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, 2016 – July 31, 2016
Item 1: Reports to Shareholders
Semiannual Report | July 31, 2016
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Advisors’ Report. | 10 |
Short-Term Treasury Fund. | 16 |
Short-Term Federal Fund. | 33 |
Intermediate-Term Treasury Fund. | 49 |
GNMA Fund. | 65 |
Long-Term Treasury Fund. | 83 |
About Your Fund’s Expenses. | 97 |
Trustees Approve Advisory Arrangements. | 100 |
Glossary. | 102 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended July 31, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Treasury Fund | ||||
Investor Shares | 0.45% | 0.47% | 0.47% | 0.94% |
Admiral™ Shares | 0.55 | 0.52 | 0.47 | 0.99 |
Barclays U.S. 1–5 Year Treasury Bond Index | 1.26 | |||
Short-Term U.S. Treasury Funds Average | 1.04 | |||
Short-Term U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Short-Term Federal Fund | ||||
Investor Shares | 0.78% | 0.54% | 0.56% | 1.10% |
Admiral Shares | 0.88 | 0.59 | 0.56 | 1.15 |
Barclays U.S. 1–5 Year Government Bond Index | 1.23 | |||
Short-Intermediate U.S. Government Funds Average | 0.89 | |||
Short-Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Treasury Fund | ||||
Investor Shares | 0.94% | 0.81% | 2.00% | 2.81% |
Admiral Shares | 1.04 | 0.86 | 2.00 | 2.86 |
Barclays U.S. 5–10 Year Treasury Bond Index | 3.73 | |||
General U.S. Treasury Funds Average | 6.43 | |||
General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard GNMA Fund | ||||
Investor Shares | 1.86% | 1.18% | 0.86% | 2.04% |
Admiral Shares | 1.96 | 1.23 | 0.86 | 2.09 |
Barclays U.S. GNMA Bond Index | 1.71 | |||
GNMA Funds Average | 1.42 | |||
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, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Treasury Fund | ||||
Investor Shares | 1.88% | 1.41% | 10.53% | 11.94% |
Admiral Shares | 1.98 | 1.46 | 10.53 | 11.99 |
Barclays U.S. Long Treasury Bond Index | 12.07 | |||
General U.S. Treasury Funds Average | 6.43 | |||
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, 2016, Through July 31, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Treasury Fund | ||||
Investor Shares | $10.73 | $10.78 | $0.050 | $0.000 |
Admiral Shares | 10.73 | 10.78 | 0.056 | 0.000 |
Vanguard Short-Term Federal Fund | ||||
Investor Shares | $10.79 | $10.85 | $0.058 | $0.000 |
Admiral Shares | 10.79 | 10.85 | 0.064 | 0.000 |
Vanguard Intermediate-Term Treasury Fund | ||||
Investor Shares | $11.51 | $11.73 | $0.092 | $0.010 |
Admiral Shares | 11.51 | 11.73 | 0.098 | 0.010 |
Vanguard GNMA Fund | ||||
Investor Shares | $10.77 | $10.86 | $0.125 | $0.003 |
Admiral Shares | 10.77 | 10.86 | 0.130 | 0.003 |
Vanguard Long-Term Treasury Fund | ||||
Investor Shares | $12.80 | $14.14 | $0.169 | $0.008 |
Admiral Shares | 12.80 | 14.14 | 0.176 | 0.008 |
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Chairman’s Letter
Dear Shareholder,
Bond yields, which looked set to continue rising after the Federal Reserve’s interest rate hike late last year, actually dropped over the six months ended July 31, 2016. This was largely the result of more muted expectations for global growth, low inflation, and stock market volatility. The decline was more pronounced for long-term bonds, but short- and intermediate-term bond yields moved lower as well.
Bond yields and prices move in opposite directions, so long-term bonds performed the best. Vanguard Long-Term Treasury Fund returned 11.94%, with the lion’s share attributable to an increase in the market value of its holdings. (All returns and yields cited in this letter are for the funds’ Investor Shares.) Prices of intermediate- and short-term bonds increased more modestly: Returns for the four other funds ranged from 0.94% for Vanguard Short-Term Treasury Fund to 2.81% for Vanguard Intermediate-Term Treasury Fund.
In relative terms, Vanguard GNMA Fund came in a step ahead of its benchmark while the other funds lagged theirs. The GNMA Fund, Vanguard Short-Term Federal Fund, and the Long-Term Treasury Fund outperformed the average return for their peer groups, but the two other funds lagged theirs.
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With bond prices rising, the 30-day SEC yields for the funds stood 18 to 62 basis points lower on July 31 than where they were six months earlier. (A basis point is one-hundredth of a percentage point.) It’s important to note that as yields decline, the opportunity diminishes for returns to get a significant boost from price appreciation. On a separate note, I’d like to congratulate Michael Garrett, senior managing director and fixed income portfolio manager at Wellington, for marking his tenth anniversary in managing the GNMA Fund.
International bonds outpaced their U.S. counterparts
The broad U.S. taxable bond market advanced in each of the six months en route to returning 4.54% for the half year.
Yields fell, with the 10-year U.S. Treasury note closing July at 1.45%, down from 1.98% at the end of January. Municipal bonds didn’t see as much demand; they returned 3.16%.
The Fed has held its target for short-term interest rates at 0.25%–0.5% since raising it by a quarter percentage point last December. Money market funds and savings accounts stayed restrained by these historically low rates.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 12.31%. A number of foreign currencies strengthened against the dollar, but the bond returns were robust even without this currency benefit.
Market Barometer | |||
Total Returns | |||
Periods Ended July 31, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 4.54% | 5.94% | 3.57% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.16 | 6.94 | 5.13 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.16 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.82% | 4.84% | 13.22% |
Russell 2000 Index (Small-caps) | 18.76 | 0.00 | 10.43 |
Russell 3000 Index (Broad U.S. market) | 14.18 | 4.44 | 12.99 |
FTSE All-World ex US Index (International) | 11.69 | -4.95 | 1.76 |
CPI | |||
Consumer Price Index | 1.57% | 0.84% | 1.27% |
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U.S. stocks continued to surge despite signs of uncertainty
U.S. stocks proved resilient, returning about 14%, although the global environment was far from tranquil.
Stocks tumbled after the momentous June 23 decision by U.K. voters to leave the European Union. But the market quickly recovered. Worries about the effects of “Brexit” on trade and economic growth seemed to diminish as expectations rose that major central banks would be responsive to any fallout.
International stocks also performed well, returning nearly 12%. European stocks finished solidly but still lagged as the Brexit referendum hit close to home. Emerging-market stocks and those from developed Pacific markets recorded double-digit returns.
Longer-dated bonds proved to be the period’s top performers
Concerns persisted during the half year about the pace of global growth, the ability of central banks to push inflation higher, and the direction of commodity prices. The United Kingdom’s vote in June to
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Admiral | Peer Group | |
Shares | Shares | Average | |
Short-Term Treasury Fund | 0.20% | 0.10% | 0.58% |
Short-Term Federal Fund | 0.20 | 0.10 | 0.94 |
Intermediate-Term Treasury Fund | 0.20 | 0.10 | 0.46 |
GNMA Fund | 0.21 | 0.11 | 0.91 |
Long-Term Treasury Fund | 0.20 | 0.10 | 0.46 |
The fund expense ratios shown are from the prospectus dated May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the funds’ annualized expense ratios were: for the Short-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term Federal Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the GNMA Fund, 0.21% for Investor Shares and 0.11% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
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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leave the European Union added another layer of uncertainty. Those factors—along with the Fed’s pause regarding its next rate hike and the exceptionally low or negative yields available abroad—added to the allure of U.S. debt.
Solid demand translated into higher prices for Treasuries, especially for those further out on the maturity spectrum. Rising bond prices added about half a percentage point to the return of the Short-Term Treasury Fund but more than 10 percentage points to the return of the Long-Term Treasury Fund. In contrast, given the low interest rate environment, the income that all the funds earned was relatively modest. It ranged from 47 basis points of the Short-Term Treasury Fund’s total return to 141 basis points of the Long-Term Treasury Fund’s total return.
The durations of the Treasury and Federal Funds were shorter than those of their benchmarks. (Duration is a measure of sensitivity to interest rate changes.) While that stance has helped the funds in the past when rates were heading higher, this time around it contributed to their underperforming their benchmarks.
On the other side of the ledger, the relative performance of the Treasury Funds was helped by the tactical positions that their advisor, Vanguard Fixed Income Group, took in agency debt and mortgage-backed securities. Those segments of the
Yields | ||
30-Day SEC Yields on | ||
January 31, | July 31, | |
Bond Fund (Investor Shares) | 2016 | 2016 |
Short-Term Treasury | 0.82% | 0.45% |
Short-Term Federal | 0.96 | 0.78 |
Intermediate-Term Treasury | 1.42 | 0.94 |
GNMA | 2.34 | 1.86 |
Long-Term Treasury | 2.50 | 1.88 |
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debt market, which aren’t part of the funds’ benchmarks, generally offer some additional income over Treasuries. The Short-Term Federal Fund, managed by the same advisor, also benefited from its out-of-benchmark exposure to mortgage-backed securities. And all four funds got a boost from security selection.
The Intermediate-Term and Long-Term Treasury Funds share the same peer group, which can include funds that hold securities across the maturity spectrum. The Intermediate-Term Fund lagged the average return for that group by more than 3 percentage points, while the Long-Term Fund outperformed it by more than 5 percentage points.
The GNMA Fund, whose advisor is Wellington Management Company, performed a little better than both its benchmark and the average for its peers mainly because of security selection and some out-of-benchmark holdings.
For a more detailed discussion of the management of the funds, please see the Advisors’ Report that follows this letter.
Consider rebalancing to manage your risk
Let’s say you’ve taken the time to carefully create an appropriate asset allocation for your investment portfolio. Your efforts have produced a diversified mix of stock, bond, and money market funds tailored to your goals, time horizon, and risk tolerance.
But what should you do when your portfolio drifts from its original asset allocation as the financial markets rise or fall? Consider rebalancing to bring it back to the proper mix.
Just one year of outsized returns can throw your allocation out of whack. Take 2013 as an example. That year, the broad stock market (as measured by the Russell 3000 Index) returned 33.55% and the broad taxable bond market (as measured by the Barclays U.S. Aggregate Bond Index) returned –2.02%. A hypothetical portfolio that tracked the broad domestic market indexes and started the year with 60% stocks and 40% bonds would have ended with a more aggressive mix of 67% stocks and 33% bonds.
Rebalancing to bring your portfolio back to its original targets would require you to shift assets away from areas that have been performing well toward those that have been falling behind. That isn’t easy or intuitive. It’s a way to minimize risk rather than maximize returns and to stick with your investment plan through different types of markets. (You can read more about our approach in Best Practices for Portfolio Rebalancing at vanguard.com/research.)
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It’s not necessary to check your portfolio every day or every month, much less rebalance it that frequently. It may be more appropriate to monitor it annually or semiannually and rebalance when your allocation swings 5 percentage points or more from its target.
It’s important, of course, to be aware of the tax implications. You’ll want to consult with your tax advisor, but generally speaking, it may be a good idea to make any asset changes within a tax-advantaged retirement account or to direct new cash flows into the underweighted asset class.
However you go about it, keeping your asset allocation from drifting too far off target can help you stay on track with the investment plan you’ve crafted to meet your financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
August 10, 2016
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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, 2016, returns for the U.S. Government Bond Funds managed by Vanguard’s Fixed Income Group ranged from 0.94% for Investor Shares of the Short-Term Treasury Fund to 11.99% for Admiral Shares of the Long-Term Treasury Fund. The returns of the funds lagged those of their benchmarks. Compared with the average returns of their peers, the Short-Term Federal Fund and Long-Term Treasury Fund outperformed, while the Short-Term and Intermediate-Term Treasury Funds lagged.
The investment environment
As in recent years, the arrival of winter seemed to slow the U.S. economy. Gross domestic product came in at 0.8% in the first quarter on an annualized basis when adjusted for inflation. Residential investment and consumer spending were relatively healthy, but a stronger dollar led to rising imports, which reduces net GDP. Falling nonresidential investment and slower inventory accumulation also suppressed growth.
And once again, spring appeared to bring “green shoots” in the form of a modest economic improvement. GDP ticked up to 1.2%. U.S. employment data, while patchy at times, continued to show a broad-based
Yields of U.S. Treasury Securities | ||
January 31, | July 31, | |
Maturity | 2016 | 2016 |
2 years | 0.82% | 0.66% |
3 years | 1.03 | 0.75 |
5 years | 1.40 | 1.03 |
10 years | 1.98 | 1.45 |
30 years | 2.79 | 2.18 |
Source: Vanguard. |
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strengthening in the labor market and modest but persistent wage growth. Housing sales continued to rise, and energy and commodity prices rebounded enough to calm fears of an impending global recession and disinflation, although they gave back some ground toward the end of the period.
Inflation has been rising, although not as fast as the Federal Reserve would like. The rate of annual change in the Consumer Price Index held fairly steady over the period: It stood at 1.0% in February and 0.9% in July. The core CPI rate, which strips out food and energy, whose prices tend to be more volatile, hardly moved either. It climbed at an annual rate of 2.2% in May, June, and July.
Abroad, many central banks pursued further monetary easing. The European Central Bank cut its deposit rate further into negative territory, increased its purchases of sovereign bonds, and began buying corporate bonds. The Bank of Japan announced at the end of January that it would charge a negative interest rate on excess reserves of financial institutions, a move intended to complement its qualitative and quantitative easing efforts aimed at spurring growth and warding off deflation.
This environment was positive for U.S. government bonds. Monetary policy remained accommodative. Britain’s June vote in favor of leaving the European Union surprised the markets and sent investors in search of less risky assets. And income-starved international buyers were drawn to the low but still positive yields on offer.
Yields for U.S. Treasuries fell across the curve, with more movement seen among longer maturities. The yield of the 2-year Treasury note, for example, slid 16 basis points over the half year to 0.66%. The 10-year yield fell 53 basis points to 1.45%, a level not seen since 2012, and the 30-year dropped 61 basis points to 2.18%.
Management of the funds
Both Short-Term Funds and the Intermediate-Term Treasury Fund have durations that are structurally shorter than those of their benchmarks. (Duration is a measure of the sensitivity of a fund’s holdings to changes in interest rates.) Although this conservative stance can help cushion the funds in an environment of rising rates, it was the primary reason for their relative underperformance for this period as rates ended the six-month period significantly lower. The Intermediate-Term Treasury Fund in particular was affected—its average duration at the end of the period stood at 5.3 years, compared with 6.6 years for its benchmark.
On the other hand, allocation choices generally helped lift returns. All four funds held mortgage-backed securities (MBS), a segment of securitized debt that is not included in their benchmarks. Those holdings were modestly positive for the
11
funds. Agency debt, which represented an overweight position in the Federal Fund and an out-of-benchmark allocation in the three Treasury Funds, provided a little bigger boost.
With market expectations for medium-term inflation appearing low given our outlook for growth, we added Treasury Inflation-Protected Securities early in the period in all four funds. That allocation contributed modestly to relative performance as the consensus on inflation ticked higher.
Security selection was also positive. In the Short-Term Treasury Fund, we saw value in the front end of the yield curve with the Fed pushing out further rate hikes and support for very short-term securities coming from money market reforms to be implemented by mid-October. We found other pockets of value as well, notably in the 5–7-year segment for the Intermediate-Term Fund and in the 20–25-year segment for the Long-Term Fund.
Outlook
While the long-term ramifications of the “Brexit” vote are unclear, we expect the U.K. economy to slip into recession in the medium term and anticipate some downward pressure on euro zone GDP as well. We do not expect U.S. GDP to be crimped significantly—perhaps just 0.25 percentage point over the next several quarters.
The U.S. economy looks likely to remain on relatively solid footing, with the labor market achieving the Fed’s full employment target. Job creation has slowed from last year, but continuing wage gains could boost demand and push inflation higher. Current low mortgage rates and muted inflation are likely to support continued home buying, mortgage refinancing, and consumer spending. These trends should help the economy grow at a rate of about 2% for the rest of the year.
In formulating our inflation outlook, we remain positive about the underlying trends when excluding the highly volatile commodity prices from most measures. Energy prices have been depressed by oil market imbalances during the past two years but now appear to be improving; they should provide a modest uplift to our headline measure in the coming year.
U.S. monetary policy is likely to remain cautious and accommodative. No matter when the Fed makes its next rate hike, we continue to believe its short-term rate target isn’t likely to go above 1% over the next several years. Central banks in Europe, the United Kingdom, and Japan appear to be leaning toward more monetary accommodation in the face of weak or slowing growth, which should keep U.S. yields attractive for international investors. Given that, and our outlook for modest growth and inflation at home, we don’t expect to see a material rise in government bond yields further out on the curve either.
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Whatever the markets may bring, our experienced team of portfolio managers and traders will continue to seek out opportunities to add to the funds’ performance.
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 16, 2016
For the GNMA Fund
For the six months ended July 31, 2016, Investor Shares of Vanguard GNMA Fund returned 2.04%, and Admiral Shares returned 2.09%. The fund outperformed its benchmark index as well as its peer group.
The investment environment
The period began on a volatile note, with most asset classes experiencing sharp price declines before staging an impressive retracement during the latter half of the first quarter. Global fixed income markets proceeded to gain over the second quarter as central bank policies and Brexit concerns drove government bond yields to fresh lows.
Early on, falling oil prices, concerns over slowing growth in China, and questions about the effectiveness of central bank monetary policies sparked a broad sell-off in credit markets, while government bonds benefited from their safe-haven status. Following the lead of European central banks, the Bank of Japan introduced negative interest rates for the first time as volatility and instability in financial markets threatened to tip the country back into deflation. Sweden’s Riksbank also cut interest rates deeper into negative territory, intensifying fears that global policymakers may be running out of tools to combat deflation and slowing growth. The global banking sector was hit particularly hard amid concerns about whether banks can be profitable in an environment of negative interest rates.
Accommodative monetary policy from central banks, near-term stabilization in China, and a rebound in commodity prices helped to support fixed income markets later in the period. However, investors turned more cautious in June as the outcome of the referendum on Britain’s European Union membership moved into sharper focus. The momentous vote to leave led to a spike in volatility in global financial markets and a flight to safety at the end of the period, with U.K. and European equity and credit markets bearing the brunt of the sell-off.
U.S. data released during the period showed the economy was holding up relatively well. On the consumer side, consumption rebounded after a weak first quarter, and confidence remained elevated. The housing sector maintained its positive trajectory, underpinned by strong sales and solid year-over-year home price gains, which have been hovering around 5.5%. However, some economic releases
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pointed to persistent softness across the manufacturing sector. The labor market appeared to lose some steam in the second quarter after showing resilience during the early part of 2016, and inflation remained benign overall, with the core personal consumption expenditures index still sitting below the Fed’s 2% target.
The agency MBS market returned 2.00% as measured by the Barclays MBS Fixed Rate Index, underperforming duration-equivalent Treasuries by 60 basis points (as measured by Wellington; a basis point is one-hundredth of 1 percent). Though MBS weathered the volatility in global markets better than other spread sectors, the rally in U.S. interest rates through the middle of February triggered some concerns about increases in prepayments and mortgage supply. The sector also benefited from investors seeking to capitalize on the income advantage of MBS in a relatively range-bound rates market during April and May. Another significant rally in U.S. interest rates at the end of June raised concerns about a potential increase in prepayment activity and mortgage supply, but MBS performance overall held up well.
GNMA MBS returned 1.71% as measured by the Barclays GNMA Index, underperforming duration-equivalent Treasuries by 38 basis points (as measured by Wellington) and underperforming conventional mortgages.
The fund’s successes
The fund outperformed its benchmark during the period. Security selection within middle-coupon (3.5%–4%) GNMA mortgages was the primary contributor
to performance. Our security selection was focused on identifying pools, both seasoned and brand-new, with attractive prepayment characteristics, as a way to add value as MBS spreads remained range-bound. An allocation to Fannie Mae multifamily delegated underwriting and servicing (DUS) bonds also helped.
The fund’s shortfalls
The portfolio was underweighted in agency MBS pass-through securities in favor of DUS bonds and agency collateralized mortgage obligations (CMOs) during the period. While the allocation to DUS bonds helped relative performance, agency CMOs underperformed MBS pass-throughs during the period, and our exposure to the sector weighed modestly on relative results.
The fund’s positioning
We believe that agency pass-throughs will have a flat to positive return relative to Treasury securities for the next six to 12 months. There are risks that are not yet fully priced into current spreads, including uncertainty over Fed interest rate policy, further global macroeconomic deterioration, and inadequate central bank policy globally; however, the spread between Treasuries and mortgages would have to widen substantially to offset the yield advantage of the sector.
Consequently, while spreads are close to the tight end of the historical range, we would not recommend a sustained underweight position in the sector. We expect that demand for MBS from international investors seeking yield and liquidity amid low and even negative global
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rates will continue, contributing to low spread volatility for the sector. With these two points in mind, our intermediate-term view remains for a moderate widening in spreads as we near the end of Fed reinvestment, but mortgage income should support outperformance relative to Treasuries based on our outlook for timing and pace.
Over the longer term, we expect MBS spreads to trade in a lower range than they have historically, given the positive fundamentals of favorable supply relative to Treasuries, a shift in buyer base to long-term investors, and a constrained mortgage credit environment.
We continue to be underweighted in agency pass-throughs in favor of DUS, agency commercial mortgage-backed securities, and agency CMOs. Our underweight position in pass-throughs is focused in low to middle coupons that would be the most sensitive to an increase in prepayment speeds resulting from the current low-rate environment.
Michael F. Garrett
Senior Managing Director and
Fixed Income Portfolio Manager
Wellington Management Company LLP
August 16, 2016
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Short-Term Treasury Fund
Fund Profile
As of July 31, 2016
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFISX | VFIRX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.45% | 0.55% | |
Financial Attributes | |||
Barclays Barclays | |||
1–5 Year | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 130 | 152 | 9,804 |
Yield to Maturity | |||
(before expenses) | 0.7% | 0.8% | 1.9% |
Average Coupon | 1.2% | 1.6% | 3.1% |
Average Duration | 2.2 years | 2.8 years | 5.5 years |
Average Effective | |||
Maturity | 2.1 years | 2.9 years | 7.7 years |
Short-Term | |||
Reserves | 0.1% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 100.0% |
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 | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.96 | 0.67 |
Beta | 0.73 | 0.31 |
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 | 14.4% | |
1 - 3 Years | 61.9 | |
3 - 5 Years | 22.1 | |
7 - 10 Years | 1.6 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 99.9% | |
Not Rated | 0.1 |
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 May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
16
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
1–5 Year | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 0.70 | -0.04 | 0.66 | 1.04 |
2017 | 0.47 | 0.47 | 0.94 | 1.26 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 1.72% | 0.95% | 1.54% | 1.17% | 2.71% |
Admiral Shares | 2/13/2001 | 1.82 | 1.05 | 1.66 | 1.17 | 2.83 |
See Financial Highlights for dividend and capital gains information.
17
Short-Term Treasury Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2016
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 (99.2%) | ||||
U.S. Government Securities (94.0%) | ||||
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/17 | 128,098 | 154,150 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/17 | 239,772 | 253,607 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 65,597 | 67,820 |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 108,227 | 115,424 |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 2,557 | 2,602 |
United States Treasury Note/Bond | 0.625% | 12/31/16 | 60,000 | 60,056 |
United States Treasury Note/Bond | 1.000% | 3/31/17 | 100,000 | 100,344 |
United States Treasury Note/Bond | 0.875% | 4/15/17 | 14,967 | 15,005 |
United States Treasury Note/Bond | 0.500% | 4/30/17 | 50,000 | 49,992 |
United States Treasury Note/Bond | 0.875% | 4/30/17 | 33,000 | 33,083 |
United States Treasury Note/Bond | 0.875% | 5/15/17 | 17,000 | 17,043 |
United States Treasury Note/Bond | 4.500% | 5/15/17 | 28,000 | 28,866 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 20,000 | 20,009 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 53,000 | 53,952 |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 105,000 | 105,279 |
United States Treasury Note/Bond | 0.625% | 6/30/17 | 60,000 | 60,019 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 8,000 | 8,011 |
United States Treasury Note/Bond | 0.875% | 7/15/17 | 107,000 | 107,301 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 56,000 | 55,939 |
United States Treasury Note/Bond | 0.625% | 7/31/17 | 72,500 | 72,523 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 61,000 | 62,058 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 100,000 | 100,281 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 42,000 | 43,785 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 208,000 | 208,000 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 126,500 | 128,200 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 72,000 | 72,304 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 149,000 | 149,000 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 63,000 | 63,906 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 82,000 | 82,256 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 103,700 | 103,862 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 115,850 | 117,624 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 175,000 | 175,546 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 39,500 | 41,333 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 86,000 | 86,000 |
United States Treasury Note/Bond | 0.875% | 11/30/17 | 80,000 | 80,262 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 58,000 | 59,242 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 91,000 | 91,455 |
18
Short-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 132,000 | 132,206 |
United States Treasury Note/Bond | 1.000% | 12/31/17 | 106,000 | 106,547 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 146,500 | 150,826 |
United States Treasury Note/Bond | 0.875% | 1/15/18 | 65,000 | 65,213 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 65,000 | 65,101 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 50,000 | 50,172 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 40,000 | 41,175 |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 174,000 | 174,924 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 62,000 | 64,693 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 15,000 | 15,026 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 36,000 | 37,192 |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 161,000 | 161,905 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 107,000 | 107,167 |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 80,000 | 80,287 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 138,500 | 138,695 |
United States Treasury Note/Bond | 1.000% | 5/15/18 | 50,000 | 50,297 |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 500 | 503 |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 34,000 | 34,229 |
United States Treasury Note/Bond | 0.875% | 10/15/18 | 12,000 | 12,051 |
1 United States Treasury Note/Bond | 1.250% | 10/31/18 | 53,250 | 53,899 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 27,750 | 28,400 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 31,000 | 31,484 |
United States Treasury Note/Bond | 1.250% | 12/15/18 | 74,000 | 74,948 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 27,000 | 27,430 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 86,000 | 87,639 |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 85,000 | 85,850 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 17,000 | 17,229 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 188,000 | 191,643 |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 67,000 | 67,052 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 20,000 | 21,034 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 69,500 | 70,673 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 28,000 | 28,560 |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 51,500 | 51,870 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 27,500 | 28,145 |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 54,800 | 55,006 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 15,000 | 15,213 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 116,200 | 118,996 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 20,000 | 21,325 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 53,600 | 54,730 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 37,000 | 37,925 |
United States Treasury Note/Bond | 0.750% | 7/15/19 | 100,000 | 99,984 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 32,750 | 32,863 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 65,100 | 66,738 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 22,000 | 23,880 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 12,000 | 12,079 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 27,500 | 28,205 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 54,000 | 55,595 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 60,000 | 61,313 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 5,200 | 5,229 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 10,000 | 10,220 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 12,000 | 12,116 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 30,000 | 30,788 |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 70,000 | 70,941 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 4,000 | 4,071 |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 126,000 | 128,244 |
19
Short-Term Treasury Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 1.125% | 3/31/20 | 13,000 | 13,122 | |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 43,100 | 43,868 | |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 93,350 | 95,028 | |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 60,000 | 65,794 | |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 55,000 | 55,971 | |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 30,000 | 30,675 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 37,700 | 38,725 | |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 14,000 | 14,516 | |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 40,000 | 41,094 | |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 26,700 | 27,818 | |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 24,000 | 25,605 | |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 58,000 | 59,006 | |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 11,000 | 11,519 | |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 10,000 | 10,173 | |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 700 | 712 | |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 20,000 | 20,650 | |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 34,750 | 37,150 | |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 51,000 | 52,418 | |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 17,000 | 17,733 | |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 26,415 | 27,286 | |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 25,000 | 25,152 | |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 32,000 | 32,350 | |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 8,000 | 8,451 | |
7,100,481 | |||||
Agency Bonds and Notes (5.2%) | |||||
2 | Fannie Mae Interest Strip | 0.000% | 1/15/19 | 2,197 | 2,151 |
3 | Financing Corp. | 0.000% | 5/11/18 | 72,000 | 70,868 |
3 | Financing Corp. | 0.000% | 11/2/18 | 2,150 | 2,106 |
3 | Financing Corp. | 0.000% | 3/7/19 | 5,475 | 5,338 |
3 | Financing Corp. | 0.000% | 9/26/19 | 10,788 | 10,449 |
Private Export Funding Corp. | 4.375% | 3/15/19 | 12,730 | 13,839 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 19,274 | 19,529 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 5,800 | 6,030 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 7,550 | 7,855 | |
Residual Funding Corp. Principal Strip | 0.000% | 10/15/19 | 146,170 | 141,366 | |
Residual Funding Corp. Principal Strip | 0.000% | 7/15/20 | 19,100 | 18,233 | |
Residual Funding Corp. Principal Strip | 0.000% | 10/15/20 | 58,220 | 55,459 | |
Residual Funding Corp. Principal Strip | 0.000% | 1/15/21 | 39,400 | 37,258 | |
390,481 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
2,4 | Freddie Mac Gold Pool | 6.000% | 5/1/18–4/1/28 | 129 | 147 |
Total U.S. Government and Agency Obligations (Cost $7,447,073) | 7,491,109 | ||||
Shares | |||||
Temporary Cash Investment (0.1%) | |||||
5 | Vanguard Market Liquidity Fund | ||||
(Cost $9,602) | 0.561% | 9,602,420 | 9,602 | ||
Total Investments (99.3%) (Cost $7,456,675) | 7,500,711 |
20
Short-Term Treasury Fund | |||
Market | |||
Expiration | Value• | ||
Date | Contracts | ($000) | |
Liability for Options Written (0.0%) | |||
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 223 | (24) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 88 | (26) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 88 | (7) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 223 | (98) |
Total Liability for Options Written (Premiums Received $307) | (155) | ||
Other Assets and Liabilities (0.7%) | |||
Other Assets | 595,991 | ||
Liabilities | (546,224) | ||
49,767 | |||
Net Assets (100%) | 7,550,323 | ||
Amount | |||
($000) | |||
Statement of Assets and Liabilities | |||
Assets | |||
Investments in Securities, at Value | |||
Unaffiliated Issuers | 7,491,109 | ||
Affiliated Vanguard Funds | 9,602 | ||
Total Investments in Securities | 7,500,711 | ||
Investment in Vanguard | 605 | ||
Receivables for Investment Securities Sold | 536,584 | ||
Receivables for Accrued Income | 25,040 | ||
Receivables for Capital Shares Issued | 27,412 | ||
Other Assets | 6,350 | ||
Total Other Assets | 8,096,702 | ||
Liabilities | |||
Payables for Investment Securities Purchased | 533,038 | ||
Payables for Capital Shares Redeemed | 4,244 | ||
Payables for Distributions | 1,127 | ||
Payables to Vanguard | 2,880 | ||
Other Liabilities | 5,090 | ||
Total Liabilities | 546,379 | ||
Net Assets | 7,550,323 |
21
Short-Term Treasury Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 7,487,027 |
Undistributed Net Investment Income | 3 |
Accumulated Net Realized Gains | 22,296 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 44,036 |
Futures Contracts | (3,191) |
Options on Futures Contracts | 152 |
Net Assets | 7,550,323 |
Investor Shares—Net Assets | |
Applicable to 89,622,603 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 966,085 |
Net Asset Value Per Share—Investor Shares | $10.78 |
Admiral Shares—Net Assets | |
Applicable to 610,808,528 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,584,238 |
Net Asset Value Per Share—Admiral Shares | $10.78 |
• See Note A in Notes to Financial Statements.
1 Securities with a value of $4,074,000 have been segregated as initial margin for open futures contracts.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The 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 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 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.
22
Short-Term Treasury Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 41,927 |
Total Income | 41,927 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 386 |
Management and Administrative—Investor Shares | 788 |
Management and Administrative—Admiral Shares | 2,331 |
Marketing and Distribution—Investor Shares | 104 |
Marketing and Distribution—Admiral Shares | 338 |
Custodian Fees | 37 |
Shareholders’ Reports—Investor Shares | 23 |
Shareholders’ Reports—Admiral Shares | 50 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 4,059 |
Net Investment Income | 37,868 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 30,492 |
Futures Contracts | (3,700) |
Options on Futures Contracts | 107 |
Realized Net Gain (Loss) | 26,899 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 10,256 |
Futures Contracts | (2,317) |
Options on Futures Contracts | 200 |
Change in Unrealized Appreciation (Depreciation) | 8,139 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,906 |
1 Interest income from an affiliated company of the fund was $88,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 37,868 | 54,766 |
Realized Net Gain (Loss) | 26,899 | 7,402 |
Change in Unrealized Appreciation (Depreciation) | 8,139 | (11,032) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,906 | 51,136 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (4,625) | (6,900) |
Admiral Shares | (33,262) | (47,866) |
Realized Capital Gain1 | ||
Investor Shares | — | (1,466) |
Admiral Shares | — | (9,214) |
Total Distributions | (37,887) | (65,446) |
Capital Share Transactions | ||
Investor Shares | (43,800) | (36,476) |
Admiral Shares | 282,715 | 367,994 |
Net Increase (Decrease) from Capital Share Transactions | 238,915 | 331,518 |
Total Increase (Decrease) | 273,934 | 317,208 |
Net Assets | ||
Beginning of Period | 7,276,389 | 6,959,181 |
End of Period2 | 7,550,323 | 7,276,389 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $9,345,000, 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 $3,000 and $22,000.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Short-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.73 | $10.75 | $10.71 | $10.73 | $10.81 | $10.70 |
Investment Operations | ||||||
Net Investment Income | .050 | .074 | .055 | .039 | .044 | .071 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 050 | (. 004) | . 053 | (. 009) | (. 002) | .167 |
Total from Investment Operations | .100 | .070 | .108 | .030 | .042 | . 238 |
Distributions | ||||||
Dividends from Net Investment Income | (. 050) | (. 074) | (. 055) | (. 039) | (. 044) | (. 071) |
Distributions from Realized Capital Gains | — | (. 016) | (. 013) | (. 011) | (. 078) | (. 057) |
Total Distributions | (. 050) | (. 090) | (. 068) | (. 050) | (.122) | (.128) |
Net Asset Value, End of Period | $10.78 | $10.73 | $10.75 | $10.71 | $10.73 | $10.81 |
Total Return1 | 0.94% | 0.66% | 1.01% | 0.28% | 0.39% | 2.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $966 | $1,005 | $1,044 | $1,151 | $1,448 | $1,765 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.94% | 0.69% | 0.52% | 0.37% | 0.41% | 0.66% |
Portfolio Turnover Rate2 | 193% | 211% | 87% | 80% | 176% | 302% |
The expense ratio, net investment 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 4%, 35%, 22%, 0%, 63%, and 120% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Short-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.73 | $10.75 | $10.71 | $10.73 | $10.81 | $10.70 |
Investment Operations | ||||||
Net Investment Income | .056 | .085 | .066 | .050 | .055 | .082 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 050 | (. 004) | . 053 | (. 009) | (. 002) | .167 |
Total from Investment Operations | .106 | .081 | .119 | .041 | .053 | . 249 |
Distributions | ||||||
Dividends from Net Investment Income | (. 056) | (. 085) | (. 066) | (. 050) | (. 055) | (. 082) |
Distributions from Realized Capital Gains | — | (. 016) | (. 013) | (. 011) | (. 078) | (. 057) |
Total Distributions | (. 056) | (.101) | (. 079) | (. 061) | (.133) | (.139) |
Net Asset Value, End of Period | $10.78 | $10.73 | $10.75 | $10.71 | $10.73 | $10.81 |
Total Return1 | 0.99% | 0.76% | 1.11% | 0.38% | 0.49% | 2.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,584 | $6,271 | $5,915 | $5,360 | $4,879 | $4,779 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.04% | 0.79% | 0.62% | 0.47% | 0.51% | 0.76% |
Portfolio Turnover Rate2 | 193% | 211% | 87% | 80% | 176% | 302% |
The expense ratio, net investment 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 4%, 35%, 22%, 0%, 63%, and 120% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
26
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 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 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).
27
Short-Term Treasury Fund
During the six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 12% 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 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, 2016, the fund’s average value of investments in 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.
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.
28
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, 2013–2016), and for the period ended July 31, 2016, 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 (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $605,000, representing 0.01% of the fund’s net assets and 0.24% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
29
Short-Term Treasury Fund
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).
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 7,491,109 | — |
Temporary Cash Investments | 9,602 | — | — |
Liability for Options Written | (155) | — | — |
Futures Contracts—Assets1 | 1,614 | — | — |
Futures Contracts—Liabilities1 | (862) | — | — |
Total | 10,199 | 7,491,109 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, 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 2016 | 4,663 | 1,021,197 | (272) |
5-Year U.S. Treasury Note | September 2016 | 1,260 | 153,740 | 464 |
10-Year Ultra U.S. Treasury Bond | September 2016 | (831) | (121,494) | (3,285) |
10-Year U.S. Treasury Note | September 2016 | (220) | (29,270) | (42) |
Ultra Long U. S. Treasury Bond | September 2016 | (54) | (10,289) | (56) |
(3,191) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
30
Short-Term Treasury Fund
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, 2016, the fund had available capital losses totaling $4,293,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At July 31, 2016, the cost of investment securities for tax purposes was $7,457,591,000. Net unrealized appreciation of investment securities for tax purposes was $43,120,000, consisting of unrealized gains of $46,278,000 on securities that had risen in value since their purchase and $3,158,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2016, the fund purchased $6,820,770,000 of investment securities and sold $7,285,304,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the six months ended July 31, 2016.
Premiums | ||
Number of | Received | |
Options Written | Contracts | ($000) |
Balance at January 31, 2016 | 527 | 213 |
Options Written | 6,099 | 2,507 |
Options Expired | (673) | (261) |
Options Closed | (5,331) | (2,152) |
Options Exercised | — | — |
Balance at July 31, 2016 | 622 | 307 |
31
Short-Term Treasury Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 177,349 | 16,499 | 270,929 | 25,290 |
Issued in Lieu of Cash Distributions | 4,178 | 388 | 7,625 | 712 |
Redeemed | (225,327) | (20,958) | (315,030) | (29,413) |
Net Increase (Decrease)—Investor Shares | (43,800) | (4,071) | (36,476) | (3,411) |
Admiral Shares | ||||
Issued | 830,026 | 77,199 | 1,633,121 | 152,471 |
Issued in Lieu of Cash Distributions | 27,660 | 2,570 | 47,683 | 4,453 |
Redeemed | (574,971) | (53,480) | (1,312,810) | (122,569) |
Net Increase (Decrease)—Admiral Shares | 282,715 | 26,289 | 367,994 | 34,355 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
32
Short-Term Federal Fund
Fund Profile
As of July 31, 2016
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VSGBX | VSGDX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.78% | 0.88% | |
Financial Attributes | |||
Barclays | Barclays | ||
1–5 Year | Aggregate | ||
Gov’t | Bond | ||
Fund | Index | Index | |
Number of Bonds | 129 | 569 | 9,804 |
Yield to Maturity | |||
(before expenses) | 0.9% | 0.8% | 1.9% |
Average Coupon | 1.4% | 1.7% | 3.1% |
Average Duration | 2.3 years | 2.7 years | 5.5 years |
Average Effective | |||
Maturity | 2.6 years | 2.8 years | 7.7 years |
Short-Term | |||
Reserves | 3.5% | — | — |
Sector Diversification (% of portfolio) | |||
Government Mortgage-Backed | 11.0% | ||
Treasury/Agency | 89.0 |
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 | 0.96 | 0.75 |
Beta | 0.75 | 0.33 |
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 | 20.7% |
1 - 3 Years | 44.5 |
3 - 5 Years | 29.5 |
5 - 7 Years | 1.0 |
7 - 10 Years | 3.4 |
10 - 20 Years | 0.9 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 96.4% |
Not Rated | 3.6 |
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 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
33
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
1–5 Year | ||||
Gov’t | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 0.88 | 0.05 | 0.93 | 1.05 |
2017 | 0.54 | 0.56 | 1.10 | 1.23 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 2.10% | 1.27% | 1.91% | 1.22% | 3.13% |
Admiral Shares | 2/12/2001 | 2.21 | 1.37 | 2.01 | 1.22 | 3.23 |
See Financial Highlights for dividend and capital gains information.
34
Short-Term Federal Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2016
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 (99.5%) | |||||
U.S. Government Securities (5.1%) | |||||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 48,335 | 49,973 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 76,958 | 82,075 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 1,906 | 1,940 | |
1 | United States Treasury Note/Bond | 0.625% | 9/30/17 | 22,500 | 22,500 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 9,500 | 9,553 | |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 6,350 | 6,435 | |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 700 | 713 | |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 21,200 | 21,574 | |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 42,000 | 42,945 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 41,000 | 42,115 | |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 8,100 | 8,234 | |
288,057 | |||||
Agency Bonds and Notes (83.4%) | |||||
2 | AID-Israel | 5.500% | 9/18/23 | 7,000 | 8,837 |
2 | AID-Israel | 5.500% | 4/26/24 | 9,300 | 11,765 |
2 | AID-Jordan | 2.578% | 6/30/22 | 33,500 | 35,515 |
3 | Fannie Mae Interest Strip | 0.000% | 1/15/19 | 1,560 | 1,527 |
3 | Fannie Mae Principal Strip | 0.000% | 2/1/19 | 18,382 | 17,851 |
4 | Federal Farm Credit Banks | 1.110% | 2/20/18 | 14,000 | 14,081 |
4 | Federal Home Loan Banks | 0.625% | 5/30/17 | 23,250 | 23,247 |
4 | Federal Home Loan Banks | 0.750% | 8/28/17 | 81,600 | 81,668 |
4 | Federal Home Loan Banks | 1.000% | 12/19/17 | 8,900 | 8,934 |
4 | Federal Home Loan Banks | 1.375% | 3/9/18 | 75,700 | 76,449 |
4 | Federal Home Loan Banks | 0.875% | 3/19/18 | 43,950 | 44,037 |
4 | Federal Home Loan Banks | 1.125% | 4/25/18 | 42,575 | 42,839 |
4 | Federal Home Loan Banks | 0.875% | 6/29/18 | 83,300 | 83,461 |
4 | Federal Home Loan Banks | 0.625% | 8/7/18 | 74,050 | 73,816 |
4 | Federal Home Loan Banks | 5.375% | 5/15/19 | 46,000 | 51,717 |
4 | Federal Home Loan Banks | 1.750% | 6/12/20 | 20,000 | 20,540 |
4 | Federal Home Loan Banks | 1.375% | 2/18/21 | 125,200 | 126,620 |
4 | Federal Home Loan Banks | 1.125% | 7/14/21 | 17,300 | 17,247 |
3 | Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 26,100 | 26,229 |
3,5 | Federal Home Loan Mortgage Corp. | 0.875% | 6/16/17 | 40,000 | 40,081 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 7/14/17 | 25,000 | 25,019 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 35,850 | 35,985 |
3 | Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 60,000 | 63,396 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 72,950 | 73,225 |
35
Short-Term Federal Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 79,150 | 79,180 |
3,5 | Federal Home Loan Mortgage Corp. | 1.050% | 2/26/18 | 150,000 | 149,971 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 11,550 | 11,572 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 123,750 | 123,723 |
3,5 | Federal Home Loan Mortgage Corp. | 1.050% | 5/25/18 | 50,000 | 49,981 |
3,5 | Federal Home Loan Mortgage Corp. | 1.250% | 5/25/18 | 50,000 | 50,016 |
3 | Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 16,000 | 17,214 |
3,5 | Federal Home Loan Mortgage Corp. | 1.060% | 6/22/18 | 50,000 | 49,980 |
3 | Federal Home Loan Mortgage Corp. | 0.850% | 7/27/18 | 63,000 | 63,095 |
3,5 | Federal Home Loan Mortgage Corp. | 1.050% | 7/27/18 | 50,000 | 49,977 |
3,5 | Federal Home Loan Mortgage Corp. | 1.200% | 10/29/18 | 75,000 | 75,034 |
3,5 | Federal Home Loan Mortgage Corp. | 1.200% | 11/16/18 | 75,000 | 75,014 |
3 | Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 167,250 | 168,453 |
3,5 | Federal Home Loan Mortgage Corp. | 1.375% | 5/17/19 | 81,230 | 81,248 |
3,5 | Federal Home Loan Mortgage Corp. | 1.400% | 5/24/19 | 80,500 | 80,526 |
3,5 | Federal Home Loan Mortgage Corp. | 1.275% | 6/28/19 | 50,000 | 49,971 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 7/19/19 | 114,200 | 114,133 |
3,5 | Federal Home Loan Mortgage Corp. | 1.250% | 7/26/19 | 50,000 | 49,995 |
3 | Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 86,550 | 87,398 |
3 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 29,500 | 30,503 |
3 | Federal National Mortgage Assn. | 5.375% | 6/12/17 | 17,800 | 18,524 |
3,5 | Federal National Mortgage Assn. | 2.000% | 9/26/17 | 100,000 | 100,225 |
3 | Federal National Mortgage Assn. | 1.000% | 9/27/17 | 35,750 | 35,884 |
3,5 | Federal National Mortgage Assn. | 2.000% | 10/17/17 | 100,000 | 100,302 |
3 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 26,400 | 26,456 |
3 | Federal National Mortgage Assn. | 1.000% | 11/28/17 | 20,500 | 20,575 |
3 | Federal National Mortgage Assn. | 0.875% | 3/28/18 | 6,500 | 6,513 |
3,5 | Federal National Mortgage Assn. | 0.750% | 7/27/18 | 90,000 | 89,873 |
3,5 | Federal National Mortgage Assn. | 1.250% | 9/27/18 | 10,000 | 10,097 |
3 | Federal National Mortgage Assn. | 1.125% | 10/19/18 | 92,800 | 93,454 |
3 | Federal National Mortgage Assn. | 1.125% | 12/14/18 | 138,850 | 139,830 |
3 | Federal National Mortgage Assn. | 1.375% | 1/28/19 | 88,750 | 89,933 |
3 | Federal National Mortgage Assn. | 1.875% | 2/19/19 | 70,000 | 71,833 |
3 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 150,050 | 150,677 |
3,5 | Federal National Mortgage Assn. | 1.250% | 2/26/19 | 75,000 | 74,984 |
3,5 | Federal National Mortgage Assn. | 1.300% | 2/26/19 | 66,500 | 66,540 |
3,5 | Federal National Mortgage Assn. | 1.250% | 6/13/19 | 50,000 | 49,981 |
3 | Federal National Mortgage Assn. | 0.875% | 8/2/19 | 73,800 | 73,734 |
3 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 135,000 | 130,668 |
3 | Federal National Mortgage Assn. | 1.750% | 11/26/19 | 35,500 | 36,419 |
3 | Federal National Mortgage Assn. | 1.625% | 1/21/20 | 37,500 | 38,330 |
3 | Federal National Mortgage Assn. | 1.500% | 11/30/20 | 16,100 | 16,379 |
3 | Federal National Mortgage Assn. | 1.875% | 12/28/20 | 15,100 | 15,603 |
3 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 12,750 | 12,895 |
3 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 22,900 | 23,634 |
4 | Financing Corp. | 0.000% | 10/6/17 | 42,394 | 42,024 |
4 | Financing Corp. | 0.000% | 11/11/17 | 2,000 | 1,980 |
4 | Financing Corp. | 0.000% | 11/30/17 | 1,905 | 1,886 |
4 | Financing Corp. | 0.000% | 11/30/17 | 29,145 | 28,847 |
4 | Financing Corp. | 0.000% | 5/11/18 | 78,000 | 76,774 |
4 | Financing Corp. | 0.000% | 11/2/18 | 1,540 | 1,509 |
4 | Financing Corp. | 0.000% | 12/6/18 | 32,496 | 31,786 |
4 | Financing Corp. | 0.000% | 3/7/19 | 3,910 | 3,812 |
4 | Financing Corp. | 0.000% | 9/26/19 | 7,768 | 7,524 |
Government Trust Certificate | 0.000% | 4/1/20 | 10,419 | 9,925 |
36
Short-Term Federal Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Private Export Funding Corp. | 1.375% | 2/15/17 | 7,744 | 7,764 | |
Private Export Funding Corp. | 5.450% | 9/15/17 | 11,352 | 11,914 | |
Private Export Funding Corp. | 2.250% | 12/15/17 | 6,586 | 6,695 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 9,070 | 9,860 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 14,300 | 14,489 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 12,393 | 12,884 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 17,450 | 18,155 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 4,430 | 5,085 | |
Private Export Funding Corp. | 2.800% | 5/15/22 | 13,545 | 14,525 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 19,900 | 22,370 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 5,300 | 5,552 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 16,200 | 17,998 | |
Residual Funding Corp. Principal Strip | 0.000% | 10/15/19 | 179,331 | 173,436 | |
Residual Funding Corp. Principal Strip | 0.000% | 7/15/20 | 63,500 | 60,617 | |
Residual Funding Corp. Principal Strip | 0.000% | 10/15/20 | 41,800 | 39,818 | |
Residual Funding Corp. Principal Strip | 0.000% | 1/15/21 | 35,600 | 33,665 | |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/27 | 11,800 | 9,391 | |
4 | Tennessee Valley Authority | 2.875% | 9/15/24 | 5,000 | 5,448 |
4 | Tennessee Valley Authority | 4.700% | 7/15/33 | 30,990 | 40,195 |
4 | Tennessee Valley Authority Principal Strip | 0.000% | 11/1/25 | 15,000 | 12,246 |
4,682,587 | |||||
Conventional Mortgage-Backed Securities (10.2%) | |||||
3,5 | Fannie Mae Pool | 2.000% | 10/1/27–7/1/28 | 9,325 | 9,516 |
3,5,6 Fannie Mae Pool | 2.500% | 8/1/28–9/1/31 | 114,124 | 118,158 | |
3,5,6 Fannie Mae Pool | 3.000% | 12/1/20–8/1/46 | 139,462 | 146,704 | |
3,5 | Fannie Mae Pool | 3.500% | 8/1/20–5/1/30 | 60,869 | 65,001 |
3,5 | Fannie Mae Pool | 4.000% | 6/1/18–12/1/28 | 21,725 | 22,764 |
3,5 | Fannie Mae Pool | 4.500% | 1/1/18–10/1/25 | 8,085 | 8,298 |
3,5 | Fannie Mae Pool | 5.000% | 12/1/16–3/1/38 | 8,927 | 9,419 |
3,5 | Fannie Mae Pool | 5.500% | 11/1/16–1/1/25 | 2,606 | 2,692 |
3,5 | Fannie Mae Pool | 6.000% | 4/1/17–5/1/24 | 178 | 181 |
3,5 | Freddie Mac Gold Pool | 2.000% | 9/1/28–6/1/30 | 9,283 | 9,439 |
3,5,6 Freddie Mac Gold Pool | 2.500% | 6/1/22–9/1/31 | 62,020 | 64,223 | |
3,5,6 Freddie Mac Gold Pool | 3.000% | 4/1/27–9/1/31 | 60,116 | 63,250 | |
3,5 | Freddie Mac Gold Pool | 3.500% | 3/1/21–8/1/29 | 21,923 | 23,374 |
3,5 | Freddie Mac Gold Pool | 4.000% | 6/1/18–1/1/29 | 14,253 | 14,862 |
3,5 | Freddie Mac Gold Pool | 4.500% | 5/1/18–9/1/26 | 8,488 | 8,819 |
3,5 | Freddie Mac Gold Pool | 5.000% | 6/1/17–6/1/25 | 4,063 | 4,213 |
3,5 | Freddie Mac Gold Pool | 5.500% | 11/1/16–2/1/19 | 65 | 66 |
3,5 | Freddie Mac Gold Pool | 6.000% | 10/1/18 | 35 | 36 |
571,015 | |||||
Nonconventional Mortgage-Backed Securities (0.8%) | |||||
3,5,7 Fannie Mae Pool | 2.569% | 8/1/35 | 4,061 | 4,278 | |
3,5,7 Fannie Mae Pool | 2.660% | 4/1/40 | 15,433 | 16,388 | |
3,5,7 Fannie Mae Pool | 2.733% | 12/1/40 | 2,543 | 2,692 | |
3,5,7 Freddie Mac Non Gold Pool | 2.537% | 7/1/35 | 10,551 | 11,159 | |
3,5,7 Freddie Mac Non Gold Pool | 2.589% | 11/1/35 | 7,429 | 7,907 | |
3,5,7 Freddie Mac Non Gold Pool | 2.849% | 7/1/33 | 1,327 | 1,403 | |
43,827 | |||||
Total U.S. Government and Agency Obligations (Cost $5,541,929) | 5,585,486 |
37
Short-Term Federal Fund | ||||
Market | ||||
Value• | ||||
Coupon | Shares | ($000) | ||
Temporary Cash Investment (3.5%) | ||||
Money Market Fund (3.5%) | ||||
8 Vanguard Market Liquidity Fund | ||||
(Cost $199,743) | 0.561% | 199,743,000 | 199,743 | |
Total Investments (103.0%) (Cost $5,741,672) | 5,785,229 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 165 | (72) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 66 | (20) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 165 | (18) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 66 | (5) | |
Total Liability for Options Written (Premiums Received $228) | (115) | |||
Other Assets and Liabilities (-3.0%) | ||||
Other Assets | 437,011 | |||
Liabilities | (606,192) | |||
(169,181) | ||||
Net Assets (100%) | 5,615,933 | |||
Amount | ||||
($000) | ||||
Statement of Assets and Liabilities | ||||
Assets | ||||
Investments in Securities, at Value | ||||
Unaffiliated Issuers | 5,585,486 | |||
Affiliated Vanguard Funds | 199,743 | |||
Total Investments in Securities | 5,785,229 | |||
Investment in Vanguard | 446 | |||
Receivables for Investment Securities Sold | 417,039 | |||
Receivables for Accrued Income | 16,061 | |||
Receivables for Capital Shares Issued | 2,085 | |||
Other Assets | 1,380 | |||
Total Other Assets | 6,222,240 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | 590,561 | |||
Payables for Capital Shares Redeemed | 4,046 | |||
Payables for Distributions | 626 | |||
Payables to Vanguard | 3,033 | |||
Options Contracts Written | 115 | |||
Other Liabilities | 7,926 | |||
Total Liabilities | 606,307 | |||
Net Assets | 5,615,933 |
38
Short-Term Federal Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 5,566,365 |
Overdistributed Net Investment Income | (88) |
Accumulated Net Realized Gains | 14,892 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 43,557 |
Futures Contracts | (8,906) |
Options on Futures Contracts | 113 |
Net Assets | 5,615,933 |
Investor Shares—Net Assets | |
Applicable to 72,891,510 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 791,074 |
Net Asset Value Per Share—Investor Shares | $10.85 |
Admiral Shares—Net Assets | |
Applicable to 444,574,621 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,824,859 |
Net Asset Value Per Share—Admiral Shares | $10.85 |
• See Note A in Notes to Financial Statements.
1 Securities with a value of $2,925,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
3 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.
4 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.
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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2016.
7 Adjustable-rate security.
8 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.
39
Short-Term Federal Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 34,492 |
Total Income | 34,492 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 283 |
Management and Administrative—Investor Shares | 641 |
Management and Administrative—Admiral Shares | 1,686 |
Marketing and Distribution—Investor Shares | 82 |
Marketing and Distribution—Admiral Shares | 243 |
Custodian Fees | 35 |
Shareholders’ Reports—Investor Shares | 21 |
Shareholders’ Reports—Admiral Shares | 14 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,007 |
Net Investment Income | 31,485 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 21,945 |
Futures Contracts | (1,157) |
Options on Futures Contracts | 756 |
Realized Net Gain (Loss) | 21,544 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 20,703 |
Futures Contracts | (8,180) |
Options on Futures Contracts | 174 |
Change in Unrealized Appreciation (Depreciation) | 12,697 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 65,726 |
1 Interest income from an affiliated company of the fund was $789,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
40
Short-Term Federal Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 31,485 | 48,711 |
Realized Net Gain (Loss) | 21,544 | 5,399 |
Change in Unrealized Appreciation (Depreciation) | 12,697 | (4,477) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 65,726 | 49,633 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (4,352) | (7,537) |
Admiral Shares | (27,198) | (41,169) |
Realized Capital Gain1 | ||
Investor Shares | — | (2,752) |
Admiral Shares | — | (13,979) |
Total Distributions | (31,550) | (65,437) |
Capital Share Transactions | ||
Investor Shares | (31,269) | (103,156) |
Admiral Shares | 453,817 | 232,621 |
Net Increase (Decrease) from Capital Share Transactions | 422,548 | 129,465 |
Total Increase (Decrease) | 456,724 | 113,661 |
Net Assets | ||
Beginning of Period | 5,159,209 | 5,045,548 |
End of Period2 | 5,615,933 | 5,159,209 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $12,461,000, 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 ($88,000) and ($23,000).
See accompanying Notes, which are an integral part of the Financial Statements.
41
Short-Term Federal Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.79 | $10.82 | $10.74 | $10.78 | $10.89 | $10.77 |
Investment Operations | ||||||
Net Investment Income | .058 | .095 | .066 | .058 | .061 | .106 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .060 | .005 | .080 | (.034) | .022 | . 225 |
Total from Investment Operations | .118 | .100 | .146 | .024 | .083 | .331 |
Distributions | ||||||
Dividends from Net Investment Income | (. 058) | (. 095) | (. 066) | (. 058) | (. 061) | (.106) |
Distributions from Realized Capital Gains | — | (.035) | — | (.006) | (.132) | (.105) |
Total Distributions | (. 058) | (.130) | (. 066) | (. 064) | (.193) | (. 211) |
Net Asset Value, End of Period | $10.85 | $10.79 | $10.82 | $10.74 | $10.78 | $10.89 |
Total Return1 | 1.10% | 0.93% | 1.36% | 0.22% | 0.76% | 3.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $791 | $817 | $924 | $1,051 | $1,884 | $2,282 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.08% | 0.88% | 0.61% | 0.54% | 0.56% | 0.97% |
Portfolio Turnover Rate2 | 297% | 314% | 361% | 418% | 436% | 411% |
The expense ratio, net investment 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 47%, 75%, 99%, 87%, 139%, and 149% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Short-Term Federal Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.79 | $10.82 | $10.74 | $10.78 | $10.89 | $10.77 |
Investment Operations | ||||||
Net Investment Income | .064 | .105 | .077 | .069 | .071 | .117 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .060 | .005 | .080 | (.034) | .022 | . 225 |
Total from Investment Operations | .124 | .110 | .157 | .035 | .093 | .342 |
Distributions | ||||||
Dividends from Net Investment Income | (. 064) | (.105) | (. 077) | (. 069) | (. 071) | (.117) |
Distributions from Realized Capital Gains | — | (.035) | — | (.006) | (.132) | (.105) |
Total Distributions | (. 064) | (.140) | (. 077) | (. 075) | (. 203) | (. 222) |
Net Asset Value, End of Period | $10.85 | $10.79 | $10.82 | $10.74 | $10.78 | $10.89 |
Total Return1 | 1.15% | 1.03% | 1.47% | 0.33% | 0.86% | 3.20% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,825 | $4,342 | $4,122 | $4,205 | $3,792 | $3,481 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.18% | 0.98% | 0.71% | 0.64% | 0.66% | 1.07% |
Portfolio Turnover Rate2 | 297% | 314% | 361% | 418% | 436% | 411% |
The expense ratio, net investment 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 47%, 75%, 99%, 87%, 139%, and 149% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
43
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 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).
44
Short-Term Federal Fund
During the six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 9% and 5% 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, 2016, the fund’s average value of investments in 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, 2016, counterparties had deposited in segregated accounts securities with a value of $269,000 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.
45
Short-Term Federal 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, 2016, 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 (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $446,000, 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.
46
Short-Term Federal Fund
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).
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 5,585,486 | — |
Temporary Cash Investments | 199,743 | — | — |
Futures Contracts—Assets1 | 979 | — | — |
Futures Contracts—Liabilities1 | (1,421) | — | — |
Liability for Options Written | (115) | — | — |
Total | 199,186 | 5,585,486 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, 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 2016 | 3,534 | 431,203 | (38) |
Ultra 10-Year U.S. Treasury Note | September 2016 | (1,107) | (161,847) | (4,834) |
2-Year U.S. Treasury Note | September 2016 | 357 | 78,183 | 7 |
30-Year U.S. Treasury Bond | September 2016 | (402) | (70,124) | (4,491) |
10-Year U.S. Treasury Note | September 2016 | (496) | (65,991) | (87) |
Ultra Long U.S. Treasury Bond | September 2016 | 134 | 25,531 | 537 |
(8,906) |
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.
47
Short-Term Federal Fund
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, 2016, the cost of investment securities for tax purposes was $5,742,341,000. Net unrealized appreciation of investment securities for tax purposes was $42,888,000, consisting of unrealized gains of $46,659,000 on securities that had risen in value since their purchase and $3,771,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2016, the fund purchased $6,861,540,000 of investment securities and sold $7,239,754,000 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, 2016.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2016 | 572 | 215 | ||
Options Written | 5,999 | 2,419 | ||
Options Expired | (1,479) | (553) | ||
Options Closed | (4,630) | (1,853) | ||
Options Exercised | — | — | ||
Balance at July 31, 2016 | 462 | 228 | ||
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 103,730 | 9,587 | 166,939 | 15,490 |
Issued in Lieu of Cash Distributions | 3,964 | 366 | 9,450 | 878 |
Redeemed | (138,963) | (12,844) | (279,545) | (25,944) |
Net Increase (Decrease)—Investor Shares | (31,269) | (2,891) | (103,156) | (9,576) |
Admiral Shares | ||||
Issued | 941,091 | 87,063 | 1,230,824 | 114,220 |
Issued in Lieu of Cash Distributions | 24,000 | 2,217 | 48,588 | 4,513 |
Redeemed | (511,274) | (47,277) | (1,046,791) | (97,150) |
Net Increase (Decrease)—Admiral Shares | 453,817 | 42,003 | 232,621 | 21,583 |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
48
Intermediate-Term Treasury Fund
Fund Profile | |||
As of July 31, 2016 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFITX | VFIUX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 0.94% | 1.04% | |
Financial Attributes | |||
Barclays | Barclays | ||
5–10 Year | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 130 | 54 | 9,804 |
Yield to Maturity | |||
(before expenses) | 1.1% | 1.3% | 1.9% |
Average Coupon | 1.9% | 2.1% | 3.1% |
Average Duration | 5.3 years | 6.6 years | 5.5 years |
Average Effective | |||
Maturity | 5.7 years | 7.1 years | 7.7 years |
Short-Term | |||
Reserves | 0.7% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 100.0% |
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 | |
5–10 Year | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.98 | 0.86 |
Beta | 0.81 | 1.21 |
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 | 0.2% | |
3 - 5 Years | 42.7 | |
5 - 7 Years | 34.0 | |
7 - 10 Years | 22.9 | |
10 - 20 Years | 0.2 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 99.3% | |
Not Rated | 0.7 |
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 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
49
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
5–10 Year | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 1.65 | -0.48 | 1.17 | 1.38 |
2017 | 0.81 | 2.00 | 2.81 | 3.73 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 5.97% | 3.40% | 2.63% | 2.67% | 5.30% |
Admiral Shares | 2/12/2001 | 6.08 | 3.50 | 2.75 | 2.67 | 5.42 |
See Financial Highlights for dividend and capital gains information.
50
Intermediate-Term Treasury Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2016
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 (99.3%) | ||||
U.S. Government Securities (96.2%) | ||||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 58,691 | 60,680 |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 96,808 | 103,245 |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 2,352 | 2,393 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 5,696 | 6,951 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 27,142 | 27,837 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 23,823 | 23,972 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 53,633 | 55,217 |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 14,546 | 14,751 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 56,626 | 57,865 |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 51,370 | 55,640 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 37,510 | 37,721 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 59,971 | 61,292 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 36,591 | 36,946 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 63,679 | 65,351 |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 64,154 | 65,016 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 41,733 | 42,476 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 70,163 | 76,938 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 2,907 | 3,684 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 36,228 | 36,715 |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 66,465 | 67,649 |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 33,444 | 33,758 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 66,103 | 67,280 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 45,763 | 46,163 |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 65,595 | 66,774 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 59,094 | 64,800 |
United States Treasury Note/Bond | 8.750% | 5/15/20 | 3,089 | 3,992 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 48,503 | 49,360 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 67,807 | 69,333 |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 65,961 | 67,754 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 31,930 | 33,108 |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 66,476 | 68,293 |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 41,417 | 43,152 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 61,203 | 65,296 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 4,605 | 6,036 |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 63,921 | 65,029 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 47,870 | 50,129 |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 65,000 | 66,127 |
51
Intermediate-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 36,470 | 38,026 |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 64,971 | 66,077 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 53,070 | 54,795 |
1 United States Treasury Note/Bond | 2.625% | 11/15/20 | 98,731 | 105,549 |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 62,431 | 64,167 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 42,666 | 44,506 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 62,172 | 64,222 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 41,046 | 43,496 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 61,840 | 62,864 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 43,399 | 45,542 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 79,354 | 88,579 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 3,162 | 4,128 |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 64,893 | 65,288 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 44,451 | 46,424 |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 59,969 | 60,625 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 43,460 | 45,912 |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 60,221 | 61,218 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 46,860 | 49,525 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 50,508 | 55,448 |
United States Treasury Note/Bond | 8.125% | 5/15/21 | 3,019 | 4,023 |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 75,759 | 77,049 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 31,691 | 33,137 |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 44,752 | 44,969 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 46,953 | 49,389 |
United States Treasury Note/Bond | 1.125% | 7/31/21 | 55,000 | 55,258 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 51,719 | 54,749 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 74,035 | 77,922 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 2,801 | 3,773 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 55,409 | 57,981 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 58,045 | 61,110 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 60,896 | 63,751 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 78,685 | 82,398 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 16,938 | 22,967 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 61,587 | 64,089 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 62,918 | 66,300 |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 66,300 | 67,647 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 66,229 | 69,385 |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 67,357 | 69,630 |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 68,502 | 70,803 |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 69,296 | 71,613 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 63,734 | 65,865 |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 69,607 | 72,434 |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 68,906 | 72,674 |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 69,729 | 73,041 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 63,262 | 64,903 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 7,727 | 10,486 |
United States Treasury Note/Bond | 1.875% | 8/31/22 | 70,424 | 73,263 |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 70,336 | 72,611 |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 68,031 | 70,720 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 93,659 | 95,942 |
United States Treasury Note/Bond | 7.625% | 11/15/22 | 4,762 | 6,625 |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 68,503 | 71,714 |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 66,152 | 69,759 |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 63,741 | 65,733 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 97,783 | 102,474 |
52
Intermediate-Term Treasury Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 5,696 | 7,818 |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 62,959 | 63,942 |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 59,737 | 60,633 |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 55,400 | 56,664 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 82,957 | 85,588 |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 52,481 | 53,678 |
United States Treasury Note/Bond | 1.375% | 6/30/23 | 51,979 | 52,304 |
United States Treasury Note/Bond | 1.250% | 7/31/23 | 52,000 | 51,862 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 72,180 | 78,180 |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 6,211 | 8,303 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 56,053 | 61,781 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 50,719 | 55,973 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 64,323 | 69,871 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 176,018 | 189,659 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 135,702 | 144,968 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 4,037 | 5,996 |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 89,884 | 94,209 |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 3,600 | 5,425 |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 155,456 | 164,541 |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 91,209 | 95,598 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 5,437 | 7,973 |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 63,590 | 68,041 |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 67,384 | 68,416 |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 19,478 | 27,455 |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 111,791 | 113,520 |
6,683,699 | ||||
Agency Bonds and Notes (3.1%) | ||||
2 AID-Israel | 5.500% | 9/18/23 | 8,000 | 10,099 |
2 AID-Israel | 5.500% | 4/26/24 | 10,700 | 13,536 |
2 AID-Israel | 0.000% | 5/1/24 | 13,215 | 11,271 |
2 AID-Israel | 0.000% | 11/1/24 | 75,000 | 63,965 |
2 AID-Israel | 0.000% | 8/15/25 | 15,929 | 13,055 |
Private Export Funding Corp. | 2.300% | 9/15/20 | 13,600 | 14,150 |
Private Export Funding Corp. | 4.300% | 12/15/21 | 4,150 | 4,763 |
Private Export Funding Corp. | 2.800% | 5/15/22 | 15,470 | 16,589 |
Private Export Funding Corp. | 3.550% | 1/15/24 | 23,800 | 26,754 |
Private Export Funding Corp. | 2.450% | 7/15/24 | 6,085 | 6,375 |
Private Export Funding Corp. | 3.250% | 6/15/25 | 18,600 | 20,664 |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/27 | 14,320 | 11,396 |
212,617 | ||||
Total U.S. Government and Agency Obligations (Cost $6,696,600) | 6,896,316 | |||
Shares | ||||
Temporary Cash Investment (0.7%) | ||||
Money Market Fund (0.7%) | ||||
3 Vanguard Market Liquidity Fund | ||||
(Cost $51,407) | 0.561% | 51,407,139 | 51,407 | |
Total Investments (100.0%) (Cost $6,748,007) | 6,947,723 |
53
Intermediate-Term Treasury Fund | |||
Market | |||
Expiration | Value• | ||
Date | Contracts | ($000) | |
Liability for Options Written (0.0%) | |||
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 82 | (24) |
Call Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 206 | (23) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 82 | (6) |
Put Options on 10-year U.S. Treasury Note | |||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 206 | (90) |
Total Liability for Options Written (Premiums Received $284) | (143) | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (0.0%) | |||
Other Assets | |||
Investment in Vanguard | 554 | ||
Receivables for Investment Securities Sold | 265,594 | ||
Receivables for Accrued Income | 40,061 | ||
Receivables for Capital Shares Issued | 7,338 | ||
Other Assets | 543 | ||
Total Other Assets | 314,090 | ||
Liabilities | |||
Payables for Investment Securities Purchased | (284,339) | ||
Payables for Capital Shares Redeemed | (24,777) | ||
Payables for Distributions | (1,440) | ||
Payables to Vanguard | (3,310) | ||
Other Liabilities | (1,801) | ||
Total Liabilities | (315,667) | ||
Net Assets (100%) | 6,946,003 |
54
Intermediate-Term Treasury Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 6,683,310 |
Undistributed Net Investment Income | 1 |
Accumulated Net Realized Gains | 63,127 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 199,716 |
Futures Contracts | (292) |
Options on Futures Contracts | 141 |
Net Assets | 6,946,003 |
Investor Shares—Net Assets | |
Applicable to 114,985,259 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,349,258 |
Net Asset Value Per Share—Investor Shares | $11.73 |
Admiral Shares—Net Assets | |
Applicable to 476,965,359 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,596,745 |
Net Asset Value Per Share—Admiral Shares | $11.73 |
• See Note A in Notes to Financial Statements.
1 Securities with a value of $1,315,000 have been segregated as initial margin for open futures contracts.
2 U.S. government-guaranteed.
3 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.
55
Intermediate-Term Treasury Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 58,623 |
Total Income | 58,623 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 345 |
Management and Administrative—Investor Shares | 1,064 |
Management and Administrative—Admiral Shares | 1,903 |
Marketing and Distribution—Investor Shares | 149 |
Marketing and Distribution—Admiral Shares | 277 |
Custodian Fees | 32 |
Shareholders’ Reports—Investor Shares | 34 |
Shareholders’ Reports—Admiral Shares | 26 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,832 |
Net Investment Income | 54,791 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 72,616 |
Futures Contracts | (2,886) |
Options on Futures Contracts | 92 |
Realized Net Gain (Loss) | 69,822 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 63,186 |
Futures Contracts | (737) |
Options on Futures Contracts | 181 |
Change in Unrealized Appreciation (Depreciation) | 62,630 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 187,243 |
1 Interest income from an affiliated company of the fund was $84,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
56
Intermediate-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 54,791 | 99,163 |
Realized Net Gain (Loss) | 69,822 | 54,613 |
Change in Unrealized Appreciation (Depreciation) | 62,630 | (73,463) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 187,243 | 80,313 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (10,750) | (21,690) |
Admiral Shares | (44,052) | (77,473) |
Realized Capital Gain1 | ||
Investor Shares | (1,122) | (10,674) |
Admiral Shares | (4,114) | (37,140) |
Total Distributions | (60,038) | (146,977) |
Capital Share Transactions | ||
Investor Shares | (2,017) | (46,493) |
Admiral Shares | 646,382 | 609,495 |
Net Increase (Decrease) from Capital Share Transactions | 644,365 | 563,002 |
Total Increase (Decrease) | 771,570 | 496,338 |
Net Assets | ||
Beginning of Period | 6,174,433 | 5,678,095 |
End of Period2 | 6,946,003 | 6,174,433 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $10,971,000, 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 $1,000 and $12,000.
See accompanying Notes, which are an integral part of the Financial Statements.
57
Intermediate-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $11.51 | $11.66 | $11.29 | $11.60 | $11.78 | $11.34 |
Investment Operations | ||||||
Net Investment Income | .092 | .188 | .188 | .170 | .156 | .226 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .230 | (.057) | .410 | (.256) | (.028) | .931 |
Total from Investment Operations | .322 | .131 | .598 | (.086) | .128 | 1.157 |
Distributions | ||||||
Dividends from Net Investment Income | (. 092) | (.188) | (.188) | (.170) | (.156) | (. 226) |
Distributions from Realized Capital Gains | (. 010) | (. 093) | (. 040) | (. 054) | (.152) | (. 491) |
Total Distributions | (.102) | (. 281) | (. 228) | (. 224) | (. 308) | (.717) |
Net Asset Value, End of Period | $11.73 | $11.51 | $11.66 | $11.29 | $11.60 | $11.78 |
Total Return1 | 2.81% | 1.17% | 5.38% | -0.74% | 1.10% | 10.36% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,349 | $1,326 | $1,391 | $1,469 | $1,902 | $2,385 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.59% | 1.64% | 1.66% | 1.48% | 1.33% | 1.92% |
Portfolio Turnover Rate2 | 151% | 142% | 63% | 42% | 117% | 273% |
The expense ratio, net investment 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 4%, 34%, 22%, 0%, 64%, and 119% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
58
Intermediate-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $11.51 | $11.66 | $11.29 | $11.60 | $11.78 | $11.34 |
Investment Operations | ||||||
Net Investment Income | .098 | .199 | .199 | .181 | .168 | .237 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .230 | (.057) | .410 | (.256) | (.028) | .931 |
Total from Investment Operations | .328 | .142 | .609 | (.075) | .140 | 1.168 |
Distributions | ||||||
Dividends from Net Investment Income | (. 098) | (.199) | (.199) | (.181) | (.168) | (. 237) |
Distributions from Realized Capital Gains | (. 010) | (. 093) | (. 040) | (. 054) | (.152) | (. 491) |
Total Distributions | (.108) | (. 292) | (. 239) | (. 235) | (. 320) | (.728) |
Net Asset Value, End of Period | $11.73 | $11.51 | $11.66 | $11.29 | $11.60 | $11.78 |
Total Return1 | 2.86% | 1.27% | 5.48% | -0.64% | 1.20% | 10.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,597 | $4,849 | $4,287 | $3,619 | $4,112 | $4,115 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.69% | 1.74% | 1.76% | 1.58% | 1.43% | 2.02% |
Portfolio Turnover Rate2 | 151% | 142% | 63% | 42% | 117% | 273% |
The expense ratio, net investment 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 4%, 34%, 22%, 0%, 64%, and 119% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
59
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 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).
60
Intermediate-Term Treasury Fund
During the six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 3% 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, 2016, the fund’s average value of investments in 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.
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 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 Net Assets.
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, 2013–2016), and for the period ended July 31, 2016, 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.
61
Intermediate-Term Treasury Fund
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $554,000, representing 0.01% of the fund’s net assets and 0.22% 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).
62
Intermediate-Term Treasury Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 6,896,316 | — |
Temporary Cash Investments | 51,407 | — | — |
Liability for Options Written | (143) | — | — |
Futures Contracts—Assets1 | 325 | — | — |
Futures Contracts—Liabilities1 | (464) | — | — |
Total | 51,125 | 6,896,316 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, 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) |
10-Year U.S. Treasury Note | September 2016 | (737) | (98,055) | (128) |
5-Year U.S. Treasury Note | September 2016 | 598 | 72,965 | 111 |
Ultra 10-Year U.S. Treasury Note | September 2016 | (180) | (26,317) | (222) |
Ultra Long U.S. Treasury Bond | September 2016 | (49) | (9,336) | (53) |
(292) |
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, 2016, the cost of investment securities for tax purposes was $6,754,595,000. Net unrealized appreciation of investment securities for tax purposes was $193,128,000, consisting of unrealized gains of $193,575,000 on securities that had risen in value since their purchase and $447,000 in unrealized losses on securities that had fallen in value since their purchase.
63
Intermediate-Term Treasury Fund
F. During the six months ended July 31, 2016, the fund purchased $5,517,273,000 of investment securities and sold $4,950,709,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the six months ended July 31, 2016.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2016 | 441 | 178 | ||
Options Written | 5,316 | 2,189 | ||
Options Expired | (580) | (224) | ||
Options Closed | (4,601) | (1,859) | ||
Options Exercised | — | — | ||
Balance at July 31, 2016 | 576 | 284 | ||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 228,262 | 19,688 | 363,612 | 31,784 |
Issued in Lieu of Cash Distributions | 10,931 | 942 | 29,945 | 2,628 |
Redeemed | (241,210) | (20,812) | (440,050) | (38,566) |
Net Increase (Decrease)—Investor Shares | (2,017) | (182) | (46,493) | (4,154) |
Admiral Shares | ||||
Issued | 1,145,019 | 98,660 | 1,399,945 | 122,568 |
Issued in Lieu of Cash Distributions | 40,167 | 3,460 | 96,859 | 8,502 |
Redeemed | (538,804) | (46,447) | (887,309) | (77,630) |
Net Increase (Decrease) —Admiral Shares | 646,382 | 55,673 | 609,495 | 53,440 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
64
GNMA Fund
Fund Profile
As of July 31, 2016
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFIIX | VFIJX | |
Expense Ratio1 | 0.21% | 0.11% | |
30-Day SEC Yield | 1.86% | 1.96% | |
Financial Attributes | |||
Barclays | |||
Barclays | Aggregate | ||
GNMA | Bond | ||
Fund | Index | Index | |
Number of Bonds | 36 | 94 | 9,804 |
Yield to Maturity | |||
(before expenses) | 2.0% | 1.9% | 1.9% |
Average Coupon | 3.4% | 3.7% | 3.1% |
Average Duration | 2.7 years | 2.0 years | 5.5 years |
Average Effective | |||
Maturity | 4.9 years | 4.4 years | 7.7 years |
Short-Term | |||
Reserves | 12.6% | — | — |
Number of Bonds: Issues are mortgage pools grouped by coupon. |
Sector Diversification (% of portfolio) | |
Collateralized Mortgage Obligations | 1.7% |
Government Mortgage-Backed | 97.4 |
Other Government | 0.9 |
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 | 0.97 | 0.69 |
Beta | 1.08 | 0.71 |
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 | 93.7% | |
Aaa | 6.3 |
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 | 2.3% |
1% to 4% | 55.5 |
4% to 6% | 38.8 |
6% and above | 3.4 |
Investment Focus
1 The expense ratios shown are from the prospectus dated May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.21% for Investor Shares and 0.11% for Admiral Shares.
65
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
GNMA | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 2.35 | -0.52 | 1.83 | 2.10 |
2017 | 1.18 | 0.86 | 2.04 | 1.71 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 4.17% | 3.04% | 3.53% | 1.48% | 5.01% |
Admiral Shares | 2/12/2001 | 4.28 | 3.14 | 3.64 | 1.48 | 5.12 |
See Financial Highlights for dividend and capital gains information.
66
GNMA Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2016
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 (97.6%) | |||||
Conventional Mortgage-Backed Securities (95.0%) | |||||
1,2 | Fannie Mae Pool | 2.090% | 11/1/22 | 1,621 | 1,654 |
1,2 | Fannie Mae Pool | 2.190% | 12/1/22 | 1,396 | 1,429 |
1,2 | Fannie Mae Pool | 2.370% | 4/1/23–5/1/23 | 121,020 | 125,026 |
1,2 | Fannie Mae Pool | 2.410% | 12/1/22 | 3,844 | 3,978 |
1,2 | Fannie Mae Pool | 2.440% | 11/1/22–1/1/23 | 5,750 | 5,968 |
1,2 | Fannie Mae Pool | 2.450% | 8/1/22–2/1/23 | 4,091 | 4,253 |
1,2 | Fannie Mae Pool | 2.540% | 7/1/26 | 69,978 | 72,274 |
1,2 | Fannie Mae Pool | 2.550% | 5/1/23 | 7,546 | 7,881 |
1,2 | Fannie Mae Pool | 2.640% | 3/1/23 | 639 | 670 |
1,2 | Fannie Mae Pool | 2.650% | 8/1/22 | 1,150 | 1,203 |
1,2 | Fannie Mae Pool | 2.660% | 9/1/22 | 2,189 | 2,307 |
1,2 | Fannie Mae Pool | 2.690% | 4/1/25 | 12,660 | 13,310 |
1,2 | Fannie Mae Pool | 2.700% | 4/1/23 | 1,113 | 1,172 |
1,2 | Fannie Mae Pool | 2.730% | 2/1/23–11/1/24 | 3,901 | 4,112 |
1,2 | Fannie Mae Pool | 2.740% | 4/1/23 | 1,526 | 1,610 |
1,2 | Fannie Mae Pool | 2.810% | 7/1/25 | 6,300 | 6,698 |
1,2 | Fannie Mae Pool | 2.860% | 4/1/23 | 1,006 | 1,069 |
1,2 | Fannie Mae Pool | 2.900% | 3/1/23–6/1/27 | 9,635 | 10,344 |
1,2 | Fannie Mae Pool | 2.910% | 8/1/23 | 1,599 | 1,709 |
1,2 | Fannie Mae Pool | 2.950% | 5/1/25–5/1/28 | 17,994 | 19,401 |
1,2 | Fannie Mae Pool | 2.960% | 1/1/27 | 20,975 | 22,666 |
1,2 | Fannie Mae Pool | 2.970% | 7/1/23 | 7,813 | 8,375 |
1,2 | Fannie Mae Pool | 2.990% | 11/1/25 | 7,300 | 7,869 |
1,2 | Fannie Mae Pool | 3.000% | 4/1/25–8/1/46 | 434,505 | 453,158 |
1,2 | Fannie Mae Pool | 3.040% | 7/1/23–2/1/27 | 15,972 | 17,333 |
1,2 | Fannie Mae Pool | 3.080% | 1/1/27 | 34,097 | 37,249 |
1,2 | Fannie Mae Pool | 3.100% | 11/1/24–5/1/33 | 39,035 | 42,161 |
1,2 | Fannie Mae Pool | 3.120% | 7/1/30 | 6,670 | 7,242 |
1,2 | Fannie Mae Pool | 3.130% | 7/1/27 | 5,253 | 5,742 |
1,2 | Fannie Mae Pool | 3.180% | 12/1/24 | 9,000 | 9,777 |
1,2 | Fannie Mae Pool | 3.200% | 7/1/27 | 4,592 | 5,026 |
1,2 | Fannie Mae Pool | 3.210% | 5/1/23 | 24,480 | 26,586 |
1,2 | Fannie Mae Pool | 3.220% | 12/1/26 | 5,720 | 6,311 |
1,2 | Fannie Mae Pool | 3.230% | 2/1/27–6/1/30 | 26,018 | 28,318 |
1,2 | Fannie Mae Pool | 3.240% | 1/1/27–9/1/30 | 24,800 | 27,216 |
1,2 | Fannie Mae Pool | 3.250% | 11/1/23 | 9,564 | 10,422 |
1,2 | Fannie Mae Pool | 3.270% | 12/1/23–7/1/30 | 51,740 | 56,504 |
67
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
1,2 | Fannie Mae Pool | 3.300% | 12/1/23 | 5,935 | 6,482 |
1,2 | Fannie Mae Pool | 3.310% | 12/1/26 | 10,649 | 11,816 |
1,2 | Fannie Mae Pool | 3.320% | 7/1/23–7/1/30 | 15,255 | 16,776 |
1,2 | Fannie Mae Pool | 3.340% | 4/1/24 | 11,985 | 13,134 |
1,2 | Fannie Mae Pool | 3.350% | 7/1/27–11/1/30 | 19,477 | 21,492 |
1,2 | Fannie Mae Pool | 3.355% | 1/1/27 | 14,923 | 16,520 |
1,2 | Fannie Mae Pool | 3.360% | 11/1/23–12/1/23 | 18,846 | 20,660 |
1,2 | Fannie Mae Pool | 3.370% | 3/1/24–7/1/25 | 7,795 | 8,551 |
1,2 | Fannie Mae Pool | 3.380% | 1/1/27–7/1/27 | 7,750 | 8,634 |
1,2 | Fannie Mae Pool | 3.410% | 11/1/23–7/1/27 | 11,925 | 13,192 |
1,2 | Fannie Mae Pool | 3.415% | 11/1/23 | 6,473 | 7,121 |
1,2 | Fannie Mae Pool | 3.430% | 6/1/30 | 1,325 | 1,477 |
1,2 | Fannie Mae Pool | 3.440% | 1/1/24 | 5,882 | 6,467 |
1,2 | Fannie Mae Pool | 3.450% | 1/1/24–1/1/24 | 22,839 | 25,131 |
1,2 | Fannie Mae Pool | 3.460% | 9/1/23–9/1/29 | 104,564 | 115,440 |
1,2 | Fannie Mae Pool | 3.470% | 11/1/23–1/1/24 | 6,278 | 6,916 |
1,2 | Fannie Mae Pool | 3.480% | 1/1/24 | 4,427 | 4,878 |
1,2 | Fannie Mae Pool | 3.490% | 7/1/30 | 10,018 | 11,213 |
1,2 | Fannie Mae Pool | 3.500% | 2/1/27–8/1/46 | 51,444 | 55,700 |
1,2 | Fannie Mae Pool | 3.510% | 12/1/23–1/1/24 | 27,674 | 30,528 |
1,2 | Fannie Mae Pool | 3.520% | 1/1/24 | 4,829 | 5,327 |
1,2 | Fannie Mae Pool | 3.530% | 2/1/24 | 7,560 | 8,346 |
1,2 | Fannie Mae Pool | 3.540% | 8/1/23–6/1/30 | 33,498 | 37,007 |
1,2 | Fannie Mae Pool | 3.550% | 10/1/23–5/1/26 | 40,671 | 45,105 |
1,2 | Fannie Mae Pool | 3.560% | 12/1/23–1/1/24 | 6,793 | 7,499 |
1,2 | Fannie Mae Pool | 3.570% | 12/1/23–3/1/24 | 39,695 | 43,831 |
1,2 | Fannie Mae Pool | 3.580% | 2/1/24–1/1/31 | 54,927 | 61,202 |
1,2 | Fannie Mae Pool | 3.590% | 7/1/23–9/1/30 | 53,004 | 59,095 |
1,2 | Fannie Mae Pool | 3.600% | 12/1/23–4/1/28 | 8,437 | 9,317 |
1,2 | Fannie Mae Pool | 3.610% | 8/1/23–10/1/29 | 35,856 | 39,325 |
1,2 | Fannie Mae Pool | 3.620% | 2/1/24 | 8,095 | 8,945 |
1,2 | Fannie Mae Pool | 3.640% | 10/1/23–1/1/24 | 16,433 | 18,174 |
1,2 | Fannie Mae Pool | 3.650% | 8/1/23–11/1/23 | 23,151 | 25,607 |
1,2 | Fannie Mae Pool | 3.660% | 11/1/23 | 2,602 | 2,878 |
1,2 | Fannie Mae Pool | 3.665% | 1/1/24–1/1/24 | 37,183 | 41,075 |
1,2 | Fannie Mae Pool | 3.670% | 8/1/23–3/1/28 | 22,834 | 25,239 |
1,2 | Fannie Mae Pool | 3.680% | 10/1/23–3/1/24 | 20,234 | 22,379 |
1,2 | Fannie Mae Pool | 3.690% | 1/1/24 | 5,652 | 6,258 |
1,2 | Fannie Mae Pool | 3.700% | 10/1/23–12/1/25 | 22,174 | 24,501 |
1,2 | Fannie Mae Pool | 3.710% | 9/1/23 | 7,457 | 8,253 |
1,2 | Fannie Mae Pool | 3.725% | 10/1/23 | 3,419 | 3,786 |
1,2 | Fannie Mae Pool | 3.750% | 9/1/23–7/1/25 | 13,167 | 14,603 |
1,2 | Fannie Mae Pool | 3.755% | 8/1/25 | 7,052 | 7,861 |
1,2 | Fannie Mae Pool | 3.760% | 3/1/24–1/1/26 | 8,152 | 9,076 |
1,2 | Fannie Mae Pool | 3.765% | 12/1/25 | 42,997 | 48,245 |
1,2 | Fannie Mae Pool | 3.790% | 8/1/25 | 2,526 | 2,816 |
1,2 | Fannie Mae Pool | 3.800% | 10/1/23 | 7,353 | 8,145 |
1,2 | Fannie Mae Pool | 3.820% | 11/1/25–11/1/25 | 10,974 | 12,285 |
1,2 | Fannie Mae Pool | 3.830% | 2/1/24–6/1/34 | 19,592 | 21,710 |
1,2 | Fannie Mae Pool | 3.840% | 1/1/24 | 2,947 | 3,261 |
1,2 | Fannie Mae Pool | 3.855% | 12/1/25 | 6,600 | 7,415 |
1,2 | Fannie Mae Pool | 3.860% | 11/1/23 | 3,435 | 3,801 |
1,2 | Fannie Mae Pool | 3.870% | 10/1/25 | 11,270 | 12,602 |
1,2 | Fannie Mae Pool | 3.890% | 5/1/30 | 14,440 | 16,231 |
1,2 | Fannie Mae Pool | 3.910% | 11/1/25 | 13,000 | 14,600 |
68
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
1,2 | Fannie Mae Pool | 3.930% | 10/1/23–3/1/26 | 22,663 | 25,240 |
1,2 | Fannie Mae Pool | 3.940% | 8/1/25 | 12,193 | 13,625 |
1,2 | Fannie Mae Pool | 3.960% | 12/1/25–5/1/34 | 7,571 | 8,440 |
1,2 | Fannie Mae Pool | 3.970% | 7/1/23–5/1/29 | 7,538 | 8,461 |
1,2 | Fannie Mae Pool | 3.990% | 9/1/25 | 9,482 | 10,528 |
1,2 | Fannie Mae Pool | 4.000% | 5/1/46–8/1/46 | 10,439 | 11,244 |
1,2 | Fannie Mae Pool | 4.060% | 9/1/25–3/1/29 | 15,695 | 17,802 |
1,2 | Fannie Mae Pool | 4.070% | 1/1/26 | 2,292 | 2,587 |
1,2 | Fannie Mae Pool | 4.080% | 2/1/29 | 2,995 | 3,400 |
1,2 | Fannie Mae Pool | 4.150% | 10/1/28–1/1/31 | 75,440 | 85,938 |
1,2 | Fannie Mae Pool | 4.180% | 11/1/30 | 30,086 | 33,205 |
1,2 | Fannie Mae Pool | 4.190% | 10/1/23 | 730 | 818 |
1,2 | Fannie Mae Pool | 4.210% | 1/1/26 | 992 | 1,129 |
1,2 | Fannie Mae Pool | 4.250% | 10/1/28–9/1/33 | 4,678 | 5,330 |
1,2 | Fannie Mae Pool | 4.280% | 11/1/28 | 5,408 | 6,233 |
1,2 | Fannie Mae Pool | 4.380% | 10/1/28 | 9,907 | 11,500 |
1,2 | Fannie Mae Pool | 4.400% | 8/1/28 | 2,237 | 2,600 |
1,2 | Fannie Mae Pool | 4.500% | 7/1/39–8/1/46 | 2,012 | 3,444 |
1,2 | Fannie Mae Pool | 5.180% | 2/1/26 | 2,976 | 3,589 |
1,2 | Fannie Mae Pool | 6.000% | 7/1/22 | 8 | 9 |
1,2 | Fannie Mae Pool | 6.500% | 2/1/29–5/1/40 | 4,330 | 5,000 |
1,2 | Freddie Mac Gold Pool | 3.500% | 4/1/34–8/1/46 | 81,410 | 87,794 |
1,2,3 Freddie Mac Gold Pool | 4.000% | 9/1/45–8/1/46 | 450,000 | 481,464 | |
1,2 | Freddie Mac Gold Pool | 4.500% | 4/1/23–9/1/46 | 538,473 | 589,190 |
1,2 | Freddie Mac Gold Pool | 5.000% | 6/1/29–8/1/46 | 49,781 | 55,000 |
1 | Ginnie Mae I Pool | 2.500% | 11/15/42–9/15/43 | 129,411 | 132,522 |
1 | Ginnie Mae I Pool | 3.000% | 1/15/26–5/1/46 | 1,562,787 | 1,644,691 |
1 | Ginnie Mae I Pool | 3.500% | 7/15/39–8/1/46 | 1,081,227 | 1,157,457 |
1 | Ginnie Mae I Pool | 3.750% | 7/15/42 | 4,704 | 5,040 |
1 | Ginnie Mae I Pool | 3.875% | 5/15/42–6/15/42 | 8,438 | 9,234 |
1 | Ginnie Mae I Pool | 4.000% | 6/15/19–9/15/45 | 1,651,192 | 1,787,172 |
1 | Ginnie Mae I Pool | 4.500% | 5/15/19–1/15/45 | 1,066,156 | 1,179,822 |
1 | Ginnie Mae I Pool | 5.000% | 1/15/30–8/1/46 | 1,031,102 | 1,151,485 |
1 | Ginnie Mae I Pool | 5.500% | 9/15/23–8/1/45 | 582,605 | 653,326 |
1 | Ginnie Mae I Pool | 6.000% | 10/15/16–8/1/46 | 330,325 | 371,083 |
1 | Ginnie Mae I Pool | 6.500% | 4/15/23–7/15/40 | 246,355 | 273,389 |
1 | Ginnie Mae I Pool | 7.000% 11/15/31–11/15/36 | 71,522 | 83,024 | |
1 | Ginnie Mae I Pool | 7.250% | 1/15/27–2/15/27 | 62 | 63 |
1 | Ginnie Mae I Pool | 7.500% | 10/15/31 | 27,478 | 31,915 |
1 | Ginnie Mae I Pool | 7.750% | 2/15/27 | 26 | 26 |
1 | Ginnie Mae I Pool | 8.000% | 8/15/31 | 10,468 | 12,222 |
1 | Ginnie Mae I Pool | 8.500% | 8/15/16–6/15/28 | 1,559 | 1,647 |
1 | Ginnie Mae I Pool | 9.000% | 8/15/16–5/15/21 | 97 | 112 |
1 | Ginnie Mae I Pool | 9.250% | 7/15/17 | 1 | 1 |
1 | Ginnie Mae I Pool | 9.500% | 8/15/16–8/15/21 | 453 | 473 |
1 | Ginnie Mae I Pool | 10.000% | 11/15/17–7/15/19 | 8 | 8 |
1 | Ginnie Mae I Pool | 11.000% | 2/15/18 | 1 | 1 |
1,3 | Ginnie Mae II Pool | 2.500% | 11/20/42–5/20/46 | 286,677 | 294,582 |
1,3 | Ginnie Mae II Pool | 3.000% | 9/20/42–8/1/46 | 2,294,185 | 2,410,764 |
1,3 | Ginnie Mae II Pool | 3.500% | 11/20/26–8/20/46 | 6,022,065 | 6,404,331 |
1 | Ginnie Mae II Pool | 4.000% | 4/20/39–8/1/46 | 2,428,790 | 2,598,161 |
1 | Ginnie Mae II Pool | 4.500% 12/20/32–10/20/45 | 1,012,140 | 1,092,949 | |
1 | Ginnie Mae II Pool | 5.000% | 10/20/32–8/1/45 | 490,422 | 537,263 |
1 | Ginnie Mae II Pool | 5.500% | 1/20/34–7/20/40 | 52,086 | 57,489 |
1 | Ginnie Mae II Pool | 6.000% | 4/20/28–8/20/40 | 68,285 | 76,559 |
69
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
1 | Ginnie Mae II Pool | 6.500% | 4/20/37–3/20/41 | 1,807 | 2,041 |
1 | Ginnie Mae II Pool | 7.000% | 10/20/25 | 16 | 17 |
1 | Ginnie Mae II Pool | 7.500% | 6/20/25–8/20/25 | 149 | 171 |
1 | Ginnie Mae II Pool | 8.500% | 1/20/17–1/20/17 | 2 | 3 |
1 | Ginnie Mae II Pool | 10.000% | 8/20/16–8/20/18 | 4 | 4 |
25,588,568 | |||||
Nonconventional Mortgage-Backed Securities (2.6%) | |||||
1,2 | Fannie Mae Pool | 2.361% | 8/1/43 | 18,452 | 19,071 |
1,2 | Fannie Mae Pool | 2.779% | 9/1/44 | 21,140 | 22,133 |
1,2 | Fannie Mae REMICS | 3.000% | 11/25/42–6/25/43 | 75,821 | 74,278 |
1,2 | Fannie Mae REMICS | 3.500% | 7/25/43 | 19,879 | 21,118 |
1,2 | Fannie Mae REMICS | 6.000% | 10/25/28–9/25/32 | 6,977 | 7,917 |
1,2 | Freddie Mac Non Gold Pool | 2.280% | 8/1/43 | 33,726 | 34,708 |
1,2 | Freddie Mac Non Gold Pool | 2.339% | 9/1/43 | 11,984 | 12,345 |
1,2 | Freddie Mac Non Gold Pool | 2.739% | 10/1/44 | 42,081 | 43,680 |
1,2 | Freddie Mac Non Gold Pool | 2.819% | 10/1/44 | 18,923 | 19,665 |
1,2 | Freddie Mac Non Gold Pool | 2.829% | 7/1/44 | 14,837 | 15,420 |
1,2 | Freddie Mac Non Gold Pool | 2.916% | 9/1/44 | 13,034 | 13,486 |
1,2 | Freddie Mac Non Gold Pool | 2.922% | 4/1/44 | 20,835 | 21,578 |
1,2 | Freddie Mac Non Gold Pool | 3.108% | 10/1/44 | 27,682 | 29,038 |
1,2 | Freddie Mac REMICS | 3.000% | 8/15/42–3/15/43 | 99,126 | 100,678 |
1,2 | Freddie Mac REMICS | 6.000% | 4/15/28–11/15/32 | 19,909 | 22,752 |
1,4 | Ginnie Mae REMICS | 0.687% | 2/20/37 | 4,966 | 4,958 |
1 | Ginnie Mae REMICS | 2.500% | 8/16/42–11/20/43 | 44,195 | 42,480 |
1 | Ginnie Mae REMICS | 3.000% | 3/20/40–8/20/44 | 62,234 | 64,974 |
1 | Ginnie Mae REMICS | 3.250% | 8/20/44 | 7,595 | 7,748 |
1 | Ginnie Mae REMICS | 3.500% | 7/20/43 | 23,327 | 25,296 |
1 | Ginnie Mae REMICs | 3.500% | 9/20/44 | 8,189 | 9,064 |
1 | Ginnie Mae REMICS | 4.500% | 6/20/39 | 5,243 | 5,752 |
1 | Ginnie Mae REMICS | 5.000% | 6/16/37 | 21,150 | 24,433 |
1 | Ginnie Mae REMICS | 5.500% | 1/20/33–8/16/36 | 25,019 | 28,231 |
1,4 | Government National Mortgage Assn. | 2.700% | 5/16/35 | 14,455 | 14,891 |
685,694 | |||||
Total U.S. Government and Agency Obligations (Cost $25,581,496) | 26,274,262 | ||||
Temporary Cash Investments (14.1%) | |||||
Repurchase Agreements (2.6%) | |||||
Bank of America Securities, LLC | |||||
(Dated 7/29/16, Repurchase Value $15,200,000, | |||||
collateralized by Government National | |||||
Mortgage Assn., 4.000%, 10/20/45, | |||||
with a value of $15,504,000) | 0.350% | 8/1/16 | 15,200 | 15,200 | |
Bank of Montreal | |||||
(Dated 7/29/16, Repurchase Value $63,702,000, | |||||
collateralized by Federal Home Loan | |||||
Mortgage Corp. 3.750%, 3/27/19, | |||||
with a value of $64,974,000) | 0.320% | 8/1/16 | 63,700 | 63,700 | |
Bank of Nova Scotia | |||||
(Dated 7/29/16, Repurchase Value $15,000,000, | |||||
collateralized by U.S. Treasury Note/Bond | |||||
0.750%–2.250%, 4/30/18–4/30/21, | |||||
with a value of $15,300,000) | 0.320% | 8/1/16 | 15,000 | 15,000 |
70
GNMA Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Barclays Capital Inc. | ||||
(Dated 7/29/16, Repurchase Value $28,001,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.750%–3.250%, 12/31/16–10/31/22, | ||||
with a value of $28,560,000) | 0.320% | 8/1/16 | 28,000 | 28,000 |
Citigroup Global Markets Inc. | ||||
(Dated 7/29/16, Repurchase Value $5,500,000, | ||||
collateralized by U.S. Treasury Bill 0.000%, | ||||
10/6/16, with a value of $5,610,000) | 0.320% | 8/1/16 | 5,500 | 5,500 |
Credit Suisse Securities (USA), LLC | ||||
(Dated 7/29/16, Repurchase Value $113,803,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
4.250%–7.250%, 11/15/17–8/15/22, | ||||
with a value of $116,077,000) | 0.350% | 8/1/16 | 113,800 | 113,800 |
HSBC Bank USA | ||||
(Dated 7/29/16, Repurchase Value $75,002,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
3.000%–4.500%, 10/1/40–5/1/46, | ||||
with a value of $76,501,000) | 0.320% | 8/1/16 | 75,000 | 75,000 |
RBC Capital Markets LLC | ||||
(Dated 7/29/16, Repurchase Value $11,300,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
2.635%–3.500%, 9/1/28–4/1/46, | ||||
with a value of $11,526,000) | 0.320% | 8/1/16 | 11,300 | 11,300 |
Societe Generale | ||||
(Dated 7/29/16, Repurchase Value $7,800,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
1.625%–2.250%, 7/31/19–11/15/24, | ||||
with a value of $7,956,000) | 0.330% | 8/1/16 | 7,800 | 7,800 |
TD Securities (USA) LLC | ||||
(Dated 7/29/16, Repurchase Value $159,505,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
3.500%, 1/1/46, and U.S. Treasury Note/Bond | ||||
2.500%–3.125%, 8/15/44–2/15/45, | ||||
with a value of $162,690,000) | 0.350% | 8/1/16 | 159,500 | 159,500 |
Wells Fargo & Co. | ||||
(Dated 7/29/16, Repurchase Value $217,707,000, | ||||
collateralized by Federal National Mortgage Assn. | ||||
3.000%, 5/1/42–5/1/43, | ||||
with a value of $222,054,000) | 0.360% | 8/1/16 | 217,700 | 217,700 |
712,500 | ||||
Shares |
Money Market Fund (4.9%)
5 Vanguard Market Liquidity Fund | 0.561% | 1,320,315,054 | 1,320,315 |
71
GNMA Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (6.6%) | |||||
6 | Federal Home Loan Bank Discount Notes | 0.310%–0.315% | 8/29/16 | 137,000 | 136,970 |
6 | Federal Home Loan Bank Discount Notes | 0.315%–0.320% | 8/31/16 | 408,946 | 408,852 |
7 | United States Treasury Bill | 0.240%–0.269% | 8/4/16 | 1,225,000 | 1,224,987 |
1,770,809 | |||||
Total Temporary Cash Investments (Cost $3,803,594) | 3,803,624 | ||||
Total Investments (111.7%) (Cost $29,385,090) | 30,077,886 | ||||
Other Assets and Liabilities (-11.7%) | |||||
Other Assets 8 | 7,148,929 | ||||
Liabilities | (10,297,326) | ||||
(3,148,397) | |||||
Net Assets (100%) | 26,929,489 | ||||
Amount | |||||
($000) | |||||
Statement of Assets and Liabilities | |||||
Assets | |||||
Investments in Securities, at Value | |||||
Unaffiliated Issuers | 28,757,571 | ||||
Affiliated Vanguard Funds | 1,320,315 | ||||
Total Investments in Securities | 30,077,886 | ||||
Investment in Vanguard | 2,156 | ||||
Receivables for Investment Securities Sold | 7,036,279 | ||||
Receivables for Accrued Income | 70,847 | ||||
Receivables for Capital Shares Issued | 9,891 | ||||
Other Assets 8 | 29,756 | ||||
Total Assets | 37,226,815 | ||||
Liabilities | |||||
Payables to Investment Advisor | 638 | ||||
Payables for Investment Securities Purchased | 10,204,412 | ||||
Payables for Capital Shares Redeemed | 15,451 | ||||
Payables for Distributions | 7,509 | ||||
Payables to Vanguard | 39,706 | ||||
Other Liabilities | 29,610 | ||||
Total Liabilities | 10,297,326 | ||||
Net Assets | 26,929,489 |
72
GNMA Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 26,151,624 |
Overdistributed Net Investment Income | (5,803) |
Accumulated Net Realized Gains | 113,641 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 692,796 |
Futures Contracts | (22,769) |
Net Assets | 26,929,489 |
Investor Shares—Net Assets | |
Applicable to 791,955,939 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,597,671 |
Net Asset Value Per Share—Investor Shares | $10.86 |
Admiral Shares—Net Assets | |
Applicable to 1,688,594,946 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 18,331,818 |
Net Asset Value Per Share—Admiral Shares | $10.86 |
• See Note A in Notes to Financial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2016. 4 Adjustable-rate security.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
6 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.
