3/5/42 | 16,872 | 16,181 | |
PepsiCo Inc. | 3.600% | 8/13/42 | 1,000 | 898 | |
PepsiCo Inc. | 4.600% | 7/17/45 | 2,000 | 2,097 | |
Pfizer Inc. | 7.200% | 3/15/39 | 44,462 | 62,062 | |
Pfizer Inc. | 4.300% | 6/15/43 | 15,300 | 15,352 | |
Pharmacia Corp. | 6.750% | 12/15/27 | 2,800 | 3,629 | |
Philip Morris International Inc. | 6.375% | 5/16/38 | 32,015 | 40,305 | |
Philip Morris International Inc. | 4.125% | 3/4/43 | 10,500 | 9,899 | |
Philip Morris International Inc. | 4.875% | 11/15/43 | 24,655 | 26,048 | |
Philip Morris International Inc. | 4.250% | 11/10/44 | 27,775 | 26,655 | |
Procter & Gamble Co. | 5.500% | 2/1/34 | 13,500 | 16,450 | |
Procter & Gamble Co. | 5.550% | 3/5/37 | 12,650 | 15,637 | |
4 | Reynolds American Inc. | 7.000% | 8/4/41 | 2,000 | 2,324 |
Reynolds American Inc. | 5.850% | 8/15/45 | 14,565 | 15,696 | |
4 | Roche Holdings Inc. | 7.000% | 3/1/39 | 4,900 | 7,073 |
4 | Roche Holdings Inc. | 4.000% | 11/28/44 | 29,605 | 29,508 |
4 | SABMiller Holdings Inc. | 4.950% | 1/15/42 | 4,825 | 5,060 |
4 | SC Johnson & Son Inc. | 4.000% | 5/15/43 | 21,645 | 20,805 |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 3,000 | 3,095 | |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 33,890 | 34,525 | |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 2,466 | 2,834 | |
5 | Texas Health Resources | 4.330% | 11/15/55 | 1,000 | 983 |
The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 12,000 | 16,464 | |
Tyson Foods Inc. | 4.875% | 8/15/34 | 2,000 | 2,034 | |
Tyson Foods Inc. | 5.150% | 8/15/44 | 1,500 | 1,565 | |
Wyeth LLC | 6.000% | 2/15/36 | 1,600 | 1,969 | |
Wyeth LLC | 5.950% | 4/1/37 | 68,185 | 82,854 | |
Energy (4.7%) | |||||
Apache Corp. | 4.750% | 4/15/43 | 24,175 | 22,159 | |
Baker Hughes Inc. | 5.125% | 9/15/40 | 2,375 | 2,530 | |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 23,500 | 31,615 | |
Cameron International Corp. | 5.950% | 6/1/41 | 1,250 | 1,296 | |
ConocoPhillips | 7.000% | 3/30/29 | 10,850 | 13,776 | |
ConocoPhillips | 5.900% | 10/15/32 | 19,600 | 22,914 | |
ConocoPhillips | 6.500% | 2/1/39 | 81,416 | 101,603 | |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 1,500 | 1,755 | |
ConocoPhillips Co. | 4.300% | 11/15/44 | 25,655 | 25,032 | |
Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 500 | 416 | |
Diamond Offshore Drilling Inc. | 4.875% | 11/1/43 | 2,750 | 2,123 | |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 1,575 | 1,547 |
81
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Encana Corp. | 6.500% | 8/15/34 | 13,863 | 14,388 | |
Encana Corp. | 5.150% | 11/15/41 | 7,645 | 6,875 | |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 20,000 | 19,504 | |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 1,500 | 1,447 | |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 12,825 | 11,321 | |
5 | Enterprise Products Operating LLC | 8.375% | 8/1/66 | 1,835 | 1,872 |
EOG Resources Inc. | 3.900% | 4/1/35 | 1,000 | 951 | |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 32,755 | 30,475 | |
Halliburton Co. | 6.700% | 9/15/38 | 500 | 631 | |
Halliburton Co. | 7.450% | 9/15/39 | 500 | 685 | |
Halliburton Co. | 4.500% | 11/15/41 | 1,200 | 1,177 | |
Halliburton Co. | 4.750% | 8/1/43 | 3,050 | 3,074 | |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 24,210 | 22,023 | |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 1,000 | 884 | |
Occidental Petroleum Corp. | 4.625% | 6/15/45 | 2,000 | 2,031 | |
Petro-Canada | 6.800% | 5/15/38 | 22,828 | 28,632 | |
Phillips 66 Partners LP | 3.605% | 2/15/25 | 80 | 74 | |
Shell International Finance BV | 4.125% | 5/11/35 | 40,000 | 39,460 | |
Shell International Finance BV | 6.375% | 12/15/38 | 43,260 | 55,581 | |
Shell International Finance BV | 5.500% | 3/25/40 | 20,955 | 24,669 | |
Shell International Finance BV | 4.550% | 8/12/43 | 16,340 | 16,734 | |
Shell International Finance BV | 4.375% | 5/11/45 | 46,025 | 46,255 | |
Suncor Energy Inc. | 3.600% | 12/1/24 | 4,855 | 4,829 | |
Suncor Energy Inc. | 6.500% | 6/15/38 | 11,910 | 14,683 | |
Suncor Energy Inc. | 6.850% | 6/1/39 | 7,035 | 8,940 | |
Tosco Corp. | 7.800% | 1/1/27 | 1,500 | 2,004 | |
Tosco Corp. | 8.125% | 2/15/30 | 20,000 | 27,968 | |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 5,000 | 5,041 | |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 1,500 | 1,722 | |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 49,100 | 65,619 | |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 2,300 | 2,604 | |
Transocean Inc. | 7.500% | 4/15/31 | 500 | 369 | |
Other Industrial (0.6%) | |||||
5 | Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 25,200 | 26,063 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 1,100 | 1,383 | |
5 | Northwestern University | 3.868% | 12/1/48 | 21,605 | 21,327 |
5 | Northwestern University Illinois GO | 4.643% | 12/1/44 | 25,315 | 27,887 |
4 | President & Fellows of Harvard College Massachusetts | ||||
GO | 6.500% | 1/15/39 | 3,865 | 5,393 | |
Technology (4.8%) | |||||
Apple Inc. | 3.850% | 5/4/43 | 41,755 | 38,669 | |
Apple Inc. | 4.450% | 5/6/44 | 13,305 | 13,437 | |
Apple Inc. | 3.450% | 2/9/45 | 47,950 | 41,109 | |
Apple Inc. | 4.375% | 5/13/45 | 41,430 | 41,401 | |
Applied Materials Inc. | 5.850% | 6/15/41 | 1,150 | 1,330 | |
Broadcom Corp. | 4.500% | 8/1/34 | 500 | 501 | |
Cisco Systems Inc. | 5.900% | 2/15/39 | 37,500 | 45,264 | |
Cisco Systems Inc. | 5.500% | 1/15/40 | 35,725 | 41,521 | |
Intel Corp. | 4.800% | 10/1/41 | 23,180 | 23,741 | |
Intel Corp. | 4.250% | 12/15/42 | 1,000 | 948 | |
Intel Corp. | 4.900% | 7/29/45 | 7,000 | 7,202 | |
International Business Machines Corp. | 7.000% | 10/30/25 | 23,725 | 30,822 | |
International Business Machines Corp. | 4.000% | 6/20/42 | 23,900 | 22,016 | |
6 | Microsoft Corp. | 3.125% | 12/6/28 | 407 | 516 |
Microsoft Corp. | 3.500% | 2/12/35 | 31,235 | 29,017 | |
Microsoft Corp. | 4.500% | 10/1/40 | 1,900 | 1,979 | |
Microsoft Corp. | 5.300% | 2/8/41 | 15,000 | 17,313 | |
Microsoft Corp. | 3.500% | 11/15/42 | 1,750 | 1,545 | |
Microsoft Corp. | 3.750% | 5/1/43 | 10,000 | 9,253 | |
Microsoft Corp. | 4.875% | 12/15/43 | 500 | 544 | |
Microsoft Corp. | 3.750% | 2/12/45 | 71,860 | 65,524 | |
Microsoft Corp. | 4.000% | 2/12/55 | 11,075 | 10,135 | |
Oracle Corp. | 4.300% | 7/8/34 | 3,500 | 3,510 |
82
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Oracle Corp. | 3.900% | 5/15/35 | 8,000 | 7,618 | |
Oracle Corp. | 6.500% | 4/15/38 | 40,833 | 51,966 | |
Oracle Corp. | 6.125% | 7/8/39 | 19,559 | 23,894 | |
Oracle Corp. | 5.375% | 7/15/40 | 43,160 | 48,376 | |
Oracle Corp. | 4.500% | 7/8/44 | 2,000 | 2,013 | |
Oracle Corp. | 4.125% | 5/15/45 | 32,500 | 30,719 | |
Oracle Corp. | 4.375% | 5/15/55 | 37,000 | 34,913 | |
QUALCOMM Inc. | 3.450% | 5/20/25 | 19,550 | 18,507 | |
QUALCOMM Inc. | 4.650% | 5/20/35 | 29,950 | 28,072 | |
QUALCOMM Inc. | 4.800% | 5/20/45 | 2,000 | 1,812 | |
Seagate HDD Cayman | 4.750% | 1/1/25 | 1,500 | 1,474 | |
4 | Seagate HDD Cayman | 4.875% | 6/1/27 | 2,000 | 1,930 |
4 | Seagate HDD Cayman | 5.750% | 12/1/34 | 1,500 | 1,463 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 525 | 688 | |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 2,000 | 1,994 | |
Transportation (0.9%) | |||||
Burlington Northern Santa Fe LLC | 6.875% | 12/1/27 | 1,500 | 1,918 | |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 18,888 | 22,204 | |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 2,013 | 2,632 | |
Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 900 | 1,043 | |
CSX Corp. | 4.400% | 3/1/43 | 13,830 | 13,487 | |
4 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 10,821 | 13,518 |
FedEx Corp. | 3.900% | 2/1/35 | 9,070 | 8,527 | |
FedEx Corp. | 5.100% | 1/15/44 | 3,605 | 3,767 | |
Union Pacific Corp. | 3.375% | 2/1/35 | 1,500 | 1,367 | |
Union Pacific Corp. | 4.750% | 9/15/41 | 2,000 | 2,164 | |
Union Pacific Corp. | 4.750% | 12/15/43 | 20,510 | 22,159 | |
Union Pacific Corp. | 4.821% | 2/1/44 | 12,000 | 13,128 | |
Union Pacific Corp. | 4.150% | 1/15/45 | 1,500 | 1,478 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 9,850 | 12,613 | |
United Parcel Service Inc. | 4.875% | 11/15/40 | 2,700 | 2,991 | |
United Parcel Service Inc. | 3.625% | 10/1/42 | 6,790 | 6,361 | |
5,639,414 | |||||
Utilities (13.3%) | |||||
Electric (13.2%) | |||||
Alabama Power Co. | 6.000% | 3/1/39 | 4,875 | 6,155 | |
Alabama Power Co. | 5.500% | 3/15/41 | 26,943 | 31,704 | |
Alabama Power Co. | 5.200% | 6/1/41 | 15,000 | 16,968 | |
Alabama Power Co. | 3.750% | 3/1/45 | 22,325 | 20,530 | |
Ameren Illinois Co. | 4.300% | 7/1/44 | 12,540 | 12,900 | |
Appalachian Power Co. | 6.700% | 8/15/37 | 38,600 | 48,754 | |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 1,230 | 1,554 | |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 17,452 | 20,978 | |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 10,000 | 10,933 | |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 20,675 | 20,745 | |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 15,775 | 14,298 | |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,120 | 2,607 | |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 20,805 | 19,467 | |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 12,560 | 13,321 | |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,955 | 17,137 | |
Commonwealth Edison Co. | 3.700% | 3/1/45 | 15,990 | 14,697 | |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 14,500 | 18,611 | |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 940 | 961 | |
Connecticut Light & Power Co. | 4.150% | 6/1/45 | 8,445 | 8,403 | |
Consolidated Edison Co. of New York Inc. | 5.100% | 6/15/33 | 730 | 794 | |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 10,000 | 12,075 | |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 12,127 | 15,204 | |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 12,990 | 17,229 | |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 6,250 | 7,230 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 7,995 | 9,544 | |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 10,250 | 10,042 | |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 10,935 | 10,271 | |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 48,300 | 49,333 |
83
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 8,060 | 8,040 | |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 1,000 | 968 | |
Dominion Resources Inc. | 4.700% | 12/1/44 | 18,505 | 18,478 | |
DTE Electric Co. | 6.625% | 6/1/36 | 1,910 | 2,530 | |
DTE Electric Co. | 4.000% | 4/1/43 | 1,000 | 976 | |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 8,200 | 10,645 | |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 52,400 | 65,846 | |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 2,440 | 3,072 | |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 4,900 | 5,721 | |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 16,200 | 16,592 | |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 42,242 | 41,425 | |
Duke Energy Florida Inc. | 6.750% | 2/1/28 | 2,300 | 2,843 | |
Duke Energy Florida Inc. | 6.400% | 6/15/38 | 1,000 | 1,306 | |
Duke Energy Florida Inc. | 5.650% | 4/1/40 | 11,860 | 14,487 | |
Duke Energy Florida Inc. | 3.850% | 11/15/42 | 2,000 | 1,919 | |
Duke Energy Indiana Inc. | 6.120% | 10/15/35 | 2,723 | 3,346 | |
Duke Energy Indiana Inc. | 6.450% | 4/1/39 | 9,100 | 11,972 | |
Duke Energy Indiana Inc. | 4.200% | 3/15/42 | 12,700 | 12,763 | |
Duke Energy Indiana Inc. | 4.900% | 7/15/43 | 26,810 | 29,603 | |
Duke Energy Progress Inc. | 5.700% | 4/1/35 | 800 | 938 | |
Duke Energy Progress Inc. | 4.100% | 5/15/42 | 1,250 | 1,236 | |
Duke Energy Progress Inc. | 4.100% | 3/15/43 | 15,000 | 14,807 | |
Duke Energy Progress Inc. | 4.375% | 3/30/44 | 2,000 | 2,075 | |
4 | Enel Finance International NV | 6.000% | 10/7/39 | 1,000 | 1,151 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 1,105 | 1,117 | |
4 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 850 | 871 |
4 | FirstEnergy Transmission LLC | 5.450% | 7/15/44 | 2,000 | 2,090 |
Florida Power & Light Co. | 5.625% | 4/1/34 | 16,275 | 19,729 | |
Florida Power & Light Co. | 5.400% | 9/1/35 | 13,380 | 15,909 | |
Florida Power & Light Co. | 6.200% | 6/1/36 | 400 | 515 | |
Florida Power & Light Co. | 5.960% | 4/1/39 | 15,100 | 19,303 | |
Florida Power & Light Co. | 5.690% | 3/1/40 | 700 | 870 | |
Florida Power & Light Co. | 5.250% | 2/1/41 | 21,662 | 25,317 | |
Florida Power & Light Co. | 5.125% | 6/1/41 | 437 | 506 | |
Florida Power & Light Co. | 4.125% | 2/1/42 | 11,265 | 11,331 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 26,975 | 25,870 | |
Florida Power & Light Co. | 4.050% | 10/1/44 | 10,825 | 10,808 | |
Georgia Power Co. | 5.950% | 2/1/39 | 29,827 | 35,675 | |
Georgia Power Co. | 5.400% | 6/1/40 | 10,100 | 11,322 | |
Georgia Power Co. | 4.750% | 9/1/40 | 18,680 | 19,041 | |
Georgia Power Co. | 4.300% | 3/15/42 | 9,982 | 9,453 | |
5 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 22,609 | 24,869 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 1,000 | 1,147 | |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 1,000 | 1,074 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 500 | 613 | |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 29,300 | 32,344 | |
Mississippi Power Co. | 4.250% | 3/15/42 | 2,000 | 1,814 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 44,509 | 44,751 | |
Nevada Power Co. | 6.650% | 4/1/36 | 5,830 | 7,618 | |
Nevada Power Co. | 5.375% | 9/15/40 | 18,230 | 20,858 | |
Nevada Power Co. | 5.450% | 5/15/41 | 23,620 | 27,344 | |
Northern States Power Co. | 6.200% | 7/1/37 | 27,900 | 36,082 | |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 2,000 | 2,256 | |
Oklahoma Gas & Electric Co. | 6.500% | 4/15/28 | 1,300 | 1,599 | |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 500 | 533 | |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 46,041 | 56,216 | |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 900 | 1,061 | |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 8,192 | 10,339 | |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 35,905 | 44,922 | |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 22,200 | 25,399 | |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 700 | 719 | |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 1,700 | 1,881 | |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 21,355 | 22,784 | |
PacifiCorp | 5.250% | 6/15/35 | 1,301 | 1,497 |
84
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
PacifiCorp | 6.100% | 8/1/36 | 15,000 | 18,928 | |
PacifiCorp | 6.250% | 10/15/37 | 7,815 | 10,087 | |
PacifiCorp | 6.350% | 7/15/38 | 20,000 | 25,842 | |
PacifiCorp | 6.000% | 1/15/39 | 32,446 | 40,827 | |
PacifiCorp | 4.100% | 2/1/42 | 24,520 | 24,251 | |
PECO Energy Co. | 4.800% | 10/15/43 | 15,530 | 17,091 | |
PECO Energy Co. | 4.150% | 10/1/44 | 1,100 | 1,111 | |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,225 | 1,615 | |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 150 | 230 | |
Potomac Electric Power Co. | 4.150% | 3/15/43 | 2,000 | 1,994 | |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,975 | 14,320 | |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,250 | 1,438 | |