7 Securities with a value of $22,500,000 have been segregated as initial margin for open futures contracts.
8 Cash of $1,429,000 has been segregated as collateral for certain open To Be Announced (TBA) transactions. REMICS—Real Estate Mortgage Investment Conduits.
See accompanying Notes, which are an integral part of the Financial Statements.
73
GNMA Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 330,205 |
Total Income | 330,205 |
Expenses | |
Investment Advisory Fees—Note B | 1,264 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 7,253 |
Management and Administrative—Admiral Shares | 7,426 |
Marketing and Distribution—Investor Shares | 755 |
Marketing and Distribution—Admiral Shares | 664 |
Custodian Fees | 521 |
Shareholders’ Reports—Investor Shares | 183 |
Shareholders’ Reports—Admiral Shares | 101 |
Trustees’ Fees and Expenses | 19 |
Total Expenses | 18,186 |
Net Investment Income | 312,019 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 150,845 |
Futures Contracts | (36,113) |
Realized Net Gain (Loss) | 114,732 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 127,471 |
Futures Contracts | (15,764) |
Change in Unrealized Appreciation (Depreciation) | 111,707 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 538,458 |
1 Interest income from an affiliated company of the fund was $3,388,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
74
GNMA Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 312,019 | 626,184 |
Realized Net Gain (Loss) | 114,732 | 40,285 |
Change in Unrealized Appreciation (Depreciation) | 111,707 | (178,662) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 538,458 | 487,807 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (99,058) | (204,826) |
Admiral Shares | (214,634) | (421,902) |
Realized Capital Gain1 | ||
Investor Shares | (2,381) | (45,393) |
Admiral Shares | (4,877) | (87,317) |
Total Distributions | (320,950) | (759,438) |
Capital Share Transactions | ||
Investor Shares | 43,918 | (583,543) |
Admiral Shares | 765,914 | 50,674 |
Net Increase (Decrease) from Capital Share Transactions | 809,832 | (532,869) |
Total Increase (Decrease) | 1,027,340 | (804,500) |
Net Assets | ||
Beginning of Period | 25,902,149 | 26,706,649 |
End of Period2 | 26,929,489 | 25,902,149 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $7,258,000 and $68,321,000, 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 ($5,803,000) and ($3,308,000).
See accompanying Notes, which are an integral part of the Financial Statements.
75
GNMA Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.77 | $10.88 | $10.61 | $10.83 | $11.09 | $10.73 |
Investment Operations | ||||||
Net Investment Income | .124 | .249 | .275 | .244 | .288 | .353 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 094 | (. 055) | . 278 | (. 210) | (.139) | . 488 |
Total from Investment Operations | .218 | .194 | .553 | .034 | .149 | .841 |
Distributions | ||||||
Dividends from Net Investment Income | (.125) | (. 250) | (. 274) | (. 244) | (. 288) | (. 353) |
Distributions from Realized Capital Gains | (. 003) | (. 054) | (. 009) | (. 010) | (.121) | (.128) |
Total Distributions | (.128) | (. 304) | (. 283) | (. 254) | (. 409) | (. 481) |
Net Asset Value, End of Period | $10.86 | $10.77 | $10.88 | $10.61 | $10.83 | $11.09 |
Total Return1 | 2.04% | 1.83% | 5.29% | 0.34% | 1.35% | 7.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,598 | $8,483 | $9,163 | $9,535 | $13,745 | $15,151 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.21% | 0.21% | 0.21% | 0.21% | 0.21% | 0.21% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.31% | 2.33% | 2.56% | 2.31% | 2.59% | 3.25% |
Portfolio Turnover Rate2 | 898% | 706% | 685% | 167% | 130% | 189% |
The expense ratio, net investment 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 276%, 219%, 268%, 149%, 82%, and 147% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
76
GNMA Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.77 | $10.88 | $10.61 | $10.83 | $11.09 | $10.73 |
Investment Operations | ||||||
Net Investment Income | .129 | .260 | .286 | .255 | .299 | .364 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 094 | (. 055) | . 278 | (. 210) | (.139) | . 488 |
Total from Investment Operations | .223 | .205 | .564 | .045 | .160 | .852 |
Distributions | ||||||
Dividends from Net Investment Income | (.130) | (. 261) | (. 285) | (. 255) | (. 299) | (. 364) |
Distributions from Realized Capital Gains (. 003) | (. 054) | (. 009) | (. 010) | (.121) | (.128) | |
Total Distributions | (.133) | (. 315) | (. 294) | (. 265) | (. 420) | (. 492) |
Net Asset Value, End of Period | $10.86 | $10.77 | $10.88 | $10.61 | $10.83 | $11.09 |
Total Return1 | 2.09% | 1.93% | 5.39% | 0.44% | 1.45% | 8.07% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $18,332 | $17,419 | $17,544 | $17,277 | $25,127 | $23,806 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.41% | 2.43% | 2.66% | 2.41% | 2.69% | 3.35% |
Portfolio Turnover Rate2 | 898% | 706% | 685% | 167% | 130% | 189% |
The expense ratio, net investment 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 276%, 219%, 268%, 149%, 82%, and 147% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
77
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 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, 2016, the fund’s average investments in long and short futures contracts represented 0% and 4% 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
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GNMA Fund
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, 2016, counterparties had deposited in segregated accounts securities and cash with a value of $669,000 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 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.
6. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (January 31, 2013–2016), and for the period ended July 31, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
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GNMA 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 (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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, 2016, the investment advisory fee represented an effective annual rate of 0.01% of the fund’s average net assets.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $2,156,000, representing 0.01% of the fund’s net assets and 0.86% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
80
GNMA 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, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 26,201,988 | 72,274 |
Temporary Cash Investments | 1,320,315 | 2,483,309 | — |
Futures Contracts—Liabilities1 | (5,804) | — | — |
Total | 1,314,511 | 28,685,297 | 72,274 |
1 Represents variation margin on the last day of the reporting period. |
E. At July 31, 2016, 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) |
Ultra 10-Year U.S. Treasury Note | September 2016 | (2,952) | (431,592) | (17,135) |
10-Year U.S. Treasury Note | September 2016 | (7,343) | (976,963) | (5,102) |
5-Year U.S. Treasury Note | September 2016 | (253) | (30,870) | (532) |
(22,769) |
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.
At July 31, 2016, the cost of investment securities for tax purposes was $29,393,812,000. Net unrealized appreciation of investment securities for tax purposes was $684,074,000, consisting of unrealized gains of $718,189,000 on securities that had risen in value since their purchase and $34,115,000 in unrealized losses on securities that had fallen in value since their purchase.
81
GNMA Fund
G. During the six months ended July 31, 2016, the fund purchased $117,142,029,000 of investment securities and sold $116,506,653,000 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, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 747,039 | 69,210 | 1,129,494 | 105,200 |
Issued in Lieu of Cash Distributions | 92,967 | 8,604 | 230,862 | 21,477 |
Redeemed | (796,088) | (73,718) | (1,943,899) | (181,283) |
Net Increase (Decrease)—Investor Shares | 43,918 | 4,096 | (583,543) | (54,606) |
Admiral Shares | ||||
Issued | 1,795,392 | 166,272 | 2,432,969 | 226,679 |
Issued in Lieu of Cash Distributions | 171,466 | 15,867 | 399,396 | 37,158 |
Redeemed | (1,200,944) | (111,221) | (2,781,691) | (259,262) |
Net Increase (Decrease)—Admiral Shares | 765,914 | 70,918 | 50,674 | 4,575 |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
82
Long-Term Treasury Fund
Fund Profile
As of July 31, 2016
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VUSTX | VUSUX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 1.88% | 1.98% | |
Financial Attributes | |||
Barclays | Barclays | ||
Long | Aggregate | ||
Treasury | Bond | ||
Fund | Index | Index | |
Number of Bonds | 56 | 46 | 9,804 |
Yield to Maturity | |||
(before expenses) | 2.1% | 2.0% | 1.9% |
Average Coupon | 3.3% | 3.5% | 3.1% |
Average Duration | 17.3 years | 18.3 years | 5.5 years |
Average Effective | |||
Maturity | 25.0 years | 25.2 years | 7.7 years |
Short-Term | |||
Reserves | 0.1% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 100.0% |
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 | |
Long | Aggregate | |
Treasury | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.83 |
Beta | 1.06 | 3.61 |
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 | 0.1% | |
3 - 5 Years | 0.9 | |
7 - 10 Years | 1.4 | |
10 - 20 Years | 8.6 | |
20 - 30 Years | 89.0 | |
Distribution by Credit Quality (% of portfolio) | ||
U.S. Government | 99.9% | |
Not Rated | 0.1 |
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 May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
83
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
Long | ||||
Treasury | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 2.59 | -7.50 | -4.91 | -4.43 |
2017 | 1.41 | 10.53 | 11.94 | 12.07 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 19.80% | 10.17% | 3.83% | 4.71% | 8.54% |
Admiral Shares | 2/12/2001 | 19.91 | 10.28 | 3.96 | 4.71 | 8.67 |
See Financial Highlights for dividend and capital gains information.
84
Long-Term Treasury Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2016
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 (99.1%) | |||||
U.S. Government Securities (97.4%) | |||||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 36,251 | 37,480 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 57,184 | 60,987 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 1,481 | 1,507 | |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 7,500 | 11,222 | |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 34,100 | 50,393 | |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 23,800 | 34,108 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 30,050 | 42,417 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 2,000 | 2,836 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 56,500 | 86,710 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 3,200 | 5,050 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 21,750 | 32,441 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 23,100 | 33,610 | |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 19,200 | 28,884 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 37,700 | 58,588 | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 21,500 | 31,054 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 23,500 | 34,538 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 30,300 | 38,831 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 33,866 | 48,026 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 39,600 | 58,063 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 49,500 | 71,419 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 82,022 | 122,405 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 70,549 | 101,954 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 66,800 | 90,169 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 61,850 | 88,040 | |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 77,800 | 118,633 | |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 78,500 | 113,997 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 87,200 | 115,840 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 40,220 | 48,440 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 71,700 | 86,443 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 67,600 | 79,736 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 68,050 | 76,620 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 100,550 | 113,040 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 102,200 | 123,088 | |
1 | United States Treasury Note/Bond | 2.875% | 5/15/43 | 139,087 | 159,885 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 113,500 | 149,394 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 138,300 | 186,144 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 142,700 | 187,718 |
85
Long-Term Treasury Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 3.375% | 5/15/44 | 159,850 | 201,261 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 151,900 | 182,754 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 146,400 | 172,089 | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 143,300 | 152,749 | |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 142,300 | 167,291 | |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 140,300 | 161,126 | |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 132,600 | 156,054 | |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 172,050 | 183,610 | |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 142,600 | 152,427 | |
4,259,071 | |||||
Agency Bonds and Notes (1.7%) | |||||
2 | Fannie Mae Interest Strip | 0.000% | 5/15/29 | 4,592 | 3,365 |
2 | Fannie Mae Principal Strip | 0.000% | 5/15/30 | 25,912 | 18,336 |
2 | Federal Home Loan Mortgage Corp. | 0.000% | 12/14/29 | 20,000 | 14,472 |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/28 | 1,771 | 1,352 |
2 | Freddie Mac Coupon Strips | 0.000% | 9/15/28 | 1,000 | 751 |
2 | Freddie Mac Coupon Strips | 0.000% | 1/15/30 | 15,658 | 11,261 |
2 | Freddie Mac Coupon Strips | 0.000% | 3/15/30 | 12,896 | 9,212 |
Resolution Funding Corp. Interest Strip | 0.000% | 4/15/28 | 21,802 | 16,711 | |
75,460 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
2,3 | Fannie Mae Pool | 6.000% | 2/1/26–11/1/28 | 19 | 22 |
22 | |||||
Total U.S. Government and Agency Obligations (Cost $3,662,203) | 4,334,553 | ||||
Shares | |||||
Temporary Cash Investment (0.1%) | |||||
Money Market Fund (0.1%) | |||||
4 | Vanguard Market Liquidity Fund | ||||
(Cost $5,407) | 0.561% | 5,406,520 | 5,407 | ||
Total Investments (99.2%) (Cost $3,667,610) | 4,339,960 | ||||
Expiration | |||||
Date | Contracts | ||||
Liability for Options Written (0.0%) | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 50 | (15) | ||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 130 | (14) | ||
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 52 | (4) | ||
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 130 | (57) | ||
Total Liability for Options Written (Premiums Received $179) | (90) |
86
Long-Term Treasury Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (0.8%) | |
Other Assets | |
Investment in Vanguard | 345 |
Receivables for Investment Securities Sold | 118,627 |
Receivables for Accrued Income | 39,228 |
Receivables for Capital Shares Issued | 4,485 |
Other Assets | 1,104 |
Total Other Assets | 163,789 |
Liabilities | |
Payables for Investment Securities Purchased | (120,566) |
Payables for Capital Shares Redeemed | (2,801) |
Payables for Distributions | (909) |
Payables to Vanguard | (3,393) |
Other Liabilities | (563) |
Total Liabilities | (128,232) |
Net Assets (100%) | 4,375,427 |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,663,409 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 38,477 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 672,350 |
Futures Contracts | 1,102 |
Options on Futures Contracts | 89 |
Net Assets | 4,375,427 |
Investor Shares—Net Assets | |
Applicable to 92,390,461 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,306,438 |
Net Asset Value Per Share—Investor Shares | $14.14 |
Admiral Shares—Net Assets | |
Applicable to 217,036,540 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,068,989 |
Net Asset Value Per Share—Admiral Shares | $14.14 |
• See Note A in Notes to Financial Statements.
1 Securities with a value of $2,069,000 have been segregated as initial margin for open futures contracts.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
87
Long-Term Treasury Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 54,367 |
Total Income | 54,367 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 209 |
Management and Administrative—Investor Shares | 965 |
Management and Administrative—Admiral Shares | 994 |
Marketing and Distribution—Investor Shares | 135 |
Marketing and Distribution—Admiral Shares | 145 |
Custodian Fees | 20 |
Shareholders’ Reports—Investor Shares | 31 |
Shareholders’ Reports—Admiral Shares | 16 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,516 |
Net Investment Income | 51,851 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 42,348 |
Futures Contracts | (665) |
Options on Futures Contracts | 65 |
Realized Net Gain (Loss) | 41,748 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 356,570 |
Futures Contracts | 1,317 |
Options on Futures Contracts | 112 |
Change in Unrealized Appreciation (Depreciation) | 357,999 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 451,598 |
1 Interest income from an affiliated company of the fund was $48,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
88
Long-Term Treasury Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 51,851 | 92,934 |
Realized Net Gain (Loss) | 41,748 | 69,199 |
Change in Unrealized Appreciation (Depreciation) | 357,999 | (355,349) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 451,598 | (193,216) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (15,649) | (31,297) |
Admiral Shares | (36,202) | (61,637) |
Realized Capital Gain1 | ||
Investor Shares | (710) | (28,164) |
Admiral Shares | (1,546) | (55,511) |
Total Distributions | (54,107) | (176,609) |
Capital Share Transactions | ||
Investor Shares | 35,628 | (38,178) |
Admiral Shares | 394,407 | 189,834 |
Net Increase (Decrease) from Capital Share Transactions | 430,035 | 151,656 |
Total Increase (Decrease) | 827,526 | (218,169) |
Net Assets | ||
Beginning of Period | 3,547,901 | 3,766,070 |
End of Period2 | 4,375,427 | 3,547,901 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $7,337,000, 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 $0 and $0.
See accompanying Notes, which are an integral part of the Financial Statements.
89
Long-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $12.80 | $14.19 | $11.55 | $12.61 | $13.32 | $10.77 |
Investment Operations | ||||||
Net Investment Income | .169 | .351 | .372 | .374 | .369 | .382 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.348 | (1.070) | 2.833 | (.937) | (.361) | 3.058 |
Total from Investment Operations | 1.517 | (.719) | 3.205 | (.563) | .008 | 3.440 |
Distributions | ||||||
Dividends from Net Investment Income | (.169) | (. 351) | (. 372) | (. 374) | (. 369) | (. 382) |
Distributions from Realized Capital Gains | (. 008) | (. 320) | (.193) | (.123) | (. 349) | (. 508) |
Total Distributions | (.177) | (. 671) | (. 565) | (. 497) | (.718) | (. 890) |
Net Asset Value, End of Period | $14.14 | $12.80 | $14.19 | $11.55 | $12.61 | $13.32 |
Total Return1 | 11.94% | -4.91% | 28.47% | -4.45% | 0.00% | 32.53% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,306 | $1,148 | $1,318 | $1,013 | $1,349 | $1,621 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.55% | 2.76% | 3.02% | 3.14% | 2.78% | 3.14% |
Portfolio Turnover Rate 2 | 82% | 117% | 59% | 44% | 105% | 229% |
The expense ratio, net investment 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 4%, 36%, 22%, 0%, 61%, and 119% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
90
Long-Term Treasury Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $12.80 | $14.19 | $11.55 | $12.61 | $13.32 | $10.77 |
Investment Operations | ||||||
Net Investment Income | .176 | .363 | .384 | .386 | .382 | .395 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.348 | (1.070) | 2.833 | (.937) | (.361) | 3.058 |
Total from Investment Operations | 1.524 | (.707) | 3.217 | (.551) | .021 | 3.453 |
Distributions | ||||||
Dividends from Net Investment Income | (.176) | (. 363) | (. 384) | (. 386) | (. 382) | (. 395) |
Distributions from Realized Capital Gains | (. 008) | (. 320) | (.193) | (.123) | (. 349) | (. 508) |
Total Distributions | (.184) | (. 683) | (. 577) | (. 509) | (.731) | (. 903) |
Net Asset Value, End of Period | $14.14 | $12.80 | $14.19 | $11.55 | $12.61 | $13.32 |
Total Return1 | 11.99% | -4.81% | 28.60% | -4.36% | 0.10% | 32.66% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,069 | $2,400 | $2,448 | $1,563 | $2,063 | $2,199 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.65% | 2.86% | 3.12% | 3.24% | 2.88% | 3.24% |
Portfolio Turnover Rate 2 | 82% | 117% | 59% | 44% | 105% | 229% |
The expense ratio, net investment 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 4%, 36%, 22%, 0%, 61%, and 119% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
91
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 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).
92
Long-Term Treasury Fund
During the six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 3% and 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, 2016, the fund’s average value of investments in 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.
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 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 Net Assets.
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, 2013–2016), and for the period ended July 31, 2016, 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.
93
Long-Term Treasury Fund
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $345,000, representing 0.01% of the fund’s net assets and 0.14% 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).
94
Long-Term Treasury Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 4,334,553 | — |
Temporary Cash Investments | 5,407 | — | — |
Liability for Options Written | (90) | — | — |
Futures Contracts—Assets1 | 602 | — | — |
Futures Contracts—Liabilities1 | (115) | — | — |
Total | 5,804 | 4,334,553 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, 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) |
Ultra 10-Year U.S. Treasury Note | September 2016 | 313 | 45,762 | 199 |
30-Year U.S. Treasury Bond | September 2016 | 200 | 34,887 | 956 |
10-Year U.S. Treasury Note | September 2016 | (232) | (30,867) | (42) |
Ultra Long U.S. Treasury Bond | September 2016 | (127) | (24,197) | (13) |
5-Year U.S. Treasury Note | September 2016 | 116 | 14,154 | 2 |
1,102 |
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, 2016, the cost of investment securities for tax purposes was $3,669,468,000. Net unrealized appreciation of investment securities for tax purposes was $670,492,000, consisting of unrealized gains of $670,610,000 on securities that had risen in value since their purchase and $118,000 in unrealized losses on securities that had fallen in value since their purchase.
95
Long-Term Treasury Fund
F. During the six months ended July 31, 2016, the fund purchased $2,021,671,000 of investment securities and sold $1,625,394,000 of investment securities, other than temporary cash investments.
The following table summarizes the fund’s options written during the six months ended July 31, 2016.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at January 31, 2016 | 251 | 101 | ||
Options Written | 3,126 | 1,307 | ||
Options Expired | (343) | (132) | ||
Options Closed | (2,672) | (1,097) | ||
Options Exercised | — | — | ||
Balance at July 31, 2016 | 362 | 179 | ||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 269,858 | 20,273 | 325,204 | 25,434 |
Issued in Lieu of Cash Distributions | 15,396 | 1,152 | 56,655 | 4,473 |
Redeemed | (249,626) | (18,692) | (420,037) | (33,161) |
Net Increase (Decrease)—Investor Shares | 35,628 | 2,733 | (38,178) | (3,254) |
Admiral Shares | ||||
Issued | 781,503 | 58,481 | 788,569 | 62,079 |
Issued in Lieu of Cash Distributions | 32,346 | 2,418 | 100,412 | 7,938 |
Redeemed | (419,442) | (31,358) | (699,147) | (55,077) |
Net Increase (Decrease)—Admiral Shares | 394,407 | 29,541 | 189,834 | 14,940 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, 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, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
1/31/2016 | 7/31/2016 | Period | |
Based on Actual Fund Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,009.35 | $1.00 |
Admiral Shares | 1,000.00 | 1,009.85 | 0.50 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,010.98 | $1.00 |
Admiral Shares | 1,000.00 | 1,011.48 | 0.50 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,028.05 | $1.01 |
Admiral Shares | 1,000.00 | 1,028.56 | 0.50 |
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,020.36 | $1.05 |
Admiral Shares | 1,000.00 | 1,020.87 | 0.55 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,119.39 | $1.05 |
Admiral Shares | 1,000.00 | 1,119.95 | 0.53 |
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Six Months Ended July 31, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
1/31/2016 | 7/31/2016 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Short-Term Federal Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Intermediate-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
GNMA Fund | |||
Investor Shares | $1,000.00 | $1,023.82 | $1.06 |
Admiral Shares | 1,000.00 | 1,024.32 | 0.55 |
Long-Term Treasury Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
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, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Short-Term Federal Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the Intermediate-Term Treasury Fund, 0.20% for Investor Shares and 0.10% for Admiral Shares; for the GNMA Fund, 0.21% for Investor Shares and 0.11% for Admiral Shares; and for the Long-Term Treasury Fund, 0.20% for Investor Shares and 0.10% 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 (182/366).
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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)—through its Fixed Income Group. 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 the funds’ advisory arrangements was in the best interests of each 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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Vanguard Bond Funds are not sponsored, endorsed, issued, sold or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of Vanguard Bond Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard Bond Funds particularly or the ability of the Barclays Index to track general bond market performance. Barclays has not passed on the legality or suitability of the Vanguard Bond Funds with respect to any person or entity. Barclays’ only relationship to Vanguard and Vanguard Bond Funds is the licensing of the Barclays Index which is determined, composed and calculated by Barclays without regard to Vanguard or the Vanguard Bond Funds or any owners or purchasers of the Vanguard Bond Funds. Barclays has no obligation to take the needs of Vanguard, Vanguard Bond Funds or the owners of Vanguard Bond Funds into consideration in determining, composing or calculating the Barclays Index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of Vanguard Bond Funds to be issued. Barclays has no obligation or liability in connection with the administration, marketing or trading of the Vanguard Bond Funds.
BARCLAYS SHALL HAVE NO LIABILITY TO THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF THE VANGUARD BOND FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BARCLAYS INDICES, AND BARCLAYS SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BARCLAYS INDICES. BARCLAYS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. BARCLAYS SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY INDIRECT OR CONSEQUENTIAL DAMAGES RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN.
© 2016 Barclays. Used with Permission.
Source: Barclays Global Family of Indices. Copyright 2016, Barclays. All rights reserved.
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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 198 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; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
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), HP Inc. (printer and personal 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) and the Robert Wood Johnson Foundation; 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, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors).
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); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center.
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 Martha G. King John T. Marcante Chris D. McIsaac | James M. Norris Thomas M. Rampulla Glenn W. Reed Karin A. Risi Michael Rollings |
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 |
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Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | CFA® is a registered trademark owned by CFA Institute. |
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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 | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q322 092016 |
Semiannual Report | July 31, 2016
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisors’ Report. | 8 |
Short-Term Investment-Grade Fund. | 15 |
Intermediate-Term Investment-Grade Fund. | 51 |
Long-Term Investment-Grade Fund. | 83 |
High-Yield Corporate Fund. | 110 |
About Your Fund’s Expenses. | 131 |
Trustees Approve Advisory Arrangements. | 133 |
Glossary. | 135 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended July 31, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Investment-Grade Fund | ||||
Investor Shares | 1.50% | 1.05% | 1.89% | 2.94% |
Admiral™ Shares | 1.60 | 1.10 | 1.89 | 2.99 |
Institutional Shares | 1.63 | 1.11 | 1.89 | 3.00 |
Barclays U.S. 1–5 Year Credit Bond Index | 2.87 | |||
1–5 Year Investment-Grade Debt Funds Average | 2.21 | |||
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 | 2.25% | 1.50% | 4.32% | 5.82% |
Admiral Shares | 2.35 | 1.55 | 4.32 | 5.87 |
Barclays U.S. 5–10 Year Credit Bond Index | 7.79 | |||
Core Bond Funds Average | 4.97 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Long-Term Investment-Grade Fund | ||||
Investor Shares | 3.32% | 2.33% | 12.49% | 14.82% |
Admiral Shares | 3.42 | 2.38 | 12.49 | 14.87 |
Barclays U.S. Long Credit A or Better Bond Index | 14.59 | |||
Corporate A-Rated Debt Funds Average | 7.16 | |||
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard High-Yield Corporate Fund | ||||
Investor Shares | 5.01% | 2.94% | 6.04% | 8.98% |
Admiral Shares | 5.12 | 2.99 | 6.04 | 9.03 |
High-Yield Corporate Composite Index | 11.13 | |||
High Yield Funds Average | 10.53 | |||
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,
Bond yields, which looked set to continue rising after the Federal Reserve raised interest rates in December, instead moved lower over the six months ended July 31, 2016. That was largely due to more muted global growth expectations, low inflation, and stock market volatility. The decline was more pronounced for long-term bonds, but short- and intermediate-term bond yields moved lower as well.
Yields and prices move in opposite directions, so long-term bonds performed the best. Vanguard Long-Term Investment-Grade Fund returned 14.82%, with the lion’s share of that stemming from an increase in the market value of its holdings. (All returns and yields cited in this letter are for the funds’ Investor Shares.)
Solid but more modest price increases for shorter-term investment-grade bonds and high-yield bonds helped the three other funds covered in this report post good results: Vanguard Short-Term Investment-Grade Fund returned 2.94%, Vanguard Intermediate-Term Investment-Grade Fund returned 5.82%, and Vanguard High-Yield Corporate Fund returned 8.98%.
In relative terms, the Short- and Long-Term Funds came in a step ahead of their benchmarks, while the other two funds lagged theirs. Versus the average returns of their peer groups, the three investment-grade funds outperformed, but the High-Yield Corporate Fund lagged.
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With bond prices rising, the 30-day SEC yields for the funds stood 51 to 149 basis points lower on July 31 than they were six months earlier. (A basis point is one-hundredth of a percentage point.) It’s important to note that as yields decline, the opportunity for a significant boost to returns from price appreciation diminishes.
International bonds outpaced their U.S. counterparts
The broad U.S. taxable bond market advanced in each of the six months en route to returning 4.54% for the half year. Yields fell, with the 10-year U.S. Treasury note closing July at 1.45%, down from 1.98% at the end of January. Municipal bonds, which saw less demand than taxable bonds, returned 3.16%.
The Fed has held its target for short-term interest rates at 0.25%–0.5% since the quarter percentage point rise in December. Money market funds and savings accounts stayed restrained by these historically low rates.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 12.31%. A number of foreign currencies strengthened against the dollar, but the bond returns were robust even without this currency benefit.
U.S. stocks continued to surge despite signs of uncertainty
U.S. stocks proved resilient over the period, returning about 14%, although the global environment was far from tranquil.
Market Barometer | |||
Total Returns | |||
Periods Ended July 31, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 4.54% | 5.94% | 3.57% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.16 | 6.94 | 5.13 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.16 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.82% | 4.84% | 13.22% |
Russell 2000 Index (Small-caps) | 18.76 | 0.00 | 10.43 |
Russell 3000 Index (Broad U.S. market) | 14.18 | 4.44 | 12.99 |
FTSE All-World ex US Index (International) | 11.69 | -4.95 | 1.76 |
CPI | |||
Consumer Price Index | 1.57% | 0.84% | 1.27% |
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Stocks tumbled after the momentous June 23 decision by U.K. voters to leave the European Union. But the market quickly recovered. Worries about the effects of “Brexit” on trade and economic growth seemed to diminish as expectations rose that major central banks would be responsive to any fallout.
International stocks also performed well, returning nearly 12%. European stocks finished solidly but still lagged as the Brexit referendum hit close to home. Emerging-market stocks and those from developed Pacific markets recorded double-digit returns.
Longer-dated bonds were the period’s top performers
Concerns persisted through the half year about the pace of global growth, the ability of central banks to push inflation higher, and the direction of commodity prices. Those factors—along with the Brexit uncertainty, the Fed’s pushing back of expectations for its next rate hike, and the exceptionally low or negative yields available abroad—added to the allure of U.S. debt.
Solid demand for bonds translated into higher prices, especially for securities further out on the maturity spectrum. Rising bond prices added close to 2 percentage points to the return of
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% | 0.75% |
Intermediate-Term Investment-Grade | ||||
Fund | 0.20 | 0.10 | — | 0.80 |
Long-Term Investment-Grade Fund | 0.21 | 0.12 | — | 0.86 |
High-Yield Corporate Fund | 0.23 | 0.13 | — | 1.10 |
The fund expense ratios shown are from the prospectus dated May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the funds’ annualized expense ratios were: for the Short-Term Investment-Grade Fund, 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.20% for Investor Shares and 0.10% 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, 0.23% for Investor Shares and 0.13% for Admiral Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
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.
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the Short-Term Fund but more than 12 percentage points to that of the Long-Term Fund. In contrast, given the low interest rates, the income earned by all the funds was comparatively modest. That component of total return contributed between about 1 percentage point for the Short-Term Fund and just under 3 percentage points for the High-Yield Corporate Fund.
The funds’ durations versus their benchmarks varied. (Duration is a measure of sensitivity to interest rate changes.) For the Short-Term and High-Yield Corporate Funds, they didn’t stray far, but the durations of the Long-Term Fund and especially the Intermediate-Term Fund were shorter than those of their benchmarks. Although that can provide some protection to the funds when rates are rising, it weighed on their performance for the six months.
By credit quality, lower-rated bonds outperformed their higher-rated counterparts. That worked against the Short-Term, Intermediate-Term, and High-Yield Corporate Funds given their tilt toward higher-quality securities versus their benchmarks. In contrast, the Long-Term Fund’s allocation to BBB-rated bonds—which fall outside the A-rated-or-better securities of its benchmark—was a positive.
For a more detailed discussion of the management of the funds, please see the Advisors’ Report that follows this letter.
Yields | ||
30-Day SEC Yields on | ||
January 31, | July 31, | |
Bond Fund | 2016 | 2016 |
Short-Term Investment-Grade | ||
Investor Shares | 2.01% | 1.50% |
Admiral Shares | 2.11 | 1.60 |
Institutional Shares | 2.14 | 1.63 |
Intermediate-Term Investment-Grade | ||
Investor Shares | 2.77% | 2.25% |
Admiral Shares | 2.86 | 2.35 |
Long-Term Investment-Grade | ||
Investor Shares | 4.13% | 3.32% |
Admiral Shares | 4.22 | 3.42 |
High-Yield Corporate | ||
Investor Shares | 6.50% | 5.01% |
Admiral Shares | 6.59 | 5.12 |
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Consider rebalancing to manage your risk
After you’ve taken the time to carefully create an investment portfolio—with a diversified mix of stock, bond, and money market funds tailored to your goals, time horizon, and risk tolerance—what next?
As stocks and bonds rise or fall over time, and your portfolio drifts from its original asset allocation, you should consider rebalancing back to your targets.
Just one year of outsized returns can throw your allocation out of whack. Take, for example, a year like 2013, when the broad stock market returned nearly 34% and the broad taxable bond market declined. A hypothetical simple portfolio that started the year with 60% stocks and 40% bonds would have ended with a more aggressive mix of 67% stocks and 33% bonds.
Rebalancing means shifting dollars away from assets that have performed well toward those that have fallen behind. That isn’t easy or intuitive—but it helps to manage risk, because over time, riskier assets tend to grow faster. (You can read more about our approach in Best Practices for Portfolio Rebalancing, at vanguard.com/research.)
You might consider, for example, monitoring your portfolio annually or semiannually and rebalancing when your allocations swing about 5 percentage points from their targets.
It’s important, of course, to be aware of the tax implications. You’ll want to consult with your tax advisor, but generally speaking, it may be a good idea to make any asset changes within a tax-advantaged retirement account or to direct new cash flows into the underweighted asset class.
However you go about it, keeping your asset allocation from drifting too far off target can help you stay on track with the investment plan you’ve crafted to meet your financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
August 11, 2016
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Your Fund’s Performance at a Glance | ||||
January 31, 2016, Through July 31, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Investment-Grade Fund | ||||
Investor Shares | $10.60 | $10.80 | $0.110 | $0.000 |
Admiral Shares | 10.60 | 10.80 | 0.115 | 0.000 |
Institutional Shares | 10.60 | 10.80 | 0.117 | 0.000 |
Vanguard Intermediate-Term Investment-Grade | ||||
Fund | ||||
Investor Shares | $9.72 | $10.14 | $0.142 | $0.000 |
Admiral Shares | 9.72 | 10.14 | 0.147 | 0.000 |
Vanguard Long-Term Investment-Grade Fund | ||||
Investor Shares | $10.00 | $11.22 | $0.218 | $0.026 |
Admiral Shares | 10.00 | 11.22 | 0.224 | 0.026 |
Vanguard High-Yield Corporate Fund | ||||
Investor Shares | $5.46 | $5.79 | $0.155 | $0.000 |
Admiral Shares | 5.46 | 5.79 | 0.158 | 0.000 |
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Advisors’ Report
Vanguard Fixed Income Group For the Short-, Intermediate-, and Long-Term Investment-Grade Funds
For the six months ended July 31, 2016, Vanguard Short-Term Investment-Grade Fund did a little better than its benchmark, returning 2.94% for Investor Shares, 2.99% for Admiral Shares, and 3.00% for Institutional Shares. Vanguard Intermediate-Term Investment-Grade Fund lagged its benchmark, returning 5.82% for Investor Shares and 5.87% 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. The fund returned 14.82% for Investor Shares and 14.87% for Admiral Shares, a step ahead of its benchmark.
It came in well ahead of the average return of its peers, which include funds with much shorter durations.
The investment environment
The United Kingdom’s June 23 “Brexit” referendum on whether to remain in the European Union (EU) was the period’s defining event for global capital markets. Although the markets showed some nervousness ahead of the vote, global stocks tumbled at the unexpected “leave” outcome before regaining much of their lost ground by the end of June. Despite credit-rating agency downgrades, the yields of U.K. government bonds headed lower—as did most government bond yields across the globe—as investors sought out assets perceived to be less risky.
Yields of U.S. Treasury Securities | ||
January 31, | July 31, | |
Maturity | 2016 | 2016 |
2 years | 0.82% | 0.66% |
3 years | 1.03 | 0.75 |
5 years | 1.40 | 1.03 |
10 years | 1.98 | 1.45 |
30 years | 2.79 | 2.18 |
Source: Vanguard. |
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Accommodative monetary policy also helped bonds over the six months. Abroad, a number of major central banks pursued further easing. At the end of January, the Bank of Japan announced it would charge a negative interest rate on financial institutions’ excess reserves, a move to complement its qualitative and quantitative easing efforts aimed at spurring growth and warding off deflation. The European Central Bank cut its deposit rate as well, putting it further into negative territory. It also increased its purchases of sovereign bonds and began buying corporate bonds.
At home, the Federal Reserve pushed back the timing of further increases in short-term rates. Early on, signs of weakness in a number of major economies, including China, and falling energy and commodity prices helped stay the Fed’s hand. Even as those concerns faded, uncertainty about the potential impact of the United Kingdom exiting the EU ratcheted up. Muted growth in the U.S. economy weighed in the balance as well. The economy grew just 0.8% in the first quarter on an inflation-adjusted annualized basis; the growth rate edged higher to 1.2% in the second quarter. Although inflation picked up, the pace fell short of the Fed’s target.
In this environment, the still-positive yields of U.S. Treasury bonds made them more appealing to investors starved for income. Yields fell, especially for longer-dated Treasuries. The yield of the 2-year Treasury note, for example, slid 16 basis points over the half year to 0.66%. (A basis point is one-hundredth of a percentage point.) The 10-year yield fell 53 basis points to 1.45%, a level not seen since 2012, and the 30-year yield dropped 61 basis points to 2.18%.
Investors searching for yield boosted demand for investment-grade corporate bonds as well. The average spread between the yields of those bonds and Treasuries narrowed. It started the half year at 193 basis points, but with the spreads for bonds in the energy and metals and mining segments shrinking by roughly half or more as commodity prices regained some ground, the average spread for investment-grade corporate bonds finished the period at 145 basis points.
Management of the funds
All three funds had shorter durations than their benchmarks. (Duration measures the sensitivity of a fund’s holdings to changes in interest rates.) Although this conservative stance can help relative performance when rates are rising, it worked against the funds this time given that rates ended significantly lower. The Intermediate-Term Fund felt more of a downdraft than the two other funds—its average duration at the end of July was 5.5 years, compared with 6.5 years for its benchmark.
In the Short- and Intermediate-Term Funds, allocations to securitized debt—a segment of the credit market that their benchmarks do not include—added value. Both funds held commercial mortgage-backed securities. These pooled mortgages on
9
commercial properties, which had a longer average duration than the benchmark, performed well. Our holdings in asset-backed securities—which are typically backed by auto loans, student loans, and credit-card debt—made a smaller but also positive contribution.
By sector, industrials and utilities outperformed financials over the six months. In February, we lightened our holdings in financials to add debt issued by energy and metals and mining companies; it had become attractively valued given the slump in commodity prices and the dimmer outlook for global growth. Although our timing was good, our continued underweighting of industrials and overweighting of financials meant that our sector allocation overall detracted from performance.
By credit quality, lower-rated investment-grade bonds outperformed higher-rated ones. This meant that our tilt away from BBB-rated bonds in the Short- and Intermediate-Term Funds was a negative, but that our out-of-benchmark allocation to them in our portion of the Long-Term Fund boosted performance.
A look ahead
The long-term ramifications of Brexit are unclear, but we expect the U.K. economy to slip into recession in the medium term and some downdraft on euro zone GDP as well. We do not expect U.S. GDP to be crimped significantly—perhaps just 0.25 percentage point over the next several quarters.
The U.S. economy looks set to remain on relatively solid footing, with the labor market achieving the Fed’s full employment target. Job creation has slowed from last year, but continuing wage gains could boost demand and push inflation higher. Current low mortgage rates and muted inflation are likely to support continued home buying, mortgage refinancing, and consumer spending. These trends should help the economy grow at a rate of about 2% for the rest of the year.
In formulating our inflation outlook, we remain positive about underlying trends when excluding highly volatile commodity prices from most measures. Energy prices have been depressed by oil market imbalances during the past two years, but now appear to be improving; they should provide a modest uplift to our headline measure in the coming year.
U.S. monetary policy is likely to remain cautious and accommodative. No matter when the Fed makes its next move, we believe its short-term rate target isn’t likely to go above 1% over the next several years. Central banks in Europe, the United Kingdom, and Japan appear to be leaning toward more monetary accommodation in the face of weak or slowing growth, which should keep U.S. yields attractive for international investors. Given that, plus our outlook for modest growth and inflation at home, we don’t expect to see a material rise in government bond yields further out along the curve, either.
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Whatever the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to seek out opportunities to add to the funds’ performance.
Gregory Davis, CFA,
Principal and Global Head of Fixed Income Group
Gregory S. Nassour, CFA,
Principal and Portfolio Manager
August 17, 2016
Wellington Management Company LLP For the Long-Term Investment-Grade Fund
As mentioned above, Vanguard Long-Term Investment-Grade Fund returned 14.82% for Investor Shares and 14.87% for Admiral Shares for the six months ended July 31, 2016. It modestly outpaced the 14.59% return of its benchmark, the Barclays U.S. Long Credit A or Better Bond Index, and topped the 7.16% average return of its peers by more than 7 percentage points.
The portion of the Long-Term Fund that we manage (the “portfolio”) invests primarily in corporate bonds with ten to 30 years until maturity. The portfolio’s returns are influenced by the direction of interest rates and by economic conditions that affect the creditworthiness of the corporate bond issuers.
Investment environment
Over the period, fixed income markets were influenced by global economic growth concerns, central bank monetary policies, oil prices, and the United Kingdom’s vote to leave the European Union. Early in the period, falling oil prices, concerns over slowing growth in China, and questions about the effectiveness of central bank monetary policies sparked a broad sell-off in credit markets, while government bonds, benefiting from their safe-haven status, saw their prices rise. Following the lead of European central banks, the Bank of Japan introduced negative interest rates for the first time as the volatility and instability in financial markets threatened to tip Japan back into deflation.
A rebound in crude oil prices and signs of near-term stabilization in China further supported global markets early in the second quarter. But investors turned more cautious in June as the pending U.K. “Brexit” referendum moved into sharper focus. The Fed chose to err on the side of caution by holding rates steady at its June meeting amid lingering uncertainty about the global economy’s strength and a reluctance to raise rates ahead of the referendum. Credit spreads initially widened in the wake of Britain’s June 23 vote to leave the EU, but they rallied strongly into the end of the period on the prospect of further monetary policy easing globally.
Prices of developed markets’ government bonds gained over the six months as global uncertainties kept central banks in easing mode and the Brexit outcome led rates to significantly decline. U.S. Treasury yields declined and credit spreads tightened, leading to strong gains for corporate bonds.
11
The portfolio’s successes
In aggregate, security selection bolstered relative results, most notably in the energy, banking, and communications sectors. An underweight allocation to electric utilities and an overweight allocation to communications also helped.
The portfolio’s shortfalls
An underweight allocation to commodity-sensitive sectors, including basic industry and energy, detracted from relative results. An overweight allocation to banking issuers and the portfolio’s yield curve positioning also hurt.
Outlook
Positive U.S. growth trends, attractive valuations, and more accommodative central bank policies are balanced by increased geopolitical risk and slow global growth. Given low-yielding alternatives in the rest of the world, demand for U.S. investment-grade credit should remain strong, leading us to a slightly overweight position.
The U.S. economy remains on a growth trajectory, driven by consumer spending and housing, with GDP growth forecast at 1.5%–2.0% for 2016. The Fed has become less aggressive in its path to policy normalization amid an uncertain global economic backdrop and tightening financial conditions. Political uncertainty is likely to persist as the U.S. presidential election approaches and as antiestablishment populism has increased in Europe.
Credit fundamentals are in a negative trend for investment-grade companies but are expected to stabilize. Mergers and acquisitions and other shareholder-friendly activities are expected to remain elevated but should decline in the second half of the year. Corporate bond market liquidity remains challenged, exacerbated as a larger share of corporate bonds is being held among buy-side investors than dealers.
The timing, pace, and magnitude of an upturn in interest rates will determine how fixed income markets perform and may well contribute to negative total returns in future periods. 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 contribute to income stability. The major risks are, of course, rising long-term rates, a widening in corporate bond risk premiums, or both.
Scott I. St. John, CFA
Senior Managing Director and Fixed Income Portfolio Manager
August 17, 2016
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Wellington Management Company LLP For the High-Yield Corporate Fund
For the six months ended July 31, 2016, the fund returned 8.98% for Investor Shares and 9.03% for Admiral Shares, lagging the 11.13% return of its benchmark index.
The investment environment
High-yield markets benefited from declining U.S. Treasury yields, more accommodative global monetary policies, tightening credit spreads, and coupon income. The 10-year Treasury yield declined sharply, from 1.98% at the end of January to 1.45% at the end of July. Because bond yields and prices move in opposite directions, prices increased.
Longer-duration and interest-rate-sensitive fixed income assets generated strong positive returns in this environment. Credit-sensitive sectors, including the high-yield market, also performed well, helped by continued demand for yield given low absolute rates around much of the globe.
Oil and other commodity prices were volatile but finished broadly higher, and the metals and mining and energy sectors posted the strongest gains. Investors turned more cautious in late June as the United Kingdom’s referendum on its European Union membership drew near, and the “leave” outcome led to a flight to safety. However, this spike in global market volatility was not enough to reverse the previous strength, resulting in a positive six-month return overall for the high-yield market.
Performance for the period varied notably by credit quality. The high-yield market favored bonds of relatively lower credit quality amid the insatiable search for yield. Lower-rated CCC-rated bonds (+24.16%) performed best, as measured by the Barclays U.S. Corporate High-Yield Bond Index. Higher-rated BB-rated bonds returned 11.28% and B-rated bonds 12.17%. The spread of the high-yield market tightened as of July 31 to 540 basis points over Treasuries, from 734 basis points six months earlier. The average price of high-yield bonds increased $11 to finish at $98.
Overall, corporate fundamentals and debt levels at most companies remain stable. We expect U.S. GDP growth to remain stable in 2016, and we believe that most high-yield companies can sustain solid credit profiles in that environment. Therefore, we see the economic backdrop for the high-yield market as generally supportive, but we continue to closely monitor factors that could affect U.S. and global growth, including fallout from the United Kingdom’s eventual exit from the EU and broader trends toward more protectionist policies globally.
We expect that default rates will peak in 2016 at 5%–6%, with defaults mainly concentrated in the commodity-sensitive sectors (energy and metals and mining).
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Yields in these sectors are higher on average than in the broad market, and we have been finding opportunities, for example, among oil-related exploration and production companies but are selective in our approach.
Moody’s trailing 12-month global speculative-grade default rate ended June at 4.5%, slightly above the long-term average of 4.2%. When looking at the global backdrop, we are most positive on the U.S. economy; as a result, we are emphasizing issuers that we believe will benefit from a strong U.S. consumer and from less cyclical sectors (for example, media cable and health care), as we believe they offer an attractive risk–reward profile.
The fund’s successes
The fund benefited from positive credit selection in the building materials sector and its underweight exposure to pharmaceuticals. An underweight allocation to Treasury securities also helped benchmark-relative performance.
The fund’s shortfalls
An underweight allocation to the metals and mining and energy sectors detracted from relative returns. Security selection in utilities also hurt.
The fund’s positioning
The fund remains consistent in its investment objective and strategy and maintains significant exposure to relatively higher-quality names in the high-yield market. We believe that these credits have more consistent businesses and more predictable cash flows than those of lower quality. We prefer higher-quality credits in an effort to minimize defaults and provide stable income. We continue to diversify the fund’s holdings by issuer and industry while deemphasizing non-cash-paying securities, preferred stocks, and equity-linked securities such as convertibles, because of their potential for volatility.
Michael L. Hong, CFA
Managing Director and Fixed Income Portfolio Manager
August 17, 2016
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Short-Term Investment-Grade Fund
Fund Profile | |||
As of July 31, 2016 | |||
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 | 1.50% | 1.60% | 1.63% |
Financial Attributes | |||
Barclays | Barclays | ||
1–5 Year | Aggregate | ||
Credit | Bond | ||
Fund | Index | Index | |
Number of Bonds | 2,165 | 2,432 | 9,804 |
Yield to Maturity | |||
(before expenses) | 1.7% | 1.6% | 1.9% |
Average Coupon | 2.9% | 3.3% | 3.1% |
Average Duration | 2.6 years | 2.8 years | 5.5 years |
Average Effective | |||
Maturity | 3.2 years | 2.9 years | 7.7 years |
Short-Term | |||
Reserves | 0.9% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 11.5% | ||
Commercial Mortgage-Backed | 10.6 | ||
Finance | 26.3 | ||
Foreign | 6.7 | ||
Government Mortgage-Backed | 0.2 | ||
Industrial | 24.1 | ||
Treasury/Agency | 17.2 | ||
Utilities | 2.8 | ||
Other | 0.6 |
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 | 0.88 | 0.39 |
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 | 17.0% |
1 - 3 Years | 41.8 |
3 - 5 Years | 25.7 |
5 - 7 Years | 5.8 |
7 - 10 Years | 9.2 |
10 - 20 Years | 0.2 |
20 - 30 Years | 0.2 |
Over 30 Years | 0.1 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 16.9% |
Aaa | 19.0 |
Aa | 12.8 |
A | 27.2 |
Baa | 21.3 |
Ba | 0.9 |
B | 0.3 |
Not Rated | 1.6 |
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 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares.
15
Short-Term Investment-Grade Fund
16
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
1–5 Year | ||||
Credit | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 1.96 | -1.19 | 0.77 | 0.62 |
2017 | 1.05 | 1.89 | 2.94 | 2.87 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 3.16% | 2.32% | 3.16% | 0.47% | 3.63% |
Admiral Shares | 2/12/2001 | 3.26 | 2.42 | 3.27 | 0.47 | 3.74 |
Institutional Shares | 9/30/1997 | 3.29 | 2.45 | 3.30 | 0.47 | 3.77 |
See Financial Highlights for dividend and capital gains information.
17
Short-Term Investment-Grade Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2016
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 Inflation | |||||||
Indexed Bonds | 0.125% | 4/15/17 | 1,736,207 | 1,836,386 | 3.2% | ||
1 | United States Treasury Inflation | ||||||
Indexed Bonds | 2.375% | 1/15/17 | 926,238 | 1,114,610 | 2.0% | ||
United States Treasury Inflation | |||||||
Indexed Bonds | 0.625% | 1/15/26 | 792,223 | 844,903 | 1.5% | ||
United States Treasury Inflation | |||||||
Indexed Bonds | 0.125% | 4/15/21 | 483,343 | 499,725 | 0.9% | ||
United States Treasury Inflation | |||||||
Indexed Bonds | 0.125% | 7/15/26 | 19,072 | 19,407 | 0.0% | ||
United States Treasury Note/Bond | 0.750% | 2/15/19 | 737,700 | 738,275 | 1.3% | ||
United States Treasury Note/Bond | 1.125% | 1/15/19 | 422,900 | 427,129 | 0.8% | ||
United States Treasury Note/Bond | 0.875% | 4/15/19 | 410,000 | 411,538 | 0.7% | ||
United States Treasury Note/Bond | 1.000% | 3/15/19 | 376,900 | 379,610 | 0.7% | ||
United States Treasury Note/Bond | 1.625% | 3/31/19 | 350,000 | 358,204 | 0.6% | ||
United States Treasury Note/Bond | 0.750% | 6/30/17 | 353,300 | 353,798 | 0.6% | ||
United States Treasury Note/Bond | 1.500% | 12/31/18 | 311,400 | 317,335 | 0.6% | ||
1,2,3 United States Treasury Note/Bond | 1.250% | 11/15/18 | 271,750 | 275,147 | 0.5% | ||
United States Treasury Note/Bond | 0.625% | 6/30/17 | 253,600 | 253,679 | 0.4% | ||
United States Treasury Note/Bond | 1.250% | 1/31/19 | 211,000 | 213,836 | 0.4% | ||
United States Treasury Note/Bond | 1.000% | 9/15/17 | 200,000 | 200,844 | 0.4% | ||
United States Treasury Note/Bond | 1.500% | 2/28/19 | 190,000 | 193,800 | 0.3% | ||
United States Treasury Note/Bond | 1.000% | 8/31/19 | 185,250 | 186,465 | 0.3% | ||
United States Treasury Note/Bond | 0.500% | 7/31/17 | 176,000 | 175,808 | 0.3% | ||
United States Treasury Note/Bond | 0.875% | 10/15/17 | 150,000 | 150,468 | 0.3% | ||
United States Treasury Note/Bond | 0.875% | 6/15/19 | 123,000 | 123,423 | 0.2% | ||
United States Treasury Note/Bond | 0.875% | 5/15/19 | 118,000 | 118,443 | 0.2% | ||
United States Treasury | |||||||
Note/Bond | 0.625%–1.625% | 7/31/17–5/15/26 | 493,935 | 503,127 | 0.9% | ||
9,695,960 | 17.1% |
18
Short-Term Investment-Grade Fund | |||||||
Face | Market | Percentage | |||||
Maturity | Amount | Value• | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
Conventional Mortgage-Backed Securities † | 418 | 0.0% | |||||
Nonconventional Mortgage-Backed Securities † | 23,774 | 0.1% | |||||
Total U.S. Government and Agency Obligations (Cost $9,710,843) | 9,720,152 | 17.2% | |||||
Asset-Backed/Commercial Mortgage-Backed Securities | |||||||
4 | Ally Master Owner | ||||||
Trust Series 2012-5 | 1.540% | 9/15/19 | 90,765 | 90,958 | 0.2% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2013-1 | 1.570% | 1/8/19 | 2,864 | 2,866 | 0.0% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2013-2 | 1.790% | 3/8/19 | 14,512 | 14,538 | 0.0% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2013-3 | 2.380%–3.000% | 6/10/19–7/8/19 | 36,503 | 36,820 | 0.1% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2013-4 | 2.720%–3.310% | 9/9/19–10/8/19 | 8,099 | 8,218 | 0.0% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2013-5 | 2.290%–2.860% | 11/8/19–12/9/19 | 13,506 | 13,670 | 0.0% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2014-1 | 2.150% | 3/9/20 | 4,900 | 4,926 | 0.0% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2014-2 | 2.180% | 6/8/20 | 9,220 | 9,303 | 0.0% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2015-3 | 1.540%–3.340% | 3/9/20–8/8/21 | 55,275 | 55,832 | 0.1% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2016-1 | 1.810%–3.590% | 10/8/20–2/8/22 | 31,710 | 32,179 | 0.1% | ||
4 | AmeriCredit Automobile | ||||||
Receivables Trust 2016-2 | 1.600%–3.650% | 11/9/20–5/9/22 | 34,890 | 35,310 | 0.1% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 11,868 | 11,890 | 0.0% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 16,136 | 16,224 | 0.0% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2007-2 | 5.573% | 4/10/49 | 33,261 | 33,601 | 0.1% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust 2008-1 | 6.183%–6.227% | 2/10/51 | 62,421 | 65,219 | 0.1% | ||
4 | Banc of America Commercial | ||||||
Mortgage Trust | |||||||
2015-UBS7 | 3.705%–4.366% | 9/15/48 | 10,940 | 12,104 | 0.0% | ||
4,5 | Banc of America Funding | ||||||
2006-H Trust | 2.998% | 9/20/46 | 17,085 | 14,768 | 0.0% | ||
4 | Banc of America Mortgage | ||||||
2003-F Trust | 3.094% | 7/25/33 | 954 | 912 | 0.0% | ||
4 | Bank of America Mortgage | ||||||
2002-J Trust | 3.737% | 9/25/32 | 19 | 18 | 0.0% | ||
4 | Bear Stearns Commercial | ||||||
Mortgage Securities Trust | |||||||
2007-PWR16 | 5.720% | 6/11/40 | 16,119 | 16,428 | 0.0% | ||
4 | Bear Stearns Commercial | ||||||
Mortgage Securities Trust | |||||||
2007-PWR17 | 5.650% | 6/11/50 | 78,784 | 81,362 | 0.1% | ||
4,6 | Chase Issuance Trust 2007-C1 | 0.941% | 4/15/19 | 30,415 | 30,354 | 0.1% | |
4,6 | Chase Issuance Trust 2016-A1 | 0.891% | 5/17/21 | 4,782 | 4,782 | 0.0% | |
4,7 | Chesapeake Funding II | ||||||
LLC 2016-2A | 1.880% | 6/15/28 | 90,360 | 90,481 | 0.2% |
19
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4,7 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2013-AA | 1.830%–2.930% | 3/15/19–8/17/20 | 13,931 | 13,971 | 0.0% | |
4,7 | Chrysler Capital Auto | |||||
Receivables Trust 2014-AA | 2.280% | 11/15/19 | 10,230 | 10,281 | 0.0% | |
4,7 | Chrysler Capital Auto | |||||
Receivables Trust 2014-BA | 3.440% | 8/16/21 | 700 | 694 | 0.0% | |
4,7 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2015-BA | 2.260%–4.170% | 10/15/20–1/16/23 | 49,125 | 49,585 | 0.1% | |
4,7 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2016-AA | 2.880%–4.220% | 2/15/22–2/15/23 | 31,070 | 31,211 | 0.1% | |
4 | COMM 2006-C8 | |||||
Mortgage Trust | 5.292%–5.306% | 12/10/46 | 43,415 | 43,650 | 0.1% | |
4 | COMM 2007-C9 | |||||
Mortgage Trust | 5.813% | 12/10/49 | 22,798 | 23,405 | 0.0% | |
4 | COMM 2012-CCRE2 | |||||
Mortgage Trust | 3.147%–3.791% | 8/15/45 | 7,025 | 7,624 | 0.0% | |
4 | COMM 2012-CCRE3 | |||||
Mortgage Trust | 2.822% | 10/15/45 | 23,195 | 24,378 | 0.0% | |
4 | COMM 2012-CCRE4 | |||||
Mortgage Trust | 2.853%–3.251% | 10/15/45 | 12,815 | 13,544 | 0.0% | |
4 | COMM 2012-CCRE5 | |||||
Mortgage Trust | 2.771% | 12/10/45 | 2,640 | 2,777 | 0.0% | |
4 | COMM 2013-CCRE10 | |||||
Mortgage Trust | 2.972%–3.795% | 8/10/46 | 29,359 | 30,548 | 0.1% | |
4 | COMM 2013-CCRE11 | |||||
Mortgage Trust | 3.983%–4.258% | 10/10/46 | 57,295 | 65,035 | 0.1% | |
4 | COMM 2013-CCRE12 | |||||
Mortgage Trust | 3.623%–4.046% | 10/10/46 | 55,251 | 61,642 | 0.1% | |
4 | COMM 2013-CCRE13 | |||||
Mortgage Trust | 4.194%–4.751% | 11/10/23–12/10/23 | 39,452 | 44,599 | 0.1% | |
4,7 | COMM 2013-CCRE6 | |||||
Mortgage Trust | 3.397% | 3/10/46 | 2,380 | 2,492 | 0.0% | |
4 | COMM 2013-CCRE8 | |||||
Mortgage Trust | 3.612% | 6/10/46 | 38,814 | 42,697 | 0.1% | |
4,7 | COMM 2013-CCRE9 | |||||
Mortgage Trust | 4.233%–4.257% | 7/10/45 | 48,815 | 54,328 | 0.1% | |
4,7 | COMM 2013-LC13 | |||||
Mortgage Trust | 3.009%–4.557% | 8/10/46 | 64,251 | 70,223 | 0.1% | |
4 | COMM 2013-LC6 | |||||
Mortgage Trust | 2.941% | 1/10/46 | 4,100 | 4,347 | 0.0% | |
4,7 | COMM 2013-SFS | |||||
Mortgage Trust | 2.987% | 4/12/35 | 5,490 | 5,754 | 0.0% | |
4,7 | COMM 2014-277P | |||||
Mortgage Trust | 3.611% | 8/10/49 | 29,250 | 32,389 | 0.1% | |
4 | COMM 2014-CCRE14 | |||||
Mortgage Trust | 3.743%–4.236% | 2/10/47 | 15,485 | 17,349 | 0.0% | |
4 | COMM 2014-CCRE15 | |||||
Mortgage Trust | 2.928%–4.713% | 2/10/47 | 57,025 | 62,867 | 0.1% | |
4 | COMM 2014-CCRE17 | |||||
Mortgage Trust | 3.977%–4.735% | 5/10/47 | 84,826 | 95,091 | 0.2% | |
4 | COMM 2014-CCRE18 | |||||
Mortgage Trust | 3.452%–3.828% | 7/15/47 | 38,619 | 42,516 | 0.1% |
20
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | COMM 2014-CCRE20 | |||||
Mortgage Trust | 3.590% | 11/10/47 | 33,125 | 36,317 | 0.1% | |
4 | COMM 2014-CCRE21 | |||||
Mortgage Trust | 3.528% | 12/10/47 | 29,227 | 32,065 | 0.1% | |
4 | COMM 2014-LC17 | |||||
Mortgage Trust | 3.917% | 10/10/47 | 11,570 | 12,945 | 0.0% | |
4 | COMM 2015-CCRE22 | |||||
Mortgage Trust | 3.309% | 3/10/48 | 36,015 | 38,851 | 0.1% | |
4 | COMM 2015-CCRE24 | |||||
Mortgage Trust | 3.445%–3.696% | 8/10/55 | 29,445 | 32,308 | 0.1% | |
4 | COMM 2015-CCRE25 | |||||
Mortgage Trust | 3.759% | 8/10/48 | 30,051 | 33,380 | 0.1% | |
4 | COMM 2015-CCRE26 | |||||
Mortgage Trust | 3.630% | 10/10/48 | 28,350 | 31,110 | 0.1% | |
4 | COMM 2015-CCRE27 | |||||
Mortgage Trust | 3.612%–4.472% | 10/10/48 | 24,993 | 27,052 | 0.1% | |
4 | COMM 2015-LC19 | |||||
Mortgage Trust | 3.040%–3.183% | 2/10/48 | 22,730 | 24,318 | 0.0% | |
4 | Discover Card Execution | |||||
Note Trust 2012-A6 | 1.670% | 1/18/22 | 114,300 | 115,702 | 0.2% | |
4,7 | Drive Auto Receivables | |||||
Trust 2015-AA | 2.280%–4.120% | 6/17/19–7/15/22 | 29,433 | 29,631 | 0.1% | |
4,7 | Drive Auto Receivables | |||||
Trust 2015-BA | 1.300%–3.840% | 6/15/18–7/15/21 | 36,722 | 36,948 | 0.1% | |
4,7 | Drive Auto Receivables | |||||
Trust 2015-CA | 2.230%–4.200% | 9/16/19–9/15/21 | 51,860 | 52,354 | 0.1% | |
4,7 | Drive Auto Receivables | |||||
Trust 2015-DA | 1.590%–4.590% | 12/17/18–1/17/23 | 96,100 | 97,680 | 0.2% | |
4,7 | Drive Auto Receivables | |||||
Trust 2016-AA | 2.110%–3.910% | 5/15/19–5/17/21 | 40,760 | 41,082 | 0.1% | |
4,7 | Drive Auto Receivables | |||||
Trust 2016-BA | 1.670%–4.530% | 7/15/19–8/15/23 | 52,650 | 53,437 | 0.1% | |
4 | Ford Credit Auto Lease | |||||
Trust 2014-A | 1.160% | 8/15/17 | 7,546 | 7,546 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2015-A | 1.310% | 8/15/18 | 8,390 | 8,401 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2015-B | 1.540%–1.920% | 2/15/19–3/15/19 | 33,045 | 32,860 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-D | 1.720% | 7/15/19 | 12,800 | 12,839 | 0.0% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2014-REV1 | 2.260%–2.410% | 11/15/25 | 30,749 | 31,170 | 0.1% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2014-REV2 | 2.310%–2.510% | 4/15/26 | 39,885 | 40,618 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2015-B | 2.040% | 10/15/20 | 12,700 | 12,842 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2015-C | 2.010%–2.260% | 3/15/21–3/15/22 | 17,415 | 17,615 | 0.0% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2015-REV1 | 2.120% | 7/15/26 | 22,750 | 23,077 | 0.0% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2015-REV2 | 2.440% | 1/15/27 | 61,000 | 62,576 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2016-B | 1.850% | 9/15/21 | 7,040 | 7,052 | 0.0% | |
4,7 | Ford Credit Auto Owner | |||||
Trust 2016-REV1 | 2.310% | 8/15/27 | 23,690 | 24,185 | 0.0% |
21
Short-Term Investment-Grade Fund | |||||||
Face | Market | Percentage | |||||
Maturity | Amount | Value• | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
4,7 | Ford Credit Auto Owner | ||||||
Trust 2016-REV2 | 2.030% | 12/15/27 | 78,040 | 78,508 | 0.1% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2012-2 | 1.920% | 1/15/19 | 26,574 | 26,677 | 0.1% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2012-5 | 1.490% | 9/15/19 | 117,285 | 117,599 | 0.2% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series | |||||||
2012-5 | 1.690%–2.140% | 9/15/19 | 15,650 | 15,699 | 0.0% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series | |||||||
2013-4 | 2.100%–2.790% | 6/15/20 | 15,460 | 15,570 | 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 | 14,759 | 0.0% | ||
4,6 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2014-2 | 0.981% | 2/15/21 | 9,200 | 9,177 | 0.0% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2014-4 | 1.400% | 8/15/19 | 68,275 | 68,394 | 0.1% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2015-2 | 1.980% | 1/15/22 | 9,396 | 9,461 | 0.0% | ||
4 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2015-5 | 2.390% | 8/15/22 | 72,600 | 74,947 | 0.1% | ||
4,6 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2016-3 | 1.103% | 7/15/21 | 62,180 | 62,204 | 0.1% | ||
4,6 | Ford Credit Floorplan Master | ||||||
Owner Trust A Series 2016-4 | 1.012% | 7/15/20 | 48,100 | 48,111 | 0.1% | ||
4 | GE Capital Credit Card Master | ||||||
Note Trust Series 2012-6 | 1.360% | 8/17/20 | 89,890 | 90,010 | 0.2% | ||
4,7 | GMF Floorplan Owner | ||||||
Revolving Trust 2015-1 | 1.650%–1.970% | 5/15/20 | 68,210 | 67,828 | 0.1% | ||
4,6,7 GMF Floorplan Owner | |||||||
Revolving Trust 2016-1 | 1.331%–2.850% | 5/17/21 | 64,359 | 64,564 | 0.1% | ||
4,7 | GS Mortgage Securities | ||||||
Trust 2010-C2 | 5.184% | 12/10/43 | 3,530 | 3,986 | 0.0% | ||
4,7 | GS Mortgage Securities | ||||||
Trust 2011-GC3 | 5.633% | 3/10/44 | 2,280 | 2,534 | 0.0% | ||
4,7 | GS Mortgage Securities | ||||||
Trust 2012-ALOHA | 3.550% | 4/10/34 | 32,716 | 35,530 | 0.1% | ||
4,7 | GS Mortgage Securities | ||||||
Trust 2012-BWTR | 2.954% | 11/5/34 | 36,047 | 37,492 | 0.1% | ||
4,7 | GS Mortgage Securities | ||||||
Trust 2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,135 | 0.0% | ||
4 | GS Mortgage Securities | ||||||
Trust 2012-GCJ7 | 5.729% | 5/10/45 | 7,150 | 7,946 | 0.0% | ||
4,7 | GS Mortgage Securities | ||||||
Trust 2013-GC13 | 4.034%–4.067% | 7/10/46 | 27,820 | 31,036 | 0.1% | ||
4 | GS Mortgage Securities | ||||||
Trust 2013-GCJ12 | 3.135%–3.777% | 6/10/46 | 20,830 | 22,300 | 0.0% | ||
4 | GS Mortgage Securities | ||||||
Trust 2013-GCJ14 | 2.995%–4.243% | 8/10/46 | 96,096 | 106,159 | 0.2% | ||
4 | GS Mortgage Securities | ||||||
Trust 2014-GC20 | 3.998% | 4/10/47 | 40,613 | 45,359 | 0.1% | ||
4 | GS Mortgage Securities | ||||||
Trust 2014-GC24 | 3.931%–4.529% | 9/10/47 | 83,095 | 91,903 | 0.2% |
22
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | GS Mortgage Securities | |||||
Trust 2014-GC26 | 3.629% | 11/10/47 | 18,190 | 20,009 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC28 | 3.396% | 2/10/48 | 40,515 | 43,582 | 0.1% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC30 | 3.382% | 5/10/50 | 24,410 | 26,413 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC32 | 3.764%–4.412% | 7/10/48 | 39,940 | 44,406 | 0.1% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC34 | 3.506%–4.655% | 10/10/48 | 52,040 | 56,555 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities | ||||||
Trust 2007-C1 | 5.716% | 2/15/51 | 4,254 | 4,341 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-CIBC20 | 5.746% | 2/12/51 | 37,549 | 38,792 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP10 | 5.439% | 1/15/49 | 33,836 | 34,316 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP12 | 5.850% | 2/15/51 | 25,355 | 26,078 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2009-IWST | 5.633% | 12/5/27 | 6,185 | 6,889 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C1 | 4.608% | 6/15/43 | 2,244 | 2,413 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C2 | 3.616%–5.558% | 11/15/43 | 19,112 | 20,442 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2011-C3 | 4.388%–5.360% | 2/15/46 | 46,621 | 50,370 | 0.1% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2011-C5 | 5.321% | 8/15/46 | 4,100 | 4,734 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-C6 | 3.507% | 5/15/45 | 18,490 | 20,030 | 0.0% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-C8 | 2.829%–3.424% | 10/15/45 | 17,175 | 18,045 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-CIBX | 4.271% | 6/15/45 | 27,000 | 29,896 | 0.1% | |
4,7 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-HSBC | 3.093% | 7/5/32 | 5,850 | 6,124 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-LC9 | 2.840% | 12/15/47 | 40,130 | 42,058 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2013-C13 | 3.994%–4.053% | 1/15/46 | 23,460 | 25,358 | 0.0% |
23
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 | |||||
2013-C16 | 3.674%–4.975% | 12/15/46 | 66,150 | 74,728 | 0.1% |
4 | JP Morgan Chase Commercial |
Mortgage Securities Trust | ||||||
2013-LC11 | 1.855%–2.960% | 4/15/46 | 17,600 | 18,371 | 0.0% | |
4,6 | MBNA Credit Card Master | |||||
Note Trust 2004-A3 | 0.741% | 8/16/21 | 89,145 | 88,888 | 0.2% | |
4 | Merrill Lynch Mortgage | |||||
Investors Trust MLMI | ||||||
Series 2003-A2 | 2.487% | 2/25/33 | 2,009 | 1,941 | 0.0% | |
4 | Merrill Lynch Mortgage | |||||
Investors Trust MLMI | ||||||
Series 2003-A4 | 3.136% | 7/25/33 | 561 | 549 | 0.0% | |
4 | Merrill Lynch Mortgage | |||||
Trust 2008-C1 | 5.690% | 2/12/51 | 8,005 | 8,305 | 0.0% | |
4 | ML-CFC Commercial Mortgage | |||||
Trust 2007-6 | 5.331% | 3/12/51 | 2,179 | 2,176 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2012-C5 | 3.176%–3.792% | 8/15/45 | 23,300 | 24,776 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2012-C6 | 2.858% | 11/15/45 | 5,700 | 6,024 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch Trust | ||||||
2013-C10 | 4.083% | 7/15/46 | 30,472 | 34,015 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2013-C11 | 3.085%–4.213% | 8/15/46 | 62,432 | 69,781 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2013-C12 | 3.824%–4.259% | 10/15/46 | 11,910 | 13,168 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2013-C13 | 4.039% | 11/15/46 | 8,300 | 9,277 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2013-C7 | 2.918%–3.214% | 2/15/46 | 9,340 | 9,820 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2013-C9 | 3.102% | 5/15/46 | 27,425 | 29,141 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2014-C14 | 4.064%–4.384% | 2/15/47 | 34,100 | 38,333 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2014-C15 | 3.773%–4.895% | 4/15/47 | 67,415 | 74,898 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2014-C16 | 3.892%–4.757% | 6/15/47 | 71,075 | 78,515 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2014-C17 | 3.741%–4.011% | 8/15/47 | 37,518 | 41,572 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2014-C18 | 3.923% | 10/15/47 | 11,150 | 12,450 | 0.0% |
24
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2014-C19 | 3.326%–3.526% | 12/15/47 | 22,830 | 24,440 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2015-C20 | 3.069%–3.249% | 2/15/48 | 53,686 | 57,322 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2015-C22 | 3.306% | 4/15/48 | 37,038 | 39,918 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2015-C23 | 3.719% | 7/15/50 | 24,660 | 27,339 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2015-C24 | 3.479%–3.732% | 5/15/48 | 53,865 | 59,153 | 0.1% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2015-C25 | 3.383%–3.635% | 10/15/48 | 23,760 | 25,748 | 0.0% | |
4 | Morgan Stanley Bank of | |||||
America Merrill Lynch | ||||||
Trust 2016-C29 | 3.325%–4.754% | 5/15/49 | 10,400 | 11,136 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2006-IQ12 | 5.319% | 12/15/43 | 8,796 | 8,832 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ15 | 5.906% | 6/11/49 | 25,846 | 26,708 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ16 | 5.688% | 12/12/49 | 43,875 | 45,362 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2012-C4 | 3.244%–3.773% | 3/15/45 | 18,552 | 19,753 | 0.0% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2012-STAR | 3.201% | 8/5/34 | 17,045 | 17,993 | 0.0% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2014-150E | 3.912% | 9/9/32 | 27,955 | 30,582 | 0.1% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2014-CPT | 3.350% | 7/13/29 | 24,440 | 25,935 | 0.0% | |
4,7 | Morgan Stanley Capital I | |||||
Trust 2015-420 | 3.727% | 10/11/50 | 28,871 | 31,704 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2015-UBS8 | 3.809%–4.591% | 12/15/48 | 47,759 | 52,648 | 0.1% | |
4,7 | MSBAM Commercial | |||||
Mortgage Securities | ||||||
Trust 2012-CKSV | 3.277% | 10/15/30 | 37,985 | 39,417 | 0.1% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2013-2 | 1.950% | 3/15/19 | 18,448 | 18,484 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2013-5 | 1.550% | 10/15/18 | 1,398 | 1,399 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2015-3 | 1.490%–3.490% | 6/17/19–5/17/21 | 20,155 | 20,496 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2015-4 | 1.580%–2.970% | 9/16/19–3/15/21 | 56,200 | 56,842 | 0.1% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2016-1 | 2.470% | 12/15/20 | 24,440 | 24,756 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2016-2 | 2.080%–3.390% | 2/16/21–4/15/22 | 15,715 | 15,838 | 0.0% | |
4,6,7 Trillium Credit Card Trust II | ||||||
2016-1A | 1.210% | 5/26/21 | 125,220 | 125,249 | 0.2% |
25
Short-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2012-LC5 | 2.918%–3.539% | 10/15/45 | 31,617 | 33,575 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2013-LC12 | 3.928%–4.297% | 7/15/46 | 47,627 | 53,555 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2014-LC16 | 3.477%–4.458% | 8/15/50 | 86,380 | 95,098 | 0.2% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2014-LC18 | 3.244%–3.405% | 12/15/47 | 34,155 | 36,344 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2015-C26 | 2.991%–3.166% | 2/15/48 | 29,850 | 31,517 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2015-C27 | 3.190%–3.451% | 2/15/48 | 48,175 | 51,733 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2015-C29 | 3.400%–4.225% | 6/15/48 | 54,609 | 58,905 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2015-C30 | 3.411%–4.496% | 9/15/58 | 83,632 | 90,893 | 0.2% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2015-LC22 | 3.839%–4.539% | 9/15/58 | 50,540 | 55,254 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2015-SG1 | 3.556%–3.789% | 12/15/47 | 30,925 | 34,171 | 0.1% | |
4 | Wells Fargo Commercial Mortgage | |||||
Trust 2016-C32 | 3.560% | 1/15/59 | 21,780 | 23,917 | 0.0% | |
7 | Asset-Backed/Commercial | |||||
Mortgage-Backed Securities—Other † | 6,588,536 | 11.6% | ||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $12,465,070) | 12,778,740 | 22.5% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Bank of America Corp. | 2.600% | 1/15/19 | 121,824 | 124,723 | 0.2% | |
Bank of America Corp. | 1.950%–6.875% | 8/1/16–4/19/21 | 320,185 | 330,655 | 0.6% | |
Bank of America NA | 1.650%–6.100% | 3/15/17–6/5/18 | 140,484 | 141,815 | 0.2% | |
Bear Stearns Cos. LLC | 5.550%–7.250% | 1/22/17–2/1/18 | 84,063 | 88,656 | 0.2% | |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 108,310 | 115,288 | 0.2% | |
6,8,9,10 Goldman Sachs | ||||||
Group Inc. | 2.125%–6.150% | 5/14/17–9/30/24 | 585,463 | 614,557 | 1.1% | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 88,183 | 91,134 | 0.2% | |
4 | JPMorgan Chase & Co. | 1.350%–5.300% | 2/15/17–12/29/49 | 497,372 | 507,393 | 0.9% |
10 | JPMorgan Chase | |||||
Bank NA | 5.375%–6.000% | 9/28/16–10/1/17 | 57,655 | 64,483 | 0.1% | |
Morgan Stanley | 1.875%–6.625% | 10/18/16–1/27/26 | 459,357 | 473,944 | 0.8% | |
National City Bank | 5.250%–5.800% | 12/15/16–6/7/17 | 29,375 | 30,164 | 0.1% | |
National City Corp. | 6.875% | 5/15/19 | 8,085 | 9,105 | 0.0% | |
PNC Bank NA | 1.500%–6.875% | 1/15/17–4/29/21 | 541,454 | 551,265 | 1.0% | |
PNC Funding Corp. | 2.700%–5.625% | 9/19/16–2/8/20 | 51,753 | 52,736 | 0.1% | |
Santander Bank NA | 8.750% | 5/30/18 | 33,955 | 37,518 | 0.1% | |
Santander Holdings | ||||||
USA Inc. | 2.700% | 5/24/19 | 39,050 | 39,413 | 0.1% | |
Santander UK Group | ||||||
Holdings plc | 3.125% | 1/8/21 | 19,520 | 19,808 | 0.0% | |
Santander UK plc | 1.375% | 3/13/17 | 93,971 | 93,698 | 0.2% | |
Santander UK plc | 1.650%–3.050% | 9/29/17–9/10/19 | 197,066 | 200,256 | 0.3% | |
UBS AG | 1.800% | 3/26/18 | 103,260 | 103,933 | 0.2% | |
Wachovia Corp. | 5.750% | 6/15/17–2/1/18 | 83,497 | 88,298 | 0.1% | |
6,9 | Wells Fargo & Co. | 1.400%–5.625% | 9/8/17–7/27/21 | 492,082 | 482,306 | 0.8% |
26
Short-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Wells Fargo Bank NA | 1.750%–6.000% | 11/15/17–5/24/19 | 126,821 | 131,233 | 0.2% |
7 Banking—Other † | 7,360,789 | 13.0% | |||
Brokerage | |||||
Nomura Holdings Inc. | 2.000% | 9/13/16 | 93,195 | 93,314 | 0.2% |
7 Brokerage—Other † | 198,686 | 0.3% | |||
Finance Companies | |||||
GE Capital International | |||||
Funding Co. | 2.342% | 11/15/20 | 116,444 | 120,675 | 0.2% |
7 Finance Companies—Other † | 181,697 | 0.4% | |||
7 Insurance † | 1,339,075 | 2.4% | |||
7 Real Estate Investment Trusts † | 865,549 | 1.5% | |||
14,552,166 | 25.7% | ||||
Industrial | |||||
Basic Industry † | 675,438 | 1.2% | |||
7 Capital Goods † | 995,026 | 1.8% | |||
Communication | |||||
Verizon Communications Inc. | 4.500% | 9/15/20 | 92,180 | 102,540 | 0.2% |
7 Communication—Other † | 1,515,238 | 2.7% | |||
Consumer Cyclical | |||||
CVS Health Corp. | 2.800% | 7/20/20 | 128,707 | 134,800 | 0.2% |
9 Ford Motor Credit Co. LLC | 2.145%–6.625% | 6/12/17–3/18/21 | 418,665 | 409,658 | 0.7% |
General Motors Co. | 3.500% | 10/2/18 | 36,615 | 37,805 | 0.1% |
General Motors Financial | |||||
Co. Inc. | 2.400%–6.750% | 7/10/17–3/1/21 | 273,553 | 282,798 | 0.5% |
7 Consumer Cyclical—Other † | 1,304,230 | 2.3% | |||
Consumer Noncyclical | |||||
AbbVie Inc. | 1.800% | 5/14/18 | 126,410 | 127,434 | 0.2% |
AbbVie Inc. | 2.500% | 5/14/20 | 90,080 | 92,527 | 0.2% |
Actavis Funding SCS | 3.000% | 3/12/20 | 153,863 | 159,348 | 0.3% |
Anheuser-Busch InBev | |||||
Finance Inc. | 2.650% | 2/1/21 | 190,770 | 197,542 | 0.3% |
7 Consumer Noncyclical—Other † | 2,649,220 | 4.7% | |||
7 Energy † | 2,396,177 | 4.2% | |||
Other Industrial | |||||
7 Hutchison Whampoa | |||||
International 09 Ltd. | 7.625% | 4/9/19 | 118,427 | 136,859 | 0.2% |
7 Other Industrial—Other † | 112,111 | 0.2% | |||
Technology | |||||
Apple Inc. | 2.250% | 2/23/21 | 100,900 | 104,475 | 0.2% |
7 Technology—Other † | 1,356,753 | 2.4% | |||
7 Transportation † | 692,283 | 1.2% | |||
13,482,262 | 23.8% | ||||
Utilities | |||||
7 Electric † | 1,485,572 | 2.6% | |||
Natural Gas † | 82,790 | 0.1% | |||
1,568,362 | 2.7% | ||||
Total Corporate Bonds (Cost $29,114,084) | 29,602,790 | 52.2% | |||
Sovereign Bonds (U.S. Dollar-Denominated) | |||||
Export-Import Bank of Korea | 4.000% | 1/11/17 | 160,330 | 162,398 | 0.3% |
Petroleos Mexicanos | 5.750% | 3/1/18 | 189,575 | 198,733 | 0.3% |
Petroleos Mexicanos | 8.000% | 5/3/19 | 118,468 | 133,230 | 0.2% |
7 Petroleos Mexicanos | 5.500%–6.375% | 2/4/19–2/4/21 | 94,951 | 101,026 | 0.2% |
Republic of Turkey | 7.500% | 7/14/17 | 167,694 | 175,450 | 0.3% |
27
Short-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Republic of Turkey | 6.750% | 4/3/18 | 110,120 | 116,452 | 0.2% |
Republic of Turkey | 7.000% | 9/26/16 | 100,305 | 100,932 | 0.2% |
United Mexican States | 5.625% | 1/15/17 | 185,592 | 189,274 | 0.3% |
7 Sovereign Bonds (U.S. Dollar-Denominated)—Other † | 2,523,406 | 4.5% | |||
Total Sovereign Bonds (Cost $3,641,696) | 3,700,901 | 6.5% | |||
Taxable Municipal Bonds (Cost $205,074) † | 209,047 | 0.4% | |||
Tax-Exempt Municipal Bonds (Cost $10,000) † | 10,000 | 0.0% | |||
Shares | |||||
Convertible Preferred Stocks (Cost $28,924) † | 29,160 | — | 0.0% | ||
Temporary Cash Investment | |||||
Money Market Fund | |||||
11 Vanguard Market Liquidity Fund | |||||
(Cost $496,417) | 0.561% | 496,417,000 | 496,417 | 0.9% | |
Total Investments (Cost $55,672,108) | 56,518,047 | 99.7% | |||
Expiration | |||||
Date | Contracts | ||||
Liability for Options Written | |||||
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 1,659 | (181) | 0.0% | |
Call Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 666 | (198) | 0.0% | |
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 1,659 | (726) | 0.0% | |
Put Options on 10-year U.S. Treasury Note | |||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 662 | (52) | 0.0% | |
Total Liability for Options Written (Premiums Received $2,290) | (1,157) | 0.0% | |||
Amount | |||||
($000) | |||||
Other Assets and Liabilities | |||||
Other Assets | |||||
Investment in Vanguard | 4,491 | ||||
Receivables for Investment Securities Sold | 275,055 | ||||
Receivables for Accrued Income | 326,996 | ||||
Receivables for Capital Shares Issued | 56,794 | ||||
Other Assets | 102,955 | ||||
Total Other Assets | 766,291 | 1.3% | |||
Liabilities | |||||
Payables for Investment Securities Purchased | (426,034) | ||||
Payables for Capital Shares Redeemed | (42,094) | ||||
Payables for Distributions | (17,106) | ||||
Payables to Vanguard | (26,484) | ||||
Other Liabilities | (79,623) | ||||
Total Liabilities | (591,341) | (1.0%) | |||
Net Assets | 56,691,840 | 100.0% |
28
Short-Term Investment-Grade Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 55,994,631 |
Undistributed Net Investment Income | 1,005 |
Accumulated Net Realized Losses | (74,042) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 845,939 |
Futures Contracts | (50,635) |
Options on Futures Contracts | 1,133 |
Swap Contracts | (5,954) |
Forward Currency Contracts | (20,499) |
Foreign Currencies | 262 |
Net Assets | 56,691,840 |
Investor Shares—Net Assets | |
Applicable to 901,935,961 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 9,737,054 |
Net Asset Value Per Share—Investor Shares | $10.80 |
Admiral Shares—Net Assets | |
Applicable to 3,421,061,647 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 36,932,843 |
Net Asset Value Per Share—Admiral Shares | $10.80 |
Institutional Shares—Net Assets | |
Applicable to 928,324,663 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,021,943 |
Net Asset Value Per Share—Institutional Shares | $10.80 |
• 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.
1 Securities with a value of $22,941,000 have been segregated as initial margin for open cleared swap contracts. 2 Securities with a value of $37,832,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $4,835,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap 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 Security made only partial principal and/or interest payments during the period ended July 31, 2016. 6 Adjustable-rate security.
7 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, 2016, the aggregate value of these securities was $8,170,531,000, representing 14.4% of net assets.
8 Face amount denominated in euro.
9 Face amount denominated in Australian dollars. 10 Face amount denominated in British pounds.
11 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.
29
Short-Term Investment-Grade Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 626,156 |
Total Income | 626,156 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,846 |
Management and Administrative—Investor Shares | 7,816 |
Management and Administrative—Admiral Shares | 12,893 |
Management and Administrative—Institutional Shares | 2,467 |
Marketing and Distribution—Investor Shares | 991 |
Marketing and Distribution—Admiral Shares | 1,791 |
Marketing and Distribution—Institutional Shares | 133 |
Custodian Fees | 370 |
Shareholders’ Reports—Investor Shares | 181 |
Shareholders’ Reports—Admiral Shares | 186 |
Shareholders’ Reports—Institutional Shares | 7 |
Trustees’ Fees and Expenses | 17 |
Total Expenses | 29,698 |
Net Investment Income | 596,458 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 156,577 |
Futures Contracts | (98,616) |
Options | 608 |
Swap Contracts | (11,184) |
Foreign Currencies and Forward Currency Contracts | 4,441 |
Realized Net Gain (Loss) | 51,826 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 969,085 |
Futures Contracts | 313 |
Options | 1,482 |
Swap Contracts | (7,910) |
Foreign Currencies and Forward Currency Contracts | (32,244) |
Change in Unrealized Appreciation (Depreciation) | 930,726 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,579,010 |
1 Interest income from an affiliated company of the fund was $2,161,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
30
Short-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 596,458 | 1,059,392 |
Realized Net Gain (Loss) | 51,826 | (73,067) |
Change in Unrealized Appreciation (Depreciation) | 930,726 | (538,317) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,579,010 | 448,008 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (100,661) | (202,612) |
Admiral Shares | (380,680) | (700,824) |
Institutional Shares | (104,593) | (181,977) |
Realized Capital Gain1 | ||
Investor Shares | — | (1,871) |
Admiral Shares | — | (6,383) |
Institutional Shares | — | (1,715) |
Total Distributions | (585,934) | (1,095,382) |
Capital Share Transactions | ||
Investor Shares | (281,017) | (976,042) |
Admiral Shares | 2,435,619 | 502,066 |
Institutional Shares | 642,742 | 971,116 |
Net Increase (Decrease) from Capital Share Transactions | 2,797,344 | 497,140 |
Total Increase (Decrease) | 3,790,420 | (150,234) |
Net Assets | ||
Beginning of Period | 52,901,420 | 53,051,654 |
End of Period2 | 56,691,840 | 52,901,420 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $9,969,000, 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 $1,005,000 and ($11,718,000).
See accompanying Notes, which are an integral part of the Financial Statements.
31
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 | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.60 | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 |
Investment Operations | ||||||
Net Investment Income | .109 | .204 | .200 | .194 | .231 | .269 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 201 | (.123) | . 016 | (. 039) | .139 | (. 008) |
Total from Investment Operations | .310 | .081 | .216 | .155 | .370 | .261 |
Distributions | ||||||
Dividends from Net Investment Income | (.110) | (. 209) | (. 200) | (.194) | (. 234) | (. 292) |
Distributions from Realized Capital Gains | — | (. 002) | (. 026) | (. 041) | (. 046) | (. 039) |
Total Distributions | (.110) | (. 211) | (. 226) | (. 235) | (. 280) | (. 331) |
Net Asset Value, End of Period | $10.80 | $10.60 | $10.73 | $10.74 | $10.82 | $10.73 |
Total Return1 | 2.94% | 0.77% | 2.03% | 1.46% | 3.48% | 2.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,737 | $9,840 | $10,943 | $11,752 | $12,166 | $13,394 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.11% | 1.91% | 1.86% | 1.81% | 2.13% | 2.52% |
Portfolio Turnover Rate | 67% | 75% | 79% | 122% | 80% | 47%2 |
The expense ratio, net investment 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 | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.60 | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 |
Investment Operations | ||||||
Net Investment Income | .114 | .215 | .211 | .205 | .242 | .279 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 201 | (.123) | . 016 | (. 039) | .139 | (. 008) |
Total from Investment Operations | .315 | .092 | .227 | .166 | .381 | .271 |
Distributions | ||||||
Dividends from Net Investment Income | (.115) | (. 220) | (. 211) | (. 205) | (. 245) | (. 302) |
Distributions from Realized Capital Gains — | (. 002) | (. 026) | (. 041) | (. 046) | (. 039) | |
Total Distributions | (.115) | (. 222) | (. 237) | (. 246) | (. 291) | (. 341) |
Net Asset Value, End of Period | $10.80 | $10.60 | $10.73 | $10.74 | $10.82 | $10.73 |
Total Return1 | 2.99% | 0.87% | 2.13% | 1.56% | 3.59% | 2.55% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $36,933 | $33,857 | $33,772 | $29,632 | $25,845 | $22,313 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.21% | 2.01% | 1.96% | 1.91% | 2.23% | 2.61% |
Portfolio Turnover Rate | 67% | 75% | 79% | 122% | 80% | 47%2 |
The expense ratio, net investment 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.
33
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 | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.60 | $10.73 | $10.74 | $10.82 | $10.73 | $10.80 |
Investment Operations | ||||||
Net Investment Income | .116 | .218 | .214 | .208 | .245 | .283 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 201 | (.123) | . 016 | (. 039) | .139 | (. 008) |
Total from Investment Operations | .317 | .095 | .230 | .169 | .384 | .275 |
Distributions | ||||||
Dividends from Net Investment Income | (.117) | (. 223) | (. 214) | (. 208) | (. 248) | (. 306) |
Distributions from Realized Capital Gains — | (. 002) | (. 026) | (. 041) | (. 046) | (. 039) | |
Total Distributions | (.117) | (. 225) | (. 240) | (. 249) | (. 294) | (. 345) |
Net Asset Value, End of Period | $10.80 | $10.60 | $10.73 | $10.74 | $10.82 | $10.73 |
Total Return | 3.00% | 0.90% | 2.16% | 1.59% | 3.62% | 2.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,022 | $9,205 | $8,337 | $6,802 | $4,672 | $1,864 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.24% | 2.04% | 1.99% | 1.94% | 2.26% | 2.65% |
Portfolio Turnover Rate | 67% | 75% | 79% | 122% | 80% | 47%1 |
The expense ratio, net investment 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.
34
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).
35
Short-Term Investment-Grade Fund
3. 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 six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 7% and 8% of net assets, respectively, based on the average of aggregate settlement 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 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
36
Short-Term Investment-Grade Fund
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, 2016, the fund’s average investment in forward currency contracts represented 6% 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 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
37
Short-Term Investment-Grade Fund
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 counter-party 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, 2016, the fund’s average amounts of credit protection sold and credit protection purchased represented 1% and 2% 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 5% 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. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
38
Short-Term Investment-Grade Fund
The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.
The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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, 2016, 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.
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, 2013–2016), and for the period ended July 31, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
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 (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of
39
Short-Term Investment-Grade Fund
the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $4,491,000, representing 0.01% of the fund’s net assets and 1.80% 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).
40
Short-Term Investment-Grade Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 9,720,152 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 12,706,002 | 72,738 |
Corporate Bonds | — | 29,602,786 | 4 |
Sovereign Bonds | — | 3,700,901 | — |
Taxable Municipal Bonds | — | 209,047 | — |
Tax-Exempt Municipal Bonds | — | 10,000 | — |
Convertible Preferred Stocks | — | — | — |
Temporary Cash Investments | 496,417 | — | — |
Liability for Options Written | (1,157) | — | — |
Futures Contracts—Assets1 | 8,805 | — | — |
Futures Contracts—Liabilities1 | (12,969) | — | — |
Forward Currency Contracts—Assets | — | 15,964 | — |
Forward Currency Contracts—Liabilities | — | (36,463) | — |
Swap Contracts—Assets | 1,3661 | 24,645 | — |
Swap Contracts—Liabilities | (3,678)1 | (12,521) | — |
Total | 488,784 | 55,940,513 | 72,742 |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, 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 | 10,032 | 32,518 | 8,230 | 50,780 |
Liability for Options Written | (1,157) | — | — | (1,157) |
Other Liabilities | (15,957) | (36,463) | (13,211) | (65,631) |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2016, were:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | (98,616) | — | — | (98,616) |
Options | 608 | — | — | 608 |
Swap Contracts | (16,892) | 125 | 5,583 | (11,184) |
Forward Currency Contracts | — | 321 | — | 321 |
Realized Net Gain (Loss) on Derivatives | (114,900) | 446 | 5,583 | (108,871) |
41
Short-Term Investment-Grade Fund | ||||
Interest Rate | Currency | Credit | ||
Change in Unrealized Appreciation | Contracts | Contracts | Contracts | Total |
(Depreciation) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | 313 | — | — | 313 |
Options | 1,482 | — | — | 1,482 |
Swap Contracts | (893) | (2,193) | (4,824) | (7,910) |
Forward Currency Contracts | — | (32,754) | — | (32,754) |
Change in Unrealized Appreciation | ||||
(Depreciation) on Derivatives | 902 | (34,947) | (4,824) | (38,869) |
At July 31, 2016, 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 2016 | 28,152 | 3,434,984 | 23,827 |
Ultra 10-Year U.S. Treasury Note | September 2016 | (12,039) | (1,760,139) | (63,183) |
10-Year U.S. Treasury Note | September 2016 | (11,846) | (1,576,073) | (1,592) |
2-Year U.S. Treasury Note | September 2016 | 4,024 | 881,256 | 496 |
AUD 3-Year Treasury Bond | September 2016 | (5,383) | (464,050) | (1,295) |
Euro-Bund | September 2016 | (1,625) | (304,870) | (4,761) |
Euro-Bobl | September 2016 | (1,563) | (233,581) | (1,883) |
AUD 90-Day Bank Bill | September 2016 | (50) | (37,827) | (2) |
Ultra Long U.S. Treasury Bond | September 2016 | 145 | 27,627 | 193 |
Long Gilt | September 2016 | (145) | (25,129) | (1,395) |
AUD 10-Year Treasury Bond | September 2016 | (127) | (13,256) | (241) |
30-Year U.S. Treasury Bond | September 2016 | (66) | (11,513) | (203) |
Euro-Schatz | September 2016 | (59) | (7,389) | (2) |
Euro-Buxl | September 2016 | (30) | (6,609) | (594) |
(50,635) |
Unrealized appreciation (depreciation) on open futures contracts, except for AUD 90-Day Bank Bill, AUD 3-Year Treasury Bond, and AUD 10-Year Treasury Bond futures contracts, is required to be treated as realized gain (loss) for tax purposes.
At July 31, 2016, 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.