PSEG Power LLC | 8.625% | 4/15/31 | 10,112 | 14,162 | |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 15,055 | 13,902 | |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 22,483 | 21,122 | |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 700 | 691 | |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 10,000 | 13,402 | |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 500 | 641 | |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,100 | 1,343 | |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 18,130 | 22,478 | |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 500 | 607 | |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 400 | 410 | |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 35,000 | 44,885 | |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 10,600 | 12,840 | |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 300 | 344 | |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 32,687 | 32,288 | |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 300 | 306 | |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 19,430 | 18,373 | |
Southern California Edison Co. | 6.000% | 1/15/34 | 19,095 | 23,676 | |
Southern California Edison Co. | 5.950% | 2/1/38 | 16,100 | 20,150 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 845 | 1,075 | |
Southern California Edison Co. | 4.500% | 9/1/40 | 12,000 | 12,614 | |
Southern California Edison Co. | 3.900% | 12/1/41 | 500 | 483 | |
Southern California Edison Co. | 4.050% | 3/15/42 | 800 | 791 | |
Southern California Edison Co. | 3.900% | 3/15/43 | 18,480 | 17,787 | |
Southern California Edison Co. | 4.650% | 10/1/43 | 29,150 | 31,511 | |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 22,555 | 23,698 | |
Tampa Electric Co. | 6.150% | 5/15/37 | 36,000 | 46,079 | |
Tampa Electric Co. | 4.100% | 6/15/42 | 1,010 | 994 | |
Tampa Electric Co. | 4.200% | 5/15/45 | 600 | 600 | |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 71,685 | |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 2,000 | 2,630 | |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 1,140 | 1,216 | |
Westar Energy Inc. | 4.125% | 3/1/42 | 1,175 | 1,184 | |
Westar Energy Inc. | 4.625% | 9/1/43 | 1,300 | 1,404 | |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 17,500 | 19,500 | |
Natural Gas (0.1%) | |||||
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,500 | 1,474 | |
Atmos Energy Corp. | 4.125% | 10/15/44 | 1,000 | 978 | |
ONE Gas Inc. | 4.658% | 2/1/44 | 700 | 745 | |
Southern California Gas Co. | 5.125% | 11/15/40 | 3,922 | 4,551 | |
Southern California Gas Co. | 3.750% | 9/15/42 | 200 | 191 | |
1,923,175 | |||||
Total Corporate Bonds (Cost $9,834,000) | 10,680,541 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.7%) | |||||
4 | CDP Financial Inc. | 5.600% | 11/25/39 | 15,000 | 18,683 |
4 | CNOOC Finance 2011 Ltd. | 5.750% | 1/26/41 | 8,620 | 10,201 |
4 | CNPC HK Overseas Capital Ltd. | 5.950% | 4/28/41 | 700 | 838 |
Ecopetrol SA | 5.875% | 5/28/45 | 1,050 | 913 | |
4 | Electricite de France SA | 6.950% | 1/26/39 | 23,040 | 30,287 |
4 | Electricite de France SA | 4.875% | 1/22/44 | 18,730 | 20,200 |
4 | Electricite de France SA | 6.000% | 1/22/14 | 2,280 | 2,580 |
85
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Export-Import Bank of Korea | 3.250% | 8/12/26 | 5,000 | 5,015 | |
Federative Republic of Brazil | 5.000% | 1/27/45 | 3,125 | 2,613 | |
4 | OCP SA | 5.625% | 4/25/24 | 275 | 288 |
5 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 325 | 312 |
Pertamina Persero PT | 6.000% | 5/3/42 | 650 | 604 | |
4 | Pertamina Persero PT | 6.450% | 5/30/44 | 300 | 293 |
Petrobras Global Finance BV | 5.625% | 5/20/43 | 1,060 | 786 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 7,000 | 7,584 | |
Petroleos Mexicanos | 4.875% | 1/24/22 | 500 | 521 | |
4 | Petroleos Mexicanos | 5.625% | 1/23/46 | 1,200 | 1,126 |
Quebec | 7.500% | 9/15/29 | 9,000 | 13,279 | |
6 | Republic of Chile | 1.875% | 5/27/30 | 3,500 | 3,610 |
Republic of Colombia | 6.125% | 1/18/41 | 825 | 889 | |
5 | Republic of Colombia | 5.625% | 2/26/44 | 138 | 140 |
5 | Republic of Colombia | 5.000% | 6/15/45 | 1,010 | 938 |
Republic of Indonesia | 4.125% | 1/15/25 | 765 | 754 | |
4 | Republic of Indonesia | 6.625% | 2/17/37 | 200 | 227 |
Republic of Indonesia | 6.625% | 2/17/37 | 1,400 | 1,571 | |
4 | Republic of Indonesia | 6.750% | 1/15/44 | 950 | 1,107 |
Republic of Kazakhstan | 4.875% | 10/14/44 | 780 | 638 | |
Republic of Kazakhstan | 6.500% | 7/21/45 | 800 | 793 | |
Republic of Peru | 5.625% | 11/18/50 | 650 | 731 | |
Republic of Poland | 5.125% | 4/21/21 | 3,200 | 3,596 | |
Republic of Poland | 4.000% | 1/22/24 | 7,000 | 7,406 | |
Republic of Romania | 4.375% | 8/22/23 | 500 | 519 | |
Republic of Turkey | 6.750% | 4/3/18 | 300 | 331 | |
Republic of Turkey | 7.375% | 2/5/25 | 665 | 793 | |
Republic of Turkey | 4.875% | 4/16/43 | 3,550 | 3,200 | |
4 | Saudi Electricity Global Sukuk Co. 3 | 4.000% | 4/8/24 | 2,000 | 2,101 |
Statoil ASA | 5.100% | 8/17/40 | 15,050 | 16,495 | |
Statoil ASA | 4.250% | 11/23/41 | 6,400 | 6,261 | |
Statoil ASA | 3.950% | 5/15/43 | 29,310 | 27,658 | |
Statoil ASA | 4.800% | 11/8/43 | 18,740 | 20,169 | |
4 | Temasek Financial I Ltd. | 3.375% | 7/23/42 | 23,355 | 21,767 |
United Mexican States | 4.000% | 10/2/23 | 500 | 515 | |
United Mexican States | 4.750% | 3/8/44 | 1,275 | 1,236 | |
United Mexican States | 5.750% | 10/12/10 | 1,250 | 1,257 | |
Total Sovereign Bonds (Cost $231,265) | 240,825 | ||||
Taxable Municipal Bonds (15.3%) | |||||
Allentown PA Neighborhood Improvement Zone | |||||
Development Authority Revenue | 5.420% | 5/1/21 | 1,000 | 1,035 | |
Allentown PA Neighborhood Improvement Zone | |||||
Development Authority Revenue | 5.620% | 5/1/22 | 1,930 | 2,018 | |
American Municipal Power Ohio Inc. Revenue (Prairie | |||||
State Energy Campus Project) | 6.270% | 2/15/50 | 53,500 | 64,361 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 17,420 | 21,774 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 44,640 | 59,266 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 25,730 | 34,182 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 13,775 | 18,958 | |
California GO | 7.500% | 4/1/34 | 26,555 | 37,727 | |
California GO | 7.550% | 4/1/39 | 55,350 | 81,679 | |
California GO | 7.300% | 10/1/39 | 109,045 | 154,230 | |
California GO | 7.350% | 11/1/39 | 3,645 | 5,180 | |
California GO | 7.625% | 3/1/40 | 30,135 | 44,484 | |
California GO | 7.600% | 11/1/40 | 74,320 | 111,715 | |
California Public Works Board Lease Revenue (Various | |||||
Capital Projects) | 8.361% | 10/1/34 | 11,665 | 16,691 | |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 15,710 | 19,551 |
86
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Chicago IL Transit Authority Transfer Tax Receipts | |||||
Revenue | 6.899% | 12/1/40 | 4,200 | 4,947 | |
Chicago Transit Authority | 6.899% | 12/1/40 | 530 | 624 | |
7 | Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 5.197% | 6/1/26 | 19,975 | 21,819 | |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 200 | 260 | |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 200 | 233 | |
District of Columbia Water & Sewer Authority Public | |||||
Utility Revenue | 4.814% | 10/1/14 | 2,000 | 2,035 | |
Duke University North Carolina Revenue | 5.850% | 4/1/37 | 30,450 | 38,024 | |
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 3,000 | 2,923 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 39,585 | 48,201 | |
Grand Parkway Transportation Corp. Texas System Toll | |||||
Revenue | 5.184% | 10/1/42 | 1,500 | 1,771 | |
Houston TX GO | 6.290% | 3/1/32 | 24,190 | 29,452 | |
Illinois GO | 5.100% | 6/1/33 | 193,305 | 183,574 | |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 19,300 | 24,085 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 5.716% | 7/1/39 | 4,175 | 5,059 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.008% | 7/1/39 | 11,900 | 14,768 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.574% | 7/1/45 | 31,480 | 42,750 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.603% | 7/1/50 | 5,655 | 7,799 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 19,500 | 23,422 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 10,815 | 13,045 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 64,235 | 85,084 | |
Los Angeles County CA Metropolitan Transportation | |||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 15,100 | 18,473 | |
Mississippi GO | 5.539% | 10/1/29 | 1,500 | 1,735 | |
8 | New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 50,002 | 57,139 | |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 52,934 | 73,941 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 62,755 | 84,909 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 12,780 | 16,089 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 18,210 | 23,458 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 6,980 | 9,050 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 6.282% | 6/15/42 | 7,225 | 8,251 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 32,580 | 41,960 | |
New York City NY Transitional Finance Authority Future | |||||
Tax Revenue | 5.508% | 8/1/37 | 2,875 | 3,465 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 66,105 | 96,327 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 5,950 | 7,511 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.289% | 3/15/33 | 7,325 | 8,456 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.628% | 3/15/39 | 19,595 | 23,638 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.600% | 3/15/40 | 2,000 | 2,455 | |
New York State GO | 5.590% | 3/1/35 | 1,000 | 1,179 | |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 26,971 | 37,090 | |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 12,300 | 13,975 | |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 20,231 | 19,583 | |
Oregon GO | 5.892% | 6/1/27 | 14,590 | 17,526 | |
9 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 10,000 | 10,960 |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 20,335 | 25,002 |
87
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 15,250 | 18,001 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 21,245 | 25,078 | |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 2,000 | 2,179 | |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 9,260 | 9,901 | |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 29,305 | 31,796 | |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 34,890 | 34,611 | |
1 | President & Fellows of Harvard College Massachusetts | ||||
GO | 6.300% | 10/1/37 | 52,593 | 54,565 | |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 10,450 | 13,424 | |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 13,370 | 14,228 | |
San Francisco CA City & County Public Utilities | |||||
Commission Water Revenue | 6.950% | 11/1/50 | 1,400 | 1,927 | |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 3,690 | 4,286 | |
University of California | 3.931% | 5/15/45 | 8,400 | 8,145 | |
University of California Regents General Revenue | 4.601% | 5/15/31 | 11,165 | 12,047 | |
University of California Regents Medical Center | |||||
Revenue | 6.548% | 5/15/48 | 25,770 | 33,178 | |
University of California Regents Medical Center | |||||
Revenue | 6.583% | 5/15/49 | 8,695 | 11,186 | |
University of California Revenue | 5.770% | 5/15/43 | 5,155 | 6,277 | |
University of California Revenue | 4.765% | 5/15/44 | 9,290 | 9,763 | |
University of California Revenue | 4.858% | 5/15/12 | 31,025 | 29,052 | |
University of California Revenue | 4.767% | 5/15/15 | 14,875 | 13,882 | |
University of Texas System Revenue Financing System | |||||
Revenue | 5.262% | 7/1/39 | 11,500 | 13,835 | |
University of Texas System Revenue Financing System | |||||
Revenue | 4.794% | 8/15/46 | 8,915 | 10,068 | |
Washington GO | 5.481% | 8/1/39 | 8,890 | 10,871 | |
Washington University Revenue | 4.072% | 10/15/44 | 1,000 | 1,052 | |
7 | Wisconsin GO | 5.700% | 5/1/26 | 23,025 | 27,366 |
Total Taxable Municipal Bonds (Cost $1,949,597) | 2,221,616 | ||||
Shares | |||||
Temporary Cash Investments (5.0%) | |||||
Money Market Fund (1.0%) | |||||
10 | Vanguard Market Liquidity Fund | 0.152% | 142,204,326 | 142,204 | |
Face | |||||
Amount | |||||
($000) | |||||
Repurchase Agreements (4.0%) | |||||
Bank of America Securities, LLC (Dated 7/31/15, | |||||
Repurchase Value $51,401,000, collateralized by | |||||
Government National Mortgage Assn. 3.500%, | |||||
7/20/45, with a value of $52,548,000) | 0.150% | 8/3/15 | 51,400 | 51,400 | |
Bank of Montreal (Dated 7/31/15, Repurchase Value | |||||
$55,501,000, collateralized by U.S. Treasury | |||||
Note/Bond 0.875%-3.000%, 9/30/16-12/31/20, with a | |||||
value of $56,610,000) | 0.130% | 8/3/15 | 55,500 | 55,500 | |
Bank of Montreal (Dated 7/31/15, Repurchase Value | |||||
$50,001,000, collateralized by Federal National | |||||
Mortgage Assn. 4.000%, 8/1/44, Federal Home Loan | |||||
Mortgage Corp. 3.500%-5.500%, 4/1/34-5/1/45, and | |||||
Government National Mortgage Assn. 5.500%, | |||||
9/15/29, with a value of $51,000,000) | 0.150% | 8/3/15 | 50,000 | 50,000 | |
Barclays Capital Inc. (Dated 7/31/15, Repurchase Value | |||||
$173,602,000, collateralized by U.S. Treasury | |||||
Note/Bond 2.750%, 2/15/24, with a value of | |||||
$177,072,000) | 0.130% | 8/3/15 | 173,600 | 173,600 |
88
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2015 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Citigroup Global Markets Inc. (Dated 7/31/15, | ||||
Repurchase Value $137,402,000, collateralized by | ||||
U.S. Treasury Note/Bond 0.875%-2.250%, 7/15/18- | ||||
4/30/21, with a value of $140,148,000) | 0.140% | 8/3/15 | 137,400 | 137,400 |
RBC Capital Markets LLC (Dated 7/31/15, Repurchase | ||||
Value $116,201,000, collateralized by Federal | ||||
National Mortgage Assn. 1.354%-6.000%, 5/1/26- | ||||
6/1/45, Federal Home Loan Mortgage Corp. 2.191%- | ||||
4.500%, 6/1/25-5/1/45, and Government National | ||||
Mortgage Assn. 1.625%-4.571%, 8/20/40-3/20/65, | ||||
with a value of $118,524,000) | 0.140% | 8/3/15 | 116,200 | 116,200 |
584,100 | ||||
Total Temporary Cash Investments (Cost $726,304) | 726,304 | |||
Total Investments (99.0%) (Cost $13,206,843) | 14,354,952 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.00 | 8/21/15 | 24 | (21) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $127.50 | 8/21/15 | 24 | (15) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.00 | 8/21/15 | 43 | (17) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $128.50 | 8/21/15 | 6 | (2) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.00 | 8/21/15 | 24 | (2) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $125.50 | 8/21/15 | 33 | (3) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $126.00 | 8/21/15 | 24 | (4) | |
Total Liability for Options Written (Premiums received $61) | (64) | |||
Other Assets and Liabilities—Net (1.0%)11 | 144,162 | |||
Net Assets (100%) | 14,499,050 |
1 | Securities with a value of $5,179,000 have been segregated as initial margin for open futures contracts. |
2 | Securities with a value of $26,632,000 have been segregated as initial margin for open cleared swap contracts. |
3 | The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government. |
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 July 31, 2015, the aggregate value of these securities was $950,205,000, representing 6.6% of net assets. |
5 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
6 | Face amount denominated in euro. |
7 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
8 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
9 | Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation). |
10 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
11 | Cash of $11,849,000 has been segregated as initial margin for open futures contracts. GO—General Obligation Bond. |
89
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (1.9%) | |||||
U.S. Government Securities (1.9%) | |||||
United States Treasury Note/Bond | 0.375% | 5/31/16 | 170,920 | 171,053 | |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 169,570 | 170,471 | |