42
Short-Term Investment-Grade Fund
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | Contract Amount (000) | (Depreciation) | ||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Barclays Capital | 8/3/16 | EUR | 495,159 | USD | 544,512 | 9,144 |
JPMorgan Chase Bank N.A. | 8/3/16 | AUD | 534,894 | USD | 402,845 | 3,606 |
BNP Paribas | 8/3/16 | AUD | 140,500 | USD | 105,683 | 1,079 |
Morgan Stanley Capital Services LLC | 8/3/16 | GBP | 64,026 | USD | 84,051 | 689 |
BNP Paribas | 8/3/16 | EUR | 56,811 | USD | 63,032 | 489 |
JPMorgan Chase Bank N.A. | 8/3/16 | EUR | 18,588 | USD | 20,569 | 215 |
Morgan Stanley Capital Services LLC | 9/2/16 | EUR | 17,821 | USD | 19,571 | 380 |
Citibank, N.A. | 8/3/16 | EUR | 17,596 | USD | 19,426 | 249 |
Morgan Stanley Capital Services LLC | 8/3/16 | EUR | 2,247 | USD | 2,497 | 15 |
Bank of America N.A. | 8/3/16 | USD | 631,528 | EUR | 572,457 | (8,557) |
Barclays Capital | 9/2/16 | USD | 545,182 | EUR | 495,159 | (9,146) |
JPMorgan Chase Bank N.A. | 9/2/16 | USD | 406,417 | AUD | 540,234 | (3,659) |
UBS AG | 8/3/16 | USD | 370,491 | AUD | 501,135 | (10,308) |
BNP Paribas | 9/2/16 | USD | 112,928 | AUD | 150,318 | (1,173) |
Morgan Stanley Capital Services LLC | 8/3/16 | USD | 84,579 | GBP | 64,026 | (161) |
Morgan Stanley Capital Services LLC | 9/2/16 | USD | 84,091 | GBP | 64,026 | (691) |
JPMorgan Chase Bank N.A. | 8/3/16 | USD | 80,923 | AUD | 108,375 | (1,428) |
JPMorgan Chase Bank N.A. | 9/2/16 | USD | 41,262 | EUR | 37,486 | (704) |
Bank of America N.A. | 9/2/16 | USD | 39,490 | EUR | 35,677 | (449) |
BNP Paribas | 8/3/16 | USD | 25,014 | AUD | 33,000 | (62) |
JPMorgan Chase Bank N.A. | 8/3/16 | USD | 14,912 | AUD | 19,563 | 47 |
BNP Paribas | 8/3/16 | USD | 13,311 | EUR | 11,967 | (70) |
Barclays Capital | 8/3/16 | USD | 10,173 | AUD | 13,321 | 51 |
JPMorgan Chase Bank N.A. | 8/3/16 | USD | 6,635 | EUR | 5,978 | (49) |
Citibank, N.A. | 9/2/16 | USD | 454 | AUD | 606 | (6) |
(20,499) | ||||||
AUD—Australian dollar. | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
43
Short-Term Investment-Grade Fund | ||||||
At July 31, 2016, 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 | Clearinghouse | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold | ||||||
CDX-NA-IG-26-V1 | 6/20/21 | ICE | 135,510 | (1,880) | 1.000 | (104) |
Credit Protection Purchased | ||||||
CDX-NA-HY-26-V1 | 6/20/21 | ICE | 132,515 | 5,035 | (5.000) | (817) |
CDX-NA-IG-26-V1 | 6/20/21 | CME | 230,000 | 2,153 | (1.000) | (858) |
362,515 | (1,675) | |||||
(1,779) | ||||||
CME—Chicago Mercantile Exchange. | ||||||
ICE—Intercontinental Exchange. | ||||||
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
Berkshire Hathaway/Aa2 | 6/20/21 | BARC | 16,690 | (109) | 1.000 | (3) |
Berkshire Hathaway/Aa2 | 6/20/21 | BARC | 16,595 | 70 | 1.000 | 176 |
Berkshire Hathaway/Aa2 | 6/20/21 | GSI | 6,675 | (52) | 1.000 | (10) |
Berkshire Hathaway/Aa2 | 6/20/21 | JPMC | 10,030 | (49) | 1.000 | 15 |
BHP Billiton/A3 | 6/20/21 | DBAG | 29,287 | 1,017 | 1.000 | 557 |
Energy Transfer Partners LP/Baa3 | 6/20/17 | BOANA | 14,630 | 155 | 1.000 | 165 |
Federation of Malaysia/A3 | 6/20/21 | BARC | 17,488 | 507 | 1.000 | 160 |
Federation of Malaysia/A3 | 6/20/21 | BNPSW | 39,400 | 1,139 | 1.000 | 356 |
Federation of Malaysia/A3 | 6/20/21 | DBAG | 25,815 | 854 | 1.000 | 341 |
General Electric Capital Corp./A1 | 12/20/19 | DBAG | 29,290 | (416) | 1.000 | 225 |
Hartford Financial Services | ||||||
Group Inc./Baa2 | 3/20/18 | GSCM | 9,750 | 9 | 1.000 | 132 |
Metlife Inc./A3 | 12/20/20 | GSCM | 14,025 | — | 1.000 | (109) |
People’s Republic of China/Aa3 | 9/20/20 | BNPSW | 4,880 | 27 | 1.000 | 32 |
People’s Republic of China/Aa3 | 9/20/20 | JPMC | 24,405 | (86) | 1.000 | (65) |
People’s Republic of China/Aa3 | 12/20/20 | BARC | 19,515 | 249 | 1.000 | 227 |
44
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 10,830 | 199 | 1.000 | 187 |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 13,000 | 203 | 1.000 | 188 |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 14,635 | 133 | 1.000 | 117 |
People’s Republic of China/Aa3 | 12/20/20 | JPMC | 11,900 | 68 | 1.000 | 55 |
People’s Republic of China/Aa3 | 12/20/20 | JPMC | 7,220 | 90 | 1.000 | 82 |
Republic of Chile/Aa3 | 12/20/20 | BARC | 8,780 | 172 | 1.000 | 237 |
Republic of Chile/Aa3 | 12/20/20 | GSCM | 8,585 | 131 | 1.000 | 194 |
Republic of Chile/Aa3 | 12/20/20 | JPMC | 14,635 | 261 | 1.000 | 369 |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 25,680 | (77) | 1.000 | 60 |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 11,530 | 32 | 1.000 | 93 |
Republic of Chile/Aa3 | 6/20/21 | DBAG | 13,480 | — | 1.000 | 72 |
Republic of Chile/Aa3 | 6/20/21 | JPMC | 9,760 | (24) | 1.000 | 28 |
Republic of Colombia/Baa2 | 6/20/21 | BARC | 14,250 | 700 | 1.000 | 65 |
Republic of Colombia/Baa2 | 6/20/21 | BNPSW | 19,530 | 698 | 1.000 | (172) |
Republic of Colombia/Baa2 | 6/20/21 | BOANA | 5,155 | 322 | 1.000 | 92 |
Republic of Colombia/Baa2 | 6/20/21 | CITNA | 16,600 | 794 | 1.000 | 54 |
Republic of Colombia/Baa2 | 6/20/21 | DBAG | 10,740 | 676 | 1.000 | 197 |
Republic of Colombia/Baa2 | 6/20/21 | DBAG | 5,370 | 333 | 1.000 | 94 |
Republic of Colombia/Baa2 | 6/20/21 | JPMC | 15,700 | 572 | 1.000 | (128) |
Republic of Colombia/Baa2 | 6/20/21 | JPMC | 5,370 | 312 | 1.000 | 73 |
Republic of Colombia/Baa2 | 6/20/21 | MSCS | 4,983 | 294 | 1.000 | 71 |
Republic of Indonesia/Baa3 | 6/20/21 | BNPSW | 12,730 | 681 | 1.000 | 309 |
Republic of Indonesia/Baa3 | 6/20/21 | DBAG | 15,110 | 752 | 1.000 | 310 |
Republic of Peru/A3 | 6/20/21 | BARC | 3,005 | 95 | 1.000 | 52 |
Republic of Turkey/Baa3 | 12/20/16 | BNPSW | 10,740 | 6 | 1.000 | 16 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 19,540 | 437 | 1.000 | 471 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 9,600 | 212 | 1.000 | 228 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 16,020 | 354 | 1.000 | 381 |
United Mexican States/A3 | 6/20/21 | BARC | 12,200 | 367 | 1.000 | 70 |
United Mexican States/A3 | 6/20/21 | BNPSW | 1,660 | 60 | 1.000 | 19 |
United Mexican States/A3 | 6/20/21 | BNPSW | 22,990 | 781 | 1.000 | 222 |
United Mexican States/A3 | 6/20/21 | BNPSW | 36,980 | 1,064 | 1.000 | 164 |
686,783 | 6,469 |
45
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Purchased | ||||||
Aetna Inc. | 12/20/19 | CSFBI | 19,525 | 434 | (1.000) | (103) |
Aetna Inc. | 6/20/20 | GSCM | 19,530 | 594 | (1.000) | 7 |
American International Group Inc. | 6/20/20 | BOANA | 11,720 | 168 | (1.000) | (21) |
American International Group Inc. | 6/20/20 | BOANA | 11,720 | 168 | (1.000) | (21) |
American International Group Inc. 12/20/20 | GSCM | 14,025 | 276 | (1.000) | 81 | |
American International Group Inc. 12/20/20 | GSCM | 6,990 | (94) | (1.000) | (191) | |
Autozone Inc. | 12/20/20 | GSCM | 9,760 | 303 | (1.000) | (16) |
Bank of America Corp. | 3/20/20 | GSCM | 21,610 | 248 | (1.000) | (61) |
CMBX-NA-AAA-9 | 9/17/58 | CSFBI | 38,790 | (2,172) | (0.500) | (427) |
CMBX-NA-AAA-9 | 9/17/58 | CSFBI | 64,850 | (2,640) | (0.500) | 278 |
CMBX-NA-AAA-9 | 9/17/58 | CSFBI | 19,340 | (927) | (0.500) | (57) |
CMBX-NA-AAA-9 | 9/17/58 | CSFBI | 19,550 | (796) | (0.500) | 84 |
CMBX-NA-AAA-9 | 9/17/58 | DBAG | 39,030 | (2,240) | (0.500) | (483) |
CMBX-NA-AAA-9 | 9/17/58 | DBAG | 19,500 | (1,053) | (0.500) | (176) |
CMBX-NA-AAA-9 | 9/17/58 | DBAG | 38,960 | (2,249) | (0.500) | (496) |
CMBX-NA-AAA-9 | 9/17/58 | DBAG | 19,500 | (1,148) | (0.500) | (271) |
CMBX-NA-AAA-9 | 9/17/58 | DBAG | 18,120 | (714) | (0.500) | 102 |
CMBX-NA-AAA-9 | 9/17/58 | GSI | 19,500 | (1,140) | (0.500) | (263) |
CMBX-NA-AAA-9 | 9/17/58 | GSI | 38,830 | (2,322) | (0.500) | (575) |
CMBX-NA-AAA-9 | 9/17/58 | GSI | 12,970 | (545) | (0.500) | 39 |
CMBX-NA-AAA-9 | 9/17/58 | GSI | 3,910 | (164) | (0.500) | 12 |
CMBX-NA-AAA-9 | 9/17/58 | JPMC | 19,300 | (991) | (0.500) | (123) |
CMBX-NA-AAA-9 | 9/17/58 | MSCS | 38,920 | (2,212) | (0.500) | (461) |
CMBX-NA-AAA-9 | 9/17/58 | MSCS | 19,280 | (827) | (0.500) | 40 |
CMBX-NA-AAA-9 | 9/17/58 | MSCS | 19,330 | (1,057) | (0.500) | (187) |
Commerzbank AG | 6/20/21 | BOANA | 24,410 | (284) | (1.000) | (124) |
CVS Health Corp. | 12/20/20 | BOANA | 4,880 | 149 | (1.000) | (23) |
CVS Health Corp. | 12/20/20 | BOANA | 4,880 | 168 | (1.000) | (3) |
CVS Health Corp. | 12/20/20 | BOANA | 9,760 | 298 | (1.000) | (45) |
CVS Health Corp. | 12/20/20 | BOANA | 9,760 | 294 | (1.000) | (48) |
El du Pont de Nemours & Co. | 12/20/20 | JPMC | 25,215 | 533 | (1.000) | (125) |
Federal Express Corp. | 12/20/18 | GSCM | 21,640 | 160 | (1.000) | (290) |
46
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
Federative Republic of Brazil | 12/20/20 | BARC | 14,940 | (1,745) | (1.000) | (802) |
Federative Republic of Brazil | 12/20/20 | BNPSW | 11,447 | (1,681) | (1.000) | (959) |
Federative Republic of Brazil | 6/20/21 | DBAG | 16,110 | (1,938) | (1.000) | (639) |
Federative Republic of Brazil | 6/20/21 | GSI | 17,425 | (1,967) | (1.000) | (562) |
Federative Republic of Brazil | 12/20/25 | BOANA | 23,222 | (6,148) | (1.000) | (1,995) |
Federative Republic of Brazil | 12/20/25 | GSCM | 10,925 | (2,700) | (1.000) | (746) |
Intesa Sanpaolo SpA | 12/20/19 | BARC | 14,510 | 102 | (1.000) | 63 |
Lincoln National Corp. | 6/20/21 | BARC | 3,340 | (94) | (1.000) | (23) |
Lincoln National Corp. | 6/20/21 | BARC | 3,335 | 95 | (1.000) | 166 |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | 331 | (1.000) | (105) |
McKesson Corp. | 3/20/19 | JPMC | 18,210 | 339 | (1.000) | (97) |
PPG Industries Inc. | 3/20/18 | GSCM | 9,760 | 70 | (1.000) | (73) |
Republic of Austria | 9/20/17 | BNPSW | 3,800 | (112) | (1.000) | (152) |
Republic of Korea | 9/20/18 | JPMC | 7,800 | 31 | (1.000) | (105) |
Republic of South Africa | 12/20/20 | BOANA | 18,950 | (1,303) | (1.000) | (337) |
Republic of South Africa | 12/20/20 | JPMC | 18,950 | (1,311) | (1.000) | (344) |
Republic of Turkey | 6/20/21 | BARC | 19,630 | (1,508) | (1.000) | (51) |
Republic of Turkey | 6/20/21 | BNPSW | 19,530 | (1,492) | (1.000) | (42) |
Republic of Turkey | 6/20/21 | JPMC | 19,530 | (1,501) | (1.000) | (51) |
Royal Bank of Scotland plc | 12/20/20 | BNPSW | 18,060 | 134 | (1.000) | 263 |
United Mexican States | 12/20/18 | DBAG | 4,900 | (15) | (1.000) | (41) |
UnitedHealth Group Inc. | 12/20/19 | CSFBI | 19,525 | 422 | (1.000) | (124) |
UnitedHealth Group Inc. | 6/20/20 | CSFBI | 19,530 | 571 | (1.000) | (25) |
Wells Fargo & Co. | 9/20/20 | BOANA | 25,940 | 438 | (1.000) | (171) |
1,022,684 | (10,899) | |||||
(4,430) |
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.
BARC—Barclays Bank plc. BNPSW—BNP Paribas. BOANA—Bank of America, N.A. CITNA—Citibank, N.A.
CSFBI—Credit Suisse First Boston International. DBAG—Deutsche Bank AG.
GSCM—Goldman Sachs Bank USA. GSI—Goldman Sachs International. JPMC—JP Morgan Chase Bank. MSCS—Morgan Stanley Capital Services LLC.
47
Short-Term Investment-Grade Fund | ||||||
Centrally Cleared Interest Rate Swaps | ||||||
Fixed | Floating | |||||
Interest Rate | Interest Rate | Unrealized | ||||
Future | Notional | Received | Received | Appreciation | ||
Effective | Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Date | Clearinghouse | ($000) | (%) | (%) | ($000) |
9/21/17 | 9/21/161 | CME | 496,504 | (1.250) | 0.0002 | 148 |
11/15/17 | NA | LCH | 100,000 | 1.069 | (0.481)3 | 564 |
9/21/18 | 9/21/161 | CME | 1,165,951 | 1.500 | (0.000)2 | 6 |
8/15/19 | NA | LCH | 175,000 | (1.524) | 0.4813 | (4,137) |
9/21/19 | 9/21/161 | CME | 60,079 | (1.500) | 0.0002 | (43) |
8/15/20 | NA | LCH | 400,000 | (1.486) | 0.4812 | (10,818) |
9/21/20 | 9/21/161 | CME | 301,885 | (1.750) | 0.0003 | (674) |
9/21/21 | 9/21/161 | CME | 92,633 | (2.000) | 0.0003 | (376) |
9/21/23 | 9/21/161 | CME | 115,664 | (2.250) | 0.000 | (969) |
(16,299) | ||||||
CME—Chicago Mercantile Exchange. | ||||||
LCH—London Clearing House. | ||||||
1 Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. | ||||||
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. | ||||||
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 | Counterparty | ($000) | (000) | ($000) |
USD 5.453% | GBP 5.875% | 4/28/17 | MSCS | 24,528 | GBP 14,650 | 5,159 |
USD 4.684% | GBP 5.375% | 9/28/16 | MSCS | 23,541 | GBP 13,750 | 5,343 |
USD 5.693% | GBP 6.125% | 5/14/17 | BARC | 16,195 | GBP 9,770 | 3,286 |
USD 5.686% | GBP 6.125% | 5/14/17 | BARC | 13,493 | GBP 8,119 | 2,766 |
16,554 | ||||||
BARC—Barclays Bank plc. | ||||||
MSCS—Morgan Stanley Capital Services LLC. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
At July 31, 2016, counterparties had deposited in segregated accounts securities and cash with a value of $37,654,000 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.
48
Short-Term Investment-Grade Fund
During the six months ended July 31, 2016, the fund realized net foreign currency gains of $6,926,000 (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 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 losses of $4,727,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
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, 2016, the fund had available capital losses totaling $164,627,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At July 31, 2016, the cost of investment securities for tax purposes was $55,680,458,000. Net unrealized appreciation of investment securities for tax purposes was $837,589,000, consisting of unrealized gains of $1,063,272,000 on securities that had risen in value since their purchase and $225,683,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended July 31, 2016, the fund purchased $10,213,702,000 of investment securities and sold $12,125,054,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $7,755,096,000 and $5,279,666,000, respectively.
The following table summarizes the fund’s options written during the six months ended July 31, 2016.
Options on | ||||
Futures Contracts | Swaptions | |||
Notional | ||||
Amount of | ||||
Premiums | Underlying | Premiums | ||
Number of | Received | Swap | Received | |
Options Written | Contracts | ($000) | ($000) | ($000) |
Balance at January 31, 2016 | 3,850 | 1,553 | — | — |
Options Written | 44,813 | 18,420 | 581,545 | 666 |
Options Expired | (4,911) | (1,903) | (581,545) | (666) |
Options Closed | (39,106) | (15,780) | — | — |
Options Exercised | — | — | — | — |
Balance at July 31, 2016 | 4,646 | 2,290 | — | — |
49
Short-Term Investment-Grade Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,167,553 | 109,279 | 2,327,502 | 218,394 |
Issued in Lieu of Cash Distributions | 90,908 | 8,485 | 184,254 | 17,295 |
Redeemed | (1,539,478) | (143,974) | (3,487,798) | (327,231) |
Net Increase (Decrease)—Investor Shares | (281,017) | (26,210) | (976,042) | (91,542) |
Admiral Shares | ||||
Issued | 6,312,277 | 590,323 | 10,442,543 | 979,847 |
Issued in Lieu of Cash Distributions | 300,533 | 28,047 | 551,174 | 51,744 |
Redeemed | (4,177,191) | (390,888) | (10,491,651) | (984,816) |
Net Increase (Decrease)—Admiral Shares | 2,435,619 | 227,482 | 502,066 | 46,775 |
Institutional Shares | ||||
Issued | 1,576,750 | 147,415 | 3,011,844 | 282,780 |
Issued in Lieu of Cash Distributions | 88,628 | 8,271 | 158,703 | 14,899 |
Redeemed | (1,022,636) | (95,625) | (2,199,431) | (206,214) |
Net Increase (Decrease)—Institutional Shares | 642,742 | 60,061 | 971,116 | 91,465 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
50
Intermediate-Term Investment-Grade Fund
Fund Profile | |||
As of July 31, 2016 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VFICX | VFIDX | |
Expense Ratio1 | 0.20% | 0.10% | |
30-Day SEC Yield | 2.25% | 2.35% | |
Financial Attributes | |||
Barclays | Barclays | ||
5–10 Year | Aggregate | ||
Credit | Bond | ||
Fund | Index | Index | |
Number of Bonds | 2,179 | 1,965 | 9,804 |
Yield to Maturity | |||
(before expenses) | 2.3% | 2.7% | 1.9% |
Average Coupon | 3.3% | 3.7% | 3.1% |
Average Duration | 5.5 years | 6.5 years | 5.5 years |
Average Effective | |||
Maturity | 6.4 years | 7.4 years | 7.7 years |
Short-Term | |||
Reserves | 0.5% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 8.3% | ||
Commercial Mortgage-Backed | 5.6 | ||
Finance | 30.5 | ||
Foreign | 2.6 | ||
Government Mortgage-Backed | 0.1 | ||
Industrial | 40.6 | ||
Treasury/Agency | 7.2 | ||
Utilities | 4.9 | ||
Other | 0.2 |
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 | |
5–10 Year | Aggregate | |
Credit | Bond | |
Index | Index | |
R-Squared | 0.96 | 0.91 |
Beta | 0.80 | 1.10 |
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 | 2.6% |
1 - 3 Years | 10.8 |
3 - 5 Years | 19.0 |
5 - 7 Years | 25.2 |
7 - 10 Years | 40.7 |
10 - 20 Years | 1.3 |
20 - 30 Years | 0.3 |
Over 30 Years | 0.1 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 7.2% |
Aaa | 13.1 |
Aa | 15.6 |
A | 44.0 |
Baa | 18.8 |
Ba | 0.4 |
B | 0.1 |
Not Rated | 0.8 |
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.
1 The expense ratios shown are from the prospectus dated May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.20% for Investor Shares and 0.10% for Admiral Shares.
51
Intermediate-Term Investment-Grade Fund
52
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
5–10 Year | ||||
Credit | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 2.98 | -2.95 | 0.03 | -1.39 |
2017 | 1.50 | 4.32 | 5.82 | 7.79 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 7.00% | 5.01% | 4.34% | 1.75% | 6.09% |
Admiral Shares | 2/12/2001 | 7.11 | 5.11 | 4.45 | 1.75 | 6.20 |
See Financial Highlights for dividend and capital gains information.
53
Intermediate-Term Investment-Grade Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2016
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 Inflation | ||||||
Indexed Bonds | 0.625% | 1/15/26 | 372,092 | 396,835 | 1.4% | |
United States Treasury Inflation | ||||||
Indexed Bonds | 0.125% | 7/15/26 | 9,209 | 9,371 | 0.0% | |
1 | United States Treasury Note/Bond | 1.625% | 4/30/19 | 163,200 | 167,127 | 0.6% |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 161,000 | 163,465 | 0.6% | |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 161,400 | 163,014 | 0.6% | |
1 | United States Treasury Note/Bond | 0.750% | 2/15/19 | 146,400 | 146,514 | 0.5% |
2 | United States Treasury Note/Bond | 1.500% | 1/31/19 | 137,000 | 139,655 | 0.5% |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 100,000 | 107,000 | 0.4% | |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 104,000 | 104,358 | 0.4% | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 100,000 | 100,375 | 0.4% | |
3 | United States Treasury Note/Bond | 1.250% | 1/31/19 | 82,000 | 83,102 | 0.3% |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 77,000 | 78,191 | 0.3% | |
United States Treasury | ||||||
Note/Bond | 0.500%–3.625% | 9/30/16–2/15/25 | 293,448 | 298,182 | 1.1% | |
1,957,189 | 7.1% | |||||
Nonconventional Mortgage-Backed Securities † | 490 | 0.0% | ||||
Total U.S. Government and Agency Obligations (Cost $1,943,356) | 1,957,679 | 7.1% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | ||||||
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-PWR16 | 5.720% | 6/11/40 | 16,596 | 16,914 | 0.1% | |
4 | Bear Stearns Commercial Mortgage | |||||
Securities Trust 2007-PWR17 | 5.650% | 6/11/50 | 7,272 | 7,510 | 0.0% | |
4,5 | Chase Issuance Trust 2007-C1 | 0.941% | 4/15/19 | 6,100 | 6,088 | 0.0% |
4,5 | Chase Issuance Trust 2016-A1 | 0.891% | 5/17/21 | 1,577 | 1,577 | 0.0% |
4,6 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2013-AA | 1.830%–2.930% | 3/15/19–8/17/20 | 3,205 | 3,214 | 0.0% |
54
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4,6 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2014-AA | 2.280% | 11/15/19 | 2,150 | 2,161 | 0.0% | |
4,6 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2014-BA | 3.440% | 8/16/21 | 290 | 287 | 0.0% | |
4,6 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2015-BA | 2.260%–4.170% | 10/15/20–1/16/23 | 19,000 | 19,179 | 0.1% | |
4,6 | Chrysler Capital Auto | |||||
Receivables Trust | ||||||
2016-AA | 2.880%–4.220% | 2/15/22–2/15/23 | 10,900 | 10,950 | 0.0% | |
4,6 | Drive Auto Receivables | |||||
Trust 2015-AA | 2.280%–4.120% | 6/17/19–7/15/22 | 10,113 | 10,181 | 0.0% | |
4,6 | Drive Auto Receivables | |||||
Trust 2015-BA | 1.300%–3.840% | 6/15/18–7/15/21 | 12,636 | 12,714 | 0.1% | |
4,6 | Drive Auto Receivables | |||||
Trust 2015-CA | 2.230%–4.200% | 9/16/19–9/15/21 | 18,420 | 18,596 | 0.1% | |
4,6 | Drive Auto Receivables | |||||
Trust 2015-DA | 1.590%–4.590% | 12/17/18–1/17/23 | 35,525 | 36,108 | 0.1% | |
4,6 | Drive Auto Receivables | |||||
Trust 2016-AA | 2.110%–3.910% | 5/15/19–5/17/21 | 19,050 | 19,204 | 0.1% | |
4,6 | Drive Auto Receivables | |||||
Trust 2016-BA | 1.670%–4.530% | 7/15/19–8/15/23 | 29,270 | 29,672 | 0.1% | |
4 | Ford Credit Auto Lease | |||||
Trust 2014-A | 1.160% | 8/15/17 | 1,580 | 1,580 | 0.0% | |
4 | Ford Credit Auto Lease | |||||
Trust 2015-B | 1.540%–1.920% | 2/15/19–3/15/19 | 11,930 | 11,867 | 0.1% | |
4 | Ford Credit Auto Lease | |||||
Trust 2016-A | 1.850% | 7/15/19 | 17,030 | 17,072 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2013-D | 1.720% | 7/15/19 | 2,890 | 2,899 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2014-REV1 | 2.260%–2.410% | 11/15/25 | 7,488 | 7,583 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2014-REV2 | 2.310%–2.510% | 4/15/26 | 13,470 | 13,722 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2015-B | 2.040% | 10/15/20 | 5,010 | 5,066 | 0.0% | |
4 | Ford Credit Auto Owner | |||||
Trust 2015-C | 2.010%–2.260% | 3/15/21–3/15/22 | 6,755 | 6,832 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2015-REV1 | 2.120% | 7/15/26 | 6,600 | 6,695 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2015-REV2 | 2.440% | 1/15/27 | 26,000 | 26,672 | 0.1% | |
4 | Ford Credit Auto Owner | |||||
Trust 2016-B | 1.850% | 9/15/21 | 2,430 | 2,434 | 0.0% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2016-REV1 | 2.310% | 8/15/27 | 15,740 | 16,069 | 0.1% | |
4,6 | Ford Credit Auto Owner | |||||
Trust 2016-REV2 | 2.030% | 12/15/27 | 21,240 | 21,367 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2012-2 | 1.920% | 1/15/19 | 2,000 | 2,008 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2012-5 | 1.690%–2.140% | 9/15/19 | 3,500 | 3,511 | 0.0% |
55
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 | ||||||
2013-4 | 2.100%–2.790% | 6/15/20 | 1,680 | 1,692 | 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 | 2,909 | 0.0% | |
4,5 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2014-2 | 0.981% | 2/15/21 | 6,100 | 6,085 | 0.0% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2014-4 | 1.400% | 8/15/19 | 14,795 | 14,821 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2015-2 | 1.980% | 1/15/22 | 11,758 | 11,840 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2015-5 | 2.390% | 8/15/22 | 26,140 | 26,985 | 0.1% | |
4 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2016-1 | 1.760% | 2/15/21 | 16,890 | 16,998 | 0.1% | |
4,5 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2016-3 | 1.103% | 7/15/21 | 18,250 | 18,257 | 0.1% | |
4,5 | Ford Credit Floorplan Master | |||||
Owner Trust A Series | ||||||
2016-4 | 1.012% | 7/15/20 | 14,110 | 14,113 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2012-2 | 1.237% | 4/22/19 | 13,000 | 13,030 | 0.1% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2014-2 | 0.937% | 10/20/19 | 4,400 | 4,390 | 0.0% | |
4,5 | GE Dealer Floorplan Master | |||||
Note Trust Series 2015-2 | 1.137% | 1/20/22 | 24,050 | 23,981 | 0.1% | |
4,6 | GS Mortgage Securities | |||||
Trust 2010-C2 | 5.184% | 12/10/43 | 1,370 | 1,547 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2011-GC3 | 5.633% | 3/10/44 | 2,650 | 2,945 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-ALOHA | 3.550% | 4/10/34 | 5,430 | 5,897 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-BWTR | 2.954% | 11/5/34 | 7,625 | 7,931 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,163 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2012-GCJ7 | 5.729% | 5/10/45 | 2,140 | 2,378 | 0.0% | |
4,6 | GS Mortgage Securities | |||||
Trust 2013-GC13 | 4.067% | 7/10/46 | 1,210 | 1,253 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2013-GCJ12 | 3.135%–3.777% | 6/10/46 | 5,370 | 5,744 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2013-GCJ14 | 2.995%–4.243% | 8/10/46 | 7,128 | 7,761 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2014-GC20 | 3.998% | 4/10/47 | 9,870 | 11,023 | 0.1% | |
4 | GS Mortgage Securities | |||||
Trust 2014-GC24 | 3.931%–4.529% | 9/10/47 | 25,550 | 28,285 | 0.1% |
56
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
4 | GS Mortgage Securities | |||||
Trust 2014-GC26 | 3.629% | 11/10/47 | 2,150 | 2,365 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC28 | 3.396% | 2/10/48 | 9,980 | 10,736 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC30 | 3.382% | 5/10/50 | 4,565 | 4,940 | 0.0% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC32 | 3.764%–4.412% | 7/10/48 | 16,245 | 18,074 | 0.1% | |
4 | GS Mortgage Securities | |||||
Trust 2015-GC34 | 3.506%–4.655% | 10/10/48 | 12,320 | 13,383 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-C1 | 5.716% | 2/15/51 | 21,952 | 22,399 | 0.1% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-CIBC20 | 5.746% | 2/12/51 | 3,797 | 3,923 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP10 | 5.439% | 1/15/49 | 2,826 | 2,867 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2007-LDP12 | 5.850% | 2/15/51 | 2,137 | 2,198 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C1 | 4.608% | 6/15/43 | 9,784 | 10,525 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2010-C2 | 3.616%–5.558% | 11/15/43 | 7,221 | 7,722 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2011-C3 | 4.388%–5.360% | 2/15/46 | 14,710 | 15,787 | 0.1% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2011-C5 | 5.321% | 8/15/46 | 4,000 | 4,618 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-C6 | 3.507% | 5/15/45 | 4,499 | 4,874 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-C8 | 2.829%–3.424% | 10/15/45 | 8,710 | 9,174 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-CIBX | 4.271% | 6/15/45 | 1,350 | 1,495 | 0.0% | |
4,6 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-HSBC | 3.093% | 7/5/32 | 5,900 | 6,176 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2012-LC9 | 2.840% | 12/15/47 | 4,670 | 4,894 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2013-C13 | 4.053% | 1/15/46 | 2,550 | 2,619 | 0.0% | |
4 | JP Morgan Chase Commercial | |||||
Mortgage Securities Trust | ||||||
2013-C16 | 3.674%–4.975% | 12/15/46 | 4,365 | 4,924 | 0.0% |
57
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 | ||||||
2013-LC11 | 2.960% | 4/15/46 | 6,098 | 6,418 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2006-IQ12 | 5.319% | 12/15/43 | 980 | 984 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ15 | 5.906% | 6/11/49 | 5,224 | 5,398 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2007-IQ16 | 5.688% | 12/12/49 | 3,900 | 4,032 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2012-C4 | 3.244%–3.773% | 3/15/45 | 4,700 | 5,036 | 0.0% | |
4,6 | Morgan Stanley Capital I | |||||
Trust 2012-STAR | 3.201% | 8/5/34 | 6,000 | 6,334 | 0.0% | |
4,6 | Morgan Stanley Capital I | |||||
Trust 2014-150E | 3.912% | 9/9/32 | 6,370 | 6,969 | 0.0% | |
4,6 | Morgan Stanley Capital I | |||||
Trust 2014-CPT | 3.350% | 7/13/29 | 2,795 | 2,966 | 0.0% | |
4,6 | Morgan Stanley Capital I | |||||
Trust 2015-420 | 3.727% | 10/11/50 | 4,430 | 4,865 | 0.0% | |
4 | Morgan Stanley Capital I | |||||
Trust 2015-UBS8 | 3.809%–4.591% | 12/15/48 | 14,550 | 16,057 | 0.1% | |
4 | Morgan Stanley Capital I | |||||
Trust 2016-UBS9 | 3.594% | 3/15/49 | 4,770 | 5,261 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2013-2 | 1.950% | 3/15/19 | 4,218 | 4,226 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2013-5 | 1.550% | 10/15/18 | 309 | 310 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2015-3 | 1.490%–3.490% | 6/17/19–5/17/21 | 10,895 | 11,016 | 0.1% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2015-4 | 1.580%–2.970% | 9/16/19–3/15/21 | 25,760 | 26,013 | 0.1% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2016-1 | 2.470% | 12/15/20 | 9,610 | 9,734 | 0.0% | |
4 | Santander Drive Auto | |||||
Receivables Trust 2016-2 | 2.080%–3.390% | 2/16/21–4/15/22 | 5,500 | 5,543 | 0.0% | |
6 | Asset-Backed/Commercial | |||||
Mortgage-Backed Securities—Other † | 3,005,867 | 11.0% | ||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,762,461) | 3,851,482 | 14.0% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 102,134 | 109,945 | 0.4% | |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 53,100 | 57,929 | 0.2% | |
Cooperatieve Rabobank UA | 2.250%–3.950% | 1/14/20–5/21/25 | 101,500 | 106,047 | 0.4% | |
Credit Suisse AG | 3.625% | 9/9/24 | 69,650 | 72,479 | 0.3% | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 65,622 | 69,274 | 0.3% | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 52,535 | 61,093 | 0.2% | |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 53,926 | 58,147 | 0.2% | |
7,8 | Goldman Sachs Group Inc. | 2.125%–7.500% | 2/15/19–2/25/26 | 173,064 | 188,930 | 0.7% |
HSBC Bank USA NA | 4.875% | 8/24/20 | 24,478 | 26,596 | 0.1% | |
HSBC Holdings plc | 4.300% | 3/8/26 | 71,090 | 76,261 | 0.3% | |
HSBC Holdings plc | 3.600% | 5/25/23 | 66,405 | 68,614 | 0.2% | |
HSBC Holdings plc | 3.900% | 5/25/26 | 54,890 | 56,999 | 0.2% | |
7 | HSBC Holdings plc | 2.950%–5.100% | 4/5/21–6/7/28 | 143,712 | 153,306 | 0.6% |
HSBC USA Inc. | 2.375%–2.750% | 11/13/19–8/7/20 | 19,075 | 19,309 | 0.1% |
58
Intermediate-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 61,384 | 62,992 | 0.2% | |
4 | JPMorgan Chase & Co. | 2.400%–5.300% | 7/22/20–12/29/49 | 356,411 | 377,456 | 1.4% |
Mitsubishi UFJ Financial | ||||||
Group Inc. | 3.850% | 3/1/26 | 59,653 | 65,541 | 0.2% | |
Morgan Stanley | 3.875% | 1/27/26 | 70,263 | 74,917 | 0.3% | |
Morgan Stanley | 2.500%–7.300% | 5/13/19–7/27/26 | 284,480 | 308,557 | 1.1% | |
PNC Bank NA | 2.150%–6.875% | 4/1/18–6/1/25 | 190,172 | 200,137 | 0.7% | |
PNC Financial Services | ||||||
Group Inc. | 2.854%–3.900% | 11/9/22–4/29/24 | 19,018 | 19,971 | 0.1% | |
PNC Funding Corp. | 3.300%–6.700% | 6/10/19–3/8/22 | 70,813 | 78,517 | 0.3% | |
Santander Bank NA | 8.750% | 5/30/18 | 5,000 | 5,525 | 0.0% | |
6 | Santander UK Group | |||||
Holdings plc | 4.750% | 9/15/25 | 22,530 | 22,637 | 0.1% | |
Santander UK plc | 2.350%–4.000% | 3/14/19–3/13/24 | 64,013 | 67,148 | 0.2% | |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 55,000 | 56,075 | 0.2% | |
Wells Fargo & Co. | 3.300% | 9/9/24 | 69,974 | 73,819 | 0.3% | |
5,9 | Wells Fargo & Co. | 2.550%–4.600% | 7/22/20–4/22/26 | 255,840 | 257,159 | 0.9% |
6 | Banking—Other † | 2,517,440 | 9.2% | |||
6 | Brokerage † | 356,550 | 1.3% | |||
Finance Companies | ||||||
GE Capital International | ||||||
Funding Co. | 2.342% | 11/15/20 | 69,573 | 72,101 | 0.2% | |
GE Capital International | ||||||
Funding Co. | 3.373%–4.418% | 11/15/25–11/15/35 | 65,576 | 74,390 | 0.3% | |
HSBC Finance Corp. | 6.676% | 1/15/21 | 63,939 | 72,821 | 0.3% | |
6 | Finance Companies—Other † | 65,744 | 0.2% | |||
Insurance | ||||||
Aetna Inc. | 3.200% | 6/15/26 | 67,925 | 69,691 | 0.3% | |
Berkshire Hathaway | ||||||
Finance Corp. | 3.000%–4.250% | 1/15/21–5/15/22 | 6,360 | 6,887 | 0.0% | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 88,685 | 92,617 | 0.3% | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 77,788 | 82,709 | 0.3% | |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 11,500 | 12,677 | 0.1% | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 55,450 | 60,511 | 0.2% | |
6 | Insurance—Other † | 1,210,588 | 4.4% | |||
6 | Real Estate Investment Trusts † | 725,717 | 2.6% | |||
8,215,823 | 29.9% | |||||
Industrial | ||||||
Basic Industry † | 469,207 | 1.7% | ||||
Capital Goods | ||||||
General Electric | ||||||
Capital Corp. | 2.200%–6.750% | 8/7/19–8/7/37 | 234,940 | 271,355 | 1.0% | |
4 | General Electric Co. | 5.000% | 12/29/49 | 2,000 | 2,155 | 0.0% |
Precision Castparts Corp. | 2.500% | 1/15/23 | 45,952 | 47,917 | 0.2% | |
6 | Capital Goods—Other † | 551,563 | 2.0% | |||
Communication | ||||||
America Movil SAB de CV | 3.125% | 7/16/22 | 54,350 | 56,804 | 0.2% | |
6 | Communication—Other † | 844,257 | 3.1% | |||
Consumer Cyclical | ||||||
Ford Motor Credit Co. LLC | 3.157%–8.125% | 1/15/20–1/8/26 | 83,264 | 91,558 | 0.3% | |
Visa Inc. | 3.150% | 12/14/25 | 158,376 | 169,866 | 0.6% | |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 77,171 | 80,977 | 0.3% | |
6 | Consumer Cyclical—Other † | 1,115,352 | 4.1% | |||
Consumer Noncyclical | ||||||
Altria Group Inc. | 2.850% | 8/9/22 | 95,149 | 100,356 | 0.4% | |
Anheuser-Busch Cos. LLC | 5.000%–5.500% | 1/15/18–3/1/19 | 3,225 | 3,510 | 0.0% |
59
Intermediate-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Anheuser-Busch InBev | |||||
Finance Inc. | 3.650% | 2/1/26 | 138,250 | 147,811 | 0.6% |
Anheuser-Busch InBev | |||||
Finance Inc. | 3.300% | 2/1/23 | 61,800 | 65,070 | 0.2% |
Anheuser-Busch InBev | |||||
Finance Inc. | 2.625%–3.700% | 2/1/21–2/1/24 | 35,882 | 37,448 | 0.1% |
7 Anheuser-Busch InBev | |||||
SA/NV | 2.750%–3.250% | 1/24/33–3/17/36 | 3,700 | 5,129 | 0.0% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 2.500%–6.875% | 11/15/19–7/15/22 | 64,356 | 69,223 | 0.3% |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 104,451 | 112,776 | 0.4% |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 97,435 | 105,717 | 0.4% |
Medtronic Inc. | 3.500% | 3/15/25 | 118,640 | 129,662 | 0.5% |
6 Consumer Noncyclical—Other † | 2,062,537 | 7.5% | |||
Energy | |||||
BP Capital Markets plc | 3.814% | 2/10/24 | 65,410 | 70,687 | 0.3% |
BP Capital Markets plc | 2.500%–4.750% | 3/10/19–5/4/26 | 262,820 | 277,542 | 1.0% |
ConocoPhillips Co. | 4.950% | 3/15/26 | 53,850 | 59,830 | 0.2% |
Shell International Finance BV | 3.250% | 5/11/25 | 88,003 | 93,137 | 0.3% |
Shell International Finance BV | 2.875% | 5/10/26 | 65,500 | 67,073 | 0.2% |
6 Energy—Other † | 1,304,285 | 4.8% | |||
6 Other Industrial † | 140,885 | 0.5% | |||
Technology | |||||
Apple Inc. | 2.400% | 5/3/23 | 106,325 | 109,303 | 0.4% |
Apple Inc. | 3.250% | 2/23/26 | 92,525 | 99,165 | 0.4% |
Apple Inc. | 3.450% | 5/6/24 | 64,000 | 69,653 | 0.3% |
9 Apple Inc. | 2.000%–3.700% | 5/6/20–8/4/26 | 248,866 | 254,834 | 0.9% |
Intel Corp. | 3.700% | 7/29/25 | 53,961 | 60,321 | 0.2% |
International Business | |||||
Machines Corp. | 3.625% | 2/12/24 | 52,000 | 56,868 | 0.2% |
6 Technology—Other † | 1,162,136 | 4.2% | |||
Transportation | |||||
Burlington Northern | |||||
Santa Fe LLC | 3.000%–7.000% | 6/1/21–3/15/29 | 125,749 | 148,495 | 0.5% |
Union Pacific Corp. | 4.163% | 7/15/22 | 63,965 | 72,366 | 0.3% |
6 Transportation—Other † | 430,423 | 1.6% | |||
11,017,253 | 40.2% | ||||
Utilities | |||||
Electric | |||||
Berkshire Hathaway | |||||
Energy Co. | 3.750%–8.480% | 11/15/23–9/15/28 | 27,860 | 35,578 | 0.1% |
MidAmerican Energy Co. | 3.500%–3.700% | 9/15/23–10/15/24 | 47,890 | 52,777 | 0.2% |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 4,900 | 6,964 | 0.0% |
Nevada Power Co. | 7.125% | 3/15/19 | 7,350 | 8,449 | 0.1% |
PacifiCorp | 3.350%–3.850% | 6/15/21–7/1/25 | 43,564 | 47,861 | 0.2% |
6 Electric—Other † | 1,131,640 | 4.1% | |||
Natural Gas † | 33,545 | 0.1% | |||
1,316,814 | 4.8% | ||||
Total Corporate Bonds (Cost $19,550,095) | 20,549,890 | 74.9% | |||
6Sovereign Bonds (U.S. Dollar-Denominated) (Cost $675,119) † | 695,511 | 2.5% | |||
Taxable Municipal Bonds (Cost $49,261) † | 51,119 | 0.2% | |||
Convertible Preferred Stocks (Cost $8,571) † | — | 0.0% |
60
Intermediate-Term Investment-Grade Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
10 Vanguard Market Liquidity Fund | ||||
(Cost $138,930) | 0.561% | 138,930,497 | 138,930 | 0.5% |
Total Investments (Cost $26,127,793) | 27,244,611 | 99.2% | ||
Expiration | ||||
Date | Contracts | |||
Liabilities for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 800 | (88) | 0.0% |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 320 | (95) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 320 | (25) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 800 | (350) | 0.0% |
Total Liability for Options Written (Premiums Received $1,104) | (558) | 0.0% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 2,157 | |||
Receivables for Investment Securities Sold | 143,180 | |||
Receivables for Accrued Income | 206,855 | |||
Receivables for Capital Shares Issued | 32,563 | |||
Other Assets | 29,679 | |||
Total Other Assets | 414,434 | 1.5% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (126,625) | |||
Payables for Capital Shares Redeemed | (12,609) | |||
Payables for Distributions | (14,668) | |||
Payables to Vanguard | (16,388) | |||
Other Liabilities | (28,989) | |||
Total Liabilities | (199,279) | (0.7%) | ||
Net Assets | 27,459,208 | 100.0% |
61
Intermediate-Term Investment-Grade Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 26,233,832 |
Undistributed Net Investment Income | 13,297 |
Accumulated Net Realized Gains | 98,476 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,116,818 |
Futures Contracts | 957 |
Options | 546 |
Swap Contracts | 2,874 |
Forward Currency Contracts | (7,660) |
Foreign Currencies | 68 |
Net Assets | 27,459,208 |
Investor Shares—Net Assets | |
Applicable to 286,542,682 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,906,349 |
Net Asset Value Per Share—Investor Shares | $10.14 |
Admiral Shares—Net Assets | |
Applicable to 2,420,708,016 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 24,552,859 |
Net Asset Value Per Share—Admiral Shares | $10.14 |
• 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.
1 Securities with a value of $4,437,000 have been segregated as collateral for forward currency contracts and open over-the-counter swap contracts.
2 Securities with a value of $15,128,000 have been segregated as initial margin for open futures contracts.
3 Securities with a value of $6,660,000 have been segregated as initial margin for open cleared swap 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 Adjustable-rate security.
6 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, 2016, the aggregate value of these securities was $3,029,482,000, representing 11.0% of net assets.
7 Face amount denominated in euro.
8 Face amount denominated in British pounds.
9 Face amount denominated in Australian dollars.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
62
Intermediate-Term Investment-Grade Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 383,961 |
Total Income | 383,961 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,321 |
Management and Administrative—Investor Shares | 2,242 |
Management and Administrative—Admiral Shares | 7,983 |
Marketing and Distribution—Investor Shares | 289 |
Marketing and Distribution—Admiral Shares | 1,169 |
Custodian Fees | 156 |
Shareholders’ Reports—Investor Shares | 60 |
Shareholders’ Reports—Admiral Shares | 146 |
Trustees’ Fees and Expenses | 9 |
Total Expenses | 13,375 |
Net Investment Income | 370,586 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 136,145 |
Futures Contracts | (24,594) |
Options | 107 |
Swap Contracts | 5,727 |
Foreign Currencies and Forward Currency Contracts | 7,638 |
Realized Net Gain (Loss) | 125,023 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 958,405 |
Futures Contracts | 300 |
Options | 687 |
Swap Contracts | (6,788) |
Foreign Currencies and Forward Currency Contracts | (11,142) |
Change in Unrealized Appreciation (Depreciation) | 941,462 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,437,071 |
1 Interest income from an affiliated company of the fund was $719,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
63
Intermediate-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 370,586 | 609,572 |
Realized Net Gain (Loss) | 125,023 | 107,968 |
Change in Unrealized Appreciation (Depreciation) | 941,462 | (666,657) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,437,071 | 50,883 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (40,402) | (83,393) |
Admiral Shares | (327,770) | (542,263) |
Realized Capital Gain1 | ||
Investor Shares | — | (12,111) |
Admiral Shares | — | (79,873) |
Total Distributions | (368,172) | (717,640) |
Capital Share Transactions | ||
Investor Shares | 86,275 | (153,287) |
Admiral Shares | 4,838,972 | 2,842,055 |
Net Increase (Decrease) from Capital Share Transactions | 4,925,247 | 2,688,768 |
Total Increase (Decrease) | 5,994,146 | 2,022,011 |
Net Assets | ||
Beginning of Period | 21,465,062 | 19,443,051 |
End of Period2 | 27,459,208 | 21,465,062 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 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 $13,297,000 and $3,876,000.
See accompanying Notes, which are an integral part of the Financial Statements.
64
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 | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $9.72 | $10.06 | $9.81 | $10.24 | $10.18 | $9.94 |
Investment Operations | ||||||
Net Investment Income | .142 | .288 | .303 | .311 | .354 | .418 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .420 | (.288) | .341 | (.229) | .266 | .463 |
Total from Investment Operations | . 562 | .000 | .644 | .082 | .620 | . 881 |
Distributions | ||||||
Dividends from Net Investment Income | (.142) | (. 296) | (. 307) | (. 317) | (. 360) | (. 428) |
Distributions from Realized Capital Gains | — | (. 044) | (. 087) | (.195) | (. 200) | (. 213) |
Total Distributions | (.142) | (. 340) | (. 394) | (. 512) | (. 560) | (. 641) |
Net Asset Value, End of Period | $10.14 | $9.72 | $10.06 | $9.81 | $10.24 | $10.18 |
Total Return1 | 5.82% | 0.03% | 6.71% | 0.85% | 6.20% | 9.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,906 | $2,701 | $2,952 | $3,099 | $4,884 | $4,837 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.90% | 2.94% | 3.05% | 3.12% | 3.41% | 4.17% |
Portfolio Turnover Rate | 58% | 70% | 88% | 100% | 62% | 49% |
The expense ratio, net investment 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.
65
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 | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $9.72 | $10.06 | $9.81 | $10.24 | $10.18 | $9.94 |
Investment Operations | ||||||
Net Investment Income | .147 | .298 | .313 | .321 | .364 | .428 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .420 | (.288) | .341 | (.229) | .266 | .463 |
Total from Investment Operations | . 567 | .010 | .654 | .092 | .630 | . 891 |
Distributions | ||||||
Dividends from Net Investment Income | (.147) | (. 306) | (. 317) | (. 327) | (. 370) | (. 438) |
Distributions from Realized Capital Gains — | (. 044) | (. 087) | (.195) | (. 200) | (. 213) | |
Total Distributions | (.147) | (. 350) | (. 404) | (. 522) | (. 570) | (. 651) |
Net Asset Value, End of Period | $10.14 | $9.72 | $10.06 | $9.81 | $10.24 | $10.18 |
Total Return1 | 5.87% | 0.13% | 6.81% | 0.95% | 6.30% | 9.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $24,553 | $18,764 | $16,491 | $13,618 | $14,582 | $11,411 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.00% | 3.04% | 3.15% | 3.22% | 3.51% | 4.27% |
Portfolio Turnover Rate | 58% | 70% | 88% | 100% | 62% | 49% |
The expense ratio, net investment 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.
66
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
67
Intermediate-Term Investment-Grade Fund
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 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 six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 6% and 5% of net assets, respectively, based on the average of aggregate settlement 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 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.
68
Intermediate-Term Investment-Grade Fund
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, 2016, the fund’s average investment in forward currency contracts represented 4% 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
69
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 counter-party 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, 2016, the fund’s average amounts of investments in 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 investments in interest rate swaps represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in cross currency swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
70
Intermediate-Term Investment-Grade Fund
6. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.
The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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, 2016, the fund’s average value of investments in 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.
71
Intermediate-Term Investment-Grade Fund
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, 2013–2016), and for the period ended July 31, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
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 (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $2,157,000, representing 0.01% of the fund’s net assets and 0.86% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
72
Intermediate-Term Investment-Grade Fund
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).
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 1,957,679 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 3,808,203 | 43,279 |
Corporate Bonds | — | 20,549,886 | 4 |
Sovereign Bonds | — | 695,511 | — |
Taxable Municipal Bonds | — | 51,119 | — |
Convertible Preferred Stocks | — | — | — |
Temporary Cash Investments | 138,930 | — | — |
Liability for Options Written | (558) | — | — |
Futures Contracts—Assets1 | 4,655 | — | — |
Futures Contracts—Liabilities1 | (4,919) | — | — |
Forward Currency Contracts—Assets | — | 6,138 | — |
Forward Currency Contracts—Liabilities | — | (13,798) | — |
Swap Contracts—Assets | 5321 | 3,811 | — |
Swap Contracts—Liabilities | (218)1 | (4,081) | — |
Total | 138,422 | 27,054,468 | 43,283 |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, 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 | 6,762 | 6,138 | 2,236 | 15,136 |
Liability for Options Written | (558) | — | — | (558) |
Other Liabilities | (4,926) | (13,798) | (4,292) | (23,016) |
73
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, 2016, were:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | (24,594) | — | — | (24,594) |
Options | 412 | — | (305) | 107 |
Swap Contracts | 627 | 622 | 4,478 | 5,727 |
Forward Currency Contracts | — | 1,608 | — | 1,608 |
Realized Net Gain (Loss) on Derivatives | (23,555) | 2,230 | 4,173 | (17,152) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 300 | — | — | 300 |
Options | 687 | — | — | 687 |
Swap Contracts | 836 | (6,557) | (1,067) | (6,788) |
Forward Currency Contracts | — | (11,307) | — | (11,307) |
Change in Unrealized Appreciation | ||||
(Depreciation) on Derivatives | 1,823 | (17,864) | (1,067) | (17,108) |
At July 31, 2016, 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 2016 | 12,831 | 1,565,582 | 18,332 |
Ultra 10-Year U.S. Treasury Note | September 2016 | (3,991) | (583,497) | (4,712) |
Euro-Bund | September 2016 | (756) | (141,835) | (1,989) |
30-Year U.S. Treasury Bond | September 2016 | (714) | (124,548) | (7,241) |
AUD 3-Year Treasury Bond | September 2016 | (1,308) | (112,758) | (269) |
10-Year U.S. Treasury Note | September 2016 | (810) | (107,768) | (154) |
Euro-Bobl | September 2016 | (656) | (98,035) | (717) |
AUD 10-Year Treasury Bond | September 2016 | (420) | (43,838) | (797) |
Ultra Long U.S. Treasury Bond | September 2016 | (92) | (17,529) | (218) |
Euro-Buxl | September 2016 | (49) | (10,794) | (970) |
Euro-Schatz | September 2016 | 60 | 7,514 | 15 |
Long Gilt | September 2016 | (43) | (7,452) | (326) |
AUD 90-Day Bank Bill | September 2016 | (4) | (3,026) | — |
2-Year U.S. Treasury Note | September 2016 | 13 | 2,847 | 3 |
957 |
74
Intermediate-Term Investment-Grade Fund
Unrealized appreciation (depreciation) on open futures contracts except for AUD 3-Year Treasury Bond, AUD 10-Year Treasury Bond, and AUD 90-Day Bank Bill is required to be treated as realized gain (loss) for tax purposes.
At July 31, 2016, 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 | |||||
Contract Amount (000) | ||||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Barclays Capital | 8/3/2016 | EUR | 225,249 | USD | 247,700 | 4,160 |
JPMorgan Chase Bank N.A. | 8/3/2016 | AUD | 139,147 | USD | 104,796 | 938 |
BNP Paribas | 8/3/2016 | AUD | 41,000 | USD | 30,840 | 315 |
BNP Paribas | 8/3/2016 | EUR | 22,338 | USD | 24,717 | 258 |
Morgan Stanley Capital Services LLC | 8/3/2016 | GBP | 10,766 | USD | 14,134 | 116 |
Citibank, N.A. | 8/3/2016 | EUR | 8,472 | USD | 9,355 | 118 |
Morgan Stanley Capital Services LLC | 9/2/2016 | EUR | 7,785 | USD | 8,550 | 166 |
JPMorgan Chase Bank N.A. | 8/3/2016 | EUR | 5,197 | USD | 5,751 | 60 |
Morgan Stanley Capital Services LLC | 8/3/2016 | EUR | 1,130 | USD | 1,257 | 7 |
UBS AG | 8/3/2016 | USD | 275,480 | EUR | 250,248 | (4,332) |
Barclays Capital | 9/2/2016 | USD | 248,005 | EUR | 225,249 | (4,160) |
JPMorgan Chase Bank N.A. | 9/2/2016 | USD | 104,691 | AUD | 139,147 | (932) |
Morgan Stanley Capital Services LLC | 8/3/2016 | USD | 102,901 | AUD | 139,147 | (2,833) |
BNP Paribas | 9/2/2016 | USD | 30,809 | AUD | 41,000 | (313) |
JPMorgan Chase Bank N.A. | 8/3/2016 | USD | 30,673 | AUD | 41,000 | (482) |
Bank of America N.A | 9/2/2016 | USD | 19,216 | EUR | 17,360 | (218) |
JPMorgan Chase Bank N.A. | 9/2/2016 | USD | 14,533 | EUR | 13,203 | (248) |
Morgan Stanley Capital Services LLC | 8/3/2016 | USD | 14,167 | GBP | 10,767 | (83) |
Morgan Stanley Capital Services LLC | 9/2/2016 | USD | 14,140 | GBP | 10,766 | (116) |
Morgan Stanley Capital Services LLC | 8/3/2016 | USD | 8,784 | EUR | 7,898 | (48) |
JPMorgan Chase Bank N.A. | 8/3/2016 | USD | 3,656 | EUR | 3,295 | (27) |
BNP Paribas | 8/3/2016 | USD | 1,051 | EUR | 946 | (6) |
Deutsche Bank AG | 9/2/2016 | USD | 5 | EUR | 4 | — |
(7,660) | ||||||
AUD—Australian dollar. | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
75
Intermediate-Term Investment-Grade Fund | |||||||
At July 31, 2016, 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 | Clearinghouse | ($000) | ($000) | (%) | ($000) | |
Credit Protection Sold | |||||||
CDX.NA.IG.S26.V1 | 6/20/21 | ICE | 65,306 | (906) | 1.000 | (50) | |
Credit Protection Purchased | |||||||
CDX.NA.HY.S26.V1 | 6/20/21 | ICE | 59,821 | 2,302 | (5.000) | (340) | |
(390) | |||||||
ICE—Intercontinental Exchange. | |||||||
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 | Counterparty | ($000) | ($000) | (%) | ($000) | |
Credit Protection Sold/Moody’s Rating | |||||||
Berkshire Hathaway Inc./Aa2 | 6/20/21 | GSI | 3,110 | (24) | 1.000 | (4) | |
Berkshire Hathaway Inc./Aa2 | 6/20/21 | BARC | 7,780 | (51) | 1.000 | (2) | |
Berkshire Hathaway Inc./Aa2 | 6/20/21 | JPMC | 4,655 | (23) | 1.000 | 7 | |
Berkshire Hathaway Inc./Aa2 | 6/20/21 | BARC | 7,840 | 33 | 1.000 | 83 | |
Berkshire Hathaway Inc./Aa2 | 6/20/21 | JPMC | 15,000 | 21 | 1.000 | 116 | |
Federation of Malaysia/A3 | 6/20/21 | BNPSW | 6,200 | 179 | 1.000 | 56 | |
Federation of Malaysia/A3 | 6/20/21 | DBAG | 3,160 | 105 | 1.000 | 42 | |
Metlife Inc./A3 | 12/20/20 | GSCM | 5,625 | — | 1.000 | (44) | |
People’s Republic of China/Aa3 | 12/20/20 | JPMC | 3,040 | 17 | 1.000 | 14 | |
People’s Republic of China/Aa3 | 9/20/20 | BNPSW | 3,000 | 17 | 1.000 | 19 | |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 2,400 | 44 | 1.000 | 42 | |
Republic of Chile/Aa3 | 6/20/21 | DBAG | 6,100 | — | 1.000 | 32 | |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 830 | (2) | 1.000 | 2 | |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 2,520 | 7 | 1.000 | 20 | |
Republic of Colombia/Baa2 | 6/20/21 | MSCS | 297 | 17 | 1.000 | 4 | |
Republic of Colombia/Baa2 | 6/20/21 | MSCS | 13,000 | 652 | 1.000 | 73 | |
Republic of Colombia/Baa2 | 6/20/21 | MSCS | 11,455 | 564 | 1.000 | 54 | |
Republic of Colombia/Baa2 | 6/20/21 | BARC | 8,500 | 355 | 1.000 | (24) |
76
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
Republic of Colombia/Baa2 | 6/20/21 | BNPSW | 4,700 | 168 | 1.000 | (41) |
Republic of Colombia/Baa2 | 6/20/21 | BNPSW | 4,595 | 253 | 1.000 | 49 |
Republic of Colombia/Baa2 | 6/20/21 | BNPSW | 9,392 | 519 | 1.000 | 101 |
Republic of Colombia/Baa2 | 6/20/21 | JPMC | 3,760 | 137 | 1.000 | (31) |
Republic of Peru/A3 | 6/20/21 | BARC | 10,545 | 332 | 1.000 | 183 |
Republic of Peru/A3 | 6/20/21 | BNPSW | 2,000 | 58 | 1.000 | 29 |
Republic of Peru/A3 | 6/20/21 | GSCM | 4,175 | 122 | 1.000 | 63 |
Republic of Turkey/Baa3 | 12/20/16 | BNPSW | 7,000 | 4 | 1.000 | 10 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 3,200 | 71 | 1.000 | 76 |
United Mexican States/A3 | 6/20/21 | JPMC | 19,100 | 692 | 1.000 | 214 |
United Mexican States/A3 | 6/20/21 | BNPSW | 17,000 | 613 | 1.000 | 200 |
United Mexican States/A3 | 6/20/21 | BNPSW | 10,000 | 332 | 1.000 | 88 |
United Mexican States/A3 | 6/20/21 | BOANA | 20,400 | 587 | 1.000 | 91 |
220,379 | 1,522 | |||||
Credit Protection Purchased | ||||||
American International Group Inc. 12/20/20 | GSCM | 5,625 | 111 | (1.000) | 32 | |
American International Group Inc. 12/20/20 | GSCM | 2,835 | (38) | (1.000) | (78) | |
Banco Bilbao Vizcaya | ||||||
Argentaria SA | 6/20/21 | BOANA | 24,495 | (731) | (1.000) | (461) |
Bank of America Corp. | 3/20/20 | GSCM | 7,870 | 90 | (1.000) | (22) |
CMBX.NA.AAA.9 | 9/17/58 | GSI | 10,060 | (601) | (0.500) | (149) |
CMBX.NA.AAA.9 | 9/17/58 | DBAG | 10,090 | (583) | (0.500) | (128) |
CMBX.NA.AAA.9 | 9/17/58 | DBAG | 5,030 | (296) | (0.500) | (70) |
CMBX.NA.AAA.9 | 9/17/58 | GSI | 5,030 | (294) | (0.500) | (68) |
CMBX.NA.AAA.9 | 9/17/58 | CSFBI | 9,980 | (559) | (0.500) | (110) |
CMBX.NA.AAA.9 | 9/17/58 | DBAG | 5,020 | (271) | (0.500) | (45) |
CMBX.NA.AAA.9 | 9/17/58 | DBAG | 10,020 | (575) | (0.500) | (124) |
CMBX.NA.AAA.9 | 9/17/58 | CSFBI | 4,870 | (198) | (0.500) | 21 |
CMBX.NA.AAA.9 | 9/17/58 | MSCS | 10,000 | (568) | (0.500) | (118) |
CMBX.NA.AAA.9 | 9/17/58 | GSI | 6,250 | (262) | (0.500) | 19 |
CMBX.NA.AAA.9 | 9/17/58 | CSFBI | 31,230 | (1,271) | (0.500) | 134 |
CMBX.NA.AAA.9 | 9/17/58 | DBAG | 6,440 | (254) | (0.500) | 36 |
CMBX.NA.AAA.9 | 9/17/58 | MSCS | 5,150 | (221) | (0.500) | 11 |
CMBX.NA.AAA.9 | 9/17/58 | CSFBI | 5,100 | (245) | (0.500) | (15) |
CMBX.NA.AAA.9 | 9/17/58 | JPMC | 5,140 | (264) | (0.500) | (33) |
77
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
CMBX.NA.AAA.9 | 9/17/58 | MSCS | 5,110 | (279) | (0.500) | (49) |
CMBX.NA.AAA.9 | 9/17/58 | GSI | 980 | (41) | (0.500) | 3 |
Commerzbank AG | 6/20/21 | BOANA | 24,495 | (454) | (1.000) | (294) |
Deutsche Bank AG | 12/20/20 | JPMC | 20,000 | (761) | (1.000) | 51 |
EI du Pont de Nemours & Co. | 12/20/20 | JPMC | 10,230 | 216 | (1.000) | (51) |
Federal Express Corp. | 12/20/18 | GSCM | 7,840 | 58 | (1.000) | (105) |
Federative Republic of Brazil | 6/20/21 | GSI | 2,000 | (226) | (1.000) | (64) |
Federative Republic of Brazil | 6/20/21 | DBAG | 3,500 | (421) | (1.000) | (139) |
Federative Republic of Brazil | 6/20/21 | DBAG | 12,600 | (1,534) | (1.000) | (518) |
Federative Republic of Brazil | 12/20/20 | BARC | 4,250 | (496) | (1.000) | (228) |
Federative Republic of Brazil | 12/20/25 | BOANA | 3,885 | (1,028) | (1.000) | (334) |
Federative Republic of Brazil | 12/20/25 | GSCM | 2,485 | (614) | (1.000) | (170) |
Intesa Sanpaolo SpA | 12/20/19 | BARC | 5,135 | 36 | (1.000) | 22 |
JPMorgan Chase Bank N.A. | 12/20/20 | MSCS | 25,000 | 136 | (1.000) | (372) |
Lincoln National Corp. | 6/20/21 | BARC | 1,555 | (44) | (1.000) | (11) |
Lincoln National Corp. | 6/20/21 | BARC | 1,550 | 44 | (1.000) | 77 |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | 116 | (1.000) | (37) |
McKesson Corp. | 3/20/19 | JPMC | 6,360 | 118 | (1.000) | (34) |
Republic of Austria | 9/20/17 | BNPSW | 1,200 | (7) | (1.000) | (19) |
Republic of Korea | 9/20/18 | JPMC | 2,000 | 8 | (1.000) | (27) |
Republic of Turkey | 6/20/21 | BARC | 4,700 | (361) | (1.000) | (12) |
Republic of Turkey | 6/20/21 | JPMC | 4,650 | (357) | (1.000) | (12) |
Republic of Turkey | 6/20/21 | BNPSW | 4,700 | (359) | (1.000) | (10) |
Royal Bank of Scotland plc | 12/20/20 | BNPSW | 6,510 | 48 | (1.000) | 95 |
Wells Fargo & Co. | 9/20/20 | BOANA | 9,700 | 206 | (1.000) | (21) |
347,030 | (3,427) | |||||
(1,905) |
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.
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. GSI—Goldman Sachs International. JPMC—JP Morgan Chase Bank. MSCS—Morgan Stanley Capital Services LLC.
78
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 | Clearinghouse | ($000) | (%) | (%) | ($000) |
9/17/16 | CME | 1,050 | 0.643 | (0.482)1 | — |
9/17/16 | CME | 2,560 | 0.643 | (0.482)1 | — |
10/25/16 | CME | 15,200 | 1.714 | (0.715)2 | (242) |
12/10/16 | CME | 3,450 | 0.604 | (0.474)1 | 1 |
12/10/16 | LCH | 8,355 | 0.656 | (0.474)1 | 3 |
1/15/17 | CME | 3,050 | 0.770 | (0.481)1 | 3 |
1/17/17 | LCH | 6,500 | 0.700 | (0.482)1 | 4 |
2/15/17 | CME | 1,600 | 0.729 | (0.481)1 | 2 |
2/15/17 | CME | 365 | 3.432 | (0.481)1 | (15) |
2/15/17 | LCH | 2,953 | 1.875 | (0.481)1 | (61) |
2/15/17 | CME | 625 | 3.373 | (0.481)1 | (25) |
2/15/17 | CME | 426 | 2.407 | (0.481)1 | (11) |
2/15/17 | CME | 5,700 | 2.407 | (0.481)1 | (145) |
2/15/17 | CME | 400 | 0.714 | (0.481)1 | — |
2/15/17 | CME | 513 | 2.287 | (0.481)1 | (12) |
2/15/17 | CME | 668 | 3.180 | (0.481)1 | (25) |
4/20/17 | CME | 13,000 | 0.960 | (0.487)1 | (38) |
5/17/17 | CME | 3,900 | 1.036 | (0.482)1 | 14 |
6/17/17 | LCH | 2,925 | 0.736 | (0.482)1 | 4 |
7/17/17 | CME | 3,900 | 0.781 | (0.482)1 | 7 |
9/15/17 | CME | 2,508 | 3.520 | (0.481)1 | (94) |
9/15/17 | CME | 340 | 2.532 | (0.481)1 | (8) |
9/15/17 | CME | 2,792 | 3.363 | (0.481)1 | (100) |
9/15/17 | LCH | 5,910 | 0.755 | (0.481)1 | 34 |
10/16/17 | CME | 7,000 | 0.749 | (0.482)1 | 37 |
11/27/17 | CME | 3,580 | 0.664 | (0.491)1 | 2 |
12/15/17 | CME | 1,150 | 0.788 | (0.481)1 | 6 |
2/15/18 | LCH | 35,000 | 1.097 | (0.481)1 | 242 |
2/15/18 | CME | 4,000 | 0.923 | (0.481)1 | 17 |
4/16/18 | LCH | 3,500 | 1.013 | (0.481)1 | 21 |
6/14/18 | CME | 53,860 | 0.731 | (0.478)1 | 65 |
7/16/18 | CME | 17,100 | 1.159 | (0.482)1 | 150 |
7/17/18 | CME | 9,720 | 0.918 | (0.482)1 | 46 |
3/15/19 | CME | 5,135 | 1.701 | (0.481)1 | 132 |
5/15/19 | CME | 21,360 | 1.028 | (0.481)1 | 175 |
79
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 | Clearinghouse | ($000) | (%) | (%) | ($000) |
5/17/19 | CME | 1,577 | 0.842 | (0.482)1 | 5 |
6/12/19 | CME | 4,600 | 1.674 | (0.656)2 | 96 |
1/20/20 | CME | 20,920 | 1.224 | (0.487)1 | 323 |
1/21/20 | CME | 3,130 | 1.363 | (0.485)1 | 63 |
4/15/20 | LCH | 14,650 | 1.344 | (0.481)1 | 300 |
4/25/20 | CME | 28,610 | 3.024 | (0.715)2 | (74) |
6/15/20 | CME | 2,050 | 0.930 | (0.482)1 | 10 |
7/15/20 | CME | 8,920 | 1.571 | (0.481)1 | 266 |
2/15/21 | CME | 6,100 | 2.200 | (0.481)1 | 369 |
4/7/21 | CME | 2,420 | 1.023 | (0.470)1 | 18 |
4/15/21 | CME | 9,660 | 1.026 | (0.481)1 | 73 |
10/15/21 | LCH | 5,720 | 1.949 | (0.481)1 | 310 |
2/15/22 | LCH | 8,755 | 1.583 | (0.481)1 | 317 |
5/27/25 | CME | 5,785 | 2.170 | (0.491)1 | 494 |
5/6/28 | CME | 3,000 | 1.702 | (0.470)1 | 123 |
9/17/31 | CME | 498 | 3.065 | (0.482)1 | 112 |
9/17/31 | CME | 2,396 | 3.065 | (0.482)1 | 540 |
3,534 | |||||
CME—Chicago Mercantile Exchange. | |||||
LCH—London Clearing House. | |||||
1 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | |||||
2 Based on 3-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 | Counterparty | ($000) | (%) | (%) | ($000) |
12/26/17 | GSCM | 7,014 | 0.625 | (0.490)2 | (7) |
8/15/18 | BNPSW | 5,400 | 0.715 | (0.481)2 | 13 |
4/25/19 | WFC | 3,315 | 2.756 | (0.715)1 | 103 |
4/25/20 | GSCM | 2,820 | 2.794 | (0.715)1 | 110 |
4/1/21 | WFC | 4,480 | 0.965 | (0.467)2 | 33 |
6/25/21 | GSCM | 5,720 | 3.143 | (0.640)1 | 321 |
80
Intermediate-Term Investment-Grade Fund | |||||
Over-the-Counter Interest Rate Swaps (continued) | |||||
Fixed | Floating | ||||
Interest Rate | Interest Rate | Unrealized | |||
Notional | Received | Received | Appreciation | ||
Amount | (Paid) | (Paid) | (Depreciation) | ||
Termination Date | Counterparty | ($000) | (%) | (%) | ($000) |
11/25/22 | BARC | 12,999 | 2.758 | (0.662)1 | 628 |
9/25/29 | GSCM | 10,755 | 1.794 | (0.491)2 | 434 |
1,635 | |||||
BARC—Barclays Bank plc. | |||||
BNPSW—BNP Paribas. | |||||
GSCM—Goldman Sachs Bank USA. | |||||
WFC—Wells Fargo Bank N.A. | |||||
1 Based on 3-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. | |||||
2 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. |
At July 31, 2016, counterparties had deposited in segregated accounts securities and cash with a value of $9,015,000 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, 2016, the fund realized net foreign currency gains of $4,880,000, (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 $2,127,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
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, 2016, the fund had available capital losses totaling $3,360,000. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At July 31, 2016, the cost of investment securities for tax purposes was $26,142,745,000. Net unrealized appreciation of investment securities for tax purposes was $1,101,866,000, consisting of unrealized gains of $1,184,556,000 on securities that had risen in value since their purchase and $82,690,000 in unrealized losses on securities that had fallen in value since their purchase.
81
Intermediate-Term Investment-Grade Fund
F. During the six months ended July 31, 2016, the fund purchased $9,040,505,000 of investment securities and sold $4,958,781,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $2,577,805,000 and $2,157,821,000, respectively.
The following table summarizes the fund’s options written during the six months ended July 31, 2016.
Options on | ||||
Futures Contracts | Swaptions | |||
Notional | ||||
Amount of | ||||
Premiums | Underlying | Premiums | ||
Number of | Received | Swap | Received | |
Options Written | Contracts | ($000) | ($000) | ($000) |
Balance at January 31, 2016 | 1,549 | 625 | — | — |
Options Written | 20,107 | 8,364 | 407,785 | 461 |
Options Expired | (2,132) | (815) | (407,785) | (461) |
Options Closed | (17,284) | (7,070) | — | — |
Options Exercised | — | — | — | — |
Balance at July 31, 2016 | 2,240 | 1,104 | — | — |
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 476,048 | 47,974 | 670,305 | 68,337 |
Issued in Lieu of Cash Distributions | 34,979 | 3,511 | 83,074 | 8,484 |
Redeemed | (424,752) | (42,731) | (906,666) | (92,589) |
Net Increase (Decrease)—Investor Shares | 86,275 | 8,754 | (153,287) | (15,768) |
Admiral Shares | ||||
Issued | 6,095,366 | 617,673 | 5,721,010 | 584,596 |
Issued in Lieu of Cash Distributions | 253,005 | 25,383 | 505,434 | 51,663 |
Redeemed | (1,509,399) | (152,253) | (3,384,389) | (345,998) |
Net Increase (Decrease)—Admiral Shares | 4,838,972 | 490,803 | 2,842,055 | 290,261 |
H. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
82
Long-Term Investment-Grade Fund
Fund Profile | |||
As of July 31, 2016 | |||
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VWESX | VWETX | |
Expense Ratio1 | 0.21% | 0.12% | |
30-Day SEC Yield | 3.32% | 3.42% | |
Financial Attributes | |||
Barclays | Barclays | ||
Long Credit | Aggregate | ||
A/Better | Bond | ||
Fund | Index | Index | |
Number of Bonds | 784 | 1,204 | 9,804 |
Yield to Maturity | |||
(before expenses) | 3.5% | 3.5% | 1.9% |
Average Coupon | 4.4% | 5.2% | 3.1% |
Average Duration | 13.9 years | 14.6 years | 5.5 years |
Average Effective | |||
Maturity | 22.9 years | 23.5 years | 7.7 years |
Short-Term | |||
Reserves | 4.7% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 20.1% | ||
Foreign | 1.5 | ||
Industrial | 46.3 | ||
Treasury/Agency | 4.0 | ||
Utilities | 13.9 | ||
Other | 14.2 |
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 | |
Long Credit | Aggregate | |
A/Better | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.82 |
Beta | 1.04 | 2.52 |
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 | 4.1% |
1 - 3 Years | 0.2 |
3 - 5 Years | 0.4 |
5 - 7 Years | 0.2 |
7 - 10 Years | 2.8 |
10 - 20 Years | 19.7 |
20 - 30 Years | 68.9 |
Over 30 Years | 3.7 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 5.5% |
Aaa | 4.2 |
Aa | 31.6 |
A | 49.4 |
Baa | 6.8 |
Not Rated | 2.5 |
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 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.21% for Investor Shares and 0.11% for Admiral Shares.
83
Long-Term Investment-Grade Fund
84
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, 2006, Through July 31, 2016 | ||||
Barclays | ||||
Long Credit | ||||
A/Better | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 3.97 | -10.30 | -6.33 | -6.18 |
2017 | 2.33 | 12.49 | 14.82 | 14.59 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 16.32% | 9.31% | 5.50% | 2.90% | 8.40% |
Admiral Shares | 2/12/2001 | 16.43 | 9.42 | 5.62 | 2.90 | 8.52 |
See Financial Highlights for dividend and capital gains information.
85
Long-Term Investment-Grade Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2016
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 | 142,880 | 207,890 | 1.3% |
2 | United States Treasury Note/Bond | 6.125% | 8/15/29 | 43,302 | 66,455 | 0.5% |
1,2,3 United States Treasury | ||||||
Note/Bond | 0.875%–6.250% | 7/15/17–2/15/46 | 248,669 | 285,621 | 1.8% | |
U.S. Government Securities—Other † | 14,644 | 0.1% | ||||
574,610 | 3.7% | |||||
Agency Notes † | 38,480 | 0.2% | ||||
Total U.S. Government and Agency Obligations (Cost $536,519) | 613,090 | 3.9% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Bank One Corp. | 7.625%–8.000% | 10/15/26–4/29/27 | 44,344 | 59,883 | 0.4% | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 52,730 | 65,598 | 0.4% | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 49,400 | 61,023 | 0.4% | |
4 | Goldman Sachs Group Inc. | 2.125%–6.750% | 9/30/24–10/21/45 | 141,750 | 175,658 | 1.1% |
HSBC Bank USA NA | 5.625%–5.875% | 11/1/34–8/15/35 | 57,125 | 69,224 | 0.4% | |
HSBC Holdings plc | 6.800% | 6/1/38 | 70,804 | 93,357 | 0.6% | |
4 | HSBC Holdings plc | 3.000%–7.625% | 6/30/25–9/15/37 | 79,615 | 101,391 | 0.7% |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 89,500 | 124,421 | 0.8% | |
5 | JPMorgan Chase & Co. | 2.950%–5.625% | 10/1/26–12/29/49 | 77,157 | 94,889 | 0.6% |
Morgan Stanley | 7.250% | 4/1/32 | 47,360 | 65,753 | 0.4% | |
Morgan Stanley | 3.125%–6.375% | 7/27/26–1/27/45 | 120,586 | 139,750 | 0.9% | |
Wachovia Corp. | 5.500% | 8/1/35 | 21,905 | 26,021 | 0.2% | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 157,813 | 194,951 | 1.2% | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 56,522 | 67,340 | 0.4% | |
Wells Fargo & Co. | 3.000%–5.375% | 4/22/26–6/14/46 | 95,386 | 104,495 | 0.7% | |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 700 | 0.0% |
86
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
6 Banking—Other † | 208,135 | 1.3% | |||
6 Brokerage † | 52,857 | 0.3% | |||
Finance Companies (2.1%) | |||||
GE Capital International Funding Co. 4.418% | 11/15/35 | 282,091 | 325,062 | 2.1% | |
Insurance | |||||
Berkshire Hathaway | |||||
Finance Corp. | 5.750% | 1/15/40 | 1,935 | 2,650 | 0.0% |
Berkshire Hathaway Inc. | 3.125%–4.500% | 3/15/26–2/11/43 | 57,322 | 66,243 | 0.4% |
6 Nationwide Mutual | |||||
Insurance Co. | 9.375% | 8/15/39 | 36,031 | 57,380 | 0.4% |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 49,846 | 67,388 | 0.4% |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 47,445 | 59,287 | 0.4% |
UnitedHealth Group Inc. | 3.100%–6.875% | 3/15/26–3/15/42 | 77,667 | 96,747 | 0.6% |
6 Insurance—Other † | 362,039 | 2.3% | |||
Real Estate Investment Trusts † | 23,226 | 0.2% | |||
2,765,468 | 17.6% | ||||
Industrial | |||||
Basic Industry † | 137,045 | 0.9% | |||
Capital Goods | |||||
General Electric | |||||
Capital Corp. | 6.750% | 3/15/32 | 47,714 | 67,748 | 0.4% |
General Electric | |||||
Capital Corp. | 5.875%–6.875% | 8/7/37–1/10/39 | 54,429 | 77,248 | 0.5% |
5 General Electric Co. | 4.125%–5.000% | 10/9/42–12/29/49 | 34,609 | 40,243 | 0.3% |
United Technologies Corp. | 6.125% | 7/15/38 | 55,575 | 77,751 | 0.5% |
Capital Goods—Other † | 323,206 | 2.0% | |||
Communication | |||||
Comcast Corp. | 6.950% | 8/15/37 | 65,717 | 97,494 | 0.6% |
Comcast Corp. | 4.750% | 3/1/44 | 66,270 | 80,183 | 0.5% |
Comcast Corp. | 3.200%–7.050% | 1/15/33–7/15/46 | 220,539 | 272,777 | 1.8% |
NBCUniversal Media LLC | 4.450%–6.400% | 4/30/40–1/15/43 | 54,110 | 66,797 | 0.4% |
6 Communication—Other † | 235,597 | 1.5% | |||
Consumer Cyclical | |||||
Home Depot Inc. | 4.875% | 2/15/44 | 67,400 | 84,803 | 0.6% |
Home Depot Inc. | 4.200%–5.950% | 12/16/36–4/1/46 | 99,195 | 130,423 | 0.8% |
Lowe’s Cos. Inc. | 3.700% | 4/15/46 | 60,330 | 64,048 | 0.4% |
Lowe’s Cos. Inc. | 4.250%–6.650% | 3/15/29–9/15/45 | 73,672 | 98,510 | 0.6% |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 82,350 | 120,056 | 0.8% |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 71,682 | 99,318 | 0.6% |
Wal-Mart Stores Inc. | 4.000%–7.550% | 2/15/30–4/22/44 | 130,445 | 184,293 | 1.2% |
Consumer Cyclical—Other † | 272,424 | 1.7% | |||
Consumer Noncyclical | |||||
Altria Group Inc. | 5.375% | 1/31/44 | 50,985 | 66,968 | 0.4% |
Anheuser-Busch Cos. LLC | 5.750%–6.800% | 12/15/27–4/1/36 | 12,360 | 15,789 | 0.1% |
Anheuser-Busch InBev | |||||
Finance Inc. | 4.900% | 2/1/46 | 217,520 | 265,749 | 1.7% |
Anheuser-Busch InBev | |||||
Finance Inc. | 4.700% | 2/1/36 | 101,955 | 117,885 | 0.8% |
Anheuser-Busch InBev | |||||
Finance Inc. | 3.650%–4.000% | 2/1/26–1/17/43 | 44,223 | 47,338 | 0.3% |
4 Anheuser-Busch InBev | |||||
SA/NV | 2.750%–3.250% | 1/24/33–3/17/36 | 970 | 1,371 | 0.0% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 8.200% | 1/15/39 | 39,000 | 63,490 | 0.4% |
87
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 3.750%–8.000% | 11/15/39–7/15/42 | 52,059 | 64,374 | 0.4% |
AstraZeneca plc | 6.450% | 9/15/37 | 49,200 | 68,421 | 0.4% |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 39,725 | 58,436 | 0.4% |
Johnson & Johnson | 3.550% | 3/1/36 | 57,310 | 64,735 | 0.4% |
Medtronic Inc. | 4.625% | 3/15/45 | 81,390 | 99,468 | 0.6% |
Medtronic Inc. | 4.375%–6.500% | 3/15/35–3/15/44 | 76,213 | 94,577 | 0.6% |
Pfizer Inc. | 4.300%–7.200% | 3/15/39–6/15/43 | 43,992 | 65,039 | 0.4% |
Pharmacia Corp. | 6.750% | 12/15/27 | 2,200 | 3,063 | 0.0% |
Philip Morris International Inc. | 4.250% | 11/10/44 | 50,495 | 57,257 | 0.4% |
Wyeth LLC | 5.950% | 4/1/37 | 67,685 | 90,795 | 0.6% |
Wyeth LLC | 6.000%–6.500% | 2/1/34–2/15/36 | 2,157 | 2,954 | 0.0% |
6 Consumer Noncyclical—Other † | 1,096,766 | 7.0% | |||
Energy | |||||
Burlington Resources | |||||
Finance Co. | 7.400% | 12/1/31 | 23,500 | 31,064 | 0.2% |
ConocoPhillips | 5.900%–7.000% | 3/30/29–2/1/39 | 57,081 | 70,706 | 0.5% |
ConocoPhillips Canada | |||||
Funding Co. I | 5.950% | 10/15/36 | 1,500 | 1,767 | 0.0% |
ConocoPhillips Co. | 4.300%–5.950% | 3/15/26–3/15/46 | 48,035 | 54,603 | 0.3% |
Shell International | |||||
Finance BV | 4.000%–6.375% | 5/11/35–5/10/46 | 180,265 | 205,976 | 1.3% |
Tosco Corp. | 7.800%–8.125% | 1/1/27–2/15/30 | 21,500 | 28,409 | 0.2% |
Energy—Other † | 291,223 | 1.9% | |||
6 Other Industrial † | 120,377 | 0.8% | |||
Technology | |||||
Apple Inc. | 4.650% | 2/23/46 | 55,280 | 62,950 | 0.4% |
Apple Inc. | 3.450%–4.500% | 2/23/36–8/4/46 | 161,420 | 165,666 | 1.0% |
Microsoft Corp. | 3.750% | 2/12/45 | 74,350 | 77,084 | 0.5% |
Microsoft Corp. | 4.450% | 11/3/45 | 64,300 | 73,699 | 0.5% |
Microsoft Corp. | 4.750% | 11/3/55 | 50,365 | 58,883 | 0.4% |
Microsoft Corp. | 3.500%–5.300% | 2/12/35–2/12/55 | 33,560 | 35,437 | 0.2% |
Oracle Corp. | 4.000% | 7/15/46 | 65,295 | 67,450 | 0.4% |
Oracle Corp. | 3.850%–6.500% | 7/8/34–5/15/55 | 144,189 | 173,932 | 1.1% |
6 Technology—Other † | 248,493 | 1.6% | |||
Transportation | |||||
Burlington Northern | |||||
Santa Fe LLC | 3.900%–5.750% | 5/1/40–8/1/46 | 172,801 | 207,497 | 1.3% |
6 Transportation—Other † | 145,568 | 0.9% | |||
6,995,223 | 44.5% | ||||
Utilities | |||||
Electric | |||||
Alabama Power Co. | 3.750%–6.000% | 3/1/39–3/1/45 | 69,143 | 84,155 | 0.5% |
Berkshire Hathaway | |||||
Energy Co. | 4.500%–6.125% | 4/1/36–2/1/45 | 65,475 | 80,196 | 0.5% |
Consolidated Edison Co. | |||||
of New York Inc. | 3.950%–6.750% | 6/15/33–12/1/54 | 134,392 | 165,255 | 1.0% |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 51,000 | 68,934 | 0.4% |
Duke Energy Carolinas LLC | 3.875%–6.450% | 10/15/32–3/15/46 | 76,187 | 88,134 | 0.6% |
Duke Energy Florida LLC | 5.650%–6.350% | 9/15/37–4/1/40 | 12,660 | 17,111 | 0.1% |
Duke Energy Indiana LLC | 4.200%–6.450% | 10/15/35–7/15/43 | 57,336 | 72,152 | 0.5% |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 9,825 | 10,432 | 0.1% |
Duke Energy Progress LLC | 4.100%–4.200% | 5/15/42–8/15/45 | 43,310 | 49,192 | 0.3% |
Georgia Power Co. | 4.300%–5.950% | 2/1/39–3/15/43 | 73,412 | 90,521 | 0.6% |
88
Long-Term Investment-Grade Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
MidAmerican Energy Co. | 4.250%–5.800% | 10/15/36–5/1/46 | 32,695 | 40,725 | 0.3% | |
Nevada Power Co. | 5.375%–6.650% | 4/1/36–5/15/41 | 49,180 | 64,005 | 0.4% | |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 44,041 | 58,830 | 0.4% | |
Pacific Gas & Electric Co. | 4.500%–6.350% | 3/1/37–2/15/44 | 94,152 | 123,932 | 0.8% | |
PacifiCorp | 4.100%–6.350% | 6/15/35–2/1/42 | 99,132 | 131,943 | 0.8% | |
Southern Co. | 4.400% | 7/1/46 | 18,755 | 20,754 | 0.1% | |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 77,749 | 0.5% | |
6 Electric—Other † | 862,739 | 5.5% | ||||
Natural Gas † | 6,544 | 0.0% | ||||
Other Utility † | 1,476 | 0.0% | ||||
2,114,779 | 13.4% | |||||
Total Corporate Bonds (Cost $10,008,812) | 11,875,470 | 75.5% | ||||
6Sovereign Bonds (U.S. Dollar-Denominated) (Cost $229,712) † | 255,258 | 1.6% | ||||
Taxable Municipal Bonds | ||||||
American Municipal Power | ||||||
Ohio Inc. Revenue | ||||||
(Prairie State Energy | ||||||
Campus Project) | 6.270% | 2/15/50 | 53,500 | 72,851 | 0.5% | |
Bay Area Toll Authority | ||||||
California Toll Bridge Revenue | ||||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 44,640 | 67,312 | 0.4% | |
California GO | 7.300% | 10/1/39 | 105,545 | 164,881 | 1.1% | |
California GO | 7.600% | 11/1/40 | 69,320 | 116,818 | 0.7% | |
California GO | 7.550% | 4/1/39 | 55,350 | 91,325 | 0.6% | |
California GO | 7.350%–7.625% | 4/1/34–3/1/40 | 50,335 | 80,751 | 0.5% | |
Georgia Municipal Electric | ||||||
Power Authority Revenue | 6.637% | 4/1/57 | 42,080 | 58,127 | 0.4% | |
Los Angeles CA Unified | ||||||
School District GO | 6.758% | 7/1/34 | 61,235 | 90,410 | 0.6% | |
New Jersey Turnpike | ||||||
Authority Revenue | 7.102% | 1/1/41 | 62,755 | 98,047 | 0.6% | |
New Jersey Turnpike | ||||||
Authority Revenue | 7.414% | 1/1/40 | 52,934 | 85,333 | 0.5% | |
New York Metropolitan | ||||||
Transportation Authority | ||||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 66,105 | 107,976 | 0.7% | |
Port Authority of New York | ||||||
& New Jersey Revenue | 4.458%–6.040% | 12/1/29–10/1/62 | 124,485 | 161,460 | 1.0% | |
Taxable Municipal Bonds—Other † | 980,033 | 6.2% | ||||
Total Taxable Municipal Bonds (Cost $1,665,875) | 2,175,324 | 13.8% | ||||
Shares | ||||||
Temporary Cash Investments | ||||||
Money Market Fund | ||||||
7 Vanguard Market Liquidity Fund | 0.561% | 391,119,683 | 391,120 | 2.5% |
89
Long-Term Investment-Grade Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Repurchase Agreements | |||||
Bank of America Securities, LLC | |||||
(Dated 7/29/16, Repurchase Value | |||||
$37,901,000, collateralized by | |||||
Government National Mortgage | |||||
Assn., 4.000%, 3/20/46, with a | |||||
value of $38,658,000) | 0.350% | 8/1/16 | 37,900 | 37,900 | 0.2% |
Bank of Montreal | |||||
(Dated 7/29/16, Repurchase | |||||
Value $91,002,000, collateralized | |||||
by Federal Home Loan Bank | |||||
2.000%, 6/30/31, Federal Home | |||||
Loan Mortgage Corp. 3.000%– | |||||
3.750%, 3/27/19–3/1/43, Federal | |||||
National Mortgage Assn. 1.625%– | |||||
4.000%, 1/21/20–11/1/45, | |||||
Government National Mortgage | |||||
Assn. 2.500%, 6/15/27, Federal | |||||
Farm Credit Bank 1.560%–2.980%, | |||||
7/26/21–11/10/25, and U.S. Treasury | |||||
Note/Bond 2.125%, 8/15/21, with a | |||||
value of $92,820,000) | 0.320% | 8/1/16 | 91,000 | 91,000 | 0.6% |
Barclays Capital Inc. | |||||
(Dated 7/29/16, Repurchase | |||||
Value $51,201,000, collateralized | |||||
by U.S. Treasury Note/Bond | |||||
1.750%–3.625%, 9/30/19–2/15/44, | |||||
with a value of $52,224,000) | 0.320% | 8/1/16 | 51,200 | 51,200 | 0.3% |
Citigroup Global Markets Inc. | |||||
(Dated 7/29/16, Repurchase | |||||
Value $66,302,000, collateralized | |||||
by U.S. Treasury Note/Bond | |||||
1.125%, 4/30/20, with a value | |||||
of $67,626,000) | 0.320% | 8/1/16 | 66,300 | 66,300 | 0.4% |
RBC Capital Markets LLC | |||||
(Dated 7/29/16, Repurchase | |||||
Value $41,401,000, collateralized | |||||
by Federal Home Loan Mortgage | |||||
Corp. 4.000%, 5/1/44, Federal | |||||
National Mortgage Assn. 2.500%– | |||||
3.500%, 6/1/28–7/1/46, and | |||||
Government National Mortgage | |||||
Assn. 3.500%, 10/20/45, with a | |||||
value of $42,228,000) | 0.320% | 8/1/16 | 41,400 | 41,400 | 0.3% |
Wells Fargo & Co. | |||||
(Dated 7/29/16, Repurchase | |||||
Value $52,602,000, collateralized | |||||
by Federal Home Loan Mortgage | |||||
Corp. 3.000%, 10/1/35, and | |||||
Federal National Mortgage Assn. | |||||
3.000%, 1/1/43, with a value | |||||
of $53,652,000) | 0.360% | 8/1/16 | 52,600 | 52,600 | 0.3% |
340,400 | 2.1% | ||||
Total Temporary Cash Investments (Cost $731,520) | 731,520 | 4.6% | |||
Total Investments (Cost $13,172,438) | 15,650,662 | 99.4% |
90
Long-Term Investment-Grade Fund | ||||
Market | Percentage | |||
Expiration | Value• | of Net | ||
Date | Contracts | ($000) | Assets | |
Liabiliy for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 18 | (5) | 0.0% |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 44 | (5) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 18 | (2) | 0.0% |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 44 | (19) | 0.0% |
Total Liability for Options Written (Premiums Received $61) | (31) | 0.0% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 1,231 | |||
Receivables for Investment Securities Sold | 25,053 | |||
Receivables for Accrued Income | 177,446 | |||
Receivables for Capital Shares Issued | 7,120 | |||
Other Assets8 | 41,217 | |||
Total Other Assets | 252,067 | 1.6% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (93,164) | |||
Payables for Capital Shares Redeemed | (16,328) | |||
Payables for Distributions | (8,658) | |||
Payables to Vanguard | (16,273) | |||
Other Liabilities | (30,425) | |||
Total Liabilities | (164,848) | (1.0%) | ||
Net Assets | 15,737,850 | 100.0% |
91
Long-Term Investment-Grade Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 13,094,817 |
Undistributed Net Investment Income | 506 |
Accumulated Net Realized Gains | 123,241 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 2,478,224 |
Futures Contracts | 25,249 |
Options | 30 |
Swap Contracts | 15,979 |
Foward Currency Contracts | (195) |
Foreign Currencies | (1) |
Net Assets | 15,737,850 |
Investor Shares—Net Assets | |
Applicable to 390,397,248 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,379,674 |
Net Asset Value Per Share—Investor Shares | $11.22 |
Admiral Shares—Net Assets | |
Applicable to 1,012,454,526 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 11,358,176 |
Net Asset Value Per Share—Admiral Shares | $11.22 |
• 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.
1 Securities with a value of $358,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts.
2 Securities with a value of $45,490,000 have been segregated as initial margin for open cleared swap contracts. 3 Securities with a value of $11,408,000 have been segregated as initial margin for open futures contracts.
4 Face amount denominated in euro.
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 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, 2016, the aggregate value of these securities was $599,100,000, representing 3.8% of net assets.
7 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
8 Cash of $3,450,000 have 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.
92
Long-Term Investment-Grade Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 306,517 |
Total Income | 306,517 |
Expenses | |
Investment Advisory Fees—Note B | 1,942 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 3,374 |
Management and Administrative—Admiral Shares | 4,065 |
Marketing and Distribution—Investor Shares | 362 |
Marketing and Distribution—Admiral Shares | 425 |
Custodian Fees | 63 |
Shareholders’ Reports—Investor Shares | 65 |
Shareholders’ Reports—Admiral Shares | 22 |
Trustees’ Fees and Expenses | 10 |
Total Expenses | 10,328 |
Net Investment Income | 296,189 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 108,397 |
Futures Contracts | 36,548 |
Options | 3 |
Swap Contracts | 15,273 |
Foreign Currencies and Forward Currency Contracts | 362 |
Realized Net Gain (Loss) | 160,583 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,562,106 |
Futures Contracts | 9,719 |
Options | 39 |
Swap Contracts | 22,113 |
Foreign Currencies and Forward Currency Contracts | (272) |
Change in Unrealized Appreciation (Depreciation) | 1,593,705 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,050,477 |
1 Interest income from an affiliated company of the fund was $715,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
93
Long-Term Investment-Grade Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 296,189 | 632,677 |
Realized Net Gain (Loss) | 160,583 | 325,428 |
Change in Unrealized Appreciation (Depreciation) | 1,593,705 | (2,063,784) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,050,477 | (1,105,679) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (85,314) | (183,145) |
Admiral Shares | (224,800) | (471,449) |
Realized Capital Gain1 | ||
Investor Shares | (10,150) | (71,139) |
Admiral Shares | (26,198) | (180,085) |
Total Distributions | (346,462) | (905,818) |
Capital Share Transactions | ||
Investor Shares | 42,176 | (292,682) |
Admiral Shares | 186,270 | (946,834) |
Net Increase (Decrease) from Capital Share Transactions | 228,446 | (1,239,516) |
Total Increase (Decrease) | 1,932,461 | (3,251,013) |
Net Assets | ||
Beginning of Period | 13,805,389 | 17,056,402 |
End of Period2 | 15,737,850 | 13,805,389 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $21,484,000, 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 $506,000 and $157,000.
See accompanying Notes, which are an integral part of the Financial Statements.
94
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 | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.00 | $11.34 | $10.02 | $10.65 | $10.50 | $9.15 |
Investment Operations | ||||||
Net Investment Income | . 208 | .430 | .453 | .469 | .491 | .515 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.256 | (1.148) | 1.487 | (.525) | .274 | 1.439 |
Total from Investment Operations | 1.464 | (.718) | 1.940 | (.056) | .765 | 1.954 |
Distributions | ||||||
Dividends from Net Investment Income | (. 218) | (. 446) | (. 466) | (. 481) | (. 499) | (. 521) |
Distributions from Realized Capital Gains | (. 026) | (.176) | (.154) | (. 093) | (.116) | (. 083) |
Total Distributions | (. 244) | (. 622) | (. 620) | (. 574) | (. 615) | (. 604) |
Net Asset Value, End of Period | $11.22 | $10.00 | $11.34 | $10.02 | $10.65 | $10.50 |
Total Return1 | 14.82% | -6.33% | 19.98% | -0.41% | 7.39% | 21.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,380 | $3,860 | $4,714 | $4,112 | $4,429 | $4,340 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.21% | 0.21% | 0.22% | 0.22% | 0.22% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.97% | 4.18% | 4.30% | 4.64% | 4.57% | 5.25% |
Portfolio Turnover Rate | 24% | 35%2 | 21% | 26% | 21% | 29% |
The expense ratio, net investment 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.
95
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 | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $10.00 | $11.34 | $10.02 | $10.65 | $10.50 | $9.15 |
Investment Operations | ||||||
Net Investment Income | . 214 | .440 | .463 | .480 | .502 | .525 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.256 | (1.148) | 1.487 | (.525) | .274 | 1.439 |
Total from Investment Operations | 1.470 | (.708) | 1.950 | (.045) | .776 | 1.964 |
Distributions | ||||||
Dividends from Net Investment Income | (. 224) | (. 456) | (. 476) | (. 492) | (. 510) | (. 531) |
Distributions from Realized Capital Gains | (. 026) | (.176) | (.154) | (. 093) | (.116) | (. 083) |
Total Distributions | (. 250) | (. 632) | (. 630) | (. 585) | (. 626) | (. 614) |
Net Asset Value, End of Period | $11.22 | $10.00 | $11.34 | $10.02 | $10.65 | $10.50 |
Total Return1 | 14.87% | -6.23% | 20.10% | -0.31% | 7.49% | 22.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,358 | $9,946 | $12,342 | $10,026 | $9,112 | $7,113 |
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 | 4.07% | 4.27% | 4.40% | 4.74% | 4.67% | 5.35% |
Portfolio Turnover Rate | 24% | 35%2 | 21% | 26% | 21% | 29% |
The expense ratio, net investment 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.
96
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).
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Long-Term Investment-Grade Fund
3. 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 six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 5% and 1% of net assets, respectively, based on the average of aggregate settlement 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 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
98
Long-Term Investment-Grade Fund
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, 2016, 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 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
99
Long-Term Investment-Grade Fund
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, 2016, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 23% 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 investments in 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. Options: The fund invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received.
The fund invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.
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Long-Term Investment-Grade Fund
The fund invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.
Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. 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, 2016, the fund’s average value of investments in 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.
7. 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.
8. 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, 2013–2016), and for the period ended July 31, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
9. 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.
101
Long-Term Investment-Grade Fund
10. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, or at any time during the period then ended.
11. 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 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 $769,000 for the period ended July 31, 2016.
For the six months ended July 31, 2016, the investment advisory fee represented an effective annual rate of 0.03% of the fund’s average net assets.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $1,231,000, representing 0.01% of the fund’s net assets and 0.49% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
102
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, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000 |
U.S. Government and Agency Obligations | — | 613,090 | — |
Corporate Bonds | — | 11,875,470 | — |
Sovereign Bonds | — | 255,258 | — |
Taxable Municipal Bonds | — | 2,175,324 | — |
Temporary Cash Investments | 391,120 | 340,400 | — |
Futures Contracts—Assets1 | 4,725 | — | — |
Futures Contracts—Liabilities1 | (1,263) | — | — |
Forward Currency Contracts—Assets | — | 187 | — |
Forward Currency Contracts—Liabilities | — | (382) | — |
Swap Contracts—Assets | 2,2171 | 9,376 | — |
Swap Contracts—Liabilities | (12)1 | (242) | — |
Liability for Options Written | (31) | — | — |
Total | 396,756 | 15,268,481 | — |
1 Represents variation margin on the last day of the reporting period. |
E. At July 31, 2016, 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 | 4,725 | 187 | 11,593 | 16,505 |
Liability for Options Written | (31) | — | — | (31) |
Other Liabilities | (1,263) | (382) | (254) | (1,899) |
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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, 2016, were:
Interest Rate | Currency | Credit | ||
Contracts | Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) | ($000) |
Futures Contracts | 36,548 | — | — | 36,548 |
Options | 20 | — | (17) | 3 |
Swap Contracts | 651 | — | 14,622 | 15,273 |
Forward Currency Contracts | — | 375 | — | 375 |
Realized Net Gain (Loss) on Derivatives | 37,219 | 375 | 14,605 | 52,199 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||
Futures Contracts | 9,719 | — | — | 9,719 |
Options | 39 | — | — | 39 |
Swap Contracts | (417) | — | 22,530 | 22,113 |
Forward Currency Contracts | — | (276) | — | (276) |
Change in Unrealized Appreciation | ||||
(Depreciation) on Derivatives | 9,341 | (276) | 22,530 | 31,595 |
At July 31, 2016, 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) |
10-Year U.S. Treasury Note | September 2016 | 3,075 | 409,119 | 6,804 |
Ultra Long U.S. Treasury Bond | September 2016 | 1,680 | 320,092 | 17,335 |
5-Year U.S. Treasury Note | September 2016 | (458) | (55,883) | (243) |
2-Year U.S. Treasury Note | September 2016 | (103) | (22,557) | (95) |
30-Year U.S. Treasury Bond | September 2016 | 73 | 12,734 | 1,942 |
Ultra 10-Year U.S. Treasury Note | September 2016 | 50 | 7,310 | (81) |
Euro-Bund | September 2016 | (25) | (4,690) | (53) |
Euro-Buxl | September 2016 | (18) | (3,965) | (343) |
Euro-Bobl | September 2016 | (4) | (598) | (6) |
Long Gilt | September 2016 | (1) | (173) | (11) |
25,249 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
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Long-Term Investment-Grade Fund
At July 31, 2016, 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 | |||||
Contract Amount (000) | ||||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Barclays Capital | 8/3/16 | EUR | 8,983 | USD | 9,878 | 166 |
BNP Paribas | 8/3/16 | EUR | 2,091 | USD | 2,321 | 17 |
Morgan Stanley Capital Services LLC | 8/3/16 | GBP | 321 | USD | 421 | 4 |
Morgan Stanley Capital Services LLC | 8/3/16 | EUR | 53 | USD | 59 | — |
Bank of America N.A | 8/3/16 | USD | 11,843 | EUR | 10,760 | (188) |
Barclays Capital | 9/2/16 | USD | 9,890 | EUR | 8,983 | (166) |
JPMorgan Chase Bank N.A. | 9/2/16 | USD | 703 | EUR | 639 | (12) |
Morgan Stanley Capital Services LLC | 9/2/16 | USD | 458 | EUR | 416 | (8) |
Morgan Stanley Capital Services LLC | 8/3/16 | USD | 424 | GBP | 321 | — |
Morgan Stanley Capital Services LLC | 9/2/16 | USD | 421 | GBP | 321 | (4) |
JPMorgan Chase Bank N.A. | 8/3/16 | USD | 265 | EUR | 238 | (2) |
BNP Paribas | 8/3/16 | USD | 144 | EUR | 129 | (1) |
BNP Paribas | 9/2/16 | USD | 116 | EUR | 105 | (1) |
Deutsche Bank AG | 9/2/16 | USD | 2 | EUR | 2 | — |
(195) | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. | ||||||
At July 31, 2016, 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 | Clearinghouse | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold | ||||||
CDX-NA-IG-S26-V1 | 6/20/21 | CME 2,285,400 | (23,207) | 1.000 | 6,709 | |
CDX-NA-IG-S26-V1 | 6/20/21 | ICE | 142,000 | (1,703) | 1.000 | 159 |
CDX-NA-IG-S26-V1 | 6/20/21 | ICE | 3,535 | (49) | 1.000 | (3) |
2,430,935 | 6,865 | |||||
Credit Protection Purchased | ||||||
CDX-NA-HY-S26-V1 | 6/20/21 | ICE | 3,363 | 128 | (5.000) | (20) |
6,845 | ||||||
CME—Chicago Mercantile Exchange. | ||||||
ICE—Intercontinental Exchange. |
105
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 | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold/Moody’s Rating | ||||||
CDX.NA.IG.S16.V1-10Y | 6/20/21 | GSI | 200,000 | 2,326 | 1.000 | 3,896 |
CDX.NA.IG.S19.V1-10Y | 12/20/22 | BOANA | 25,000 | 565 | 1.000 | 404 |
CDX.NA.IG.S19.V1-10Y | 12/20/22 | BOANA | 300,000 | 6,606 | 1.000 | 4,669 |
Federation of Malaysia/A3 | 6/20/21 | DBAG | 350 | 12 | 1.000 | 5 |
Federation of Malaysia/A3 | 6/20/21 | BNPSW | 6,700 | 194 | 1.000 | 60 |
People’s Republic of China/Aa3 | 9/20/20 | GSCM | 8,000 | (28) | 1.000 | (21) |
People’s Republic of China/Aa3 | 9/20/20 | BNPSW | 7,000 | 40 | 1.000 | 46 |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 2,400 | 44 | 1.000 | 41 |
People’s Republic of China/Aa3 | 12/20/20 | GSCM | 1,667 | 26 | 1.000 | 24 |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 2,950 | (9) | 1.000 | 7 |
Republic of Chile/Aa3 | 6/20/21 | BNPSW | 10,950 | 30 | 1.000 | 88 |
Republic of Colombia/Baa2 | 6/20/21 | JPMC | 160 | 6 | 1.000 | (1) |
Republic of Colombia/Baa2 | 6/20/21 | BNPSW | 200 | 7 | 1.000 | (2) |
Republic of Indonesia/Baa3 | 6/20/21 | DBAG | 1,500 | 75 | 1.000 | 31 |
Republic of Peru/A3 | 6/20/21 | BNPSW | 1,000 | 29 | 1.000 | 15 |
Republic of Peru/A3 | 6/20/21 | GSCM | 1,225 | 36 | 1.000 | 18 |
Republic of Turkey/Baa3 | 12/20/16 | BNPSW | 2,000 | 1 | 1.000 | 3 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 400 | 9 | 1.000 | 10 |
Russian Federation/Ba1 | 6/20/17 | GSCM | 200 | 4 | 1.000 | 5 |
United Mexican States/A3 | 6/20/21 | JPMC | 700 | 25 | 1.000 | 8 |
United Mexican States/A3 | 6/20/21 | BNPSW | 1,000 | 36 | 1.000 | 11 |
United Mexican States/A3 | 6/20/21 | BNPSW | 1,000 | 34 | 1.000 | 10 |
United Mexican States/A3 | 6/20/21 | BNPSW | 865 | 30 | 1.000 | 9 |
United Mexican States/A3 | 6/20/21 | BOANA | 1,700 | 49 | 1.000 | 8 |
576,967 | 9,344 |
106
Long-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 | Counterparty | ($000) | ($000) | (%) | ($000) |
Credit Protection Purchased | ||||||
CMBX.NA.AAA.9 | 9/17/58 | CSFBI | 1,690 | (69) | (0.500) | 7 |
CMBX.NA.AAA.9 | 9/17/58 | GSI | 340 | (14) | (0.500) | 1 |
Federative Republic of Brazil | 12/20/20 | BARC | 300 | (35) | (1.000) | (16) |
Federative Republic of Brazil | 12/20/20 | GSCM | 698 | (92) | (1.000) | (48) |
Federative Republic of Brazil | 6/20/21 | DBAG | 1,400 | (170) | (1.000) | (58) |
Federative Republic of Brazil | 12/20/25 | GSCM | 315 | (78) | (1.000) | (21) |
Federative Republic of Brazil | 12/20/25 | BOANA | 315 | (83) | (1.000) | (27) |
Republic of Colombia | 6/20/21 | JPMC | 1,302 | (83) | (1.000) | (28) |
Republic of South Africa | 12/20/20 | JPMC | 500 | (35) | (1.000) | (9) |
Republic of South Africa | 12/20/20 | BOANA | 500 | (34) | (1.000) | (9) |
Republic of Turkey | 6/20/21 | BNPSW | 200 | (15) | (1.000) | — |
Republic of Turkey | 6/20/21 | JPMC | 250 | (19) | (1.000) | (1) |
Republic of Turkey | 6/20/21 | BARC | 200 | (15) | (1.000) | (1) |
8,010 | (210) | |||||
9,134 |
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.
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. GSI—Goldman Sachs International. JPMC—JP Morgan Chase Bank.
At July 31, 2016, counterparties had deposited in segregated accounts securities with a value of $2,170,000 in connection with open swap 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.
107
Long-Term Investment-Grade Fund
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, 2016, the fund realized net foreign currency gains of $379,000, (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 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 $13,895,000 on swap contracts have been reclassified from accumulated net realized gains to undistributed net investment income.
At July 31, 2016, the cost of investment securities for tax purposes was $13,179,134,000. Net unrealized appreciation of investment securities for tax purposes was $2,471,528,000, consisting of unrealized gains of $2,474,779,000 on securities that had risen in value since their purchase and $3,251,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended July 31, 2016, the fund purchased $1,543,227,000 of investment securities and sold $1,470,724,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $180,917,000 and $179,865,000, respectively.
The following table summarizes the fund’s options written during the six months ended July 31, 2016.
Options on | ||||
Futures Contracts | Swaptions | |||
Notional | ||||
Amount of | ||||
Premiums | Underlying | Premiums | ||
Number of | Received | Swap | Received | |
Options Written | Contracts | ($000) | ($000) | ($000) |
Balance at January 31, 2016 | 97 | 39 | — | — |
Options Written | 1,158 | 476 | 22,765 | 26 |
Options Expired | (124) | (48) | (22,765) | (26) |
Options Closed | (1,007) | (406) | — | — |
Options Exercised | — | — | — | — |
Balance at July 31, 2016 | 124 | 61 | — | — |
108
Long-Term Investment-Grade Fund
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 387,680 | 36,807 | 512,289 | 49,846 |
Issued in Lieu of Cash Distributions | 91,617 | 8,652 | 244,823 | 23,822 |
Redeemed | (437,121) | (41,112) | (1,049,794) | (103,326) |
Net Increase (Decrease)—Investor Shares | 42,176 | 4,347 | (292,682) | (29,658) |
Admiral Shares | ||||
Issued | 1,076,701 | 101,823 | 1,438,412 | 139,837 |
Issued in Lieu of Cash Distributions | 196,304 | 18,535 | 509,739 | 49,571 |
Redeemed | (1,086,735) | (102,656) | (2,894,985) | (283,069) |
Net Increase (Decrease)—Admiral Shares | 186,270 | 17,702 | (946,834) | (93,661) |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
109
High-Yield Corporate Fund
Fund Profile
As of July 31, 2016
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VWEHX | VWEAX | |
Expense Ratio1 | 0.23% | 0.13% | |
30-Day SEC Yield | 5.01% | 5.12% | |
Financial Attributes | |||
High-Yield | Barclays | ||
Corporate | Corporate | ||
Composite | High Yield | ||
Fund | Index | Index | |
Number of Bonds | 457 | 1,856 | 2,179 |
Yield to Maturity | |||
(before expenses) | 5.6% | 5.6% | 7.0% |
Average Coupon | 5.7% | 6.0% | 6.6% |
Average Duration | 4.3 years | 4.2 years | 4.1 years |
Average Effective | |||
Maturity | 5.6 years | 5.3 years | 5.2 years |
Short-Term | |||
Reserves | 3.3% | — | — |
Sector Diversification (% of portfolio) | |||
Basic Industry | 6.2% | ||
Capital Goods | 9.3 | ||
Communication | 26.4 | ||
Consumer Cyclical | 6.9 | ||
Consumer Non-Cyclical | 12.2 | ||
Energy | 10.2 | ||
Finance | 10.8 | ||
Other Corporate | 0.8 | ||
Technology | 9.1 | ||
Transportation | 1.9 | ||
Treasury / Agency | 2.9 | ||
Utilities | 3.3 |
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 | ||
High-Yield | Barclays | |
Corporate | Corporate | |
Composite | High Yield | |
Index | Index | |
R-Squared | 0.97 | 0.93 |
Beta | 0.90 | 0.76 |
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 | 5.5% |
1 - 5 Years | 29.8 |
5 - 10 Years | 55.3 |
10 - 20 Years | 5.0 |
20 - 30 Years | 3.6 |
Over 30 Years | 0.8 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 2.9% |
Baa | 6.1 |
Ba | 46.2 |
B | 37.0 |
Caa | 7.4 |
Not Rated | 0.4 |
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 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.23% for Investor Shares and 0.13% for Admiral Shares.
110
High-Yield Corporate Fund
Investment Focus
111
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, 2006, Through July 31, 2016 | ||||
High-Yield | ||||
Corporate | ||||
Composite | ||||
Investor Shares | Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
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 | 5.23 | -8.22 | -2.99 | -4.45 |
2017 | 2.94 | 6.04 | 8.98 | 11.13 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | 2.38% | 5.90% | 7.00% | -0.49% | 6.51% |
Admiral Shares | 11/12/2001 | 2.48 | 6.01 | 7.11 | -0.49 | 6.62 |
See Financial Highlights for dividend and capital gains information.
112
High-Yield Corporate Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of July 31, 2016
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% | 5/31/17 | 186,000 | 186,087 | 1.0% | |
1 | United States Treasury Note/Bond | 0.875% | 2/28/17 | 172,000 | 172,430 | 0.9% |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 169,570 | 169,835 | 0.9% | |
United States Treasury Note/Bond | 1.000% | 8/31/16 | 27,750 | 27,763 | 0.1% | |
Total U.S. Government and Agency Obligations (Cost $555,537) | 556,115 | 2.9% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking † | 56,171 | 0.3% | ||||
Finance Companies | ||||||
AerCap Ireland Capital | ||||||
Ltd./AerCap Global | ||||||
Aviation Trust | 3.750%–5.000% | 5/15/19–7/1/22 | 147,390 | 156,481 | 0.8% | |
2 | CIT Group Inc. | 6.625% | 4/1/18 | 105,655 | 111,994 | 0.6% |
CIT Group Inc. | 5.250% | 3/15/18 | 102,005 | 105,830 | 0.5% | |
CIT Group Inc. | 5.375% | 5/15/20 | 83,950 | 88,777 | 0.5% | |
2 | CIT Group Inc. | 3.875%–5.500% | 2/15/19–8/15/22 | 133,639 | 139,806 | 0.7% |
International Lease | ||||||
Finance Corp. | 3.875%–8.625% | 4/15/18–8/15/22 | 249,027 | 281,003 | 1.4% | |
Navient Corp. | 5.500% | 1/15/19 | 88,795 | 91,126 | 0.5% | |
Navient Corp. | 5.500%–8.450% | 6/15/18–1/25/23 | 195,260 | 201,096 | 1.0% | |
SLM Corp. | 4.875% | 6/17/19 | 2,000 | 2,020 | 0.0% | |
2 | Finance Companies—Other † | 274,504 | 1.4% | |||
Insurance | ||||||
3 | Voya Financial Inc. | 5.650% | 5/15/53 | 87,753 | 84,682 | 0.4% |
2 | Insurance—Other † | 241,500 | 1.3% | |||
2 | Other Finance † | 55,183 | 0.3% | |||
Real Estate Investment Trusts † | 102,347 | 0.5% | ||||
1,992,520 | 10.2% |
113
High-Yield Corporate Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Industrial | ||||||
Basic Industry | ||||||
2,4 | VWR Funding Inc. | 4.625% | 4/15/22 | 116,316 | 134,054 | 0.7% |
2,5 | Basic Industry—Other † | 1,187,060 | 6.0% | |||
Capital Goods | ||||||
Case New Holland Inc. | 7.875% | 12/1/17 | 91,500 | 98,248 | 0.5% | |
2 | Cemex SAB de CV | 6.125% | 5/5/25 | 111,200 | 114,119 | 0.6% |
CNH Industrial Capital LLC | 3.375%–4.875% | 4/15/18–4/1/21 | 179,923 | 184,478 | 0.9% | |
2 | Reynolds Group Issuer | |||||
Inc./Reynolds Group | ||||||
Issuer LLC/Reynolds | ||||||
Group Issuer Lu | 5.125%–8.250% | 10/15/20–7/15/24 | 211,586 | 219,790 | 1.1% | |
2 | Standard Industries Inc. | 6.000% | 10/15/25 | 139,715 | 151,067 | 0.8% |
2 | Standard Industries Inc. | 5.375%–5.500% | 2/15/23–11/15/24 | 45,882 | 48,128 | 0.3% |
2 | Capital Goods—Other † | 995,736 | 5.1% | |||
Communication | ||||||
2 | Altice Financing SA | 6.625% | 2/15/23 | 47,121 | 47,239 | 0.2% |
2 | Altice US Finance I Corp. | 5.500% | 5/15/26 | 63,145 | 65,118 | 0.3% |
2 | CCO Holdings LLC/CCO | |||||
Holdings Capital Corp. | 5.125% | 5/1/23 | 97,010 | 100,163 | 0.5% | |
2 | CCO Holdings LLC/CCO | |||||
Holdings Capital Corp. | 5.125%–5.875% | 3/15/21–5/1/27 | 279,576 | 292,081 | 1.5% | |
2 | CCO Safari II LLC | 6.484% | 10/23/45 | 44,215 | 52,844 | 0.3% |
2 | Cequel Communications | |||||
Holdings I LLC/Cequel | ||||||
Capital Corp. | 5.125% | 12/15/21 | 59,340 | 58,895 | 0.3% | |
2 | Columbus International Inc. | 7.375% | 3/30/21 | 61,345 | 65,409 | 0.3% |
CSC Holdings LLC | 6.750%–8.625% | 2/15/18–11/15/21 | 124,489 | 134,268 | 0.7% | |
DISH DBS Corp. | 6.750% | 6/1/21 | 152,345 | 161,867 | 0.8% | |
DISH DBS Corp. | 5.875% | 7/15/22 | 94,575 | 94,811 | 0.5% | |
2 | DISH DBS Corp. | 5.000%–7.750% | 3/15/23–7/1/26 | 101,580 | 103,602 | 0.5% |
Level 3 Escrow II Inc. | 5.375% | 8/15/22 | 75,480 | 79,254 | 0.4% | |
2 | Level 3 Financing Inc. | 5.125%–5.625% | 2/1/23–3/15/26 | 160,930 | 168,186 | 0.9% |
Liberty Interactive LLC | 8.250% | 2/1/30 | 126,903 | 139,593 | 0.7% | |
Netflix Inc. | 5.875% | 2/15/25 | 96,935 | 103,478 | 0.5% | |
2 | Nielsen Finance LLC/ | |||||
Nielsen Finance Co. | 5.000% | 4/15/22 | 128,155 | 132,320 | 0.7% | |
2 | Numericable Group SA | 6.000% | 5/15/22 | 37,955 | 36,911 | 0.2% |
2 | Numericable-SFR SA | 7.375% | 5/1/26 | 51,640 | 51,575 | 0.3% |
2 | Sinclair Television Group Inc. | 5.875% | 3/15/26 | 90,410 | 94,930 | 0.5% |
2 | Softbank Corp. | 4.500% | 4/15/20 | 159,095 | 165,268 | 0.8% |
Sprint Capital Corp. | 8.750% | 3/15/32 | 11,230 | 10,542 | 0.1% | |
Sprint Corp. | 7.875% | 9/15/23 | 142,640 | 130,516 | 0.7% | |
Sprint Corp. | 7.125%–7.625% | 9/15/21–2/15/25 | 153,955 | 140,889 | 0.7% | |
2 | Sprint Nextel Corp. | 7.000% | 3/1/20 | 135,830 | 144,150 | 0.7% |
2 | Sprint Nextel Corp. | 9.000% | 11/15/18 | 112,545 | 121,971 | 0.6% |
Time Warner Cable Inc. | 5.500%–5.875% | 11/15/40–9/1/41 | 67,896 | 73,607 | 0.4% | |
2 | Unitymedia Hessen | |||||
GmbH & Co. KG/ | ||||||
Unitymedia NRW GmbH | 5.500% | 1/15/23 | 31,060 | 32,613 | 0.2% | |
2 | Univision Communications Inc. 5.125% | 2/15/25 | 126,080 | 129,547 | 0.7% | |
2 | UPCB Finance V Ltd. | 7.250% | 11/15/21 | 36,896 | 38,740 | 0.2% |
2 | UPCB Finance VI Ltd. | 6.875% | 1/15/22 | 28,832 | 30,490 | 0.2% |
Videotron Ltd. | 5.000% | 7/15/22 | 97,684 | 100,370 | 0.5% | |
114 |
High-Yield Corporate Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
2 | Virgin Media Secured | |||||
Finance plc | 5.375%–5.500% | 4/15/21–8/15/26 | 72,624 | 74,782 | 0.4% | |
2 | VTR Finance BV | 6.875% | 1/15/24 | 88,555 | 91,544 | 0.5% |
Zayo Group LLC/ | ||||||
Zayo Capital Inc. | 6.000% | 4/1/23 | 104,300 | 108,733 | 0.5% | |
2,5 | Communication—Other † | 1,526,421 | 7.8% | |||
Consumer Cyclical | ||||||
Wynn Las Vegas LLC/Wynn | ||||||
Las Vegas Capital Corp. | 5.375% | 3/15/22 | 117,525 | 121,051 | 0.6% | |
2,5 | Consumer Cyclical—Other † | 1,190,374 | 6.1% | |||
Consumer Noncyclical | ||||||
Amsurg Corp. | 5.625% | 7/15/22 | 81,010 | 85,060 | 0.4% | |
2 | Capsugel SA | 7.000% | 5/15/19 | 36,070 | 36,386 | 0.2% |
CHS/Community Health | ||||||
Systems Inc. | 6.875% | 2/1/22 | 173,590 | 149,721 | 0.8% | |
CHS/Community Health | ||||||
Systems Inc. | 5.125%–7.125% | 7/15/20–8/1/21 | 48,900 | 46,169 | 0.2% | |
2 | Endo Finance LLC/Endo | |||||
Ltd./Endo Finco Inc. | 6.000% | 7/15/23 | 106,343 | 93,316 | 0.5% | |
2 | Envision Healthcare Corp. | 5.125% | 7/1/22 | 86,215 | 87,724 | 0.4% |
HCA Holdings Inc. | 6.250% | 2/15/21 | 27,980 | 30,358 | 0.2% | |
HCA Inc. | 6.500% | 2/15/20 | 127,050 | 139,755 | 0.7% | |
HCA Inc. | 4.750%–7.690% | 3/15/22–6/15/26 | 307,685 | 328,387 | 1.7% | |
2 | IMS Health Inc. | 6.000% | 11/1/20 | 93,781 | 95,891 | 0.5% |
2 | Post Holdings Inc. | 5.000% | 8/15/26 | 85,940 | 85,618 | 0.4% |
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 106,480 | 0.5% | |
Tenet Healthcare Corp. | 8.125% | 4/1/22 | 87,825 | 90,899 | 0.5% | |
Tenet Healthcare Corp. | 4.500%–5.500% | 3/1/19–4/1/21 | 127,187 | 126,152 | 0.6% | |
THC Escrow Corp. II | 6.750% | 6/15/23 | 18,850 | 18,190 | 0.1% | |
2,5 | Consumer Noncyclical—Other † | 774,534 | 4.0% | |||
Energy | ||||||
Concho Resources Inc. | 5.500% | 10/1/22 | 85,170 | 84,105 | 0.4% | |
Continental Resources Inc. | 5.000% | 9/15/22 | 110,959 | 103,747 | 0.5% | |
2 | MPLX LP | 4.875% | 6/1/25 | 87,120 | 86,902 | 0.4% |
WPX Energy Inc. | 5.250% | 9/15/24 | 102,100 | 87,295 | 0.5% | |
2 | Energy—Other † | 1,579,947 | 8.1% | |||
Technology | ||||||
Alcatel-Lucent USA Inc. | 6.450% | 3/15/29 | 85,000 | 90,313 | 0.5% | |
CDW LLC/CDW | ||||||
Finance Corp. | 6.000% | 8/15/22 | 118,945 | 126,974 | 0.7% | |
2 | First Data Corp. | 7.000% | 12/1/23 | 181,545 | 186,538 | 1.0% |
2 | First Data Corp. | 5.750% | 1/15/24 | 121,970 | 123,037 | 0.6% |
2 | First Data Corp. | 5.000%–5.375% | 8/15/23–1/15/24 | 122,050 | 124,430 | 0.6% |
5,6 | First Data Corp. | |||||
Bank Loan | 4.238%–4.488% | 3/23/18-7/8/22 | 85,353 | 85,702 | 0.4% | |
Infor US Inc. | 6.500% | 5/15/22 | 97,200 | 96,471 | 0.5% | |
2 | Technology—Other † | 821,187 | 4.2% | |||
Transportation | ||||||
Hertz Corp. | 4.250%–7.375% | 4/1/18–1/15/21 | 198,025 | 203,830 | 1.0% | |
2 | Transportation—Other † | 167,388 | 0.9% | |||
15,609,338 | 79.8% | |||||
Utilities | ||||||
Electric | ||||||
AES Corp. | 5.500% | 3/15/24 | 119,951 | 124,149 | 0.6% | |
Calpine Corp. | 5.750% | 1/15/25 | 119,130 | 118,832 | 0.6% |
115
High-Yield Corporate Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
GenOn Energy Inc. | 7.875%–9.875% | 6/15/17–10/15/20 | 98,455 | 78,288 | 0.4% |
2 NRG Energy Inc. | 6.250%–7.875% | 5/15/21–5/15/26 | 162,920 | 164,922 | 0.8% |
2 Electric—Other † | 110,009 | 0.6% | |||
596,200 | 3.0% | ||||
Total Corporate Bonds (Cost $17,929,074) | 18,198,058 | 93.0% | |||
Shares | |||||
Preferred Stocks | |||||
GMAC Capital Trust I Pfd. | 6.411% | 4,743,200 | 120,430 | 0.6% | |
Preferred Stocks—Other † | 53,002 | 0.3% | |||
Total Preferred Stocks (Cost $166,125) | 173,432 | 0.9% | |||
Other † (Cost $27,348) | 1,575 | 0.0% | |||
Face | |||||
Amount | |||||
($000) | |||||
Temporary Cash Investments | |||||
Repurchase Agreements | |||||
Bank of America Securities, LLC | |||||
(Dated 7/29/16, Repurchase | |||||
Value $133,404,000, collateralized | |||||
by Government National Mortgage | |||||
Assn. 4.000%, 10/20/45, with a | |||||
value of $136,068,000) | 0.350% | 8/1/16 | 133,400 | 133,400 | 0.7% |
Bank of Montreal | |||||
(Dated 7/29/16, Repurchase Value | |||||
$202,105,000, collateralized by | |||||
Federal Farm Credit Bank 1.560%– | |||||
2.940%, 7/26/21–10/27/25, Federal | |||||
Home Loan Bank 1.000%–5.000%, | |||||
5/16/18–6/15/26, Federal Home | |||||
Loan Mortgage Corp. 1.100%– | |||||
7.000%, 2/28/18–2/1/46, Federal | |||||
National Mortgage Assn. 1.625%– | |||||
5.500%, 11/27/18–12/1/45, | |||||
Government National Mortgage | |||||
Assn. 2.000%–3.500%, 4/15/27– | |||||
11/15/45, and U.S. Treasury | |||||
Note/Bond 1.500%, 10/31/19, | |||||
with a value of $206,142,000) | 0.320% | 8/1/16 | 202,100 | 202,100 | 1.0% |
RBC Capital Markets LLC | |||||
(Dated 7/29/16, Repurchase Value | |||||
$178,905,000, collateralized by | |||||
Federal Home Loan Mortgage Corp. | |||||
3.500%–4.000%, 5/1/44–8/1/46, | |||||
Federal National Mortgage Assn. | |||||
2.614%–5.000%, 1/1/29–5/1/46, | |||||
and Government National Mortgage | |||||
Assn. 3.500%–5.000%, 4/20/39– | |||||
7/20/46, with a value of | |||||
$182,478,000) | 0.320% | 8/1/16 | 178,900 | 178,900 | 0.9% |
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High-Yield Corporate Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
TD Securities (USA) LLC | |||||
(Dated 7/29/16, Repurchase Value | |||||
$137,404,000, collateralized by | |||||
Federal Home Loan Mortgage | |||||
Corp. 3.500%–4.500%, 5/1/29– | |||||
4/1/46, Federal National Mortgage | |||||
Assn. 2.500%–5.000%, 1/1/25– | |||||
4/1/46, Government National | |||||
Mortgage Assn. 4.000%–4.500%, | |||||
5/20/45–10/15/45, and U.S. | |||||
Treasury Note/Bond 0.000%– | |||||
2.375%, 5/25/17–1/31/23, with | |||||
a value of $140,148,000) | 0.350% | 8/1/16 | 137,400 | 137,400 | 0.7% |
Total Temporary Cash Investments (Cost $651,800) | 651,800 | 3.3% | |||
Total Investments (Cost $19,329,884) | 19,580,980 | 100.1% | |||
Amount | |||||
($000) | |||||
Other Assets and Liabilities | |||||
Other Assets | |||||
Investment in Vanguard | 1,521 | ||||
Receivables for Investment Securities Sold | 6,196 | ||||
Receivables for Accrued Income | 280,307 | ||||
Receivables for Capital Shares Issued | 15,736 | ||||
Other Assets | 1,342 | ||||
Total Other Assets | 305,102 | 1.5% | |||
Liabilities | |||||
Payables for Investment Securities Purchased | (252,602) | ||||
Payables to Investment Advisor | (1,443) | ||||
Payables for Capital Shares Redeemed | (13,712) | ||||
Payables for Distributions | (22,987) | ||||
Payables to Vanguard | (22,407) | ||||
Other Liabilities | (4,981) | ||||
Total Liabilities | (318,132) | (1.6%) | |||
Net Assets | 19,567,950 | 100.0% | |||
At July 31, 2016, net assets consisted of: | |||||
Amount | |||||
($000) | |||||
Paid-in Capital | 19,827,814 | ||||
Undistributed Net Investment Income | 7,137 | ||||
Accumulated Net Realized Losses | (518,416) | ||||
Unrealized Appreciation (Depreciation) | |||||
Investment Securities | 251,096 | ||||
Swap Contracts | 4,262 | ||||
Forward Currency Contracts | (3,888) | ||||
Foreign Currencies | (55) | ||||
Net Assets | 19,567,950 |
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High-Yield Corporate Fund | |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 683,338,261 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,955,410 |
Net Asset Value Per Share—Investor Shares | $5.79 |
Admiral Shares—Net Assets | |
Applicable to 2,697,227,316 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 15,612,540 |
Net Asset Value Per Share—Admiral Shares | $5.79 |
• 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.
1 Securities with a value of $9,333,000 have been segregated as initial margin for open cleared swap contracts.
2 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, 2016, the aggregate value of these securities was $6,396,266,000, representing 32.7% of net assets.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
4 Face amount denominated in euro.
5 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, 2016, the aggregate value of these securities was $459,573,000, representing 2.3% of net assets.
6 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
118
High-Yield Corporate Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,826 |
Interest | 512,312 |
Total Income | 519,138 |
Expenses | |
Investment Advisory Fees—Note B | 2,811 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 3,318 |
Management and Administrative—Admiral Shares | 6,283 |
Marketing and Distribution—Investor Shares | 397 |
Marketing and Distribution—Admiral Shares | 705 |
Custodian Fees | 64 |
Shareholders’ Reports—Investor Shares | 103 |
Shareholders’ Reports—Admiral Shares | 78 |
Trustees’ Fees and Expenses | 12 |
Total Expenses | 13,771 |
Net Investment Income | 505,367 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (253,071) |
Swap Contracts | 7,513 |
Foreign Currencies and Forward Currency Contracts | 2,618 |
Realized Net Gain (Loss) | (242,940) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,285,275 |
Swap Contracts | 7,341 |
Foreign Currencies and Forward Currency Contracts | (4,110) |
Change in Unrealized Appreciation (Depreciation) | 1,288,506 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,550,933 |
See accompanying Notes, which are an integral part of the Financial Statements.
119
High-Yield Corporate Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 505,367 | 1,002,776 |
Realized Net Gain (Loss) | (242,940) | (187,047) |
Change in Unrealized Appreciation (Depreciation) | 1,288,506 | (1,343,647) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,550,933 | (527,918) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (104,111) | (222,495) |
Admiral Shares | (400,442) | (767,220) |
Realized Capital Gain1 | ||
Investor Shares | — | (19,814) |
Admiral Shares | — | (68,908) |
Total Distributions | (504,553) | (1,078,437) |
Capital Share Transactions | ||
Investor Shares | 132,138 | (220,185) |
Admiral Shares | 1,602,319 | 1,558,599 |
Net Increase (Decrease) from Capital Share Transactions | 1,734,457 | 1,338,414 |
Total Increase (Decrease) | 2,780,837 | (267,941) |
Net Assets | ||
Beginning of Period | 16,787,113 | 17,055,054 |
End of Period2 | 19,567,950 | 16,787,113 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 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 $7,137,000 and ($1,414,000).
See accompanying Notes, which are an integral part of the Financial Statements.
120
High-Yield Corporate Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $5.46 | $5.98 | $6.04 | $6.12 | $5.82 | $5.78 |
Investment Operations | ||||||
Net Investment Income | .155 | .327 | .331 | .348 | .372 | .405 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 330 | (. 495) | (. 059) | (. 080) | . 300 | . 040 |
Total from Investment Operations | .485 | (.168) | .272 | .268 | .672 | .445 |
Distributions | ||||||
Dividends from Net Investment Income | (.155) | (. 323) | (. 332) | (. 348) | (. 372) | (. 405) |
Distributions from Realized Capital Gains | — | (.029) | — | — | — | — |
Total Distributions | (.155) | (. 352) | (. 332) | (. 348) | (. 372) | (. 405) |
Net Asset Value, End of Period | $5.79 | $5.46 | $5.98 | $6.04 | $6.12 | $5.82 |
Total Return1 | 8.98% | -2.99% | 4.56% | 4.53% | 11.91% | 8.04% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,955 | $3,604 | $4,176 | $4,394 | $5,607 | $5,476 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.23% | 0.23% | 0.23% | 0.23% | 0.23% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 5.54% | 5.61% | 5.46% | 5.76% | 6.25% | 7.04% |
Portfolio Turnover Rate | 30% | 34% | 35% | 28% | 30% | 26% |
The expense ratio, net investment 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.
121
High-Yield Corporate Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | July 31, | Year Ended January 31, | ||||
Throughout Each Period | 2016 | 2016 | 2015 | 2014 | 2013 | 2012 |
Net Asset Value, Beginning of Period | $5.46 | $5.98 | $6.04 | $6.12 | $5.82 | $5.78 |
Investment Operations | ||||||
Net Investment Income | .158 | .333 | .337 | .354 | .378 | .411 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 330 | (. 495) | (. 059) | (. 080) | . 300 | . 040 |
Total from Investment Operations | .488 | (.162) | .278 | .274 | .678 | .451 |
Distributions | ||||||
Dividends from Net Investment Income | (.158) | (. 329) | (. 338) | (. 354) | (. 378) | (. 411) |
Distributions from Realized Capital Gains | — | (.029) | — | — | — | — |
Total Distributions | (.158) | (. 358) | (. 338) | (. 354) | (. 378) | (. 411) |
Net Asset Value, End of Period | $5.79 | $5.46 | $5.98 | $6.04 | $6.12 | $5.82 |
Total Return1 | 9.03% | -2.90% | 4.66% | 4.64% | 12.02% | 8.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $15,613 | $13,183 | $12,879 | $11,962 | $12,713 | $10,075 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 5.64% | 5.71% | 5.56% | 5.86% | 6.35% | 7.14% |
Portfolio Turnover Rate | 30% | 34% | 35% | 28% | 30% | 26% |
The expense ratio, net investment 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.
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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. 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. 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).
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High-Yield Corporate Fund
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 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, 2016, 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. 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
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High-Yield Corporate Fund
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 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 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 counter-party 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 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.
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High-Yield Corporate Fund
During the six months ended July 31, 2016, the fund’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 0% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period.
5. 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.
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, 2013–2016), and for the period ended July 31, 2016, 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.
8. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, or at any time during the period then ended.
9. 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.
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High-Yield Corporate Fund
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, 2016, the investment advisory fee represented an effective annual rate of 0.03% of the fund’s average net assets.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $1,521,000, representing 0.01% of the fund’s net assets and 0.61% 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).
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 556,115 | — |
Corporate Bonds | — | 18,198,058 | |
Preferred Stocks | — | 173,432 | — |
Other | — | — | 1,575 |
Temporary Cash Investments | — | 651,800 | — |
Forward Currency Contracts—Liabilities | — | (3,888) | — |
Swap Contracts—Assets1 | 521 | — | — |
Total | 521 | 19.575.517 | 1,575 |
1 Represents variation margin on the last day of the reporting period. |
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High-Yield Corporate Fund
E. At July 31, 2016, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Foreign | |||
Exchange | Credit | ||
Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) |
Other Assets | — | 521 | 521 |
Other Liabilities | (3,888) | — | (3,888) |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2016, were:
Foreign | |||
Exchange | Credit | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Forward Currency Contracts | 2,020 | — | 2,020 |
Swap Contracts | — | 7,513 | 7,513 |
Realized Net Gain (Loss) on Derivatives | 2,020 | 7,513 | 9,533 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Forward Currency Contracts | (4,132) | — | (4,132) |
Swap Contracts | — | 7,341 | 7,341 |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (4,132) | 7,341 | 3,209 |
At July 31, 2016, 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 | |||||
Contract Amount (000) | ||||||
Settlement | (Depreciation) | |||||
Counterparty | Date | Receive | Deliver | ($000) | ||
J.P. Morgan Securities, Inc. | 8/31/16 | USD | 114,054 | EUR | 103,794 | (2,131) |
Barclays Bank PLC | 8/31/16 | USD | 38,045 | EUR | 34,598 | (684) |
Goldman Sachs International | 8/31/16 | USD | 38,039 | EUR | 34,598 | (690) |
Citibank, N.A. | 8/31/16 | USD | 32,739 | GBP | 25,014 | (383) |
(3,888) | ||||||
EUR—Euro. | ||||||
GBP—British pound. | ||||||
USD—U.S. dollar. |
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High-Yield Corporate Fund
At July 31, 2016, the fund had the following open credit default 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 | Clearinghouse | ($000) | ($000) | (%) | ($000) |
Credit Protection Sold | ||||||
CDX.NA.HY.S26.V1.57 | 6/20/21 | CME | 155,530 | (2,582) | 5.000 | 4,262 |
CME—Chicago Mercantile Exchange. |
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.
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.
During the six months ended July 31, 2016, the fund realized net foreign currency gains of $2,618,000 (including gains and losses on forward currency contracts), which increased distributable net income for tax purposes; accordingly, such gains 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 $5,119,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $264,193,000 during the period from November 1, 2015, through January 31, 2016, which are deferred and will be treated as realized for tax purposes in fiscal 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2017.
At July 31, 2016, the cost of investment securities for tax purposes was $19,329,884,000. Net unrealized appreciation of investment securities for tax purposes was $251,096,000, consisting of unrealized gains of $652,726,000 on securities that had risen in value since their purchase and $401,630,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended July 31, 2016, the fund purchased $3,727,991,000 of investment securities and sold $2,310,790,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $0 and $170,920,000, respectively.
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High-Yield Corporate Fund
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 577,170 | 102,560 | 953,808 | 163,092 |
Issued in Lieu of Cash Distributions | 88,032 | 15,566 | 205,361 | 35,338 |
Redeemed | (533,064) | (94,708) | (1,379,354) | (236,916) |
Net Increase (Decrease)—Investor Shares | 132,138 | 23,418 | (220,185) | (38,486) |
Admiral Shares | ||||
Issued | 2,535,770 | 449,876 | 4,092,880 | 701,370 |
Issued in Lieu of Cash Distributions | 279,891 | 49,468 | 567,943 | 97,988 |
Redeemed | (1,213,342) | (216,251) | (3,102,224) | (538,902) |
Net Increase (Decrease)—Admiral Shares | 1,602,319 | 283,093 | 1,558,599 | 260,456 |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, 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, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
1/31/2016 | 7/31/2016 | Period | |
Based on Actual Fund Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,029.39 | $1.01 |
Admiral Shares | 1,000.00 | 1,029.90 | 0.50 |
Institutional Shares | 1,000.00 | 1,030.05 | 0.35 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,058.19 | $1.02 |
Admiral Shares | 1,000.00 | 1,058.71 | 0.51 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,148.15 | $1.12 |
Admiral Shares | 1,000.00 | 1,148.72 | 0.59 |
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,089.79 | $1.20 |
Admiral Shares | 1,000.00 | 1,090.34 | 0.68 |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
Intermediate-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Long-Term Investment-Grade Fund | |||
Investor Shares | $1,000.00 | $1,023.82 | $1.06 |
Admiral Shares | 1,000.00 | 1,024.32 | 0.55 |
High-Yield Corporate Fund | |||
Investor Shares | $1,000.00 | $1,023.72 | $1.16 |
Admiral Shares | 1,000.00 | 1,024.22 | 0.65 |
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, 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares; for the Intermediate-Term Investment-Grade Fund, 0.20% for Investor Shares and 0.10% 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, 0.23% for Investor Shares and 0.13% 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 (182/366).
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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)—through its Fixed Income Group. 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 each 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 credit analysis. For the Long-Term Investment-Grade Fund, the team conducts independent credit analysis on individual issuers 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 higher-quality 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’slength 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.
135
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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Vanguard Bond Funds are not sponsored, endorsed, issued, sold or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of Vanguard Bond Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard Bond Funds particularly or the ability of the Barclays Index to track general bond market performance. Barclays has not passed on the legality or suitability of the Vanguard Bond Funds with respect to any person or entity. Barclays’ only relationship to Vanguard and Vanguard Bond Funds is the licensing of the Barclays Index which is determined, composed and calculated by Barclays without regard to Vanguard or the Vanguard Bond Funds or any owners or purchasers of the Vanguard Bond Funds. Barclays has no obligation to take the needs of Vanguard, Vanguard Bond Funds or the owners of Vanguard Bond Funds into consideration in determining, composing or calculating the Barclays Index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of Vanguard Bond Funds to be issued. Barclays has no obligation or liability in connection with the administration, marketing or trading of the Vanguard Bond Funds.
BARCLAYS SHALL HAVE NO LIABILITY TO THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS
OF THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF THE VANGUARD BOND FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BARCLAYS INDICES, AND BARCLAYS SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BARCLAYS INDICES. BARCLAYS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. BARCLAYS SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY INDIRECT OR CONSEQUENTIAL DAMAGES RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN.
© 2016 Barclays. Used with Permission.
Source: Barclays Global Family of Indices. Copyright 2016, Barclays. All rights reserved.
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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 198 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; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
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), HP Inc. (printer and personal 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) and the Robert Wood Johnson Foundation; 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, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors).
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); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center.
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 James M. Norris Kathleen C. Gubanich Thomas M. Rampulla Martha G. King Glenn W. Reed John T. Marcante Karin A. Risi Chris D. McIsaac Michael Rollings
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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All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
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You can obtain a free copy of Vanguard’s proxy voting | |
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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 | |
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© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q392 092016 |
Semiannual Report | July 31, 2016
Vanguard Ultra-Short-Term Bond Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 6 |
Fund Profile. | 9 |
Performance Summary. | 10 |
Financial Statements. | 11 |
About Your Fund’s Expenses. | 39 |
Trustees Approve Advisory Arrangement. | 41 |
Glossary. | 42 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended July 31, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Ultra-Short-Term Bond Fund | ||||
Investor Shares | 0.81% | 0.50% | 0.20% | 0.70% |
Admiral™ Shares | 0.92 | 0.55 | 0.25 | 0.80 |
Barclays U.S. Treasury Bellwethers: 1 Year Index | 0.45 | |||
Ultra-Short Obligations Funds Avg | 0.80 | |||
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. | ||||
Your Fund’s Performance at a Glance | ||||
January 31, 2016, Through July 31, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Ultra-Short-Term Bond Fund | ||||
Investor Shares | $9.99 | $10.01 | $0.050 | $0.000 |
Admiral Shares | 19.98 | 20.03 | 0.110 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
For the six months ended July 31, 2016, Vanguard Ultra-Short-Term Bond Fund returned 0.70% for Investor Shares and 0.80% for Admiral Shares. That performance was close to the average return of peer funds and ahead of the 0.45% return of its benchmark index.
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. It provides a frame of reference to evaluate the performance of bonds, and bond funds, with a 1-year duration.
Your fund’s 30-day SEC yield for Investor Shares began the period at 0.83%, rose modestly for a while, then fell to 0.81% by the end of July.
International bonds bested their U.S. counterparts
The broad U.S. bond market advanced each month en route to returning 4.54% for the half year. With the stock market volatile at times and the global growth pace uncertain, investors sought safe-haven assets. Foreign investors flocked to U.S. Treasury debt amid exceptionally low or negative yields abroad.
The yield of the 10-year Treasury note closed July at 1.45%, down from 1.98% at the end of January. (Bond prices and yields move in opposite directions.)
2
The Federal Reserve has held its target for short-term interest rates at 0.25%–0.5% since raising it by a quarter percentage point last December. Money market funds and savings accounts stayed restrained by these historically low rates.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned more than 12% for U.S. investors. A number of foreign currencies strengthened against the dollar, lifting their returns when translated into dollars, but the bond returns were robust even without this currency benefit.
U.S. stocks continued to surge despite signs of uncertainty
U.S. stocks proved resilient over the half year, returning about 14%, although the global environment was far from tranquil.
Stocks tumbled after the momentous June 23 decision by U.K. voters to leave the European Union. But the market quickly recovered. Worries about the effects of “Brexit” on trade and economic growth seemed to diminish as expectations rose that major central banks would be responsive to any fallout.
Market Barometer | |||
Total Returns | |||
Periods Ended July 31, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 4.54% | 5.94% | 3.57% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.16 | 6.94 | 5.13 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.16 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.82% | 4.84% | 13.22% |
Russell 2000 Index (Small-caps) | 18.76 | 0.00 | 10.43 |
Russell 3000 Index (Broad U.S. market) | 14.18 | 4.44 | 12.99 |
FTSE All-World ex US Index (International) | 11.69 | -4.95 | 1.76 |
CPI | |||
Consumer Price Index | 1.57% | 0.84% | 1.27% |
3
International stocks also performed well, returning nearly 12%. European stocks finished solidly but still lagged as the Brexit referendum hit close to home. Emerging-market stocks and those from developed Pacific markets recorded double-digit returns.
Your fund again met its objectives, but long-term bonds were the stars
After the Fed’s long-awaited increase in its target for short-term interest rates last December, further rate hikes were expected to be only a matter of time. Instead, interest rates confounded expectations and generally trended lower. Longer-term bonds benefited the most from this shift, because they are more susceptible to changes in rates.
Your fund, of course, isn’t competing with long-term bonds. Instead, it seeks to provide a modest pickup in yield compared with money market funds, without taking on as much additional interest rate risk as short- and longer-term bond funds. It’s not a money market substitute, but it can provide current income with limited price volatility. And it has done so since its inception in February 2015.
Vanguard Fixed Income Group, your fund’s advisor, invests in money market instruments and short-term, high-quality bonds from various sectors of the fixed income market. Asset-backed bonds, such as those backed by automobile loans, represented nearly one-third of the portfolio at the end of the period,
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% | 0.57% |
The fund expense ratios shown are from the prospectus dated May 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the fund’s annualized expense ratios were 0.21% for Investor Shares and 0.11% 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 2015.
Peer group: Ultra-Short Obligations Funds.
4
and helped it outperform the Treasury benchmark. The fund’s corporate bonds—especially its lower-quality investment-grade holdings—also lifted its return.
As with Vanguard’s other active bond funds, the expertise of our experienced team of credit analysts is integral to managing this fund and maintaining tight risk controls.
For more discussion of the management and performance of the fund, please see the Advisor’s Report that follows this letter.
Consider rebalancing to manage your risk
After you’ve created an investment portfolio—with a diversified mix of stock, bond, and money market funds tailored to your goals, time horizon, and risk tolerance—what next?
As stocks and bonds rise or fall over time, and that portfolio drifts from its original asset allocation, you should consider rebalancing back to your targets. Just one year of outsized returns can throw your allocation out of whack.
Consider 2013, when the broad U.S. stock market returned nearly 34% and the broad taxable bond market declined.
A hypothetical simple portfolio that tracked the broad U.S. market indexes and started the year with 60% stocks and 40% bonds would have ended with a more aggressive mix of 67% stocks and 33% bonds.
Rebalancing means shifting assets away from areas that have performed well toward those that have fallen behind, to restore the portfolio’s original asset allocation. That isn’t easy or intuitive, but it helps manage risk, because over time, riskier assets tend to grow faster. (For more on this, see Best Practices for Portfolio Rebalancing, at vanguard.com/research.)
You might consider, for example, monitoring your portfolio annually or semiannually and rebalancing when your allocations shift about 5 percentage points from their targets. And be aware of the tax implications.
Keeping your asset allocation from drifting too far off target can help you stay on track with the investment plan you’ve crafted to meet your financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
August 12, 2016
5
Advisor’s Report
For the six months ended July 31, 2016, Vanguard Ultra-Short-Term Bond Fund returned 0.70% for Investor Shares and 0.80% for Admiral Shares. Its benchmark, the Barclays U.S. Treasury Bellwethers: 1 Year Index, which consists of a single 1-year Treasury note, returned 0.45%. The average return of peer funds was 0.80%.
The investment environment
The long-anticipated U.K. referendum on whether to remain in the European Union was the period’s defining event for global capital markets. Uncertainty before the June 23 vote led to stock market volatility. Global stocks then tumbled sharply after the decision to leave, known as “Brexit,” before regaining much of their lost ground by the end of June. Because this vote has significant global economic implications, and it will take considerable time for details to be worked out, heightened uncertainty is likely to persist.
In times of increased uncertainty, investors often favor the relative safety of bonds over stocks. That tendency was evident during the past six months. The stage was set in January, just before the period started, when oil prices fell again. The broad U.S. stock market followed suit, on renewed concerns about the economy, and bonds rallied. This trend continued into the next month—and although stocks largely recovered by the end of February, the broad U.S. bond market had a one-month return of nearly 1%. Another major factor in bonds’ strength, in February and throughout the period, was central bank policy at home and abroad.
When the Federal Reserve raised its short-term interest rate target last December, in its first increase in nearly a decade, the consensus was that additional rate hikes would follow in 2016. So far, however, the Fed has held rates steady, taking into consideration not only U.S. economic indicators but also signs of weakness in some other major economies—including China—and volatility in international stock markets.
As in recent years, winter’s arrival seemed to slow the U.S. economy. First-quarter gross domestic product (GDP) rose only 0.8% (annualized), and the estimated rate for the second quarter was 1.2%. Although residential investment and consumer spending were relatively healthy, the generally stronger dollar led to higher imports, which reduced net GDP. Falling nonresidential investment and slower inventory accumulation also suppressed GDP growth. Spring brought a modest economic bounce, with U.S. employment data showing a stronger labor market and modest wage growth. Oil prices rebounded enough to calm fears of an impending global recession and disinflation, before falling below $40 a barrel just after the close of the period.
In Europe, negative interest rates continued to spread as the European Central Bank lowered its target interest rates again and began buying corporate bonds. In Japan, the yield of the 10-year government bond turned negative for the first time in February, on the heels of the Bank of Japan’s January announcement that it would adopt a negative interest rate for certain bank deposits.
6
(Just after the close of the period, the Bank of England cut its base rate from 0.5% to 0.25%, the lowest in the bank’s history, and announced plans to buy government and corporate bonds. The bank is seeking to mitigate some of the anticipated economic impact of the Brexit vote. The yields of short-term U.K. government bonds soon dipped into negative territory and the 10-year yield fell to a record low.)
In this environment, the still-positive yields on U.S. Treasury bonds made them—and investment-grade corporate bonds—more appealing to yield-starved investors. Interest rates fell across the Treasury yield curve. The benchmark 10-year Treasury yield dropped from 1.98% at the end of January to below 1.40% (a record closing low) in early July, settling at 1.45% at the end of July. Over the same period—and notwithstanding the possibility that the Fed would raise rates—the 3-month Treasury yield dropped from 0.33% to 0.26%; longer-maturity yields dropped more.
Management of the fund
As we’ve noted before, your fund is managed using the same broad investment philosophy and processes as the other actively managed taxable bond funds in Vanguard’s lineup—and many of the same bond traders, risk managers, credit analysts, and other fixed income professionals.
What differentiates the Ultra-Short-Term Bond Fund from our other active bond funds is its slightly more conservative tilt, consistent with its investment objective of providing current income while maintaining limited price volatility. The majority of the fund’s holdings have an expected maturity of no longer than three years, and we generally plan to hold them until they mature. (Note that some securities in the accompanying Statement of Net Assets, such as asset-backed bonds, have stated maturities in 2020 and beyond but are expected to be paid off sooner.) We maintain the fund’s duration at a policy-neutral level of approximately one year, matching its benchmark; both were 1.0 years at the end of July. (Duration is a measure of the sensitivity of bond, and bond mutual fund, prices to changes in interest rates.)
We invest in a diversified mix of Treasury, agency, corporate, asset-backed, and other bonds in the fund. Our allocations among those segments of the bond market can result in relative over- or underperformance when compared with the fund’s 1-year Treasury benchmark.
For the six months, and indeed since the fund’s inception in February 2015, 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, accounting for more than 30% of total assets at the end of July, and they provide an important source of diversification for your fund.
Our corporate bond holdings, especially among financials and industrials that appeared attractively valued, also helped the half-year results. The yield spread of corporates versus comparable-maturity Treasuries widened early in the period, amid heightened concerns about the economic outlook and the heavy debt
7
load of many energy companies, but later narrowed again, lifting corporate bond prices.
We made no major strategic shifts during the period. As anticipated, the number of bonds in the portfolio has increased as assets grow.
A look ahead
While Brexit has yet to play out, we expect the U.K. economy to suffer a recession, and we believe that there will likely be some impact on the euro zone as well.
We do not expect U.S. GDP to be crimped significantly—perhaps losing just 0.25 percentage point over the next several quarters.
The U.S. economy looks to remain on relatively solid footing, with the labor market achieving the Fed’s full employment target. Employment gains have slowed from last year, but we continue to monitor future wage gains for potential increased demand and inflation. To date, however, data suggest that lower mortgage rates and low inflation will continue to bolster home buying, mortgage refinancing, and consumer spending. These trends should help the economy to grow at about a 2% rate for the rest of the year.
U.S. monetary policy is likely to remain cautious and accommodative. No matter when the central bank next raises its target for short-term rates, we continue to believe the Fed will find it a challenge to go above 1% over the next several years. And given that other central banks—including those of the United Kingdom, Europe, and China—seem to be leaning toward more monetary accommodation, a material rise in government bond yields across the curve appears unlikely.
In managing the fund, we expect to continue to maintain a high level of liquidity through our combined holdings of Treasury and agency securities and a variety of money market instruments. This is consistent with the fund’s investment objective and with Vanguard’s current overall positioning of its actively managed bond funds.
Gregory S. Nassour, CFA, Principal
Portfolio Manager
David Van Ommeren, Principal
Portfolio Manager
Vanguard Fixed Income Group
August 18, 2016
8
Ultra-Short-Term Bond Fund
Fund Profile
As of July 31, 2016
Share-Class Characteristics | |||
Investor | Admiral | ||
Shares | Shares | ||
Ticker Symbol | VUBFX | VUSFX | |
Expense Ratio1 | 0.20% | 0.12% | |
30-Day SEC Yield | 0.81% | 0.92% | |
Financial Attributes | |||
Barclays | |||
U.S. | Barclays | ||
Treasury | Aggregate | ||
Bellwethers: | Bond | ||
Fund | 1 Year Index | Index | |
Number of Bonds | 742 | 1 | 9,804 |
Yield to Maturity | |||
(before expenses) | 1.1% | 0.5% | 1.9% |
Average Coupon | 1.8% | 0.0% | 3.1% |
Average Duration | 1.0 years | 1.0 years | 5.5 years |
Average Effective | |||
Maturity | 1.3 years | 1.0 years | 7.7 years |
Short-Term | |||
Reserves | 5.5% | — | — |
Sector Diversification (% of portfolio) | |||
Asset-Backed | 34.9% | ||
Commercial Mortgage-Backed | 1.9 | ||
Finance | 14.2 | ||
Foreign | 1.5 | ||
Government Mortgage-Backed | 0.3 | ||
Industrial | 13.1 | ||
Treasury/Agency | 24.6 | ||
Utilities | 3.8 | ||
Other | 0.2 | ||
Short-Term Reserves | 5.5 |
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.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 39.9% |
1 - 3 Years | 58.7 |
3 - 5 Years | 1.4 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 23.9% |
Aaa | 35.1 |
Aa | 11.3 |
A | 16.4 |
Baa | 7.0 |
Not Rated | 6.3 |
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 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended July 31, 2016, the annualized expense ratios were 0.21% for Investor Shares and 0.11% for Admiral Shares.
9
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, 2016 | ||||
Barclays | ||||
U.S. Treasury | ||||
Bellwethers: | ||||
Investor Shares | 1 Year Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2016 | 0.54% | -0.10% | 0.44% | 0.48% |
2017 | 0.50 | 0.20 | 0.70 | 0.45 |
Note: For 2017, performance data reflect the six months ended July 31, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016
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 | One Year | Income | Capital | Total | |
Investor Shares | 2/24/2015 | 1.00% | 0.71% | 0.15% | 0.86% |
Admiral Shares | 2/24/2015 | 1.13 | 0.78 | 0.15 | 0.93 |
See Financial Highlights for dividend and capital gains information.
10
Ultra-Short-Term Bond Fund
Financial Statements (unaudited)
Statement of Net Assets
As of July 31, 2016
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 (24.4%) | |||||
U.S. Government Securities (16.3%) | |||||
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/17 | 68,000 | 71,924 | |
United States Treasury Note/Bond | 0.625% | 2/15/17 | 3,600 | 3,604 | |
United States Treasury Note/Bond | 0.875% | 5/15/17 | 3,000 | 3,008 | |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 7,200 | 7,210 | |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 36,500 | 36,460 | |
United States Treasury Note/Bond | 0.625% | 7/31/17 | 7,000 | 7,002 | |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 16,789 | 16,841 | |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 25 | 25 | |
146,074 | |||||
Agency Bonds and Notes (8.1%) | |||||
1 | Federal Home Loan Banks | 0.500% | 9/28/16 | 1,000 | 1,000 |
1,2 | Federal Home Loan Banks | 1.625% | 12/9/16 | 5,000 | 5,021 |
1 | Federal Home Loan Banks | 0.625% | 12/28/16 | 1,000 | 1,001 |
1 | Federal Home Loan Banks | 0.875% | 5/24/17 | 2,250 | 2,254 |
1 | Federal Home Loan Banks | 1.000% | 6/21/17 | 3,500 | 3,511 |
1 | Federal Home Loan Banks | 0.750% | 8/28/17 | 3,500 | 3,503 |
1 | Federal Home Loan Banks | 2.250% | 9/8/17 | 1,000 | 1,017 |
1 | Federal Home Loan Banks | 4.625% | 9/8/17 | 1,000 | 1,043 |
1 | Federal Home Loan Banks | 1.125% | 12/8/17 | 750 | 754 |
1 | Federal Home Loan Banks | 1.000% | 12/19/17 | 1,750 | 1,757 |
1 | Federal Home Loan Banks | 1.375% | 3/9/18 | 2,500 | 2,525 |
1 | Federal Home Loan Banks | 0.875% | 3/19/18 | 5,000 | 5,010 |
1 | Federal Home Loan Banks | 1.250% | 6/8/18 | 2,500 | 2,522 |
1 | Federal Home Loan Banks | 0.875% | 6/29/18 | 1,750 | 1,753 |
1 | Federal Home Loan Banks | 0.625% | 8/7/18 | 2,200 | 2,193 |
3 | Federal Home Loan Mortgage Corp. | 2.000% | 8/25/16 | 5,000 | 5,005 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 10/14/16 | 3,550 | 3,553 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 2,000 | 2,006 |
3 | Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 3,000 | 3,015 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 3,250 | 3,249 |
3 | Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 1,600 | 1,612 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 7/19/19 | 1,200 | 1,199 |
3 | Federal National Mortgage Assn. | 1.250% | 9/28/16 | 7,200 | 7,210 |
3 | Federal National Mortgage Assn. | 5.000% | 2/13/17 | 1,500 | 1,536 |
3 | Federal National Mortgage Assn. | 0.750% | 3/14/17 | 2,750 | 2,754 |
3 | Federal National Mortgage Assn. | 5.000% | 5/11/17 | 3,000 | 3,102 |
3 | Federal National Mortgage Assn. | 1.125% | 7/20/18 | 500 | 503 |
11
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 1,150 | 1,155 |
3 | Federal National Mortgage Assn. | 0.875% | 8/2/19 | 1,800 | 1,798 |
Private Export Funding Corp. | 5.450% | 9/15/17 | 500 | 525 | |
73,086 | |||||
Total U.S. Government and Agency Obligations (Cost $219,511) | 219,160 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (37.0%) | |||||
4 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 800 | 802 |
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 800 | 807 |
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 40 | 40 |
4 | Ally Auto Receivables Trust 2015-2 | 1.490% | 11/15/19 | 1,500 | 1,507 |
4 | Ally Auto Receivables Trust 2015-SN1 | 0.930% | 6/20/17 | 161 | 161 |
4 | Ally Auto Receivables Trust 2016-1 | 1.470% | 4/15/20 | 1,500 | 1,503 |
4 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 3,195 | 3,202 |
4,5 | Ally Master Owner Trust Series 2014-1 | 0.951% | 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 2014-4 | 1.430% | 6/17/19 | 1,625 | 1,627 |
4,5 | Ally Master Owner Trust Series 2015-1 | 0.881% | 1/15/19 | 9,851 | 9,852 |
4 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 1,200 | 1,202 |
4,5 | American Express Credit Account Master | ||||
Trust 2008-2 | 1.741% | 9/15/20 | 1,300 | 1,321 | |
4,5 | American Express Credit Account Master | ||||
Trust 2014-5 | 0.771% | 5/15/20 | 410 | 410 | |
4,5 | American Express Credit Account Secured Note | ||||
Trust 2012-4 | 1.031% | 5/15/20 | 168 | 168 | |
4,5,6 American Homes 4 Rent 2014-SFR1 | 1.832% | 6/17/31 | 100 | 100 | |
4 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 17 | 17 |
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 | AmeriCredit Automobile Receivables Trust 2015-2 | 0.830% | 9/10/18 | 193 | 193 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 1.540% | 3/9/20 | 160 | 160 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 2.080% | 9/8/20 | 150 | 151 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 2.730% | 3/8/21 | 255 | 260 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 3.340% | 8/8/21 | 330 | 338 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 1.810% | 10/8/20 | 810 | 815 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 2.890% | 1/10/22 | 110 | 112 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 1.600% | 11/9/20 | 130 | 130 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 2.210% | 5/10/21 | 40 | 40 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 2.870% | 11/8/21 | 40 | 41 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 3.650% | 5/9/22 | 70 | 72 |
4,6 | ARI Fleet Lease Trust 2014-A | 0.810% | 11/15/22 | 216 | 216 |
4,6 | ARI Fleet Lease Trust 2015-A | 1.110% | 11/15/18 | 884 | 883 |
4,6 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 226 | 226 |
4,6 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 321 | 311 |
4,6 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2012-2A | 2.802% | 5/20/18 | 1,300 | 1,310 | |
4,6 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2013-1A | 1.920% | 9/20/19 | 150 | 150 | |
4,6 | Avis Budget Rental Car Funding AESOP | ||||
LLC 2013-2A | 2.970% | 2/20/20 | 2,300 | 2,349 | |
4,5 | BA Credit Card Trust 2007-A4 | 0.521% | 11/15/19 | 1,101 | 1,099 |
4 | BA Credit Card Trust 2015-A2 | 1.360% | 9/15/20 | 850 | 854 |
12
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | Banc of America Commercial Mortgage | ||||
Trust 2006-5 | 5.415% | 9/10/47 | 53 | 54 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2006-6 | 5.347% | 10/10/45 | 146 | 146 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2007-2 | 5.573% | 4/10/49 | 149 | 151 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2008-1 | 6.183% | 2/10/51 | 129 | 134 | |
4 | Banc of America Commercial Mortgage | ||||
Trust 2008-1 | 6.227% | 2/10/51 | 19 | 20 | |
4,6 | Bank of The West Auto Trust 2015-1 | 0.870% | 4/16/18 | 675 | 675 |
4 | Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR16 | 5.720% | 6/11/40 | 80 | 82 | |
4 | Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR17 | 5.650% | 6/11/50 | 201 | 208 | |
4 | Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-TOP28 | 5.710% | 9/11/42 | 146 | 152 | |
4,5,6 BMW Floorplan Master Owner Trust 2015-1A | 0.981% | 7/15/20 | 1,560 | 1,559 | |
4 | BMW Vehicle Lease Trust 2015-2 | 1.400% | 9/20/18 | 3,250 | 3,257 |
4,5 | Brazos Higher Education Authority Inc. | ||||
Series 2011-1 | 1.462% | 2/25/30 | 240 | 235 | |
4,5 | Cabelas Credit Card Master Note Trust 2016-1 | 0.998% | 6/15/22 | 2,780 | 2,781 |
4 | California Republic Auto Receivables Trust 2013-2 | 1.230% | 3/15/19 | 65 | 65 |
4 | California Republic Auto Receivables Trust 2015-2 | 0.880% | 2/15/18 | 381 | 381 |
4,6 | California Republic Auto Receivables Trust 2015-4 | 2.040% | 1/15/20 | 2,000 | 2,014 |
4 | California Republic Auto Receivables Trust 2016-2 | 1.560% | 7/15/20 | 400 | 399 |
4 | California Republic Auto Receivables Trust 2016-2 | 1.830% | 12/15/21 | 240 | 240 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 14 | 14 |
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 | 82 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 190 | 190 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 92 | 92 |
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 | 803 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 260 | 262 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.130% | 5/20/20 | 500 | 502 |
4 | Capital Auto Receivables Asset Trust 2015-4 | 1.620% | 3/20/19 | 1,500 | 1,501 |
4 | Capital Auto Receivables Asset Trust 2016-1 | 1.980% | 10/20/20 | 1,500 | 1,499 |
4 | Capital Auto Receivables Asset Trust 2016-2 | 1.460% | 6/22/20 | 2,250 | 2,247 |
4,5 | Capital One Multi-asset Execution Trust 2007-A1 | 0.531% | 11/15/19 | 100 | 100 |
4,5 | Capital One Multi-asset Execution Trust 2007-A5 | 0.521% | 7/15/20 | 1,168 | 1,165 |
4 | Capital One Multi-asset Execution Trust 2015-A7 | 1.450% | 8/16/21 | 2,100 | 2,113 |
4,5 | Capital One Multi-Asset Execution Trust 2016-A1 | 0.931% | 2/15/22 | 4,190 | 4,199 |
4,5,6 CARDS II Trust 2015-2A | 1.001% | 7/15/20 | 2,000 | 1,999 | |
4,5,6 CARDS II Trust 2016-1A | 1.207% | 7/15/21 | 3,830 | 3,830 | |
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 | 408 | 408 |
4 | Carmax Auto Owner Trust 2015-3 | 1.630% | 5/15/20 | 1,100 | 1,106 |
4 | Carmax Auto Owner Trust 2015-3 | 2.280% | 4/15/21 | 73 | 74 |
4 | Carmax Auto Owner Trust 2015-3 | 2.680% | 6/15/21 | 95 | 96 |
4 | Carmax Auto Owner Trust 2016-1 | 1.610% | 11/16/20 | 1,000 | 1,007 |
4 | Carmax Auto Owner Trust 2016-3 | 1.390% | 5/17/21 | 5,000 | 4,996 |
4,5 | Chase Issuance Trust 2007-C1 | 0.941% | 4/15/19 | 185 | 185 |
13
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Chase Issuance Trust 2013-A7 | 0.911% | 9/15/20 | 1,000 | 1,002 |
4,5 | Chase Issuance Trust 2015-A3 | 0.731% | 4/15/19 | 1,200 | 1,200 |
4 | Chase Issuance Trust 2015-A5 | 1.360% | 4/15/20 | 400 | 402 |
4,5 | Chase Issuance Trust 2016-A1 | 0.891% | 5/17/21 | 155 | 155 |
4,6 | Chesapeake Funding II LLC 2016-1A | 2.110% | 3/15/28 | 1,000 | 1,007 |
4,6 | Chesapeake Funding II LLC 2016-2A | 1.880% | 6/15/28 | 2,390 | 2,393 |
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 | 1,212 | 1,212 |
4,6 | Chrysler Capital Auto Receivables Trust 2014-BA | 3.440% | 8/16/21 | 800 | 793 |
4,6 | Chrysler Capital Auto Receivables Trust 2015-BA | 1.910% | 3/16/20 | 2,100 | 2,112 |
4,6 | Chrysler Capital Auto Receivables Trust 2016-AA | 1.960% | 1/18/22 | 510 | 512 |
4,6 | Chrysler Capital Auto Receivables Trust 2016-AA | 2.880% | 2/15/22 | 70 | 70 |
4,6 | Chrysler Capital Auto Receivables Trust 2016-AA | 4.220% | 2/15/23 | 570 | 572 |
4,6 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 16 | 16 |
4 | Citibank Credit Card Issuance Trust 2014-A2 | 1.020% | 2/22/19 | 850 | 850 |
4 | Citibank Credit Card Issuance Trust 2014-A4 | 1.230% | 4/24/19 | 600 | 601 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 1.987% | 4/10/46 | 1,100 | 1,108 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 1,000 | 1,029 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 1.199% | 3/10/47 | 79 | 79 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 1.392% | 7/10/47 | 146 | 147 |
4,6 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 285 | 287 |
4 | CNH Equipment Trust 2015-A | 0.840% | 6/15/18 | 84 | 84 |
4 | CNH Equipment Trust 2015-B | 0.840% | 8/15/18 | 548 | 547 |
4 | COBALT CMBS Commercial Mortgage | ||||
Trust 2007-C2 | 5.484% | 4/15/47 | 106 | 108 | |
4,5,6 Colony American Homes 2014-1 | 1.632% | 5/17/31 | 136 | 135 | |
4,5,6 Colony American Homes 2014-1 | 1.832% | 5/17/31 | 100 | 98 | |
4,5,6 Colony American Homes 2014-2 | 1.801% | 7/17/31 | 100 | 98 | |
4,5,6 Colony American Homes 2015-1 | 1.643% | 7/17/32 | 209 | 208 | |
4 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 108 | 108 |
4 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 106 | 107 |
4 | COMM 2007-C9 Mortgage Trust | 5.813% | 12/10/49 | 103 | 105 |
4 | COMM 2013-CCRE10 Mortgage Trust | 1.278% | 8/10/46 | 186 | 185 |
4 | COMM 2013-CCRE10 Mortgage Trust | 2.972% | 8/10/46 | 1,000 | 1,023 |
4 | COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/18 | 90 | 89 |
4 | COMM 2013-CCRE6 Mortgage Trust | 0.719% | 3/10/46 | 23 | 23 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 1,000 | 1,028 |
4 | COMM 2014-CCRE14 Mortgage Trust | 1.330% | 2/10/47 | 29 | 29 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 100 | 103 |
4 | COMM 2014-CCRE15 Mortgage Trust | 1.218% | 2/10/47 | 231 | 231 |
4 | COMM 2014-CCRE16 Mortgage Trust | 1.445% | 4/10/47 | 64 | 64 |
4 | COMM 2014-CCRE17 Mortgage Trust | 1.275% | 5/10/47 | 90 | 91 |
4 | COMM 2014-CCRE18 Mortgage Trust | 1.442% | 7/15/47 | 217 | 216 |
4 | COMM 2014-CCRE21 Mortgage Trust | 1.494% | 12/10/47 | 416 | 414 |
4 | COMM 2014-UBS5 Mortgage Trust | 1.373% | 9/10/47 | 428 | 429 |
4 | COMM 2015-CCRE25 Mortgage Trust | 1.737% | 8/10/48 | 355 | 357 |
4 | Credit Suisse Commercial Mortgage | ||||
Trust Series 2007-C1 | 5.361% | 2/15/40 | 9 | 9 | |
4 | Credit Suisse Commercial Mortgage | ||||
Trust Series 2008-C1 | 6.065% | 2/15/41 | 122 | 129 | |
4,6 | Dell Equipment Finance Trust 2015-1 | 1.010% | 7/24/17 | 520 | 520 |
4,6 | Dell Equipment Finance Trust 2016-1 | 1.430% | 9/24/18 | 4,000 | 3,998 |
4,6 | Dell Equipment Finance Trust 2016-1 | 1.650% | 7/22/21 | 2,000 | 1,999 |
4,5 | Discover Card Execution Note Trust 2012-A4 | 0.851% | 11/15/19 | 297 | 297 |
4,5 | Discover Card Execution Note Trust 2013-A1 | 0.781% | 8/17/20 | 400 | 400 |
14
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | Discover Card Execution Note Trust 2013-A5 | 1.040% | 4/15/19 | 700 | 700 |
4,5 | Discover Card Execution Note Trust 2015-A1 | 0.831% | 8/17/20 | 1,000 | 1,002 |
4 | Discover Card Execution Note Trust 2015-A3 | 1.450% | 3/15/21 | 2,500 | 2,516 |
4 | Discover Card Execution Note Trust 2016-A1 | 1.640% | 7/15/21 | 1,000 | 1,010 |
4,5 | Discover Card Execution Note Trust 2016-A2 | 1.021% | 9/15/21 | 330 | 332 |
4,6 | Drive Auto Receivables Trust 2015-AA | 2.280% | 6/17/19 | 39 | 39 |
4,6 | Drive Auto Receivables Trust 2015-BA | 1.300% | 6/15/18 | 28 | 28 |
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 | 332 |
4,6 | Drive Auto Receivables Trust 2015-CA | 2.230% | 9/16/19 | 135 | 135 |
4,6 | Drive Auto Receivables Trust 2015-CA | 3.010% | 5/17/21 | 200 | 202 |
4,6 | Drive Auto Receivables Trust 2015-CA | 4.200% | 9/15/21 | 145 | 148 |
4,6 | Drive Auto Receivables Trust 2015-DA | 1.590% | 12/17/18 | 1,505 | 1,506 |
4,6 | Drive Auto Receivables Trust 2015-DA | 2.590% | 12/16/19 | 600 | 603 |
4,6 | Drive Auto Receivables Trust 2015-DA | 3.380% | 11/15/21 | 600 | 611 |
4,6 | Drive Auto Receivables Trust 2016-AA | 2.110% | 5/15/19 | 910 | 913 |
4,6 | Drive Auto Receivables Trust 2016-AA | 3.910% | 5/17/21 | 270 | 277 |
4,6 | Drive Auto Receivables Trust 2016-BA | 1.380% | 8/15/18 | 3,000 | 3,000 |
4,6 | Drive Auto Receivables Trust 2016-BA | 1.670% | 7/15/19 | 600 | 600 |
4,6 | Drive Auto Receivables Trust 2016-BA | 2.560% | 6/15/20 | 340 | 342 |
4,6 | Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 570 | 577 |
4,6 | Drive Auto Receivables Trust 2016-BA | 4.530% | 8/15/23 | 800 | 819 |
4,6 | Enterprise Fleet Financing LLC Series 2014-1 | 1.380% | 9/20/19 | 1,861 | 1,859 |
4,6 | Enterprise Fleet Financing LLC Series 2015-1 | 1.300% | 9/20/20 | 174 | 174 |
4,6 | Enterprise Fleet Financing LLC Series 2015-2 | 1.590% | 2/22/21 | 1,305 | 1,307 |
4,6 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 1,690 | 1,699 |
4,6 | Enterprise Fleet Financing LLC Series 2016-2 | 1.740% | 2/22/22 | 3,000 | 2,999 |
4,5,6 Evergreen Credit Card Trust 2016-1 | 1.201% | 4/15/20 | 4,665 | 4,672 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2015-C02 | 1.638% | 5/25/25 | 54 | 54 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2015-C02 | 1.688% | 5/25/25 | 112 | 112 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2015-C03 | 1.988% | 7/25/25 | 80 | 81 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2015-C03 | 1.988% | 7/25/25 | 109 | 110 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2015-C04 | 2.088% | 4/25/28 | 434 | 435 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2015-C04 | 2.188% | 4/25/28 | 207 | 209 | |
3,4,5 Fannie Mae Connecticut Avenue Securities | |||||
2016-C04 | 1.943% | 1/25/29 | 305 | 305 | |
4,5 | First National Master Note Trust 2015-1 | 1.251% | 9/15/20 | 540 | 541 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 46 | 46 |
4 | Ford Credit Auto Lease Trust 2015-A | 0.790% | 12/15/17 | 419 | 419 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 970 | 969 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.920% | 3/15/19 | 490 | 485 |
4 | Ford Credit Auto Lease Trust 2016-A | 1.850% | 7/15/19 | 500 | 501 |
4,6 | Ford Credit Auto Owner Trust 2014-REV1 | 2.410% | 11/15/25 | 800 | 803 |
4,6 | Ford Credit Auto Owner Trust 2014-REV2 | 2.310% | 4/15/26 | 1,700 | 1,735 |
4 | Ford Credit Auto Owner Trust 2015-A | 0.810% | 1/15/18 | 92 | 92 |
4 | Ford Credit Auto Owner Trust 2015-B | 0.720% | 3/15/18 | 447 | 447 |
4 | Ford Credit Auto Owner Trust 2015-C | 1.410% | 2/15/20 | 1,000 | 1,004 |
4 | Ford Credit Auto Owner Trust 2016-A | 1.390% | 7/15/20 | 1,250 | 1,254 |
4 | Ford Credit Auto Owner Trust 2016-B | 1.520% | 8/15/21 | 700 | 701 |
15
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 160 | 160 |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2012-2 | 1.920% | 1/15/19 | 226 | 227 | |
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 | |
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 | 827 | 836 | |
4,5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-2 | 0.981% | 2/15/21 | 1,265 | 1,262 | |
4,5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-4 | 0.831% | 8/15/19 | 895 | 893 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-4 | 1.400% | 8/15/19 | 250 | 250 | |
4,5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-4 | 1.081% | 8/15/20 | 1,705 | 1,705 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2015-4 | 1.770% | 8/15/20 | 1,400 | 1,411 | |
4,5 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-1 | 1.381% | 2/15/21 | 2,150 | 2,167 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-1 | 1.760% | 2/15/21 | 2,110 | 2,123 | |
3,4,5 Freddie Mac Structured Agency Credit Risk Debt | |||||
Notes 2016-DNA2 | 1.738% | 10/25/28 | 244 | 245 | |
3,4,5 Freddie Mac Structured Agency Credit Risk Debt | |||||
Notes 2016-DNA2 | 2.688% | 10/25/28 | 250 | 252 | |
3,4,5 Freddie Mac Structured Agency Credit Risk Debt | |||||
Notes 2016-DNA3 | 1.588% | 12/25/28 | 248 | 249 | |
3,4,5 Freddie Mac Structured Agency Credit Risk Debt | |||||
Notes 2016-DNA3 | 2.488% | 12/25/28 | 250 | 253 | |
4,6 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 45 | 45 |
4,6 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 1,752 | 1,716 |
4,5 | GE Capital Credit Card Master Note Trust Series | ||||
2012-3 | 0.931% | 3/15/20 | 12,000 | 12,004 | |
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 | 1.237% | 4/22/19 | 12,406 | 12,434 | |
4,5 | GE Dealer Floorplan Master Note Trust Series | ||||
2014-2 | 0.937% | 10/20/19 | 875 | 873 | |
4,6 | GM Financial Automobile Leasing Trust 2014-1A | 1.760% | 5/21/18 | 100 | 100 |
4 | GM Financial Automobile Leasing Trust 2015-1 | 1.100% | 12/20/17 | 273 | 273 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 1.680% | 12/20/18 | 1,100 | 1,106 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 2.420% | 7/22/19 | 250 | 253 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 2.990% | 7/22/19 | 120 | 120 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 1.690% | 3/20/19 | 2,600 | 2,615 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 2.320% | 11/20/19 | 50 | 50 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 2.980% | 11/20/19 | 120 | 120 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 3.480% | 8/20/20 | 120 | 119 |
4 | GM Financial Automobile Leasing Trust 2016-1 | 1.790% | 3/20/20 | 150 | 150 |
4 | GM Financial Automobile Leasing Trust 2016-2 | 1.620% | 9/20/19 | 1,070 | 1,074 |
4 | GM Financial Automobile Leasing Trust 2016-2 | 1.760% | 3/20/20 | 790 | 792 |
16
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | GM Financial Automobile Leasing Trust 2016-2 | 2.580% | 3/20/20 | 240 | 240 |
4,6 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 450 | 448 |
4,6 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 820 | 814 |
4,5,6 GMF Floorplan Owner Revolving Trust 2016-1 | 1.331% | 5/17/21 | 1,130 | 1,132 | |
4,6 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.410% | 5/17/21 | 300 | 302 |
4,6 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.850% | 5/17/21 | 220 | 221 |
4,6 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 1,627 | 1,631 |
4,6 | Golden Credit Card Trust 2012-4A | 1.390% | 7/15/19 | 230 | 230 |
4,5,6 Golden Credit Card Trust 2014-2A | 0.931% | 3/15/21 | 20 | 20 | |
4,5,6 Golden Credit Card Trust 2015-3A | 0.901% | 7/15/19 | 2,150 | 2,149 | |
4,5,6 Golden Credit Card Trust 2016-1A | 1.081% | 1/15/20 | 2,410 | 2,417 | |
4,5,6 Gosforth Funding 2016-1A plc | 1.326% | 2/15/58 | 1,395 | 1,394 | |
4,6 | GreatAmerica Leasing Receivables Funding LLC | ||||
Series 2015-1 | 1.120% | 6/20/17 | 178 | 178 | |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 1,000 | 1,023 |
4 | GS Mortgage Securities Trust 2014-GC22 | 1.290% | 6/10/47 | 43 | 43 |
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 | 2,600 | 2,604 |
4,5,6 Hertz Fleet Lease Funding LP 2016-1 | 1.574% | 4/10/30 | 2,500 | 2,509 | |
4,6 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 1,351 | 1,360 |
4,6 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 560 | 559 |
4,6 | Hertz Vehicle Financing LLC 2015-2 | 2.020% | 9/25/19 | 2,135 | 2,134 |
4,6 | Hertz Vehicle Financing LLC 2016-3 | 2.270% | 7/25/20 | 2,170 | 2,178 |
4,5,6 Holmes Master Issuer plc 2016-1 | 1.081% | 4/15/17 | 3,000 | 2,996 | |
4 | Honda Auto Receivables 2015-2 Owner Trust | 1.470% | 8/23/21 | 800 | 804 |
4 | Honda Auto Receivables 2015-3 Owner Trust | 1.270% | 4/18/19 | 1,400 | 1,403 |
4 | Honda Auto Receivables 2015-3 Owner Trust | 1.560% | 10/18/21 | 290 | 292 |
4 | Honda Auto Receivables 2015-4 Owner Trust | 1.230% | 9/23/19 | 2,750 | 2,751 |
4 | Huntington Auto Trust 2015-1 | 0.760% | 10/16/17 | 362 | 362 |
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 | 114 | 114 |
4,6 | Hyundai Auto Lease Securitization Trust 2015-A | 1.650% | 8/15/19 | 100 | 100 |
4,6 | Hyundai Auto Lease Securitization Trust 2015-B | 1.660% | 7/15/19 | 1,000 | 1,004 |
4,6 | Hyundai Auto Lease Securitization Trust 2015-B | 2.210% | 5/15/20 | 250 | 252 |
4,6 | Hyundai Auto Lease Securitization Trust 2016-A | 1.600% | 7/15/19 | 1,000 | 1,004 |
4,6 | Hyundai Auto Lease Securitization Trust 2016-B | 1.680% | 4/15/20 | 300 | 301 |
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 | 407 | 407 |
4 | Hyundai Auto Receivables Trust 2015-C | 1.460% | 2/18/20 | 1,000 | 1,004 |
4 | Hyundai Auto Receivables Trust 2016-A | 1.560% | 9/15/20 | 1,000 | 1,007 |
4,6 | Hyundai Floorplan Master Owner Trust | ||||
Series 2016-1A | 1.810% | 3/15/21 | 320 | 320 | |
5 | Illinois Student Assistance Commission | ||||
Series 2010-1 | 1.765% | 4/25/22 | 58 | 58 | |
4,5,6 Invitation Homes 2014-SFR1 Trust | 1.982% | 6/17/31 | 514 | 513 | |
4,5,6 Invitation Homes 2014-SFR2 Trust | 2.082% | 9/17/31 | 100 | 99 | |
4,5,6 Invitation Homes 2015-SFR2 Trust | 1.828% | 6/17/32 | 98 | 98 | |
4 | John Deere Owner Trust 2015-A | 0.870% | 2/15/18 | 127 | 127 |
4 | John Deere Owner Trust 2015-B | 1.440% | 10/15/19 | 1,600 | 1,604 |
4 | John Deere Owner Trust 2016-B | 1.490% | 5/15/23 | 130 | 130 |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-C1 | 5.716% | 2/15/51 | 17 | 17 |
17
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC20 | 5.746% | 2/12/51 | 140 | 144 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP10 | 5.439% | 1/15/49 | 152 | 154 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP12 | 5.850% | 2/15/51 | 114 | 117 | |
4,6 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2011-C3 | 4.388% | 2/15/46 | 350 | 363 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C13 | 1.303% | 1/15/46 | 199 | 199 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 1.855% | 4/15/46 | 1,500 | 1,512 | |
4 | JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 1.268% | 7/15/47 | 309 | 309 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.019% | 8/15/46 | 112 | 116 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 2.977% | 11/15/45 | 488 | 502 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 1.247% | 1/15/47 | 61 | 61 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 1.254% | 2/15/47 | 170 | 169 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 1.266% | 4/15/47 | 444 | 442 | |
4 | JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 1.322% | 8/15/47 | 131 | 131 | |
4,6 | Kubota Credit Owner Trust 2014-1 | 1.160% | 5/15/18 | 283 | 283 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 32 | 32 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 4 | 4 |
4 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.387% | 2/15/40 | 126 | 128 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 118 | 122 |
4,5,6 Master Credit Card Trust II Series 2016-1A | 1.235% | 9/23/19 | 1,670 | 1,672 | |
4 | Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 1,330 | 1,333 |
4 | Mercedes-Benz Auto Lease Trust 2016-A | 1.690% | 11/15/21 | 590 | 590 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.340% | 12/16/19 | 1,100 | 1,103 |
4,5,6 Mercedes-Benz Master Owner Trust 2015-A | 0.801% | 4/15/19 | 1,200 | 1,200 | |
4,5,6 Mercedes-Benz Master Owner Trust 2016-AA | 1.061% | 5/15/20 | 3,500 | 3,499 | |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 31 | 32 |
4 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 11 | 11 |
4,6 | MMAF Equipment Finance LLC 2011-AA | 3.040% | 8/15/28 | 227 | 229 |
4,6 | MMAF Equipment Finance LLC 2012-AA | 1.980% | 6/10/32 | 100 | 101 |
4,6 | MMAF Equipment Finance LLC 2013-A | 1.030% | 12/11/17 | 175 | 175 |
4,6 | MMAF Equipment Finance LLC 2015-A | 0.960% | 9/18/17 | 531 | 531 |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 1.308% | 8/15/46 | 168 | 167 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 3.085% | 8/15/46 | 1,200 | 1,223 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 1.313% | 10/15/46 | 251 | 250 | |
4 | Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C17 | 1.551% | 8/15/47 | 209 | 209 | |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 47 | 47 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.906% | 6/11/49 | 116 | 120 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 129 | 133 |
4,5 | Navient Student Loan Trust 2015-2 | 0.768% | 11/25/24 | 472 | 470 |
18
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Navient Student Loan Trust 2015-3 | 0.808% | 7/25/30 | 984 | 976 |
4,5,6 Navient Student Loan Trust 2015-BA | 1.081% | 5/15/23 | 355 | 354 | |
4,5,6 Navient Student Loan Trust 2016-2 | 1.238% | 6/25/65 | 895 | 898 | |
4,5,6 Navient Student Loan Trust 2016-3 | 1.088% | 6/25/65 | 1,000 | 1,002 | |
4,5 | New Mexico Educational Assistance | ||||
Foundation 2013-1 | 1.167% | 1/2/25 | 107 | 106 | |
4,6 | NextGear Floorplan Master Owner | ||||
Trust 2016-1A | 2.740% | 4/15/21 | 350 | 352 | |
4 | Nissan Auto Lease Trust 2014-B | 1.290% | 3/16/20 | 681 | 682 |
4 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 445 | 447 |
4 | Nissan Auto Lease Trust 2016-A | 1.650% | 10/15/21 | 1,060 | 1,066 |
4 | Nissan Auto Receivables 2013-A Owner Trust | 0.750% | 7/15/19 | 856 | 856 |
4 | Nissan Auto Receivables 2015-A Owner Trust | 0.670% | 9/15/17 | 205 | 205 |
4 | Nissan Auto Receivables 2015-C Owner Trust | 1.370% | 5/15/20 | 1,500 | 1,506 |
4 | Nissan Auto Receivables 2016-A Owner Trust | 1.340% | 10/15/20 | 2,000 | 2,006 |
4 | Nissan Auto Receivables 2016-B Owner Trust | 1.320% | 1/15/21 | 500 | 501 |
4 | Nissan Master Owner Trust Receivables | ||||
Series 2015-A | 1.440% | 1/15/20 | 61 | 61 | |
4,5 | Nissan Master Owner Trust Receivables | ||||
Series 2016-A | 1.119% | 6/15/21 | 2,000 | 2,001 | |
5 | North Carolina State Education Assistance | ||||
Authority 2011-1 | 1.614% | 1/26/26 | 83 | 82 | |
4,5,6 Pepper Residential Securities Trust 2016-1 | 1.208% | 3/13/17 | 5,000 | 4,999 | |
4,5,6 PFS Financing Corp. 2014-AA | 1.081% | 2/15/19 | 429 | 428 | |
4,5,6 PFS Financing Corp. 2015-AA | 1.101% | 4/15/20 | 100 | 99 | |
4,5,6 PFS Financing Corp. 2016-A | 1.681% | 2/18/20 | 3,070 | 3,076 | |
4,6 | Porsche Innovative Lease Owner Trust 2015-1 | 1.430% | 5/21/21 | 400 | 399 |
4,5,6 Resimac Premier Series 2016-1 | 1.864% | 10/10/47 | 1,427 | 1,428 | |
Royal Bank of Canada | 2.200% | 9/23/19 | 855 | 876 | |
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 112 | 112 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 8 | 8 |
4 | Santander Drive Auto Receivables Trust 2015-2 | 0.880% | 9/17/18 | 183 | 183 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 1.490% | 6/17/19 | 705 | 706 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 1.580% | 9/16/19 | 800 | 801 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 2.260% | 6/15/20 | 400 | 403 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 2.970% | 3/15/21 | 400 | 407 |
4 | Santander Drive Auto Receivables Trust 2016-1 | 1.620% | 3/16/20 | 2,000 | 2,001 |
4 | Santander Drive Auto Receivables Trust 2016-1 | 2.470% | 12/15/20 | 230 | 233 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 1.560% | 5/15/20 | 2,010 | 2,009 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 2.080% | 2/16/21 | 170 | 171 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 2.660% | 11/15/21 | 110 | 111 |
4,5,6 Silver Bay Realty 2014-1 Trust | 1.932% | 9/17/31 | 100 | 99 | |
4,6 | SLM Private Education Loan Trust 2011-A | 4.370% | 4/17/28 | 96 | 99 |
4,6 | SLM Private Education Loan Trust 2012-B | 3.480% | 10/15/30 | 111 | 113 |
4,5,6 SLM Private Education Loan Trust 2012-E | 1.231% | 10/16/23 | 26 | 26 | |
4,6 | SLM Private Education Loan Trust 2013-B | 1.850% | 6/17/30 | 100 | 100 |
4,5 | SLM Student Loan Trust 2005-5 | 0.815% | 4/25/25 | 215 | 213 |
4,5 | SLM Student Loan Trust 2005-9 | 0.835% | 1/27/25 | 17 | 17 |
4 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 652 | 651 |
4 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 217 | 216 |
4 | SMART ABS Series 2013-2US Trust | 1.180% | 2/14/19 | 362 | 361 |
4 | SMART ABS Series 2014-1US Trust | 0.950% | 2/14/18 | 352 | 351 |
4,5,6 SMB Private Education Loan Trust 2015-A | 1.081% | 7/17/23 | 532 | 531 | |
4,5,6 SMB Private Education Loan Trust 2016-A | 1.181% | 5/15/23 | 1,784 | 1,785 | |
4,5,6 SMB Private Education Loan Trust 2016-B | 1.135% | 11/15/23 | 3,000 | 3,000 |
19
Ultra-Short-Term Bond Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4,6 | SoFi Professional Loan Program 2016-B LLC | 1.680% | 3/25/31 | 2,000 | 2,003 |
4,6 | SoFi Professional Loan Program 2016-C LLC | 1.480% | 5/25/31 | 2,000 | 1,999 |
4,5,6 SWAY Residential 2014-1 Trust | 1.782% | 1/17/32 | 193 | 192 | |
4 | Synchrony Credit Card Master Note Trust 2014-1 | 1.610% | 11/15/20 | 7,225 | 7,249 |
4 | Synchrony Credit Card Master Note Trust 2015-2 | 1.600% | 4/15/21 | 250 | 251 |
4 | Synchrony Credit Card Master Note Trust 2015-3 | 1.740% | 9/15/21 | 2,750 | 2,769 |
4 | Synchrony Credit Card Master Note Trust 2016-1 | 2.390% | 3/15/22 | 1,180 | 1,190 |
4,6 | Tidewater Auto Receivables Trust 2016-AA | 2.300% | 9/15/19 | 279 | 279 |
4 | Toyota Auto Receivables 2015-A Owner Trust | 0.710% | 7/17/17 | 45 | 45 |
4 | Toyota Auto Receivables 2016-B Owner Trust | 1.520% | 8/16/21 | 410 | 411 |
4,5,6 Trade MAPS 1 Ltd. 2013-1A | 1.174% | 12/10/18 | 1,000 | 995 | |
4,5,6 Trade MAPS 1 Ltd. 2013-1A | 1.724% | 12/10/18 | 125 | 124 | |
4,5,6 Trillium Credit Card Trust II 2016-1A | 1.210% | 5/26/21 | 3,290 | 3,291 | |
4 | USAA Auto Owner Trust 2015-1 | 1.540% | 11/16/20 | 1,400 | 1,408 |
4,6 | Verizon Owner Trust 2016-1A | 1.420% | 1/20/21 | 372 | 372 |
4 | Volkswagen Auto Lease Trust 2015-A | 0.870% | 6/20/17 | 76 | 76 |
4 | Volkswagen Auto Lease Trust 2015-A | 1.250% | 12/20/17 | 678 | 678 |
4,6 | Volkswagen Credit Auto Master Owner | ||||
Trust 2014-1A | 1.400% | 7/22/19 | 4,869 | 4,845 | |
4,6 | Volvo Financial Equipment LLC Series 2015-1A | 0.950% | 11/15/17 | 208 | 208 |
4,6 | Volvo Financial Equipment LLC Series 2016-1A | 1.890% | 9/15/20 | 160 | 161 |
4 | Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C28 | 5.559% | 10/15/48 | 60 | 60 | |
4 | Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C28 | 5.572% | 10/15/48 | 46 | 45 | |
4 | Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C29 | 5.297% | 11/15/48 | 123 | 124 | |
4 | Wachovia Bank Commercial Mortgage Trust | ||||
Series 2007-C33 | 5.948% | 2/15/51 | 16 | 17 | |
4 | Wells Fargo Commercial Mortgage Trust | ||||
2013-LC12 | 1.676% | 7/15/46 | 294 | 293 | |
4,6 | Wendys Funding LLC 2015-1A | 3.371% | 6/15/45 | 268 | 268 |
6 | Westpac Banking Corp. | 1.375% | 5/30/18 | 6,500 | 6,508 |
6 | Westpac Banking Corp. | 1.850% | 11/26/18 | 5,151 | 5,211 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 2.900% | 8/15/46 | 110 | 112 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 1.406% | 9/15/46 | 77 | 77 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 100 | 103 |
4 | WFRBS Commercial Mortgage Trust 2013-UBS1 | 1.122% | 3/15/46 | 28 | 27 |
4,6 | Wheels SPV 2 LLC 2014-1A | 0.840% | 3/20/23 | 170 | 170 |
4,6 | Wheels SPV 2 LLC 2015-1 | 1.810% | 4/22/24 | 200 | 199 |
4 | World Financial Network Credit Card Master Note | ||||
Trust Series 2014-C | 1.540% | 8/16/21 | 1,450 | 1,455 | |
4,5 | World Financial Network Credit Card Master Note | ||||
Trust Series 2015-A | 0.961% | 2/15/22 | 115 | 115 | |
4 | World Omni Auto Receivables Trust 2013-A | 0.640% | 4/16/18 | 16 | 16 |
4 | World Omni Auto Receivables Trust 2015-A | 0.790% | 7/16/18 | 57 | 57 |
4 | World Omni Auto Receivables Trust 2016-A | 1.770% | 9/15/21 | 420 | 425 |
4 | World Omni Automobile Lease Securitization | ||||
Trust 2015-A | 1.730% | 12/15/20 | 380 | 381 | |
4 | World Omni Automobile Lease Securitization | ||||
Trust 2016-A | 1.610% | 1/15/22 | 960 | 960 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $331,892) 332,334
20
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Corporate Bonds (30.8%) | ||||
Finance (14.1%) | ||||
Banking (12.5%) | ||||
6 ABN AMRO Bank NV | 4.250% | 2/2/17 | 600 | 609 |
American Express Credit Corp. | 1.125% | 6/5/17 | 1,540 | 1,542 |
American Express Credit Corp. | 1.550% | 9/22/17 | 1,930 | 1,938 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 500 | 504 |
Australia & New Zealand Banking Group Ltd. | 1.500% | 1/16/18 | 842 | 846 |
Bank of America Corp. | 1.350% | 11/21/16 | 410 | 410 |
Bank of America Corp. | 6.400% | 8/28/17 | 229 | 241 |
Bank of America Corp. | 6.000% | 9/1/17 | 679 | 712 |
Bank of Montreal | 2.500% | 1/11/17 | 1,984 | 1,998 |
Bank of Nova Scotia | 2.550% | 1/12/17 | 252 | 254 |
Bank of Nova Scotia | 1.300% | 7/21/17 | 62 | 62 |
Bank of Nova Scotia | 1.650% | 6/14/19 | 200 | 201 |
6 Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.700% | 9/9/18 | 1,000 | 1,026 |
6 Banque Federative du Credit Mutuel SA | 2.000% | 4/12/19 | 2,700 | 2,729 |
BB&T Corp. | 2.150% | 3/22/17 | 1,416 | 1,425 |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 14 | 14 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 14 | 15 |
BNP Paribas SA | 1.375% | 3/17/17 | 680 | 682 |
BPCE SA | 1.625% | 2/10/17 | 470 | 471 |
BPCE SA | 1.613% | 7/25/17 | 214 | 215 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 842 | 846 |
Capital One Bank USA NA | 1.200% | 2/13/17 | 1,400 | 1,400 |
Capital One Bank USA NA | 2.150% | 11/21/18 | 300 | 302 |
Capital One NA | 1.500% | 3/22/18 | 342 | 341 |
Citigroup Inc. | 1.350% | 3/10/17 | 26 | 26 |
Citigroup Inc. | 1.550% | 8/14/17 | 44 | 44 |
Citigroup Inc. | 2.050% | 12/7/18 | 1,500 | 1,517 |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 850 | 853 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 250 | 252 |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 1,700 | 1,714 |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 2,150 | 2,196 |
Cooperatieve Rabobank UA | 3.375% | 1/19/17 | 1,521 | 1,537 |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 2,500 | 2,552 |
6 Credit Agricole SA | 3.000% | 10/1/17 | 2,900 | 2,954 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 529 | 556 |
Fifth Third Bank | 1.350% | 6/1/17 | 850 | 852 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 625 | 665 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 650 | 699 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 2,150 | 2,208 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 450 | 468 |
HSBC USA Inc. | 1.300% | 6/23/17 | 1,264 | 1,263 |
HSBC USA Inc. | 1.700% | 3/5/18 | 640 | 641 |
Huntington National Bank | 1.375% | 4/24/17 | 1,500 | 1,504 |
Huntington National Bank | 1.700% | 2/26/18 | 850 | 854 |
Huntington National Bank | 2.200% | 11/6/18 | 250 | 253 |
6 ING Bank NV | 3.750% | 3/7/17 | 1,500 | 1,523 |
6 ING Bank NV | 1.800% | 3/16/18 | 1,415 | 1,423 |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 14 | 14 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 41 | 41 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 730 | 779 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 1,000 | 1,008 |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 1,525 | 1,536 |
21
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
KeyBank NA | 1.650% | 2/1/18 | 1,231 | 1,237 |
Lloyds Bank plc | 1.750% | 5/14/18 | 1,730 | 1,731 |
6 Macquarie Bank Ltd. | 2.000% | 8/15/16 | 416 | 416 |
6 Macquarie Bank Ltd. | 1.650% | 3/24/17 | 1,755 | 1,758 |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 1,449 | 1,452 |
Morgan Stanley | 5.750% | 10/18/16 | 300 | 303 |
Morgan Stanley | 5.450% | 1/9/17 | 826 | 842 |
Morgan Stanley | 1.875% | 1/5/18 | 2,303 | 2,318 |
Morgan Stanley | 2.500% | 1/24/19 | 675 | 690 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 2,000 | 2,018 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 1,130 | 1,141 |
National Australia Bank Ltd. | 1.875% | 7/23/18 | 760 | 767 |
National Bank of Canada | 2.100% | 12/14/18 | 2,100 | 2,131 |
National City Bank | 5.250% | 12/15/16 | 500 | 508 |
6 Nordea Bank AB | 1.875% | 9/17/18 | 5,600 | 5,654 |
PNC Bank NA | 1.150% | 11/1/16 | 250 | 250 |
PNC Bank NA | 1.500% | 10/18/17 | 310 | 311 |
PNC Bank NA | 1.450% | 7/29/19 | 2,600 | 2,605 |
PNC Funding Corp. | 2.700% | 9/19/16 | 485 | 485 |
Royal Bank of Canada | 1.250% | 6/16/17 | 1,496 | 1,499 |
Royal Bank of Canada | 1.800% | 7/30/18 | 2,395 | 2,419 |
Royal Bank of Canada | 2.150% | 3/15/19 | 1,200 | 1,228 |
Royal Bank of Canada | 1.500% | 7/29/19 | 2,500 | 2,507 |
Santander UK plc | 1.375% | 3/13/17 | 1,701 | 1,696 |
6 Skandinaviska Enskilda Banken AB | 1.750% | 3/19/18 | 2,000 | 2,011 |
State Street Corp. | 1.350% | 5/15/18 | 350 | 352 |
Sumitomo Mitsui Banking Corp. | 1.750% | 1/16/18 | 2,500 | 2,509 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 3,200 | 3,221 |
6 Swedbank AB | 1.750% | 3/12/18 | 2,900 | 2,919 |
Synchrony Financial | 1.875% | 8/15/17 | 1,500 | 1,502 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 3,580 | 3,624 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 1,100 | 1,132 |
UBS AG | 1.375% | 6/1/17 | 570 | 571 |
UBS AG | 1.375% | 8/14/17 | 600 | 600 |
US Bank NA | 1.375% | 9/11/17 | 635 | 638 |
US Bank NA | 1.350% | 1/26/18 | 400 | 402 |
US Bank NA | 1.450% | 1/29/18 | 1,300 | 1,308 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 744 | 750 |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 1,600 | 1,622 |
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 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 2,244 | 2,291 |
Westpac Banking Corp. | 1.650% | 5/13/19 | 1,500 | 1,510 |
Brokerage (0.3%) | ||||
BlackRock Inc. | 6.250% | 9/15/17 | 400 | 423 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 214 | 215 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 800 | 801 |
NYSE Euronext | 2.000% | 10/5/17 | 1,667 | 1,682 |
Finance Companies (0.2%) | ||||
Air Lease Corp. | 5.625% | 4/1/17 | 116 | 119 |
Air Lease Corp. | 2.125% | 1/15/18 | 1,783 | 1,783 |
22
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Insurance (0.9%) | ||||
Aetna Inc. | 1.700% | 6/7/18 | 1,700 | 1,715 |
6 AIA Group Ltd. | 2.250% | 3/11/19 | 1,430 | 1,450 |
6 MassMutual Global Funding II | 2.000% | 4/5/17 | 159 | 160 |
6 Pricoa Global Funding I | 1.900% | 9/21/18 | 1,735 | 1,758 |
6 Reliance Standard Life Global Funding II | 2.150% | 10/15/18 | 1,560 | 1,572 |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 1,302 | 1,382 |
Real Estate Investment Trusts (0.2%) | ||||
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 116 | 120 |
DDR Corp. | 7.500% | 4/1/17 | 886 | 921 |
Welltower Inc. | 2.250% | 3/15/18 | 400 | 404 |
126,341 | ||||
Industrial (13.0%) | ||||
Basic Industry (1.0%) | ||||
Air Products & Chemicals Inc. | 2.000% | 8/2/16 | 1,164 | 1,164 |
Airgas Inc. | 1.650% | 2/15/18 | 1,251 | 1,257 |
Dow Chemical Co. | 8.550% | 5/15/19 | 1,300 | 1,547 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 2,050 | 2,070 |
Ecolab Inc. | 3.000% | 12/8/16 | 500 | 503 |
Ecolab Inc. | 1.450% | 12/8/17 | 981 | 984 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 1,500 | 1,626 |
Capital Goods (1.0%) | ||||
Boeing Capital Corp. | 2.125% | 8/15/16 | 214 | 214 |
Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 675 | 680 |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 1,200 | 1,217 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 510 | 582 |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 690 | 694 |
6 Fortive Corp. | 1.800% | 6/15/19 | 1,600 | 1,611 |
General Electric Capital Corp. | 3.350% | 10/17/16 | 17 | 17 |
General Electric Capital Corp. | 2.900% | 1/9/17 | 17 | 17 |
General Electric Capital Corp. | 5.400% | 2/15/17 | 17 | 17 |
General Electric Capital Corp. | 2.450% | 3/15/17 | 132 | 133 |
General Electric Capital Corp. | 5.625% | 9/15/17 | 17 | 18 |
General Electric Co. | 5.250% | 12/6/17 | 300 | 318 |
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 | 873 |
John Deere Capital Corp. | 1.950% | 1/8/19 | 500 | 510 |
Lockheed Martin Corp. | 2.125% | 9/15/16 | 275 | 276 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 950 | 954 |
United Technologies Corp. | 5.375% | 12/15/17 | 515 | 546 |
Communication (1.0%) | ||||
America Movil SAB de CV | 2.375% | 9/8/16 | 1,250 | 1,251 |
AT&T Inc. | 2.400% | 3/15/17 | 600 | 605 |
AT&T Inc. | 1.700% | 6/1/17 | 1,000 | 1,004 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 46 | 49 |
Comcast Corp. | 6.500% | 1/15/17 | 46 | 47 |
23
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Comcast Corp. | 6.300% | 11/15/17 | 2,395 | 2,558 |
Orange SA | 2.750% | 2/6/19 | 800 | 823 |
S&P Global Inc. | 2.500% | 8/15/18 | 500 | 508 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 1,500 | 1,575 |
Consumer Cyclical (2.0%) | ||||
American Honda Finance Corp. | 1.125% | 10/7/16 | 214 | 214 |
American Honda Finance Corp. | 0.950% | 5/5/17 | 400 | 400 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 400 | 403 |
AutoZone Inc. | 1.625% | 4/21/19 | 1,450 | 1,459 |
6 BMW US Capital LLC | 1.500% | 4/11/19 | 800 | 805 |
6 Daimler Finance North America LLC | 2.625% | 9/15/16 | 180 | 180 |
6 Daimler Finance North America LLC | 1.600% | 8/3/17 | 400 | 402 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 300 | 305 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 989 | 1,040 |
Ford Motor Credit Co. LLC | 1.684% | 9/8/17 | 288 | 289 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 300 | 317 |
6 Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 553 | 558 |
6 Harley-Davidson Financial Services Inc. | 1.550% | 11/17/17 | 2,500 | 2,508 |
Lowe’s Cos. Inc. | 1.625% | 4/15/17 | 108 | 109 |
6 Nissan Motor Acceptance Corp. | 1.950% | 9/12/17 | 500 | 504 |
6 Nissan Motor Acceptance Corp. | 2.350% | 3/4/19 | 1,515 | 1,544 |
6 Nissan Motor Acceptance Corp. | 2.000% | 3/8/19 | 1,250 | 1,264 |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 290 | 294 |
Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 400 | 403 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 400 | 402 |
Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 1,000 | 1,003 |
Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 1,000 | 1,006 |
Visa Inc. | 1.200% | 12/14/17 | 1,000 | 1,004 |
Walgreens Boots Alliance Inc. | 1.750% | 5/30/18 | 1,500 | 1,512 |
Consumer Noncyclical (3.4%) | ||||
AbbVie Inc. | 1.800% | 5/14/18 | 450 | 454 |
AbbVie Inc. | 2.000% | 11/6/18 | 800 | 810 |
Actavis Funding SCS | 1.300% | 6/15/17 | 1,100 | 1,098 |
Actavis Funding SCS | 2.350% | 3/12/18 | 114 | 115 |
Actavis Inc. | 1.875% | 10/1/17 | 39 | 39 |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 116 | 122 |
Altria Group Inc. | 9.700% | 11/10/18 | 670 | 795 |
Amgen Inc. | 2.500% | 11/15/16 | 55 | 55 |
Amgen Inc. | 2.125% | 5/15/17 | 58 | 59 |
Amgen Inc. | 5.850% | 6/1/17 | 58 | 60 |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 2,500 | 2,539 |
AstraZeneca plc | 5.900% | 9/15/17 | 1,280 | 1,348 |
Baxalta Inc. | 2.000% | 6/22/18 | 250 | 250 |
Biogen Inc. | 6.875% | 3/1/18 | 1,500 | 1,636 |
6 Cargill Inc. | 1.900% | 3/1/17 | 2,459 | 2,475 |
Celgene Corp. | 1.900% | 8/15/17 | 370 | 373 |
Clorox Co. | 5.950% | 10/15/17 | 700 | 741 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 2,750 | 2,799 |
Covidien International Finance SA | 6.000% | 10/15/17 | 400 | 424 |
Gilead Sciences Inc. | 3.050% | 12/1/16 | 1,239 | 1,248 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 500 | 509 |
GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 265 | 266 |
Hershey Co. | 1.600% | 8/21/18 | 1,500 | 1,516 |
24
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
JM Smucker Co. | 1.750% | 3/15/18 | 1,000 | 1,007 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 2,000 | 2,018 |
Newell Brands Inc. | 2.600% | 3/29/19 | 1,200 | 1,234 |
Philip Morris International Inc. | 1.250% | 8/11/17 | 1,000 | 1,003 |
Reynolds American Inc. | 2.300% | 6/12/18 | 600 | 610 |
6 Roche Holdings Inc. | 1.350% | 9/29/17 | 1,000 | 1,005 |
Stryker Corp. | 1.300% | 4/1/18 | 1,200 | 1,201 |
Teva Pharmaceutical Finance Netherlands III BV | 1.400% | 7/20/18 | 1,800 | 1,805 |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 750 | 755 |
Energy (3.1%) | ||||
BP Capital Markets plc | 1.375% | 5/10/18 | 2,500 | 2,505 |
Chevron Corp. | 1.344% | 11/9/17 | 2,000 | 2,009 |
Chevron Corp. | 1.345% | 11/15/17 | 2,500 | 2,512 |
Chevron Corp. | 4.950% | 3/3/19 | 1,250 | 1,364 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 3,500 | 3,486 |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 17 | 17 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 170 | 179 |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 700 | 704 |
EOG Resources Inc. | 5.625% | 6/1/19 | 1,250 | 1,376 |
Exxon Mobil Corp. | 1.439% | 3/1/18 | 3,000 | 3,020 |
Kinder Morgan Energy Partners LP | 6.000% | 2/1/17 | 17 | 17 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 17 | 18 |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 17 | 18 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 17 | 17 |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 1,350 | 1,355 |
Shell International Finance BV | 1.125% | 8/21/17 | 500 | 501 |
Shell International Finance BV | 1.250% | 11/10/17 | 1,500 | 1,503 |
Shell International Finance BV | 1.375% | 5/10/19 | 3,400 | 3,406 |
6 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 17 | 17 |
Total Capital International SA | 1.500% | 2/17/17 | 687 | 689 |
Total Capital International SA | 1.550% | 6/28/17 | 187 | 188 |
Total Capital SA | 2.125% | 8/10/18 | 3,000 | 3,054 |
Technology (1.1%) | ||||
Apple Inc. | 1.700% | 2/22/19 | 750 | 763 |
Corning Inc. | 1.500% | 5/8/18 | 300 | 300 |
Equifax Inc. | 6.300% | 7/1/17 | 1,950 | 2,036 |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 1,105 | 1,105 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 400 | 402 |
6 Hewlett Packard Enterprise Co. | 2.450% | 10/5/17 | 1,000 | 1,012 |
6 Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 950 | 975 |
Intel Corp. | 1.950% | 10/1/16 | 214 | 214 |
Total System Services Inc. | 2.375% | 6/1/18 | 1,500 | 1,509 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 1,140 | 1,209 |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 315 | 317 |
Transportation (0.4%) | ||||
Canadian National Railway Co. | 5.850% | 11/15/17 | 345 | 366 |
6 ERAC USA Finance LLC | 6.375% | 10/15/17 | 628 | 664 |
Ryder System Inc. | 2.500% | 3/1/17 | 275 | 277 |
Ryder System Inc. | 2.500% | 3/1/18 | 1,000 | 1,014 |
4 UAL 2009-2A Pass Through Trust | 9.750% | 7/15/18 | 1,462 | 1,509 |
116,437 |
25
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Utilities (3.7%) | ||||
Electric (3.6%) | ||||
Arizona Public Service Co. | 6.250% | 8/1/16 | 420 | 420 |
Baltimore Gas & Electric Co. | 5.900% | 10/1/16 | 54 | 54 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 1,691 | 1,815 |
CMS Energy Corp. | 6.550% | 7/17/17 | 589 | 619 |
CMS Energy Corp. | 5.050% | 2/15/18 | 39 | 41 |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 54 | 54 |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 54 | 54 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 454 | 480 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 900 | 1,021 |
Consumers Energy Co. | 5.500% | 8/15/16 | 119 | 119 |
Consumers Energy Co. | 5.150% | 2/15/17 | 1,835 | 1,878 |
Consumers Energy Co. | 5.650% | 9/15/18 | 121 | 132 |
Consumers Energy Co. | 6.125% | 3/15/19 | 125 | 141 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 723 | 816 |
Duke Energy Florida LLC | 5.800% | 9/15/17 | 661 | 696 |
Duke Energy Florida LLC | 5.650% | 6/15/18 | 50 | 54 |
Edison International | 3.750% | 9/15/17 | 1,200 | 1,236 |
6 EDP Finance BV | 6.000% | 2/2/18 | 1,500 | 1,583 |
6 Emera US Finance LP | 2.150% | 6/15/19 | 250 | 254 |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 580 | 639 |
Exelon Corp. | 1.550% | 6/9/17 | 600 | 601 |
Georgia Power Co. | 5.700% | 6/1/17 | 650 | 675 |
Georgia Power Co. | 1.950% | 12/1/18 | 285 | 290 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 1,000 | 1,064 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 1,764 | 2,120 |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 802 | 837 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 40 | 44 |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 700 | 713 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 1,555 | 1,643 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 1,400 | 1,605 |
PECO Energy Co. | 1.200% | 10/15/16 | 870 | 871 |
Southern California Edison Co. | 1.250% | 11/1/17 | 295 | 296 |
Southern Co. | 1.550% | 7/1/18 | 1,210 | 1,219 |
TECO Finance Inc. | 6.572% | 11/1/17 | 58 | 61 |
5 TECO Finance Inc. | 1.265% | 4/10/18 | 100 | 99 |
Union Electric Co. | 6.400% | 6/15/17 | 3,964 | 4,152 |
Virginia Electric & Power Co. | 5.950% | 9/15/17 | 3,300 | 3,479 |
Xcel Energy Inc. | 1.200% | 6/1/17 | 300 | 300 |
Natural Gas (0.1%) | ||||
Atmos Energy Corp. | 8.500% | 3/15/19 | 1,280 | 1,503 |
33,678 | ||||
Total Corporate Bonds (Cost $275,240) | 276,456 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (1.4%) | ||||
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 800 | 801 |
Corp. Andina de Fomento | 7.790% | 3/1/17 | 200 | 207 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 200 | 201 |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 500 | 506 |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 50 | 50 |
Korea Development Bank | 4.000% | 9/9/16 | 1,000 | 1,003 |
Korea Development Bank | 2.250% | 8/7/17 | 200 | 202 |
6 Majapahit Holding BV | 7.250% | 6/28/17 | 1,250 | 1,313 |
26
Ultra-Short-Term Bond Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
North American Development Bank | 2.300% | 10/10/18 | 300 | 306 |
Province of Ontario | 1.600% | 9/21/16 | 400 | 401 |
Republic of Colombia | 7.375% | 1/27/17 | 1,900 | 1,957 |
Republic of Korea | 5.125% | 12/7/16 | 3,000 | 3,045 |
Republic of Poland | 6.375% | 7/15/19 | 1,000 | 1,139 |
Statoil ASA | 3.125% | 8/17/17 | 200 | 204 |
Statoil ASA | 1.200% | 1/17/18 | 300 | 300 |
United Mexican States | 5.625% | 1/15/17 | 1,400 | 1,428 |
Total Sovereign Bonds (Cost $13,031) | 13,063 | |||
Taxable Municipal Bonds (0.2%) | ||||
Illinois GO | 5.365% | 3/1/17 | 1,400 | 1,430 |
Louisiana Local Government Environmental | ||||
Facilities & Community Development Authority | ||||
Revenue 2010-EGSL | 3.220% | 2/1/21 | 222 | 226 |
Total Taxable Municipal Bonds (Cost $1,656) | 1,656 | |||
Shares | ||||
Temporary Cash Investment (6.1%) | ||||
Money Market Fund (6.1%) | ||||
7 Vanguard Market Liquidity Fund (Cost $54,938) | 0.561% | 54,937,534 | 54,938 | |
Total Investments (99.9%) (Cost $896,268) | 897,607 | |||
Amount | ||||
($000) | ||||
Other Assets and Liabilities (0.1%) | ||||
Other Assets | ||||
Investment in Vanguard | 63 | |||
Receivables for Investment Securities Sold | 1,799 | |||
Receivables for Accrued Income | 2,827 | |||
Receivables for Capital Shares Issued | 4,938 | |||
Other Assets | 10 | |||
Total Other Assets | 9,637 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | (7,070) | |||
Payables for Capital Shares Redeemed | (969) | |||
Payables for Distributions | (173) | |||
Payables to Vanguard | (95) | |||
Other Liabilities | (641) | |||
Total Liabilities | (8,948) | |||
Net Assets (100%) | 898,296 |
27
Ultra-Short-Term Bond Fund | |
At July 31, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 897,358 |
Undistributed Net Investment Income | 21 |
Accumulated Net Realized Losses | (120) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,339 |
Futures Contracts | (302) |
Net Assets | 898,296 |
Investor Shares—Net Assets | |
Applicable to 6,429,318 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 64,374 |
Net Asset Value Per Share—Investor Shares | $10.01 |
Admiral Shares—Net Assets | |
Applicable to 41,641,733 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 833,922 |
Net Asset Value Per Share—Admiral Shares | $20.03 |
• See Note A in Notes to Financial Statements.