Total U.S. Government and Agency Obligations (Cost $341,289) | 341,524 | ||||
Asset-Backed/Commercial Mortgage-Backed Security (0.3%) | |||||
Avis Budget Car Rental LLC / Avis Budget Finance Inc. | |||||
(Cost $55,572) | 5.500% | 4/1/23 | 55,636 | 55,914 | |
Corporate Bonds (92.6%) | |||||
Finance (12.8%) | |||||
Banking (2.7%) | |||||
1,2 | Credit Suisse Group AG | 6.250% | 12/29/49 | 96,200 | 94,036 |
1 | HSBC Holdings plc | 5.625% | 12/29/49 | 35,775 | 35,790 |
1 | HSBC Holdings plc | 6.375% | 12/29/49 | 71,525 | 71,883 |
Royal Bank of Scotland Group plc | 6.125% | 12/15/22 | 113,600 | 122,562 | |
Royal Bank of Scotland Group plc | 6.000% | 12/19/23 | 21,835 | 23,409 | |
Royal Bank of Scotland Group plc | 5.125% | 5/28/24 | 15,710 | 15,895 | |
1,2 | Societe Generale SA | 6.000% | 10/27/49 | 61,835 | 58,279 |
UBS AG | 7.625% | 8/17/22 | 55,150 | 64,797 | |
Finance Companies (7.9%) | |||||
2 | AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 3.750% | 5/15/19 | 47,800 | 47,979 | |
2 | AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 4.500% | 5/15/21 | 57,835 | 58,919 | |
2 | AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 5.000% | 10/1/21 | 22,830 | 23,715 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 4.625% | 7/1/22 | 18,925 | 19,304 | |
Aircastle Ltd. | 6.250% | 12/1/19 | 11,530 | 12,769 | |
Aircastle Ltd. | 5.125% | 3/15/21 | 1,020 | 1,051 | |
Aircastle Ltd. | 5.500% | 2/15/22 | 25,900 | 26,871 | |
CIT Group Inc. | 5.250% | 3/15/18 | 102,005 | 106,085 | |
2 | CIT Group Inc. | 6.625% | 4/1/18 | 120,655 | 130,006 |
2 | CIT Group Inc. | 5.500% | 2/15/19 | 78,830 | 83,363 |
CIT Group Inc. | 3.875% | 2/19/19 | 33,380 | 33,547 | |
CIT Group Inc. | 5.375% | 5/15/20 | 98,370 | 104,149 | |
CIT Group Inc. | 5.000% | 8/15/22 | 96,680 | 98,251 | |
Homer City Generation LP | 8.734% | 10/1/26 | 121,041 | 122,856 | |
International Lease Finance Corp. | 8.750% | 3/15/17 | 20,970 | 22,805 | |
International Lease Finance Corp. | 3.875% | 4/15/18 | 38,110 | 38,682 | |
International Lease Finance Corp. | 5.875% | 4/1/19 | 46,220 | 49,340 | |
International Lease Finance Corp. | 6.250% | 5/15/19 | 70,781 | 77,151 | |
International Lease Finance Corp. | 8.250% | 12/15/20 | 51,121 | 60,962 | |
International Lease Finance Corp. | 4.625% | 4/15/21 | 29,400 | 29,988 | |
International Lease Finance Corp. | 8.625% | 1/15/22 | 29,100 | 35,720 | |
International Lease Finance Corp. | 5.875% | 8/15/22 | 2,605 | 2,839 | |
iStar Financial Inc. | 4.875% | 7/1/18 | 8,955 | 8,821 | |
iStar Financial Inc. | 5.000% | 7/1/19 | 6,190 | 6,074 | |
Navient Corp. | 8.450% | 6/15/18 | 44,100 | 47,573 | |
Navient Corp. | 5.500% | 1/15/19 | 79,080 | 77,498 | |
Navient Corp. | 8.000% | 3/25/20 | 58,325 | 60,512 | |
Navient Corp. | 7.250% | 1/25/22 | 19,145 | 18,906 | |
Navient Corp. | 5.500% | 1/25/23 | 25,175 | 22,154 | |
Insurance (1.3%) | |||||
2 | Liberty Mutual Group Inc. | 7.800% | 3/15/37 | 58,440 | 69,251 |
Unum Group | 7.375% | 6/15/32 | 6,295 | 7,520 | |
1 | Voya Financial Inc. | 5.650% | 5/15/53 | 87,753 | 89,618 |
WellCare Health Plans Inc. | 5.750% | 11/15/20 | 59,950 | 63,022 | |
Other Finance (0.6%) | |||||
2 | Argos Merger Sub Inc. | 7.125% | 3/15/23 | 87,535 | 92,459 |
90
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CNO Financial Group Inc. | 4.500% | 5/30/20 | 4,865 | 5,023 | |
CNO Financial Group Inc. | 5.250% | 5/30/25 | 21,475 | 22,254 | |
Real Estate Investment Trusts (0.3%) | |||||
Felcor Lodging LP | 5.625% | 3/1/23 | 42,805 | 44,089 | |
2 | Felcor Lodging LP | 6.000% | 6/1/25 | 11,640 | 11,960 |
2,319,737 | |||||
Industrial (75.5%) | |||||
Basic Industry (5.9%) | |||||
AK Steel Corp. | 7.625% | 10/1/21 | 77,440 | 55,950 | |
ArcelorMittal | 5.125% | 6/1/20 | 9,600 | 9,648 | |
ArcelorMittal | 6.000% | 8/5/20 | 16,015 | 16,175 | |
ArcelorMittal | 6.250% | 3/1/21 | 7,280 | 7,353 | |
ArcelorMittal | 7.000% | 2/25/22 | 18,740 | 19,396 | |
ArcelorMittal | 6.125% | 6/1/25 | 21,830 | 20,793 | |
3,4 | Arch Coal Inc. Bank Loan | 6.250% | 5/16/18 | 108,970 | 61,677 |
Axiall Corp. | 4.875% | 5/15/23 | 7,245 | 7,010 | |
2 | Cascades Inc. | 5.500% | 7/15/22 | 9,990 | 9,715 |
Cloud Peak Energy Resources LLC / Cloud Peak Energy | |||||
Finance Corp. | 8.500% | 12/15/19 | 6,820 | 4,876 | |
2,5 | Constellium NV | 4.625% | 5/15/21 | 3,745 | 3,743 |
2 | Constellium NV | 8.000% | 1/15/23 | 51,375 | 49,449 |
2 | Constellium NV | 5.750% | 5/15/24 | 15,447 | 12,821 |
Eagle Spinco Inc. | 4.625% | 2/15/21 | 23,555 | 22,907 | |
2 | FMG Resources August 2006 Pty Ltd. | 9.750% | 3/1/22 | 6,275 | 5,773 |
2 | FMG Resources August 2006 Pty Ltd. | 6.875% | 4/1/22 | 161,760 | 93,416 |
Hexion US Finance Corp. | 6.625% | 4/15/20 | 123,010 | 112,708 | |
2 | Huntsman International LLC | 5.125% | 11/15/22 | 36,635 | 35,353 |
2,5 | INEOS Group Holdings SA | 5.750% | 2/15/19 | 25,775 | 29,089 |
2 | INEOS Group Holdings SA | 5.875% | 2/15/19 | 41,500 | 41,811 |
Novelis Inc. | 8.375% | 12/15/17 | 40,790 | 42,218 | |
Novelis Inc. | 8.750% | 12/15/20 | 77,187 | 81,529 | |
Peabody Energy Corp. | 6.000% | 11/15/18 | 12,770 | 4,533 | |
Peabody Energy Corp. | 6.500% | 9/15/20 | 3,880 | 1,145 | |
Peabody Energy Corp. | 6.250% | 11/15/21 | 8,060 | 2,287 | |
2 | Peabody Energy Corp. | 10.000% | 3/15/22 | 48,400 | 24,684 |
Peabody Energy Corp. | 7.875% | 11/1/26 | 48,672 | 13,142 | |
Steel Dynamics Inc. | 5.125% | 10/1/21 | 41,770 | 41,666 | |
Steel Dynamics Inc. | 5.500% | 10/1/24 | 37,825 | 37,730 | |
United States Steel Corp. | 7.375% | 4/1/20 | 37,839 | 37,082 | |
United States Steel Corp. | 6.875% | 4/1/21 | 33,676 | 31,992 | |
United States Steel Corp. | 6.650% | 6/1/37 | 13,760 | 11,386 | |
2,5 | VWR Funding Inc. | 4.625% | 4/15/22 | 112,916 | 119,874 |
Capital Goods (6.0%) | |||||
2 | Ardagh Packaging Finance plc | 9.125% | 10/15/20 | 24,775 | 26,107 |
2 | Ashtead Capital Inc. | 6.500% | 7/15/22 | 28,180 | 29,730 |
2 | BlueLine Rental Finance Corp. | 7.000% | 2/1/19 | 14,767 | 14,730 |
2 | Building Materials Corp. of America | 6.750% | 5/1/21 | 67,904 | 71,299 |
2 | Building Materials Corp. of America | 5.375% | 11/15/24 | 36,177 | 36,403 |
Case New Holland Inc. | 7.875% | 12/1/17 | 91,500 | 100,536 | |
2 | Cemex Finance LLC | 6.000% | 4/1/24 | 17,210 | 17,279 |
2 | Cemex SAB de CV | 6.125% | 5/5/25 | 108,600 | 108,166 |
Clean Harbors Inc. | 5.250% | 8/1/20 | 62,913 | 64,329 | |
Clean Harbors Inc. | 5.125% | 6/1/21 | 40,024 | 40,624 | |
CNH Industrial Capital LLC | 6.250% | 11/1/16 | 38,000 | 39,520 | |
CNH Industrial Capital LLC | 3.625% | 4/15/18 | 34,260 | 34,645 | |
2 | CNH Industrial Capital LLC | 3.875% | 7/16/18 | 22,025 | 22,383 |
CNH Industrial Capital LLC | 3.375% | 7/15/19 | 8,988 | 8,954 | |
Crown Americas LLC / Crown Americas Capital Corp. III | 6.250% | 2/1/21 | 38,900 | 40,796 | |
2 | HD Supply Inc. | 5.250% | 12/15/21 | 38,735 | 39,994 |
Huntington Ingalls Industries Inc. | 7.125% | 3/15/21 | 43,475 | 45,812 | |
Masco Corp. | 7.125% | 3/15/20 | 59,416 | 69,368 | |
Masco Corp. | 7.750% | 8/1/29 | 16,486 | 18,876 | |
Masco Corp. | 6.500% | 8/15/32 | 5,880 | 6,086 |
91
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Owens Corning | 9.000% | 6/15/19 | 4,142 | 4,935 | |
Owens Corning | 7.000% | 12/1/36 | 5,380 | 6,311 | |
2 | Rexel SA | 5.250% | 6/15/20 | 5,130 | 5,268 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer | |||||
LLC / Reynolds Group Issuer Lu | 5.750% | 10/15/20 | 31,580 | 32,725 | |
Reynolds Group Issuer Inc. / Reynolds Group Issuer | |||||
LLC / Reynolds Group Issuer Lu | 6.875% | 2/15/21 | 38,716 | 40,458 | |
United Rentals North America Inc. | 7.375% | 5/15/20 | 63,402 | 67,761 | |
United Rentals North America Inc. | 7.625% | 4/15/22 | 40,245 | 43,867 | |
United Rentals North America Inc. | 6.125% | 6/15/23 | 11,580 | 11,942 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 12,015 | 11,880 | |
United Rentals North America Inc. | 5.500% | 7/15/25 | 15,370 | 14,774 | |
2 | USG Corp. | 5.500% | 3/1/25 | 8,590 | 8,547 |
Vulcan Materials Co. | 7.150% | 11/30/37 | 7,270 | 7,861 | |
Communication (24.4%) | |||||
2 | Altice Financing SA | 6.625% | 2/15/23 | 37,121 | 38,235 |
Belo Corp. | 7.250% | 9/15/27 | 9,640 | 10,267 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 7.000% | 1/15/19 | 13,281 | 13,796 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.250% | 3/15/21 | 8,380 | 8,527 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 6.500% | 4/30/21 | 18,025 | 18,791 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.250% | 9/30/22 | 12,635 | 12,761 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.125% | 2/15/23 | 13,406 | 13,272 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.125% | 5/1/23 | 97,010 | 96,603 |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.750% | 9/1/23 | 33,450 | 34,077 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.750% | 1/15/24 | 4,855 | 4,940 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.375% | 5/1/25 | 79,205 | 78,017 |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.875% | 5/1/27 | 24,255 | 24,012 |
2 | CCO Safari II LLC | 4.908% | 7/23/25 | 61,950 | 62,049 |
2 | CCO Safari II LLC | 6.484% | 10/23/45 | 44,215 | 45,686 |
2 | Cequel Communications Holdings I LLC / Cequel | ||||
Capital Corp. | 5.125% | 12/15/21 | 59,340 | 55,038 | |
Crown Castle International Corp. | 4.875% | 4/15/22 | 3,450 | 3,541 | |
CSC Holdings LLC | 7.875% | 2/15/18 | 27,180 | 29,830 | |
CSC Holdings LLC | 7.625% | 7/15/18 | 79,045 | 86,949 | |
CSC Holdings LLC | 8.625% | 2/15/19 | 10,520 | 11,914 | |
CSC Holdings LLC | 6.750% | 11/15/21 | 20,914 | 21,698 | |
DISH DBS Corp. | 7.875% | 9/1/19 | 11,685 | 13,116 | |
DISH DBS Corp. | 6.750% | 6/1/21 | 153,840 | 162,301 | |
DISH DBS Corp. | 5.875% | 7/15/22 | 94,575 | 94,102 | |
DISH DBS Corp. | 5.000% | 3/15/23 | 15,135 | 14,113 | |
DISH DBS Corp. | 5.875% | 11/15/24 | 8,045 | 7,784 | |
Embarq Corp. | 7.995% | 6/1/36 | 23,035 | 25,366 | |
Gannett Co. Inc. | 5.125% | 10/15/19 | 16,530 | 17,067 | |
Gannett Co. Inc. | 5.125% | 7/15/20 | 64,680 | 67,267 | |
2 | Gannett Co. Inc. | 4.875% | 9/15/21 | 4,115 | 4,115 |
Gannett Co. Inc. | 6.375% | 10/15/23 | 66,721 | 70,391 | |
2 | Gannett Co. Inc. | 5.500% | 9/15/24 | 2,315 | 2,321 |
Hughes Satellite Systems Corp. | 6.500% | 6/15/19 | 81,968 | 89,755 | |
IAC/InterActiveCorp | 4.875% | 11/30/18 | 19,725 | 20,415 | |
IAC/InterActiveCorp | 4.750% | 12/15/22 | 17,085 | 16,572 | |
2 | Inmarsat Finance plc | 4.875% | 5/15/22 | 34,230 | 33,631 |
Intelsat Jackson Holdings SA | 7.250% | 4/1/19 | 85,330 | 84,903 | |
Intelsat Jackson Holdings SA | 7.250% | 10/15/20 | 164,947 | 164,122 | |
Intelsat Jackson Holdings SA | 7.500% | 4/1/21 | 53,900 | 53,765 | |
Intelsat Jackson Holdings SA | 5.500% | 8/1/23 | 61,350 | 55,368 | |
Lamar Media Corp. | 5.875% | 2/1/22 | 17,195 | 17,861 | |
Lamar Media Corp. | 5.000% | 5/1/23 | 33,940 | 33,855 | |
Level 3 Escrow II Inc. | 5.375% | 8/15/22 | 75,480 | 76,235 | |
Level 3 Financing Inc. | 6.125% | 1/15/21 | 4,395 | 4,615 | |
2 | Level 3 Financing Inc. | 5.625% | 2/1/23 | 26,620 | 27,086 |
2 | Level 3 Financing Inc. | 5.125% | 5/1/23 | 36,380 | 35,561 |
2 | Level 3 Financing Inc. | 5.375% | 5/1/25 | 36,380 | 35,289 |
3,4 | Level 3 Financing, Inc. Bank Loan | 4.000% | 1/15/20 | 40,855 | 40,944 |
92
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Liberty Interactive LLC | 8.500% | 7/15/29 | 42,553 | 46,064 | |
Liberty Interactive LLC | 8.250% | 2/1/30 | 115,253 | 121,592 | |
2,5 | Matterhorn Telecom SA | 3.875% | 5/1/22 | 42,691 | 43,973 |
2,5 | Matterhorn Telecom SA | 4.875% | 5/1/22 | 21,426 | 22,059 |
MetroPCS Wireless Inc. | 6.625% | 11/15/20 | 75,800 | 78,832 | |
National CineMedia LLC | 6.000% | 4/15/22 | 32,455 | 33,348 | |
2 | NBCUniversal Enterprise Inc. | 5.250% | 3/29/49 | 62,790 | 66,557 |
2 | Netflix Inc. | 5.875% | 2/15/25 | 54,935 | 57,682 |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 5.000% | 4/15/22 | 128,155 | 126,873 |
2 | Numericable Group SA | 4.875% | 5/15/19 | 35,785 | 36,411 |
2 | Numericable Group SA | 6.000% | 5/15/22 | 37,955 | 38,619 |
Quebecor Media Inc. | 5.750% | 1/15/23 | 81,310 | 82,546 | |
Qwest Corp. | 6.875% | 9/15/33 | 29,607 | 29,385 | |
SBA Communications Corp. | 5.625% | 10/1/19 | 37,650 | 39,438 | |
SBA Communications Corp. | 4.875% | 7/15/22 | 50,220 | 49,718 | |
SBA Telecommunications Inc. | 5.750% | 7/15/20 | 33,911 | 35,395 | |
2 | Sirius XM Radio Inc. | 4.250% | 5/15/20 | 8,595 | 8,563 |
2 | Sirius XM Radio Inc. | 4.625% | 5/15/23 | 11,110 | 10,721 |
2 | Softbank Corp. | 4.500% | 4/15/20 | 159,095 | 159,493 |
Sprint Corp. | 7.250% | 9/15/21 | 95,745 | 91,676 | |
Sprint Corp. | 7.875% | 9/15/23 | 69,035 | 66,101 | |
Sprint Corp. | 7.125% | 6/15/24 | 24,340 | 22,271 | |
2 | Sprint Nextel Corp. | 9.000% | 11/15/18 | 92,545 | 103,650 |
2 | Sprint Nextel Corp. | 7.000% | 3/1/20 | 135,830 | 144,659 |
T-Mobile USA Inc. | 5.250% | 9/1/18 | 12,700 | 13,018 | |
T-Mobile USA Inc. | 6.464% | 4/28/19 | 41,835 | 43,090 | |
T-Mobile USA Inc. | 6.633% | 4/28/21 | 71,475 | 75,764 | |
T-Mobile USA Inc. | 6.125% | 1/15/22 | 10,000 | 10,450 | |
T-Mobile USA Inc. | 6.731% | 4/28/22 | 51,165 | 54,235 | |
T-Mobile USA Inc. | 6.836% | 4/28/23 | 4,943 | 5,240 | |
T-Mobile USA Inc. | 6.500% | 1/15/24 | 4,345 | 4,579 | |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 50,000 | 45,931 | |
3,4 | Tribune Company Bank Loan | 3.750% | 12/27/20 | 58,352 | 58,370 |
2 | Tribune Media Co. | 5.875% | 7/15/22 | 65,750 | 67,147 |
2 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.500% | 1/15/23 | 31,060 | 31,604 | |
2 | Univision Communications Inc. | 5.125% | 2/15/25 | 126,080 | 126,395 |
2 | UPCB Finance V Ltd. | 7.250% | 11/15/21 | 36,896 | 39,847 |
2 | UPCB Finance VI Ltd. | 6.875% | 1/15/22 | 28,832 | 30,854 |
Videotron Ltd. | 5.000% | 7/15/22 | 85,064 | 86,340 | |
2 | Videotron Ltd. | 5.375% | 6/15/24 | 7,178 | 7,251 |
2 | Virgin Media Secured Finance plc | 5.375% | 4/15/21 | 42,489 | 43,657 |
2 | Wind Acquisition Finance SA | 4.750% | 7/15/20 | 67,250 | 68,931 |
2 | Zayo Group LLC / Zayo Capital Inc. | 6.000% | 4/1/23 | 104,300 | 104,039 |
2 | Zayo Group LLC / Zayo Capital Inc. | 6.375% | 5/15/25 | 46,170 | 45,708 |
Consumer Cyclical (6.4%) | |||||
2 | Activision Blizzard Inc. | 5.625% | 9/15/21 | 48,038 | 50,440 |
2 | Activision Blizzard Inc. | 6.125% | 9/15/23 | 48,570 | 52,456 |
ADT Corp. | 5.250% | 3/15/20 | 10,000 | 10,325 | |
ADT Corp. | 6.250% | 10/15/21 | 68,835 | 72,621 | |
2 | Carlson Travel Holdings Inc. | 7.500% | 8/15/19 | 25,375 | 25,692 |
2 | Carlson Wagonlit BV | 6.875% | 6/15/19 | 76,610 | 80,632 |
Cedar Fair LP / Canada's Wonderland Co. / Magnum | |||||
Management Corp. | 5.375% | 6/1/24 | 25,675 | 26,253 | |
Chrysler Group LLC / CG Co-Issuer Inc. | 8.250% | 6/15/21 | 64,265 | 69,567 | |
Dana Holding Corp. | 5.375% | 9/15/21 | 16,781 | 17,096 | |
3,4 | Delta Alpha Topco Bank Loan | 7.750% | 7/29/22 | 51,730 | 51,601 |
2 | Family Tree Escrow LLC | 5.250% | 3/1/20 | 7,405 | 7,803 |
2 | Family Tree Escrow LLC | 5.750% | 3/1/23 | 47,970 | 50,548 |
Group 1 Automotive Inc. | 5.000% | 6/1/22 | 19,380 | 19,428 | |
3,4 | Ion Media Networks Bank Loan | 4.750% | 12/18/20 | 45,161 | 45,123 |
KB Home | 4.750% | 5/15/19 | 25,825 | 25,857 | |
KB Home | 8.000% | 3/15/20 | 3,920 | 4,341 |
93
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
KB Home | 7.000% | 12/15/21 | 5,000 | 5,187 | |
KB Home | 7.500% | 9/15/22 | 6,935 | 7,186 | |
KB Home | 7.625% | 5/15/23 | 41,775 | 43,812 | |
L Brands Inc. | 7.000% | 5/1/20 | 22,210 | 25,430 | |
L Brands Inc. | 6.625% | 4/1/21 | 42,435 | 47,899 | |