1 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.
2 Securities with a value of $502,000 have been segregated as initial margin for open futures contracts.
3 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.
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 Adjustable-rate security.
6 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, 2016, the aggregate value of these securities was $186,026,000, representing 20.7% of net assets.
7 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.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Ultra-Short-Term Bond Fund | |
Statement of Operations | |
Six Months Ended | |
July 31, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 4,216 |
Total Income | 4,216 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 35 |
Management and Administrative—Investor Shares | 44 |
Management and Administrative—Admiral Shares | 258 |
Marketing and Distribution—Investor Shares | 8 |
Marketing and Distribution—Admiral Shares | 33 |
Custodian Fees | 12 |
Shareholders’ Reports—Investor Shares | 2 |
Shareholders’ Reports—Admiral Shares | 2 |
Total Expenses | 394 |
Net Investment Income | 3,822 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 152 |
Futures Contracts | (206) |
Foreign Currencies and Forward Currency Contracts | (5) |
Realized Net Gain (Loss) | (59) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,687 |
Futures Contracts | (252) |
Change in Unrealized Appreciation (Depreciation) | 1,435 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,198 |
1 Interest income from an affiliated company of the fund was $288,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
29
Ultra-Short-Term Bond Fund | ||
Statement of Changes in Net Assets | ||
February 10, | ||
Six Months Ended | 20151 to | |
July 31, | January 31, | |
2016 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,822 | 2,254 |
Realized Net Gain (Loss) | (59) | (61) |
Change in Unrealized Appreciation (Depreciation) | 1,435 | (398) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,198 | 1,795 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (291) | (201) |
Admiral Shares | (3,546) | (2,017) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Total Distributions | (3,837) | (2,218) |
Capital Share Transactions | ||
Investor Shares | 16,907 | 47,379 |
Admiral Shares | 367,616 | 465,456 |
Net Increase (Decrease) from Capital Share Transactions | 384,523 | 512,835 |
Total Increase (Decrease) | 385,884 | 512,412 |
Net Assets | ||
Beginning of Period | 512,412 | — |
End of Period2 | 898,296 | 512,412 |
1 Commencement of subscription period for the fund.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $21,000 and $36,000.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Ultra-Short-Term Bond Fund | ||
Financial Highlights | ||
Investor Shares | ||
Six Months | Feb. 10, | |
Ended | 20151 to | |
July 31, | Jan. 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2016 |
Net Asset Value, Beginning of Period | $9.99 | $10.00 |
Investment Operations | ||
Net Investment Income | . 050 | . 054 |
Net Realized and Unrealized Gain (Loss) on Investments | .020 | (.010) |
Total from Investment Operations | .070 | .044 |
Distributions | ||
Dividends from Net Investment Income | (.050) | (.054) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.050) | (.054) |
Net Asset Value, End of Period | $10.01 | $9.99 |
Total Return2 | 0.70% | 0.44% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $64 | $47 |
Ratio of Total Expenses to Average Net Assets | 0.21% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 1.07% | 0.66%3 |
Portfolio Turnover Rate | 82% | 24% |
The expense ratio, net investment 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 periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
31
Ultra-Short-Term Bond Fund | ||
Financial Highlights | ||
Admiral Shares | ||
Six Months | Feb. 10, | |
Ended | 20151 to | |
July 31, | Jan. 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2016 |
Net Asset Value, Beginning of Period | $19.98 | $20.00 |
Investment Operations | ||
Net Investment Income | .109 | .122 |
Net Realized and Unrealized Gain (Loss) on Investments | .051 | (.021) |
Total from Investment Operations | .160 | .101 |
Distributions | ||
Dividends from Net Investment Income | (.110) | (.121) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.110) | (.121) |
Net Asset Value, End of Period | $20.03 | $19.98 |
Total Return2 | 0.80% | 0.51% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $834 | $465 |
Ratio of Total Expenses to Average Net Assets | 0.11% | 0.12%3 |
Ratio of Net Investment Income to Average Net Assets | 1.17% | 0.74%3 |
Portfolio Turnover Rate | 82% | 24% |
The expense ratio, net investment 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 periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
32
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 six months ended July 31, 2016, the fund’s average investments in long and short futures contracts represented 4% and 5% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
33
Ultra-Short-Term Bond Fund
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 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, 2016, 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. The fund had no open forward currency contracts at July 31, 2016.
4. 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 its open federal income tax year (January 31, 2016), and for the period ended July 31, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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
34
Ultra-Short-Term Bond Fund
charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at July 31, 2016, or at any time during the period then ended.
7. 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At July 31, 2016, the fund had contributed to Vanguard capital in the amount of $63,000, representing 0.01% of the fund’s net assets and 0.03% 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).
35
Ultra-Short-Term Bond Fund
The following table summarizes the market value of the fund’s investments as of July 31, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 219,160 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 326,200 | 6,134 |
Corporate Bonds | — | 276,456 | — |
Sovereign Bonds | — | 13,063 | — |
Taxable Municipal Bonds | — | 1,656 | — |
Temporary Cash Investments | 54,938 | — | — |
Futures Contracts—Assets1 | 10 | — | — |
Futures Contracts—Liabilities1 | (127) | — | — |
Total | 54,821 | 836,535 | 6,134 |
1 Represents variation margin on the last day of the reporting period. |
D. At July 31, 2016, the fair values of derivatives were reflected in the Statement of Net Assets | |||
as follows: | |||
Interest Rate | Currency | ||
Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) |
Other Assets | 10 | — | 10 |
Other Liabilities | (127) | — | (127) |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended July 31, 2016, were:
Interest Rate | Currency | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | (206) | — | (206) |
Forward Currency Contracts | — | (5) | (5) |
Realized Net Gain (Loss) on Derivatives | (206) | (5) | (211) |
Change in Unrealized Appreciation | |||
(Depreciation) on Derivatives | |||
Futures Contracts | (252) | — | (252) |
Forward Currency Contracts | — | — | — |
Change in Unrealized Appreciation (Depreciation) on Derivatives | (252) | — | (252) |
36
Ultra-Short-Term Bond Fund
E. At July 31, 2016, 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 2016 | (255) | (31,114) | (329) |
Eurodollar Futures | December 2016 | 115 | 28,510 | 24 |
2-Year U.S. Treasury Note | September 2016 | (50) | (10,950) | 3 |
(302) |
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. For tax purposes, at January 31, 2016, the fund had available capital losses totaling $111,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending January 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At July 31, 2016, the cost of investment securities for tax purposes was $896,268,000. Net unrealized appreciation of investment securities for tax purposes was $1,339,000, consisting of unrealized gains of $2,100,000 on securities that had risen in value since their purchase and $761,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended July 31, 2016, the fund purchased $261,741,000 of investment securities and sold $52,135,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $185,505,000 and $141,243,000, respectively.
37
Ultra-Short-Term Bond Fund
H. Capital share transactions for each class of shares were: | ||||
Six Months Ended | February 10, 20151 to | |||
July 31, 2016 | January 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 39,625 | 3,961 | 90,641 | 9,068 |
Issued in Lieu of Cash Distributions | 262 | 26 | 186 | 19 |
Redeemed | (22,980) | (2,297) | (43,448) | (4,348) |
Net Increase (Decrease)—Investor Shares | 16,907 | 1,690 | 47,379 | 4,739 |
Admiral Shares | ||||
Issued | 490,349 | 24,495 | 604,240 | 30,224 |
Issued in Lieu of Cash Distributions | 3,036 | 152 | 1,789 | 90 |
Redeemed | (125,769) | (6,284) | (140,573) | (7,035) |
Net Increase (Decrease) —Admiral Shares | 367,616 | 18,363 | 465,456 | 23,279 |
1 Commencement of subscription period for the fund. |
I. Management has determined that no material events or transactions occurred subsequent to July 31, 2016, that would require recognition or disclosure in these financial statements.
38
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.
39
Six Months Ended July 31, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Ultra-Short-Term Bond Fund | 1/31/2016 | 7/31/2016 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,007.02 | $1.05 |
Admiral Shares | 1,000.00 | 1,008.03 | 0.55 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.82 | $1.06 |
Admiral Shares | 1,000.00 | 1,024.32 | 0.55 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.21% for Investor Shares and 0.11% 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 (182/366).
40
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Ultra-Short-Term Bond Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group. The board determined that renewing the fund’s advisory arrangement was in the best interests of the fund and its 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 provided to the fund since its inception in 2015. 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 considered the fund’s performance since its inception in 2015, 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 arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
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 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.
41
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.
42
Vanguard Ultra-Short-Term Bond Fund is not sponsored, endorsed, issued, sold or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of Vanguard Ultra-Short-Term Bond Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard Ultra-Short-Term Bond Fund particularly or the ability of the Barclays Index to track general bond market performance. Barclays has not passed on the legality or suitability of the Vanguard Ultra-Short-Term Bond Fund with respect to any person or entity. Barclays’ only relationship to Vanguard and Vanguard Ultra-Short-Term Bond Fund is the licensing of the Barclays Index which is determined, composed and calculated by Barclays without regard to Vanguard or the Vanguard Ultra-Short-Term Bond Fund or any owners or purchasers of the Vanguard Ultra-Short-Term Bond Fund. Barclays has no obligation to take the needs of Vanguard, Vanguard Ultra-Short-Term Bond Fund or the owners of Vanguard Ultra-Short-Term Bond Fund into consideration in determining, composing or calculating the Barclays Index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of Vanguard Ultra-Short-Term Bond Fund to be issued. Barclays has no obligation or liability in connection with the administration, marketing or trading of the Vanguard Ultra-Short-Term Bond Fund.
BARCLAYS SHALL HAVE NO LIABILITY TO THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS
OF THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF THE VANGUARD ULTRA-SHORTTERM BOND FUND OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BARCLAYS U.S. TREASURY BELLWETHERS: 1 YEAR INDEX, AND BARCLAYS SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BARCLAYS U.S. TREASURY BELLWETHERS: 1 YEAR INDEX. BARCLAYS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. BARCLAYS SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY INDIRECT OR CONSEQUENTIAL DAMAGES RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN.
© 2016 Barclays. Used with Permission.
Source: Barclays Global Family of Indices. Copyright 2016, Barclays. All rights reserved.
43
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 198 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; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
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), HP Inc. (printer and personal 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) and the Robert Wood Johnson Foundation; 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, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors).
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); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center.
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 James M. Norris Kathleen C. Gubanich Thomas M. Rampulla Martha G. King Glenn W. Reed John T. Marcante Karin A. Risi Chris D. McIsaac Michael Rollings
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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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 | |
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Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q14922 092016 |
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, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (17.2%) | |||||
U.S. Government Securities (17.1%) | |||||
1 | United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/17 | 926,238 | 1,114,610 |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/17 | 1,736,207 | 1,836,386 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 483,343 | 499,725 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 792,223 | 844,903 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 19,072 | 19,407 | |
United States Treasury Note/Bond | 0.625% | 6/30/17 | 253,600 | 253,679 | |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 353,300 | 353,798 | |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 176,000 | 175,808 | |
United States Treasury Note/Bond | 0.625% | 7/31/17 | 12,400 | 12,404 | |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 200,000 | 200,844 | |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 150,000 | 150,468 | |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 68,000 | 68,382 | |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 58,250 | 58,641 | |
1,2,3 | United States Treasury Note/Bond | 1.250% | 11/15/18 | 271,750 | 275,147 |
United States Treasury Note/Bond | 1.250% | 12/15/18 | 72,800 | 73,733 | |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 311,400 | 317,335 | |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 422,900 | 427,129 | |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 211,000 | 213,836 | |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 737,700 | 738,275 | |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 190,000 | 193,800 | |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 376,900 | 379,610 | |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 350,000 | 358,204 | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 410,000 | 411,538 | |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 118,000 | 118,443 | |
United States Treasury Note/Bond | 0.875% | 6/15/19 | 123,000 | 123,423 | |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 40,000 | 41,000 | |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 185,250 | 186,465 | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 75,000 | 77,039 | |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 76,000 | 78,078 | |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 77,000 | 79,141 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 14,485 | 14,709 | |
9,695,960 | |||||
Conventional Mortgage-Backed Securities (0.0%) | |||||
4,5 | Fannie Mae Pool | 6.000% | 12/1/16–5/1/17 | 238 | 242 |
4,5 | Fannie Mae Pool | 6.500% | 9/1/16 | 7 | 7 |
4,5 | Freddie Mac Gold Pool | 6.000% | 3/1/17–4/1/17 | 166 | 169 |
418 | |||||
Nonconventional Mortgage-Backed Securities (0.1%) | |||||
4,5,6 | Fannie Mae Pool | 2.344% | 12/1/32 | 376 | 386 |
4,5,6 | Fannie Mae Pool | 2.435% | 7/1/32 | 363 | 388 |
4,5,6 | Fannie Mae Pool | 2.465% | 9/1/32 | 26 | 28 |
4,5,6 | Fannie Mae Pool | 2.500% | 9/1/32 | 221 | 233 |
4,5,6 | Fannie Mae Pool | 2.535% | 8/1/33 | 4,276 | 4,452 |
4,5,6 | Fannie Mae Pool | 2.680% | 6/1/33 | 2,811 | 2,939 |
4,5,6 | Fannie Mae Pool | 2.687% | 7/1/33 | 3,257 | 3,354 |
4,5,6 | Fannie Mae Pool | 2.781% | 5/1/33 | 2,129 | 2,267 |
4,5,6 | Fannie Mae Pool | 2.788% | 2/1/37 | 1,576 | 1,675 |
4,5,6 | Fannie Mae Pool | 2.797% | 8/1/37 | 639 | 662 |
4,5,6 | Fannie Mae Pool | 3.028% | 5/1/33 | 409 | 437 |
4,5,6 | Freddie Mac Non Gold Pool | 2.500% | 8/1/32 | 806 | 835 |
4,5,6 | Freddie Mac Non Gold Pool | 2.504% | 9/1/32 | 58 | 63 |
4,5,6 | Freddie Mac Non Gold Pool | 2.550% | 8/1/37 | 2,220 | 2,305 |
4,5,6 | Freddie Mac Non Gold Pool | 2.556% | 8/1/32 | 718 | 770 |
4,5,6 | Freddie Mac Non Gold Pool | 2.643% | 9/1/32 | 853 | 874 |
4,5,6 | Freddie Mac Non Gold Pool | 2.711% | 8/1/33 | 733 | 778 |
4,5,6 | Freddie Mac Non Gold Pool | 2.823% | 10/1/32 | 460 | 490 |
4,5,6 | Freddie Mac Non Gold Pool | 2.836% | 1/1/33 | 497 | 538 |
4,5,6 | Freddie Mac Non Gold Pool | 3.086% | 2/1/33 | 290 | 300 |
23,774 | |||||
Total U.S. Government and Agency Obligations (Cost $9,710,843) | 9,720,152 |
1
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Asset-Backed/Commercial Mortgage-Backed Securities (22.5%) | |||||
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 11,675 | 11,773 |
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 4,315 | 4,352 |
4 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 90,765 | 90,958 |
4,6 | Ally Master Owner Trust Series 2014-1 | 0.951% | 1/15/19 | 14,849 | 14,855 |
4 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 15,845 | 15,856 |
4 | Ally Master Owner Trust Series 2014-3 | 1.330% | 3/15/19 | 11,330 | 11,339 |
4,6 | American Express Credit Account Secured Note Trust | ||||
2012-4 | 1.031% | 5/15/20 | 27,587 | 27,574 | |
4,6,7 | American Homes 4 Rent 2014-SFR1 | 1.482% | 6/17/31 | 4,999 | 4,978 |
4,6,7 | American Homes 4 Rent 2014-SFR1 | 1.832% | 6/17/31 | 4,320 | 4,298 |
4,7 | American Homes 4 Rent 2014-SFR2 | 3.786% | 10/17/36 | 13,069 | 14,178 |
4,7 | American Homes 4 Rent 2014-SFR2 | 4.290% | 10/17/36 | 3,360 | 3,653 |
4,7 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 17,721 | 19,101 |
4,7 | American Homes 4 Rent 2015-SFR1 | 3.467% | 4/17/52 | 15,762 | 16,736 |
4,7 | American Homes 4 Rent 2015-SFR2 | 3.732% | 10/17/45 | 6,806 | 7,371 |
4,7 | American Homes 4 Rent 2015-SFR2 | 4.295% | 10/17/45 | 2,830 | 3,068 |
4,7 | Americold 2010 LLC Trust Series 2010-ARTA | 4.954% | 1/14/29 | 15,505 | 17,227 |
4,7 | Americold 2010 LLC Trust Series 2010-ARTA | 6.811% | 1/14/29 | 11,185 | 13,104 |
4 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 2,864 | 2,866 |
4 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 14,512 | 14,538 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 16,003 | 16,105 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 3.000% | 7/8/19 | 20,500 | 20,715 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 3,439 | 3,473 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 3.310% | 10/8/19 | 4,660 | 4,745 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 6,336 | 6,391 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.860% | 12/9/19 | 7,170 | 7,279 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 2.150% | 3/9/20 | 4,900 | 4,926 |
4 | AmeriCredit Automobile Receivables Trust 2014-2 | 2.180% | 6/8/20 | 9,220 | 9,303 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 1.540% | 3/9/20 | 27,200 | 27,259 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 2.080% | 9/8/20 | 7,120 | 7,160 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 2.730% | 3/8/21 | 12,055 | 12,299 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 3.340% | 8/8/21 | 8,900 | 9,114 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 1.810% | 10/8/20 | 15,470 | 15,558 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 2.890% | 1/10/22 | 9,420 | 9,614 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 3.590% | 2/8/22 | 6,820 | 7,007 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 1.600% | 11/9/20 | 15,130 | 15,134 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 2.210% | 5/10/21 | 4,770 | 4,801 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 2.870% | 11/8/21 | 5,600 | 5,716 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 3.650% | 5/9/22 | 9,390 | 9,659 |
4,7 | AOA 2015-1177 Mortgage Trust | 2.957% | 12/13/29 | 13,390 | 14,095 |
4,7 | Applebee's Funding LLC/IHOP Funding LLC 2014-1 | 4.277% | 9/5/44 | 10,140 | 10,309 |
4,7 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 13,740 | 13,743 |
4,7 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 19,177 | 18,612 |
4,7 | Aventura Mall Trust 2013-AVM | 3.743% | 12/5/32 | 15,105 | 16,337 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2013-1A | 1.920% | 9/20/19 | 15,210 | 15,207 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2013-2A | 2.970% | 2/20/20 | 29,200 | 29,828 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2015-1A | 2.500% | 7/20/21 | 34,860 | 35,179 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2015-2A | 2.630% | 12/20/21 | 43,123 | 43,634 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2016-1A | 2.990% | 6/20/22 | 21,840 | 22,455 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2016-2 | 2.720% | 11/20/22 | 15,775 | 16,009 |
4,7 | BAMLL Commercial Mortgage Securities Trust 2012- | ||||
PARK | 2.959% | 12/10/30 | 4,900 | 5,159 | |
4 | Banc of America Commercial Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 11,868 | 11,890 |
4 | Banc of America Commercial Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 16,136 | 16,224 |
4 | Banc of America Commercial Mortgage Trust 2007-2 | 5.573% | 4/10/49 | 33,261 | 33,601 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.183% | 2/10/51 | 57,522 | 60,115 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.227% | 2/10/51 | 4,899 | 5,104 |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 3.705% | 9/15/48 | 6,740 | 7,488 | |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 4.366% | 9/15/48 | 2,600 | 2,954 |
2
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 4.366% | 9/15/48 | 1,600 | 1,662 | |
4,8 | Banc of America Funding 2006-H Trust | 2.998% | 9/20/46 | 17,085 | 14,768 |
4 | Banc of America Mortgage 2003-F Trust | 3.094% | 7/25/33 | 954 | 912 |
4 | Bank of America Mortgage 2002-J Trust | 3.737% | 9/25/32 | 19 | 18 |
4,6,7 | Bank of America Student Loan Trust 2010-1A | 1.514% | 2/25/43 | 18,148 | 17,822 |
7 | Bank of Montreal | 1.750% | 6/15/21 | 17,720 | 17,787 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 18,965 | 19,185 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 20,360 | 20,625 | |
4,7 | Beacon Container Finance LLC 2012-1A | 3.720% | 9/20/27 | 10,981 | 10,787 |
4,8 | Bear Stearns ARM Trust 2006-4 | 2.856% | 10/25/36 | 28,282 | 24,667 |
4,8 | Bear Stearns ARM Trust 2007-3 | 3.133% | 5/25/47 | 20,367 | 17,796 |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.720% | 6/11/40 | 16,119 | 16,428 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.650% | 6/11/50 | 78,784 | 81,362 | |
4,6,7 | BMW Floorplan Master Owner Trust 2015-1A | 0.981% | 7/15/20 | 59,345 | 59,323 |
4 | BMW Vehicle Lease Trust 2015-2 | 1.550% | 2/20/19 | 19,460 | 19,539 |
4,6 | Brazos Higher Education Authority Inc. Series 2005-3 | 0.840% | 6/25/26 | 15,150 | 14,616 |
4,6 | Brazos Higher Education Authority Inc. Series 2011-1 | 1.462% | 2/25/30 | 27,263 | 26,724 |
4 | Cabela's Credit Card Master Note Trust 2015-1A | 2.260% | 3/15/23 | 9,170 | 9,353 |
4,6 | Cabela's Credit Card Master Note Trust 2015-2 | 1.151% | 7/17/23 | 25,050 | 24,776 |
4,6 | Cabelas Credit Card Master Note Trust 2016-1 | 0.998% | 6/15/22 | 45,900 | 45,922 |
4,7 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 5,813 | 5,656 |
4,7 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 10,733 | 10,428 |
4,7 | California Republic Auto Receivables Trust 2015-4 | 2.580% | 6/15/21 | 13,690 | 14,015 |
4 | California Republic Auto Receivables Trust 2016-2 | 1.560% | 7/15/20 | 8,400 | 8,389 |
4 | California Republic Auto Receivables Trust 2016-2 | 1.830% | 12/15/21 | 10,730 | 10,743 |
4 | California Republic Auto Receivables Trust 2016-2 | 2.520% | 5/16/22 | 6,520 | 6,539 |
4 | California Republic Auto Receivables Trust 2016-2 | 3.510% | 3/15/23 | 3,180 | 3,189 |
7 | Canadian Imperial Bank of Commerce | 2.250% | 7/21/20 | 22,560 | 23,176 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 2,311 | 2,311 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 5,387 | 5,393 |
4 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 13,319 | 13,560 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 22,285 | 22,297 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 15,138 | 15,174 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 13,543 | 13,662 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 3.220% | 5/20/19 | 11,935 | 12,102 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 12,097 | 12,118 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 6,163 | 6,198 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.840% | 4/22/19 | 4,900 | 4,961 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 4,100 | 4,189 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 22,240 | 22,430 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.130% | 5/20/20 | 20,360 | 20,448 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.430% | 9/21/20 | 6,170 | 6,198 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.900% | 12/21/20 | 6,880 | 6,942 |
4 | Capital Auto Receivables Asset Trust 2016-2 | 1.630% | 1/20/21 | 7,550 | 7,534 |
4 | Capital Auto Receivables Asset Trust 2016-2 | 3.160% | 11/20/23 | 1,630 | 1,626 |
4,6 | Capital One Multi-Asset Execution Trust 2014-A3 | 0.861% | 1/18/22 | 35,000 | 34,991 |
4 | Capital One Multi-asset Execution Trust 2015-A4 | 2.750% | 5/15/25 | 60,710 | 64,102 |
4 | Capital One Multi-asset Execution Trust 2015-A8 | 2.050% | 8/15/23 | 36,040 | 36,894 |
4,6 | Capital One Multi-Asset Execution Trust 2016-A2 | 1.111% | 2/15/24 | 20,330 | 20,400 |
4,6,7 | CARDS II Trust 2016-1A | 1.207% | 7/15/21 | 56,125 | 56,125 |
4 | Carmax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 3,608 | 3,625 |
4 | Carmax Auto Owner Trust 2014-1 | 1.690% | 8/15/19 | 2,530 | 2,518 |
4 | Carmax Auto Owner Trust 2014-1 | 1.930% | 11/15/19 | 4,730 | 4,726 |
4 | Carmax Auto Owner Trust 2015-1 | 1.830% | 7/15/20 | 4,400 | 4,439 |
4 | Carmax Auto Owner Trust 2015-2 | 3.040% | 11/15/21 | 5,850 | 5,863 |
4 | Carmax Auto Owner Trust 2015-3 | 1.980% | 2/16/21 | 9,765 | 9,848 |
4 | Carmax Auto Owner Trust 2015-3 | 2.280% | 4/15/21 | 3,875 | 3,903 |
4 | Carmax Auto Owner Trust 2015-3 | 2.680% | 6/15/21 | 5,560 | 5,626 |
4 | Carmax Auto Owner Trust 2016-2 | 2.160% | 12/15/21 | 4,850 | 4,856 |
4 | Carmax Auto Owner Trust 2016-2 | 3.250% | 11/15/22 | 5,800 | 5,808 |
4 | Carmax Auto Owner Trust 2016-3 | 2.200% | 6/15/22 | 5,740 | 5,730 |
3
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Carmax Auto Owner Trust 2016-3 | 2.940% | 1/17/23 | 4,050 | 4,043 |
4 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 2.161% | 10/15/21 | 21,400 | 21,842 |
4,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.623% | 12/15/47 | 14,930 | 17,714 |
4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 25,640 | 27,358 |
4,6 | Chase Issuance Trust 2007-C1 | 0.941% | 4/15/19 | 30,415 | 30,354 |
4,6 | Chase Issuance Trust 2016-A1 | 0.891% | 5/17/21 | 4,782 | 4,782 |
4,7 | Chesapeake Funding II LLC 2016-2A | 1.880% | 6/15/28 | 90,360 | 90,481 |
4 | CHL Mortgage Pass-Through Trust 2003-HYB3 | 2.978% | 11/19/33 | 1,137 | 1,073 |
4,8 | CHL Mortgage Pass-Through Trust 2006-HYB1 | 2.787% | 3/20/36 | 12,309 | 9,760 |
4,8 | CHL Mortgage Pass-Through Trust 2007-HYB2 | 2.931% | 2/25/47 | 14,117 | 10,626 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 3,961 | 3,962 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.280% | 7/15/19 | 4,785 | 4,802 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.930% | 8/17/20 | 5,185 | 5,207 |
4,7 | Chrysler Capital Auto Receivables Trust 2014-AA | 2.280% | 11/15/19 | 10,230 | 10,281 |
4,7 | Chrysler Capital Auto Receivables Trust 2014-BA | 3.440% | 8/16/21 | 700 | 694 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 2.260% | 10/15/20 | 16,900 | 17,062 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 2.700% | 12/15/20 | 6,525 | 6,524 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 3.260% | 4/15/21 | 10,155 | 10,315 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 4.170% | 1/16/23 | 15,545 | 15,684 |
4,7 | Chrysler Capital Auto Receivables Trust 2016-AA | 2.880% | 2/15/22 | 5,040 | 5,070 |
4,7 | Chrysler Capital Auto Receivables Trust 2016-AA | 4.220% | 2/15/23 | 26,030 | 26,141 |
4,7 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 1,462 | 1,461 |
4,6 | Citibank Credit Card Issuance Trust 2008-A7 | 1.862% | 5/20/20 | 49,891 | 50,868 |
4 | Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 5,400 | 5,726 |
4 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 70,915 | 72,759 |
4 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,980 | 6,380 |
4,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 2,100 | 2,271 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 1.987% | 4/10/46 | 3,810 | 3,839 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 6,100 | 6,497 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 22,986 | 23,652 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 7,270 | 7,890 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 13,410 | 15,057 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 6,190 | 6,686 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.575% | 5/10/47 | 6,872 | 7,530 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 39,719 | 44,205 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 25,545 | 28,231 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 12,426 | 13,629 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.175% | 7/10/47 | 5,394 | 5,956 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.453% | 7/10/47 | 6,380 | 6,691 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.372% | 10/10/47 | 15,230 | 16,425 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 39,390 | 43,163 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 4.345% | 10/10/47 | 6,146 | 6,887 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 4.532% | 10/10/47 | 1,035 | 1,080 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 2.944% | 2/10/48 | 8,880 | 9,294 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 38,271 | 40,526 |
4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 22,325 | 24,799 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 3.778% | 9/10/58 | 21,935 | 24,410 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 4.571% | 9/10/58 | 8,000 | 9,125 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 4.571% | 9/10/58 | 4,000 | 4,205 |
4 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.209% | 5/10/49 | 19,240 | 20,449 |
4 | Citigroup Commercial Mortgage Trust 2016-P4 | 2.902% | 7/10/49 | 3,286 | 3,385 |
4,8 | Citigroup Mortgage Loan Trust 2007-AR8 | 3.114% | 7/25/37 | 1,100 | 1,014 |
4,7 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 22,545 | 22,687 |
4,7 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 17,625 | 16,886 |
4 | COBALT CMBS Commercial Mortgage Trust 2007-C2 | 5.484% | 4/15/47 | 22,030 | 22,369 |
4,6,7 | Colony American Homes 2014-1 | 1.632% | 5/17/31 | 12,160 | 12,075 |
4,6,7 | Colony American Homes 2014-1 | 1.832% | 5/17/31 | 15,545 | 15,295 |
4,6,7 | Colony American Homes 2014-2 | 1.801% | 7/17/31 | 12,850 | 12,623 |
4,6,7 | Colony American Homes 2015-1 | 1.682% | 7/17/32 | 11,335 | 11,235 |
4,6,7 | Colony American Homes 2015-1 | 1.982% | 7/17/32 | 821 | 811 |
4,6,7 | Colony Starwood Homes 2016-1 Trust | 1.982% | 7/17/33 | 8,500 | 8,535 |
4,6,7 | Colony Starwood Homes 2016-1 Trust | 2.632% | 7/17/33 | 3,740 | 3,762 |
4 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 19,755 | 19,919 |
4 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 23,660 | 23,731 |
4
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2007-C9 Mortgage Trust | 5.813% | 12/10/49 | 22,798 | 23,405 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,925 | 3,134 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 4,100 | 4,490 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 23,195 | 24,378 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 10,825 | 11,426 |
4 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 1,990 | 2,118 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,640 | 2,777 |
4 | COMM 2013-CCRE10 Mortgage Trust | 2.972% | 8/10/46 | 19,839 | 20,295 |
4 | COMM 2013-CCRE10 Mortgage Trust | 3.795% | 8/10/46 | 9,520 | 10,253 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 13,320 | 14,956 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 43,975 | 50,079 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 14,650 | 15,718 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 40,601 | 45,924 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/23 | 26,695 | 30,478 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.751% | 12/10/23 | 4,517 | 5,222 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.751% | 12/10/23 | 8,240 | 8,899 |
4,7 | COMM 2013-CCRE6 Mortgage Trust | 3.397% | 3/10/46 | 2,380 | 2,492 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 38,814 | 42,697 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.233% | 7/10/45 | 24,875 | 28,454 |
4,7 | COMM 2013-CCRE9 Mortgage Trust | 4.257% | 7/10/45 | 11,250 | 12,667 |
4,7 | COMM 2013-CCRE9 Mortgage Trust | 4.257% | 7/10/45 | 12,690 | 13,207 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 21,393 | 21,981 |
4,7 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 10,688 | 11,528 |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 13,605 | 15,523 |
4,7 | COMM 2013-LC13 Mortgage Trust | 4.557% | 8/10/46 | 18,565 | 21,191 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 4,100 | 4,347 |
4,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 5,490 | 5,754 |
4,7 | COMM 2014-277P Mortgage Trust | 3.611% | 8/10/49 | 29,250 | 32,389 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 5,375 | 5,781 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 10,110 | 11,568 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 16,800 | 17,248 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 17,040 | 19,304 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.426% | 2/10/47 | 13,450 | 15,295 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.713% | 2/10/47 | 9,735 | 11,020 |
4 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 47,271 | 53,227 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 27,380 | 30,758 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.735% | 5/10/47 | 10,175 | 11,106 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.452% | 7/15/47 | 10,600 | 11,259 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.828% | 7/15/47 | 28,019 | 31,257 |
4 | COMM 2014-CCRE20 Mortgage Trust | 3.590% | 11/10/47 | 33,125 | 36,317 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 29,227 | 32,065 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 11,570 | 12,945 |
4 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 36,015 | 38,851 |
4 | COMM 2015-CCRE24 Mortgage Trust | 3.445% | 8/10/55 | 10,030 | 10,777 |
4 | COMM 2015-CCRE24 Mortgage Trust | 3.696% | 8/10/55 | 19,415 | 21,531 |
4 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 30,051 | 33,380 |
4 | COMM 2015-CCRE26 Mortgage Trust | 3.630% | 10/10/48 | 28,350 | 31,110 |
4 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 16,875 | 18,617 |
4 | COMM 2015-CCRE27 Mortgage Trust | 4.472% | 10/10/48 | 8,118 | 8,435 |
4 | COMM 2015-LC19 Mortgage Trust | 3.040% | 2/10/48 | 4,330 | 4,581 |
4 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 18,400 | 19,737 |
7 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 19,400 | 19,688 |
7 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 38,330 | 39,054 |
4,7 | Core Industrial Trust 2015-TEXW | 3.077% | 2/10/34 | 42,700 | 45,014 |
4 | Credit Suisse Commercial Mortgage Trust Series 2008- | ||||
C1 | 6.065% | 2/15/41 | 34,764 | 36,554 | |
4 | CSAIL 2015-C1 Commercial Mortgage Trust | 3.505% | 4/15/50 | 14,528 | 15,927 |
4 | CSAIL 2015-C2 Commercial Mortgage Trust | 3.504% | 6/15/57 | 42,350 | 46,163 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 3.718% | 8/15/48 | 32,925 | 36,380 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 4.111% | 8/15/48 | 9,780 | 10,807 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 4.361% | 8/15/48 | 10,600 | 10,969 |
4 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 39,572 | 43,998 |
4 | CSAIL 2016-C5 Commercial Mortgage Trust | 4.538% | 11/15/48 | 7,660 | 8,147 |
4,7 | DB Master Finance LLC 2015-1A | 3.262% | 2/20/45 | 10,346 | 10,438 |
5
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | DBJPM 16-C1 Mortgage Trust | 3.352% | 5/10/49 | 2,050 | 2,010 |
4 | Discover Card Execution Note Trust 2012-A6 | 1.670% | 1/18/22 | 114,300 | 115,702 |
4,6 | Discover Card Execution Note Trust 2013-A1 | 0.781% | 8/17/20 | 21,430 | 21,434 |
4 | Discover Card Execution Note Trust 2014-A4 | 2.120% | 12/15/21 | 50,450 | 51,626 |
4 | Discover Card Execution Note Trust 2015-A4 | 2.190% | 4/17/23 | 47,660 | 49,061 |
4,7 | Drive Auto Receivables Trust 2015-AA | 2.280% | 6/17/19 | 15,513 | 15,562 |
4,7 | Drive Auto Receivables Trust 2015-AA | 3.060% | 5/17/21 | 8,060 | 8,138 |
4,7 | Drive Auto Receivables Trust 2015-AA | 4.120% | 7/15/22 | 5,860 | 5,931 |
4,7 | Drive Auto Receivables Trust 2015-BA | 1.300% | 6/15/18 | 1,412 | 1,412 |
4,7 | Drive Auto Receivables Trust 2015-BA | 2.120% | 6/17/19 | 7,210 | 7,220 |
4,7 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 17,610 | 17,711 |
4,7 | Drive Auto Receivables Trust 2015-BA | 3.840% | 7/15/21 | 10,490 | 10,605 |
4,7 | Drive Auto Receivables Trust 2015-CA | 2.230% | 9/16/19 | 14,405 | 14,415 |
4,7 | Drive Auto Receivables Trust 2015-CA | 3.010% | 5/17/21 | 21,610 | 21,794 |
4,7 | Drive Auto Receivables Trust 2015-CA | 4.200% | 9/15/21 | 15,845 | 16,145 |
4,7 | Drive Auto Receivables Trust 2015-DA | 1.590% | 12/17/18 | 21,900 | 21,911 |
4,7 | Drive Auto Receivables Trust 2015-DA | 2.590% | 12/16/19 | 24,600 | 24,715 |
4,7 | Drive Auto Receivables Trust 2015-DA | 3.380% | 11/15/21 | 24,600 | 25,060 |
4,7 | Drive Auto Receivables Trust 2015-DA | 4.590% | 1/17/23 | 25,000 | 25,994 |
4,7 | Drive Auto Receivables Trust 2016-AA | 2.110% | 5/15/19 | 32,980 | 33,089 |
4,7 | Drive Auto Receivables Trust 2016-AA | 3.910% | 5/17/21 | 7,780 | 7,993 |
4,7 | Drive Auto Receivables Trust 2016-BA | 1.670% | 7/15/19 | 5,400 | 5,400 |
4,7 | Drive Auto Receivables Trust 2016-BA | 2.560% | 6/15/20 | 9,290 | 9,348 |
4,7 | Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 15,770 | 15,966 |
4,7 | Drive Auto Receivables Trust 2016-BA | 4.530% | 8/15/23 | 22,190 | 22,723 |
4,6,7 | Edsouth Indenture No. 9 LLC 2015-1 | 1.288% | 10/25/56 | 27,557 | 26,544 |
4,7 | Enterprise Fleet Financing LLC Series 2015-1 | 1.740% | 9/20/20 | 11,850 | 11,832 |
4,7 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 24,390 | 24,524 |
4,7 | Enterprise Fleet Financing LLC Series 2016-2 | 2.040% | 2/22/22 | 9,650 | 9,649 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.638% | 5/25/25 | 2,806 | 2,807 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.688% | 5/25/25 | 6,021 | 6,029 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.988% | 7/25/25 | 11,051 | 11,082 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.988% | 7/25/25 | 14,604 | 14,658 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C04 | 2.088% | 4/25/28 | 18,537 | 18,564 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C04 | 2.188% | 4/25/28 | 8,912 | 8,972 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2016-C04 | 1.943% | 1/25/29 | 7,130 | 7,130 |
4,8 | First Horizon Mortgage Pass-Through Trust 2006-AR3 | 2.087% | 11/25/36 | 9,761 | 8,534 |
8 | First Horizon Mortgage Pass-Through Trust 2006-AR4 | 2.742% | 1/25/37 | 20,527 | 18,009 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 7,546 | 7,546 |
4 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 8,390 | 8,401 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 16,775 | 16,763 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.920% | 3/15/19 | 16,270 | 16,097 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.720% | 7/15/19 | 12,800 | 12,839 |
4,7 | Ford Credit Auto Owner Trust 2014-REV1 | 2.260% | 11/15/25 | 20,918 | 21,300 |
4,7 | Ford Credit Auto Owner Trust 2014-REV1 | 2.410% | 11/15/25 | 9,831 | 9,870 |
4,7 | Ford Credit Auto Owner Trust 2014-REV2 | 2.310% | 4/15/26 | 32,410 | 33,081 |
4,7 | Ford Credit Auto Owner Trust 2014-REV2 | 2.510% | 4/15/26 | 7,475 | 7,537 |
4 | Ford Credit Auto Owner Trust 2015-B | 2.040% | 10/15/20 | 12,700 | 12,842 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.010% | 3/15/21 | 12,035 | 12,159 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.260% | 3/15/22 | 5,380 | 5,456 |
4,7 | Ford Credit Auto Owner Trust 2015-REV1 | 2.120% | 7/15/26 | 22,750 | 23,077 |
4,7 | Ford Credit Auto Owner Trust 2015-REV2 | 2.440% | 1/15/27 | 61,000 | 62,576 |
4 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 7,040 | 7,052 |
4,7 | Ford Credit Auto Owner Trust 2016-REV1 | 2.310% | 8/15/27 | 23,690 | 24,185 |
4,7 | Ford Credit Auto Owner Trust 2016-REV2 | 2.030% | 12/15/27 | 78,040 | 78,508 |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-2 | 1.920% | 1/15/19 | 26,574 | 26,677 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.490% | 9/15/19 | 117,285 | 117,599 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.690% | 9/15/19 | 7,100 | 7,107 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 2.140% | 9/15/19 | 8,550 | 8,592 |
6
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.100% | 6/15/20 | 6,180 | 6,224 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.290% | 6/15/20 | 6,630 | 6,682 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.790% | 6/15/20 | 2,650 | 2,664 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 1.400% | 2/15/19 | 10,238 | 10,235 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 2.310% | 2/15/21 | 4,473 | 4,524 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-2 | 0.981% | 2/15/21 | 9,200 | 9,177 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-4 | 1.400% | 8/15/19 | 68,275 | 68,394 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2015-2 | 1.980% | 1/15/22 | 9,396 | 9,461 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2015-5 | 2.390% | 8/15/22 | 72,600 | 74,947 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2016-3 | 1.103% | 7/15/21 | 62,180 | 62,204 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2016-4 | 1.012% | 7/15/20 | 48,100 | 48,111 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA2 | 1.738% | 10/25/28 | 4,232 | 4,246 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA2 | 2.688% | 10/25/28 | 2,570 | 2,592 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA3 | 1.588% | 12/25/28 | 6,423 | 6,437 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA3 | 2.488% | 12/25/28 | 6,490 | 6,555 | |
4,7 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 3,311 | 3,260 |
4,7 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 28,303 | 27,715 |
4 | GE Capital Credit Card Master Note Trust Series 2012-2 | 2.220% | 1/15/22 | 72,000 | 73,354 |
4 | GE Capital Credit Card Master Note Trust Series 2012-6 | 1.360% | 8/17/20 | 89,890 | 90,010 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-2 | 1.237% | 4/22/19 | 47,694 | 47,803 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2015-2 | 1.137% | 1/20/22 | 21,530 | 21,468 |
4,7 | GM Financial Automobile Leasing Trust 2014-1A | 1.760% | 5/21/18 | 7,900 | 7,912 |
4 | GM Financial Automobile Leasing Trust 2015-1 | 1.730% | 6/20/19 | 6,350 | 6,347 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 2.420% | 7/22/19 | 6,120 | 6,188 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 2.990% | 7/22/19 | 5,440 | 5,457 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 1.690% | 3/20/19 | 22,980 | 23,111 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 1.810% | 11/20/19 | 2,380 | 2,382 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 2.320% | 11/20/19 | 3,550 | 3,579 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 2.980% | 11/20/19 | 7,820 | 7,830 |
4 | GM Financial Automobile Leasing Trust 2016-2 | 2.580% | 3/20/20 | 6,500 | 6,496 |
4 | GM Financial Leasing Trust 2015-3 | 3.480% | 8/20/20 | 7,820 | 7,724 |
4 | GMACM Mortgage Loan Trust 2005-AR6 | 3.078% | 11/19/35 | 3,664 | 3,415 |
4,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 58,850 | 58,535 |
4,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 9,360 | 9,293 |
4,6,7 | GMF Floorplan Owner Revolving Trust 2016-1 | 1.331% | 5/17/21 | 43,520 | 43,584 |
4,7 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.410% | 5/17/21 | 12,009 | 12,105 |
4,7 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.850% | 5/17/21 | 8,830 | 8,875 |
4,7 | Golden Credit Card Trust 2012-2A | 1.770% | 1/15/19 | 63,659 | 63,825 |
4,6,7 | Golden Credit Card Trust 2015-1A | 0.921% | 2/15/20 | 59,900 | 59,801 |
4,7 | Golden Credit Card Trust 2015-2A | 2.020% | 4/15/22 | 53,490 | 54,018 |
4,7 | GRACE 2014-GRCE Mortgage Trust | 3.369% | 6/10/28 | 20,500 | 21,975 |
4,7 | GreatAmerica Leasing Receivables Funding LLC Series | ||||
2013-1 | 1.160% | 5/15/18 | 4,756 | 4,752 | |
4,7 | GreatAmerica Leasing Receivables Funding LLC Series | ||||
2015-1 | 2.020% | 6/21/21 | 4,920 | 4,961 | |
4,7 | GS Mortgage Securities Trust 2010-C2 | 5.184% | 12/10/43 | 3,530 | 3,986 |
4,7 | GS Mortgage Securities Trust 2011-GC3 | 5.633% | 3/10/44 | 2,280 | 2,534 |
4,7 | GS Mortgage Securities Trust 2012-ALOHA | 3.550% | 4/10/34 | 32,716 | 35,530 |
4,7 | GS Mortgage Securities Trust 2012-BWTR | 2.954% | 11/5/34 | 36,047 | 37,492 |
7
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,000 | 1,135 |
4 | GS Mortgage Securities Trust 2012-GCJ7 | 5.729% | 5/10/45 | 7,150 | 7,946 |
4 | GS Mortgage Securities Trust 2013-GC13 | 4.034% | 7/10/46 | 22,170 | 25,187 |
4,7 | GS Mortgage Securities Trust 2013-GC13 | 4.067% | 7/10/46 | 5,650 | 5,849 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 12,580 | 13,424 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 8,250 | 8,876 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 21,619 | 22,124 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 8,192 | 8,828 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 16,880 | 18,890 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 49,405 | 56,317 |
4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 40,613 | 45,359 |
4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 41,628 | 46,523 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 13,246 | 14,752 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.508% | 9/10/47 | 10,665 | 12,119 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.529% | 9/10/47 | 17,556 | 18,509 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 18,190 | 20,009 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 40,515 | 43,582 |
4 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 24,410 | 26,413 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 30,570 | 34,037 |
4 | GS Mortgage Securities Trust 2015-GC32 | 4.402% | 7/10/48 | 6,520 | 7,407 |
4 | GS Mortgage Securities Trust 2015-GC32 | 4.412% | 7/10/48 | 2,850 | 2,962 |
4 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 27,880 | 30,162 |
4 | GS Mortgage Securities Trust 2015-GC34 | 4.466% | 10/10/48 | 12,080 | 13,622 |
4 | GS Mortgage Securities Trust 2015-GC34 | 4.655% | 10/10/48 | 12,080 | 12,771 |
7 | GTP Acquisition Partners I LLC | 3.482% | 6/16/25 | 26,340 | 26,538 |
4,7 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 55,039 | 55,415 |
4,7 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 60,810 | 60,707 |
4,7 | Hertz Vehicle Financing LLC 2015-3 | 2.670% | 9/25/21 | 13,570 | 13,785 |
4,7 | Hertz Vehicle Financing LLC 2016-2 | 2.950% | 3/25/22 | 37,300 | 38,230 |
4,7 | Hertz Vehicle Financing LLC 2016-3 | 2.270% | 7/25/20 | 27,570 | 27,676 |
4,7 | Hertz Vehicle Financing LLC 2016-4 | 2.650% | 7/25/22 | 35,410 | 35,770 |
4,7 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 15,740 | 15,842 |
4,7 | Hilton USA Trust 2013-HLT | 3.367% | 11/5/30 | 16,365 | 16,488 |
4,7 | Hilton USA Trust 2013-HLT | 3.714% | 11/5/30 | 7,365 | 7,422 |
4,7 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 30,910 | 32,202 |
4,7 | Hudsons Bay Simon JV Trust 2015-HB7 | 3.914% | 8/5/34 | 14,750 | 15,710 |
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 | 10,078 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-A | 1.650% | 8/15/19 | 21,000 | 21,057 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-A | 2.070% | 11/15/19 | 21,250 | 21,278 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-B | 2.210% | 5/15/20 | 16,395 | 16,504 |
4,7 | Hyundai Auto Lease Securitization Trust 2016-A | 1.800% | 12/16/19 | 12,330 | 12,335 |
4 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 8,051 | 8,053 |
4 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 9,790 | 9,875 |
4 | Hyundai Auto Receivables Trust 2013-C | 2.480% | 3/15/19 | 6,500 | 6,545 |
4 | Hyundai Auto Receivables Trust 2013-C | 3.090% | 1/15/20 | 5,470 | 5,546 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 8,350 | 8,324 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 5,710 | 5,692 |
4 | Hyundai Auto Receivables Trust 2014-B | 2.100% | 11/15/19 | 10,050 | 10,038 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.150% | 11/15/21 | 3,510 | 3,548 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.550% | 11/15/21 | 8,360 | 8,506 |
4,7 | Hyundai Floorplan Master Owner Trust Series 2016-1A | 1.810% | 3/15/21 | 16,000 | 16,023 |
4,7 | Icon Brands Holdings LLC 2012-1 | 4.229% | 1/25/43 | 14,692 | 13,230 |
6 | Illinois Student Assistance Commission Series 2010-1 | 1.765% | 4/25/22 | 9,526 | 9,534 |
4,6,7 | Invitation Homes 2014-SFR1 Trust | 1.982% | 6/17/31 | 29,351 | 29,274 |
4,6,7 | Invitation Homes 2014-SFR2 Trust | 1.582% | 9/17/31 | 11,481 | 11,416 |
4,6,7 | Invitation Homes 2014-SFR2 Trust | 2.082% | 9/17/31 | 8,980 | 8,931 |
4,6,7 | Invitation Homes 2015-SFR2 Trust | 1.828% | 6/17/32 | 7,366 | 7,339 |
4,6,7 | Invitation Homes 2015-SFR2 Trust | 2.128% | 6/17/32 | 2,850 | 2,820 |
4,6,7 | Invitation Homes 2015-SFR3 Trust | 2.193% | 8/17/32 | 3,200 | 3,176 |
4,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 14,450 | 15,421 |
4 | John Deere Owner Trust 2015-B | 1.780% | 6/15/22 | 3,590 | 3,609 |
4 | John Deere Owner Trust 2016-B | 1.490% | 5/15/23 | 5,445 | 5,439 |
8
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-C1 | 5.716% | 2/15/51 | 4,254 | 4,341 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.746% | 2/12/51 | 37,549 | 38,792 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP10 | 5.439% | 1/15/49 | 33,836 | 34,316 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.850% | 2/15/51 | 25,355 | 26,078 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2009-IWST | 5.633% | 12/5/27 | 6,185 | 6,889 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C1 | 4.608% | 6/15/43 | 2,244 | 2,413 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 3.616% | 11/15/43 | 2,647 | 2,700 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 4.070% | 11/15/43 | 3,140 | 3,402 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.558% | 11/15/43 | 7,100 | 7,539 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.558% | 11/15/43 | 6,225 | 6,801 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.388% | 2/15/46 | 17,600 | 18,277 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 26,091 | 28,896 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 5.360% | 2/15/46 | 2,930 | 3,197 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.321% | 8/15/46 | 4,100 | 4,734 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 18,490 | 20,030 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 13,145 | 13,777 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 4,030 | 4,268 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-CIBX | 4.271% | 6/15/45 | 27,000 | 29,896 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 5,850 | 6,124 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-LC9 | 2.840% | 12/15/47 | 40,130 | 42,058 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C13 | 3.994% | 1/15/46 | 14,110 | 15,753 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C13 | 4.053% | 1/15/46 | 9,350 | 9,605 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 9,630 | 10,464 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 1,300 | 1,454 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.166% | 12/15/46 | 9,700 | 10,973 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.517% | 12/15/46 | 14,600 | 16,534 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.910% | 12/15/46 | 21,150 | 24,554 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.975% | 12/15/46 | 9,770 | 10,749 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 1.855% | 4/15/46 | 3,419 | 3,447 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 14,181 | 14,924 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 17,080 | 18,781 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.025% | 7/15/45 | 7,520 | 8,291 |
9
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 17,400 | 18,959 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.133% | 8/15/46 | 11,000 | 12,432 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 9,746 | 10,038 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 4,050 | 4,400 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.131% | 11/15/45 | 27,200 | 30,792 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.927% | 11/15/45 | 17,820 | 20,559 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 5.046% | 11/15/45 | 13,360 | 14,667 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 22,300 | 25,370 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.079% | 2/15/47 | 30,580 | 34,562 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.439% | 2/15/47 | 12,950 | 14,557 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.813% | 2/15/47 | 13,200 | 15,196 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.813% | 2/15/47 | 5,850 | 6,335 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.428% | 8/15/47 | 8,370 | 9,014 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.639% | 11/15/47 | 10,310 | 11,362 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.231% | 1/15/48 | 22,830 | 24,334 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.494% | 1/15/48 | 48,480 | 52,799 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C27 | 3.179% | 2/15/48 | 9,725 | 10,358 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.551% | 7/15/48 | 23,680 | 25,931 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.559% | 7/15/48 | 8,089 | 8,793 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.822% | 7/15/48 | 40,150 | 44,737 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 4.226% | 7/15/48 | 15,901 | 17,938 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C31 | 3.801% | 8/15/48 | 9,210 | 10,196 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C32 | 3.598% | 11/15/48 | 16,990 | 18,654 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C33 | 3.562% | 12/15/48 | 5,571 | 6,080 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C33 | 3.770% | 12/15/48 | 36,750 | 40,908 | |
4,6,7 | Lanark Master Issuer plc 2013-1A | 1.154% | 12/22/54 | 13,002 | 12,987 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 7,089 | 7,091 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 904 | 904 |
4 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.387% | 2/15/40 | 28,023 | 28,404 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 26,245 | 27,238 |
4,7 | LCCM 2014-909 Mortgage Trust | 3.388% | 5/15/31 | 18,640 | 19,694 |
4,7 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 12,460 | 13,476 |
4 | MASTR Adjustable Rate Mortgages Trust 2004-3 | 2.736% | 4/25/34 | 1,078 | 993 |
4,6 | MBNA Credit Card Master Note Trust 2004-A3 | 0.741% | 8/16/21 | 89,145 | 88,888 |
4 | Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 18,610 | 18,648 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.750% | 12/15/21 | 21,700 | 21,957 |
4,6,7 | Mercedes-Benz Master Owner Trust 2015-B | 0.861% | 4/15/20 | 9,160 | 9,143 |
4 | Merrill Lynch Mortgage Investors Trust MLMI Series | ||||
2003-A2 | 2.487% | 2/25/33 | 2,009 | 1,941 |
10
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Merrill Lynch Mortgage Investors Trust MLMI Series | ||||
2003-A4 | 3.136% | 7/25/33 | 561 | 549 | |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 8,005 | 8,305 |
4,7 | Miramax LLC 2014-1A | 3.340% | 7/20/26 | 3,221 | 3,230 |
4 | ML-CFC Commercial Mortgage Trust 2007-6 | 5.331% | 3/12/51 | 2,179 | 2,176 |
4,7 | MMAF Equipment Finance LLC 2011-AA | 3.040% | 8/15/28 | 26,749 | 26,990 |
4,7 | MMAF Equipment Finance LLC 2012-AA | 1.980% | 6/10/32 | 13,700 | 13,809 |
4,7 | MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 33,860 | 34,720 |
4,7 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 1,360 | 1,366 |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 21,300 | 22,618 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 2,000 | 2,158 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 5,700 | 6,024 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.083% | 7/15/46 | 27,100 | 30,545 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.083% | 7/15/46 | 3,372 | 3,470 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.085% | 8/15/46 | 8,871 | 9,038 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.960% | 8/15/46 | 8,445 | 9,429 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.213% | 8/15/46 | 45,116 | 51,314 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.824% | 10/15/46 | 8,080 | 8,815 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 4.259% | 10/15/46 | 3,830 | 4,353 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 8,300 | 9,277 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 6,400 | 6,727 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 2,940 | 3,093 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 27,425 | 29,141 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 16,600 | 18,666 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 2/15/47 | 17,500 | 19,667 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 3.773% | 4/15/47 | 43,080 | 47,629 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.051% | 4/15/47 | 22,440 | 25,227 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.895% | 4/15/47 | 1,895 | 2,042 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 36,935 | 41,041 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.094% | 6/15/47 | 9,540 | 10,547 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.324% | 6/15/47 | 12,300 | 13,776 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.757% | 6/15/47 | 12,300 | 13,151 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 3.741% | 8/15/47 | 32,178 | 35,697 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 4.011% | 8/15/47 | 5,340 | 5,875 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 11,150 | 12,450 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.326% | 12/15/47 | 14,610 | 15,534 |
11
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.526% | 12/15/47 | 8,220 | 8,906 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.069% | 2/15/48 | 8,060 | 8,464 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.249% | 2/15/48 | 45,626 | 48,858 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.306% | 4/15/48 | 37,038 | 39,918 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.719% | 7/15/50 | 24,660 | 27,339 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.479% | 5/15/48 | 20,280 | 22,004 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.732% | 5/15/48 | 33,585 | 37,149 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.383% | 10/15/48 | 12,060 | 12,879 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.635% | 10/15/48 | 11,700 | 12,869 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 3.325% | 5/15/49 | 8,190 | 8,800 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 4.754% | 5/15/49 | 2,210 | 2,336 | |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 8,796 | 8,832 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.906% | 6/11/49 | 25,846 | 26,708 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 43,875 | 45,362 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 16,052 | 17,053 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,500 | 2,700 |
4,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 17,045 | 17,993 |
4,7 | Morgan Stanley Capital I Trust 2014-150E | 3.912% | 9/9/32 | 27,955 | 30,582 |
4,7 | Morgan Stanley Capital I Trust 2014-CPT | 3.350% | 7/13/29 | 24,440 | 25,935 |
4,7 | Morgan Stanley Capital I Trust 2015-420 | 3.727% | 10/11/50 | 28,871 | 31,704 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 36,319 | 40,615 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 4.591% | 12/15/48 | 11,440 | 12,033 |
4 | Morgan Stanley Mortgage Loan Trust 2006-8AR | 2.595% | 6/25/36 | 8,924 | 7,846 |
4,7 | MSBAM Commercial Mortgage Securities Trust 2012- | ||||
CKSV | 3.277% | 10/15/30 | 37,985 | 39,417 | |
7 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 10,720 | 10,991 |
4,6 | Navient Student Loan Trust 2015-3 | 1.138% | 6/26/56 | 23,540 | 22,450 |
4,6,7 | Navient Student Loan Trust 2016-3 | 1.338% | 6/25/65 | 7,990 | 8,003 |
4,6 | New Mexico Educational Assistance Foundation 2013-1 | 1.167% | 1/2/25 | 21,329 | 21,046 |
4,7 | NextGear Floorplan Master Owner Trust 2016-1A | 2.740% | 4/15/21 | 15,220 | 15,287 |
4 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 5,380 | 5,400 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 7,870 | 7,973 |
4 | Nissan Master Owner Trust Receivables Series 2015-A | 1.440% | 1/15/20 | 12,139 | 12,139 |
4,6 | Nissan Master Owner Trust Receivables Series 2016-A | 1.119% | 6/15/21 | 84,410 | 84,444 |
6 | North Carolina State Education Assistance Authority | ||||
2011-1 | 1.614% | 1/26/26 | 13,597 | 13,579 | |
4,7 | OBP Depositor LLC Trust 2010-OBP | 4.646% | 7/15/45 | 10,065 | 11,071 |
4,7 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 8,360 | 8,453 |
4,6,7 | PFS Financing Corp. 2014-AA | 1.081% | 2/15/19 | 8,300 | 8,289 |
4,6,7 | PFS Financing Corp. 2015-AA | 1.101% | 4/15/20 | 10,150 | 10,068 |
4,7 | Porsche Innovative Lease Owner Trust 2015-1 | 1.430% | 5/21/21 | 14,440 | 14,410 |
4,6,7 | Progress Residential 2015-SFR1 Trust | 2.333% | 2/17/32 | 970 | 969 |
4,7 | Progress Residential 2015-SFR2 Trust | 2.740% | 6/12/32 | 7,286 | 7,388 |
4,7 | Progress Residential 2015-SFR3 Trust | 3.067% | 11/12/32 | 25,205 | 25,895 |
4,7 | Progress Residential 2015-SFR3 Trust | 3.733% | 11/12/32 | 9,310 | 9,613 |
4,6,7 | Resimac Premier Series 2014-1 | 1.356% | 12/12/45 | 12,471 | 12,415 |
4,6,7 | Resimac Premier Series 2016-1 | 1.864% | 10/10/47 | 60,542 | 60,591 |
4,8 | RFMSI Series 2006-SA2 Trust | 3.997% | 8/25/36 | 20,108 | 17,054 |
4,8 | RFMSI Series 2006-SA3 Trust | 3.879% | 9/25/36 | 7,555 | 6,006 |
Royal Bank of Canada | 2.200% | 9/23/19 | 26,298 | 26,937 | |
Royal Bank of Canada | 2.100% | 10/14/20 | 31,900 | 32,651 | |
4 | Royal Bank of Canada | 1.875% | 2/5/21 | 24,700 | 25,032 |
Royal Bank of Canada | 2.300% | 3/22/21 | 23,218 | 23,890 |
12
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 18,448 | 18,484 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 1,398 | 1,399 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 1.490% | 6/17/19 | 5,170 | 5,174 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 3.490% | 5/17/21 | 14,985 | 15,322 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 1.580% | 9/16/19 | 7,040 | 7,051 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 2.260% | 6/15/20 | 24,580 | 24,769 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 2.970% | 3/15/21 | 24,580 | 25,022 |
4 | Santander Drive Auto Receivables Trust 2016-1 | 2.470% | 12/15/20 | 24,440 | 24,756 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 2.080% | 2/16/21 | 6,995 | 7,018 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 2.660% | 11/15/21 | 4,600 | 4,651 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 3.390% | 4/15/22 | 4,120 | 4,169 |
7 | SBA Tower Trust | 3.156% | 10/15/20 | 10,760 | 11,038 |
4,6,7 | Silver Bay Realty 2014-1 Trust | 1.482% | 9/17/31 | 10,458 | 10,346 |
4,6,7 | Silver Bay Realty 2014-1 Trust | 1.932% | 9/17/31 | 6,500 | 6,429 |
4,7 | SLM Private Education Loan Trust 2011-A | 4.370% | 4/17/28 | 11,669 | 11,918 |
4,7 | SLM Private Education Loan Trust 2011-B | 3.740% | 2/15/29 | 59,833 | 61,179 |
4,7 | SLM Private Education Loan Trust 2011-C | 4.540% | 10/17/44 | 19,350 | 20,110 |
4,7 | SLM Private Education Loan Trust 2012-B | 3.480% | 10/15/30 | 11,013 | 11,224 |
4,6,7 | SLM Private Education Loan Trust 2012-E | 1.231% | 10/16/23 | 3,069 | 3,068 |
4,6,7 | SLM Private Education Loan Trust 2013-A | 1.531% | 5/17/27 | 24,000 | 23,977 |
4,7 | SLM Private Education Loan Trust 2013-A | 2.500% | 3/15/47 | 8,000 | 7,775 |
4,7 | SLM Private Education Loan Trust 2013-B | 1.850% | 6/17/30 | 14,650 | 14,606 |
4,7 | SLM Private Education Loan Trust 2013-B | 3.000% | 5/16/44 | 14,700 | 14,420 |
4,7 | SLM Private Education Loan Trust 2013-C | 3.500% | 6/15/44 | 5,860 | 5,897 |
4,7 | SLM Private Education Loan Trust 2014-A | 2.590% | 1/15/26 | 4,500 | 4,562 |
4,7 | SLM Private Education Loan Trust 2014-A | 3.500% | 11/15/44 | 4,100 | 4,014 |
4,6 | SLM Student Loan Trust 2005-5 | 0.815% | 4/25/25 | 25,295 | 25,087 |
4,6 | SLM Student Loan Trust 2005-9 | 0.835% | 1/27/25 | 1,983 | 1,979 |
4 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 6,594 | 6,584 |
4 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 9,676 | 9,654 |
4,7 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 14,040 | 14,232 |
4,6,7 | SMB Private Education Loan Trust 2016-B | 1.935% | 2/17/32 | 12,690 | 12,690 |
4,7 | SoFi Professional Loan Program 2016-B LLC | 2.740% | 10/25/32 | 9,990 | 10,171 |
4,7 | SoFi Professional Loan Program 2016-C LLC | 2.360% | 12/25/32 | 6,120 | 6,098 |
4,7 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 24,490 | 24,673 |
7 | Stadshypotek AB | 1.750% | 4/9/20 | 35,833 | 36,081 |
4,6,7 | SWAY Residential 2014-1 Trust | 1.782% | 1/17/32 | 22,693 | 22,564 |
4 | Synchrony Credit Card Master Note Trust 2015-1 | 2.370% | 3/15/23 | 14,500 | 14,880 |
4 | Synchrony Credit Card Master Note Trust 2015-4 | 2.380% | 9/15/23 | 40,360 | 41,384 |
4 | Synchrony Credit Card Master Note Trust 2016-1 | 2.390% | 3/15/22 | 48,153 | 48,542 |
4,7 | Taco Bell Funding LLC 2016-1 | 3.832% | 5/25/46 | 8,881 | 8,990 |
4,7 | Taco Bell Funding LLC 2016-1 | 4.377% | 5/25/46 | 8,554 | 8,830 |
4,7 | Taco Bell Funding LLC 2016-1 | 4.970% | 5/25/46 | 13,719 | 14,227 |
4,7 | Tidewater Auto Receivables Trust 2016-AA | 2.300% | 9/15/19 | 12,816 | 12,811 |
4,7 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 22,300 | 24,196 |
7 | Toronto-Dominion Bank | 1.950% | 4/2/20 | 35,735 | 36,308 |
7 | Toronto-Dominion Bank | 2.250% | 3/15/21 | 29,330 | 30,098 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 1.174% | 12/10/18 | 38,953 | 38,774 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 1.724% | 12/10/18 | 5,640 | 5,604 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 2.724% | 12/10/18 | 3,095 | 3,073 |
4,6,7 | Trafigura Securitisation Finance plc 2014-1A | 1.431% | 10/15/18 | 20,770 | 20,568 |
4,6,7 | Trillium Credit Card Trust II 2016-1A | 1.210% | 5/26/21 | 125,220 | 125,249 |
4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,250 | 1,381 |
4,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 24,595 | 26,333 |
4 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 8,915 | 9,389 |
4,7 | Verizon Owner Trust 2016-1A | 1.420% | 1/20/21 | 14,076 | 14,080 |
4,7 | VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 13,250 | 14,025 |
4,7 | VNDO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 11,130 | 12,051 |
4,7 | VNDO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 3,270 | 3,498 |
4,7 | VNDO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 2,450 | 2,580 |
4,7 | Volkswagen Credit Auto Master Owner Trust 2014-1A | 1.400% | 7/22/19 | 46,804 | 46,569 |
4,7 | Volvo Financial Equipment LLC Series 2015-1A | 1.910% | 1/15/20 | 9,160 | 9,186 |
4,7 | Volvo Financial Equipment LLC Series 2016-1A | 1.890% | 9/15/20 | 9,220 | 9,293 |
13
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.572% | 10/15/48 | 10,136 | 10,127 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.297% | 11/15/48 | 27,519 | 27,708 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2002-AR18 Trust | 2.761% | 1/25/33 | 184 | 178 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2003-AR7 Trust | 2.675% | 8/25/33 | 1,073 | 1,047 | |
4 | WaMu Mortgage Pass-Through Certificates Series | ||||
2003-AR9 Trust | 2.516% | 9/25/33 | 1,548 | 1,558 | |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 29,967 | 31,802 |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 1,650 | 1,773 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 8,075 | 8,838 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 34,646 | 39,229 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.297% | 7/15/46 | 4,906 | 5,488 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.477% | 8/15/50 | 17,100 | 18,348 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.817% | 8/15/50 | 43,100 | 47,958 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.020% | 8/15/50 | 7,100 | 7,855 |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.322% | 8/15/50 | 12,250 | 13,658 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.458% | 8/15/50 | 6,830 | 7,279 | |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.244% | 12/15/47 | 31,900 | 33,901 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 2,255 | 2,443 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 2.991% | 2/15/48 | 13,450 | 14,041 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 3.166% | 2/15/48 | 16,400 | 17,476 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 13,555 | 14,414 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.278% | 2/15/48 | 8,570 | 9,128 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.451% | 2/15/48 | 26,050 | 28,191 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.400% | 6/15/48 | 4,194 | 4,497 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 37,995 | 41,687 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 4.225% | 6/15/48 | 12,420 | 12,721 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.411% | 9/15/58 | 34,310 | 37,237 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/58 | 20,610 | 22,812 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.067% | 9/15/58 | 17,222 | 18,839 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.496% | 9/15/58 | 11,490 | 12,005 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 24,490 | 27,319 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.207% | 9/15/58 | 8,550 | 9,462 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.539% | 9/15/58 | 3,200 | 3,642 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.539% | 9/15/58 | 14,300 | 14,831 |
4 | Wells Fargo Commercial Mortgage Trust 2015-SG1 | 3.556% | 12/15/47 | 7,730 | 8,358 |
4 | Wells Fargo Commercial Mortgage Trust 2015-SG1 | 3.789% | 12/15/47 | 23,195 | 25,813 |
4 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 21,780 | 23,917 |
4,8 | Wells Fargo Mortgage Backed Securities 2006-AR14 | ||||
Trust | 2.751% | 10/25/36 | 15,853 | 14,967 | |
4,7 | Wendys Funding LLC 2015-1A | 3.371% | 6/15/45 | 11,488 | 11,498 |
4,7 | Wendys Funding LLC 2015-1A | 4.080% | 6/15/45 | 16,208 | 16,437 |
4,7 | Wendys Funding LLC 2015-1A | 4.497% | 6/15/45 | 6,441 | 6,476 |
7 | Westpac Banking Corp. | 2.000% | 3/3/20 | 39,860 | 40,516 |
7 | Westpac Banking Corp. | 2.250% | 11/9/20 | 23,930 | 24,471 |
7 | Westpac Banking Corp. | 2.100% | 2/25/21 | 9,615 | 9,779 |
4,7 | WFLD 2014-MONT Mortgage Trust | 3.755% | 8/10/31 | 35,485 | 39,132 |
4,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 11,545 | 12,776 |
4 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 10,955 | 11,603 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 11,630 | 12,588 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 5,056 | 5,575 |
4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 4,400 | 4,687 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 23,790 | 25,164 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,860 | 3,050 |
4 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 2,230 | 2,341 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 22,490 | 24,275 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 2,800 | 3,187 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 14,650 | 16,864 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 3,500 | 3,764 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 9,770 | 11,009 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 6,710 | 7,259 |
14
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 25,260 | 28,749 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.666% | 12/15/46 | 5,775 | 6,639 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 20,984 | 23,733 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 21,637 | 23,354 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 39,271 | 43,989 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.378% | 5/15/47 | 11,110 | 12,364 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.513% | 5/15/47 | 4,500 | 4,715 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 42,710 | 46,865 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.891% | 8/15/47 | 7,130 | 7,912 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 4.234% | 8/15/47 | 12,290 | 12,646 |
4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 8,285 | 9,246 |
4 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 17,840 | 19,595 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 2,100 | 2,252 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.766% | 3/15/47 | 1,300 | 1,429 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 40,488 | 45,460 |
4 | World Financial Network Credit Card Master Note Trust | ||||
Series 2013-A | 1.610% | 12/15/21 | 19,000 | 19,079 | |
4,6 | World Financial Network Credit Card Master Note Trust | ||||
Series 2015-A | 0.961% | 2/15/22 | 20,670 | 20,667 | |
4 | World Financial Network Credit Card Master Note Trust | ||||
Series 2016-A | 2.030% | 4/15/25 | 39,940 | 40,236 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2015-A | 1.730% | 12/15/20 | 6,555 | 6,569 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2016-A | 1.610% | 1/15/22 | 13,927 | 13,926 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $12,465,070) | 12,778,740 | ||||
Corporate Bonds (52.2%) | |||||
Finance (25.7%) | |||||
Banking (20.7%) | |||||
7 | ABN AMRO Bank NV | 1.800% | 6/4/18 | 28,325 | 28,548 |
7 | ABN AMRO Bank NV | 2.500% | 10/30/18 | 15,915 | 16,274 |
9 | ABN AMRO Bank NV | 3.250% | 4/9/20 | 5,000 | 3,818 |
4,10 | ABN AMRO Bank NV | 2.875% | 1/18/28 | 8,800 | 10,311 |
American Express Centurion Bank | 6.000% | 9/13/17 | 64,650 | 68,029 | |
American Express Co. | 6.150% | 8/28/17 | 19,963 | 21,017 | |
American Express Co. | 7.000% | 3/19/18 | 19,387 | 21,125 | |
American Express Credit Corp. | 1.550% | 9/22/17 | 11,440 | 11,485 | |
American Express Credit Corp. | 1.875% | 11/5/18 | 36,146 | 36,535 | |
American Express Credit Corp. | 2.125% | 3/18/19 | 17,349 | 17,738 | |
American Express Credit Corp. | 2.250% | 8/15/19 | 24,247 | 24,810 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 34,000 | 34,915 | |
American Express Credit Corp. | 2.600% | 9/14/20 | 18,542 | 19,162 | |
American Express Credit Corp. | 2.250% | 5/5/21 | 50,393 | 51,413 | |
7 | ANZ New Zealand International Ltd. | 1.750% | 3/29/18 | 29,305 | 29,466 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 14,042 | 14,166 | |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 16,600 | 16,646 | |
Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 31,080 | 31,538 | |
Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 13,400 | 13,659 | |
7 | Australia & New Zealand Banking Group Ltd. | 4.400% | 5/19/26 | 23,305 | 24,644 |
Bank of America Corp. | 6.500% | 8/1/16 | 81,244 | 81,242 | |
Bank of America Corp. | 5.420% | 3/15/17 | 21,197 | 21,726 | |
Bank of America Corp. | 5.700% | 5/2/17 | 6,525 | 6,731 | |
Bank of America Corp. | 6.400% | 8/28/17 | 14,568 | 15,348 | |
Bank of America Corp. | 6.000% | 9/1/17 | 43,443 | 45,569 | |
Bank of America Corp. | 2.000% | 1/11/18 | 36,484 | 36,728 | |
Bank of America Corp. | 6.875% | 4/25/18 | 47,676 | 51,928 | |
Bank of America Corp. | 5.650% | 5/1/18 | 15,500 | 16,576 | |
Bank of America Corp. | 1.950% | 5/12/18 | 29,300 | 29,505 | |
Bank of America Corp. | 6.500% | 7/15/18 | 7,949 | 8,676 | |
Bank of America Corp. | 2.600% | 1/15/19 | 121,824 | 124,723 | |
Bank of America Corp. | 2.625% | 4/19/21 | 16,299 | 16,626 | |
Bank of America NA | 5.300% | 3/15/17 | 9,760 | 10,008 |
15
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Bank of America NA | 6.100% | 6/15/17 | 6,429 | 6,695 | |
Bank of America NA | 1.650% | 3/26/18 | 70,815 | 71,243 | |
Bank of America NA | 1.750% | 6/5/18 | 53,480 | 53,869 | |
Bank of Montreal | 1.300% | 7/14/17 | 19,000 | 19,073 | |
Bank of Montreal | 1.400% | 9/11/17 | 10,557 | 10,594 | |
Bank of Montreal | 1.450% | 4/9/18 | 10,670 | 10,714 | |
Bank of Montreal | 1.400% | 4/10/18 | 28,357 | 28,455 | |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 8,100 | 8,169 | |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 3,460 | 3,537 | |
Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 43,940 | 45,035 | |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 29,290 | 30,138 | |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 21,000 | 21,491 | |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 19,120 | 19,862 | |
Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 10,236 | 10,574 | |
4 | Bank of New York Mellon Corp. | 4.625% | 12/29/49 | 9,750 | 9,726 |
Bank of Nova Scotia | 2.550% | 1/12/17 | 41,273 | 41,561 | |
Bank of Nova Scotia | 1.250% | 4/11/17 | 9,765 | 9,777 | |
Bank of Nova Scotia | 1.375% | 12/18/17 | 31,425 | 31,524 | |
Bank of Nova Scotia | 1.450% | 4/25/18 | 18,083 | 18,147 | |
Bank of Nova Scotia | 1.700% | 6/11/18 | 37,000 | 37,322 | |
Bank of Nova Scotia | 2.050% | 10/30/18 | 40,236 | 40,924 | |
Bank of Nova Scotia | 2.050% | 6/5/19 | 10,850 | 11,035 | |
Bank of Nova Scotia | 1.650% | 6/14/19 | 25,515 | 25,711 | |
Bank of Nova Scotia | 4.500% | 12/16/25 | 38,050 | 40,643 | |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.150% | 9/14/18 | 32,373 | 32,732 |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.300% | 3/10/19 | 11,750 | 11,948 |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.300% | 3/5/20 | 39,075 | 39,780 |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.750% | 9/14/20 | 27,975 | 28,835 |
7 | Banque Federative du Credit Mutuel SA | 2.750% | 10/15/20 | 47,435 | 48,999 |
7 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 32,415 | 33,242 |
Barclays Bank plc | 5.000% | 9/22/16 | 15,695 | 15,791 | |
Barclays plc | 2.750% | 11/8/19 | 34,554 | 34,849 | |
BB&T Corp. | 4.900% | 6/30/17 | 9,750 | 10,061 | |
BB&T Corp. | 1.600% | 8/15/17 | 6,820 | 6,860 | |
BB&T Corp. | 2.050% | 6/19/18 | 18,058 | 18,329 | |
BB&T Corp. | 2.450% | 1/15/20 | 24,415 | 25,206 | |
BB&T Corp. | 2.050% | 5/10/21 | 24,405 | 24,824 | |
Bear Stearns Cos. LLC | 5.550% | 1/22/17 | 24,436 | 24,922 | |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 38,076 | 40,321 | |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 21,551 | 23,413 | |
6,11 | Belfius Financing Co. | 1.288% | 2/9/17 | 2,900 | 3,801 |
BNP Paribas SA | 1.375% | 3/17/17 | 46,900 | 47,025 | |
BNP Paribas SA | 2.700% | 8/20/18 | 79,778 | 81,646 | |
BNP Paribas SA | 2.400% | 12/12/18 | 2,850 | 2,901 | |
BPCE SA | 1.625% | 2/10/17 | 11,475 | 11,505 | |
BPCE SA | 1.613% | 7/25/17 | 16,390 | 16,441 | |
BPCE SA | 1.625% | 1/26/18 | 1,761 | 1,768 | |
9 | BPCE SA | 4.500% | 4/17/18 | 7,800 | 6,080 |
BPCE SA | 2.500% | 12/10/18 | 77,265 | 79,020 | |
BPCE SA | 2.500% | 7/15/19 | 7,500 | 7,697 | |
9 | BPCE SA | 3.500% | 4/24/20 | 26,990 | 20,722 |
BPCE SA | 2.650% | 2/3/21 | 16,020 | 16,586 | |
10 | BPCE SA | 2.875% | 4/22/26 | 6,500 | 7,695 |
Branch Banking & Trust Co. | 5.625% | 9/15/16 | 9,510 | 9,564 | |
Branch Banking & Trust Co. | 1.000% | 4/3/17 | 25,400 | 25,427 | |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 29,280 | 29,372 | |
7 | Caisse Centrale Desjardins | 1.750% | 1/29/18 | 68,370 | 68,537 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 27,065 | 27,198 | |
Capital One Bank USA NA | 1.150% | 11/21/16 | 11,720 | 11,727 | |
Capital One Bank USA NA | 1.200% | 2/13/17 | 8,750 | 8,751 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 11,650 | 11,734 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 24,420 | 24,809 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 22,420 | 22,657 | |
Capital One Financial Corp. | 6.150% | 9/1/16 | 4,335 | 4,352 |
16
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Capital One Financial Corp. | 2.450% | 4/24/19 | 25,525 | 26,097 | |
Capital One NA | 1.500% | 9/5/17 | 17,570 | 17,593 | |
Capital One NA | 1.650% | 2/5/18 | 27,200 | 27,286 | |
Capital One NA | 1.500% | 3/22/18 | 60,395 | 60,183 | |
Citigroup Inc. | 1.350% | 3/10/17 | 15,084 | 15,102 | |
Citigroup Inc. | 1.850% | 11/24/17 | 60,550 | 60,856 | |
Citigroup Inc. | 1.800% | 2/5/18 | 36,140 | 36,302 | |
Citigroup Inc. | 1.700% | 4/27/18 | 83,010 | 83,238 | |
Citigroup Inc. | 1.750% | 5/1/18 | 54,775 | 54,983 | |
Citigroup Inc. | 2.150% | 7/30/18 | 7,400 | 7,487 | |
Citigroup Inc. | 2.500% | 9/26/18 | 55,110 | 56,202 | |
Citigroup Inc. | 2.550% | 4/8/19 | 43,747 | 44,792 | |
Citigroup Inc. | 2.500% | 7/29/19 | 21,060 | 21,552 | |
Citigroup Inc. | 4.600% | 3/9/26 | 9,410 | 10,109 | |
4,7,12 | Colonial BancGroup Inc. | 7.114% | 5/29/49 | 25,100 | 3 |
Commonwealth Bank of Australia | 1.125% | 3/13/17 | 9,750 | 9,758 | |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 53,400 | 53,578 | |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 19,030 | 19,178 | |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 12,885 | 12,959 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 59,680 | 61,112 | |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 21,785 | 21,971 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 57,815 | 59,062 | |
6,9 | Commonwealth Bank of Australia | 2.760% | 4/24/19 | 16,470 | 12,537 |
9 | Commonwealth Bank of Australia | 4.250% | 4/24/19 | 29,330 | 23,308 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 46,435 | 47,432 | |
6,9 | Commonwealth Bank of Australia | 2.800% | 10/18/19 | 4,800 | 3,642 |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 21,490 | 21,994 | |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 27,583 | 28,247 | |
Commonwealth Bank of Australia | 2.550% | 3/15/21 | 31,940 | 32,998 | |
7 | Commonwealth Bank of Australia | 4.500% | 12/9/25 | 39,860 | 42,344 |
7 | Commonwealth Bank of Australia | 2.850% | 5/18/26 | 20,375 | 20,928 |
Cooperatieve Rabobank UA | 1.700% | 3/19/18 | 31,513 | 31,729 | |
9 | Cooperatieve Rabobank UA | 7.250% | 4/20/18 | 14,750 | 12,089 |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 68,805 | 70,231 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 45,050 | 45,939 | |
Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 22,498 | 25,080 | |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 39,771 | 41,117 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 7,800 | 8,397 | |
Credit Suisse AG | 1.375% | 5/26/17 | 46,525 | 46,531 | |
Credit Suisse AG | 1.750% | 1/29/18 | 40,800 | 40,825 | |
Credit Suisse AG | 1.700% | 4/27/18 | 58,595 | 58,537 | |
Credit Suisse AG | 2.300% | 5/28/19 | 69,795 | 70,739 | |
Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 14,655 | 14,666 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 23,415 | 23,506 | |
7 | Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 43,820 | 44,413 |
7 | Danske Bank A/S | 2.750% | 9/17/20 | 23,273 | 24,064 |
7 | Danske Bank A/S | 2.800% | 3/10/21 | 51,184 | 53,507 |
Deutsche Bank AG | 1.875% | 2/13/18 | 26,405 | 26,240 | |
Deutsche Bank AG | 2.500% | 2/13/19 | 10,735 | 10,697 | |
Deutsche Bank AG | 2.950% | 8/20/20 | 9,787 | 9,688 | |
Discover Bank | 2.600% | 11/13/18 | 24,412 | 24,819 | |
Discover Bank | 3.100% | 6/4/20 | 24,430 | 25,286 | |
7 | DNB Bank ASA | 2.375% | 6/2/21 | 23,215 | 23,766 |
Fifth Third Bank | 2.150% | 8/20/18 | 32,157 | 32,617 | |
Fifth Third Bank | 2.300% | 3/15/19 | 26,956 | 27,552 | |
Fifth Third Bank | 2.375% | 4/25/19 | 25,627 | 26,193 | |
Fifth Third Bank | 2.250% | 6/14/21 | 28,181 | 28,738 | |