3,4 | La Quinta Intermediate Holdings LLC Bank Loan | 4.000% | 4/14/21 | 55,916 | 55,986 |
Neiman Marcus Group Inc. | 7.125% | 6/1/28 | 64,195 | 63,874 | |
2 | Netflix Inc. | 5.500% | 2/15/22 | 28,635 | 29,637 |
Penske Automotive Group Inc. | 5.750% | 10/1/22 | 8,075 | 8,459 | |
Penske Automotive Group Inc. | 5.375% | 12/1/24 | 11,925 | 11,955 | |
Sally Holdings LLC / Sally Capital Inc. | 5.750% | 6/1/22 | 22,170 | 23,195 | |
Service Corp. International | 7.625% | 10/1/18 | 35,040 | 39,902 | |
Service Corp. International | 5.375% | 1/15/22 | 27,630 | 29,115 | |
2 | Shea Homes LP / Shea Homes Funding Corp. | 5.875% | 4/1/23 | 14,550 | 14,768 |
2 | Shea Homes LP / Shea Homes Funding Corp. | 6.125% | 4/1/25 | 14,550 | 14,695 |
Sonic Automotive Inc. | 7.000% | 7/15/22 | 970 | 1,048 | |
Sonic Automotive Inc. | 5.000% | 5/15/23 | 8,780 | 8,604 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 5.375% | 3/15/22 | 49,010 | 49,378 | |
2 | ZF North America Capital Inc. | 4.500% | 4/29/22 | 15,355 | 15,125 |
2 | ZF North America Capital Inc. | 4.750% | 4/29/25 | 61,220 | 59,843 |
Consumer Noncyclical (13.1%) | |||||
2 | Alere Inc. | 6.375% | 7/1/23 | 32,490 | 33,790 |
Amsurg Corp. | 5.625% | 7/15/22 | 81,010 | 83,035 | |
ARAMARK Corp. | 5.750% | 3/15/20 | 47,640 | 49,724 | |
2 | Capsugel SA | 7.000% | 5/15/19 | 46,650 | 47,350 |
CHS/Community Health Systems Inc. | 7.125% | 7/15/20 | 33,665 | 35,895 | |
CHS/Community Health Systems Inc. | 5.125% | 8/1/21 | 15,235 | 15,806 | |
CHS/Community Health Systems Inc. | 6.875% | 2/1/22 | 149,325 | 159,778 | |
2 | Endo Finance LLC / Endo Finco Inc. | 6.000% | 2/1/25 | 60,855 | 62,681 |
2 | Endo Finance LLC / Endo Ltd. / Endo Finco Inc. | 6.000% | 7/15/23 | 72,500 | 75,400 |
2 | Envision Healthcare Corp. | 5.125% | 7/1/22 | 86,215 | 87,724 |
ExamWorks Group Inc. | 5.625% | 4/15/23 | 14,550 | 14,877 | |
2 | Fresenius Medical Care US Finance Inc. | 5.750% | 2/15/21 | 44,830 | 48,192 |
Grifols Worldwide Operations Ltd. | 5.250% | 4/1/22 | 34,184 | 34,398 | |
HCA Holdings Inc. | 6.250% | 2/15/21 | 27,980 | 30,638 | |
HCA Inc. | 6.500% | 2/15/20 | 127,050 | 142,137 | |
HCA Inc. | 5.875% | 3/15/22 | 60,405 | 66,143 | |
HCA Inc. | 4.750% | 5/1/23 | 72,500 | 74,675 | |
HCA Inc. | 5.875% | 5/1/23 | 10,000 | 10,750 | |
HCA Inc. | 5.375% | 2/1/25 | 64,375 | 65,904 | |
HCA Inc. | 7.690% | 6/15/25 | 4,510 | 5,119 | |
2 | Hologic Inc. | 5.250% | 7/15/22 | 25,645 | 26,543 |
2 | Hypermarcas SA | 6.500% | 4/20/21 | 66,837 | 69,924 |
2 | IMS Health Inc. | 6.000% | 11/1/20 | 93,781 | 96,829 |
Kinetic Concepts Inc / KCI USA Inc | 10.500% | 11/1/18 | 70,000 | 74,463 | |
3,4 | Lands' End, Inc. Bank Loan | 4.250% | 3/12/21 | 86,744 | 83,004 |
LifePoint Hospitals Inc. | 5.500% | 12/1/21 | 17,661 | 18,367 | |
2 | MPH Acquisition Holdings LLC | 6.625% | 4/1/22 | 42,100 | 43,468 |
3,4 | MPH Acquisition Holdings LLC Bank Loan | 3.750% | 3/31/21 | 33,880 | 33,626 |
Party City Holdings Inc. | 8.875% | 8/1/20 | 105,297 | 113,194 | |
2 | Quintiles Transnational Holdings Inc. | 4.875% | 5/15/23 | 24,350 | 24,594 |
2 | Sterigenics-Nordion Holdings LLC | 6.500% | 5/15/23 | 44,222 | 45,106 |
Tenet Healthcare Corp. | 6.250% | 11/1/18 | 40,210 | 43,929 | |
2 | Tenet Healthcare Corp. | 5.000% | 3/1/19 | 43,950 | 44,390 |
2 | Tenet Healthcare Corp. | 5.500% | 3/1/19 | 24,215 | 24,639 |
Tenet Healthcare Corp. | 4.750% | 6/1/20 | 16,875 | 17,466 | |
Tenet Healthcare Corp. | 4.500% | 4/1/21 | 42,147 | 42,779 | |
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 106,879 | |
Tenet Healthcare Corp. | 8.125% | 4/1/22 | 45,105 | 50,630 | |
2 | THC Escrow Corp. II | 6.750% | 6/15/23 | 11,570 | 12,091 |
3,4 | US Foods Inc. Bank Loan | 4.500% | 3/31/17 | 45,738 | 45,852 |
2 | VRX Escrow Corp. | 6.125% | 4/15/25 | 197,580 | 206,965 |
94
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Energy (9.5%) | |||||
AmeriGas Finance LLC / AmeriGas Finance Corp. | 6.750% | 5/20/20 | 25,965 | 27,133 | |
AmeriGas Finance LLC / AmeriGas Finance Corp. | 7.000% | 5/20/22 | 47,695 | 50,557 | |
Antero Resources Corp. | 5.375% | 11/1/21 | 22,785 | 22,101 | |
Antero Resources Corp. | 5.125% | 12/1/22 | 53,185 | 50,260 | |
2 | Antero Resources Corp. | 5.625% | 6/1/23 | 14,830 | 14,274 |
Chesapeake Energy Corp. | 6.625% | 8/15/20 | 34,575 | 30,945 | |
Chesapeake Energy Corp. | 6.125% | 2/15/21 | 1,455 | 1,251 | |
Chesapeake Energy Corp. | 4.875% | 4/15/22 | 11,561 | 9,307 | |
Concho Resources Inc. | 7.000% | 1/15/21 | 15,256 | 15,904 | |
Concho Resources Inc. | 6.500% | 1/15/22 | 19,940 | 20,588 | |
Concho Resources Inc. | 5.500% | 10/1/22 | 85,170 | 85,170 | |
2 | Crestwood Midstream Partners LP / Crestwood | ||||
Midstream Finance Corp. | 6.250% | 4/1/23 | 37,610 | 37,234 | |
2 | DCP Midstream LLC | 9.750% | 3/15/19 | 15,000 | 17,179 |
2 | DCP Midstream LLC | 5.350% | 3/15/20 | 11,125 | 11,194 |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 36,074 | 34,231 | |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 26,895 | 23,058 | |
3,4 | Energy Future Intermediate Holding Company LLC | ||||
Bank Loan | 4.250% | 6/6/16 | 14,500 | 14,548 | |
Energy Transfer Equity LP | 7.500% | 10/15/20 | 76,385 | 85,551 | |
Energy Transfer Equity LP | 5.500% | 6/1/27 | 78,795 | 77,219 | |
EP Energy LLC / Everest Acquisition Finance Inc. | 9.375% | 5/1/20 | 75,787 | 78,440 | |
Ferrellgas LP / Ferrellgas Finance Corp. | 6.500% | 5/1/21 | 73,031 | 73,031 | |
Harvest Operations Corp. | 6.875% | 10/1/17 | 75,600 | 69,552 | |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 26,290 | 29,724 | |
Laredo Petroleum Inc. | 5.625% | 1/15/22 | 49,750 | 47,760 | |
Laredo Petroleum Inc. | 7.375% | 5/1/22 | 16,490 | 16,737 | |
Laredo Petroleum Inc. | 6.250% | 3/15/23 | 55,075 | 54,524 | |
MarkWest Energy Partners LP / MarkWest Energy | |||||
Finance Corp. | 4.875% | 12/1/24 | 43,935 | 42,727 | |
MarkWest Energy Partners LP / MarkWest Energy | |||||
Finance Corp. | 4.875% | 6/1/25 | 87,120 | 84,289 | |
2 | Matador Resources Co. | 6.875% | 4/15/23 | 22,670 | 23,010 |
2 | MEG Energy Corp. | 6.500% | 3/15/21 | 16,537 | 15,379 |
2 | MEG Energy Corp. | 6.375% | 1/30/23 | 30,650 | 27,585 |
2 | MEG Energy Corp. | 7.000% | 3/31/24 | 47,348 | 43,442 |
Newfield Exploration Co. | 5.750% | 1/30/22 | 10,890 | 10,781 | |
Newfield Exploration Co. | 5.625% | 7/1/24 | 13,045 | 12,784 | |
2 | Paragon Offshore plc | 6.750% | 7/15/22 | 31,630 | 9,963 |
2 | Paragon Offshore plc | 7.250% | 8/15/24 | 22,570 | 6,997 |
QEP Resources Inc. | 6.800% | 3/1/20 | 7,370 | 7,536 | |
QEP Resources Inc. | 6.875% | 3/1/21 | 15,540 | 15,695 | |
QEP Resources Inc. | 5.375% | 10/1/22 | 7,620 | 7,144 | |
QEP Resources Inc. | 5.250% | 5/1/23 | 4,855 | 4,491 | |
Range Resources Corp. | 5.750% | 6/1/21 | 44,365 | 45,030 | |
Range Resources Corp. | 5.000% | 8/15/22 | 16,325 | 15,998 | |
2 | Rice Energy Inc. | 7.250% | 5/1/23 | 21,365 | 20,938 |
Rosetta Resources Inc. | 5.625% | 5/1/21 | 9,665 | 10,221 | |
Rosetta Resources Inc. | 5.875% | 6/1/22 | 51,885 | 55,387 | |
Rosetta Resources Inc. | 5.875% | 6/1/24 | 10,195 | 11,011 | |
2 | Seadrill Ltd. | 6.125% | 9/15/17 | 71,195 | 60,516 |
SM Energy Co. | 6.125% | 11/15/22 | 22,705 | 22,308 | |
2 | Southern Star Central Corp. | 5.125% | 7/15/22 | 14,790 | 15,049 |
Tesoro Corp. | 5.125% | 4/1/24 | 31,790 | 31,711 | |
2 | Tesoro Logistics LP / Tesoro Logistics Finance Corp. | 5.500% | 10/15/19 | 5,220 | 5,429 |
2 | Tesoro Logistics LP / Tesoro Logistics Finance Corp. | 6.250% | 10/15/22 | 35,901 | 37,517 |
WPX Energy Inc. | 6.000% | 1/15/22 | 29,315 | 27,629 | |
WPX Energy Inc. | 5.250% | 9/15/24 | 61,930 | 52,950 | |
Technology (9.0%) | |||||
2 | Alcatel-Lucent USA Inc. | 4.625% | 7/1/17 | 10,000 | 10,300 |
2 | Alcatel-Lucent USA Inc. | 6.750% | 11/15/20 | 25,210 | 27,101 |
Alcatel-Lucent USA Inc. | 6.450% | 3/15/29 | 61,250 | 64,619 |
95
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2015 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Audatex North America Inc. | 6.000% | 6/15/21 | 78,106 | 79,278 |
2 | Audatex North America Inc. | 6.125% | 11/1/23 | 97,715 | 95,883 |
CDW LLC / CDW Finance Corp. | 6.000% | 8/15/22 | 118,945 | 124,297 | |
CDW LLC / CDW Finance Corp. | 5.000% | 9/1/23 | 23,480 | 23,304 | |
CDW LLC / CDW Finance Corp. | 5.500% | 12/1/24 | 15,155 | 15,174 | |
Equinix Inc. | 4.875% | 4/1/20 | 9,545 | 9,760 | |
Equinix Inc. | 5.375% | 4/1/23 | 20,864 | 21,073 | |
2 | First Data Corp. | 7.375% | 6/15/19 | 21,449 | 22,387 |
2 | First Data Corp. | 8.875% | 8/15/20 | 16,299 | 17,114 |
2 | First Data Corp. | 6.750% | 11/1/20 | 35,065 | 37,081 |
2 | First Data Corp. | 8.250% | 1/15/21 | 113,800 | 120,486 |
First Data Corp. | 11.250% | 1/15/21 | 9,927 | 11,019 | |
First Data Corp. | 12.625% | 1/15/21 | 49,375 | 57,152 | |
First Data Corp. | 11.750% | 8/15/21 | 25,435 | 28,869 | |
3,4 | First Data Corp. Bank Loan | 3.687% | 3/23/18 | 54,018 | 53,860 |
3,4 | First Data Corp. Bank Loan | 3.937% | 7/8/22 | 41,745 | 41,623 |
Flextronics International Ltd. | 4.625% | 2/15/20 | 22,975 | 23,664 | |
Flextronics International Ltd. | 5.000% | 2/15/23 | 29,175 | 29,576 | |
2 | Freescale Semiconductor Inc. | 5.000% | 5/15/21 | 36,815 | 37,459 |
2 | Freescale Semiconductor Inc. | 6.000% | 1/15/22 | 22,130 | 23,292 |
3,4 | Freescale Semiconductor Inc. Bank Loan | 4.250% | 3/1/20 | 99,470 | 99,688 |
2 | Infor Software Parent LLC | 7.125% | 5/1/21 | 17,470 | 17,164 |
2 | Infor US Inc. | 6.500% | 5/15/22 | 106,715 | 108,849 |
2,6 | Iron Mountain Europe plc | 6.125% | 9/15/22 | 24,430 | 39,602 |
Iron Mountain Inc. | 5.750% | 8/15/24 | 22,675 | 22,618 | |
NCR Corp. | 4.625% | 2/15/21 | 62,314 | 62,314 | |
2 | NXP BV / NXP Funding LLC | 3.750% | 6/1/18 | 37,440 | 37,999 |
2 | NXP BV / NXP Funding LLC | 4.125% | 6/15/20 | 17,445 | 17,554 |
2 | NXP BV / NXP Funding LLC | 4.625% | 6/15/22 | 20,800 | 20,592 |
2 | NXP BV / NXP Funding LLC | 5.750% | 3/15/23 | 10,213 | 10,596 |
2 | Open Text Corp. | 5.625% | 1/15/23 | 30,770 | 30,598 |
2 | Sensata Technologies BV | 5.625% | 11/1/24 | 2,395 | 2,455 |
2 | Sensata Technologies BV | 5.000% | 10/1/25 | 48,515 | 47,545 |
2 | SS&C Technologies Holdings Inc. | 5.875% | 7/15/23 | 20,325 | 21,036 |
SunGard Data Systems Inc. | 6.625% | 11/1/19 | 108,115 | 111,899 | |
Transportation (1.2%) | |||||
2 | Avis Budget Car Rental LLC / Avis Budget Finance Inc. | 5.125% | 6/1/22 | 26,270 | 25,942 |
1 | Continental Airlines 2007-1 Class B Pass Through Trust | 6.903% | 4/19/22 | 18,631 | 19,469 |
Hertz Corp. | 4.250% | 4/1/18 | 12,745 | 12,984 | |
Hertz Corp. | 6.750% | 4/15/19 | 82,360 | 85,242 | |
Hertz Corp. | 5.875% | 10/15/20 | 20,100 | 20,427 | |
Hertz Corp. | 7.375% | 1/15/21 | 60,490 | 63,666 | |
13,684,130 | |||||
Utilities (4.3%) | |||||
Electric (4.3%) | |||||
AES Corp. | 8.000% | 6/1/20 | 19,980 | 23,277 | |
AES Corp. | 4.875% | 5/15/23 | 25,000 | 23,656 | |
AES Corp. | 5.500% | 3/15/24 | 119,951 | 117,552 | |
2 | Calpine Corp. | 6.000% | 1/15/22 | 16,165 | 17,175 |
Calpine Corp. | 5.375% | 1/15/23 | 34,775 | 33,992 | |
2 | Calpine Corp. | 5.875% | 1/15/24 | 9,230 | 9,715 |
Calpine Corp. | 5.750% | 1/15/25 | 119,130 | 116,450 | |
DPL Inc. | 7.250% | 10/15/21 | 55,170 | 59,170 | |
2 | Dynegy Inc. | 7.375% | 11/1/22 | 65,355 | 67,724 |
Dynegy Inc. | 5.875% | 6/1/23 | 37,655 | 36,055 | |
2 | Dynegy Inc. | 7.625% | 11/1/24 | 55,435 | 57,237 |
GenOn Energy Inc. | 7.875% | 6/15/17 | 19,175 | 19,319 | |
GenOn Energy Inc. | 9.500% | 10/15/18 | 54,525 | 55,070 | |
GenOn Energy Inc. | 9.875% | 10/15/20 | 24,755 | 24,755 | |
NRG Energy Inc. | 7.875% | 5/15/21 | 5,810 | 6,129 | |
NRG Energy Inc. | 6.250% | 7/15/22 | 51,835 | 51,965 | |
NRG Energy Inc. | 6.625% | 3/15/23 | 10,000 | 10,150 |
96
Vanguard® High-Yield Corporate Fund | ||||
Schedule of Investments | ||||
July 31, 2015 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NRG Energy Inc. | 6.250% | 5/1/24 | 47,355 | 46,526 |
775,917 | ||||
Total Corporate Bonds (Cost $16,786,164) | 16,779,784 | |||
Shares | ||||
Preferred Stocks (1.2%) | ||||
GMAC Capital Trust I Pfd. | 8.125% | 4,743,200 | 124,509 | |
Hartford Financial Services Group Inc. Pfd. | 7.875% | 2,944,300 | 91,921 | |
Citigroup Capital XIII Pfd. | 7.875% | 275,250 | 7,014 | |
Total Preferred Stocks (Cost $204,781) | 223,444 | |||
Other (0.0%) | ||||
MediaNews Group Inc. Warrants Exp. 03/19/2017 (Cost $27,348) | 73,622 | 327 | ||
Temporary Cash Investments (2.7%) | ||||
Face | ||||
Amount | ||||
($000) | ||||
Repurchase Agreements (1.6%) | ||||
Bank of America Securities, LLC (Dated 7/31/15, | ||||
Repurchase Value $189,802,000, collateralized by | ||||
Federal Home Loan Mortgage Corp. 4.000%, 4/1/45, | ||||
and Federal National Mortgage Assn. 3.500%- | ||||
4.500%, 7/1/41-1/1/45, with a value of $193,596,000) | 0.150% | 8/3/15 | 189,800 | 189,800 |
Bank of Montreal (Dated 7/31/15, Repurchase Value | ||||
$4,100,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.500%-5.000%, 9/30/16-5/15/45, with a | ||||
value of $4,182,000) | 0.130% | 8/3/15 | 4,100 | 4,100 |
Bank of Montreal (Dated 7/31/15, Repurchase Value | ||||
$34,500,000, collateralized by Federal Home Loan | ||||
Mortgage Corp. 4.000%-5.319%, 8/1/38-8/1/44, | ||||
Federal National Mortgage Assn. 2.000%-6.000%, | ||||
11/1/19-2/1/45, Government National Mortgage Assn. | ||||
4.000%, 10/20/43, and U.S. Treasury Note/Bond | ||||
0.375%, 11/15/15, with a value of $35,190,000) | 0.150% | 8/3/15 | 34,500 | 34,500 |
RBC Capital Markets LLC (Dated 7/31/15, Repurchase | ||||
Value $29,900,000, collateralized by Federal Home | ||||
Loan Mortgage Corp. 2.229%-4.500%, 10/1/29- | ||||
6/1/45, Federal National Mortgage Assn. 2.277%- | ||||
4.000%, 4/1/27-6/1/45, and Government National | ||||
Mortgage Assn. 2.573%-4.500%, 10/20/43-6/20/65, | ||||
with a value of $30,498,000) | 0.140% | 8/3/15 | 29,900 | 29,900 |
TD Securities (USA) LLC (Dated 7/31/15, Repurchase | ||||
Value $30,700,000, collateralized by Federal National | ||||
Mortgage Assn. 3.000%, 10/1/29, with a value of | ||||
$31,314,000) | 0.150% | 8/3/15 | 30,700 | 30,700 |
289,000 | ||||
U.S. Government and Agency Obligations (1.1%) | ||||
7 Federal Home Loan Bank Discount Notes | 0.085% | 10/16/15 | 45,000 | 44,989 |
United States Treasury Bill | 0.015% | 9/10/15 | 150,000 | 149,994 |
194,983 | ||||
Total Temporary Cash Investments (Cost $483,990) | 483,983 | |||
Total Investments (98.7%) (Cost $17,899,144) | 17,884,976 | |||
Other Assets and Liabilities—Net (1.3%) | 229,193 | |||
Net Assets (100%) | 18,114,169 |
97
Vanguard® High-Yield Corporate Fund
Schedule of Investments
July 31, 2015
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2015, the aggregate value of these securities was $6,097,132,000, representing 33.7% of net assets. |
3 | Adjustable-rate security. |
4 | Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At July 31, 2015, the aggregate value of these securities was $685,902,000, representing 3.8% of net assets. |
5 | Face amount denominated in euro. |
6 | Face amount denominated in British pounds. |
7 | The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government. |
98
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© 2015 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA392 092015
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD FIXED INCOME SECURITIES FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: September 17, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD FIXED INCOME SECURITIES FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: September 17, 2015 |
VANGUARD FIXED INCOME SECURITIES FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: September 17, 2015 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620, Incorporated by Reference.