Fifth Third Bank | 3.850% | 3/15/26 | 5,320 | 5,656 | |
First Republic Bank | 2.375% | 6/17/19 | 47,605 | 48,080 | |
11 | Goldman Sachs Group Inc. | 6.125% | 5/14/17 | 37,400 | 51,361 |
6,9 | Goldman Sachs Group Inc. | 3.938% | 11/29/17 | 5,680 | 4,361 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 108,310 | 115,288 | |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 80,630 | 81,665 | |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 31,713 | 34,097 |
17
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 81,521 | 83,706 | |
6,9 | Goldman Sachs Group Inc. | 3.690% | 8/8/18 | 14,560 | 11,161 |
9 | Goldman Sachs Group Inc. | 5.000% | 8/8/18 | 16,210 | 12,814 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 68,810 | 70,514 | |
9 | Goldman Sachs Group Inc. | 5.000% | 8/21/19 | 7,800 | 6,261 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 27,660 | 28,328 | |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 20,957 | 23,340 | |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 58,775 | 60,195 | |
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 37,062 | 38,022 | |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 40,554 | 41,298 | |
11 | Goldman Sachs Group Inc. | 5.500% | 10/12/21 | 4,640 | 7,017 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 37,173 | 43,228 | |
10 | Goldman Sachs Group Inc. | 2.125% | 9/30/24 | 14,318 | 17,189 |
7 | HSBC Bank plc | 1.500% | 5/15/18 | 17,965 | 17,888 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 10,110 | 10,526 | |
HSBC Holdings plc | 3.400% | 3/8/21 | 53,645 | 55,685 | |
HSBC Holdings plc | 2.950% | 5/25/21 | 74,520 | 75,899 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 27,275 | 28,182 | |
10 | HSBC Holdings plc | 3.000% | 6/30/25 | 3,100 | 3,692 |
HSBC Holdings plc | 4.300% | 3/8/26 | 18,376 | 19,713 | |
10 | HSBC Holdings plc | 3.125% | 6/7/28 | 8,058 | 9,562 |
HSBC USA Inc. | 1.625% | 1/16/18 | 56,555 | 56,544 | |
HSBC USA Inc. | 2.625% | 9/24/18 | 36,735 | 37,440 | |
HSBC USA Inc. | 2.250% | 6/23/19 | 29,545 | 29,855 | |
HSBC USA Inc. | 2.375% | 11/13/19 | 48,435 | 49,000 | |
HSBC USA Inc. | 2.350% | 3/5/20 | 49,334 | 49,667 | |
HSBC USA Inc. | 2.750% | 8/7/20 | 41,414 | 42,150 | |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 34,190 | 34,841 | |
Huntington Bancshares Inc. | 3.150% | 3/14/21 | 26,426 | 27,564 | |
Huntington National Bank | 2.000% | 6/30/18 | 53,720 | 54,155 | |
Huntington National Bank | 2.200% | 11/6/18 | 21,120 | 21,382 | |
Huntington National Bank | 2.875% | 8/20/20 | 33,581 | 34,489 | |
7 | ING Bank NV | 1.800% | 3/16/18 | 8,204 | 8,249 |
7 | ING Bank NV | 2.500% | 10/1/19 | 16,560 | 16,989 |
7 | ING Bank NV | 2.450% | 3/16/20 | 39,075 | 40,046 |
7 | ING Bank NV | 2.700% | 8/17/20 | 3,907 | 4,042 |
7 | ING Bank NV | 2.750% | 3/22/21 | 8,645 | 9,005 |
Intesa Sanpaolo SPA | 2.375% | 1/13/17 | 18,283 | 18,335 | |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 26,174 | 26,792 | |
JPMorgan Chase & Co. | 1.350% | 2/15/17 | 12,476 | 12,501 | |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 25,984 | 26,203 | |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 19,720 | 19,876 | |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 58,963 | 59,378 | |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 3,685 | 3,711 | |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 85,037 | 87,161 | |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 73,137 | 74,681 | |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 63,282 | 64,593 | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 88,183 | 91,134 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 7,794 | 8,499 | |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 56,519 | 57,999 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 27,700 | 28,395 | |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 22,885 | 23,280 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 16,765 | 17,004 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 9,415 | 9,717 | |
4 | JPMorgan Chase & Co. | 5.300% | 12/29/49 | 14,010 | 14,395 |
11 | JPMorgan Chase Bank NA | 5.375% | 9/28/16 | 13,750 | 18,313 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 8,592 | 8,976 | |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 35,313 | 37,194 | |
KeyBank NA | 1.650% | 2/1/18 | 5,305 | 5,333 | |
KeyBank NA | 1.700% | 6/1/18 | 9,750 | 9,822 | |
KeyBank NA | 2.350% | 3/8/19 | 50,143 | 51,127 | |
10 | Leeds Building Society | 1.375% | 5/5/22 | 14,895 | 16,320 |
Lloyds Bank plc | 1.750% | 5/14/18 | 11,532 | 11,537 | |
Lloyds Bank plc | 2.000% | 8/17/18 | 20,928 | 20,977 |
18
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Lloyds Bank plc | 2.300% | 11/27/18 | 13,185 | 13,345 | |
Lloyds Bank plc | 2.050% | 1/22/19 | 11,225 | 11,264 | |
Lloyds Bank plc | 2.350% | 9/5/19 | 15,160 | 15,338 | |
Lloyds Bank plc | 2.400% | 3/17/20 | 24,425 | 24,869 | |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 23,835 | 24,553 | |
7 | Macquarie Bank Ltd. | 1.600% | 10/27/17 | 57,550 | 57,681 |
7 | Macquarie Bank Ltd. | 2.400% | 1/21/20 | 36,370 | 36,881 |
7 | Macquarie Bank Ltd. | 2.850% | 1/15/21 | 43,910 | 45,323 |
7 | Macquarie Bank Ltd. | 4.875% | 6/10/25 | 16,200 | 17,118 |
7 | Macquarie Bank Ltd. | 3.900% | 1/15/26 | 1,460 | 1,554 |
Manufacturers & Traders Trust Co. | 1.250% | 1/30/17 | 9,750 | 9,755 | |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 39,089 | 41,606 | |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 34,010 | 34,027 | |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 38,480 | 39,253 | |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 40,550 | 41,343 | |
Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 19,530 | 19,853 | |
4 | Manufacturers & Traders Trust Co. | 5.629% | 12/1/21 | 9,755 | 9,625 |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 68,345 | 71,212 | |
7 | Mitsubishi UFJ Trust & Banking Corp. | 1.600% | 10/16/17 | 29,290 | 29,390 |
7 | Mitsubishi UFJ Trust & Banking Corp. | 2.450% | 10/16/19 | 29,290 | 29,902 |
7 | Mitsubishi UFJ Trust & Banking Corp. | 2.650% | 10/19/20 | 30,625 | 31,439 |
Morgan Stanley | 5.750% | 10/18/16 | 69,245 | 69,953 | |
Morgan Stanley | 5.450% | 1/9/17 | 27,352 | 27,876 | |
Morgan Stanley | 5.550% | 4/27/17 | 19,495 | 20,127 | |
Morgan Stanley | 6.250% | 8/28/17 | 8,665 | 9,109 | |
Morgan Stanley | 5.950% | 12/28/17 | 54,821 | 58,219 | |
Morgan Stanley | 1.875% | 1/5/18 | 62,508 | 62,917 | |
Morgan Stanley | 6.625% | 4/1/18 | 17,971 | 19,467 | |
Morgan Stanley | 2.125% | 4/25/18 | 14,001 | 14,145 | |
Morgan Stanley | 2.500% | 1/24/19 | 33,000 | 33,722 | |
Morgan Stanley | 2.375% | 7/23/19 | 37,332 | 38,086 | |
Morgan Stanley | 5.625% | 9/23/19 | 7,458 | 8,294 | |
Morgan Stanley | 5.500% | 1/26/20 | 14,636 | 16,364 | |
Morgan Stanley | 2.650% | 1/27/20 | 32,700 | 33,497 | |
Morgan Stanley | 2.800% | 6/16/20 | 10,277 | 10,572 | |
Morgan Stanley | 2.500% | 4/21/21 | 30,379 | 30,752 | |
Morgan Stanley | 4.000% | 7/23/25 | 3,776 | 4,060 | |
Morgan Stanley | 3.875% | 1/27/26 | 15,741 | 16,784 | |
MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 14,400 | 14,425 | |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 29,300 | 29,544 | |
MUFG Union Bank NA | 2.125% | 6/16/17 | 29,740 | 30,003 | |
MUFG Union Bank NA | 2.625% | 9/26/18 | 39,640 | 40,436 | |
MUFG Union Bank NA | 2.250% | 5/6/19 | 24,420 | 24,777 | |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 21,800 | 22,180 | |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 21,829 | 22,114 | |
National Australia Bank Ltd. | 1.375% | 7/12/19 | 20,250 | 20,221 | |
National Australia Bank Ltd. | 1.875% | 7/12/21 | 59,500 | 59,406 | |
National Bank of Canada | 2.100% | 12/14/18 | 26,935 | 27,338 | |
National City Bank | 5.250% | 12/15/16 | 14,750 | 14,988 | |
National City Bank | 5.800% | 6/7/17 | 14,625 | 15,176 | |
National City Corp. | 6.875% | 5/15/19 | 8,085 | 9,105 | |
7 | Nationwide Building Society | 2.350% | 1/21/20 | 14,328 | 14,483 |
7 | Nationwide Building Society | 2.450% | 7/27/21 | 35,105 | 35,403 |
10 | Nationwide Building Society | 1.125% | 6/3/22 | 6,009 | 6,864 |
7 | Nordea Bank AB | 1.875% | 9/17/18 | 16,220 | 16,376 |
7 | Nordea Bank AB | 2.500% | 9/17/20 | 12,568 | 12,937 |
7 | Nordea Bank AB | 2.250% | 5/27/21 | 19,905 | 20,318 |
PNC Bank NA | 5.250% | 1/15/17 | 27,935 | 28,452 | |
PNC Bank NA | 4.875% | 9/21/17 | 22,535 | 23,397 | |
PNC Bank NA | 1.500% | 10/18/17 | 48,800 | 48,994 | |
PNC Bank NA | 6.000% | 12/7/17 | 4,885 | 5,176 | |
PNC Bank NA | 1.500% | 2/23/18 | 55,800 | 56,085 | |
PNC Bank NA | 6.875% | 4/1/18 | 4,197 | 4,558 | |
PNC Bank NA | 1.600% | 6/1/18 | 81,400 | 81,989 |
19
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
PNC Bank NA | 1.850% | 7/20/18 | 24,260 | 24,542 | |
PNC Bank NA | 1.800% | 11/5/18 | 31,674 | 32,076 | |
PNC Bank NA | 2.200% | 1/28/19 | 48,707 | 49,506 | |
PNC Bank NA | 2.250% | 7/2/19 | 44,590 | 45,649 | |
PNC Bank NA | 2.400% | 10/18/19 | 71,148 | 73,269 | |
PNC Bank NA | 2.300% | 6/1/20 | 14,636 | 15,040 | |
PNC Bank NA | 2.600% | 7/21/20 | 14,430 | 14,986 | |
PNC Bank NA | 2.450% | 11/5/20 | 15,636 | 16,172 | |
PNC Bank NA | 2.150% | 4/29/21 | 30,821 | 31,374 | |
PNC Funding Corp. | 2.700% | 9/19/16 | 40,143 | 40,174 | |
PNC Funding Corp. | 5.625% | 2/1/17 | 4,380 | 4,468 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 7,230 | 8,094 | |
Regions Bank | 7.500% | 5/15/18 | 7,579 | 8,292 | |
Regions Financial Corp. | 2.000% | 5/15/18 | 27,350 | 27,413 | |
Royal Bank of Canada | 1.250% | 6/16/17 | 19,520 | 19,559 | |
Royal Bank of Canada | 1.400% | 10/13/17 | 26,360 | 26,478 | |
Royal Bank of Canada | 1.500% | 1/16/18 | 3,900 | 3,917 | |
Royal Bank of Canada | 2.200% | 7/27/18 | 25,890 | 26,348 | |
Royal Bank of Canada | 1.800% | 7/30/18 | 18,752 | 18,938 | |
Royal Bank of Canada | 2.000% | 12/10/18 | 21,270 | 21,607 | |
Royal Bank of Canada | 2.150% | 3/15/19 | 28,400 | 29,052 | |
Royal Bank of Canada | 1.500% | 7/29/19 | 58,175 | 58,336 | |
Royal Bank of Canada | 2.350% | 10/30/20 | 7,170 | 7,402 | |
Royal Bank of Canada | 2.500% | 1/19/21 | 34,366 | 35,680 | |
Royal Bank of Canada | 4.650% | 1/27/26 | 11,520 | 12,733 | |
Santander Bank NA | 8.750% | 5/30/18 | 33,955 | 37,518 | |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 39,050 | 39,413 | |
Santander UK Group Holdings plc | 3.125% | 1/8/21 | 19,520 | 19,808 | |
Santander UK plc | 1.375% | 3/13/17 | 93,971 | 93,698 | |
Santander UK plc | 1.650% | 9/29/17 | 5,280 | 5,282 | |
Santander UK plc | 3.050% | 8/23/18 | 45,920 | 47,220 | |
Santander UK plc | 2.000% | 8/24/18 | 16,087 | 16,131 | |
Santander UK plc | 2.500% | 3/14/19 | 65,240 | 66,224 | |
Santander UK plc | 2.350% | 9/10/19 | 64,539 | 65,399 | |
7 | Skandinaviska Enskilda Banken AB | 1.750% | 3/19/18 | 17,471 | 17,571 |
4,10 | Skandinaviska Enskilda Banken AB | 2.500% | 5/28/26 | 6,590 | 7,736 |
State Street Corp. | 1.950% | 5/19/21 | 39,048 | 39,688 | |
State Street Corp. | 2.650% | 5/19/26 | 4,688 | 4,812 | |
4 | State Street Corp. | 5.250% | 12/29/49 | 14,020 | 14,756 |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 8,079 | 8,420 | |
Sumitomo Mitsui Financial Group Inc. | 2.058% | 7/14/21 | 44,060 | 44,038 | |
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 11,375 | 11,225 | |
SunTrust Banks Inc. | 3.500% | 1/20/17 | 12,711 | 12,822 | |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 8,795 | 9,212 | |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 23,102 | 24,128 | |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 22,830 | 23,470 | |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 20,508 | 21,075 | |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 47,795 | 49,267 | |
7 | Swedbank AB | 2.650% | 3/10/21 | 10,936 | 11,395 |
Synchrony Financial | 3.000% | 8/15/19 | 85,990 | 87,883 | |
Synchrony Financial | 2.700% | 2/3/20 | 39,200 | 39,720 | |
Synchrony Financial | 4.250% | 8/15/24 | 9,760 | 10,307 | |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 48,860 | 49,219 | |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 28,510 | 28,641 | |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 51,810 | 52,442 | |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 63,831 | 65,267 | |
Toronto-Dominion Bank | 1.450% | 8/13/19 | 20,000 | 20,044 | |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 41,410 | 42,426 | |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 22,500 | 23,303 | |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 57,700 | 58,827 | |
Toronto-Dominion Bank | 1.800% | 7/13/21 | 46,900 | 46,969 | |
UBS AG | 1.800% | 3/26/18 | 103,260 | 103,933 | |
UBS AG | 2.375% | 8/14/19 | 21,468 | 21,987 | |
7 | UBS Group Funding Jersey Ltd. | 2.950% | 9/24/20 | 24,395 | 25,136 |
20
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
US Bank NA | 1.375% | 9/11/17 | 42,077 | 42,255 | |
US Bank NA | 1.350% | 1/26/18 | 22,067 | 22,174 | |
US Bank NA | 2.125% | 10/28/19 | 20,765 | 21,276 | |
Wachovia Corp. | 5.750% | 6/15/17 | 29,816 | 31,017 | |
Wachovia Corp. | 5.750% | 2/1/18 | 53,681 | 57,281 | |
12 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 6.875% | 6/15/11 | 21,983 | 2 | |
Wells Fargo & Co. | 1.400% | 9/8/17 | 36,020 | 36,130 | |
Wells Fargo & Co. | 5.625% | 12/11/17 | 19,840 | 21,025 | |
Wells Fargo & Co. | 1.500% | 1/16/18 | 40,770 | 40,964 | |
9 | Wells Fargo & Co. | 4.250% | 1/25/18 | 4,880 | 3,796 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 22,935 | 23,401 | |
Wells Fargo & Co. | 2.125% | 4/22/19 | 65,816 | 67,234 | |
9 | Wells Fargo & Co. | 4.000% | 8/8/19 | 12,720 | 10,002 |
Wells Fargo & Co. | 2.150% | 1/30/20 | 74,665 | 76,045 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 61,255 | 63,234 | |
Wells Fargo & Co. | 2.550% | 12/7/20 | 32,181 | 33,085 | |
Wells Fargo & Co. | 2.100% | 7/26/21 | 63,800 | 64,060 | |
9 | Wells Fargo & Co. | 3.000% | 7/27/21 | 46,900 | 35,484 |
6,9 | Wells Fargo & Co. | 3.215% | 7/27/21 | 10,300 | 7,846 |
Wells Fargo Bank NA | 6.000% | 11/15/17 | 53,763 | 57,161 | |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 73,058 | 74,072 | |
Westpac Banking Corp. | 1.200% | 5/19/17 | 19,436 | 19,452 | |
Westpac Banking Corp. | 2.000% | 8/14/17 | 54,486 | 55,013 | |
Westpac Banking Corp. | 1.500% | 12/1/17 | 48,825 | 49,060 | |
Westpac Banking Corp. | 1.600% | 1/12/18 | 44,378 | 44,603 | |
Westpac Banking Corp. | 1.550% | 5/25/18 | 30,270 | 30,490 | |
Westpac Banking Corp. | 2.250% | 7/30/18 | 20,830 | 21,192 | |
Westpac Banking Corp. | 1.950% | 11/23/18 | 19,515 | 19,747 | |
Westpac Banking Corp. | 2.250% | 1/17/19 | 23,400 | 23,887 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 35,464 | 39,146 | |
Westpac Banking Corp. | 2.300% | 5/26/20 | 3,665 | 3,747 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 60,350 | 62,523 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 81,835 | 83,109 | |
Westpac Banking Corp. | 2.850% | 5/13/26 | 14,900 | 15,291 | |
Brokerage (0.5%) | |||||
7 | Apollo Management Holdings LP | 4.400% | 5/27/26 | 14,605 | 15,189 |
Charles Schwab Corp. | 6.375% | 9/1/17 | 5,860 | 6,189 | |
Charles Schwab Corp. | 1.500% | 3/10/18 | 19,535 | 19,635 | |
Franklin Resources Inc. | 1.375% | 9/15/17 | 15,056 | 15,117 | |
Jefferies Group LLC | 5.125% | 4/13/18 | 12,335 | 12,881 | |
Legg Mason Inc. | 2.700% | 7/15/19 | 5,860 | 5,976 | |
12 | Lehman Brothers Holdings E-Capital Trust I | 3.589% | 8/19/65 | 9,410 | 1 |
Nomura Holdings Inc. | 2.000% | 9/13/16 | 93,195 | 93,314 | |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 26,430 | 27,102 | |
NYSE Euronext | 2.000% | 10/5/17 | 39,586 | 39,940 | |
Stifel Financial Corp. | 3.500% | 12/1/20 | 28,270 | 28,697 | |
Stifel Financial Corp. | 4.250% | 7/18/24 | 9,515 | 9,647 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 17,515 | 18,312 | |
Finance Companies (0.6%) | |||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 3.750% | 5/15/19 | 9,890 | 10,224 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 3.950% | 2/1/22 | 20,005 | 20,905 | |
Air Lease Corp. | 5.625% | 4/1/17 | 81,514 | 83,552 | |
Air Lease Corp. | 3.375% | 1/15/19 | 31,655 | 32,565 | |
Air Lease Corp. | 3.750% | 2/1/22 | 6,830 | 7,069 | |
GE Capital International Funding Co. | 2.342% | 11/15/20 | 116,444 | 120,675 | |
International Lease Finance Corp. | 4.625% | 4/15/21 | 3,905 | 4,183 | |
7 | SMBC Aviation Capital Finance DAC | 2.650% | 7/15/21 | 23,080 | 23,199 |
Insurance (2.4%) | |||||
Aetna Inc. | 1.700% | 6/7/18 | 17,865 | 18,018 | |
Aetna Inc. | 1.900% | 6/7/19 | 17,605 | 17,848 |
21
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Aetna Inc. | 2.400% | 6/15/21 | 14,655 | 14,930 | |
Aetna Inc. | 2.800% | 6/15/23 | 9,565 | 9,836 | |
Aetna Inc. | 3.200% | 6/15/26 | 16,135 | 16,555 | |
Aflac Inc. | 3.625% | 6/15/23 | 5,860 | 6,325 | |
Alleghany Corp. | 5.625% | 9/15/20 | 8,890 | 9,924 | |
4,10 | Allianz Finance II BV | 5.750% | 7/8/41 | 37,000 | 48,118 |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 6,670 | 6,868 | |
Allied World Assurance Co. Ltd. | 7.500% | 8/1/16 | 55,754 | 55,757 | |
Alterra Finance LLC | 6.250% | 9/30/20 | 9,765 | 11,234 | |
American Financial Group Inc. | 9.875% | 6/15/19 | 31,750 | 38,134 | |
American International Group Inc. | 2.300% | 7/16/19 | 5,036 | 5,150 | |
American International Group Inc. | 4.875% | 6/1/22 | 8,230 | 9,225 | |
Anthem Inc. | 1.875% | 1/15/18 | 19,336 | 19,429 | |
4,10 | Aquarius and Investments plc for Zurich Insurance Co. | ||||
Ltd. | 4.250% | 10/2/43 | 30,850 | 38,521 | |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 25,904 | 28,816 | |
Assurant Inc. | 2.500% | 3/15/18 | 29,300 | 29,598 | |
10 | AXA SA | 5.250% | 4/16/40 | 12,100 | 15,146 |
4,10 | AXA SA | 5.125% | 7/4/43 | 10,107 | 13,227 |
4,10 | AXA SA | 3.875% | 5/20/49 | 12,573 | 14,404 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 11,618 | 12,967 | |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 14,650 | 14,825 | |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 24,144 | 26,009 | |
Berkshire Hathaway Inc. | 2.200% | 8/15/16 | 4,850 | 4,853 | |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 4,875 | 5,012 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 36,208 | 37,813 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 17,245 | 18,336 | |
4 | Chubb Corp. | 6.375% | 3/29/67 | 3,908 | 3,498 |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 12,800 | 13,186 | |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 15,795 | 16,647 | |
CNA Financial Corp. | 7.350% | 11/15/19 | 3,900 | 4,472 | |
4,11 | CNP Assurances | 7.375% | 9/30/41 | 8,200 | 12,314 |
4,10 | CNP Assurances | 4.500% | 6/10/47 | 3,200 | 3,608 |
4,10 | Credit Agricole Assurances SA | 4.250% | 1/29/49 | 6,300 | 6,987 |
4,10 | Credit Agricole Assurances SA | 4.500% | 10/31/49 | 5,300 | 5,900 |
Manulife Financial Corp. | 4.150% | 3/4/26 | 23,955 | 26,141 | |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 9,875 | 10,032 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 14,385 | 14,687 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 3,325 | 3,687 | |
7 | MassMutual Global Funding II | 2.100% | 8/2/18 | 12,735 | 12,984 |
7 | MassMutual Global Funding II | 2.500% | 10/17/22 | 14,335 | 14,672 |
MetLife Inc. | 1.756% | 12/15/17 | 14,600 | 14,708 | |
MetLife Inc. | 6.817% | 8/15/18 | 13,300 | 14,754 | |
MetLife Inc. | 7.717% | 2/15/19 | 9,219 | 10,658 | |
4 | MetLife Inc. | 5.250% | 12/29/49 | 7,005 | 7,011 |
7 | Metropolitan Life Global Funding I | 1.500% | 1/10/18 | 29,350 | 29,505 |
9 | Metropolitan Life Global Funding I | 4.500% | 10/10/18 | 38,060 | 29,930 |
7 | Metropolitan Life Global Funding I | 2.300% | 4/10/19 | 11,225 | 11,480 |
7 | Metropolitan Life Global Funding I | 2.000% | 4/14/20 | 19,530 | 19,842 |
7 | New York Life Global Funding | 1.950% | 2/11/20 | 17,975 | 18,206 |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 20,530 | 22,229 | |
7 | Pricoa Global Funding I | 2.550% | 11/24/20 | 6,830 | 7,072 |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 15,600 | 15,711 | |
7 | Principal Life Global Funding II | 2.200% | 4/8/20 | 28,665 | 29,098 |
4 | Progressive Corp. | 6.700% | 6/15/67 | 19,784 | 18,449 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 10,442 | 12,088 | |
Prudential Financial Inc. | 2.350% | 8/15/19 | 9,790 | 10,020 | |
Prudential Financial Inc. | 4.500% | 11/15/20 | 1,423 | 1,566 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 18,449 | 20,728 | |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 12,290 | 12,782 |
Reinsurance Group of America Inc. | 5.625% | 3/15/17 | 12,900 | 13,225 | |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 21,183 | 24,052 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 19,525 | 20,396 | |
7 | Reliance Standard Life Global Funding II | 2.150% | 10/15/18 | 27,320 | 27,521 |
22
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 52,630 | 53,514 |
7 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 17,860 | 17,905 |
7 | Reliance Standard Life Global Funding II | 3.050% | 1/20/21 | 8,275 | 8,528 |
7 | TIAA Asset Management Finance Co. LLC | 2.950% | 11/1/19 | 60,100 | 61,496 |
Torchmark Corp. | 9.250% | 6/15/19 | 7,053 | 8,370 | |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 2,273 | 2,457 | |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 2,930 | 3,291 | |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,300 | 4,705 | |
10 | Trinity Acquisition plc | 2.125% | 5/26/22 | 36,865 | 42,325 |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 20,510 | 20,803 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 14,640 | 15,338 | |
Unum Group | 7.125% | 9/30/16 | 13,498 | 13,619 | |
Real Estate Investment Trusts (1.5%) | |||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 29,896 | 30,197 | |
ARC Properties Operating Partnership LP/Clark | |||||
Acquisition LLC | 3.000% | 2/6/19 | 22,495 | 22,664 | |
Boston Properties LP | 3.700% | 11/15/18 | 4,900 | 5,129 | |
Boston Properties LP | 5.875% | 10/15/19 | 32,163 | 36,332 | |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 15,370 | 15,833 | |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 21,275 | 22,250 | |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 6,733 | 6,899 | |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 20,060 | 20,784 | |
7 | Care Capital Properties LP | 5.125% | 8/15/26 | 9,860 | 9,998 |
DDR Corp. | 7.500% | 4/1/17 | 289 | 301 | |
DDR Corp. | 4.750% | 4/15/18 | 29,245 | 30,478 | |
DDR Corp. | 7.500% | 7/15/18 | 2,500 | 2,756 | |
DDR Corp. | 7.875% | 9/1/20 | 7,085 | 8,564 | |
Digital Realty Trust LP | 5.875% | 2/1/20 | 20,227 | 22,740 | |
Digital Realty Trust LP | 3.400% | 10/1/20 | 22,047 | 23,063 | |
Digital Realty Trust LP | 3.950% | 7/1/22 | 34,798 | 36,918 | |
Digital Realty Trust LP | 4.750% | 10/1/25 | 6,622 | 7,209 | |
Duke Realty LP | 6.500% | 1/15/18 | 3,235 | 3,454 | |
Duke Realty LP | 3.250% | 6/30/26 | 4,402 | 4,524 | |
ERP Operating LP | 5.750% | 6/15/17 | 14,274 | 14,844 | |
ERP Operating LP | 2.375% | 7/1/19 | 4,875 | 4,999 | |
ERP Operating LP | 4.750% | 7/15/20 | 2,349 | 2,607 | |
Essex Portfolio LP | 3.500% | 4/1/25 | 14,862 | 15,523 | |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 9,351 | 9,551 | |
HCP Inc. | 6.700% | 1/30/18 | 9,705 | 10,442 | |
HCP Inc. | 2.625% | 2/1/20 | 12,357 | 12,515 | |
HCP Inc. | 4.000% | 12/1/22 | 8,755 | 9,233 | |
HCP Inc. | 4.250% | 11/15/23 | 7,420 | 7,831 | |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 13,139 | 13,409 | |
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 9,850 | 9,954 | |
Highwoods Realty LP | 5.850% | 3/15/17 | 4,425 | 4,549 | |
Kilroy Realty LP | 4.800% | 7/15/18 | 20,030 | 21,015 | |
Liberty Property LP | 5.500% | 12/15/16 | 27,672 | 28,099 | |
Liberty Property LP | 4.750% | 10/1/20 | 10,940 | 11,950 | |
Liberty Property LP | 3.750% | 4/1/25 | 3,575 | 3,705 | |
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 40,500 | 40,905 | |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 44,043 | 46,465 | |
10 | Prologis International Funding II SA | 1.876% | 4/17/25 | 6,562 | 7,896 |
Realty Income Corp. | 2.000% | 1/31/18 | 4,870 | 4,910 | |
Realty Income Corp. | 5.750% | 1/15/21 | 3,905 | 4,491 | |
Regency Centers LP | 5.875% | 6/15/17 | 10,274 | 10,736 | |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 36,150 | 36,447 | |
Simon Property Group LP | 2.800% | 1/30/17 | 22,815 | 22,912 | |
Simon Property Group LP | 2.150% | 9/15/17 | 1,572 | 1,587 | |
Simon Property Group LP | 10.350% | 4/1/19 | 10,565 | 12,804 | |
Simon Property Group LP | 5.650% | 2/1/20 | 16,085 | 18,206 | |
Simon Property Group LP | 2.500% | 9/1/20 | 11,153 | 11,559 | |
Simon Property Group LP | 4.375% | 3/1/21 | 7,375 | 8,191 | |
Ventas Realty LP | 3.125% | 6/15/23 | 11,328 | 11,510 |
23
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 14,362 | 14,467 | |
Weingarten Realty Investors | 3.375% | 10/15/22 | 9,088 | 9,350 | |
Weingarten Realty Investors | 3.850% | 6/1/25 | 6,445 | 6,687 | |
Welltower Inc. | 4.700% | 9/15/17 | 14,620 | 15,153 | |
Welltower Inc. | 2.250% | 3/15/18 | 15,769 | 15,940 | |
Welltower Inc. | 4.125% | 4/1/19 | 46,860 | 49,433 | |
Welltower Inc. | 6.125% | 4/15/20 | 14,650 | 16,658 | |
Welltower Inc. | 4.000% | 6/1/25 | 8,350 | 8,923 | |
14,552,166 | |||||
Industrial (23.8%) | |||||
Basic Industry (1.2%) | |||||
Agrium Inc. | 6.750% | 1/15/19 | 24,905 | 27,685 | |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 11,225 | 11,273 | |
Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 7,155 | 7,785 | |
Airgas Inc. | 1.650% | 2/15/18 | 23,552 | 23,667 | |
Airgas Inc. | 2.375% | 2/15/20 | 9,890 | 10,083 | |
Airgas Inc. | 3.050% | 8/1/20 | 12,510 | 12,966 | |
Albemarle Corp. | 3.000% | 12/1/19 | 4,880 | 4,974 | |
9 | BHP Billiton Finance Ltd. | 3.750% | 10/18/17 | 14,090 | 10,830 |
9 | BHP Billiton Finance Ltd. | 3.000% | 3/30/20 | 14,320 | 10,926 |
BHP Billiton Finance USA Ltd. | 1.875% | 11/21/16 | 3,874 | 3,881 | |
BHP Billiton Finance USA Ltd. | 1.625% | 2/24/17 | 68,574 | 68,713 | |
BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 35,646 | 36,613 | |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 13,920 | 14,125 | |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 36,339 | 41,188 | |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 7,867 | 8,406 | |
CF Industries Inc. | 6.875% | 5/1/18 | 38,450 | 41,574 | |
Dow Chemical Co. | 8.550% | 5/15/19 | 52,798 | 62,817 | |
Eastman Chemical Co. | 2.400% | 6/1/17 | 5,985 | 6,042 | |
Ecolab Inc. | 3.000% | 12/8/16 | 3,339 | 3,362 | |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 27,383 | 29,899 | |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 11,348 | 12,526 | |
Goldcorp Inc. | 2.125% | 3/15/18 | 14,640 | 14,675 | |
10 | LYB International Finance II BV | 1.875% | 3/2/22 | 5,945 | 7,012 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 32,245 | 34,956 | |
Monsanto Co. | 1.150% | 6/30/17 | 9,770 | 9,777 | |
Monsanto Co. | 5.125% | 4/15/18 | 22,515 | 23,912 | |
Monsanto Co. | 1.850% | 11/15/18 | 3,000 | 3,022 | |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 28,554 | 29,256 | |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 11,456 | 12,929 | |
PPG Industries Inc. | 2.300% | 11/15/19 | 29,285 | 29,735 | |
Praxair Inc. | 4.500% | 8/15/19 | 29,565 | 32,458 | |
Praxair Inc. | 4.050% | 3/15/21 | 2,552 | 2,837 | |
Praxair Inc. | 3.000% | 9/1/21 | 4,900 | 5,218 | |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 4,880 | 5,861 | |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 3,880 | 4,093 | |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 9,975 | 10,362 | |
Capital Goods (1.8%) | |||||
Boeing Co. | 2.350% | 10/30/21 | 750 | 782 | |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 45,680 | 49,011 | |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 6,360 | 7,122 | |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 47,540 | 54,264 | |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 72,415 | 72,804 | |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 2,360 | 2,543 | |
Caterpillar Inc. | 7.900% | 12/15/18 | 59,914 | 69,087 | |
Caterpillar Inc. | 3.400% | 5/15/24 | 11,695 | 12,689 | |
Crane Co. | 2.750% | 12/15/18 | 12,615 | 12,880 | |
7 | Embraer Overseas Ltd. | 5.696% | 9/16/23 | 10,379 | 10,963 |
7 | Fortive Corp. | 1.800% | 6/15/19 | 6,250 | 6,293 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 5,855 | 6,333 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 6,806 | 7,775 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 22,527 | 23,241 | |
General Electric Capital Corp. | 5.550% | 5/4/20 | 54,502 | 62,755 |
24
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
General Electric Capital Corp. | 4.375% | 9/16/20 | 14,755 | 16,429 | |
General Electric Capital Corp. | 4.625% | 1/7/21 | 76,607 | 86,918 | |
General Electric Capital Corp. | 5.300% | 2/11/21 | 6,288 | 7,292 | |
10 | Honeywell International Inc. | 1.300% | 2/22/23 | 29,300 | 34,601 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 17,075 | 18,511 | |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 9,765 | 10,817 | |
John Deere Capital Corp. | 5.350% | 4/3/18 | 26,530 | 28,420 | |
John Deere Capital Corp. | 5.750% | 9/10/18 | 28,200 | 30,913 | |
John Deere Capital Corp. | 2.375% | 7/14/20 | 51,283 | 53,189 | |
John Deere Capital Corp. | 2.450% | 9/11/20 | 43,491 | 45,053 | |
John Deere Capital Corp. | 2.550% | 1/8/21 | 14,640 | 15,256 | |
John Deere Capital Corp. | 2.800% | 3/4/21 | 32,710 | 34,359 | |
John Deere Capital Corp. | 3.900% | 7/12/21 | 9,760 | 10,830 | |
9 | John Deere Financial Ltd. | 3.500% | 12/18/19 | 36,830 | 28,722 |
L-3 Communications Corp. | 3.950% | 11/15/16 | 4,586 | 4,614 | |
L-3 Communications Corp. | 1.500% | 5/28/17 | 9,765 | 9,780 | |
L-3 Communications Corp. | 5.200% | 10/15/19 | 15,207 | 16,740 | |
Raytheon Co. | 6.750% | 3/15/18 | 20,028 | 21,857 | |
Raytheon Co. | 6.400% | 12/15/18 | 40,041 | 44,896 | |
Raytheon Co. | 4.400% | 2/15/20 | 2,070 | 2,293 | |
Raytheon Co. | 3.125% | 10/15/20 | 8,697 | 9,316 | |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 4,885 | 5,158 | |
Roper Technologies Inc. | 1.850% | 11/15/17 | 21,480 | 21,614 | |
Roper Technologies Inc. | 2.050% | 10/1/18 | 9,590 | 9,708 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 21,790 | 22,226 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 6,720 | 6,972 | |
Communication (2.9%) | |||||
21st Century Fox America Inc. | 7.250% | 5/18/18 | 7,205 | 7,946 | |
21st Century Fox America Inc. | 6.900% | 3/1/19 | 6,840 | 7,754 | |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 4,850 | 5,430 | |
America Movil SAB de CV | 2.375% | 9/8/16 | 16,009 | 16,017 | |
America Movil SAB de CV | 5.625% | 11/15/17 | 29,869 | 31,443 | |
America Movil SAB de CV | 5.000% | 10/16/19 | 13,343 | 14,729 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 61,948 | 69,008 | |
American Tower Corp. | 4.500% | 1/15/18 | 19,490 | 20,375 | |
American Tower Corp. | 3.400% | 2/15/19 | 29,451 | 30,908 | |
American Tower Corp. | 2.800% | 6/1/20 | 28,800 | 29,716 | |
American Tower Corp. | 3.300% | 2/15/21 | 31,523 | 33,159 | |
AT&T Inc. | 2.400% | 8/15/16 | 16,141 | 16,149 | |
AT&T Inc. | 2.400% | 3/15/17 | 9,181 | 9,259 | |
11 | AT&T Inc. | 5.875% | 4/28/17 | 28,800 | 39,586 |
AT&T Inc. | 1.700% | 6/1/17 | 15,250 | 15,319 | |
AT&T Inc. | 1.400% | 12/1/17 | 24,400 | 24,439 | |
AT&T Inc. | 5.500% | 2/1/18 | 31,834 | 33,842 | |
AT&T Inc. | 5.600% | 5/15/18 | 6,038 | 6,492 | |
AT&T Inc. | 5.800% | 2/15/19 | 27,420 | 30,322 | |
AT&T Inc. | 5.875% | 10/1/19 | 46,760 | 53,044 | |
AT&T Inc. | 5.200% | 3/15/20 | 38,057 | 42,633 | |
AT&T Inc. | 2.450% | 6/30/20 | 18,500 | 18,963 | |
AT&T Inc. | 4.600% | 2/15/21 | 4,762 | 5,273 | |
British Telecommunications plc | 2.350% | 2/14/19 | 14,785 | 15,120 | |
10 | British Telecommunications plc | 1.750% | 3/10/26 | 6,600 | 7,963 |
CBS Corp. | 4.625% | 5/15/18 | 2,690 | 2,830 | |
CBS Corp. | 2.300% | 8/15/19 | 1,980 | 2,006 | |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 24,479 | 25,918 | |
Comcast Corp. | 6.500% | 1/15/17 | 26,164 | 26,845 | |
Comcast Corp. | 6.300% | 11/15/17 | 12,729 | 13,597 | |
Comcast Corp. | 5.875% | 2/15/18 | 17,672 | 18,991 | |
Crown Castle International Corp. | 3.400% | 2/15/21 | 31,300 | 32,826 | |
7 | Deutsche Telekom International Finance BV | 2.250% | 3/6/17 | 18,870 | 18,984 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 10,804 | 11,982 | |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 14,550 | 16,391 | |
Electronic Arts Inc. | 3.700% | 3/1/21 | 14,650 | 15,612 |
25
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Grupo Televisa SAB | 6.000% | 5/15/18 | 10,931 | 11,794 | |
Grupo Televisa SAB | 6.625% | 3/18/25 | 4,900 | 6,112 | |
Interpublic Group of Cos. Inc. | 2.250% | 11/15/17 | 2,000 | 2,015 | |
7 | KT Corp. | 1.750% | 4/22/17 | 34,185 | 34,218 |
Moody's Corp. | 2.750% | 7/15/19 | 56,407 | 58,194 | |
Moody's Corp. | 5.500% | 9/1/20 | 8,645 | 9,797 | |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 26,240 | 29,872 | |
Omnicom Group Inc. | 6.250% | 7/15/19 | 5,860 | 6,661 | |
Omnicom Group Inc. | 4.450% | 8/15/20 | 15,502 | 17,123 | |
Orange SA | 2.750% | 9/14/16 | 18,127 | 18,165 | |
Orange SA | 2.750% | 2/6/19 | 29,240 | 30,089 | |
Qwest Corp. | 6.500% | 6/1/17 | 9,653 | 9,981 | |
7 | SES Global Americas Holdings GP | 2.500% | 3/25/19 | 53,705 | 54,063 |
7 | Sky plc | 2.625% | 9/16/19 | 12,200 | 12,426 |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 11,382 | 11,838 | |
9 | Telstra Corp. Ltd. | 4.500% | 11/13/18 | 28,920 | 22,909 |
9 | Telstra Corp. Ltd. | 4.000% | 9/16/22 | 5,000 | 4,032 |
Thomson Reuters Corp. | 1.300% | 2/23/17 | 15,180 | 15,204 | |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 27,270 | 29,832 | |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 29,200 | 30,139 | |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 18,305 | 21,287 | |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 23,445 | 27,206 | |
Verizon Communications Inc. | 5.500% | 2/15/18 | 6,265 | 6,673 | |
Verizon Communications Inc. | 6.100% | 4/15/18 | 16,606 | 17,989 | |
Verizon Communications Inc. | 3.650% | 9/14/18 | 36,333 | 38,140 | |
Verizon Communications Inc. | 1.375% | 8/15/19 | 19,500 | 19,557 | |
Verizon Communications Inc. | 2.625% | 2/21/20 | 50,782 | 52,708 | |
Verizon Communications Inc. | 4.500% | 9/15/20 | 92,180 | 102,540 | |
Verizon Communications Inc. | 4.600% | 4/1/21 | 7,800 | 8,782 | |
Verizon Communications Inc. | 1.750% | 8/15/21 | 9,700 | 9,703 | |
Verizon Communications Inc. | 3.000% | 11/1/21 | 15,741 | 16,647 | |
Verizon Communications Inc. | 2.625% | 8/15/26 | 16,000 | 15,951 | |
Viacom Inc. | 2.500% | 12/15/16 | 9,880 | 9,919 | |
Viacom Inc. | 6.125% | 10/5/17 | 10,695 | 11,260 | |
Viacom Inc. | 2.500% | 9/1/18 | 13,895 | 14,085 | |
Viacom Inc. | 5.625% | 9/15/19 | 3,195 | 3,543 | |
Viacom Inc. | 4.250% | 9/1/23 | 14,650 | 15,565 | |
Vodafone Group plc | 1.250% | 9/26/17 | 21,359 | 21,357 | |
Vodafone Group plc | 5.450% | 6/10/19 | 4,900 | 5,423 | |
Vodafone Group plc | 2.950% | 2/19/23 | 13,700 | 14,108 | |
Consumer Cyclical (3.8%) | |||||
Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 37,630 | 37,906 | |
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 19,064 | 19,384 | |
American Honda Finance Corp. | 1.125% | 10/7/16 | 19,816 | 19,832 | |
American Honda Finance Corp. | 0.950% | 5/5/17 | 15,960 | 15,969 | |
American Honda Finance Corp. | 1.600% | 7/13/18 | 10,770 | 10,886 | |
American Honda Finance Corp. | 2.125% | 10/10/18 | 18,825 | 19,258 | |
American Honda Finance Corp. | 1.700% | 2/22/19 | 14,050 | 14,263 | |
American Honda Finance Corp. | 2.250% | 8/15/19 | 41,660 | 42,940 | |
American Honda Finance Corp. | 2.450% | 9/24/20 | 16,675 | 17,334 | |
AutoNation Inc. | 3.350% | 1/15/21 | 4,970 | 5,079 | |
AutoZone Inc. | 7.125% | 8/1/18 | 19,022 | 21,066 | |
AutoZone Inc. | 1.625% | 4/21/19 | 8,345 | 8,398 | |
Block Financial LLC | 4.125% | 10/1/20 | 9,807 | 10,207 | |
7 | BMW US Capital LLC | 1.500% | 4/11/19 | 23,425 | 23,582 |
7 | BMW US Capital LLC | 2.000% | 4/11/21 | 29,975 | 30,480 |
Brinker International Inc. | 2.600% | 5/15/18 | 4,160 | 4,198 | |
CVS Health Corp. | 1.900% | 7/20/18 | 24,415 | 24,751 | |
CVS Health Corp. | 2.250% | 12/5/18 | 24,400 | 25,024 | |
CVS Health Corp. | 2.800% | 7/20/20 | 128,707 | 134,800 | |
7 | Daimler Finance North America LLC | 2.950% | 1/11/17 | 16,915 | 17,061 |
7 | Daimler Finance North America LLC | 1.125% | 3/10/17 | 27,650 | 27,666 |
7 | Daimler Finance North America LLC | 2.400% | 4/10/17 | 9,740 | 9,822 |
26
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Daimler Finance North America LLC | 1.375% | 8/1/17 | 19,525 | 19,528 |
Delphi Automotive plc | 3.150% | 11/19/20 | 14,635 | 15,218 | |
Dollar General Corp. | 4.125% | 7/15/17 | 12,850 | 13,191 | |
Dollar General Corp. | 1.875% | 4/15/18 | 9,965 | 10,055 | |
7 | Experian Finance plc | 2.375% | 6/15/17 | 35,430 | 35,637 |
10 | FCA Capital Ireland plc | 1.250% | 9/23/20 | 3,100 | 3,559 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 29,245 | 29,630 | |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 69,932 | 73,513 | |
Ford Motor Credit Co. LLC | 2.145% | 1/9/18 | 14,665 | 14,784 | |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 14,635 | 14,800 | |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 82,795 | 87,470 | |
Ford Motor Credit Co. LLC | 2.240% | 6/15/18 | 14,650 | 14,811 | |
9 | Ford Motor Credit Co. LLC | 4.050% | 12/10/18 | 51,220 | 39,683 |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 5,460 | 5,542 | |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 7,615 | 7,780 | |
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 19,535 | 19,798 | |
9 | Ford Motor Credit Co. LLC | 3.588% | 6/2/20 | 41,976 | 32,228 |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 14,310 | 14,780 | |
Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 13,597 | 14,104 | |
Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 39,030 | 40,735 | |
General Motors Co. | 3.500% | 10/2/18 | 36,615 | 37,805 | |
General Motors Financial Co. Inc. | 2.625% | 7/10/17 | 19,525 | 19,720 | |
General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 975 | 1,004 | |
General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 64,135 | 65,418 | |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 48,840 | 52,991 | |
General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 5,220 | 5,324 | |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 34,170 | 34,255 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 18,688 | 19,295 | |
General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 39,065 | 39,846 | |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 23,420 | 24,357 | |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 19,515 | 20,588 | |
7 | Harley-Davidson Financial Services Inc. | 2.700% | 3/15/17 | 16,094 | 16,241 |
7 | Harley-Davidson Financial Services Inc. | 1.550% | 11/17/17 | 3,415 | 3,426 |
7 | Harley-Davidson Financial Services Inc. | 2.400% | 9/15/19 | 9,765 | 9,940 |
7 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 10,800 | 10,962 |
7 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 3,665 | 4,018 |
7 | Hyundai Capital America | 4.000% | 6/8/17 | 10,785 | 11,016 |
Lowe's Cos. Inc. | 1.625% | 4/15/17 | 39,826 | 40,036 | |
Lowe's Cos. Inc. | 1.150% | 4/15/19 | 12,150 | 12,245 | |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 19,120 | 21,042 | |
Macy's Retail Holdings Inc. | 5.900% | 12/1/16 | 12,254 | 12,453 | |
Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 5,204 | 5,505 | |
Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 19,515 | 20,456 | |
Marriott International Inc. | 6.375% | 6/15/17 | 9,837 | 10,263 | |
Marriott International Inc. | 3.000% | 3/1/19 | 12,200 | 12,587 | |
MasterCard Inc. | 2.000% | 4/1/19 | 9,620 | 9,843 | |
McDonald's Corp. | 2.100% | 12/7/18 | 11,710 | 11,964 | |
McDonald's Corp. | 2.750% | 12/9/20 | 19,515 | 20,418 | |
7 | Nissan Motor Acceptance Corp. | 2.000% | 3/8/19 | 31,275 | 31,636 |
Nordstrom Inc. | 6.250% | 1/15/18 | 10,330 | 11,059 | |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 6,635 | 6,731 | |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 19,025 | 19,497 | |
PACCAR Financial Corp. | 2.500% | 8/14/20 | 2,930 | 3,021 | |
10 | Priceline Group Inc. | 1.800% | 3/3/27 | 5,590 | 6,247 |
QVC Inc. | 3.125% | 4/1/19 | 9,770 | 10,034 | |
Starbucks Corp. | 2.100% | 2/4/21 | 12,420 | 12,824 | |
TJX Cos. Inc. | 6.950% | 4/15/19 | 13,700 | 15,764 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 28,260 | 29,880 | |
Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 27,350 | 27,526 | |
Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 14,740 | 14,876 | |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 10,745 | 10,953 | |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 19,530 | 19,961 | |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 40,515 | 41,559 | |
VF Corp. | 5.950% | 11/1/17 | 5,860 | 6,210 |
27
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Visa Inc. | 1.200% | 12/14/17 | 33,170 | 33,310 | |
Visa Inc. | 2.200% | 12/14/20 | 82,930 | 85,644 | |
9 | Volkswagen Financial Services Australia Pty Ltd. | 4.250% | 4/4/18 | 3,150 | 2,440 |
9 | Volkswagen Financial Services Australia Pty Ltd. | 3.250% | 8/13/19 | 9,710 | 7,404 |
7 | Volkswagen Group of America Finance LLC | 1.250% | 5/23/17 | 28,215 | 28,134 |
7 | Volkswagen Group of America Finance LLC | 1.600% | 11/20/17 | 6,205 | 6,204 |
7 | Volkswagen Group of America Finance LLC | 1.650% | 5/22/18 | 3,465 | 3,463 |
7 | Volkswagen Group of America Finance LLC | 2.125% | 5/23/19 | 7,000 | 7,053 |
4,10 | Volkswagen International Finance NV | 2.500% | 12/29/49 | 3,250 | 3,485 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 29,565 | 32,341 | |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 19,080 | 20,684 | |
Walgreens Boots Alliance Inc. | 1.750% | 5/30/18 | 18,060 | 18,207 | |
11 | Walgreens Boots Alliance Inc. | 2.875% | 11/20/20 | 6,661 | 9,259 |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 19,350 | 19,833 | |
Walgreens Boots Alliance Inc. | 3.100% | 6/1/23 | 6,710 | 6,946 | |
7 | Wesfarmers Ltd. | 1.874% | 3/20/18 | 17,250 | 17,336 |
Consumer Noncyclical (5.7%) | |||||
AbbVie Inc. | 1.800% | 5/14/18 | 126,410 | 127,434 | |
AbbVie Inc. | 2.000% | 11/6/18 | 16,862 | 17,079 | |
AbbVie Inc. | 2.500% | 5/14/20 | 90,080 | 92,527 | |
AbbVie Inc. | 2.300% | 5/14/21 | 29,085 | 29,663 | |
Actavis Funding SCS | 2.350% | 3/12/18 | 71,911 | 72,737 | |
Actavis Funding SCS | 2.450% | 6/15/19 | 9,765 | 9,990 | |
Actavis Funding SCS | 3.000% | 3/12/20 | 153,863 | 159,348 | |
Actavis Inc. | 1.875% | 10/1/17 | 20,626 | 20,774 | |
Actavis Inc. | 6.125% | 8/15/19 | 9,765 | 11,008 | |
Agilent Technologies Inc. | 6.500% | 11/1/17 | 2,257 | 2,370 | |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 24,885 | 27,763 | |
Allergan Inc. | 1.350% | 3/15/18 | 7,800 | 7,772 | |
Altria Group Inc. | 9.250% | 8/6/19 | 69,792 | 85,817 | |
Altria Group Inc. | 4.750% | 5/5/21 | 20,162 | 23,145 | |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 7,200 | 7,749 | |
Amgen Inc. | 5.850% | 6/1/17 | 57,272 | 59,512 | |
Amgen Inc. | 5.700% | 2/1/19 | 7,895 | 8,738 | |
Anheuser-Busch Cos. LLC | 5.050% | 10/15/16 | 4,875 | 4,918 | |
Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 5,275 | 5,422 | |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 8,650 | 9,196 | |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 2,345 | 2,352 | |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 47,300 | 48,035 | |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 16,210 | 16,577 | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 190,770 | 197,542 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 35,050 | 37,474 | |
10 | Anheuser-Busch InBev SA/NV | 3.250% | 1/24/33 | 1,300 | 1,920 |
10 | Anheuser-Busch InBev SA/NV | 2.750% | 3/17/36 | 6,300 | 8,623 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 32,250 | 37,177 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 35,850 | 40,447 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 7,900 | 8,119 | |
Baxalta Inc. | 2.875% | 6/23/20 | 61,970 | 62,817 | |
4,10 | Bayer AG | 2.375% | 4/2/75 | 7,475 | 7,971 |
7 | Bayer US Finance LLC | 1.500% | 10/6/17 | 19,525 | 19,546 |
7 | Bayer US Finance LLC | 2.375% | 10/8/19 | 9,765 | 9,997 |
Biogen Inc. | 6.875% | 3/1/18 | 4,880 | 5,321 | |
Biogen Inc. | 2.900% | 9/15/20 | 60,637 | 63,410 | |
Boston Scientific Corp. | 2.650% | 10/1/18 | 20,960 | 21,503 | |
Boston Scientific Corp. | 2.850% | 5/15/20 | 14,600 | 15,145 | |
10 | Bunge Finance Europe BV | 1.850% | 6/16/23 | 23,008 | 27,287 |
Cardinal Health Inc. | 1.900% | 6/15/17 | 6,830 | 6,881 | |
Cardinal Health Inc. | 1.700% | 3/15/18 | 20,540 | 20,685 | |
7 | Cargill Inc. | 1.900% | 3/1/17 | 24,886 | 25,044 |
7 | Cargill Inc. | 6.000% | 11/27/17 | 12,295 | 13,075 |
7 | Cargill Inc. | 7.350% | 3/6/19 | 24,500 | 28,248 |
7 | Cargill Inc. | 3.250% | 11/15/21 | 9,750 | 10,452 |
Catholic Health Initiatives Colorado GO | 2.600% | 8/1/18 | 2,900 | 2,954 |
28
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Clorox Co. | 5.950% | 10/15/17 | 4,880 | 5,164 | |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 20,600 | 20,969 | |
ConAgra Foods Inc. | 5.819% | 6/15/17 | 2,977 | 3,090 | |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 46,240 | 46,612 | |
ConAgra Foods Inc. | 2.100% | 3/15/18 | 2,811 | 2,865 | |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 782 | 886 | |
ConAgra Foods Inc. | 4.950% | 8/15/20 | 6,236 | 7,017 | |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 19,158 | 19,996 | |
Constellation Brands Inc. | 3.875% | 11/15/19 | 9,750 | 10,298 | |
Constellation Brands Inc. | 3.750% | 5/1/21 | 5,130 | 5,412 | |
Constellation Brands Inc. | 4.750% | 12/1/25 | 3,470 | 3,761 | |
Covidien International Finance SA | 6.000% | 10/15/17 | 48,915 | 51,839 | |
Danaher Corp. | 5.400% | 3/1/19 | 17,445 | 19,299 | |
10 | DH Europe Finance SA | 1.700% | 1/4/22 | 2,730 | 3,284 |
10 | DH Europe Finance SA | 2.500% | 7/8/25 | 16,500 | 21,220 |
Diageo Capital plc | 1.125% | 4/29/18 | 7,115 | 7,115 | |
Dignity Health California GO | 2.637% | 11/1/19 | 2,000 | 2,058 | |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 24,400 | 24,991 | |
Express Scripts Holding Co. | 3.300% | 2/25/21 | 12,200 | 12,897 | |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 14,600 | 14,838 | |
General Mills Inc. | 5.700% | 2/15/17 | 9,110 | 9,337 | |
General Mills Inc. | 5.650% | 2/15/19 | 14,700 | 16,321 | |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 56,600 | 58,888 | |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 9,780 | 11,080 | |
Hershey Co. | 1.600% | 8/21/18 | 23,180 | 23,420 | |
Ingredion Inc. | 1.800% | 9/25/17 | 5,855 | 5,893 | |
JM Smucker Co. | 1.750% | 3/15/18 | 26,400 | 26,586 | |
JM Smucker Co. | 2.500% | 3/15/20 | 19,095 | 19,653 | |
Kellogg Co. | 3.250% | 4/1/26 | 6,750 | 7,061 | |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 6,275 | 6,331 | |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 14,240 | 15,590 | |
7 | Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 2,900 | 3,195 |
7 | Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 9,675 | 9,903 |
7 | Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 8,800 | 9,575 |
Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 9,765 | 10,005 | |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 4,500 | 4,947 | |
McKesson Corp. | 5.700% | 3/1/17 | 5,675 | 5,826 | |
McKesson Corp. | 2.284% | 3/15/19 | 34,250 | 35,011 | |
Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 24,500 | 25,817 | |
Medtronic Inc. | 1.500% | 3/15/18 | 28,725 | 28,960 | |
Medtronic Inc. | 2.500% | 3/15/20 | 75,710 | 78,735 | |
Medtronic Inc. | 3.150% | 3/15/22 | 19,500 | 20,929 | |
Medtronic Inc. | 3.625% | 3/15/24 | 7,512 | 8,301 | |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 7,320 | 8,125 | |
10 | Molson Coors Brewing Co. | 1.250% | 7/15/24 | 11,900 | 13,716 |
Mondelez International Inc. | 2.250% | 2/1/19 | 21,570 | 22,063 | |
10 | Mondelez International Inc. | 1.625% | 3/8/27 | 5,000 | 5,720 |
7 | Mylan NV | 3.000% | 12/15/18 | 29,270 | 30,145 |
7 | Mylan NV | 3.150% | 6/15/21 | 58,575 | 60,502 |
Newell Brands Inc. | 2.600% | 3/29/19 | 17,500 | 18,001 | |
Newell Brands Inc. | 3.150% | 4/1/21 | 14,600 | 15,308 | |
Newell Brands Inc. | 3.850% | 4/1/23 | 19,500 | 20,840 | |
Newell Brands Inc. | 5.375% | 4/1/36 | 5,150 | 6,215 | |
PepsiCo Inc. | 5.000% | 6/1/18 | 13,670 | 14,710 | |
PepsiCo Inc. | 7.900% | 11/1/18 | 13,680 | 15,747 | |
PepsiCo Inc. | 2.250% | 1/7/19 | 7,900 | 8,143 | |
PepsiCo Inc. | 4.500% | 1/15/20 | 23,505 | 26,082 | |
PepsiCo Inc. | 1.850% | 4/30/20 | 43,850 | 44,641 | |
Perrigo Co. plc | 2.300% | 11/8/18 | 14,645 | 14,721 | |
Pharmacia Corp. | 6.500% | 12/1/18 | 8,300 | 9,303 | |
Philip Morris International Inc. | 1.125% | 8/21/17 | 4,975 | 4,982 | |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 19,535 | 20,105 | |
Reynolds American Inc. | 3.500% | 8/4/16 | 19,170 | 19,172 | |
Reynolds American Inc. | 8.125% | 6/23/19 | 49,853 | 59,022 |
29
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Reynolds American Inc. | 3.250% | 6/12/20 | 16,445 | 17,397 | |
7 | Roche Holdings Inc. | 2.250% | 9/30/19 | 29,295 | 30,213 |
St. Jude Medical Inc. | 2.800% | 9/15/20 | 18,990 | 19,699 | |
Stryker Corp. | 1.300% | 4/1/18 | 11,850 | 11,864 | |
Stryker Corp. | 2.000% | 3/8/19 | 24,500 | 24,920 | |
Stryker Corp. | 2.625% | 3/15/21 | 24,300 | 25,213 | |
Teva Pharmaceutical Finance Co. BV | 2.400% | 11/10/16 | 38,645 | 38,803 | |
Teva Pharmaceutical Finance Netherlands III BV | 1.700% | 7/19/19 | 68,340 | 68,744 | |
Teva Pharmaceutical Finance Netherlands III BV | 2.200% | 7/21/21 | 48,815 | 49,082 | |
Teva Pharmaceutical Finance Netherlands III BV | 2.800% | 7/21/23 | 16,650 | 16,935 | |
The Kroger Co. | 1.200% | 10/17/16 | 6,840 | 6,846 | |
The Kroger Co. | 2.200% | 1/15/17 | 6,895 | 6,934 | |
The Kroger Co. | 6.800% | 12/15/18 | 5,950 | 6,691 | |
The Kroger Co. | 2.000% | 1/15/19 | 14,700 | 14,935 | |
The Kroger Co. | 2.300% | 1/15/19 | 31,250 | 31,951 | |
The Kroger Co. | 6.150% | 1/15/20 | 10,250 | 11,804 | |
The Kroger Co. | 2.600% | 2/1/21 | 19,550 | 20,322 | |
The Kroger Co. | 2.950% | 11/1/21 | 9,760 | 10,322 | |
Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 14,600 | 14,824 | |
10 | Thermo Fisher Scientific Inc. | 2.000% | 4/15/25 | 6,500 | 7,863 |
Tyson Foods Inc. | 2.650% | 8/15/19 | 75,523 | 77,601 | |
Tyson Foods Inc. | 4.500% | 6/15/22 | 9,035 | 10,029 | |
Wyeth LLC | 5.450% | 4/1/17 | 3,270 | 3,373 | |
Zoetis Inc. | 1.875% | 2/1/18 | 3,640 | 3,655 | |
Zoetis Inc. | 3.450% | 11/13/20 | 11,710 | 12,249 | |
Energy (4.2%) | |||||
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 12,242 | 12,822 | |
Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 21,408 | 22,654 | |
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 6,800 | 6,645 | |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 7,800 | 9,021 | |
BP Capital Markets plc | 2.248% | 11/1/16 | 37,575 | 37,695 | |
BP Capital Markets plc | 1.846% | 5/5/17 | 41,475 | 41,695 | |
BP Capital Markets plc | 1.375% | 11/6/17 | 19,450 | 19,510 | |
BP Capital Markets plc | 1.375% | 5/10/18 | 54,438 | 54,549 | |
BP Capital Markets plc | 2.241% | 9/26/18 | 24,638 | 25,178 | |
9 | BP Capital Markets plc | 4.750% | 11/15/18 | 18,250 | 14,435 |
BP Capital Markets plc | 4.750% | 3/10/19 | 30,289 | 32,935 | |
BP Capital Markets plc | 1.676% | 5/3/19 | 10,250 | 10,355 | |
BP Capital Markets plc | 2.237% | 5/10/19 | 24,500 | 25,126 | |
BP Capital Markets plc | 2.315% | 2/13/20 | 53,650 | 55,084 | |
BP Capital Markets plc | 4.500% | 10/1/20 | 25,425 | 28,247 | |
BP Capital Markets plc | 3.062% | 3/17/22 | 10,714 | 11,256 | |
BP Capital Markets plc | 2.750% | 5/10/23 | 8,508 | 8,626 | |
BP Capital Markets plc | 3.814% | 2/10/24 | 13,465 | 14,551 | |
Chevron Corp. | 1.365% | 3/2/18 | 35,945 | 36,101 | |
Chevron Corp. | 1.718% | 6/24/18 | 45,361 | 45,920 | |
Chevron Corp. | 4.950% | 3/3/19 | 25,050 | 27,341 | |
Chevron Corp. | 2.193% | 11/15/19 | 9,800 | 10,056 | |
Chevron Corp. | 1.961% | 3/3/20 | 41,685 | 42,465 | |
Chevron Corp. | 2.427% | 6/24/20 | 25,000 | 25,850 | |
Chevron Corp. | 2.419% | 11/17/20 | 58,500 | 60,592 | |
ConocoPhillips | 5.750% | 2/1/19 | 15,776 | 17,287 | |
ConocoPhillips Canada Funding Co. I | 5.625% | 10/15/16 | 34,080 | 34,390 | |
ConocoPhillips Co. | 2.200% | 5/15/20 | 7,230 | 7,276 | |
ConocoPhillips Co. | 4.200% | 3/15/21 | 70,430 | 75,131 | |
ConocoPhillips Co. | 2.875% | 11/15/21 | 9,750 | 9,909 | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 9,750 | 10,833 | |
Devon Energy Corp. | 4.000% | 7/15/21 | 19,530 | 19,921 | |
Devon Energy Corp. | 3.250% | 5/15/22 | 11,700 | 11,337 | |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 21,500 | 22,051 | |
Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 11,700 | 12,124 | |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 12,700 | 13,427 | |
El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 10,283 | 10,539 |
30
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Enbridge Energy Partners LP | 4.375% | 10/15/20 | 975 | 1,016 | |
4 | Enbridge Energy Partners LP | 8.050% | 10/1/77 | 1,860 | 1,474 |
Energy Transfer Partners LP | 6.125% | 2/15/17 | 19,467 | 19,911 | |
Energy Transfer Partners LP | 2.500% | 6/15/18 | 19,050 | 19,099 | |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 40,929 | 44,031 | |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 49,725 | 51,819 | |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 21,985 | 22,896 | |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 7,883 | 8,416 | |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 33,561 | 33,731 | |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 1,025 | 1,146 | |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 2,930 | 3,019 | |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 17,283 | 19,264 | |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 24,537 | 27,706 | |
EOG Resources Inc. | 5.875% | 9/15/17 | 2,950 | 3,097 | |
EOG Resources Inc. | 5.625% | 6/1/19 | 16,611 | 18,289 | |
EOG Resources Inc. | 2.450% | 4/1/20 | 11,528 | 11,746 | |
EOG Resources Inc. | 4.400% | 6/1/20 | 40,290 | 43,644 | |
EOG Resources Inc. | 4.100% | 2/1/21 | 10,750 | 11,632 | |
EOG Resources Inc. | 2.625% | 3/15/23 | 8,571 | 8,581 | |
Exxon Mobil Corp. | 1.912% | 3/6/20 | 29,700 | 30,353 | |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 3,435 | 3,876 | |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 15,595 | 15,752 | |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 4,875 | 5,499 | |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 17,870 | 20,017 | |
Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 4,875 | 5,278 | |
Kinder Morgan Inc. | 7.000% | 6/15/17 | 23,460 | 24,403 | |
Kinder Morgan Inc. | 7.250% | 6/1/18 | 22,550 | 24,412 | |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 8,000 | 8,159 | |
Marathon Oil Corp. | 5.900% | 3/15/18 | 13,565 | 14,192 | |
Marathon Oil Corp. | 2.700% | 6/1/20 | 22,270 | 21,129 | |
Nabors Industries Inc. | 2.350% | 9/15/16 | 16,600 | 16,583 | |
Nabors Industries Inc. | 6.150% | 2/15/18 | 19,540 | 20,346 | |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 50,620 | 50,821 | |
Occidental Petroleum Corp. | 2.600% | 4/15/22 | 30,565 | 31,375 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 4,375 | 4,602 | |
ONEOK Partners LP | 2.000% | 10/1/17 | 975 | 976 | |
ONEOK Partners LP | 3.200% | 9/15/18 | 11,720 | 11,964 | |
Petro-Canada | 6.050% | 5/15/18 | 4,885 | 5,245 | |
Phillips 66 | 2.950% | 5/1/17 | 46,040 | 46,660 | |
Pioneer Natural Resources Co. | 6.650% | 3/15/17 | 4,880 | 5,029 | |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 12,710 | 13,760 | |
Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 24,400 | 25,242 | |
Shell International Finance BV | 5.200% | 3/22/17 | 14,225 | 14,603 | |
Shell International Finance BV | 1.900% | 8/10/18 | 9,775 | 9,910 | |
Shell International Finance BV | 1.625% | 11/10/18 | 14,500 | 14,620 | |
Shell International Finance BV | 2.000% | 11/15/18 | 15,675 | 15,955 | |
Shell International Finance BV | 1.375% | 5/10/19 | 31,750 | 31,810 | |
Shell International Finance BV | 4.300% | 9/22/19 | 10,797 | 11,770 | |
Shell International Finance BV | 2.125% | 5/11/20 | 53,700 | 55,088 | |
Shell International Finance BV | 2.250% | 11/10/20 | 48,750 | 50,341 | |
Shell International Finance BV | 1.875% | 5/10/21 | 48,500 | 48,979 | |
Shell International Finance BV | 3.250% | 5/11/25 | 14,000 | 14,817 | |
Shell International Finance BV | 2.875% | 5/10/26 | 6,500 | 6,656 | |
Shell International Finance BV | 4.000% | 5/10/46 | 7,800 | 7,986 | |
7 | Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 11,453 | 11,719 |
Southern Natural Gas Co. LLC / Southern Natural | |||||
Issuing Corp. | 4.400% | 6/15/21 | 6,395 | 6,895 | |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,770 | 9,979 | |
Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 24,960 | 26,387 | |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 43,977 | 44,221 | |
Total Capital International SA | 1.500% | 2/17/17 | 28,278 | 28,356 | |
Total Capital International SA | 1.550% | 6/28/17 | 17,925 | 17,972 | |
Total Capital International SA | 2.125% | 1/10/19 | 39,500 | 40,245 | |
Total Capital International SA | 2.100% | 6/19/19 | 14,600 | 14,939 |
31
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
9 | Total Capital International SA | 4.250% | 11/26/21 | 5,378 | 4,340 |
Total Capital SA | 2.125% | 8/10/18 | 11,627 | 11,835 | |
Total Capital SA | 4.450% | 6/24/20 | 16,550 | 18,357 | |
Total Capital SA | 4.250% | 12/15/21 | 19,525 | 21,878 | |
4,10 | TOTAL SA | 2.625% | 12/29/49 | 4,540 | 4,817 |
Transocean Inc. | 6.800% | 12/15/16 | 60,726 | 60,878 | |
Transocean Inc. | 3.750% | 10/15/17 | 65,947 | 64,298 | |
Valero Energy Corp. | 6.125% | 6/15/17 | 9,010 | 9,379 | |
Williams Partners LP | 5.250% | 3/15/20 | 14,650 | 15,401 | |
Williams Partners LP | 4.000% | 11/15/21 | 4,150 | 4,217 | |
7 | Woodside Finance Ltd. | 8.750% | 3/1/19 | 15,850 | 18,405 |
Other Industrial (0.4%) | |||||
10 | CK Hutchison Finance 16 Ltd. | 1.250% | 4/6/23 | 6,700 | 7,636 |
10 | Fluor Corp. | 1.750% | 3/21/23 | 32,440 | 38,805 |
10 | Hutchison Whampoa Europe Finance 12 Ltd. | 3.625% | 6/6/22 | 11,183 | 14,529 |
7 | Hutchison Whampoa Finance CI Ltd. | 7.450% | 8/1/17 | 10,320 | 10,940 |
7 | Hutchison Whampoa International 09 Ltd. | 7.625% | 4/9/19 | 118,427 | 136,859 |
7 | Hutchison Whampoa International 14 Ltd. | 1.625% | 10/31/17 | 40,045 | 40,201 |
Technology (2.6%) | |||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 20,025 | 22,143 | |
Altera Corp. | 2.500% | 11/15/18 | 50,500 | 52,161 | |
Amphenol Corp. | 2.550% | 1/30/19 | 9,127 | 9,308 | |
Apple Inc. | 1.300% | 2/23/18 | 14,635 | 14,735 | |
Apple Inc. | 2.100% | 5/6/19 | 48,285 | 49,612 | |
6,9 | Apple Inc. | 2.638% | 8/28/19 | 47,190 | 35,708 |
9 | Apple Inc. | 2.850% | 8/28/19 | 34,710 | 26,791 |
Apple Inc. | 1.550% | 2/7/20 | 19,535 | 19,747 | |
Apple Inc. | 2.000% | 5/6/20 | 25,650 | 26,312 | |
Apple Inc. | 2.250% | 2/23/21 | 100,900 | 104,475 | |
Apple Inc. | 2.850% | 5/6/21 | 37,000 | 39,244 | |
Apple Inc. | 1.550% | 8/4/21 | 35,000 | 35,078 | |
Applied Materials Inc. | 2.625% | 10/1/20 | 23,420 | 24,302 | |
Autodesk Inc. | 3.125% | 6/15/20 | 11,300 | 11,616 | |
Baidu Inc. | 2.250% | 11/28/17 | 16,615 | 16,782 | |
Baidu Inc. | 3.250% | 8/6/18 | 31,200 | 31,998 | |
Baidu Inc. | 2.750% | 6/9/19 | 17,575 | 17,926 | |
CA Inc. | 3.600% | 8/1/20 | 10,730 | 11,199 | |
Cisco Systems Inc. | 4.450% | 1/15/20 | 27,210 | 30,128 | |
Cisco Systems Inc. | 2.200% | 2/28/21 | 43,910 | 45,314 | |
Corning Inc. | 6.625% | 5/15/19 | 5,575 | 6,254 | |
Corning Inc. | 4.250% | 8/15/20 | 5,930 | 6,401 | |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 78,090 | 80,330 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 67,815 | 70,909 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.875% | 6/15/21 | 9,970 | 10,419 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 7.125% | 6/15/24 | 9,970 | 10,718 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 6,560 | 7,427 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 6,560 | 7,506 |
EMC Corp. | 1.875% | 6/1/18 | 16,210 | 16,062 | |
EMC Corp. | 2.650% | 6/1/20 | 20,460 | 20,200 | |
Equifax Inc. | 6.300% | 7/1/17 | 4,880 | 5,094 | |
Equifax Inc. | 2.300% | 6/1/21 | 6,830 | 6,919 | |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 18,406 | 18,406 | |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 3,015 | 3,031 | |
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 36,474 | 37,393 | |
Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 44,500 | 47,318 | |
Fiserv Inc. | 2.700% | 6/1/20 | 12,151 | 12,611 | |
7 | Hewlett Packard Enterprise Co. | 2.450% | 10/5/17 | 38,540 | 39,009 |
7 | Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 45,105 | 46,296 |
7 | Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 65,207 | 68,866 |
Intel Corp. | 1.950% | 10/1/16 | 7,566 | 7,582 | |
Intel Corp. | 1.350% | 12/15/17 | 28,503 | 28,677 | |
9 | Intel Corp. | 3.250% | 12/1/19 | 16,670 | 12,936 |
Intel Corp. | 2.450% | 7/29/20 | 19,700 | 20,575 |
32
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Intel Corp. | 3.300% | 10/1/21 | 2,495 | 2,723 | |
International Business Machines Corp. | 5.700% | 9/14/17 | 25,910 | 27,295 | |
International Business Machines Corp. | 7.625% | 10/15/18 | 6,040 | 6,884 | |
KLA-Tencor Corp. | 2.375% | 11/1/17 | 13,845 | 13,953 | |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 3,625 | 3,750 | |
Lam Research Corp. | 2.750% | 3/15/20 | 24,420 | 25,147 | |
Oracle Corp. | 2.375% | 1/15/19 | 38,718 | 39,912 | |
Oracle Corp. | 5.000% | 7/8/19 | 16,368 | 18,116 | |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 687 | 713 | |
Pitney Bowes Inc. | 5.600% | 3/15/18 | 4,880 | 5,169 | |
Seagate HDD Cayman | 3.750% | 11/15/18 | 13,715 | 13,955 | |
Total System Services Inc. | 3.800% | 4/1/21 | 24,521 | 26,033 | |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 8,270 | 8,768 | |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 14,650 | 14,737 | |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 18,380 | 18,746 | |
Xilinx Inc. | 2.125% | 3/15/19 | 19,555 | 19,809 | |
Transportation (1.2%) | |||||
4,7 | AA Aircraft Financing 2013-1 LLC | 6.500% | 11/1/17 | 17,270 | 17,270 |
4,7 | American Airlines 2013-2 Class A Pass Through Trust | 3.596% | 11/1/19 | 23,506 | 23,270 |
4,7 | American Airlines 2016-2 Class B Pass Through Trust | 4.375% | 6/15/24 | 18,419 | 18,603 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 8,095 | 8,793 | |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 24,850 | 27,740 | |
Canadian National Railway Co. | 5.850% | 11/15/17 | 14,960 | 15,872 | |
4 | Continental Airlines 1997-4 Class A Pass Through Trust | 6.900% | 7/2/19 | 1,684 | 1,717 |
4 | Continental Airlines 1998-1 Class A Pass Through Trust | 6.648% | 3/15/19 | 868 | 894 |
4 | Continental Airlines 1998-1 Class B Pass Through Trust | 6.748% | 9/15/18 | 3,539 | 3,650 |
4 | Continental Airlines 1999-1 Class B Pass Through Trust | 6.795% | 2/2/20 | 389 | 402 |
4 | Continental Airlines 2000-1 Class A-1 Pass Through | ||||
Trust | 8.048% | 11/1/20 | 3,352 | 3,745 | |
4 | Continental Airlines 2005-ERJ1 Pass Through Trust | 9.798% | 10/1/22 | 12,000 | 13,440 |
4 | Continental Airlines 2012-2 Class B Pass Through Trust | 5.500% | 4/29/22 | 2,601 | 2,692 |
Continental Airlines 2012-3 Class C Pass Thru | |||||
Certificates | 6.125% | 4/29/18 | 49,605 | 52,271 | |
4 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718% | 7/2/24 | 21,387 | 24,381 |
4 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 35,821 | 41,821 |
4 | Delta Air Lines 2007-1 Class B Pass Through Trust | 8.021% | 8/10/22 | 10,222 | 11,653 |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 23,486 | 26,715 |
4 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 8,540 | 9,149 |
4 | Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 4,399 | 4,662 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 2,241 | 2,392 |
7 | ERAC USA Finance LLC | 6.375% | 10/15/17 | 31,967 | 33,790 |
7 | ERAC USA Finance LLC | 2.800% | 11/1/18 | 16,645 | 17,047 |
7 | ERAC USA Finance LLC | 2.350% | 10/15/19 | 11,715 | 11,902 |
7 | HPHT Finance 15 Ltd. | 2.250% | 3/17/18 | 29,305 | 29,493 |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 5,100 | 5,160 | |
4,6,13 | JetBlue Airways 2004-2 G-2 Pass Through Trust | 1.076% | 5/15/18 | 9,655 | 9,634 |
Kansas City Southern | 2.350% | 5/15/20 | 9,570 | 9,614 | |
4 | Northwest Airlines 2007-1 Class B Pass Through Trust | 8.028% | 11/1/17 | 22,010 | 23,550 |
9 | Qantas Airways Ltd. | 7.500% | 6/11/21 | 39,580 | 34,279 |
9 | Qantas Airways Ltd. | 7.750% | 5/19/22 | 17,000 | 15,110 |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.650% | 8/1/22 | 13,502 | 14,920 |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 4,798 | 5,482 |
4 | Spirit Airlines 2015-1 Pass Through Trust B | 4.450% | 10/1/25 | 14,650 | 14,705 |
4 | UAL 2007-1 Pass Through Trust | 6.636% | 7/2/22 | 19,333 | 20,710 |
Union Pacific Corp. | 5.750% | 11/15/17 | 9,624 | 10,198 | |
Union Pacific Corp. | 5.700% | 8/15/18 | 28,989 | 31,609 | |
Union Pacific Corp. | 2.250% | 2/15/19 | 15,645 | 16,044 | |
Union Pacific Corp. | 1.800% | 2/1/20 | 8,400 | 8,536 | |
Union Pacific Corp. | 2.250% | 6/19/20 | 24,425 | 25,100 | |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 6,335 | 6,668 | |
4 | US Airways 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 7,387 | 8,033 |
7 | WestJet Airlines Ltd. | 3.500% | 6/16/21 | 28,980 | 29,567 |
13,482,262 |
33
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Utilities (2.7%) | |||||
Electric (2.6%) | |||||
Arizona Public Service Co. | 8.750% | 3/1/19 | 29,145 | 34,343 | |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 38,425 | 41,233 | |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 39,110 | 39,743 | |
Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 17,600 | 18,117 | |
7 | Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 20,030 | 21,184 |
7 | Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 1,895 | 2,094 |
CMS Energy Corp. | 5.050% | 2/15/18 | 45,536 | 48,018 | |
CMS Energy Corp. | 6.250% | 2/1/20 | 9,141 | 10,486 | |
Commonwealth Edison Co. | 5.950% | 8/15/16 | 10,233 | 10,252 | |
Commonwealth Edison Co. | 1.950% | 9/1/16 | 5,316 | 5,316 | |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 27,867 | 29,473 | |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 36,085 | 38,844 | |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 6,840 | 6,981 | |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 23,498 | 25,802 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 6,990 | 7,564 | |
Duke Energy Corp. | 3.750% | 4/15/24 | 17,040 | 18,579 | |
7 | EDP Finance BV | 6.000% | 2/2/18 | 70,195 | 74,067 |
7 | EDP Finance BV | 4.900% | 10/1/19 | 36,572 | 39,147 |
7 | EDP Finance BV | 4.125% | 1/15/20 | 48,190 | 50,526 |
7 | EDP Finance BV | 5.250% | 1/14/21 | 10,160 | 11,070 |
7 | Emera US Finance LP | 2.150% | 6/15/19 | 19,105 | 19,380 |
7 | Emera US Finance LP | 2.700% | 6/15/21 | 11,635 | 11,933 |
7 | Emera US Finance LP | 3.550% | 6/15/26 | 9,190 | 9,647 |
7 | Emera US Finance LP | 4.750% | 6/15/46 | 15,295 | 16,746 |
Exelon Corp. | 1.550% | 6/9/17 | 23,800 | 23,853 | |
Exelon Corp. | 2.850% | 6/15/20 | 21,460 | 22,258 | |
Exelon Corp. | 2.450% | 4/15/21 | 4,900 | 5,002 | |
Exelon Corp. | 3.950% | 6/15/25 | 10,230 | 11,135 | |
FirstEnergy Corp. | 2.750% | 3/15/18 | 23,426 | 23,738 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 27,229 | 28,946 | |
7 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 28,370 | 30,454 |
4,7 | FPL Energy Marcus Hook LP | 7.590% | 7/10/18 | 15,923 | 16,958 |
Georgia Power Co. | 5.400% | 6/1/18 | 7,815 | 8,401 | |
Georgia Power Co. | 1.950% | 12/1/18 | 26,270 | 26,740 | |
Georgia Power Co. | 2.400% | 4/1/21 | 19,500 | 20,221 | |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 13,482 | 14,484 | |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 14,170 | 14,843 | |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 36,392 | 38,738 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 27,320 | 28,175 | |
Nevada Power Co. | 6.500% | 5/15/18 | 32,715 | 35,827 | |
Nevada Power Co. | 6.500% | 8/1/18 | 9,683 | 10,702 | |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 24,604 | 25,691 | |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 2,290 | 2,539 | |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 6,824 | 8,694 | |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 52,634 | 55,608 | |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 32,830 | 37,640 | |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 53,968 | 58,229 | |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 14,840 | 16,424 | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 7,410 | 7,928 | |
PacifiCorp | 5.650% | 7/15/18 | 20,566 | 22,384 | |
PacifiCorp | 5.500% | 1/15/19 | 4,630 | 5,086 | |
PacifiCorp | 3.850% | 6/15/21 | 3,900 | 4,289 | |
SCANA Corp. | 4.750% | 5/15/21 | 7,705 | 8,219 | |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 1,125 | 1,221 | |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 12,181 | 13,584 | |
Southern Co. | 1.550% | 7/1/18 | 28,865 | 29,073 | |
Southern Co. | 1.850% | 7/1/19 | 48,470 | 49,057 | |
Southern Co. | 2.750% | 6/15/20 | 18,710 | 19,429 | |
Southern Co. | 2.350% | 7/1/21 | 86,025 | 87,775 | |
10 | Southern Power Co. | 1.000% | 6/20/22 | 14,500 | 16,650 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 10,080 | 10,736 | |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 48,811 | 54,296 |
34
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Natural Gas (0.1%) | |||||
Sempra Energy | 2.300% | 4/1/17 | 36,630 | 36,904 | |
Sempra Energy | 6.150% | 6/15/18 | 23,335 | 25,276 | |
Sempra Energy | 2.400% | 3/15/20 | 10,265 | 10,486 | |
Sempra Energy | 2.850% | 11/15/20 | 9,770 | 10,124 | |
1,568,362 | |||||
Total Corporate Bonds (Cost $29,114,084) | 29,602,790 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (6.5%) | |||||
Abu Dhabi National Energy Co. PJSC | 4.125% | 3/13/17 | 4,077 | 4,132 | |
Argentine Republic | 7.000% | 4/17/17 | 9,760 | 9,971 | |
Argentine Republic | 8.750% | 6/2/17 | 7,810 | 8,165 | |
Argentine Republic | 6.250% | 4/22/19 | 19,525 | 20,692 | |
7 | Avi Funding Co. Ltd. | 2.850% | 9/16/20 | 11,075 | 11,388 |
7 | Banco de Costa Rica | 5.250% | 8/12/18 | 4,800 | 4,968 |
7 | Banco del Estado de Chile | 2.000% | 11/9/17 | 6,200 | 6,210 |
7 | Banco Latinoamericano de Comercio Exterior SA | 3.750% | 4/4/17 | 3,900 | 3,958 |
Banco Latinoamericano de Comercio Exterior SA | 3.750% | 4/4/17 | 38,610 | 39,069 | |
7 | Banco Nacional de Desenvolvimento Economico e | ||||
Social | 3.375% | 9/26/16 | 6,400 | 6,392 | |
Banco Nacional de Desenvolvimento Economico e | |||||
Social | 6.369% | 6/16/18 | 6,830 | 7,154 | |
7 | Bank Nederlandse Gemeenten NV | 0.875% | 2/21/17 | 23,500 | 23,509 |
7 | Bank Nederlandse Gemeenten NV | 1.125% | 5/25/18 | 29,970 | 30,057 |
7 | Bank Nederlandse Gemeenten NV | 2.500% | 1/23/23 | 2,450 | 2,600 |
7 | Banque Ouest Africaine de Developpement | 5.500% | 5/6/21 | 6,500 | 6,798 |
7 | Bermuda | 4.138% | 1/3/23 | 6,000 | 6,294 |
7 | Bermuda | 4.854% | 2/6/24 | 5,800 | 6,333 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.125% | 1/30/17 | 3,000 | 3,008 |
7 | Caisse d'Amortissement de la Dette Sociale | 1.375% | 1/29/18 | 4,875 | 4,923 |
7 | Caixa Economica Federal | 2.375% | 11/6/17 | 12,375 | 12,143 |
7 | CDP Financial Inc. | 4.400% | 11/25/19 | 9,750 | 10,695 |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 24,580 | 26,759 |
7 | CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,800 | 1,920 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 4,000 | 4,002 | |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 38,025 | 38,074 | |
7 | CNPC General Capital Ltd. | 2.750% | 4/19/17 | 4,875 | 4,925 |
7 | CNPC General Capital Ltd. | 2.750% | 5/14/19 | 9,765 | 9,946 |
Corp. Andina de Fomento | 5.750% | 1/12/17 | 8,900 | 9,080 | |
Corp. Andina de Fomento | 7.790% | 3/1/17 | 9,570 | 9,919 | |
Corp. Andina de Fomento | 1.500% | 8/8/17 | 8,790 | 8,796 | |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 30,472 | 33,835 | |
Corp. Financiera de Desarrollo SA | 3.250% | 7/15/19 | 2,000 | 2,056 | |
7 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 4,825 | 5,205 |
7 | Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 9,896 | 10,648 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 2,800 | 2,998 | |
7 | Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 21,105 | 21,267 |
Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 4,610 | 4,646 | |
14 | Development Bank of Japan Inc. | 5.125% | 2/1/17 | 4,800 | 4,896 |
7,15 | Dexia Credit Local SA | 1.250% | 10/18/16 | 12,700 | 12,708 |
Ecopetrol SA | 5.875% | 9/18/23 | 15,300 | 15,988 | |
Ecopetrol SA | 7.375% | 9/18/43 | 2,340 | 2,328 | |
7 | Electricite de France SA | 1.150% | 1/20/17 | 58,610 | 58,533 |
7 | Electricite de France SA | 2.150% | 1/22/19 | 34,190 | 34,806 |
9 | Emirates NBD PJSC | 5.750% | 5/8/19 | 10,770 | 8,527 |
4,7 | ENA Norte Trust | 4.950% | 4/25/28 | 1,658 | 1,741 |
7 | Export Credit Bank of Turkey | 5.375% | 2/8/21 | 14,550 | 14,881 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 18,695 | 18,817 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 160,330 | 162,398 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 11,700 | 12,057 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 20,000 | 22,434 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,000 | 2,193 | |
4 | Federative Republic of Brazil | 8.000% | 1/15/18 | 15,847 | 16,639 |
35
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Fondo MIVIVIENDA SA | 3.375% | 4/2/19 | 4,850 | 4,936 | |
7 | Fondo MIVIVIENDA SA | 3.375% | 4/2/19 | 19,500 | 19,963 |
Gazprom OAO Via Gaz Capital SA | 9.250% | 4/23/19 | 2,004 | 2,298 | |
7 | ICBCIL Finance Co. Ltd. | 2.375% | 5/19/19 | 7,900 | 7,909 |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 14,720 | 14,827 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 15,950 | 16,567 | |
International Bank for Reconstruction & Development | 0.625% | 10/14/16 | 10,000 | 9,997 | |
International Bank for Reconstruction & Development | 1.375% | 5/24/21 | 57,650 | 58,124 | |
7 | IPIC GMTN Ltd. | 3.750% | 3/1/17 | 2,850 | 2,885 |
14 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 26,800 | 26,974 |
14 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 9,750 | 10,698 |
KazMunayGas National Co. JSC | 9.125% | 7/2/18 | 53,110 | 58,572 | |
7 | Kommunalbanken AS | 0.875% | 10/3/16 | 9,775 | 9,777 |
7 | Kommunalbanken AS | 1.125% | 5/23/18 | 31,300 | 31,228 |
Korea Development Bank | 4.000% | 9/9/16 | 5,200 | 5,217 | |
Korea Development Bank | 3.250% | 9/20/16 | 9,800 | 9,831 | |
Korea Development Bank | 3.875% | 5/4/17 | 24,125 | 24,625 | |
Korea Development Bank | 2.250% | 8/7/17 | 19,445 | 19,653 | |
Korea Development Bank | 3.500% | 8/22/17 | 22,675 | 23,194 | |
Korea Development Bank | 1.500% | 1/22/18 | 5,850 | 5,856 | |
Korea Expressway Corp. | 1.625% | 4/28/17 | 9,800 | 9,810 | |
7 | Korea Expressway Corp. | 1.625% | 4/28/17 | 9,800 | 9,810 |
Korea Expressway Corp. | 1.875% | 10/22/17 | 22,630 | 22,775 | |
7 | Korea Expressway Corp. | 1.875% | 10/22/17 | 1,000 | 1,005 |
Korea Gas Corp. | 2.875% | 7/29/18 | 4,800 | 4,928 | |
7 | Korea Land & Housing Corp. | 1.875% | 8/2/17 | 7,000 | 7,027 |
7 | Korea National Oil Corp. | 4.000% | 10/27/16 | 19,201 | 19,329 |
Korea National Oil Corp. | 2.750% | 1/23/19 | 14,650 | 15,051 | |
7 | Korea Resources Corp. | 2.125% | 5/2/18 | 4,675 | 4,716 |
7 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 7,800 | 7,999 |
7 | Majapahit Holding BV | 7.250% | 6/28/17 | 2,000 | 2,100 |
Majapahit Holding BV | 8.000% | 8/7/19 | 16,600 | 19,055 | |
North American Development Bank | 2.300% | 10/10/18 | 3,675 | 3,744 | |
North American Development Bank | 2.400% | 10/26/22 | 2,700 | 2,758 | |
7 | OCP SA | 5.625% | 4/25/24 | 8,325 | 9,064 |
7 | Ooredoo International Finance Ltd. | 3.375% | 10/14/16 | 9,025 | 9,056 |
7 | Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | 4,925 | 5,032 |
7 | Ooredoo International Finance Ltd. | 3.875% | 1/31/28 | 1,800 | 1,857 |
4 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 9,470 | 9,553 |
7 | Perusahaan Penerbit SBSN Indonesia II | 4.000% | 11/21/18 | 4,800 | 4,992 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 19,509 | 18,851 | |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 21,490 | 22,484 | |
Petrobras International Finance Co. SA | 6.125% | 10/6/16 | 11,427 | 11,398 | |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 28,519 | 30,123 | |
Petrobras International Finance Co. SA | 5.750% | 1/20/20 | 27,965 | 27,860 | |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 8,578 | 8,117 | |
Petroleos Mexicanos | 5.750% | 3/1/18 | 189,575 | 198,733 | |
7 | Petroleos Mexicanos | 5.500% | 2/4/19 | 26,823 | 28,425 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 118,468 | 133,230 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 60,666 | 64,408 | |
7 | Petroleos Mexicanos | 6.375% | 2/4/21 | 7,462 | 8,193 |
Province of Manitoba | 1.300% | 4/3/17 | 32,225 | 32,289 | |
Province of New Brunswick | 2.750% | 6/15/18 | 485 | 498 | |
Province of Ontario | 1.200% | 2/14/18 | 5,200 | 5,213 | |
Province of Ontario | 3.000% | 7/16/18 | 15,905 | 16,482 | |
Province of Ontario | 1.625% | 1/18/19 | 71,920 | 72,736 | |
Province of Ontario | 1.250% | 6/17/19 | 24,405 | 24,532 | |
Province of Ontario | 1.875% | 5/21/20 | 9,770 | 9,939 | |
Province of Ontario | 2.500% | 4/27/26 | 5,515 | 5,775 | |
Quebec | 5.125% | 11/14/16 | 11,000 | 11,131 | |
Quebec | 3.500% | 7/29/20 | 4,750 | 5,138 | |
Quebec | 2.750% | 8/25/21 | 16,785 | 17,721 | |
Quebec | 2.625% | 2/13/23 | 5,150 | 5,404 | |
Quebec | 2.875% | 10/16/24 | 6,750 | 7,208 |
36
Vanguard® Short-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 4,618 | 4,970 |
4 | Ras Laffan Liquefied Natural Gas Co. Ltd. II | 5.298% | 9/30/20 | 7,154 | 7,681 |
Republic of Colombia | 7.375% | 1/27/17 | 53,695 | 55,306 | |
Republic of Colombia | 7.375% | 3/18/19 | 8,595 | 9,798 | |
Republic of Colombia | 4.375% | 7/12/21 | 16,734 | 17,864 | |
Republic of Croatia | 6.250% | 4/27/17 | 47,320 | 48,743 | |
Republic of Hungary | 4.000% | 3/25/19 | 30,950 | 32,227 | |
Republic of Hungary | 6.250% | 1/29/20 | 39,340 | 43,864 | |
Republic of Hungary | 6.375% | 3/29/21 | 12,000 | 13,740 | |
Republic of Indonesia | 6.875% | 3/9/17 | 4,885 | 5,039 | |
Republic of Indonesia | 6.875% | 1/17/18 | 11,463 | 12,312 | |
Republic of Indonesia | 5.875% | 3/13/20 | 22,038 | 24,632 | |
Republic of Indonesia | 4.875% | 5/5/21 | 26,535 | 29,109 | |
10 | Republic of Indonesia | 2.875% | 7/8/21 | 25,485 | 30,128 |
10 | Republic of Indonesia | 2.625% | 6/14/23 | 15,620 | 18,123 |
10 | Republic of Indonesia | 3.375% | 7/30/25 | 18,070 | 21,565 |
Republic of Indonesia | 6.625% | 2/17/37 | 3,440 | 4,445 | |
Republic of Kazakhstan | 3.875% | 10/14/24 | 17,360 | 17,569 | |
Republic of Kazakhstan | 4.875% | 10/14/44 | 15,200 | 15,081 | |
Republic of Korea | 5.125% | 12/7/16 | 9,750 | 9,896 | |
7 | Republic of Latvia | 5.250% | 2/22/17 | 2,000 | 2,045 |
7 | Republic of Latvia | 2.750% | 1/12/20 | 4,000 | 4,162 |
Republic of Lithuania | 7.375% | 2/11/20 | 33,625 | 39,628 | |
7 | Republic of Lithuania | 7.375% | 2/11/20 | 55,400 | 65,398 |
Republic of Lithuania | 6.125% | 3/9/21 | 5,905 | 6,925 | |
Republic of Namibia | 5.500% | 11/3/21 | 8,850 | 9,455 | |
Republic of Namibia | 5.250% | 10/29/25 | 4,895 | 5,095 | |
Republic of Poland | 6.375% | 7/15/19 | 59,240 | 67,460 | |
Republic of Poland | 5.125% | 4/21/21 | 23,840 | 27,148 | |
Republic of Poland | 5.000% | 3/23/22 | 43,605 | 49,982 | |
10 | Republic of Romania | 2.750% | 10/29/25 | 14,635 | 17,088 |
Republic of Serbia | 5.250% | 11/21/17 | 4,800 | 4,954 | |
7 | Republic of Serbia | 5.250% | 11/21/17 | 22,470 | 23,200 |
Republic of Slovakia | 4.375% | 5/21/22 | 3,000 | 3,431 | |
7 | Republic of Slovakia | 4.375% | 5/21/22 | 5,500 | 6,297 |
7 | Republic of Slovenia | 5.250% | 2/18/24 | 10,700 | 12,144 |
Republic of Turkey | 7.000% | 9/26/16 | 100,305 | 100,932 | |
Republic of Turkey | 7.500% | 7/14/17 | 167,694 | 175,450 | |
Republic of Turkey | 6.750% | 4/3/18 | 110,120 | 116,452 | |
Republic of Turkey | 7.000% | 3/11/19 | 7,180 | 7,781 | |
Republic of Turkey | 5.625% | 3/30/21 | 12,355 | 13,189 | |
Republic of Turkey | 4.875% | 4/16/43 | 7,601 | 7,021 | |
SABIC Capital II BV | 2.625% | 10/3/18 | 9,600 | 9,721 | |
7 | Sinopec Group Overseas Development 2012 Ltd. | 2.750% | 5/17/17 | 5,775 | 5,834 |
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 20,200 | 22,318 |
Sinopec Group Overseas Development 2014 Ltd. | 1.750% | 4/10/17 | 2,000 | 2,005 | |
State Bank of India | 4.125% | 8/1/17 | 33,613 | 34,414 | |
State of Israel | 5.500% | 11/9/16 | 4,875 | 4,930 | |
State of Israel | 4.000% | 6/30/22 | 6,700 | 7,471 | |
State of Israel | 3.150% | 6/30/23 | 6,000 | 6,423 | |
State of Israel | 2.875% | 3/16/26 | 9,635 | 9,997 | |
7 | State of Qatar | 3.125% | 1/20/17 | 8,000 | 8,070 |
Statoil ASA | 1.800% | 11/23/16 | 5,900 | 5,912 | |
Statoil ASA | 3.125% | 8/17/17 | 8,956 | 9,142 | |
Statoil ASA | 1.200% | 1/17/18 | 21,105 | 21,101 | |
Statoil ASA | 2.250% | 11/8/19 | 19,500 | 19,992 | |
Statoil ASA | 2.900% | 11/8/20 | 10,000 | 10,492 | |
Statoil ASA | 3.150% | 1/23/22 | 2,000 | 2,118 | |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 4,900 | 4,933 | |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 9,750 | 9,771 | |
7 | Temasek Financial I Ltd. | 4.300% | 10/25/19 | 7,250 | 7,927 |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 5,000 | 5,163 |
7 | Turkiye Halk Bankasi AS | 4.875% | 7/19/17 | 1,800 | 1,814 |
United Mexican States | 5.625% | 1/15/17 | 185,592 | 189,274 |
37
Vanguard® Short-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Vnesheconombank Via VEB Finance plc | 5.450% | 11/22/17 | 1,900 | 1,954 |
YPF SA | 8.875% | 12/19/18 | 2,440 | 2,635 |
Total Sovereign Bonds (Cost $3,641,696) | 3,700,901 | |||
Taxable Municipal Bonds (0.4%) | ||||
California Department of Water Resources Water | ||||
System Revenue (Central Valley Project) | 1.871% | 12/1/19 | 9,800 | 9,975 |
California GO | 5.950% | 3/1/18 | 26,110 | 28,072 |
California GO | 6.200% | 10/1/19 | 13,650 | 15,694 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.107% | 7/1/18 | 5,350 | 5,459 |
George Washington University District of Columbia GO | 3.485% | 9/15/22 | 4,800 | 5,162 |
Harris County TX Toll Road Revenue | 1.361% | 8/15/17 | 9,750 | 9,822 |
Illinois GO | 5.365% | 3/1/17 | 44,595 | 45,559 |
Illinois GO | 5.665% | 3/1/18 | 4,490 | 4,740 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 1.570% | 1/1/17 | 2,000 | 2,007 |
JobsOhio Beverage System Statewide Liquor Profits | ||||
Revenue | 2.217% | 1/1/19 | 1,850 | 1,900 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
EGSL | 3.220% | 2/1/21 | 26,018 | 26,465 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
ELL | 3.450% | 2/1/22 | 13,800 | 14,214 |
6 Mississippi GO (Nissan North America, Inc. Project) | 1.167% | 11/1/17 | 12,180 | 12,185 |
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 | 2,385 |
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 5,250 | 5,625 |
Sutter Health California GO | 1.090% | 8/15/53 | 10,000 | 9,950 |
University of California Revenue | 2.054% | 5/15/18 | 3,400 | 3,468 |
University of California Revenue | 1.745% | 5/15/19 | 6,250 | 6,365 |
Total Taxable Municipal Bonds (Cost $205,074) | 209,047 | |||
Tax-Exempt Municipal Bonds (0.0%) | ||||
Calhoun County TX Navigation Industrial Development | ||||
Authority Port Revenue (BP plc) VRDO (Cost | ||||
$10,000) | 0.730% | 8/5/16 | 10,000 | 10,000 |
Shares | ||||
Convertible Preferred Stocks (0.0%) | ||||
12 Lehman Brothers Holdings Inc. Pfd. (Cost $28,924) | 7.250% | 29,160 | — | |
Temporary Cash Investment (0.9%) | ||||
Money Market Fund (0.9%) | ||||
16 Vanguard Market Liquidity Fund (Cost | ||||
$496,417) | 0.561% | 496,417,000 | 496,417 | |
Total Investments (99.7%) (Cost $55,672,108) | 56,518,047 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $135.00 | 8/26/16 | 1,659 | (181) | |
Call Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $134.00 | 9/23/16 | 666 | (198) | |
Put Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $132.50 | 8/26/16 | 1,659 | (726) | |
Put Options on 10-year U.S. Treasury Note Futures Contracts, Strike Price $130.50 | 8/26/16 | 662 | (52) |
38
Vanguard® Short-Term Investment-Grade Fund | |
Schedule of Investments | |
July 31, 2016 | |
Total Liability for Options Written (Premiums Received $2,290) | (1,157) |
Other Assets and Liabilities—Net (0.3%) | 174,950 |
Net Assets (100%) | 56,691,840 |
1 | Securities with a value of $22,941,000 have been segregated as initial margin for open cleared swap contracts. |
2 | Securities with a value of $37,832,000 have been segregated as initial margin for open futures contracts. |
3 | Securities with a value of $4,835,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap 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, 2016, the aggregate value of these securities was $8,170,531,000, representing 14.4% of net assets. |
8 | Security made only partial principal and/or interest payments during the period ended July 31, 2016. |
9 | Face amount denominated in Australian dollars. |
10 | Face amount denominated in Euro. |
11 | Face amount denominated in British pounds. |
12 | Non-income-producing security--security in default. |
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 | 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. |
VRDO—Variable Rate Demand Obligation.
39
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (7.1%) | |||||
U.S. Government Securities (7.1%) | |||||
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 372,092 | 396,835 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 9,209 | 9,371 | |
United States Treasury Note/Bond | 0.500% | 9/30/16 | 315 | 315 | |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 161,400 | 163,014 | |
1 | United States Treasury Note/Bond | 1.250% | 1/31/19 | 82,000 | 83,102 |
2 | United States Treasury Note/Bond | 1.500% | 1/31/19 | 137,000 | 139,655 |
3 | United States Treasury Note/Bond | 0.750% | 2/15/19 | 146,400 | 146,514 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 45,000 | 45,900 | |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 49,000 | 49,352 | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 100,000 | 100,375 | |
3 | United States Treasury Note/Bond | 1.625% | 4/30/19 | 163,200 | 167,127 |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 50,000 | 50,187 | |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 54,000 | 55,139 | |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 104,000 | 104,358 | |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 1,530 | 1,661 | |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 22,832 | 23,346 | |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 20,000 | 20,659 | |
United States Treasury Note/Bond | 1.375% | 6/30/23 | 38,000 | 38,237 | |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 12,771 | 13,386 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 100,000 | 107,000 | |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 161,000 | 163,465 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 77,000 | 78,191 | |
1,957,189 | |||||
Nonconventional Mortgage-Backed Securities (0.0%) | |||||
4,5,6 | Freddie Mac Non Gold Pool | 2.500% | 8/1/32 | 320 | 332 |
4,5,6 | Freddie Mac Non Gold Pool | 2.643% | 9/1/32 | 154 | 158 |
490 | |||||
Total U.S. Government and Agency Obligations (Cost $1,943,356) | 1,957,679 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (14.0%) | |||||
4 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 3,000 | 2,999 |
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 4,300 | 4,336 |
4 | Ally Auto Receivables Trust 2015-1 | 2.260% | 10/15/20 | 1,545 | 1,558 |
4 | Ally Master Owner Trust Series 2012-5 | 1.540% | 9/15/19 | 2,620 | 2,626 |
4,6 | Ally Master Owner Trust Series 2014-1 | 0.951% | 1/15/19 | 3,050 | 3,051 |
4 | Ally Master Owner Trust Series 2014-1 | 1.290% | 1/15/19 | 3,500 | 3,502 |
4 | Ally Master Owner Trust Series 2014-3 | 1.330% | 3/15/19 | 2,400 | 2,402 |
4 | Ally Master Owner Trust Series 2014-5 | 1.600% | 10/15/19 | 10,380 | 10,398 |
4,6 | American Express Credit Account Secured Note Trust | ||||
2012-4 | 1.031% | 5/15/20 | 7,000 | 6,997 | |
4,6,7 | American Homes 4 Rent 2014-SFR1 | 1.482% | 6/17/31 | 1,059 | 1,055 |
4,6,7 | American Homes 4 Rent 2014-SFR1 | 1.832% | 6/17/31 | 970 | 965 |
4,7 | American Homes 4 Rent 2014-SFR2 | 3.786% | 10/17/36 | 4,075 | 4,421 |
4,7 | American Homes 4 Rent 2014-SFR2 | 4.290% | 10/17/36 | 1,060 | 1,152 |
4,7 | American Homes 4 Rent 2014-SFR3 | 3.678% | 12/17/36 | 6,889 | 7,426 |
4,7 | American Homes 4 Rent 2015-SFR1 | 3.467% | 4/17/52 | 5,365 | 5,696 |
4,7 | American Homes 4 Rent 2015-SFR2 | 3.732% | 10/17/45 | 2,887 | 3,127 |
4,7 | American Homes 4 Rent 2015-SFR2 | 4.295% | 10/17/45 | 1,070 | 1,160 |
4,7 | Americold 2010 LLC Trust Series 2010-ARTA | 4.954% | 1/14/29 | 5,475 | 6,083 |
4,7 | Americold 2010 LLC Trust Series 2010-ARTA | 6.811% | 1/14/29 | 3,540 | 4,147 |
4 | AmeriCredit Automobile Receivables Trust 2013-1 | 1.570% | 1/8/19 | 648 | 649 |
4 | AmeriCredit Automobile Receivables Trust 2013-2 | 1.790% | 3/8/19 | 3,100 | 3,106 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 2.380% | 6/10/19 | 1,500 | 1,510 |
4 | AmeriCredit Automobile Receivables Trust 2013-3 | 3.000% | 7/8/19 | 2,500 | 2,526 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 2.720% | 9/9/19 | 1,660 | 1,676 |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 3.310% | 10/8/19 | 2,230 | 2,271 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.290% | 11/8/19 | 1,470 | 1,483 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 2.860% | 12/9/19 | 1,655 | 1,680 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 2.150% | 3/9/20 | 1,000 | 1,005 |
4 | AmeriCredit Automobile Receivables Trust 2014-2 | 2.180% | 6/8/20 | 500 | 505 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 1.540% | 3/9/20 | 9,850 | 9,871 |
40
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 2.080% | 9/8/20 | 2,560 | 2,574 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 2.730% | 3/8/21 | 4,400 | 4,489 |
4 | AmeriCredit Automobile Receivables Trust 2015-3 | 3.340% | 8/8/21 | 3,200 | 3,277 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 1.810% | 10/8/20 | 6,970 | 7,010 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 2.890% | 1/10/22 | 4,190 | 4,276 |
4 | AmeriCredit Automobile Receivables Trust 2016-1 | 3.590% | 2/8/22 | 2,980 | 3,062 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 1.600% | 11/9/20 | 6,460 | 6,462 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 2.210% | 5/10/21 | 2,040 | 2,053 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 2.870% | 11/8/21 | 1,960 | 2,001 |
4 | AmeriCredit Automobile Receivables Trust 2016-2 | 3.650% | 5/9/22 | 3,280 | 3,374 |
4,7 | AOA 2015-1177 Mortgage Trust | 2.957% | 12/13/29 | 1,330 | 1,400 |
4,7 | Applebee's Funding LLC/IHOP Funding LLC 2014-1 | 4.277% | 9/5/44 | 2,090 | 2,125 |
4,7 | ARI Fleet Lease Trust 2015-A | 1.670% | 9/15/23 | 830 | 830 |
4,7 | ARL Second LLC 2014-1A | 2.920% | 6/15/44 | 7,323 | 7,107 |
4,7 | Aventura Mall Trust 2013-AVM | 3.743% | 12/5/32 | 1,370 | 1,482 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2013-1A | 1.920% | 9/20/19 | 5,480 | 5,479 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2013-2A | 2.970% | 2/20/20 | 10,300 | 10,521 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2015-1A | 2.500% | 7/20/21 | 14,310 | 14,441 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2015-2A | 2.630% | 12/20/21 | 15,725 | 15,911 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2016-1A | 2.990% | 6/20/22 | 10,560 | 10,857 |
4,7 | Avis Budget Rental Car Funding AESOP LLC 2016-2 | 2.720% | 11/20/22 | 8,380 | 8,504 |
4,7 | BAMLL Commercial Mortgage Securities Trust 2012- | ||||
PARK | 2.959% | 12/10/30 | 4,975 | 5,238 | |
4 | Banc of America Commercial Mortgage Trust 2006-5 | 5.415% | 9/10/47 | 1,104 | 1,106 |
4 | Banc of America Commercial Mortgage Trust 2006-6 | 5.347% | 10/10/45 | 1,588 | 1,596 |
4 | Banc of America Commercial Mortgage Trust 2007-2 | 5.573% | 4/10/49 | 3,269 | 3,303 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.183% | 2/10/51 | 5,664 | 5,919 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.227% | 2/10/51 | 17,854 | 18,598 |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 3.705% | 9/15/48 | 1,620 | 1,800 | |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 4.366% | 9/15/48 | 585 | 665 | |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 4.366% | 9/15/48 | 360 | 374 | |
4,6,7 | Bank of America Student Loan Trust 2010-1A | 1.514% | 2/25/43 | 7,362 | 7,230 |
7 | Bank of Montreal | 1.750% | 6/15/21 | 7,620 | 7,649 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 4,450 | 4,502 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 7,880 | 7,982 | |
4,7 | Bank of The West Auto Trust 2014-1 | 1.650% | 3/16/20 | 9,400 | 9,410 |
4 | Barclays Dryrock Issuance Trust 2014-3 | 2.410% | 7/15/22 | 15,800 | 16,284 |
4,7 | Beacon Container Finance LLC 2012-1A | 3.720% | 9/20/27 | 2,313 | 2,273 |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.720% | 6/11/40 | 16,596 | 16,914 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.650% | 6/11/50 | 7,272 | 7,510 | |
4,6,7 | BMW Floorplan Master Owner Trust 2015-1A | 0.981% | 7/15/20 | 21,390 | 21,382 |
4 | BMW Vehicle Lease Trust 2015-2 | 1.550% | 2/20/19 | 8,480 | 8,515 |
4,6 | Brazos Higher Education Authority Inc. Series 2005-3 | 0.840% | 6/25/26 | 5,720 | 5,518 |
4,6 | Brazos Higher Education Authority Inc. Series 2011-1 | 1.462% | 2/25/30 | 10,171 | 9,970 |
4 | Cabela's Credit Card Master Note Trust 2015-1A | 2.260% | 3/15/23 | 3,160 | 3,223 |
4,6 | Cabela's Credit Card Master Note Trust 2015-2 | 1.151% | 7/17/23 | 8,920 | 8,823 |
4,6 | Cabelas Credit Card Master Note Trust 2016-1 | 0.998% | 6/15/22 | 8,790 | 8,794 |
4,7 | CAL Funding II Ltd. Series 2012-1A | 3.470% | 10/25/27 | 1,563 | 1,520 |
4,7 | CAL Funding II Ltd. Series 2013-1A | 3.350% | 3/27/28 | 2,367 | 2,299 |
4,7 | California Republic Auto Receivables Trust 2015-4 | 2.580% | 6/15/21 | 5,910 | 6,050 |
4 | California Republic Auto Receivables Trust 2016-1 | 3.430% | 2/15/22 | 8,000 | 8,294 |
4 | California Republic Auto Receivables Trust 2016-1 | 4.560% | 12/15/22 | 8,320 | 8,663 |
4 | California Republic Auto Receivables Trust 2016-2 | 1.560% | 7/15/20 | 2,840 | 2,836 |
4 | California Republic Auto Receivables Trust 2016-2 | 1.830% | 12/15/21 | 3,640 | 3,645 |
4 | California Republic Auto Receivables Trust 2016-2 | 2.520% | 5/16/22 | 1,120 | 1,123 |
4 | California Republic Auto Receivables Trust 2016-2 | 3.510% | 3/15/23 | 540 | 542 |
7 | Canadian Imperial Bank of Commerce | 2.250% | 7/21/20 | 7,310 | 7,510 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.290% | 4/20/18 | 643 | 644 |
4 | Capital Auto Receivables Asset Trust 2013-1 | 1.740% | 10/22/18 | 1,700 | 1,702 |
41
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Capital Auto Receivables Asset Trust 2013-3 | 3.690% | 2/20/19 | 6,485 | 6,602 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 5,020 | 5,023 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 3,400 | 3,408 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.670% | 2/20/19 | 3,045 | 3,072 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 3.220% | 5/20/19 | 1,775 | 1,800 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 2,500 | 2,504 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 650 | 654 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.840% | 4/22/19 | 1,000 | 1,012 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 3.390% | 7/22/19 | 800 | 817 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 8,550 | 8,623 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.130% | 5/20/20 | 7,900 | 7,934 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.430% | 9/21/20 | 2,430 | 2,441 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.900% | 12/21/20 | 2,700 | 2,724 |
4 | Capital Auto Receivables Asset Trust 2016-2 | 1.630% | 1/20/21 | 1,680 | 1,676 |
4 | Capital Auto Receivables Asset Trust 2016-2 | 3.160% | 11/20/23 | 360 | 359 |
4 | Capital One Multi-Asset Execution Trust 2015-A2 | 2.080% | 3/15/23 | 8,780 | 9,012 |
4 | Capital One Multi-asset Execution Trust 2015-A4 | 2.750% | 5/15/25 | 21,700 | 22,912 |
4 | Capital One Multi-asset Execution Trust 2015-A8 | 2.050% | 8/15/23 | 32,030 | 32,789 |
4,6 | Capital One Multi-Asset Execution Trust 2016-A2 | 1.111% | 2/15/24 | 9,660 | 9,693 |
4,6,7 | CARDS II Trust 2016-1A | 1.207% | 7/15/21 | 20,745 | 20,745 |
4 | Carmax Auto Owner Trust 2013-3 | 2.850% | 2/18/20 | 1,785 | 1,794 |
4 | Carmax Auto Owner Trust 2014-1 | 1.690% | 8/15/19 | 520 | 518 |
4 | Carmax Auto Owner Trust 2014-1 | 1.930% | 11/15/19 | 970 | 969 |
4 | Carmax Auto Owner Trust 2014-4 | 1.810% | 7/15/20 | 3,850 | 3,892 |
4 | Carmax Auto Owner Trust 2015-1 | 1.830% | 7/15/20 | 11,290 | 11,391 |
4 | Carmax Auto Owner Trust 2015-2 | 1.800% | 3/15/21 | 3,070 | 3,104 |
4 | Carmax Auto Owner Trust 2015-2 | 3.040% | 11/15/21 | 2,010 | 2,015 |
4 | Carmax Auto Owner Trust 2015-3 | 1.980% | 2/16/21 | 3,090 | 3,116 |
4 | Carmax Auto Owner Trust 2015-3 | 2.280% | 4/15/21 | 1,945 | 1,959 |
4 | Carmax Auto Owner Trust 2015-3 | 2.680% | 6/15/21 | 2,795 | 2,828 |
4 | Carmax Auto Owner Trust 2016-2 | 2.160% | 12/15/21 | 1,930 | 1,933 |
4 | Carmax Auto Owner Trust 2016-2 | 3.250% | 11/15/22 | 2,160 | 2,163 |
4 | Carmax Auto Owner Trust 2016-3 | 2.200% | 6/15/22 | 1,930 | 1,927 |
4 | Carmax Auto Owner Trust 2016-3 | 2.940% | 1/17/23 | 1,360 | 1,358 |
4,7 | CFCRE Commercial Mortgage Trust 2011-C2 | 5.623% | 12/15/47 | 5,260 | 6,241 |
4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 4,680 | 4,994 |
4,6 | Chase Issuance Trust 2007-C1 | 0.941% | 4/15/19 | 6,100 | 6,088 |
4,6 | Chase Issuance Trust 2016-A1 | 0.891% | 5/17/21 | 1,577 | 1,577 |
4,7 | Chesapeake Funding II LLC 2016-2A | 1.880% | 6/15/28 | 38,950 | 39,002 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 1.830% | 3/15/19 | 915 | 915 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.280% | 7/15/19 | 1,100 | 1,104 |
4,7 | Chrysler Capital Auto Receivables Trust 2013-AA | 2.930% | 8/17/20 | 1,190 | 1,195 |
4,7 | Chrysler Capital Auto Receivables Trust 2014-AA | 2.280% | 11/15/19 | 2,150 | 2,161 |
4,7 | Chrysler Capital Auto Receivables Trust 2014-BA | 3.440% | 8/16/21 | 290 | 287 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 2.260% | 10/15/20 | 7,575 | 7,648 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 2.700% | 12/15/20 | 2,315 | 2,315 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 3.260% | 4/15/21 | 3,600 | 3,657 |
4,7 | Chrysler Capital Auto Receivables Trust 2015-BA | 4.170% | 1/16/23 | 5,510 | 5,559 |
4,7 | Chrysler Capital Auto Receivables Trust 2016-AA | 2.880% | 2/15/22 | 2,370 | 2,384 |
4,7 | Chrysler Capital Auto Receivables Trust 2016-AA | 4.220% | 2/15/23 | 8,530 | 8,566 |
4,7 | Cit Equipment Collateral 2013-VT1 | 1.130% | 7/20/20 | 339 | 339 |
4 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 3,672 | 3,680 |
4 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,770 | 6,156 |
4,7 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.683% | 9/10/45 | 2,017 | 2,181 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 5,650 | 6,018 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 2,247 | 2,312 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 700 | 760 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.753% | 3/10/47 | 885 | 958 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 11,003 | 12,354 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 920 | 994 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.575% | 5/10/47 | 27,595 | 30,236 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 8,630 | 9,605 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 8,680 | 9,593 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.863% | 7/10/47 | 2,020 | 2,216 |
42
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.175% | 7/10/47 | 800 | 883 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 4.453% | 7/10/47 | 1,250 | 1,311 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.372% | 10/10/47 | 2,990 | 3,225 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 11,115 | 12,180 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 4.345% | 10/10/47 | 2,170 | 2,432 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 4.532% | 10/10/47 | 3,270 | 3,411 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 2.944% | 2/10/48 | 940 | 984 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 6,195 | 6,560 |
4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 4,260 | 4,732 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 3.778% | 9/10/58 | 5,285 | 5,881 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 4.571% | 9/10/58 | 1,805 | 2,059 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 4.571% | 9/10/58 | 900 | 946 |
4 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.209% | 5/10/49 | 4,690 | 4,985 |
4 | Citigroup Commercial Mortgage Trust 2016-P4 | 2.902% | 7/10/49 | 17,560 | 18,087 |
4,7 | CKE Restaurant Holdings Inc. 2013-1A | 4.474% | 3/20/43 | 5,208 | 5,241 |
4,7 | CLI Funding V LLC 2013-1A | 2.830% | 3/18/28 | 3,935 | 3,770 |
4,6,7 | Colony American Homes 2014-1 | 1.632% | 5/17/31 | 2,554 | 2,536 |
4,6,7 | Colony American Homes 2014-1 | 1.832% | 5/17/31 | 1,960 | 1,929 |
4,6,7 | Colony American Homes 2014-2 | 1.832% | 7/17/31 | 700 | 688 |
4,6,7 | Colony American Homes 2015-1 | 1.682% | 7/17/32 | 3,889 | 3,854 |
4,6,7 | Colony American Homes 2015-1 | 1.943% | 7/17/32 | 440 | 435 |
4,6,7 | Colony Starwood Homes 2016-1 Trust | 1.982% | 7/17/33 | 6,738 | 6,766 |
4,6,7 | Colony Starwood Homes 2016-1 Trust | 2.632% | 7/17/33 | 2,970 | 2,987 |
4 | COMM 2006-C8 Mortgage Trust | 5.292% | 12/10/46 | 1,631 | 1,644 |
4 | COMM 2006-C8 Mortgage Trust | 5.306% | 12/10/46 | 10,305 | 10,336 |
4 | COMM 2007-C9 Mortgage Trust | 5.813% | 12/10/49 | 3,288 | 3,376 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,700 | 2,893 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 3,900 | 4,271 |
4 | COMM 2012-CCRE3 Mortgage Trust | 2.822% | 10/15/45 | 6,005 | 6,311 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 6,215 | 6,560 |
4 | COMM 2012-CCRE4 Mortgage Trust | 3.251% | 10/15/45 | 420 | 447 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 2,700 | 2,840 |
4,7 | COMM 2013-300P Mortgage Trust | 4.353% | 8/10/30 | 12,270 | 14,076 |
4 | COMM 2013-CCRE10 Mortgage Trust | 2.972% | 8/10/46 | 1,633 | 1,670 |
4 | COMM 2013-CCRE10 Mortgage Trust | 3.795% | 8/10/46 | 800 | 862 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 4,800 | 5,389 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 4,690 | 5,341 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,400 | 1,502 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 1,760 | 1,952 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 9,020 | 10,203 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.194% | 11/10/23 | 14,875 | 16,983 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.751% | 12/10/23 | 855 | 988 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.751% | 12/10/23 | 1,560 | 1,685 |
4,7 | COMM 2013-CCRE6 Mortgage Trust | 3.397% | 3/10/46 | 1,400 | 1,466 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 8,030 | 8,833 |
4 | COMM 2013-CCRE9 Mortgage Trust | 4.233% | 7/10/45 | 4,980 | 5,696 |
4,7 | COMM 2013-CCRE9 Mortgage Trust | 4.257% | 7/10/45 | 2,780 | 2,893 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 2,106 | 2,164 |
4,7 | COMM 2013-LC13 Mortgage Trust | 3.774% | 8/10/46 | 1,050 | 1,133 |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 585 | 668 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 3,800 | 4,029 |
4,7 | COMM 2013-SFS Mortgage Trust | 2.987% | 4/12/35 | 6,500 | 6,813 |
4,7 | COMM 2014-277P Mortgage Trust | 3.611% | 8/10/49 | 6,150 | 6,810 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.743% | 2/10/47 | 1,520 | 1,635 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.236% | 2/10/47 | 2,540 | 2,906 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 1,650 | 1,694 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 2,510 | 2,843 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.426% | 2/10/47 | 1,300 | 1,478 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.713% | 2/10/47 | 2,070 | 2,343 |
4 | COMM 2014-CCRE17 Mortgage Trust | 3.977% | 5/10/47 | 6,080 | 6,846 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.174% | 5/10/47 | 1,290 | 1,449 |
4 | COMM 2014-CCRE17 Mortgage Trust | 4.735% | 5/10/47 | 4,400 | 4,803 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.452% | 7/15/47 | 1,600 | 1,699 |
4 | COMM 2014-CCRE18 Mortgage Trust | 3.828% | 7/15/47 | 4,305 | 4,803 |
43
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2014-CCRE20 Mortgage Trust | 3.326% | 11/10/47 | 3,630 | 3,902 |
4 | COMM 2014-CCRE20 Mortgage Trust | 3.590% | 11/10/47 | 14,070 | 15,426 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 19,240 | 21,108 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 2,270 | 2,540 |
4 | COMM 2015-CCRE22 Mortgage Trust | 3.309% | 3/10/48 | 5,900 | 6,365 |
4 | COMM 2015-CCRE24 Mortgage Trust | 3.445% | 8/10/55 | 2,000 | 2,149 |
4 | COMM 2015-CCRE24 Mortgage Trust | 3.696% | 8/10/55 | 4,220 | 4,680 |
4 | COMM 2015-CCRE25 Mortgage Trust | 3.759% | 8/10/48 | 3,355 | 3,727 |
4 | COMM 2015-CCRE26 Mortgage Trust | 3.630% | 10/10/48 | 7,240 | 7,945 |
4 | COMM 2015-CCRE27 Mortgage Trust | 3.612% | 10/10/48 | 4,300 | 4,744 |
4 | COMM 2015-CCRE27 Mortgage Trust | 4.472% | 10/10/48 | 1,760 | 1,829 |
4 | COMM 2015-LC19 Mortgage Trust | 3.040% | 2/10/48 | 470 | 497 |
4 | COMM 2015-LC19 Mortgage Trust | 3.183% | 2/10/48 | 4,850 | 5,203 |
7 | Commonwealth Bank of Australia | 2.000% | 6/18/19 | 4,300 | 4,364 |
7 | Commonwealth Bank of Australia | 2.125% | 7/22/20 | 16,700 | 17,015 |
4,7 | Core Industrial Trust 2015-TEXW | 3.077% | 2/10/34 | 5,580 | 5,882 |
4 | Credit Suisse Commercial Mortgage Trust Series 2008- | ||||
C1 | 6.065% | 2/15/41 | 3,126 | 3,287 | |
4 | CSAIL 2015-C1 Commercial Mortgage Trust | 3.505% | 4/15/50 | 3,830 | 4,199 |
4 | CSAIL 2015-C2 Commercial Mortgage Trust | 3.504% | 6/15/57 | 6,650 | 7,249 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 3.718% | 8/15/48 | 6,150 | 6,795 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 4.111% | 8/15/48 | 2,000 | 2,210 |
4 | CSAIL 2015-C3 Commercial Mortgage Trust | 4.361% | 8/15/48 | 2,160 | 2,235 |
4 | CSAIL 2015-C4 Commercial Mortgage Trust | 3.808% | 11/15/48 | 9,396 | 10,447 |
4 | CSAIL 2016-C5 Commercial Mortgage Trust | 4.538% | 11/15/48 | 3,620 | 3,850 |
4,7 | DB Master Finance LLC 2015-1A | 3.262% | 2/20/45 | 4,251 | 4,289 |
4 | DBJPM 16-C1 Mortgage Trust | 3.352% | 5/10/49 | 1,250 | 1,225 |
4 | Discover Card Execution Note Trust 2015-A4 | 2.190% | 4/17/23 | 31,000 | 31,911 |
7 | DNB Boligkreditt AS | 1.450% | 3/21/18 | 3,300 | 3,310 |
4,7 | Drive Auto Receivables Trust 2015-AA | 2.280% | 6/17/19 | 5,363 | 5,380 |
4,7 | Drive Auto Receivables Trust 2015-AA | 3.060% | 5/17/21 | 2,750 | 2,777 |
4,7 | Drive Auto Receivables Trust 2015-AA | 4.120% | 7/15/22 | 2,000 | 2,024 |
4,7 | Drive Auto Receivables Trust 2015-BA | 1.300% | 6/15/18 | 516 | 516 |
4,7 | Drive Auto Receivables Trust 2015-BA | 2.120% | 6/17/19 | 2,480 | 2,484 |
4,7 | Drive Auto Receivables Trust 2015-BA | 2.760% | 7/15/21 | 6,040 | 6,075 |
4,7 | Drive Auto Receivables Trust 2015-BA | 3.840% | 7/15/21 | 3,600 | 3,639 |
4,7 | Drive Auto Receivables Trust 2015-CA | 2.230% | 9/16/19 | 5,115 | 5,119 |
4,7 | Drive Auto Receivables Trust 2015-CA | 3.010% | 5/17/21 | 7,675 | 7,740 |
4,7 | Drive Auto Receivables Trust 2015-CA | 4.200% | 9/15/21 | 5,630 | 5,737 |
4,7 | Drive Auto Receivables Trust 2015-DA | 1.590% | 12/17/18 | 8,175 | 8,179 |
4,7 | Drive Auto Receivables Trust 2015-DA | 2.590% | 12/16/19 | 9,050 | 9,092 |
4,7 | Drive Auto Receivables Trust 2015-DA | 3.380% | 11/15/21 | 9,050 | 9,219 |
4,7 | Drive Auto Receivables Trust 2015-DA | 4.590% | 1/17/23 | 9,250 | 9,618 |
4,7 | Drive Auto Receivables Trust 2016-AA | 2.110% | 5/15/19 | 15,270 | 15,320 |
4,7 | Drive Auto Receivables Trust 2016-AA | 3.910% | 5/17/21 | 3,780 | 3,884 |
4,7 | Drive Auto Receivables Trust 2016-BA | 1.670% | 7/15/19 | 5,140 | 5,140 |
4,7 | Drive Auto Receivables Trust 2016-BA | 2.560% | 6/15/20 | 4,750 | 4,780 |
4,7 | Drive Auto Receivables Trust 2016-BA | 3.190% | 7/15/22 | 8,050 | 8,150 |
4,7 | Drive Auto Receivables Trust 2016-BA | 4.530% | 8/15/23 | 11,330 | 11,602 |
4,6,7 | Edsouth Indenture No 9 LLC 2015-1 | 1.288% | 10/25/56 | 9,397 | 9,052 |
4,7 | Enterprise Fleet Financing LLC Series 2015-1 | 1.740% | 9/20/20 | 17,660 | 17,634 |
4,7 | Enterprise Fleet Financing LLC Series 2015-2 | 2.090% | 2/22/21 | 7,190 | 7,230 |
4,7 | Enterprise Fleet Financing LLC Series 2016-1 | 2.080% | 9/20/21 | 18,140 | 18,213 |
4,7 | Enterprise Fleet Financing LLC Series 2016-2 | 2.040% | 2/22/22 | 2,750 | 2,750 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.638% | 5/25/25 | 983 | 983 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C02 | 1.688% | 5/25/25 | 2,112 | 2,114 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.988% | 7/25/25 | 3,900 | 3,911 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C03 | 1.988% | 7/25/25 | 5,151 | 5,170 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C04 | 2.088% | 4/25/28 | 7,007 | 7,017 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2015-C04 | 2.188% | 4/25/28 | 3,373 | 3,395 |
4,5,6 | Fannie Mae Connecticut Avenue Securities 2016-C04 | 1.943% | 1/25/29 | 2,220 | 2,220 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 1,580 | 1,580 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 6,370 | 6,366 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.920% | 3/15/19 | 5,560 | 5,501 |
44
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ford Credit Auto Lease Trust 2016-A | 1.850% | 7/15/19 | 17,030 | 17,072 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.720% | 7/15/19 | 2,890 | 2,899 |
4,7 | Ford Credit Auto Owner Trust 2014-REV1 | 2.260% | 11/15/25 | 4,588 | 4,672 |
4,7 | Ford Credit Auto Owner Trust 2014-REV1 | 2.410% | 11/15/25 | 2,900 | 2,911 |
4,7 | Ford Credit Auto Owner Trust 2014-REV2 | 2.310% | 4/15/26 | 11,310 | 11,544 |
4,7 | Ford Credit Auto Owner Trust 2014-REV2 | 2.510% | 4/15/26 | 2,160 | 2,178 |
4 | Ford Credit Auto Owner Trust 2015-B | 2.040% | 10/15/20 | 5,010 | 5,066 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.010% | 3/15/21 | 4,670 | 4,718 |
4 | Ford Credit Auto Owner Trust 2015-C | 2.260% | 3/15/22 | 2,085 | 2,114 |
4,7 | Ford Credit Auto Owner Trust 2015-REV1 | 2.120% | 7/15/26 | 6,600 | 6,695 |
4,7 | Ford Credit Auto Owner Trust 2015-REV2 | 2.440% | 1/15/27 | 26,000 | 26,672 |
4 | Ford Credit Auto Owner Trust 2016-B | 1.850% | 9/15/21 | 2,430 | 2,434 |
4,7 | Ford Credit Auto Owner Trust 2016-REV1 | 2.310% | 8/15/27 | 15,740 | 16,069 |
4,7 | Ford Credit Auto Owner Trust 2016-REV2 | 2.030% | 12/15/27 | 21,240 | 21,367 |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-2 | 1.920% | 1/15/19 | 2,000 | 2,008 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 1.690% | 9/15/19 | 1,600 | 1,602 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2012-5 | 2.140% | 9/15/19 | 1,900 | 1,909 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.100% | 6/15/20 | 670 | 675 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.290% | 6/15/20 | 720 | 726 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-4 | 2.790% | 6/15/20 | 290 | 291 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 1.400% | 2/15/19 | 2,000 | 1,999 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 2.310% | 2/15/21 | 900 | 910 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-2 | 0.981% | 2/15/21 | 6,100 | 6,085 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-4 | 1.400% | 8/15/19 | 14,795 | 14,821 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2015-2 | 1.980% | 1/15/22 | 11,758 | 11,840 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2015-5 | 2.390% | 8/15/22 | 26,140 | 26,985 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2016-1 | 1.760% | 2/15/21 | 16,890 | 16,998 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2016-3 | 1.103% | 7/15/21 | 18,250 | 18,257 | |
4,6 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2016-4 | 1.012% | 7/15/20 | 14,110 | 14,113 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA2 | 1.738% | 10/25/28 | 1,862 | 1,869 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA2 | 2.688% | 10/25/28 | 1,130 | 1,140 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA3 | 1.588% | 12/25/28 | 2,760 | 2,766 | |
4,5,6 | Freddie Mac Structured Agency Credit Risk Debt Notes | ||||
2016-DNA3 | 2.488% | 12/25/28 | 2,760 | 2,788 | |
4,7 | FRS I LLC 2013-1A | 1.800% | 4/15/43 | 735 | 723 |
4,7 | FRS I LLC 2013-1A | 3.080% | 4/15/43 | 6,043 | 5,917 |
4 | GE Capital Credit Card Master Note Trust Series 2012-2 | 2.220% | 1/15/22 | 30,000 | 30,564 |
4 | GE Capital Credit Card Master Note Trust Series 2012-6 | 1.360% | 8/17/20 | 2,300 | 2,303 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2012-2 | 1.237% | 4/22/19 | 13,000 | 13,030 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2014-2 | 0.937% | 10/20/19 | 4,400 | 4,390 |
4,6 | GE Dealer Floorplan Master Note Trust Series 2015-2 | 1.137% | 1/20/22 | 24,050 | 23,981 |
4,7 | GM Financial Automobile Leasing Trust 2014-1A | 1.760% | 5/21/18 | 1,700 | 1,703 |
4,7 | GM Financial Automobile Leasing Trust 2014-2A | 1.620% | 2/20/18 | 8,000 | 8,001 |
4 | GM Financial Automobile Leasing Trust 2015-1 | 1.730% | 6/20/19 | 1,650 | 1,649 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 2.420% | 7/22/19 | 2,600 | 2,629 |
4 | GM Financial Automobile Leasing Trust 2015-2 | 2.990% | 7/22/19 | 2,320 | 2,327 |
45
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | GM Financial Automobile Leasing Trust 2015-3 | 1.690% | 3/20/19 | 9,050 | 9,102 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 1.810% | 11/20/19 | 930 | 931 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 2.320% | 11/20/19 | 1,310 | 1,321 |
4 | GM Financial Automobile Leasing Trust 2015-3 | 2.980% | 11/20/19 | 2,870 | 2,874 |
4 | GM Financial Automobile Leasing Trust 2016-1 | 1.790% | 3/20/20 | 17,520 | 17,476 |
4 | GM Financial Automobile Leasing Trust 2016-2 | 2.580% | 3/20/20 | 1,920 | 1,919 |
4 | GM Financial Leasing Trust 2015-3 | 3.480% | 8/20/20 | 2,870 | 2,835 |
4,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.650% | 5/15/20 | 12,000 | 11,936 |
4,7 | GMF Floorplan Owner Revolving Trust 2015-1 | 1.970% | 5/15/20 | 3,770 | 3,743 |
4,6,7 | GMF Floorplan Owner Revolving Trust 2016-1 | 1.331% | 5/17/21 | 21,360 | 21,391 |
4,7 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.410% | 5/17/21 | 5,290 | 5,332 |
4,7 | GMF Floorplan Owner Revolving Trust 2016-1 | 2.850% | 5/17/21 | 3,900 | 3,920 |
4,6,7 | Golden Credit Card Trust 2015-1A | 0.921% | 2/15/20 | 35,000 | 34,942 |
4,7 | Golden Credit Card Trust 2015-2A | 2.020% | 4/15/22 | 13,530 | 13,664 |
4,7 | GRACE 2014-GRCE Mortgage Trust | 3.369% | 6/10/28 | 1,000 | 1,072 |
4,7 | GreatAmerica Leasing Receivables Funding LLC Series | ||||
2013-1 | 1.160% | 5/15/18 | 1,034 | 1,033 | |
4,7 | GreatAmerica Leasing Receivables Funding LLC Series | ||||
2015-1 | 2.020% | 6/21/21 | 1,680 | 1,694 | |
4,7 | GreatAmerica Leasing Receivables Funding LLC Series | ||||
2016-1 | 1.990% | 4/20/22 | 10,580 | 10,554 | |
4,7 | GS Mortgage Securities Trust 2010-C2 | 5.184% | 12/10/43 | 1,370 | 1,547 |
4,7 | GS Mortgage Securities Trust 2011-GC3 | 5.633% | 3/10/44 | 2,650 | 2,945 |
4,7 | GS Mortgage Securities Trust 2012-ALOHA | 3.550% | 4/10/34 | 5,430 | 5,897 |
4,7 | GS Mortgage Securities Trust 2012-BWTR | 2.954% | 11/5/34 | 7,625 | 7,931 |
4,7 | GS Mortgage Securities Trust 2012-GC6 | 4.948% | 1/10/45 | 1,025 | 1,163 |
4 | GS Mortgage Securities Trust 2012-GCJ7 | 5.729% | 5/10/45 | 2,140 | 2,378 |
4,7 | GS Mortgage Securities Trust 2013-GC13 | 4.067% | 7/10/46 | 1,210 | 1,253 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 3,820 | 4,076 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.777% | 6/10/46 | 1,550 | 1,668 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 1,928 | 1,973 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 800 | 862 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.955% | 8/10/46 | 4,295 | 4,806 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 105 | 120 |
4 | GS Mortgage Securities Trust 2014-GC20 | 3.998% | 4/10/47 | 9,870 | 11,023 |
4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 11,805 | 13,193 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.162% | 9/10/47 | 6,520 | 7,261 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.508% | 9/10/47 | 2,610 | 2,966 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.529% | 9/10/47 | 4,615 | 4,865 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 2,150 | 2,365 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 9,980 | 10,736 |
4 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 4,565 | 4,940 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 14,340 | 15,966 |
4 | GS Mortgage Securities Trust 2015-GC32 | 4.402% | 7/10/48 | 1,325 | 1,505 |
4 | GS Mortgage Securities Trust 2015-GC32 | 4.412% | 7/10/48 | 580 | 603 |
4 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 7,100 | 7,681 |
4 | GS Mortgage Securities Trust 2015-GC34 | 4.466% | 10/10/48 | 2,610 | 2,943 |
4 | GS Mortgage Securities Trust 2015-GC34 | 4.655% | 10/10/48 | 2,610 | 2,759 |
7 | GTP Acquisition Partners I LLC | 3.482% | 6/16/25 | 9,030 | 9,098 |
4 | Harley-Davidson Motorcycle Trust 2013-1 | 0.870% | 7/15/19 | 3,500 | 3,495 |
4,7 | Hertz Vehicle Financing LLC 2011-1A | 3.290% | 3/25/18 | 12,280 | 12,364 |
4,7 | Hertz Vehicle Financing LLC 2013-1A | 1.830% | 8/25/19 | 16,350 | 16,322 |
4,7 | Hertz Vehicle Financing LLC 2015-1 | 2.730% | 3/25/21 | 11,150 | 11,347 |
4,7 | Hertz Vehicle Financing LLC 2015-3 | 2.670% | 9/25/21 | 9,400 | 9,549 |
4,7 | Hertz Vehicle Financing LLC 2016-2 | 2.950% | 3/25/22 | 17,760 | 18,203 |
4,7 | Hertz Vehicle Financing LLC 2016-3 | 2.270% | 7/25/20 | 8,500 | 8,533 |
4,7 | Hertz Vehicle Financing LLC 2016-4 | 2.650% | 7/25/22 | 10,350 | 10,455 |
4,7 | Hilton USA Trust 2013-HLT | 2.662% | 11/5/30 | 3,120 | 3,140 |
4,7 | Hilton USA Trust 2013-HLT | 3.367% | 11/5/30 | 3,240 | 3,264 |
4,7 | Hilton USA Trust 2013-HLT | 3.714% | 11/5/30 | 1,455 | 1,466 |
4 | Honda Auto Receivables 2014-4 Owner Trust | 1.460% | 10/15/20 | 1,660 | 1,668 |
4,7 | Houston Galleria Mall Trust 2015-HGLR | 3.087% | 3/5/37 | 4,000 | 4,167 |
4,7 | Hudsons Bay Simon JV Trust 2015-HB7 | 3.914% | 8/5/34 | 4,750 | 5,059 |
4,7 | Hyundai Auto Lease Securitization Trust 2014-A | 1.300% | 7/16/18 | 1,900 | 1,899 |
46
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | Hyundai Auto Lease Securitization Trust 2014-B | 1.540% | 12/17/18 | 550 | 549 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-A | 1.650% | 8/15/19 | 10,880 | 10,909 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-A | 2.070% | 11/15/19 | 7,250 | 7,260 |
4,7 | Hyundai Auto Lease Securitization Trust 2015-B | 2.210% | 5/15/20 | 7,130 | 7,177 |
4,7 | Hyundai Auto Lease Securitization Trust 2016-A | 1.800% | 12/16/19 | 5,380 | 5,382 |
4 | Hyundai Auto Receivables Trust 2012-B | 1.950% | 10/15/18 | 1,700 | 1,700 |
4 | Hyundai Auto Receivables Trust 2013-B | 2.480% | 9/16/19 | 1,200 | 1,210 |
4 | Hyundai Auto Receivables Trust 2013-C | 2.480% | 3/15/19 | 2,350 | 2,366 |
4 | Hyundai Auto Receivables Trust 2013-C | 3.090% | 1/15/20 | 1,900 | 1,927 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.020% | 8/15/19 | 1,700 | 1,695 |
4 | Hyundai Auto Receivables Trust 2014-A | 2.530% | 7/15/20 | 1,150 | 1,146 |
4 | Hyundai Auto Receivables Trust 2014-B | 2.100% | 11/15/19 | 2,200 | 2,197 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.150% | 11/15/21 | 1,400 | 1,415 |
4 | Hyundai Auto Receivables Trust 2015-C | 2.550% | 11/15/21 | 3,290 | 3,347 |
4,7 | Hyundai Floorplan Master Owner Trust Series 2016-1A | 1.810% | 3/15/21 | 6,850 | 6,860 |
4,7 | Icon Brands Holdings LLC 2012-1 | 4.229% | 1/25/43 | 3,767 | 3,392 |
6 | Illinois Student Assistance Commission Series 2010-1 | 1.765% | 4/25/22 | 3,874 | 3,878 |
4,6,7 | Invitation Homes 2014-SFR1 Trust | 1.982% | 6/17/31 | 8,625 | 8,602 |
4,6,7 | Invitation Homes 2014-SFR2 Trust | 1.582% | 9/17/31 | 2,506 | 2,491 |
4,6,7 | Invitation Homes 2014-SFR2 Trust | 2.082% | 9/17/31 | 700 | 696 |
4,6,7 | Invitation Homes 2015-SFR2 Trust | 1.828% | 6/17/32 | 2,863 | 2,853 |
4,6,7 | Invitation Homes 2015-SFR2 Trust | 2.128% | 6/17/32 | 1,510 | 1,494 |
4,6,7 | Invitation Homes 2015-SFR3 Trust | 2.193% | 8/17/32 | 1,650 | 1,638 |
4,7 | Irvine Core Office Trust 2013-IRV | 3.173% | 5/15/48 | 6,000 | 6,403 |
4 | John Deere Owner Trust 2015-B | 1.780% | 6/15/22 | 1,315 | 1,322 |
4 | John Deere Owner Trust 2016-B | 1.490% | 5/15/23 | 2,020 | 2,018 |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-C1 | 5.716% | 2/15/51 | 21,952 | 22,399 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.746% | 2/12/51 | 3,797 | 3,923 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP10 | 5.439% | 1/15/49 | 2,826 | 2,867 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.850% | 2/15/51 | 2,137 | 2,198 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C1 | 4.608% | 6/15/43 | 9,784 | 10,525 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 3.616% | 11/15/43 | 1,003 | 1,023 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 4.070% | 11/15/43 | 1,175 | 1,273 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.558% | 11/15/43 | 2,730 | 2,899 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2010-C2 | 5.558% | 11/15/43 | 2,313 | 2,527 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.388% | 2/15/46 | 6,550 | 6,802 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 4.717% | 2/15/46 | 4,990 | 5,526 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C3 | 5.360% | 2/15/46 | 3,170 | 3,459 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2011-C5 | 5.321% | 8/15/46 | 4,000 | 4,618 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 4,499 | 4,874 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 4,640 | 4,863 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 3.424% | 10/15/45 | 4,070 | 4,311 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-CIBX | 4.271% | 6/15/45 | 1,350 | 1,495 | |
4,7 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-HSBC | 3.093% | 7/5/32 | 5,900 | 6,176 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-LC9 | 2.840% | 12/15/47 | 4,670 | 4,894 |
47
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C13 | 4.053% | 1/15/46 | 2,550 | 2,619 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 980 | 1,065 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 290 | 324 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.910% | 12/15/46 | 2,135 | 2,479 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.975% | 12/15/46 | 960 | 1,056 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 6,098 | 6,418 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.363% | 7/15/45 | 6,780 | 7,307 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 5,000 | 5,498 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.025% | 7/15/45 | 5,000 | 5,513 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 1,400 | 1,525 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.133% | 8/15/46 | 1,630 | 1,842 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 928 | 956 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 400 | 435 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.927% | 11/15/45 | 1,750 | 2,019 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 5.046% | 11/15/45 | 1,300 | 1,427 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 4,070 | 4,630 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.079% | 2/15/47 | 9,930 | 11,223 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.439% | 2/15/47 | 600 | 674 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.813% | 2/15/47 | 2,500 | 2,878 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.813% | 2/15/47 | 1,000 | 1,083 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.428% | 8/15/47 | 680 | 732 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.639% | 11/15/47 | 2,000 | 2,204 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.231% | 1/15/48 | 6,100 | 6,502 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.494% | 1/15/48 | 4,970 | 5,413 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C27 | 3.179% | 2/15/48 | 3,580 | 3,813 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.551% | 7/15/48 | 4,640 | 5,081 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.559% | 7/15/48 | 7,120 | 7,740 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.822% | 7/15/48 | 8,840 | 9,850 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 4.226% | 7/15/48 | 2,245 | 2,533 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C31 | 3.801% | 8/15/48 | 1,520 | 1,683 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C32 | 3.598% | 11/15/48 | 4,340 | 4,765 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C33 | 3.562% | 12/15/48 | 1,225 | 1,337 |
48
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C33 | 3.770% | 12/15/48 | 7,300 | 8,126 | |
4,6,7 | Lanark Master Issuer plc 2013-1A | 1.154% | 12/22/54 | 2,919 | 2,916 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.342% | 9/15/39 | 749 | 749 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 2,345 | 2,344 |
4 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.387% | 2/15/40 | 17,820 | 18,062 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 15,291 | 15,870 |
4,7 | LCCM 2014-909 Mortgage Trust | 3.388% | 5/15/31 | 910 | 961 |
4,7 | Madison Avenue Trust 2013-650M | 3.843% | 10/12/32 | 1,245 | 1,347 |
4 | Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 7,960 | 7,976 |
4 | Mercedes-Benz Auto Lease Trust 2016-A | 1.690% | 11/15/21 | 16,210 | 16,216 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.750% | 12/15/21 | 7,780 | 7,872 |
4,6,7 | Mercedes-Benz Master Owner Trust 2015-B | 0.861% | 4/15/20 | 14,650 | 14,623 |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 11,190 | 11,610 |
4,7 | Miramax LLC 2014-1A | 3.340% | 7/20/26 | 700 | 702 |
4,7 | MMAF Equipment Finance LLC 2012-AA | 1.980% | 6/10/32 | 2,880 | 2,903 |
4,7 | MMAF Equipment Finance LLC 2015-AA | 2.490% | 2/19/36 | 13,600 | 13,945 |
4,7 | MMAF Equipment Finance LLC 2016-AA | 2.210% | 12/15/32 | 4,580 | 4,601 |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 7,445 | 7,906 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.792% | 8/15/45 | 2,050 | 2,212 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 5,740 | 6,067 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.083% | 7/15/46 | 1,830 | 1,883 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.083% | 7/15/46 | 780 | 879 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.085% | 8/15/46 | 726 | 740 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 3.960% | 8/15/46 | 2,030 | 2,267 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.213% | 8/15/46 | 7,317 | 8,322 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.824% | 10/15/46 | 810 | 884 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 4.259% | 10/15/46 | 1,940 | 2,205 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 400 | 447 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 2,470 | 2,596 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 2,000 | 2,104 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 12,980 | 13,792 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 2,300 | 2,586 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.384% | 2/15/47 | 1,600 | 1,798 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 3.773% | 4/15/47 | 11,500 | 12,714 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.051% | 4/15/47 | 20,600 | 23,159 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C15 | 4.895% | 4/15/47 | 1,140 | 1,228 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 6,920 | 7,689 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.094% | 6/15/47 | 935 | 1,034 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.324% | 6/15/47 | 2,400 | 2,688 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.757% | 6/15/47 | 2,400 | 2,566 |
49
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 3.741% | 8/15/47 | 24,364 | 27,029 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C17 | 4.011% | 8/15/47 | 530 | 583 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 3,300 | 3,685 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.326% | 12/15/47 | 1,080 | 1,148 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.526% | 12/15/47 | 940 | 1,018 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.069% | 2/15/48 | 765 | 803 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.249% | 2/15/48 | 12,325 | 13,198 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.306% | 4/15/48 | 7,350 | 7,922 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.719% | 7/15/50 | 17,750 | 19,678 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.479% | 5/15/48 | 4,300 | 4,666 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C24 | 3.732% | 5/15/48 | 7,101 | 7,854 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.383% | 10/15/48 | 3,070 | 3,278 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.635% | 10/15/48 | 3,025 | 3,327 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 3.325% | 5/15/49 | 700 | 752 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 4.754% | 5/15/49 | 1,090 | 1,152 | |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.319% | 12/15/43 | 980 | 984 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 5.906% | 6/11/49 | 5,224 | 5,398 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.688% | 12/12/49 | 3,900 | 4,032 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 2,260 | 2,401 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,440 | 2,635 |
4,7 | Morgan Stanley Capital I Trust 2012-STAR | 3.201% | 8/5/34 | 6,000 | 6,334 |
4,7 | Morgan Stanley Capital I Trust 2014-150E | 3.912% | 9/9/32 | 6,370 | 6,969 |
4,7 | Morgan Stanley Capital I Trust 2014-CPT | 3.350% | 7/13/29 | 2,795 | 2,966 |
4,7 | Morgan Stanley Capital I Trust 2015-420 | 3.727% | 10/11/50 | 4,430 | 4,865 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 11,340 | 12,681 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 4.591% | 12/15/48 | 3,210 | 3,376 |
4 | Morgan Stanley Capital I Trust 2016-UBS9 | 3.594% | 3/15/49 | 4,770 | 5,261 |
4,7 | MSBAM Commercial Mortgage Securities Trust 2012- | ||||
CKSV | 3.277% | 10/15/30 | 11,190 | 11,612 | |
7 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 3,820 | 3,917 |
4,6,7 | Navient Student Loan Trust 2016-2 | 1.538% | 6/25/65 | 2,420 | 2,442 |
4,6,7 | Navient Student Loan Trust 2016-3 | 1.338% | 6/25/65 | 2,050 | 2,053 |
4,6 | New Mexico Educational Assistance Foundation 2013-1 | 1.167% | 1/2/25 | 3,857 | 3,805 |
4,7 | NextGear Floorplan Master Owner Trust 2016-1A | 2.740% | 4/15/21 | 6,720 | 6,749 |
4 | Nissan Auto Lease Trust 2015-A | 1.580% | 5/17/21 | 1,790 | 1,797 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 2,870 | 2,908 |
4 | Nissan Master Owner Trust Receivables Series 2015-A | 1.440% | 1/15/20 | 21,640 | 21,639 |
4,6 | Nissan Master Owner Trust Receivables Series 2016-A | 1.119% | 6/15/21 | 25,630 | 25,640 |
7 | Norddeutsche Landesbank Girozentrale | 2.000% | 2/5/19 | 5,500 | 5,566 |
6 | North Carolina State Education Assistance Authority | ||||
2011-1 | 1.614% | 1/26/26 | 2,028 | 2,025 | |
4,7 | Palisades Center Trust 2016-PLSD | 2.713% | 4/13/33 | 8,980 | 9,079 |
4,6,7 | PFS Financing Corp. 2014-AA | 1.081% | 2/15/19 | 1,600 | 1,598 |
4,6,7 | PFS Financing Corp. 2015-AA | 1.101% | 4/15/20 | 3,500 | 3,472 |
4,7 | Porsche Innovative Lease Owner Trust 2015-1 | 1.430% | 5/21/21 | 4,900 | 4,890 |
4,6,7 | Progress Residential 2015-SFR1 Trust | 2.333% | 2/17/32 | 510 | 510 |
4,7 | Progress Residential 2015-SFR2 Trust | 2.740% | 6/12/32 | 2,488 | 2,523 |
4,7 | Progress Residential 2015-SFR3 Trust | 3.067% | 11/12/32 | 9,389 | 9,647 |
4,7 | Progress Residential 2015-SFR3 Trust | 3.733% | 11/12/32 | 3,460 | 3,573 |
50
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,6,7 | Resimac Premier Series 2014-1 | 1.356% | 12/12/45 | 2,706 | 2,694 |
4,6,7 | Resimac Premier Series 2016-1 | 1.864% | 10/10/47 | 27,197 | 27,219 |
Royal Bank of Canada | 2.200% | 9/23/19 | 8,673 | 8,884 | |
Royal Bank of Canada | 2.100% | 10/14/20 | 11,530 | 11,802 | |
4 | Royal Bank of Canada | 1.875% | 2/5/21 | 13,500 | 13,682 |
Royal Bank of Canada | 2.300% | 3/22/21 | 10,085 | 10,377 | |
4 | Santander Drive Auto Receivables Trust 2013-2 | 1.950% | 3/15/19 | 4,218 | 4,226 |
4 | Santander Drive Auto Receivables Trust 2013-5 | 1.550% | 10/15/18 | 309 | 310 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 1.490% | 6/17/19 | 5,735 | 5,740 |
4 | Santander Drive Auto Receivables Trust 2015-3 | 3.490% | 5/17/21 | 5,160 | 5,276 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 1.580% | 9/16/19 | 6,870 | 6,881 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 2.260% | 6/15/20 | 9,470 | 9,543 |
4 | Santander Drive Auto Receivables Trust 2015-4 | 2.970% | 3/15/21 | 9,420 | 9,589 |
4 | Santander Drive Auto Receivables Trust 2016-1 | 2.470% | 12/15/20 | 9,610 | 9,734 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 2.080% | 2/16/21 | 2,450 | 2,458 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 2.660% | 11/15/21 | 1,610 | 1,628 |
4 | Santander Drive Auto Receivables Trust 2016-2 | 3.390% | 4/15/22 | 1,440 | 1,457 |
7 | SBA Tower Trust | 3.156% | 10/15/20 | 3,970 | 4,072 |
4,6,7 | Silver Bay Realty 2014-1 Trust | 1.482% | 9/17/31 | 2,261 | 2,237 |
4,6,7 | Silver Bay Realty 2014-1 Trust | 1.932% | 9/17/31 | 498 | 493 |
4,7 | SLM Private Education Loan Trust 2011-A | 4.370% | 4/17/28 | 1,639 | 1,674 |
4,7 | SLM Private Education Loan Trust 2011-B | 3.740% | 2/15/29 | 10,471 | 10,706 |
4,7 | SLM Private Education Loan Trust 2011-C | 4.540% | 10/17/44 | 4,750 | 4,937 |
4,7 | SLM Private Education Loan Trust 2012-B | 3.480% | 10/15/30 | 3,330 | 3,394 |
4,6,7 | SLM Private Education Loan Trust 2012-E | 1.231% | 10/16/23 | 1,406 | 1,405 |
4,6,7 | SLM Private Education Loan Trust 2013-A | 1.531% | 5/17/27 | 5,400 | 5,395 |
4,7 | SLM Private Education Loan Trust 2013-A | 2.500% | 3/15/47 | 1,800 | 1,749 |
4,7 | SLM Private Education Loan Trust 2013-B | 1.850% | 6/17/30 | 3,000 | 2,991 |
4,7 | SLM Private Education Loan Trust 2013-B | 3.000% | 5/16/44 | 3,000 | 2,943 |
4,7 | SLM Private Education Loan Trust 2013-C | 3.500% | 6/15/44 | 2,000 | 2,013 |
4,7 | SLM Private Education Loan Trust 2014-A | 2.590% | 1/15/26 | 900 | 912 |
4,7 | SLM Private Education Loan Trust 2014-A | 3.500% | 11/15/44 | 800 | 783 |
4,6 | SLM Student Loan Trust 2005-5 | 0.815% | 4/25/25 | 1,831 | 1,816 |
4 | SMART ABS Series 2012-4US Trust | 1.250% | 8/14/18 | 1,462 | 1,459 |
4 | SMART ABS Series 2013-1US Trust | 1.050% | 10/14/18 | 2,215 | 2,210 |
4,7 | SMB Private Education Loan Trust 2016-A | 2.700% | 5/15/31 | 6,210 | 6,295 |
4,6,7 | SMB Private Education Loan Trust 2016-B | 1.935% | 2/17/32 | 4,480 | 4,480 |
4,7 | SoFi Professional Loan Program 2016-B LLC | 2.740% | 10/25/32 | 4,300 | 4,378 |
4,7 | SoFi Professional Loan Program 2016-C LLC | 2.360% | 12/25/32 | 2,235 | 2,227 |
7 | SpareBank 1 Boligkreditt AS | 1.250% | 5/2/18 | 2,000 | 1,999 |
4,7 | SpareBank 1 Boligkreditt AS | 1.750% | 11/15/20 | 10,400 | 10,478 |
7 | Stadshypotek AB | 1.250% | 5/23/18 | 1,930 | 1,930 |
7 | Stadshypotek AB | 1.750% | 4/9/20 | 8,294 | 8,351 |
4,6,7 | SWAY Residential 2014-1 Trust | 1.782% | 1/17/32 | 6,440 | 6,403 |
4 | Synchrony Credit Card Master Note Trust 2015-1 | 2.370% | 3/15/23 | 6,670 | 6,845 |
4 | Synchrony Credit Card Master Note Trust 2015-2 | 1.600% | 4/15/21 | 10,400 | 10,428 |
4 | Synchrony Credit Card Master Note Trust 2015-4 | 2.380% | 9/15/23 | 23,620 | 24,219 |
4 | Synchrony Credit Card Master Note Trust 2016-1 | 2.390% | 3/15/22 | 21,070 | 21,240 |
4,7 | Taco Bell Funding LLC 2016-1 | 3.832% | 5/25/46 | 3,840 | 3,887 |
4,7 | Taco Bell Funding LLC 2016-1 | 4.377% | 5/25/46 | 3,700 | 3,819 |
4,7 | Taco Bell Funding LLC 2016-1 | 4.970% | 5/25/46 | 5,920 | 6,139 |
4,7 | Tidewater Auto Receivables Trust 2016-AA | 2.300% | 9/15/19 | 5,745 | 5,743 |
4,7 | TMSQ 2014-1500 Mortgage Trust | 3.680% | 10/10/36 | 2,160 | 2,344 |
7 | Toronto-Dominion Bank | 1.950% | 4/2/20 | 8,400 | 8,535 |
7 | Toronto-Dominion Bank | 2.250% | 3/15/21 | 14,940 | 15,331 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 1.174% | 12/10/18 | 9,910 | 9,865 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 1.724% | 12/10/18 | 1,307 | 1,299 |
4,6,7 | Trade MAPS 1 Ltd. 2013-1A | 2.724% | 12/10/18 | 670 | 665 |
4,6,7 | Trafigura Securitisation Finance plc 2014-1A | 1.431% | 10/15/18 | 5,720 | 5,664 |
4,6,7 | Trillium Credit Card Trust II 2016-1A | 1.210% | 5/26/21 | 53,860 | 53,872 |
4 | UBS Commercial Mortgage Trust 2012-C1 | 4.171% | 5/10/45 | 1,200 | 1,325 |
4,7 | UBS-BAMLL Trust 2012-WRM | 3.663% | 6/10/30 | 6,000 | 6,424 |
4 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.850% | 12/10/45 | 5,055 | 5,324 |
4,7 | Verizon Owner Trust 2016-1A | 1.420% | 1/20/21 | 5,154 | 5,155 |
51
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,7 | VNDO 2012-6AVE Mortgage Trust | 2.996% | 11/15/30 | 8,350 | 8,838 |
4,7 | VNDO 2013-PENN Mortgage Trust | 3.808% | 12/13/29 | 1,100 | 1,191 |
4,7 | VNDO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 650 | 695 |
4,7 | VNDO 2013-PENN Mortgage Trust | 3.947% | 12/13/29 | 490 | 516 |
4,7 | Volkswagen Credit Auto Master Owner Trust 2014-1A | 1.400% | 7/22/19 | 12,420 | 12,358 |
4,7 | Volvo Financial Equipment LLC Series 2015-1A | 1.910% | 1/15/20 | 3,105 | 3,114 |
4,7 | Volvo Financial Equipment LLC Series 2016-1A | 1.890% | 9/15/20 | 3,450 | 3,477 |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C28 | 5.572% | 10/15/48 | 5,536 | 5,531 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.297% | 11/15/48 | 2,787 | 2,806 | |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 5,990 | 6,357 |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 3.539% | 10/15/45 | 1,610 | 1,730 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 3.928% | 7/15/46 | 750 | 821 |
4 | Wells Fargo Commercial Mortgage Trust 2013-LC12 | 4.218% | 7/15/46 | 7,570 | 8,571 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.477% | 8/15/50 | 2,400 | 2,575 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.817% | 8/15/50 | 5,800 | 6,454 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.020% | 8/15/50 | 700 | 774 |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.322% | 8/15/50 | 2,400 | 2,676 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.458% | 8/15/50 | 1,450 | 1,545 | |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.244% | 12/15/47 | 2,410 | 2,561 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 1,110 | 1,203 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 2.991% | 2/15/48 | 1,840 | 1,921 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 3.166% | 2/15/48 | 2,480 | 2,643 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 4,980 | 5,296 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.278% | 2/15/48 | 1,260 | 1,342 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.451% | 2/15/48 | 5,280 | 5,714 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.400% | 6/15/48 | 3,700 | 3,967 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 9,375 | 10,286 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 4.225% | 6/15/48 | 2,310 | 2,366 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.411% | 9/15/58 | 7,300 | 7,923 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 3.664% | 9/15/58 | 4,380 | 4,848 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.067% | 9/15/58 | 2,250 | 2,461 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C30 | 4.496% | 9/15/58 | 2,740 | 2,863 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 5,960 | 6,648 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.207% | 9/15/58 | 2,045 | 2,263 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.539% | 9/15/58 | 720 | 819 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.539% | 9/15/58 | 5,225 | 5,419 |
4 | Wells Fargo Commercial Mortgage Trust 2015-SG1 | 3.556% | 12/15/47 | 1,510 | 1,633 |
4 | Wells Fargo Commercial Mortgage Trust 2015-SG1 | 3.789% | 12/15/47 | 4,500 | 5,008 |
4 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 5,750 | 6,314 |
4,7 | Wendys Funding LLC 2015-1A | 3.371% | 6/15/45 | 4,645 | 4,649 |
4,7 | Wendys Funding LLC 2015-1A | 4.080% | 6/15/45 | 7,215 | 7,318 |
4,7 | Wendys Funding LLC 2015-1A | 4.497% | 6/15/45 | 2,293 | 2,305 |
7 | Westpac Banking Corp. | 1.850% | 11/26/18 | 6,285 | 6,359 |
7 | Westpac Banking Corp. | 2.000% | 3/3/20 | 17,720 | 18,012 |
7 | Westpac Banking Corp. | 2.250% | 11/9/20 | 7,430 | 7,598 |
7 | Westpac Banking Corp. | 2.100% | 2/25/21 | 2,890 | 2,939 |
4,7 | WFLD 2014-MONT Mortgage Trust | 3.755% | 8/10/31 | 4,640 | 5,117 |
4,7 | WFRBS Commercial Mortgage Trust 2011-C3 | 4.375% | 3/15/44 | 5,450 | 6,031 |
4 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 5,280 | 5,592 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 5,400 | 5,845 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 4,170 | 4,598 |
4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 3,300 | 3,515 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 9,300 | 9,837 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 3.388% | 11/15/45 | 2,870 | 3,061 |
4 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 2,220 | 2,330 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 1,900 | 2,051 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 630 | 717 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 357 | 384 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.676% | 12/15/46 | 1,895 | 2,050 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 6,340 | 7,216 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.666% | 12/15/46 | 1,085 | 1,247 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 9,255 | 10,468 |
52
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 3,020 | 3,260 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 10,635 | 11,913 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.378% | 5/15/47 | 2,410 | 2,682 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.513% | 5/15/47 | 1,410 | 1,477 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 10,795 | 11,845 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.891% | 8/15/47 | 700 | 777 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 4.234% | 8/15/47 | 2,410 | 2,480 |
4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 2,610 | 2,913 |
4 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 7,035 | 7,727 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 170 | 182 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.766% | 3/15/47 | 560 | 616 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 10,745 | 12,064 |
4 | World Financial Network Credit Card Master Note Trust | ||||
Series 2013-A | 1.610% | 12/15/21 | 4,000 | 4,017 | |
4,6 | World Financial Network Credit Card Master Note Trust | ||||
Series 2015-A | 0.961% | 2/15/22 | 8,755 | 8,754 | |
4 | World Financial Network Credit Card Master Note Trust | ||||
Series 2016-A | 2.030% | 4/15/25 | 16,480 | 16,602 | |
4 | World Omni Auto Receivables Trust 2016-A | 1.770% | 9/15/21 | 12,000 | 12,149 |
4 | World Omni Automobile Lease Securitization Trust | ||||
2015-A | 1.730% | 12/15/20 | 2,300 | 2,305 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2016-A | 1.610% | 1/15/22 | 3,670 | 3,670 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,762,461) | 3,851,482 | ||||
Corporate Bonds (74.9%) | |||||
Finance (29.9%) | |||||
Banking (19.4%) | |||||
7 | ABN AMRO Bank NV | 2.500% | 10/30/18 | 27,285 | 27,900 |
7 | ABN AMRO Bank NV | 4.750% | 7/28/25 | 19,436 | 20,266 |
7 | ABN AMRO Bank NV | 4.800% | 4/18/26 | 4,000 | 4,234 |
4,8 | ABN AMRO Bank NV | 2.875% | 1/18/28 | 4,100 | 4,804 |
American Express Co. | 2.650% | 12/2/22 | 16,082 | 16,485 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 4,700 | 4,827 | |
American Express Credit Corp. | 2.250% | 5/5/21 | 18,354 | 18,725 | |
Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 11,280 | 11,498 | |
7 | Australia & New Zealand Banking Group Ltd. | 4.500% | 3/19/24 | 15,270 | 16,205 |
7 | Australia & New Zealand Banking Group Ltd. | 4.400% | 5/19/26 | 15,275 | 16,153 |
7 | Banco de Credito del Peru | 4.250% | 4/1/23 | 5,000 | 5,389 |
Bank of America Corp. | 5.625% | 7/1/20 | 19,340 | 21,915 | |
Bank of America Corp. | 5.700% | 1/24/22 | 15,800 | 18,510 | |
Bank of America Corp. | 3.300% | 1/11/23 | 29,767 | 31,040 | |
Bank of America Corp. | 4.125% | 1/22/24 | 33,430 | 36,338 | |
Bank of America Corp. | 4.450% | 3/3/26 | 8,900 | 9,520 | |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 3,017 | 3,134 | |
Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 14,339 | 14,813 | |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 21,944 | 24,237 | |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 10,780 | 10,969 | |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 16,040 | 17,425 | |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 17,000 | 18,814 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 20,200 | 21,918 | |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 11,142 | 11,951 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 15,800 | 16,851 | |
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 10,780 | 11,196 | |
4 | Bank of New York Mellon Corp. | 4.625% | 12/29/49 | 4,655 | 4,643 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 8,500 | 9,404 | |
Bank of Nova Scotia | 2.450% | 3/22/21 | 15,000 | 15,460 | |
Bank of Nova Scotia | 4.500% | 12/16/25 | 26,000 | 27,772 | |
7 | Bank of Tokyo-Mitsubishi UFJ Ltd. | 2.750% | 9/14/20 | 23,856 | 24,589 |
7 | Banque Federative du Credit Mutuel SA | 2.750% | 10/15/20 | 18,150 | 18,748 |
7 | Banque Federative du Credit Mutuel SA | 2.500% | 4/13/21 | 25,665 | 26,320 |
Barclays plc | 2.750% | 11/8/19 | 3,061 | 3,087 | |
Barclays plc | 3.650% | 3/16/25 | 10,000 | 9,887 |
53
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
BB&T Corp. | 5.250% | 11/1/19 | 12,000 | 13,237 | |
BB&T Corp. | 3.950% | 3/22/22 | 4,400 | 4,766 | |
BNP Paribas SA | 2.400% | 12/12/18 | 3,150 | 3,206 | |
BNP Paribas SA | 5.000% | 1/15/21 | 44,350 | 50,172 | |
BNP Paribas SA | 3.250% | 3/3/23 | 6,235 | 6,554 | |
9 | BPCE SA | 3.500% | 4/24/20 | 1,100 | 845 |
BPCE SA | 4.000% | 4/15/24 | 50,690 | 55,298 | |
8 | BPCE SA | 2.875% | 4/22/26 | 3,000 | 3,552 |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 10,425 | 10,963 | |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 27,345 | 29,619 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 2,450 | 2,505 | |
Capital One Financial Corp. | 3.200% | 2/5/25 | 2,650 | 2,699 | |
Capital One Financial Corp. | 3.750% | 7/28/26 | 20,000 | 20,125 | |
Capital One NA | 1.500% | 3/22/18 | 7,000 | 6,975 | |
Citigroup Inc. | 4.500% | 1/14/22 | 25,970 | 28,804 | |
Citigroup Inc. | 3.375% | 3/1/23 | 16,000 | 16,721 | |
Citigroup Inc. | 3.875% | 10/25/23 | 28,736 | 30,910 | |
Citigroup Inc. | 5.500% | 9/13/25 | 9,000 | 10,254 | |
Citigroup Inc. | 4.600% | 3/9/26 | 10,355 | 11,124 | |
Citigroup Inc. | 4.125% | 7/25/28 | 9,471 | 9,642 | |
4,7,10 | Colonial BancGroup Inc. | 7.114% | 5/29/49 | 17,340 | 2 |
7 | Commonwealth Bank of Australia | 5.000% | 10/15/19 | 2,702 | 2,984 |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 3,000 | 3,070 | |
7 | Commonwealth Bank of Australia | 5.000% | 3/19/20 | 11,560 | 12,901 |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 5,382 | 5,511 | |
7 | Commonwealth Bank of Australia | 4.500% | 12/9/25 | 41,985 | 44,602 |
7 | Commonwealth Bank of Australia | 2.850% | 5/18/26 | 22,065 | 22,664 |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 15,590 | 15,898 | |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 29,940 | 30,953 | |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 53,100 | 57,929 | |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 30,660 | 32,260 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 102,134 | 109,945 | |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 25,310 | 26,936 | |
7 | Credit Agricole SA | 2.375% | 7/1/21 | 14,060 | 14,353 |
Credit Suisse AG | 2.300% | 5/28/19 | 9,820 | 9,953 | |
Credit Suisse AG | 3.000% | 10/29/21 | 40,000 | 41,127 | |
Credit Suisse AG | 3.625% | 9/9/24 | 69,650 | 72,479 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 12,935 | 13,226 | |
7 | Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 29,700 | 30,102 |
7 | Danske Bank A/S | 2.800% | 3/10/21 | 43,465 | 45,438 |
Deutsche Bank AG | 2.950% | 8/20/20 | 5,000 | 4,949 | |
Deutsche Bank AG | 3.125% | 1/13/21 | 15,829 | 15,723 | |
Discover Bank | 7.000% | 4/15/20 | 3,665 | 4,158 | |
Discover Bank | 3.100% | 6/4/20 | 14,990 | 15,515 | |
7 | DNB Bank ASA | 2.375% | 6/2/21 | 16,218 | 16,603 |
Fifth Third Bank | 2.875% | 10/1/21 | 18,960 | 19,880 | |
Fifth Third Bank | 3.850% | 3/15/26 | 4,280 | 4,551 | |
First Republic Bank | 2.375% | 6/17/19 | 11,791 | 11,909 | |
FirstMerit Corp. | 4.350% | 2/4/23 | 9,000 | 9,444 | |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 15,000 | 17,126 | |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 2,200 | 2,253 | |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 14,720 | 16,821 | |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 15,522 | 15,897 | |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 3,421 | 3,484 | |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 22,087 | 25,123 | |
11 | Goldman Sachs Group Inc. | 5.500% | 10/12/21 | 2,320 | 3,508 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 52,535 | 61,093 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 9,300 | 9,867 | |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 53,926 | 58,147 | |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 25,937 | 27,852 | |
8 | Goldman Sachs Group Inc. | 2.125% | 9/30/24 | 6,894 | 8,277 |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 8,000 | 8,325 | |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 65,622 | 69,274 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 15,463 | 16,326 |
54
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 32,200 | 34,071 | |
HSBC Bank USA NA | 4.875% | 8/24/20 | 24,478 | 26,596 | |
HSBC Holdings plc | 5.100% | 4/5/21 | 38,429 | 42,810 | |
HSBC Holdings plc | 2.950% | 5/25/21 | 17,300 | 17,620 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 30,100 | 32,093 | |
HSBC Holdings plc | 3.600% | 5/25/23 | 66,405 | 68,614 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 17,500 | 18,234 | |
8 | HSBC Holdings plc | 3.000% | 6/30/25 | 1,500 | 1,786 |
HSBC Holdings plc | 4.250% | 8/18/25 | 35,000 | 36,155 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 71,090 | 76,261 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 54,890 | 56,999 | |
8 | HSBC Holdings plc | 3.125% | 6/7/28 | 3,883 | 4,608 |
HSBC USA Inc. | 2.375% | 11/13/19 | 17,185 | 17,385 | |
HSBC USA Inc. | 2.750% | 8/7/20 | 1,890 | 1,924 | |
Huntington Bancshares Inc. | 3.150% | 3/14/21 | 7,915 | 8,256 | |
Huntington National Bank | 2.400% | 4/1/20 | 7,000 | 7,110 | |
Huntington National Bank | 2.875% | 8/20/20 | 5,600 | 5,751 | |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 18,510 | 20,268 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 21,790 | 23,761 | |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 61,384 | 62,992 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 44,800 | 45,924 | |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 22,450 | 25,005 | |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 10,160 | 10,335 | |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 14,235 | 15,719 | |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 28,610 | 31,918 | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 23,500 | 24,711 | |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 26,858 | 28,050 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 26,538 | 26,917 | |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 22,900 | 24,983 | |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 14,750 | 15,771 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 9,200 | 9,449 | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 4,500 | 4,884 | |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 28,000 | 29,093 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 26,390 | 27,237 | |
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 8,000 | 8,067 | |
4 | JPMorgan Chase & Co. | 5.300% | 12/29/49 | 5,220 | 5,364 |
KeyBank NA | 3.300% | 6/1/25 | 20,000 | 21,171 | |
8 | Leeds Building Society | 1.375% | 5/5/22 | 7,204 | 7,893 |
Lloyds Bank plc | 2.050% | 1/22/19 | 12,250 | 12,293 | |
Lloyds Bank plc | 2.350% | 9/5/19 | 15,854 | 16,041 | |
Lloyds Bank plc | 2.700% | 8/17/20 | 13,573 | 13,951 | |
Lloyds Bank plc | 6.375% | 1/21/21 | 9,172 | 10,849 | |
Lloyds Bank plc | 3.500% | 5/14/25 | 11,240 | 11,889 | |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 37,381 | 38,508 | |
7 | Macquarie Bank Ltd. | 2.400% | 1/21/20 | 7,765 | 7,874 |
7 | Macquarie Bank Ltd. | 4.875% | 6/10/25 | 7,910 | 8,358 |
7 | Macquarie Bank Ltd. | 3.900% | 1/15/26 | 15,380 | 16,375 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 5,758 | 5,874 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 22,400 | 23,249 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 59,653 | 65,541 | |
7 | Mitsubishi UFJ Trust & Banking Corp. | 2.450% | 10/16/19 | 20,000 | 20,418 |
7 | Mitsubishi UFJ Trust & Banking Corp. | 2.650% | 10/19/20 | 29,055 | 29,827 |
Morgan Stanley | 7.300% | 5/13/19 | 5,000 | 5,738 | |
Morgan Stanley | 5.625% | 9/23/19 | 20,500 | 22,799 | |
Morgan Stanley | 5.500% | 1/26/20 | 16,035 | 17,928 | |
Morgan Stanley | 2.650% | 1/27/20 | 4,300 | 4,405 | |
Morgan Stanley | 5.500% | 7/24/20 | 12,000 | 13,561 | |
Morgan Stanley | 5.750% | 1/25/21 | 24,000 | 27,555 | |
Morgan Stanley | 2.500% | 4/21/21 | 5,939 | 6,012 | |
Morgan Stanley | 5.500% | 7/28/21 | 26,800 | 30,827 | |
Morgan Stanley | 3.750% | 2/25/23 | 36,000 | 38,426 | |
Morgan Stanley | 3.875% | 4/29/24 | 43,400 | 46,609 | |
Morgan Stanley | 4.000% | 7/23/25 | 51,181 | 55,035 | |
Morgan Stanley | 3.875% | 1/27/26 | 70,263 | 74,917 |
55
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Morgan Stanley | 3.125% | 7/27/26 | 39,325 | 39,662 | |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 3,400 | 3,428 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 21,891 | 23,174 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 12,000 | 12,240 | |
National Australia Bank Ltd. | 1.875% | 7/12/21 | 14,000 | 13,978 | |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 14,320 | 15,020 | |
National Australia Bank Ltd./New York | 2.625% | 1/14/21 | 4,103 | 4,228 | |
National Australia Bank Ltd./New York | 2.500% | 7/12/26 | 28,485 | 28,324 | |
7 | Nationwide Building Society | 2.350% | 1/21/20 | 7,322 | 7,401 |
7 | Nationwide Building Society | 2.450% | 7/27/21 | 16,760 | 16,902 |
8 | Nationwide Building Society | 1.125% | 6/3/22 | 2,868 | 3,276 |
7 | Nationwide Building Society | 3.900% | 7/21/25 | 8,000 | 8,657 |
7 | Nordea Bank AB | 1.875% | 9/17/18 | 6,215 | 6,275 |
7 | Nordea Bank AB | 2.500% | 9/17/20 | 4,715 | 4,853 |
7 | Nordea Bank AB | 2.250% | 5/27/21 | 24,700 | 25,212 |
7 | Nordea Bank AB | 4.250% | 9/21/22 | 11,260 | 12,063 |
Northern Trust Co. | 6.500% | 8/15/18 | 4,000 | 4,393 | |
Northern Trust Corp. | 3.450% | 11/4/20 | 500 | 535 | |
Northern Trust Corp. | 3.375% | 8/23/21 | 13,036 | 13,982 | |
People's United Financial Inc. | 3.650% | 12/6/22 | 11,405 | 11,715 | |
PNC Bank NA | 6.875% | 4/1/18 | 12,085 | 13,124 | |
PNC Bank NA | 2.600% | 7/21/20 | 15,120 | 15,703 | |
PNC Bank NA | 2.450% | 11/5/20 | 2,218 | 2,294 | |
PNC Bank NA | 2.150% | 4/29/21 | 5,873 | 5,978 | |
PNC Bank NA | 2.700% | 11/1/22 | 41,080 | 41,853 | |
PNC Bank NA | 2.950% | 1/30/23 | 15,000 | 15,434 | |
PNC Bank NA | 3.800% | 7/25/23 | 15,750 | 17,143 | |
PNC Bank NA | 3.300% | 10/30/24 | 19,634 | 21,062 | |
PNC Bank NA | 2.950% | 2/23/25 | 16,680 | 17,498 | |
PNC Bank NA | 3.250% | 6/1/25 | 46,732 | 50,048 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 12,493 | 12,914 | |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 6,525 | 7,057 | |
PNC Funding Corp. | 6.700% | 6/10/19 | 12,000 | 13,756 | |
PNC Funding Corp. | 5.125% | 2/8/20 | 21,243 | 23,781 | |
PNC Funding Corp. | 4.375% | 8/11/20 | 23,000 | 25,407 | |
PNC Funding Corp. | 3.300% | 3/8/22 | 14,570 | 15,573 | |
Regions Bank | 7.500% | 5/15/18 | 1,732 | 1,895 | |
Regions Financial Corp. | 2.000% | 5/15/18 | 2,000 | 2,005 | |
Royal Bank of Canada | 1.500% | 7/29/19 | 15,910 | 15,954 | |
Royal Bank of Canada | 2.350% | 10/30/20 | 11,539 | 11,912 | |
Royal Bank of Canada | 2.500% | 1/19/21 | 11,260 | 11,690 | |
Royal Bank of Canada | 4.650% | 1/27/26 | 7,790 | 8,610 | |
Santander Bank NA | 8.750% | 5/30/18 | 5,000 | 5,525 | |
7 | Santander UK Group Holdings plc | 4.750% | 9/15/25 | 22,530 | 22,637 |
Santander UK plc | 2.500% | 3/14/19 | 8,926 | 9,061 | |
Santander UK plc | 2.350% | 9/10/19 | 24,966 | 25,299 | |
Santander UK plc | 4.000% | 3/13/24 | 30,121 | 32,788 | |
4,8 | Skandinaviska Enskilda Banken AB | 2.500% | 5/28/26 | 3,049 | 3,579 |
State Street Corp. | 2.550% | 8/18/20 | 6,746 | 7,022 | |
State Street Corp. | 4.375% | 3/7/21 | 10,740 | 11,992 | |
State Street Corp. | 3.100% | 5/15/23 | 15,025 | 15,694 | |
State Street Corp. | 3.700% | 11/20/23 | 32,620 | 36,239 | |
State Street Corp. | 3.300% | 12/16/24 | 27,435 | 29,676 | |
State Street Corp. | 3.550% | 8/18/25 | 36,058 | 39,611 | |
State Street Corp. | 2.650% | 5/19/26 | 26,480 | 27,183 | |
4 | State Street Corp. | 5.250% | 12/29/49 | 5,240 | 5,515 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 3,000 | 3,157 | |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 8,160 | 8,857 | |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 5,000 | 5,335 | |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 12,423 | 12,948 | |
Sumitomo Mitsui Financial Group Inc. | 2.058% | 7/14/21 | 17,625 | 17,616 | |
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 18,513 | 20,159 | |
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 53,555 | 52,848 | |
SunTrust Bank | 3.300% | 5/15/26 | 10,000 | 10,377 |
56
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
SunTrust Banks Inc. | 2.900% | 3/3/21 | 6,318 | 6,599 | |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 3,853 | 3,960 | |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 30,565 | 31,506 | |
7 | Swedbank AB | 2.650% | 3/10/21 | 9,419 | 9,814 |
Synchrony Financial | 3.750% | 8/15/21 | 17,100 | 18,061 | |
Synchrony Financial | 4.250% | 8/15/24 | 15,000 | 15,841 | |
Synchrony Financial | 4.500% | 7/23/25 | 29,100 | 31,128 | |
Toronto-Dominion Bank | 1.450% | 8/13/19 | 3,900 | 3,909 | |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 40,480 | 41,925 | |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 55,000 | 56,075 | |
Toronto-Dominion Bank | 1.800% | 7/13/21 | 20,835 | 20,866 | |
US Bancorp | 4.125% | 5/24/21 | 28,055 | 31,247 | |
US Bancorp | 3.000% | 3/15/22 | 23,724 | 25,286 | |
US Bancorp | 2.950% | 7/15/22 | 35,200 | 36,918 | |
US Bancorp | 3.700% | 1/30/24 | 18,500 | 20,508 | |
US Bancorp | 3.600% | 9/11/24 | 14,800 | 16,095 | |
US Bancorp | 3.100% | 4/27/26 | 18,611 | 19,350 | |
US Bank NA | 2.800% | 1/27/25 | 14,400 | 15,026 | |
10 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.500% | 1/15/13 | 6,147 | 15 | |
10 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.650% | 8/15/14 | 7,500 | 1 | |
10 | Washington Mutual Bank / Debt not acquired by | ||||
JPMorgan | 5.125% | 1/15/15 | 9,000 | 22 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 19,260 | 19,882 | |
Wells Fargo & Co. | 2.550% | 12/7/20 | 7,623 | 7,837 | |
Wells Fargo & Co. | 4.600% | 4/1/21 | 16,673 | 18,598 | |
9 | Wells Fargo & Co. | 3.000% | 7/27/21 | 33,950 | 25,686 |
6,9 | Wells Fargo & Co. | 3.200% | 7/27/21 | 7,450 | 5,675 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 36,700 | 38,438 | |
Wells Fargo & Co. | 4.125% | 8/15/23 | 13,100 | 14,197 | |
Wells Fargo & Co. | 3.300% | 9/9/24 | 69,974 | 73,819 | |
Wells Fargo & Co. | 3.000% | 2/19/25 | 42,300 | 43,704 | |
Wells Fargo & Co. | 3.550% | 9/29/25 | 51,784 | 55,442 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 27,000 | 27,700 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 10,795 | 11,916 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 15,885 | 16,457 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 30,045 | 30,513 | |
Westpac Banking Corp. | 2.850% | 5/13/26 | 46,380 | 47,597 | |
Brokerage (1.3%) | |||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 10,471 | 11,090 | |
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 3,200 | 3,687 | |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 10,819 | 11,878 | |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 15,000 | 16,263 | |
7 | Apollo Management Holdings LP | 4.400% | 5/27/26 | 24,515 | 25,496 |
BlackRock Inc. | 4.250% | 5/24/21 | 4,250 | 4,748 | |
BlackRock Inc. | 3.375% | 6/1/22 | 12,000 | 12,956 | |
BlackRock Inc. | 3.500% | 3/18/24 | 20,000 | 21,956 | |
Charles Schwab Corp. | 4.450% | 7/22/20 | 6,500 | 7,222 | |
Charles Schwab Corp. | 3.225% | 9/1/22 | 11,150 | 11,781 | |
CME Group Inc. | 3.000% | 3/15/25 | 13,500 | 14,338 | |
Franklin Resources Inc. | 4.625% | 5/20/20 | 7,550 | 8,328 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 11,000 | 11,489 | |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 34,330 | 37,361 | |
Invesco Finance plc | 3.125% | 11/30/22 | 30,485 | 32,058 | |
Invesco Finance plc | 4.000% | 1/30/24 | 21,300 | 23,555 | |
Invesco Finance plc | 3.750% | 1/15/26 | 15,323 | 16,491 | |
Jefferies Group LLC | 6.875% | 4/15/21 | 8,000 | 9,193 | |
Jefferies Group LLC | 5.125% | 1/20/23 | 5,000 | 5,287 | |
Legg Mason Inc. | 3.950% | 7/15/24 | 5,000 | 5,084 | |
10 | Lehman Brothers Holdings Inc. | 6.500% | 7/19/17 | 20,000 | 2 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 9,950 | 10,203 | |
Stifel Financial Corp. | 3.500% | 12/1/20 | 11,030 | 11,197 |
57
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Stifel Financial Corp. | 4.250% | 7/18/24 | 15,000 | 15,207 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 16,715 | 17,475 | |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 11,400 | 12,205 | |
Finance Companies (1.0%) | |||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 3.750% | 5/15/19 | 4,645 | 4,802 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 3.950% | 2/1/22 | 9,340 | 9,760 | |
Air Lease Corp. | 3.375% | 1/15/19 | 8,000 | 8,230 | |
Air Lease Corp. | 4.250% | 9/15/24 | 16,000 | 16,640 | |
GE Capital International Funding Co. | 2.342% | 11/15/20 | 69,573 | 72,101 | |
GE Capital International Funding Co. | 3.373% | 11/15/25 | 22,176 | 24,379 | |
GE Capital International Funding Co. | 4.418% | 11/15/35 | 43,400 | 50,011 | |
HSBC Finance Corp. | 6.676% | 1/15/21 | 63,939 | 72,821 | |
7 | Peachtree Corners Funding Trust | 3.976% | 2/15/25 | 15,000 | 15,240 |
7 | SMBC Aviation Capital Finance DAC | 2.650% | 7/15/21 | 11,015 | 11,072 |
Insurance (5.6%) | |||||
Aetna Inc. | 2.400% | 6/15/21 | 445 | 453 | |
Aetna Inc. | 2.750% | 11/15/22 | 29,020 | 29,654 | |
Aetna Inc. | 2.800% | 6/15/23 | 45,010 | 46,286 | |
Aetna Inc. | 3.500% | 11/15/24 | 15,000 | 16,040 | |
Aetna Inc. | 3.200% | 6/15/26 | 67,925 | 69,691 | |
Aflac Inc. | 4.000% | 2/15/22 | 2,000 | 2,206 | |
Aflac Inc. | 3.625% | 6/15/23 | 16,000 | 17,271 | |
Aflac Inc. | 3.625% | 11/15/24 | 5,000 | 5,413 | |
Aflac Inc. | 3.250% | 3/17/25 | 10,000 | 10,472 | |
7 | AIA Group Ltd. | 3.200% | 3/11/25 | 15,505 | 15,946 |
Alleghany Corp. | 4.950% | 6/27/22 | 2,586 | 2,871 | |
4,8 | Allianz Finance II BV | 5.750% | 7/8/41 | 17,200 | 22,369 |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 24,105 | 24,819 | |
4 | Allstate Corp. | 5.750% | 8/15/53 | 5,000 | 5,238 |
Alterra Finance LLC | 6.250% | 9/30/20 | 8,000 | 9,204 | |
American Financial Group Inc. | 9.875% | 6/15/19 | 10,000 | 12,011 | |
American International Group Inc. | 4.875% | 6/1/22 | 3,215 | 3,604 | |
Anthem Inc. | 4.350% | 8/15/20 | 2,000 | 2,182 | |
Anthem Inc. | 3.700% | 8/15/21 | 3,090 | 3,321 | |
Aon plc | 3.500% | 6/14/24 | 7,012 | 7,248 | |
4,8 | Aquarius and Investments plc for Zurich Insurance Co. | ||||
Ltd. | 4.250% | 10/2/43 | 14,465 | 18,062 | |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 5,500 | 5,834 | |
8 | AXA SA | 5.250% | 4/16/40 | 5,350 | 6,697 |
4,8 | AXA SA | 5.125% | 7/4/43 | 4,593 | 6,011 |
4,8 | AXA SA | 3.875% | 5/20/49 | 6,046 | 6,927 |
4,11 | AXA SA | 5.453% | 11/29/49 | 1,569 | 2,140 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 9,240 | 10,313 | |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 2,000 | 2,237 | |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 4,360 | 4,650 | |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 11,500 | 12,677 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 88,685 | 92,617 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 77,788 | 82,709 | |
Brown & Brown Inc. | 4.200% | 9/15/24 | 15,000 | 15,305 | |
4 | Chubb Corp. | 6.375% | 3/29/67 | 6,984 | 6,251 |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 21,435 | 22,591 | |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 7,695 | 7,909 | |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 39,741 | 42,979 | |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 26,400 | 28,028 | |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 2,287 | 2,468 | |
CNA Financial Corp. | 5.875% | 8/15/20 | 5,000 | 5,629 | |
4,11 | CNP Assurances | 7.375% | 9/30/41 | 3,800 | 5,706 |
4,8 | CNP Assurances | 4.500% | 6/10/47 | 1,500 | 1,691 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 8,500 | 9,708 | |
4,8 | Credit Agricole Assurances SA | 4.250% | 1/29/49 | 3,000 | 3,327 |
4,8 | Credit Agricole Assurances SA | 4.500% | 10/31/49 | 2,400 | 2,672 |
58
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
First American Financial Corp. | 4.600% | 11/15/24 | 12,000 | 12,611 | |
7 | Five Corners Funding Trust | 4.419% | 11/15/23 | 29,000 | 31,506 |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 6,900 | 7,133 | |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 2,880 | 3,297 | |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 10,547 | 11,195 | |
7 | Jackson National Life Global Funding | 4.700% | 6/1/18 | 2,500 | 2,634 |
Kemper Corp. | 4.350% | 2/15/25 | 15,000 | 15,569 | |
Loews Corp. | 2.625% | 5/15/23 | 8,000 | 8,094 | |
Manulife Financial Corp. | 4.900% | 9/17/20 | 24,150 | 26,767 | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 55,450 | 60,511 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 5,275 | 5,386 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 4,850 | 5,377 | |
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 8,345 | 8,749 | |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 10,087 | 10,914 | |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 42,530 | 44,110 | |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 30,747 | 32,250 | |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 2,000 | 2,132 | |
7 | MassMutual Global Funding II | 2.500% | 10/17/22 | 10,500 | 10,747 |
MetLife Inc. | 3.048% | 12/15/22 | 23,000 | 23,845 | |
MetLife Inc. | 4.368% | 9/15/23 | 38,430 | 42,713 | |
MetLife Inc. | 3.600% | 4/10/24 | 13,005 | 13,761 | |
MetLife Inc. | 3.600% | 11/13/25 | 27,520 | 29,134 | |
4 | MetLife Inc. | 5.250% | 12/29/49 | 2,635 | 2,637 |
7 | New York Life Global Funding | 1.950% | 2/11/20 | 1,595 | 1,615 |
PartnerRe Finance A LLC | 6.875% | 6/1/18 | 3,857 | 4,176 | |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 16,550 | 18,432 | |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 3,395 | 3,988 | |
4 | Principal Financial Group Inc. | 4.700% | 5/15/55 | 1,500 | 1,495 |
7 | Principal Life Global Funding II | 2.200% | 4/8/20 | 10,650 | 10,811 |
4 | Progressive Corp. | 6.700% | 6/15/67 | 11,587 | 10,805 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 1,950 | 1,996 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 7,205 | 8,095 | |
Prudential Financial Inc. | 3.500% | 5/15/24 | 5,000 | 5,252 | |
4 | Prudential Financial Inc. | 5.875% | 9/15/42 | 6,000 | 6,570 |
4 | Prudential Financial Inc. | 5.625% | 6/15/43 | 7,875 | 8,377 |
4 | Prudential Financial Inc. | 5.200% | 3/15/44 | 2,500 | 2,528 |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 7,150 | 7,436 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 5,000 | 5,516 | |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 11,430 | 12,411 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 26,655 | 27,844 | |
7 | Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 19,115 | 19,436 |
7 | Reliance Standard Life Global Funding II | 2.375% | 5/4/20 | 6,710 | 6,727 |
7 | Reliance Standard Life Global Funding II | 3.050% | 1/20/21 | 3,320 | 3,422 |
Swiss Re Solutions Holding Corp. | 6.450% | 3/1/19 | 11,250 | 12,488 | |
7 | Swiss Re Treasury US Corp. | 2.875% | 12/6/22 | 2,000 | 2,053 |
7 | TIAA Asset Management Finance Co. LLC | 4.125% | 11/1/24 | 38,771 | 40,991 |
8 | Trinity Acquisition plc | 2.125% | 5/26/22 | 17,792 | 20,427 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 3,000 | 3,176 | |
Trinity Acquisition plc | 4.400% | 3/15/26 | 14,815 | 15,519 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 3,870 | 4,054 | |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 14,000 | 15,274 | |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 13,000 | 14,680 | |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 10,000 | 10,582 | |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 26,816 | 28,168 | |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 17,660 | 19,008 | |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 12,000 | 12,537 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 9,000 | 9,352 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 28,550 | 31,796 | |
WR Berkley Corp. | 4.625% | 3/15/22 | 2,977 | 3,272 | |
XLIT Ltd. | 6.375% | 11/15/24 | 2,398 | 2,862 | |
Real Estate Investment Trusts (2.6%) | |||||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 17,155 | 17,924 | |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 6,465 | 6,807 |
59
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
American Campus Communities Operating Partnership | |||||
LP | 3.750% | 4/15/23 | 2,000 | 2,095 | |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 35,000 | 35,581 | |
Boston Properties LP | 3.125% | 9/1/23 | 2,654 | 2,765 | |
Boston Properties LP | 3.800% | 2/1/24 | 3,375 | 3,658 | |
Boston Properties LP | 3.650% | 2/1/26 | 10,000 | 10,813 | |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 4,090 | 4,191 | |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 17,000 | 17,469 | |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 7,000 | 7,125 | |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 18,740 | 19,417 | |
7 | Care Capital Properties LP | 5.125% | 8/15/26 | 9,500 | 9,633 |
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 7,985 | 8,216 | |
CubeSmart LP | 4.375% | 12/15/23 | 4,510 | 4,919 | |
DDR Corp. | 3.375% | 5/15/23 | 7,000 | 7,000 | |
DDR Corp. | 3.625% | 2/1/25 | 10,000 | 10,102 | |
Digital Realty Trust LP | 3.400% | 10/1/20 | 2,247 | 2,351 | |
Digital Realty Trust LP | 5.250% | 3/15/21 | 12,225 | 13,703 | |
Digital Realty Trust LP | 3.950% | 7/1/22 | 9,362 | 9,932 | |
Digital Realty Trust LP | 4.750% | 10/1/25 | 16,163 | 17,596 | |
Duke Realty LP | 3.625% | 4/15/23 | 9,000 | 9,521 | |
Duke Realty LP | 3.250% | 6/30/26 | 2,491 | 2,560 | |
ERP Operating LP | 3.375% | 6/1/25 | 21,000 | 22,234 | |
Essex Portfolio LP | 3.500% | 4/1/25 | 12,182 | 12,724 | |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 5,417 | 5,533 | |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 22,448 | 23,319 | |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 3,000 | 3,069 | |
Federal Realty Investment Trust | 3.950% | 1/15/24 | 8,269 | 9,165 | |
7 | Goodman Funding Pty Ltd. | 6.375% | 4/15/21 | 3,650 | 4,291 |
7 | Goodman Funding Pty Ltd. | 6.000% | 3/22/22 | 8,155 | 9,507 |
HCP Inc. | 2.625% | 2/1/20 | 7,000 | 7,089 | |
HCP Inc. | 4.000% | 12/1/22 | 16,027 | 16,903 | |
HCP Inc. | 4.250% | 11/15/23 | 5,400 | 5,699 | |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 13,000 | 13,096 | |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 7,000 | 7,078 | |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 4,705 | 4,815 | |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 14,912 | 15,218 | |
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 4,700 | 4,749 | |
Highwoods Realty LP | 3.200% | 6/15/21 | 6,000 | 6,077 | |
Kilroy Realty LP | 4.375% | 10/1/25 | 3,920 | 4,272 | |
Liberty Property LP | 4.400% | 2/15/24 | 9,900 | 10,748 | |
Liberty Property LP | 3.750% | 4/1/25 | 1,340 | 1,389 | |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,135 | 2,310 | |
Mid-America Apartments LP | 4.000% | 11/15/25 | 3,000 | 3,200 | |
National Retail Properties Inc. | 4.000% | 11/15/25 | 2,100 | 2,259 | |
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 8,500 | 8,585 | |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 19,000 | 19,570 | |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 20,806 | 21,950 | |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 13,179 | 13,047 | |
8 | Prologis International Funding II SA | 1.876% | 4/17/25 | 2,865 | 3,447 |
Realty Income Corp. | 4.650% | 8/1/23 | 6,000 | 6,638 | |
Simon Property Group LP | 2.500% | 9/1/20 | 1,760 | 1,824 | |
Simon Property Group LP | 4.375% | 3/1/21 | 28,394 | 31,535 | |
Simon Property Group LP | 4.125% | 12/1/21 | 20,822 | 23,132 | |
Simon Property Group LP | 3.375% | 3/15/22 | 7,000 | 7,507 | |
Simon Property Group LP | 2.750% | 2/1/23 | 7,500 | 7,783 | |
Simon Property Group LP | 3.750% | 2/1/24 | 30,500 | 33,584 | |
Simon Property Group LP | 3.375% | 10/1/24 | 4,000 | 4,335 | |
Simon Property Group LP | 3.500% | 9/1/25 | 12,997 | 14,196 | |
Simon Property Group LP | 3.300% | 1/15/26 | 14,000 | 15,042 | |
Sovran Acquisition LP | 3.500% | 7/1/26 | 16,338 | 16,633 | |
UDR Inc. | 4.625% | 1/10/22 | 3,455 | 3,846 | |
Ventas Realty LP | 3.125% | 6/15/23 | 13,186 | 13,398 | |
Ventas Realty LP | 3.750% | 5/1/24 | 10,000 | 10,532 | |
Weingarten Realty Investors | 3.375% | 10/15/22 | 5,694 | 5,858 |
60
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Weingarten Realty Investors | 4.450% | 1/15/24 | 1,950 | 2,083 | |
Weingarten Realty Investors | 3.850% | 6/1/25 | 3,404 | 3,532 | |
Welltower Inc. | 6.125% | 4/15/20 | 5,000 | 5,685 | |
Welltower Inc. | 4.950% | 1/15/21 | 8,000 | 8,837 | |
Welltower Inc. | 5.250% | 1/15/22 | 231 | 260 | |
Welltower Inc. | 3.750% | 3/15/23 | 13,439 | 14,044 | |
Welltower Inc. | 4.500% | 1/15/24 | 7,000 | 7,640 | |
Welltower Inc. | 4.000% | 6/1/25 | 2,875 | 3,072 | |
8,215,823 | |||||
Industrial (40.2%) | |||||
Basic Industry (1.7%) | |||||
Agrium Inc. | 3.500% | 6/1/23 | 15,000 | 15,767 | |
Agrium Inc. | 3.375% | 3/15/25 | 8,000 | 8,285 | |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 12,890 | 13,766 | |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 3,015 | 3,149 | |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 7,000 | 7,611 | |
Airgas Inc. | 2.375% | 2/15/20 | 3,725 | 3,797 | |
Airgas Inc. | 3.050% | 8/1/20 | 4,690 | 4,861 | |
Airgas Inc. | 3.650% | 7/15/24 | 3,500 | 3,764 | |
9 | BHP Billiton Finance Ltd. | 3.000% | 3/30/20 | 5,340 | 4,074 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 26,170 | 27,962 | |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 17,750 | 18,708 | |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 41,800 | 46,344 | |
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 1,573 | 1,996 | |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 3,500 | 3,793 | |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 4,000 | 4,246 | |
CF Industries Inc. | 7.125% | 5/1/20 | 3,480 | 4,019 | |
CF Industries Inc. | 3.450% | 6/1/23 | 5,685 | 5,777 | |
Dow Chemical Co. | 8.550% | 5/15/19 | 15,364 | 18,280 | |
Eastman Chemical Co. | 4.500% | 1/15/21 | 4,000 | 4,368 | |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 13,635 | 14,698 | |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 967 | 1,074 | |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 10,000 | 10,244 | |
Goldcorp Inc. | 3.700% | 3/15/23 | 4,000 | 4,158 | |
International Paper Co. | 3.650% | 6/15/24 | 6,085 | 6,468 | |
International Paper Co. | 3.800% | 1/15/26 | 3,585 | 3,858 | |
8 | LYB International Finance II BV | 1.875% | 3/2/22 | 955 | 1,126 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 5,000 | 5,850 | |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 4,340 | 5,178 | |
Monsanto Co. | 2.125% | 7/15/19 | 7,397 | 7,529 | |
Monsanto Co. | 2.750% | 7/15/21 | 15,885 | 16,411 | |
Monsanto Co. | 2.200% | 7/15/22 | 14,160 | 14,032 | |
Newmont Mining Corp. | 3.500% | 3/15/22 | 4,000 | 4,190 | |
Packaging Corp. of America | 3.650% | 9/15/24 | 7,000 | 7,272 | |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 4,764 | 5,256 | |
PPG Industries Inc. | 3.600% | 11/15/20 | 10,840 | 11,451 | |
Praxair Inc. | 4.050% | 3/15/21 | 12,925 | 14,369 | |
Praxair Inc. | 3.000% | 9/1/21 | 16,915 | 18,011 | |
Praxair Inc. | 2.450% | 2/15/22 | 29,730 | 30,801 | |
Praxair Inc. | 2.650% | 2/5/25 | 2,865 | 2,984 | |
Praxair Inc. | 3.200% | 1/30/26 | 5,000 | 5,446 | |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 3,000 | 3,603 | |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 12,935 | 14,249 | |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 18,820 | 20,486 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 5,000 | 5,373 | |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 16,000 | 17,142 | |
Syngenta Finance NV | 3.125% | 3/28/22 | 5,935 | 6,184 | |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 6,000 | 6,330 | |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 4,685 | 4,867 | |
Capital Goods (3.2%) | |||||
ABB Finance USA Inc. | 2.875% | 5/8/22 | 5,000 | 5,242 | |
7 | ABB Treasury Center USA Inc. | 4.000% | 6/15/21 | 7,000 | 7,604 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 10,000 | 11,138 |
61
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Airbus Group Finance BV | 2.700% | 4/17/23 | 27,110 | 28,226 |
Boeing Co. | 2.850% | 10/30/24 | 9,000 | 9,561 | |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 11,885 | 12,460 | |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 26,600 | 27,817 | |
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 14,845 | 15,298 | |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 14,000 | 15,522 | |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 22,650 | 24,406 | |
Caterpillar Inc. | 2.600% | 6/26/22 | 25,285 | 26,334 | |
Caterpillar Inc. | 3.400% | 5/15/24 | 7,255 | 7,872 | |
Crane Co. | 4.450% | 12/15/23 | 2,000 | 2,142 | |
7 | CRH America Inc. | 3.875% | 5/18/25 | 10,000 | 10,708 |
Deere & Co. | 2.600% | 6/8/22 | 33,975 | 35,393 | |
Dover Corp. | 3.150% | 11/15/25 | 13,665 | 14,581 | |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 5,880 | 5,974 | |
7 | Embraer Overseas Ltd. | 5.696% | 9/16/23 | 7,025 | 7,420 |
Embraer SA | 5.150% | 6/15/22 | 8,000 | 8,338 | |
Flowserve Corp. | 3.500% | 9/15/22 | 5,000 | 5,180 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 3,694 | 4,220 | |
General Electric Capital Corp. | 5.500% | 1/8/20 | 45,585 | 51,933 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 1,768 | 1,824 | |
General Electric Capital Corp. | 5.550% | 5/4/20 | 614 | 707 | |
General Electric Capital Corp. | 4.375% | 9/16/20 | 7,120 | 7,928 | |
General Electric Capital Corp. | 4.625% | 1/7/21 | 47,148 | 53,494 | |
General Electric Capital Corp. | 5.300% | 2/11/21 | 6,871 | 7,968 | |
General Electric Capital Corp. | 4.650% | 10/17/21 | 22,613 | 25,930 | |
General Electric Capital Corp. | 3.150% | 9/7/22 | 13,160 | 14,115 | |
General Electric Capital Corp. | 3.100% | 1/9/23 | 45,662 | 48,980 | |
General Electric Capital Corp. | 3.450% | 5/15/24 | 10,854 | 11,897 | |
General Electric Capital Corp. | 6.750% | 3/15/32 | 26,415 | 37,506 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 3,436 | 4,853 | |
4 | General Electric Co. | 5.000% | 12/29/49 | 2,000 | 2,155 |
8 | Honeywell International Inc. | 1.300% | 2/22/23 | 2,400 | 2,834 |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 8,562 | 9,451 | |
John Deere Capital Corp. | 3.900% | 7/12/21 | 10,000 | 11,097 | |
John Deere Capital Corp. | 2.750% | 3/15/22 | 36,330 | 37,763 | |
John Deere Capital Corp. | 2.800% | 1/27/23 | 28,894 | 30,284 | |
John Deere Capital Corp. | 2.800% | 3/6/23 | 50,095 | 52,797 | |
L-3 Communications Corp. | 3.950% | 5/28/24 | 684 | 718 | |
Owens Corning | 6.500% | 12/1/16 | 121 | 123 | |
Owens Corning | 9.000% | 6/15/19 | 195 | 224 | |
Parker-Hannifin Corp. | 3.500% | 9/15/22 | 4,885 | 5,351 | |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 10,615 | 11,475 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 45,952 | 47,917 | |
Raytheon Co. | 2.500% | 12/15/22 | 30,000 | 31,324 | |
Raytheon Co. | 3.150% | 12/15/24 | 7,195 | 7,821 | |
Raytheon Co. | 7.000% | 11/1/28 | 9,548 | 13,528 | |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 2,300 | 2,531 | |
Roper Technologies Inc. | 3.125% | 11/15/22 | 3,000 | 3,083 | |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 11,765 | 12,324 | |
Tyco International Finance SA | 3.900% | 2/14/26 | 6,600 | 7,201 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 8,685 | 8,859 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 3,115 | 3,232 | |
United Technologies Corp. | 3.100% | 6/1/22 | 14,000 | 15,056 | |
Xylem Inc. | 4.875% | 10/1/21 | 3,000 | 3,271 | |
Communication (3.3%) | |||||
21st Century Fox America Inc. | 6.900% | 3/1/19 | 7,000 | 7,936 | |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 6,000 | 6,297 | |
America Movil SAB de CV | 5.000% | 10/16/19 | 12,000 | 13,247 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 15,000 | 16,709 | |
America Movil SAB de CV | 3.125% | 7/16/22 | 54,350 | 56,804 | |
America Movil SAB de CV | 4.375% | 7/16/42 | 5,000 | 5,356 | |
American Tower Corp. | 3.450% | 9/15/21 | 15,565 | 16,444 | |
American Tower Corp. | 3.500% | 1/31/23 | 5,000 | 5,241 |
62
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
American Tower Corp. | 4.000% | 6/1/25 | 6,000 | 6,528 | |
American Tower Corp. | 4.400% | 2/15/26 | 15,000 | 16,605 | |
AT&T Inc. | 5.800% | 2/15/19 | 12,000 | 13,270 | |
AT&T Inc. | 2.450% | 6/30/20 | 6,000 | 6,150 | |
AT&T Inc. | 4.600% | 2/15/21 | 9,375 | 10,382 | |
AT&T Inc. | 5.000% | 3/1/21 | 10,637 | 12,039 | |
AT&T Inc. | 3.000% | 2/15/22 | 7,396 | 7,693 | |
AT&T Inc. | 3.800% | 3/15/22 | 6,800 | 7,326 | |
AT&T Inc. | 3.000% | 6/30/22 | 16,000 | 16,603 | |
AT&T Inc. | 4.450% | 4/1/24 | 11,568 | 12,804 | |
AT&T Inc. | 3.950% | 1/15/25 | 5,000 | 5,424 | |
AT&T Inc. | 3.400% | 5/15/25 | 5,000 | 5,163 | |
8 | British Telecommunications plc | 1.750% | 3/10/26 | 3,100 | 3,740 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 8,459 | 9,097 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.908% | 7/23/25 | 10,000 | 11,008 | |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 9,966 | 14,170 | |
Comcast Corp. | 3.125% | 7/15/22 | 20,126 | 21,655 | |
Comcast Corp. | 3.600% | 3/1/24 | 45,000 | 49,856 | |
Comcast Corp. | 3.375% | 2/15/25 | 16,000 | 17,410 | |
Comcast Corp. | 3.375% | 8/15/25 | 24,000 | 26,063 | |
Comcast Corp. | 3.150% | 3/1/26 | 31,000 | 33,102 | |
Crown Castle International Corp. | 4.450% | 2/15/26 | 15,000 | 16,631 | |
Crown Castle International Corp. | 3.700% | 6/15/26 | 7,000 | 7,382 | |
Grupo Televisa SAB | 4.625% | 1/30/26 | 5,000 | 5,525 | |
Moody's Corp. | 4.500% | 9/1/22 | 16,700 | 18,709 | |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 5,560 | 6,330 | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 28,710 | 32,352 | |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 20,000 | 21,060 | |
Omnicom Group Inc. | 4.450% | 8/15/20 | 10,427 | 11,517 | |
Omnicom Group Inc. | 3.625% | 5/1/22 | 10,000 | 10,774 | |
Omnicom Group Inc. | 3.650% | 11/1/24 | 6,000 | 6,430 | |
Orange SA | 2.750% | 2/6/19 | 3,584 | 3,688 | |
Orange SA | 4.125% | 9/14/21 | 6,400 | 7,075 | |
Qwest Corp. | 6.750% | 12/1/21 | 12,628 | 14,002 | |
9 | Telstra Corp. Ltd. | 4.000% | 9/16/22 | 28,090 | 22,653 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 6,000 | 6,601 | |
Thomson Reuters Corp. | 3.350% | 5/15/26 | 12,000 | 12,473 | |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 4,500 | 5,222 | |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 4,000 | 5,238 | |
Verizon Communications Inc. | 4.500% | 9/15/20 | 17,000 | 18,911 | |
Verizon Communications Inc. | 3.450% | 3/15/21 | 27,000 | 28,997 | |
Verizon Communications Inc. | 4.600% | 4/1/21 | 18,000 | 20,266 | |
Verizon Communications Inc. | 3.000% | 11/1/21 | 7,000 | 7,403 | |
Verizon Communications Inc. | 3.500% | 11/1/21 | 15,971 | 17,105 | |
Verizon Communications Inc. | 2.450% | 11/1/22 | 21,347 | 21,878 | |
Verizon Communications Inc. | 5.150% | 9/15/23 | 38,000 | 44,704 | |
Verizon Communications Inc. | 4.150% | 3/15/24 | 12,000 | 13,370 | |
Verizon Communications Inc. | 3.500% | 11/1/24 | 8,000 | 8,627 | |
Verizon Communications Inc. | 2.625% | 8/15/26 | 7,700 | 7,676 | |
Viacom Inc. | 3.875% | 12/15/21 | 2,246 | 2,394 | |
Viacom Inc. | 4.250% | 9/1/23 | 4,520 | 4,802 | |
Viacom Inc. | 3.875% | 4/1/24 | 10,000 | 10,280 | |
Vodafone Group plc | 1.500% | 2/19/18 | 3,750 | 3,763 | |
Vodafone Group plc | 4.375% | 3/16/21 | 4,500 | 4,985 | |
Vodafone Group plc | 2.950% | 2/19/23 | 4,654 | 4,793 | |
Walt Disney Co. | 3.150% | 9/17/25 | 14,250 | 15,629 | |
Walt Disney Co. | 3.000% | 2/13/26 | 11,300 | 12,109 | |
WPP Finance 2010 | 4.750% | 11/21/21 | 5,000 | 5,585 | |
Consumer Cyclical (5.3%) | |||||
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 5,130 | 5,216 | |
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 30,375 | 31,470 | |
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 22,923 | 23,972 |
63
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
American Honda Finance Corp. | 2.450% | 9/24/20 | 5,380 | 5,592 | |
American Honda Finance Corp. | 1.650% | 7/12/21 | 19,600 | 19,680 | |
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 14,470 | 15,849 | |
AutoNation Inc. | 3.350% | 1/15/21 | 1,905 | 1,947 | |
AutoNation Inc. | 4.500% | 10/1/25 | 7,000 | 7,491 | |
AutoZone Inc. | 3.700% | 4/15/22 | 5,915 | 6,295 | |
AutoZone Inc. | 2.875% | 1/15/23 | 3,500 | 3,583 | |
Block Financial LLC | 4.125% | 10/1/20 | 5,000 | 5,204 | |
Block Financial LLC | 5.250% | 10/1/25 | 2,000 | 2,173 | |
7 | BMW US Capital LLC | 2.000% | 4/11/21 | 13,685 | 13,916 |
7 | BMW US Capital LLC | 2.800% | 4/11/26 | 14,190 | 14,746 |
Brinker International Inc. | 3.875% | 5/15/23 | 1,500 | 1,519 | |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 6,880 | 7,103 | |
Cummins Inc. | 3.650% | 10/1/23 | 7,500 | 8,142 | |
CVS Health Corp. | 2.800% | 7/20/20 | 50,170 | 52,545 | |
CVS Health Corp. | 2.750% | 12/1/22 | 26,156 | 27,311 | |
CVS Health Corp. | 3.875% | 7/20/25 | 13,277 | 14,718 | |
Delphi Corp. | 4.150% | 3/15/24 | 5,000 | 5,373 | |
Dollar General Corp. | 3.250% | 4/15/23 | 4,500 | 4,725 | |
Expedia Inc. | 4.500% | 8/15/24 | 7,000 | 7,414 | |
8 | FCA Capital Ireland plc | 1.250% | 9/23/20 | 1,600 | 1,837 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 5,500 | 6,568 | |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 5,350 | 5,526 | |
Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 10,000 | 10,373 | |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 9,545 | 10,907 | |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 18,000 | 20,715 | |
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 5,000 | 5,186 | |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 7,000 | 7,304 | |
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 6,000 | 6,423 | |
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 16,869 | 18,556 | |
General Motors Co. | 4.875% | 10/2/23 | 6,000 | 6,518 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 8,655 | 8,936 | |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 6,000 | 6,240 | |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 20,000 | 21,300 | |
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 5,000 | 5,081 | |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 10,000 | 10,212 | |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 10,000 | 10,462 | |
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 13,068 | 13,427 | |
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 3,000 | 3,150 | |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 10,941 | 12,145 | |
7 | Harley-Davidson Financial Services Inc. | 2.150% | 2/26/20 | 3,945 | 4,004 |
7 | Harley-Davidson Funding Corp. | 6.800% | 6/15/18 | 12,380 | 13,574 |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 12,000 | 12,886 | |
Harman International Industries Inc. | 4.150% | 5/15/25 | 10,000 | 10,453 | |
Home Depot Inc. | 4.400% | 4/1/21 | 6,895 | 7,781 | |
Home Depot Inc. | 2.625% | 6/1/22 | 20,960 | 22,074 | |
Home Depot Inc. | 2.700% | 4/1/23 | 17,254 | 18,197 | |
Home Depot Inc. | 3.750% | 2/15/24 | 4,000 | 4,495 | |
Home Depot Inc. | 3.350% | 9/15/25 | 9,990 | 11,034 | |
Home Depot Inc. | 3.000% | 4/1/26 | 14,000 | 15,065 | |
Kohl's Corp. | 3.250% | 2/1/23 | 5,970 | 6,063 | |
Kohl's Corp. | 4.250% | 7/17/25 | 3,000 | 3,075 | |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 22,555 | 24,899 | |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 10,151 | 11,227 | |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 20,501 | 22,002 | |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 22,795 | 25,641 | |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 3,505 | 3,787 | |
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 21,130 | 23,290 | |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 30,380 | 31,159 | |
Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 6,000 | 6,289 | |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 7,500 | 7,321 | |
Marriott International Inc. | 3.250% | 9/15/22 | 3,500 | 3,631 | |
MasterCard Inc. | 3.375% | 4/1/24 | 16,000 | 17,561 | |
McDonald's Corp. | 3.625% | 5/20/21 | 4,500 | 4,866 |
64
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
McDonald's Corp. | 2.625% | 1/15/22 | 9,000 | 9,325 | |
McDonald's Corp. | 3.700% | 1/30/26 | 15,000 | 16,413 | |
7 | Nissan Motor Acceptance Corp. | 2.550% | 3/8/21 | 13,785 | 14,188 |
NVR Inc. | 3.950% | 9/15/22 | 10,000 | 10,588 | |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 4,000 | 4,286 | |
8 | Priceline Group Inc. | 1.800% | 3/3/27 | 12,710 | 14,203 |
QVC Inc. | 3.125% | 4/1/19 | 2,000 | 2,054 | |
QVC Inc. | 4.850% | 4/1/24 | 5,000 | 5,206 | |
Smithsonian Institute Washington DC GO | 3.434% | 9/1/23 | 1,600 | 1,714 | |
Starbucks Corp. | 2.700% | 6/15/22 | 9,745 | 10,285 | |
Starbucks Corp. | 3.850% | 10/1/23 | 12,000 | 13,530 | |
Starbucks Corp. | 2.450% | 6/15/26 | 10,665 | 11,010 | |
Target Corp. | 2.900% | 1/15/22 | 17,077 | 18,209 | |
Target Corp. | 3.500% | 7/1/24 | 6,985 | 7,767 | |
Target Corp. | 2.500% | 4/15/26 | 11,000 | 11,409 | |
TJX Cos. Inc. | 6.950% | 4/15/19 | 15,663 | 18,023 | |
TJX Cos. Inc. | 2.750% | 6/15/21 | 7,310 | 7,729 | |
TJX Cos. Inc. | 2.500% | 5/15/23 | 16,900 | 17,625 | |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 9,000 | 10,032 | |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 5,155 | 5,740 | |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 8,625 | 9,107 | |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 24,460 | 26,485 | |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 7,375 | 7,956 | |
VF Corp. | 3.500% | 9/1/21 | 5,505 | 5,970 | |
Visa Inc. | 2.200% | 12/14/20 | 10,000 | 10,327 | |
Visa Inc. | 2.800% | 12/14/22 | 25,000 | 26,475 | |
Visa Inc. | 3.150% | 12/14/25 | 158,376 | 169,866 | |
7 | Volkswagen Group of America Finance LLC | 1.250% | 5/23/17 | 10,970 | 10,939 |
7 | Volkswagen Group of America Finance LLC | 1.600% | 11/20/17 | 2,395 | 2,395 |
7 | Volkswagen Group of America Finance LLC | 1.650% | 5/22/18 | 1,335 | 1,334 |
7 | Volkswagen Group of America Finance LLC | 2.125% | 5/23/19 | 2,710 | 2,731 |
4,8 | Volkswagen International Finance NV | 2.500% | 12/29/49 | 1,600 | 1,715 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 21,195 | 22,977 | |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 13,619 | 15,456 | |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 77,171 | 80,977 | |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 17,930 | 19,745 | |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 10,000 | 10,611 | |
Walgreens Boots Alliance Inc. | 3.100% | 6/1/23 | 3,125 | 3,235 | |
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 19,610 | 20,569 | |
7 | Wesfarmers Ltd. | 1.874% | 3/20/18 | 6,000 | 6,030 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 4,000 | 4,229 | |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,000 | 2,064 | |
Consumer Noncyclical (10.4%) | |||||
Abbott Laboratories | 2.550% | 3/15/22 | 9,000 | 9,255 | |
Abbott Laboratories | 2.950% | 3/15/25 | 10,000 | 10,367 | |
AbbVie Inc. | 3.600% | 5/14/25 | 45,075 | 47,666 | |
AbbVie Inc. | 3.200% | 5/14/26 | 25,000 | 25,645 | |
Actavis Funding SCS | 3.450% | 3/15/22 | 6,500 | 6,848 | |
Actavis Funding SCS | 3.850% | 6/15/24 | 30,000 | 32,024 | |
Actavis Funding SCS | 3.800% | 3/15/25 | 14,536 | 15,430 | |
Actavis Inc. | 3.250% | 10/1/22 | 43,542 | 45,386 | |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 2,000 | 2,231 | |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 10,000 | 10,234 | |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 7,500 | 7,989 | |
Allergan Inc. | 2.800% | 3/15/23 | 5,000 | 4,995 | |
Altria Group Inc. | 9.250% | 8/6/19 | 8,014 | 9,854 | |
Altria Group Inc. | 2.850% | 8/9/22 | 95,149 | 100,356 | |
Altria Group Inc. | 4.000% | 1/31/24 | 27,494 | 31,025 | |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 6,270 | 6,889 | |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 8,000 | 8,527 | |
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 18,000 | 19,115 | |
Amgen Inc. | 3.625% | 5/15/22 | 12,000 | 13,003 | |
Amgen Inc. | 3.625% | 5/22/24 | 9,000 | 9,784 |
65
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 80 | 85 | |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 3,145 | 3,425 | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 15,000 | 15,532 | |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 12,382 | 12,671 | |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 61,800 | 65,070 | |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 8,500 | 9,245 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 138,250 | 147,811 | |
8 | Anheuser-Busch InBev SA/NV | 3.250% | 1/24/33 | 600 | 886 |
8 | Anheuser-Busch InBev SA/NV | 2.750% | 3/17/36 | 3,100 | 4,243 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 8,514 | 9,928 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 7,210 | 8,135 | |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 12,286 | 13,807 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 36,346 | 37,353 | |
AstraZeneca plc | 3.375% | 11/16/25 | 42,000 | 45,155 | |
Baxalta Inc. | 3.600% | 6/23/22 | 7,000 | 7,312 | |
Baxalta Inc. | 4.000% | 6/23/25 | 10,000 | 10,642 | |
Baxter International Inc. | 4.250% | 3/15/20 | 1,747 | 1,901 | |
4,8 | Bayer AG | 2.375% | 4/2/75 | 3,680 | 3,924 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 4,700 | 5,115 | |
Biogen Inc. | 4.050% | 9/15/25 | 37,500 | 41,074 | |
Boston Scientific Corp. | 6.000% | 1/15/20 | 6,500 | 7,406 | |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,000 | 2,162 | |
Boston Scientific Corp. | 3.850% | 5/15/25 | 6,500 | 6,994 | |
8 | Brown-Forman Corp. | 1.200% | 7/7/26 | 2,000 | 2,328 |
8 | Bunge Finance Europe BV | 1.850% | 6/16/23 | 11,017 | 13,066 |
Cardinal Health Inc. | 3.500% | 11/15/24 | 7,000 | 7,480 | |
7 | Cargill Inc. | 4.307% | 5/14/21 | 9,843 | 10,895 |
7 | Cargill Inc. | 3.250% | 11/15/21 | 10,515 | 11,272 |
7 | Cargill Inc. | 3.300% | 3/1/22 | 10,000 | 10,572 |
Catholic Health Initiatives Colorado GO | 4.200% | 8/1/23 | 2,000 | 2,199 | |
Celgene Corp. | 3.875% | 8/15/25 | 22,006 | 23,892 | |
Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 15,000 | 16,139 | |
Coca-Cola Co. | 3.300% | 9/1/21 | 10,245 | 11,168 | |
Coca-Cola Co. | 3.200% | 11/1/23 | 13,420 | 14,591 | |
Coca-Cola Co. | 2.875% | 10/27/25 | 22,000 | 23,415 | |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 3,095 | 3,150 | |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 5,000 | 5,405 | |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 12,500 | 13,594 | |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 7,000 | 7,171 | |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 501 | 568 | |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 8,450 | 8,835 | |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 16,872 | 17,610 | |
Constellation Brands Inc. | 3.750% | 5/1/21 | 4,250 | 4,484 | |
Constellation Brands Inc. | 4.750% | 11/15/24 | 5,000 | 5,431 | |
Constellation Brands Inc. | 4.750% | 12/1/25 | 1,355 | 1,468 | |
Covidien International Finance SA | 4.200% | 6/15/20 | 7,735 | 8,523 | |
Covidien International Finance SA | 3.200% | 6/15/22 | 13,500 | 14,489 | |
Danaher Corp. | 3.900% | 6/23/21 | 10,818 | 11,867 | |
Danaher Corp. | 3.350% | 9/15/25 | 16,245 | 17,986 | |
8 | DH Europe Finance SA | 1.700% | 1/4/22 | 1,700 | 2,045 |
8 | DH Europe Finance SA | 2.500% | 7/8/25 | 7,600 | 9,774 |
Diageo Capital plc | 4.828% | 7/15/20 | 5,689 | 6,415 | |
Diageo Capital plc | 2.625% | 4/29/23 | 5,300 | 5,511 | |
Diageo Investment Corp. | 2.875% | 5/11/22 | 16,000 | 16,921 | |
Dignity Health California GO | 3.812% | 11/1/24 | 1,000 | 1,078 | |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 5,000 | 5,138 | |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 7,625 | 8,608 | |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 28,000 | 31,210 | |
Genzyme Corp. | 5.000% | 6/15/20 | 8,349 | 9,462 | |
Gilead Sciences Inc. | 3.250% | 9/1/22 | 16,810 | 17,973 | |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 97,435 | 105,717 | |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 104,451 | 112,776 | |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 20,380 | 22,247 | |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 26,050 | 27,594 |
66
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Grupo Bimbo SAB de CV | 3.875% | 6/27/24 | 12,000 | 12,634 |
Hershey Co. | 2.625% | 5/1/23 | 8,850 | 9,020 | |
Hormel Foods Corp. | 4.125% | 4/15/21 | 625 | 695 | |
JM Smucker Co. | 2.500% | 3/15/20 | 1,575 | 1,621 | |
JM Smucker Co. | 3.000% | 3/15/22 | 2,000 | 2,113 | |
Johnson & Johnson | 2.450% | 3/1/26 | 24,500 | 25,490 | |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 10,000 | 11,396 | |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 3,300 | 3,604 | |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 18,729 | 19,707 | |
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 8,000 | 8,681 | |
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 23,000 | 24,337 | |
Koninklijke Philips NV | 3.750% | 3/15/22 | 5,000 | 5,361 | |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 6,000 | 6,569 | |
7 | Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 7,000 | 7,712 |
7 | Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 25,000 | 25,589 |
7 | Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 4,000 | 4,352 |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 2,000 | 2,115 | |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 2,398 | 2,604 | |
McCormick & Co. Inc. | 3.250% | 11/15/25 | 13,955 | 15,076 | |
McKesson Corp. | 7.500% | 2/15/19 | 6,100 | 7,006 | |
McKesson Corp. | 2.850% | 3/15/23 | 5,000 | 5,120 | |
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 26,000 | 28,586 | |
Medtronic Inc. | 2.500% | 3/15/20 | 7,700 | 8,008 | |
Medtronic Inc. | 3.125% | 3/15/22 | 7,000 | 7,484 | |
Medtronic Inc. | 3.150% | 3/15/22 | 41,853 | 44,919 | |
Medtronic Inc. | 3.625% | 3/15/24 | 10,000 | 11,050 | |
Medtronic Inc. | 3.500% | 3/15/25 | 118,640 | 129,662 | |
Merck & Co. Inc. | 2.400% | 9/15/22 | 23,080 | 23,942 | |
Merck & Co. Inc. | 2.800% | 5/18/23 | 37,254 | 39,417 | |
Merck & Co. Inc. | 2.750% | 2/10/25 | 19,960 | 20,976 | |
8 | Molson Coors Brewing Co. | 1.250% | 7/15/24 | 5,700 | 6,570 |
8 | Mondelez International Inc. | 1.625% | 3/8/27 | 2,400 | 2,746 |
8 | Mondelez International Inc. | 2.375% | 3/6/35 | 5,000 | 5,921 |
Newell Brands Inc. | 4.200% | 4/1/26 | 22,000 | 24,055 | |
Newell Brands Inc. | 5.375% | 4/1/36 | 6,000 | 7,240 | |
Newell Brands Inc. | 5.500% | 4/1/46 | 3,000 | 3,744 | |
Novartis Capital Corp. | 4.400% | 4/24/20 | 5,000 | 5,561 | |
Novartis Capital Corp. | 2.400% | 9/21/22 | 29,555 | 30,819 | |
Novartis Capital Corp. | 3.400% | 5/6/24 | 17,000 | 18,722 | |
Novartis Capital Corp. | 3.000% | 11/20/25 | 15,000 | 16,194 | |
PepsiCo Inc. | 3.000% | 8/25/21 | 17,990 | 19,224 | |
PepsiCo Inc. | 2.750% | 3/5/22 | 13,860 | 14,615 | |
PepsiCo Inc. | 3.100% | 7/17/22 | 21,550 | 23,247 | |
PepsiCo Inc. | 2.750% | 3/1/23 | 9,000 | 9,531 | |
PepsiCo Inc. | 3.600% | 3/1/24 | 43,040 | 47,304 | |
PepsiCo Inc. | 2.750% | 4/30/25 | 16,000 | 16,820 | |
PepsiCo Inc. | 2.850% | 2/24/26 | 6,000 | 6,385 | |
PepsiCo Inc. | 4.450% | 4/14/46 | 4,000 | 4,778 | |
PerkinElmer Inc. | 5.000% | 11/15/21 | 8,000 | 8,886 | |
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 15,000 | 16,096 | |
Pfizer Inc. | 3.000% | 6/15/23 | 10,000 | 10,708 | |
Pfizer Inc. | 5.800% | 8/12/23 | 14,000 | 17,362 | |
Pfizer Inc. | 2.750% | 6/3/26 | 30,000 | 31,222 | |
Philip Morris International Inc. | 2.900% | 11/15/21 | 4,150 | 4,400 | |
Philip Morris International Inc. | 2.500% | 8/22/22 | 8,425 | 8,721 | |
Philip Morris International Inc. | 2.625% | 3/6/23 | 25,723 | 26,833 | |
Philip Morris International Inc. | 3.600% | 11/15/23 | 5,000 | 5,549 | |
Philip Morris International Inc. | 3.250% | 11/10/24 | 22,950 | 24,880 | |
Philip Morris International Inc. | 4.500% | 3/20/42 | 5,000 | 5,823 | |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 1,000 | 1,098 | |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 4,000 | 4,410 | |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 2,000 | 2,194 | |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 6,900 | 7,201 | |
Reynolds American Inc. | 6.875% | 5/1/20 | 8,304 | 9,835 |
67
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Reynolds American Inc. | 4.000% | 6/12/22 | 5,000 | 5,485 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 7,000 | 8,054 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 18,975 | 21,424 | |
7 | Roche Holdings Inc. | 2.875% | 9/29/21 | 21,521 | 22,859 |
7 | Roche Holdings Inc. | 3.350% | 9/30/24 | 28,093 | 30,813 |
7 | Roche Holdings Inc. | 3.000% | 11/10/25 | 5,801 | 6,231 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 9,138 | 9,504 | |
St. Jude Medical Inc. | 3.875% | 9/15/25 | 19,000 | 20,689 | |
Stryker Corp. | 4.375% | 1/15/20 | 4,000 | 4,364 | |
Stryker Corp. | 3.375% | 5/15/24 | 5,000 | 5,306 | |
Stryker Corp. | 3.375% | 11/1/25 | 10,000 | 10,620 | |
Stryker Corp. | 3.500% | 3/15/26 | 10,000 | 10,731 | |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 7,521 | 7,785 | |
Teva Pharmaceutical Finance Netherlands III BV | 2.800% | 7/21/23 | 7,945 | 8,081 | |
Teva Pharmaceutical Finance Netherlands III BV | 3.150% | 10/1/26 | 30,000 | 30,668 | |
The Kroger Co. | 2.200% | 1/15/17 | 1,205 | 1,212 | |
The Kroger Co. | 3.300% | 1/15/21 | 5,500 | 5,870 | |
The Kroger Co. | 2.950% | 11/1/21 | 3,000 | 3,173 | |
The Kroger Co. | 3.400% | 4/15/22 | 3,000 | 3,190 | |
The Kroger Co. | 3.500% | 2/1/26 | 10,000 | 10,845 | |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 4,100 | 4,534 | |
8 | Thermo Fisher Scientific Inc. | 2.000% | 4/15/25 | 3,150 | 3,811 |
Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 10,000 | 10,557 | |
Tyson Foods Inc. | 4.500% | 6/15/22 | 12,470 | 13,842 | |
Tyson Foods Inc. | 3.950% | 8/15/24 | 23,150 | 25,271 | |
Unilever Capital Corp. | 4.250% | 2/10/21 | 11,500 | 12,904 | |
7 | Whole Foods Market Inc. | 5.200% | 12/3/25 | 21,000 | 22,733 |
Wyeth LLC | 6.450% | 2/1/24 | 18,272 | 23,443 | |
Zoetis Inc. | 3.250% | 2/1/23 | 5,000 | 5,134 | |
Energy (6.8%) | |||||
Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 8,190 | 8,667 | |
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 10,000 | 9,772 | |
Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 10,000 | 10,947 | |
Apache Corp. | 3.250% | 4/15/22 | 8,000 | 8,111 | |
BP Capital Markets plc | 4.750% | 3/10/19 | 8,350 | 9,079 | |
BP Capital Markets plc | 2.521% | 1/15/20 | 5,000 | 5,181 | |
BP Capital Markets plc | 4.500% | 10/1/20 | 20,500 | 22,775 | |
BP Capital Markets plc | 4.742% | 3/11/21 | 8,748 | 9,865 | |
BP Capital Markets plc | 3.561% | 11/1/21 | 31,470 | 34,028 | |
BP Capital Markets plc | 3.062% | 3/17/22 | 15,970 | 16,777 | |
BP Capital Markets plc | 3.245% | 5/6/22 | 35,000 | 36,960 | |
BP Capital Markets plc | 2.500% | 11/6/22 | 21,352 | 21,695 | |
BP Capital Markets plc | 2.750% | 5/10/23 | 45,560 | 46,194 | |
BP Capital Markets plc | 3.994% | 9/26/23 | 12,000 | 13,138 | |
BP Capital Markets plc | 3.814% | 2/10/24 | 65,410 | 70,687 | |
BP Capital Markets plc | 3.535% | 11/4/24 | 18,970 | 20,345 | |
BP Capital Markets plc | 3.506% | 3/17/25 | 20,000 | 21,161 | |
BP Capital Markets plc | 3.119% | 5/4/26 | 19,900 | 20,344 | |
Chevron Corp. | 2.193% | 11/15/19 | 2,000 | 2,052 | |
Chevron Corp. | 1.961% | 3/3/20 | 9,220 | 9,392 | |
Chevron Corp. | 2.411% | 3/3/22 | 21,340 | 21,888 | |
Chevron Corp. | 2.355% | 12/5/22 | 52,115 | 53,168 | |
Chevron Corp. | 3.191% | 6/24/23 | 33,933 | 36,106 | |
Chevron Corp. | 3.326% | 11/17/25 | 16,210 | 17,404 | |
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 11,936 | 12,925 | |
ConocoPhillips | 6.000% | 1/15/20 | 5,000 | 5,679 | |
ConocoPhillips Co. | 4.200% | 3/15/21 | 3,250 | 3,467 | |
ConocoPhillips Co. | 2.875% | 11/15/21 | 12,000 | 12,195 | |
ConocoPhillips Co. | 2.400% | 12/15/22 | 10,000 | 9,755 | |
ConocoPhillips Co. | 3.350% | 11/15/24 | 23,184 | 23,292 | |
ConocoPhillips Co. | 3.350% | 5/15/25 | 7,253 | 7,305 | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 53,850 | 59,830 | |
Devon Energy Corp. | 6.300% | 1/15/19 | 5,000 | 5,413 |
68
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Devon Energy Corp. | 5.850% | 12/15/25 | 16,800 | 18,443 | |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 25,000 | 26,820 | |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 1,750 | 1,861 | |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 2,500 | 2,667 | |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 6,150 | 6,349 | |
4 | Enbridge Energy Partners LP | 8.050% | 10/1/77 | 1,110 | 880 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 4,432 | 5,112 | |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 2,334 | 2,661 | |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 5,850 | 6,092 | |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 20,908 | 22,322 | |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 8,439 | 8,152 | |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 3,042 | 3,118 | |
Energy Transfer Partners LP | 4.050% | 3/15/25 | 1,000 | 976 | |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 5,000 | 5,419 | |
EOG Resources Inc. | 2.450% | 4/1/20 | 5,950 | 6,062 | |
EOG Resources Inc. | 2.625% | 3/15/23 | 18,885 | 18,908 | |
EQT Corp. | 8.125% | 6/1/19 | 5,500 | 6,322 | |
EQT Corp. | 4.875% | 11/15/21 | 4,000 | 4,358 | |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 8,825 | 9,126 | |
Exxon Mobil Corp. | 2.726% | 3/1/23 | 25,850 | 27,017 | |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 11,250 | 11,764 | |
Exxon Mobil Corp. | 3.043% | 3/1/26 | 45,000 | 47,681 | |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 1,395 | 1,574 | |
Halliburton Co. | 6.150% | 9/15/19 | 4,631 | 5,238 | |
Halliburton Co. | 3.250% | 11/15/21 | 10,800 | 11,256 | |
Halliburton Co. | 3.500% | 8/1/23 | 5,000 | 5,171 | |
Halliburton Co. | 3.800% | 11/15/25 | 40,500 | 41,861 | |
Hess Corp. | 8.125% | 2/15/19 | 5,075 | 5,724 | |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 2,100 | 2,121 | |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 5,410 | 6,224 | |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 8,227 | 9,280 | |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,000 | 5,511 | |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 1,240 | 1,294 | |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 2,000 | 2,051 | |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 5,000 | 4,955 | |
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 5,000 | 5,118 | |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 1,800 | 1,836 | |
Magellan Midstream Partners LP | 5.000% | 3/1/26 | 7,000 | 7,930 | |
Marathon Oil Corp. | 3.850% | 6/1/25 | 7,800 | 7,079 | |
7 | MPLX LP | 4.500% | 7/15/23 | 3,000 | 2,940 |
MPLX LP | 4.000% | 2/15/25 | 6,012 | 5,681 | |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 14,000 | 13,272 | |
Noble Energy Inc. | 8.250% | 3/1/19 | 6,000 | 6,839 | |
Noble Energy Inc. | 3.900% | 11/15/24 | 5,592 | 5,749 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 10,032 | 10,963 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 19,080 | 20,185 | |
Occidental Petroleum Corp. | 2.600% | 4/15/22 | 10,165 | 10,434 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 22,604 | 23,102 | |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 21,175 | 22,684 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 24,115 | 25,368 | |
ONEOK Partners LP | 5.000% | 9/15/23 | 8,805 | 9,382 | |
Phillips 66 | 4.300% | 4/1/22 | 9,000 | 9,893 | |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 3,000 | 3,159 | |
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 3,000 | 3,239 | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 14,970 | 14,720 | |
Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 1,902 | 1,747 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 5.875% | 3/1/22 | 6,025 | 6,507 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 5.000% | 10/1/22 | 8,440 | 8,841 | |
7 | Schlumberger Holdings Corp. | 3.625% | 12/21/22 | 21,150 | 22,579 |
7 | Schlumberger Holdings Corp. | 4.000% | 12/21/25 | 16,801 | 18,302 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 32,500 | 35,569 | |
Shell International Finance BV | 4.300% | 9/22/19 | 16,000 | 17,442 |
69
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Shell International Finance BV | 4.375% | 3/25/20 | 14,035 | 15,451 | |
Shell International Finance BV | 2.375% | 8/21/22 | 29,609 | 30,418 | |
Shell International Finance BV | 2.250% | 1/6/23 | 10,500 | 10,579 | |
Shell International Finance BV | 3.400% | 8/12/23 | 5,000 | 5,363 | |
Shell International Finance BV | 3.250% | 5/11/25 | 88,003 | 93,137 | |
Shell International Finance BV | 2.875% | 5/10/26 | 65,500 | 67,073 | |
Shell International Finance BV | 4.000% | 5/10/46 | 4,000 | 4,096 | |
Spectra Energy Partners LP | 4.600% | 6/15/21 | 2,900 | 3,153 | |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 14,215 | 15,913 | |
Spectra Energy Partners LP | 3.500% | 3/15/25 | 5,000 | 5,106 | |
Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 8,775 | 9,277 | |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 23,420 | 24,300 | |
Total Capital International SA | 2.750% | 6/19/21 | 7,000 | 7,333 | |
9 | Total Capital International SA | 4.250% | 11/26/21 | 9,816 | 7,922 |
Total Capital International SA | 2.875% | 2/17/22 | 31,378 | 32,895 | |
Total Capital International SA | 2.700% | 1/25/23 | 23,160 | 23,891 | |
Total Capital International SA | 3.700% | 1/15/24 | 10,000 | 11,037 | |
Total Capital International SA | 3.750% | 4/10/24 | 35,000 | 38,388 | |
Total Capital SA | 4.450% | 6/24/20 | 20,212 | 22,418 | |
Total Capital SA | 4.125% | 1/28/21 | 12,525 | 13,838 | |
4,8 | TOTAL SA | 2.625% | 12/29/49 | 2,230 | 2,366 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 4,292 | 4,605 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 8,025 | 8,026 | |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 18,315 | 19,659 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 15,000 | 17,239 | |
Valero Energy Corp. | 9.375% | 3/15/19 | 4,200 | 4,999 | |
Williams Partners LP | 3.600% | 3/15/22 | 9,000 | 8,753 | |
Williams Partners LP | 3.350% | 8/15/22 | 5,000 | 4,750 | |
Williams Partners LP | 4.500% | 11/15/23 | 6,133 | 6,179 | |
Williams Partners LP | 4.000% | 9/15/25 | 5,730 | 5,479 | |
Williams Partners LP | 5.100% | 9/15/45 | 5,000 | 4,500 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 5,000 | 4,963 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 9,000 | 8,921 | |
Other Industrial (0.5%) | |||||
CBRE Services Inc. | 4.875% | 3/1/26 | 10,000 | 10,375 | |
8 | CK Hutchison Finance 16 Ltd. | 1.250% | 4/6/23 | 3,100 | 3,533 |
8 | Fluor Corp. | 1.750% | 3/21/23 | 14,460 | 17,297 |
Fluor Corp. | 3.500% | 12/15/24 | 48,470 | 52,014 | |
8 | Hutchison Whampoa Europe Finance 12 Ltd. | 3.625% | 6/6/22 | 5,166 | 6,711 |
7 | Hutchison Whampoa International 09 Ltd. | 7.625% | 4/9/19 | 20,710 | 23,933 |
7 | Hutchison Whampoa International 11 Ltd. | 4.625% | 1/13/22 | 19,240 | 21,669 |
7 | Hutchison Whampoa International 14 Ltd. | 3.625% | 10/31/24 | 5,000 | 5,353 |
Technology (6.6%) | |||||
Adobe Systems Inc. | 3.250% | 2/1/25 | 4,000 | 4,243 | |
Altera Corp. | 4.100% | 11/15/23 | 4,623 | 5,280 | |
Analog Devices Inc. | 3.900% | 12/15/25 | 23,330 | 24,969 | |
Apple Inc. | 2.000% | 5/6/20 | 9,585 | 9,832 | |
Apple Inc. | 2.850% | 5/6/21 | 37,125 | 39,376 | |
Apple Inc. | 2.150% | 2/9/22 | 19,000 | 19,405 | |
Apple Inc. | 2.700% | 5/13/22 | 26,950 | 28,361 | |
9 | Apple Inc. | 3.700% | 8/28/22 | 15,000 | 12,029 |
Apple Inc. | 2.850% | 2/23/23 | 46,815 | 49,411 | |
Apple Inc. | 2.400% | 5/3/23 | 106,325 | 109,303 | |
Apple Inc. | 3.450% | 5/6/24 | 64,000 | 69,653 | |
Apple Inc. | 2.500% | 2/9/25 | 49,021 | 49,986 | |
Apple Inc. | 3.200% | 5/13/25 | 15,370 | 16,394 | |
Apple Inc. | 3.250% | 2/23/26 | 92,525 | 99,165 | |
Apple Inc. | 2.450% | 8/4/26 | 30,000 | 30,040 | |
Applied Materials Inc. | 2.625% | 10/1/20 | 4,165 | 4,322 | |
Applied Materials Inc. | 4.300% | 6/15/21 | 10,615 | 11,834 | |
Applied Materials Inc. | 3.900% | 10/1/25 | 37,122 | 41,563 | |
Autodesk Inc. | 3.125% | 6/15/20 | 3,420 | 3,516 | |
Autodesk Inc. | 4.375% | 6/15/25 | 1,465 | 1,554 |
70
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Baidu Inc. | 3.500% | 11/28/22 | 13,000 | 13,616 | |
CA Inc. | 3.600% | 8/1/20 | 4,015 | 4,191 | |
Cisco Systems Inc. | 2.450% | 6/15/20 | 3,247 | 3,387 | |
Cisco Systems Inc. | 2.200% | 2/28/21 | 20,000 | 20,640 | |
Cisco Systems Inc. | 3.000% | 6/15/22 | 7,000 | 7,496 | |
Cisco Systems Inc. | 2.950% | 2/28/26 | 29,870 | 32,054 | |
Corning Inc. | 4.250% | 8/15/20 | 3,000 | 3,238 | |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.875% | 6/15/21 | 4,690 | 4,901 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 39,510 | 41,894 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 7.125% | 6/15/24 | 4,690 | 5,042 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 24,590 | 26,354 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 3,060 | 3,464 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 3,060 | 3,501 |
EMC Corp. | 3.375% | 6/1/23 | 6,020 | 5,743 | |
Equifax Inc. | 3.250% | 6/1/26 | 4,925 | 5,121 | |
Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 4,000 | 4,253 | |
Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 8,000 | 8,882 | |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 7,705 | 8,059 | |
Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 2,350 | 2,517 | |
Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 23,399 | 27,049 | |
Fiserv Inc. | 2.700% | 6/1/20 | 5,350 | 5,553 | |
Fiserv Inc. | 3.500% | 10/1/22 | 8,000 | 8,547 | |
Fiserv Inc. | 3.850% | 6/1/25 | 3,000 | 3,258 | |
7 | Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 5,000 | 5,281 |
7 | Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 10,000 | 10,819 |
7 | Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 28,500 | 30,582 |
HP Inc. | 3.750% | 12/1/20 | 804 | 852 | |
HP Inc. | 4.300% | 6/1/21 | 5,000 | 5,401 | |
HP Inc. | 4.375% | 9/15/21 | 4,022 | 4,345 | |
Intel Corp. | 3.300% | 10/1/21 | 34,685 | 37,858 | |
Intel Corp. | 3.100% | 7/29/22 | 11,500 | 12,370 | |
9 | Intel Corp. | 4.000% | 12/1/22 | 38,670 | 31,194 |
Intel Corp. | 2.700% | 12/15/22 | 28,000 | 29,417 | |
Intel Corp. | 3.700% | 7/29/25 | 53,961 | 60,321 | |
Intel Corp. | 2.600% | 5/19/26 | 18,000 | 18,463 | |
International Business Machines Corp. | 1.875% | 8/1/22 | 17,000 | 17,117 | |
International Business Machines Corp. | 3.375% | 8/1/23 | 31,000 | 33,717 | |
International Business Machines Corp. | 3.625% | 2/12/24 | 52,000 | 56,868 | |
International Business Machines Corp. | 3.450% | 2/19/26 | 12,000 | 13,107 | |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,285 | 1,329 | |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 3,000 | 3,242 | |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 5,000 | 5,539 | |
Lam Research Corp. | 3.800% | 3/15/25 | 4,000 | 4,240 | |
Microsoft Corp. | 2.375% | 2/12/22 | 33,070 | 34,271 | |
Microsoft Corp. | 2.650% | 11/3/22 | 14,215 | 14,906 | |
Microsoft Corp. | 2.125% | 11/15/22 | 9,000 | 9,214 | |
Microsoft Corp. | 3.625% | 12/15/23 | 19,000 | 21,057 | |
Microsoft Corp. | 2.700% | 2/12/25 | 45,175 | 46,940 | |
Microsoft Corp. | 3.125% | 11/3/25 | 47,715 | 51,122 | |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 7,000 | 7,174 | |
Oracle Corp. | 3.875% | 7/15/20 | 8,000 | 8,744 | |
Oracle Corp. | 2.500% | 5/15/22 | 42,635 | 43,761 | |
Oracle Corp. | 2.500% | 10/15/22 | 41,852 | 43,008 | |
Oracle Corp. | 3.625% | 7/15/23 | 11,760 | 12,799 | |
Oracle Corp. | 2.400% | 9/15/23 | 20,000 | 20,169 | |
Oracle Corp. | 3.400% | 7/8/24 | 43,500 | 46,771 | |
Oracle Corp. | 2.950% | 5/15/25 | 32,085 | 33,358 | |
Oracle Corp. | 2.650% | 7/15/26 | 10,000 | 10,030 | |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 5,000 | 5,310 | |
QUALCOMM Inc. | 2.250% | 5/20/20 | 5,985 | 6,167 | |
QUALCOMM Inc. | 3.000% | 5/20/22 | 26,510 | 27,963 | |
QUALCOMM Inc. | 3.450% | 5/20/25 | 14,665 | 15,849 | |
Seagate HDD Cayman | 4.750% | 6/1/23 | 5,000 | 4,663 | |
Seagate HDD Cayman | 4.750% | 1/1/25 | 4,500 | 3,938 |
71
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Total System Services Inc. | 4.800% | 4/1/26 | 15,000 | 16,684 | |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 4,335 | 4,765 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 19,370 | 20,448 | |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 7,000 | 7,388 | |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 7,483 | 7,924 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 11,264 | 12,061 | |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 8,000 | 8,481 | |
Xilinx Inc. | 3.000% | 3/15/21 | 6,000 | 6,257 | |
Transportation (2.4%) | |||||
4 | American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 4,541 | 4,439 |
4 | American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 12,200 | 13,069 |
4 | American Airlines 2016-1 Class B Pass Through Trust | 5.250% | 7/15/25 | 14,952 | 15,644 |
Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 2,488 | 2,742 | |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 8,505 | 9,494 | |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 3,000 | 3,343 | |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 41,327 | 45,219 | |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 29,888 | 31,996 | |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 16,231 | 22,370 | |
Burlington Northern Santa Fe LLC | 6.875% | 12/1/27 | 14,310 | 19,676 | |
Burlington Northern Santa Fe LLC | 6.750% | 3/15/29 | 10,000 | 13,655 | |
Canadian National Railway Co. | 2.950% | 11/21/24 | 1,130 | 1,217 | |
4 | Continental Airlines 1997-4 Class A Pass Through Trust | 6.900% | 7/2/19 | 526 | 537 |
4 | Continental Airlines 1998-1 Class A Pass Through Trust | 6.648% | 3/15/19 | 112 | 115 |
4 | Continental Airlines 2000-1 Class A-1 Pass Through | ||||
Trust | 8.048% | 11/1/20 | 822 | 919 | |
4 | Continental Airlines 2005-ERJ1 Pass Through Trust | 9.798% | 10/1/22 | 1,058 | 1,185 |
4 | Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 3,462 | 3,955 |
4 | Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 5,578 | 5,982 |
4 | Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 7,518 | 8,006 |
4 | Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 24,728 | 26,273 |
4 | Continental Airlines 2012-2 Class B Pass Through Trust | 5.500% | 4/29/22 | 1,194 | 1,236 |
4 | CSX Transportation Inc. | 6.251% | 1/15/23 | 2,866 | 3,418 |
4,12 | Delta Air Lines 2002-1 Class G-1 Pass Through Trust | 6.718% | 7/2/24 | 8,535 | 9,730 |
4 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 34,431 | 40,198 |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 2,987 | 3,397 |
4 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 5,285 | 5,662 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 2,753 | 2,939 |
4 | Delta Air Lines 2015-1 Class A Pass Through Trust | 3.875% | 1/30/29 | 8,625 | 9,207 |
7 | ERAC USA Finance LLC | 3.850% | 11/15/24 | 8,000 | 8,657 |
7 | ERAC USA Finance LLC | 3.800% | 11/1/25 | 9,000 | 9,687 |
4 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 12,142 | 12,112 | |
JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 5,000 | 5,174 | |
4,6,12 | JetBlue Airways 2004-2 G-2 Pass Through Trust | 1.076% | 5/15/18 | 2,465 | 2,460 |
Kansas City Southern | 2.350% | 5/15/20 | 5,000 | 5,023 | |
Kansas City Southern | 3.000% | 5/15/23 | 21,000 | 21,486 | |
Kansas City Southern | 3.125% | 6/1/26 | 14,770 | 15,148 | |
9 | Qantas Airways Ltd. | 7.500% | 6/11/21 | 14,170 | 12,272 |
9 | Qantas Airways Ltd. | 7.750% | 5/19/22 | 10,000 | 8,888 |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.650% | 8/1/22 | 6,253 | 6,910 |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 14,040 | 16,041 |
4 | Spirit Airlines Class A Pass Through Certificates Series | ||||
2015-1 | 4.100% | 10/1/29 | 20,000 | 20,300 | |
Union Pacific Corp. | 4.163% | 7/15/22 | 63,965 | 72,366 | |
Union Pacific Corp. | 2.950% | 1/15/23 | 5,939 | 6,307 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 24,687 | 25,898 | |
Union Pacific Corp. | 3.646% | 2/15/24 | 11,859 | 13,126 | |
Union Pacific Corp. | 3.750% | 3/15/24 | 26,054 | 28,997 | |
4 | United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 5,252 | 5,672 |
4 | United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 15,682 | 16,760 |
4 | United Airlines 2015-1 Class A Pass Through Trust | 3.700% | 6/1/24 | 10,440 | 10,962 |
4 | United Airlines 2016-1 Class AA Pass Through Trust | 3.100% | 7/7/28 | 14,205 | 14,773 |
United Continental Holdings Inc. | 6.375% | 6/1/18 | 2,775 | 2,921 |
72
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | US Airways 2001-1C Pass Through Trust | 7.346% | 9/20/23 | 3,421 | 3,721 |
11,017,253 | |||||
Utilities (4.8%) | |||||
Electric (4.7%) | |||||
Alabama Power Co. | 2.800% | 4/1/25 | 13,960 | 14,668 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 22,449 | 23,549 | |
Ameren Illinois Co. | 3.250% | 3/1/25 | 16,680 | 18,036 | |
Arizona Public Service Co. | 3.350% | 6/15/24 | 2,700 | 2,928 | |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 16,840 | 17,638 | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 10,627 | 11,354 | |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 17,100 | 18,772 | |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 10,760 | 16,806 | |
7 | Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 9,335 | 9,873 |
7 | Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 885 | 978 |
CMS Energy Corp. | 3.875% | 3/1/24 | 1,065 | 1,171 | |
CMS Energy Corp. | 3.000% | 5/15/26 | 6,900 | 7,146 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 8,400 | 9,090 | |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 5,790 | 6,210 | |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 20,515 | 21,121 | |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 32,960 | 33,842 | |
Consumers Energy Co. | 2.850% | 5/15/22 | 15,640 | 16,368 | |
Consumers Energy Co. | 3.375% | 8/15/23 | 6,144 | 6,648 | |
Consumers Energy Co. | 3.125% | 8/31/24 | 16,000 | 17,009 | |
DTE Electric Co. | 3.900% | 6/1/21 | 14,650 | 16,106 | |
DTE Electric Co. | 2.650% | 6/15/22 | 1,000 | 1,045 | |
DTE Electric Co. | 3.650% | 3/15/24 | 6,325 | 7,014 | |
DTE Electric Co. | 3.375% | 3/1/25 | 14,575 | 15,961 | |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 2,550 | 3,372 | |
Duke Energy Corp. | 3.750% | 4/15/24 | 15,495 | 16,895 | |
7 | EDP Finance BV | 4.900% | 10/1/19 | 15,910 | 17,030 |
7 | EDP Finance BV | 4.125% | 1/15/20 | 17,450 | 18,296 |
7 | EDP Finance BV | 5.250% | 1/14/21 | 7,870 | 8,575 |
7 | Emera US Finance LP | 2.700% | 6/15/21 | 5,470 | 5,610 |
7 | Emera US Finance LP | 3.550% | 6/15/26 | 10,500 | 11,022 |
7 | Emera US Finance LP | 4.750% | 6/15/46 | 7,190 | 7,872 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 8,770 | 9,530 | |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 7,410 | 7,762 | |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 3,318 | 3,663 | |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 6,620 | 7,296 | |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 5,699 | 6,919 | |
Entergy Louisiana LLC | 4.800% | 5/1/21 | 12,780 | 14,402 | |
Entergy Louisiana LLC | 3.300% | 12/1/22 | 6,915 | 7,318 | |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 6,400 | 7,174 | |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 8,562 | 10,455 | |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 5,880 | 6,097 | |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 9,250 | 9,926 | |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 12,510 | 12,949 | |
Eversource Energy | 2.800% | 5/1/23 | 2,000 | 2,055 | |
Exelon Corp. | 2.850% | 6/15/20 | 8,030 | 8,329 | |
Exelon Corp. | 3.950% | 6/15/25 | 10,596 | 11,534 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 23,331 | 24,802 | |
7 | FirstEnergy Transmission LLC | 4.350% | 1/15/25 | 15,090 | 16,198 |
4,7 | FPL Energy Marcus Hook LP | 7.590% | 7/10/18 | 4,787 | 5,099 |
Georgia Power Co. | 2.850% | 5/15/22 | 16,559 | 17,441 | |
Georgia Power Co. | 3.250% | 4/1/26 | 4,800 | 5,135 | |
Georgia Power Co. | 4.750% | 9/1/40 | 2,475 | 2,887 | |
Georgia Power Co. | 4.300% | 3/15/42 | 1,655 | 1,827 | |
Georgia Power Co. | 4.300% | 3/15/43 | 420 | 469 | |
ITC Holdings Corp. | 3.250% | 6/30/26 | 14,700 | 15,058 | |
7 | Kansas Gas & Electric Co. | 6.700% | 6/15/19 | 4,824 | 5,526 |
Kentucky Utilities Co. | 3.300% | 10/1/25 | 8,940 | 9,717 | |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 9,785 | 10,811 | |
Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 4,530 | 4,920 |
73
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
MidAmerican Energy Co. | 3.700% | 9/15/23 | 5,500 | 6,089 | |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 42,390 | 46,688 | |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 4,900 | 6,964 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 5,725 | 5,904 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 18,210 | 19,194 | |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 12,900 | 13,466 | |
National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 16,937 | 18,327 | |
Nevada Power Co. | 7.125% | 3/15/19 | 7,350 | 8,449 | |
7 | Niagara Mohawk Power Corp. | 2.721% | 11/28/22 | 2,000 | 2,069 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 7,700 | 7,861 | |
NSTAR Electric Co. | 3.250% | 11/15/25 | 10,000 | 10,777 | |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 2,597 | 3,309 | |
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 6,200 | 6,527 | |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,500 | 6,668 | |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 21,500 | 22,967 | |
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 3,710 | 4,105 | |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 31,130 | 34,452 | |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 15,030 | 16,277 | |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 10,890 | 11,901 | |
Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 19,865 | 20,786 | |
PacifiCorp | 3.850% | 6/15/21 | 16,844 | 18,525 | |
PacifiCorp | 3.600% | 4/1/24 | 14,000 | 15,422 | |
PacifiCorp | 3.350% | 7/1/25 | 12,720 | 13,914 | |
Peco Energy Co. | 2.375% | 9/15/22 | 9,965 | 10,264 | |
Potomac Electric Power Co. | 3.050% | 4/1/22 | 2,270 | 2,348 | |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 12,690 | 13,851 | |
PSEG Power LLC | 4.300% | 11/15/23 | 1,210 | 1,305 | |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 5,000 | 5,129 | |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 8,000 | 8,568 | |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 5,275 | 5,391 | |
Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 6,919 | 7,419 | |
Puget Energy Inc. | 6.500% | 12/15/20 | 15,565 | 18,108 | |
Puget Energy Inc. | 6.000% | 9/1/21 | 4,235 | 4,932 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 19,769 | 22,643 | |
Puget Energy Inc. | 3.650% | 5/15/25 | 13,665 | 14,330 | |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 5,240 | 6,177 | |
SCANA Corp. | 6.250% | 4/1/20 | 8,500 | 9,418 | |
SCANA Corp. | 4.750% | 5/15/21 | 10,787 | 11,506 | |
SCANA Corp. | 4.125% | 2/1/22 | 2,000 | 2,082 | |
Southern Co. | 2.350% | 7/1/21 | 22,000 | 22,447 | |
Southern Co. | 2.950% | 7/1/23 | 20,000 | 20,786 | |
Southern Co. | 3.250% | 7/1/26 | 9,870 | 10,370 | |
8 | Southern Power Co. | 1.000% | 6/20/22 | 6,900 | 7,923 |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 41,070 | 44,117 | |
Tampa Electric Co. | 5.400% | 5/15/21 | 13,000 | 14,857 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 6,220 | 6,432 | |
7 | Trans-Allegheny Interstate Line Co. | 3.850% | 6/1/25 | 11,000 | 11,795 |
Union Electric Co. | 3.500% | 4/15/24 | 3,345 | 3,645 | |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 9,000 | 9,699 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 7,000 | 7,617 | |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 4,300 | 4,588 | |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 10,000 | 10,740 | |
Westar Energy Inc. | 2.550% | 7/1/26 | 6,040 | 6,128 | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 10,000 | 10,709 | |
Natural Gas (0.1%) | |||||
Sempra Energy | 2.875% | 10/1/22 | 7,200 | 7,406 | |
Sempra Energy | 3.550% | 6/15/24 | 2,000 | 2,119 | |
Southern California Gas Co. | 3.150% | 9/15/24 | 22,290 | 24,020 | |
1,316,814 | |||||
Total Corporate Bonds (Cost $19,550,095) | 20,549,890 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (2.5%) | |||||
7 | Abu Dhabi National Energy Co. PJSC | 6.165% | 10/25/17 | 1,000 | 1,051 |
74
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Abu Dhabi National Energy Co. PJSC | 3.625% | 1/12/23 | 1,000 | 1,023 |
Asian Development Bank | 1.125% | 3/15/17 | 4,000 | 4,010 | |
7 | Banco Latinoamericano de Comercio Exterior SA | 3.250% | 5/7/20 | 4,000 | 4,067 |
7 | Bank Nederlandse Gemeenten NV | 2.500% | 1/23/23 | 1,000 | 1,061 |
7 | Bank of China Ltd. | 3.750% | 11/8/16 | 920 | 926 |
7 | Bermuda | 5.603% | 7/20/20 | 2,300 | 2,564 |
7 | Bermuda | 4.138% | 1/3/23 | 2,000 | 2,098 |
7 | Bermuda | 4.854% | 2/6/24 | 1,000 | 1,092 |
Cayman Islands | 5.950% | 11/24/19 | 500 | 564 | |
7 | CDP Financial Inc. | 3.150% | 7/24/24 | 8,000 | 8,709 |
7 | CNOOC Finance 2012 Ltd. | 3.875% | 5/2/22 | 1,000 | 1,067 |
7 | CNPC General Capital Ltd. | 3.400% | 4/16/23 | 1,000 | 1,043 |
Corp. Financiera de Desarrollo SA | 3.250% | 7/15/19 | 5,000 | 5,140 | |
7 | Corp. Financiera de Desarrollo SA | 4.750% | 2/8/22 | 1,400 | 1,510 |
Corp. Nacional del Cobre de Chile | 3.875% | 11/3/21 | 1,500 | 1,606 | |
7 | Corp. Nacional del Cobre de Chile | 3.000% | 7/17/22 | 2,850 | 2,872 |
Ecopetrol SA | 5.875% | 9/18/23 | 7,629 | 7,972 | |
Ecopetrol SA | 7.375% | 9/18/43 | 600 | 597 | |
Ecopetrol SA | 5.875% | 5/28/45 | 2,940 | 2,598 | |
7 | Electricite de France SA | 3.625% | 10/13/25 | 4,800 | 5,032 |
9 | Emirates NBD PJSC | 5.750% | 5/8/19 | 4,060 | 3,214 |
4,7 | ENA Norte Trust | 4.950% | 4/25/28 | 1,658 | 1,741 |
European Investment Bank | 2.500% | 4/15/21 | 7,000 | 7,392 | |
Export-Import Bank of Korea | 4.000% | 1/11/17 | 10,000 | 10,129 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 3,000 | 3,092 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 17,000 | 19,069 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 1,000 | 1,096 | |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 2,000 | 2,238 | |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 5,000 | 5,079 | |
Gazprom OAO Via Gaz Capital SA | 9.250% | 4/23/19 | 8,000 | 9,174 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 2,400 | 2,493 | |
Inter-American Development Bank | 3.000% | 2/21/24 | 6,425 | 7,103 | |
International Finance Corp. | 1.000% | 4/24/17 | 6,700 | 6,706 | |
13 | KFW | 1.250% | 2/15/17 | 4,000 | 4,012 |
13 | KFW | 1.000% | 6/11/18 | 11,750 | 11,781 |
13 | KFW | 2.750% | 10/1/20 | 3,000 | 3,195 |
13 | KFW | 2.625% | 1/25/22 | 9,000 | 9,626 |
7 | Kommunalbanken AS | 1.000% | 9/26/17 | 1,500 | 1,498 |
Korea Development Bank | 3.250% | 9/20/16 | 1,000 | 1,003 | |
Korea Development Bank | 3.875% | 5/4/17 | 5,000 | 5,104 | |
Korea Development Bank | 1.500% | 1/22/18 | 2,000 | 2,002 | |
Korea Development Bank | 4.625% | 11/16/21 | 2,000 | 2,278 | |
7 | Korea Land & Housing Corp. | 1.875% | 8/2/17 | 5,000 | 5,019 |
7 | Korea Western Power Co. Ltd. | 3.125% | 5/10/17 | 1,300 | 1,316 |
7 | Korea Western Power Co. Ltd. | 2.875% | 10/10/18 | 2,000 | 2,051 |
7 | Kowloon-Canton Railway Corp. | 5.125% | 5/20/19 | 2,500 | 2,738 |
13 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 2,000 | 2,010 |
Nexen Energy ULC | 6.200% | 7/30/19 | 2,000 | 2,185 | |
Nexen Energy ULC | 6.400% | 5/15/37 | 1,800 | 2,350 | |
North American Development Bank | 2.300% | 10/10/18 | 1,500 | 1,528 | |
North American Development Bank | 2.400% | 10/26/22 | 1,300 | 1,328 | |
7 | OCP SA | 5.625% | 4/25/24 | 1,200 | 1,307 |
7 | Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | 700 | 715 |
4 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 6,100 | 6,153 |
7 | Pertamina Persero PT | 6.000% | 5/3/42 | 1,000 | 1,079 |
Petrobras Global Finance BV | 4.875% | 3/17/20 | 4,818 | 4,655 | |
Petrobras Global Finance BV | 4.375% | 5/20/23 | 4,700 | 4,007 | |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 510 | 474 | |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 5,625 | 5,885 | |
Petrobras International Finance Co. SA | 7.875% | 3/15/19 | 4,581 | 4,839 | |
Petrobras International Finance Co. SA | 5.750% | 1/20/20 | 7,900 | 7,870 | |
Petrobras International Finance Co. SA | 5.375% | 1/27/21 | 2,036 | 1,927 | |
Petroleos Mexicanos | 5.750% | 3/1/18 | 28,700 | 30,087 | |
7 | Petroleos Mexicanos | 5.500% | 2/4/19 | 4,500 | 4,769 |
75
Vanguard® Intermediate-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Petroleos Mexicanos | 8.000% | 5/3/19 | 27,520 | 30,949 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 49,616 | 52,677 | |
7 | Petroleos Mexicanos | 6.375% | 2/4/21 | 4,960 | 5,446 |
Petroleos Mexicanos | 6.375% | 2/4/21 | 4,775 | 5,242 | |
Petroleos Mexicanos | 6.875% | 8/4/26 | 3,204 | 3,601 | |
Province of New Brunswick | 2.750% | 6/15/18 | 1,250 | 1,284 | |
Province of Ontario | 3.000% | 7/16/18 | 3,000 | 3,109 | |
Province of Ontario | 4.000% | 10/7/19 | 4,500 | 4,876 | |
Quebec | 2.625% | 2/13/23 | 5,700 | 5,981 | |
Quebec | 2.875% | 10/16/24 | 8,250 | 8,810 | |
Republic of Colombia | 7.375% | 3/18/19 | 6,325 | 7,211 | |
Republic of Colombia | 6.125% | 1/18/41 | 5,450 | 6,281 | |
Republic of Hungary | 4.000% | 3/25/19 | 5,250 | 5,467 | |
Republic of Hungary | 6.250% | 1/29/20 | 23,400 | 26,091 | |
Republic of Hungary | 6.375% | 3/29/21 | 2,700 | 3,092 | |
Republic of Indonesia | 4.875% | 5/5/21 | 1,540 | 1,689 | |
8 | Republic of Indonesia | 2.875% | 7/8/21 | 5,400 | 6,384 |
8 | Republic of Indonesia | 3.375% | 7/30/25 | 4,000 | 4,774 |
8 | Republic of Indonesia | 3.750% | 6/14/28 | 6,800 | 8,172 |
Republic of Kazakhstan | 4.875% | 10/14/44 | 9,840 | 9,763 | |
Republic of Korea | 7.125% | 4/16/19 | 1,500 | 1,735 | |
7 | Republic of Latvia | 2.750% | 1/12/20 | 1,000 | 1,040 |
7 | Republic of Lithuania | 7.375% | 2/11/20 | 765 | 903 |
Republic of Lithuania | 7.375% | 2/11/20 | 5,000 | 5,893 | |
Republic of Lithuania | 6.125% | 3/9/21 | 905 | 1,061 | |
Republic of Namibia | 5.500% | 11/3/21 | 4,400 | 4,701 | |
Republic of Namibia | 5.250% | 10/29/25 | 2,760 | 2,873 | |
4 | Republic of Panama | 6.700% | 1/26/36 | 2,400 | 3,262 |
Republic of Poland | 5.125% | 4/21/21 | 16,505 | 18,795 | |
Republic of Poland | 5.000% | 3/23/22 | 5,730 | 6,568 | |
8 | Republic of Romania | 2.750% | 10/29/25 | 4,500 | 5,254 |
7 | Republic of Serbia | 5.250% | 11/21/17 | 8,000 | 8,260 |
Republic of Turkey | 7.500% | 7/14/17 | 50,710 | 53,055 | |
Republic of Turkey | 6.750% | 4/3/18 | 34,645 | 36,637 | |
Republic of Turkey | 7.000% | 3/11/19 | 5,270 | 5,711 | |
Republic of Turkey | 5.625% | 3/30/21 | 20,690 | 22,087 | |
Republic of Turkey | 6.250% | 9/26/22 | 4,700 | 5,194 | |
Republic of Turkey | 4.875% | 4/16/43 | 3,900 | 3,603 | |
7 | Sinopec Group Overseas Development 2013 Ltd. | 4.375% | 10/17/23 | 1,800 | 1,989 |
State of Israel | 5.125% | 3/26/19 | 2,550 | 2,809 | |
State of Israel | 3.150% | 6/30/23 | 2,000 | 2,141 | |
State of Israel | 2.875% | 3/16/26 | 3,980 | 4,129 | |
7 | State of Qatar | 5.250% | 1/20/20 | 1,000 | 1,111 |
Statoil ASA | 3.150% | 1/23/22 | 3,000 | 3,176 | |
Statoil ASA | 2.450% | 1/17/23 | 3,000 | 3,060 | |
Statoil ASA | 3.950% | 5/15/43 | 3,191 | 3,351 | |
7 | Temasek Financial I Ltd. | 2.375% | 1/23/23 | 1,000 | 1,033 |
United Mexican States | 5.625% | 1/15/17 | 7,000 | 7,139 | |
United Mexican States | 3.625% | 3/15/22 | 5,130 | 5,423 | |
YPF SA | 8.875% | 12/19/18 | 2,500 | 2,700 | |
Total Sovereign Bonds (Cost $675,119) | 695,511 | ||||
Taxable Municipal Bonds (0.2%) | |||||
Allentown PA Neighborhood Improvement Zone | |||||
Development Authority Revenue | 5.420% | 5/1/21 | 4,000 | 4,221 | |
California GO | 5.750% | 3/1/17 | 2,000 | 2,060 | |
Florida Hurricane Catastrophe Fund Finance Corp. | |||||
Revenue | 2.995% | 7/1/20 | 1,250 | 1,309 | |
Illinois GO | 5.365% | 3/1/17 | 6,000 | 6,130 | |
Illinois GO | 5.000% | 1/1/23 | 1,835 | 1,938 | |
JobsOhio Beverage System Statewide Liquor Profits | |||||
Revenue | 2.885% | 1/1/21 | 1,000 | 1,062 | |
Johns Hopkins University Maryland GO | 5.250% | 7/1/19 | 199 | 222 |
76
Vanguard® Intermediate-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
EGSL | 3.220% | 2/1/21 | 10,765 | 10,950 |
Louisiana Local Government Environmental Facilities & | ||||
Community Development Authority Revenue 2010- | ||||
ELL | 3.450% | 2/1/22 | 5,475 | 5,639 |
6 Mississippi GO (Nissan North America, Inc. Project) | 1.167% | 11/1/17 | 5,520 | 5,522 |
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 | 865 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.125% | 2/1/24 | 1,500 | 1,778 |
New York State Dormitory Authority Revenue | ||||
(Employer Assessment) | 3.892% | 12/1/24 | 2,000 | 2,248 |
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,000 | 2,567 |
San Diego County CA Regional Airport Authority | ||||
Revenue | 3.730% | 7/1/21 | 800 | 854 |
Texas GO | 3.682% | 8/1/24 | 2,000 | 2,207 |
University of California Revenue | 2.054% | 5/15/18 | 500 | 510 |
University of California Revenue | 2.300% | 5/15/21 | 1,000 | 1,037 |
Total Taxable Municipal Bonds (Cost $49,261) | 51,119 | |||
Shares | ||||
Convertible Preferred Stocks (0.0%) | ||||
10 Lehman Brothers Holdings Inc. Pfd. (Cost $8,571) | 7.250% | 8,740 | — | |
Temporary Cash Investment (0.5%) | ||||
Money Market Fund (0.5%) | ||||
14 Vanguard Market Liquidity Fund | ||||
(Cost $138,930) | 0.561% | 138,930,497 | 138,930 | |
Total Investments (99.2%) (Cost $26,127,793) | 27,244,611 | |||
Expiration Date | Contracts | |||
Liabilities for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 800 | (88) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 320 | (95) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 320 | (25) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 800 | (350) | |
Total Options on Futures Written (Premiums Received $1,104) | (558) | |||
Other Assets and Liabilities—Net (0.8%) | 215,155 | |||
Net Assets (100%) | 27,459,208 |
1 | Securities with a value of $6,660,000 have been segregated as initial margin for open cleared swap contracts. |
2 | Securities with a value of $15,128,000 have been segregated as initial margin for open futures contracts. |
3 | Securities with a value of $4,437,000 have been segregated as collateral for forward currency contracts and open over-the-counter swap 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. |
77
Vanguard® Intermediate-Term Investment-Grade Fund
Schedule of Investments
July 31, 2016
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, 2016, the aggregate value of these securities was $3,029,482,000, representing 11.0% of net assets. |
8 | Face amount denominated in euro. |
9 | Face amount denominated in Australian dollars. |
10 | Non-income-producing security--security in default. |
11 | Face amount denominated in British pounds. |
12 | Scheduled principal and interest payments are guaranteed by Municipal Bond Insurance Association. |
13 | Guaranteed by the Federal Republic of Germany. |
14 | 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. |
78
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (3.9%) | |||||
U.S. Government Securities (3.7%) | |||||
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 13,249 | 14,130 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/26 | 505 | 514 | |
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 | 100 | |
United States Treasury Note/Bond | 1.000% | 12/31/17 | 3,349 | 3,366 | |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 100 | 101 | |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 500 | 502 | |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 4,320 | 4,349 | |
United States Treasury Note/Bond | 1.250% | 11/15/18 | 10,171 | 10,298 | |
United States Treasury Note/Bond | 1.250% | 12/15/18 | 3,600 | 3,646 | |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 2,965 | 2,976 | |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 9,820 | 9,987 | |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 4,200 | 4,270 | |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 5,057 | 5,292 | |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 4,267 | 4,436 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 11,600 | 12,392 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 1,900 | 1,991 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 13,957 | 14,934 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 350 | 355 | |
1 | United States Treasury Note/Bond | 6.125% | 8/15/29 | 43,302 | 66,455 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 9,956 | 15,711 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 22,857 | 34,093 | |
1,2 | United States Treasury Note/Bond | 4.500% | 2/15/36 | 142,880 | 207,890 |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 18,618 | 22,400 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 9,210 | 10,826 | |
3 | United States Treasury Note/Bond | 2.500% | 2/15/45 | 28,662 | 30,552 |
2 | United States Treasury Note/Bond | 3.000% | 5/15/45 | 3,600 | 4,232 |
1 | United States Treasury Note/Bond | 3.000% | 11/15/45 | 36,335 | 42,762 |
1 | United States Treasury Note/Bond | 2.500% | 2/15/46 | 42,775 | 45,649 |
574,610 | |||||
Agency Bonds and Notes (0.2%) | |||||
4 | Tennessee Valley Authority | 5.250% | 9/15/39 | 18,800 | 26,386 |
4 | Tennessee Valley Authority | 4.250% | 9/15/65 | 10,000 | 12,094 |
38,480 | |||||
Total U.S. Government and Agency Obligations (Cost $536,519) | 613,090 | ||||
Corporate Bonds (75.5%) | |||||
Finance (17.6%) | |||||
Banking (10.5%) | |||||
5 | ABN AMRO Bank NV | 4.750% | 7/28/25 | 1,800 | 1,877 |
5 | ABN AMRO Bank NV | 4.800% | 4/18/26 | 800 | 847 |
5 | Australia & New Zealand Banking Group Ltd. | 4.400% | 5/19/26 | 850 | 899 |
Bank of America Corp. | 6.110% | 1/29/37 | 15,000 | 18,486 | |
Bank of America Corp. | 5.875% | 2/7/42 | 19,230 | 25,147 | |
Bank of America Corp. | 5.000% | 1/21/44 | 5,000 | 5,941 | |
Bank of America NA | 6.000% | 10/15/36 | 20,450 | 26,617 | |
6 | Bank of New York Mellon Corp. | 4.625% | 12/29/49 | 260 | 259 |
Bank One Corp. | 7.625% | 10/15/26 | 16,575 | 22,219 | |
Bank One Corp. | 8.000% | 4/29/27 | 27,769 | 37,664 | |
Citigroup Inc. | 4.450% | 9/29/27 | 20,415 | 21,375 | |
Citigroup Inc. | 4.125% | 7/25/28 | 529 | 539 | |
Citigroup Inc. | 6.625% | 6/15/32 | 20,000 | 24,756 | |
Citigroup Inc. | 4.650% | 7/30/45 | 35,000 | 39,601 | |
5 | Commonwealth Bank of Australia | 4.500% | 12/9/25 | 2,000 | 2,125 |
5 | Commonwealth Bank of Australia | 2.850% | 5/18/26 | 760 | 781 |
Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 6,915 | 6,941 | |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 6,400 | 8,330 | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 52,730 | 65,598 | |
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 12,020 | 14,138 |
79
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Fifth Third Bank | 3.850% | 3/15/26 | 200 | 213 | |
7 | Goldman Sachs Group Inc. | 2.125% | 9/30/24 | 354 | 425 |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 9,845 | 10,417 | |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 38,270 | 48,900 | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 49,400 | 61,023 | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 35,000 | 44,996 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 25,625 | 33,947 | |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 16,792 | 19,070 | |
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 15,864 | 17,903 | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 34,700 | 42,607 | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 22,425 | 26,617 | |
7 | HSBC Holdings plc | 3.000% | 6/30/25 | 200 | 238 |
HSBC Holdings plc | 4.250% | 8/18/25 | 5,000 | 5,165 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 1,000 | 1,073 | |
7 | HSBC Holdings plc | 3.125% | 6/7/28 | 200 | 237 |
HSBC Holdings plc | 7.625% | 5/17/32 | 21,200 | 28,646 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 9,770 | 12,332 | |
HSBC Holdings plc | 6.500% | 9/15/37 | 42,245 | 53,700 | |
HSBC Holdings plc | 6.800% | 6/1/38 | 70,804 | 93,357 | |
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 9,900 | 9,983 | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 89,500 | 124,421 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 25,675 | 32,780 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 16,152 | 20,874 | |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 25,000 | 30,810 | |
6 | JPMorgan Chase & Co. | 5.300% | 12/29/49 | 430 | 442 |
7 | Leeds Building Society | 1.375% | 5/5/22 | 367 | 402 |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 2,700 | 2,781 | |
5 | Macquarie Bank Ltd. | 4.875% | 6/10/25 | 590 | 623 |
5 | Macquarie Bank Ltd. | 3.900% | 1/15/26 | 500 | 532 |
Morgan Stanley | 3.125% | 7/27/26 | 29,930 | 30,187 | |
Morgan Stanley | 7.250% | 4/1/32 | 47,360 | 65,753 | |
Morgan Stanley | 6.375% | 7/24/42 | 38,831 | 53,724 | |
Morgan Stanley | 4.300% | 1/27/45 | 51,825 | 55,839 | |
7 | Nationwide Building Society | 1.125% | 6/3/22 | 200 | 228 |
Royal Bank of Canada | 4.650% | 1/27/26 | 285 | 315 | |
5 | Santander UK Group Holdings plc | 4.750% | 9/15/25 | 1,900 | 1,909 |
6 | State Street Corp. | 5.250% | 12/29/49 | 400 | 421 |
Wachovia Corp. | 5.500% | 8/1/35 | 21,905 | 26,021 | |
Wells Fargo & Co. | 3.000% | 4/22/26 | 18,605 | 19,087 | |
Wells Fargo & Co. | 4.100% | 6/3/26 | 10,730 | 11,619 | |
Wells Fargo & Co. | 4.300% | 7/22/27 | 20,000 | 21,935 | |
Wells Fargo & Co. | 5.375% | 2/7/35 | 9,664 | 12,072 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 56,522 | 67,340 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 157,813 | 194,951 | |
Wells Fargo & Co. | 4.650% | 11/4/44 | 6,142 | 6,693 | |
Wells Fargo & Co. | 3.900% | 5/1/45 | 13,260 | 14,018 | |
Wells Fargo & Co. | 4.900% | 11/17/45 | 14,675 | 16,638 | |
Wells Fargo & Co. | 4.400% | 6/14/46 | 2,310 | 2,433 | |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 500 | 700 | |
Westpac Banking Corp. | 2.850% | 5/13/26 | 2,000 | 2,052 | |
Brokerage (0.3%) | |||||
5 | FMR LLC | 6.450% | 11/15/39 | 18,200 | 24,343 |
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 21,110 | 23,118 | |
Invesco Finance plc | 5.375% | 11/30/43 | 2,700 | 3,266 | |
Legg Mason Inc. | 5.625% | 1/15/44 | 2,000 | 2,130 | |
Finance Companies (2.1%) | |||||
GE Capital International Funding Co. | 4.418% | 11/15/35 | 282,091 | 325,062 | |
Insurance (4.5%) | |||||
ACE Capital Trust II | 9.700% | 4/1/30 | 7,050 | 10,540 | |
Aetna Inc. | 3.200% | 6/15/26 | 8,230 | 8,444 | |
Aetna Inc. | 4.250% | 6/15/36 | 8,660 | 9,027 | |
Aetna Inc. | 4.125% | 11/15/42 | 24,995 | 26,167 |
80
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Aetna Inc. | 4.375% | 6/15/46 | 8,740 | 9,105 | |
6,7 | Aquarius and Investments plc for Zurich Insurance Co. | ||||
Ltd. | 4.250% | 10/2/43 | 835 | 1,043 | |
AXA Financial Inc. | 7.000% | 4/1/28 | 24,910 | 32,348 | |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 1,935 | 2,650 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 13,265 | 14,104 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 44,057 | 52,139 | |
6 | Chubb Corp. | 6.375% | 3/29/67 | 400 | 358 |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 3,700 | 4,379 | |
6,8 | CNP Assurances | 7.375% | 9/30/41 | 200 | 300 |
5 | Guardian Life Insurance Co. of America | 4.875% | 6/19/64 | 10,700 | 11,245 |
5 | Jackson National Life Insurance Co. | 8.150% | 3/15/27 | 200 | 272 |
Loews Corp. | 4.125% | 5/15/43 | 1,800 | 1,885 | |
Manulife Financial Corp. | 5.375% | 3/4/46 | 5,000 | 6,142 | |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 3,000 | 3,198 | |
5 | Massachusetts Mutual Life Insurance Co. | 8.875% | 6/1/39 | 14,851 | 23,735 |
5 | Massachusetts Mutual Life Insurance Co. | 4.500% | 4/15/65 | 310 | 305 |
MetLife Inc. | 6.500% | 12/15/32 | 1,400 | 1,825 | |
MetLife Inc. | 4.125% | 8/13/42 | 22,385 | 22,726 | |
MetLife Inc. | 4.875% | 11/13/43 | 769 | 861 | |
MetLife Inc. | 4.050% | 3/1/45 | 3,000 | 3,031 | |
6 | MetLife Inc. | 5.250% | 12/29/49 | 195 | 195 |
5 | Metropolitan Life Insurance Co. | 7.800% | 11/1/25 | 27,250 | 35,467 |
5 | Nationwide Mutual Insurance Co. | 8.250% | 12/1/31 | 5,035 | 7,141 |
5 | Nationwide Mutual Insurance Co. | 9.375% | 8/15/39 | 36,031 | 57,380 |
5 | Nationwide Mutual Insurance Co. | 4.950% | 4/22/44 | 13,215 | 14,064 |
5 | New York Life Insurance Co. | 5.875% | 5/15/33 | 41,400 | 51,750 |
5 | Northwestern Mutual Life Insurance Co. | 6.063% | 3/30/40 | 14,890 | 19,451 |
6 | Progressive Corp. | 6.700% | 6/15/67 | 1,116 | 1,041 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 1,100 | 1,261 | |
6 | Prudential Financial Inc. | 5.375% | 5/15/45 | 270 | 281 |
5 | Swiss Re Treasury US Corp. | 4.250% | 12/6/42 | 12,470 | 13,377 |
5 | Teachers Insurance & Annuity Assn. of America | 6.850% | 12/16/39 | 18,844 | 26,161 |
5 | Teachers Insurance & Annuity Assn. of America | 4.900% | 9/15/44 | 10,720 | 12,261 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 500 | 734 | |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 1,355 | 1,919 | |
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 17,405 | 18,500 | |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 11,515 | 13,688 | |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 49,846 | 67,388 | |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 1,100 | 1,588 | |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 800 | 1,165 | |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 21,847 | 32,848 | |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 25,000 | 28,958 | |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 47,445 | 59,287 | |
Real Estate Investment Trusts (0.2%) | |||||
ERP Operating LP | 4.500% | 6/1/45 | 680 | 783 | |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,000 | 1,145 | |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 4,989 | 5,264 | |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 4,000 | 3,960 | |
Simon Property Group LP | 4.250% | 10/1/44 | 10,750 | 12,074 | |
2,765,468 | |||||
Industrial (44.5%) | |||||
Basic Industry (0.9%) | |||||
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 16,000 | 17,106 | |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 31,820 | 38,166 | |
Monsanto Co. | 4.200% | 7/15/34 | 400 | 410 | |
Monsanto Co. | 5.875% | 4/15/38 | 1,000 | 1,187 | |
Monsanto Co. | 3.600% | 7/15/42 | 600 | 542 | |
Monsanto Co. | 3.950% | 4/15/45 | 1,000 | 982 | |
Monsanto Co. | 4.700% | 7/15/64 | 20,940 | 19,859 | |
PPG Industries Inc. | 5.500% | 11/15/40 | 1,225 | 1,537 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 7,040 | 7,565 | |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 1,240 | 1,467 |
81
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,400 | 1,569 | |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 44,175 | 46,655 | |
Capital Goods (3.7%) | |||||
3M Co. | 5.700% | 3/15/37 | 13,500 | 18,466 | |
Boeing Co. | 6.125% | 2/15/33 | 13,565 | 18,705 | |
Boeing Co. | 7.875% | 4/15/43 | 5,900 | 9,919 | |
Caterpillar Inc. | 6.050% | 8/15/36 | 3,082 | 4,178 | |
Caterpillar Inc. | 3.803% | 8/15/42 | 30,680 | 32,346 | |
Caterpillar Inc. | 4.300% | 5/15/44 | 8,639 | 9,911 | |
Deere & Co. | 7.125% | 3/3/31 | 13,500 | 19,508 | |
Dover Corp. | 6.600% | 3/15/38 | 1,375 | 1,971 | |
Emerson Electric Co. | 6.000% | 8/15/32 | 1,071 | 1,414 | |
General Electric Capital Corp. | 6.750% | 3/15/32 | 47,714 | 67,748 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 7,031 | 9,931 | |
General Electric Capital Corp. | 5.875% | 1/14/38 | 34,584 | 47,607 | |
General Electric Capital Corp. | 6.875% | 1/10/39 | 12,814 | 19,710 | |
General Electric Co. | 4.125% | 10/9/42 | 13,425 | 15,128 | |
General Electric Co. | 4.500% | 3/11/44 | 20,000 | 23,839 | |
6 | General Electric Co. | 5.000% | 12/29/49 | 1,184 | 1,276 |
7 | Illinois Tool Works Inc. | 3.000% | 5/19/34 | 1,250 | 1,798 |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 16,925 | 17,544 | |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 27,319 | 32,810 | |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 10,120 | 11,045 | |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 13,625 | 14,349 | |
Raytheon Co. | 4.700% | 12/15/41 | 37,524 | 46,503 | |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 20,129 | 24,672 | |
Tyco International Finance SA | 5.125% | 9/14/45 | 2,195 | 2,624 | |
United Technologies Corp. | 7.500% | 9/15/29 | 1,500 | 2,212 | |
United Technologies Corp. | 6.125% | 7/15/38 | 55,575 | 77,751 | |
United Technologies Corp. | 5.700% | 4/15/40 | 22,500 | 30,542 | |
United Technologies Corp. | 4.500% | 6/1/42 | 19,110 | 22,689 | |
Communication (4.8%) | |||||
21st Century Fox America Inc. | 7.900% | 12/1/95 | 3,975 | 5,696 | |
7 | America Movil SAB de CV | 2.125% | 3/10/28 | 1,725 | 2,016 |
America Movil SAB de CV | 6.375% | 3/1/35 | 3,600 | 4,595 | |
America Movil SAB de CV | 6.125% | 3/30/40 | 24,520 | 31,405 | |
America Movil SAB de CV | 4.375% | 7/16/42 | 550 | 589 | |
AT&T Inc. | 5.650% | 2/15/47 | 10,100 | 12,048 | |
Comcast Corp. | 4.250% | 1/15/33 | 11,435 | 12,821 | |
Comcast Corp. | 7.050% | 3/15/33 | 1,000 | 1,454 | |
Comcast Corp. | 4.200% | 8/15/34 | 1,550 | 1,734 | |
Comcast Corp. | 5.650% | 6/15/35 | 41,014 | 53,517 | |
Comcast Corp. | 3.200% | 7/15/36 | 15,870 | 15,777 | |
Comcast Corp. | 6.450% | 3/15/37 | 18,000 | 25,355 | |
Comcast Corp. | 6.950% | 8/15/37 | 65,717 | 97,494 | |
Comcast Corp. | 6.400% | 5/15/38 | 10,485 | 14,811 | |
Comcast Corp. | 6.550% | 7/1/39 | 11,765 | 17,055 | |
Comcast Corp. | 6.400% | 3/1/40 | 19,865 | 28,453 | |
Comcast Corp. | 4.650% | 7/15/42 | 10,215 | 12,052 | |
Comcast Corp. | 4.500% | 1/15/43 | 13,610 | 15,816 | |
Comcast Corp. | 4.750% | 3/1/44 | 66,270 | 80,183 | |
Comcast Corp. | 4.600% | 8/15/45 | 47,615 | 56,052 | |
Comcast Corp. | 3.400% | 7/15/46 | 18,115 | 17,880 | |
5 | COX Communications Inc. | 6.450% | 12/1/36 | 9,000 | 9,592 |
5 | COX Communications Inc. | 8.375% | 3/1/39 | 19,110 | 23,771 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 2,000 | 3,136 | |
5 | Deutsche Telekom International Finance BV | 4.875% | 3/6/42 | 1,500 | 1,778 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 1,500 | 1,527 | |
Grupo Televisa SAB | 6.125% | 1/31/46 | 3,000 | 3,505 | |
Historic TW Inc. | 6.625% | 5/15/29 | 13,675 | 18,124 | |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 2,850 | 4,093 | |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 18,000 | 24,585 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 33,260 | 38,119 |
82
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Orange SA | 9.000% | 3/1/31 | 2,000 | 3,164 | |
Orange SA | 5.500% | 2/6/44 | 1,000 | 1,274 | |
Qwest Corp. | 6.875% | 9/15/33 | 1,699 | 1,699 | |
5 | SES Global Americas Holdings GP | 5.300% | 3/25/44 | 1,000 | 970 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 16,975 | 20,372 | |
Time Warner Inc. | 7.625% | 4/15/31 | 9,000 | 12,856 | |
Verizon Communications Inc. | 5.050% | 3/15/34 | 2,000 | 2,254 | |
Verizon Communications Inc. | 5.850% | 9/15/35 | 437 | 545 | |
Verizon Communications Inc. | 6.000% | 4/1/41 | 1,200 | 1,524 | |
Verizon Communications Inc. | 4.522% | 9/15/48 | 22,286 | 23,773 | |
Verizon Communications Inc. | 5.012% | 8/21/54 | 500 | 549 | |
Verizon Communications Inc. | 4.672% | 3/15/55 | 1,295 | 1,354 | |
Viacom Inc. | 4.850% | 12/15/34 | 1,500 | 1,457 | |
Walt Disney Co. | 4.125% | 6/1/44 | 18,715 | 21,586 | |
Walt Disney Co. | 3.000% | 7/30/46 | 3,980 | 3,783 | |
Walt Disney Co. | 7.550% | 7/15/93 | 15,750 | 20,655 | |
Consumer Cyclical (6.7%) | |||||
Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 500 | 545 | |
Cummins Inc. | 4.875% | 10/1/43 | 1,000 | 1,216 | |
CVS Health Corp. | 5.125% | 7/20/45 | 40,945 | 51,774 | |
Ford Motor Co. | 7.450% | 7/16/31 | 750 | 1,035 | |
General Motors Co. | 6.600% | 4/1/36 | 3,000 | 3,701 | |
Home Depot Inc. | 5.875% | 12/16/36 | 39,775 | 55,387 | |
Home Depot Inc. | 5.950% | 4/1/41 | 20,470 | 29,008 | |
Home Depot Inc. | 4.200% | 4/1/43 | 6,035 | 6,946 | |
Home Depot Inc. | 4.875% | 2/15/44 | 67,400 | 84,803 | |
Home Depot Inc. | 4.400% | 3/15/45 | 12,900 | 15,488 | |
Home Depot Inc. | 4.250% | 4/1/46 | 20,015 | 23,594 | |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 20,160 | 27,590 | |
Lowe's Cos. Inc. | 5.500% | 10/15/35 | 600 | 777 | |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 2,060 | 2,714 | |
Lowe's Cos. Inc. | 6.650% | 9/15/37 | 12,497 | 18,362 | |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 12,565 | 17,020 | |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 1,250 | 1,504 | |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 22,740 | 28,451 | |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 800 | 923 | |
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 1,000 | 1,169 | |
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 60,330 | 64,048 | |
McDonald's Corp. | 4.700% | 12/9/35 | 2,000 | 2,322 | |
McDonald's Corp. | 6.300% | 10/15/37 | 4,005 | 5,479 | |
McDonald's Corp. | 6.300% | 3/1/38 | 21,940 | 29,872 | |
NIKE Inc. | 3.625% | 5/1/43 | 30,604 | 33,393 | |
NIKE Inc. | 3.875% | 11/1/45 | 25,000 | 28,292 | |
Starbucks Corp. | 4.300% | 6/15/45 | 500 | 605 | |
Target Corp. | 7.000% | 1/15/38 | 1,100 | 1,693 | |
Target Corp. | 4.000% | 7/1/42 | 500 | 552 | |
Target Corp. | 3.625% | 4/15/46 | 24,700 | 25,781 | |
VF Corp. | 6.450% | 11/1/37 | 726 | 1,015 | |
Visa Inc. | 4.150% | 12/14/35 | 27,510 | 31,605 | |
Visa Inc. | 4.300% | 12/14/45 | 43,850 | 51,871 | |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 35,800 | 55,189 | |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 500 | 676 | |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 37,190 | 55,694 | |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 82,350 | 120,056 | |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 10,890 | 14,950 | |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 20,000 | 25,399 | |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 16,855 | 21,827 | |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 71,682 | 99,318 | |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 8,210 | 9,360 | |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 1,000 | 1,198 | |
Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 1,500 | 1,673 | |
Consumer Noncyclical (14.9%) | |||||
Abbott Laboratories | 6.000% | 4/1/39 | 11,105 | 14,664 |
83
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Actavis Funding SCS | 4.550% | 3/15/35 | 10,000 | 10,779 | |
Altria Group Inc. | 9.950% | 11/10/38 | 7,500 | 13,758 | |
Altria Group Inc. | 4.250% | 8/9/42 | 7,100 | 8,091 | |
Altria Group Inc. | 4.500% | 5/2/43 | 4,880 | 5,738 | |
Altria Group Inc. | 5.375% | 1/31/44 | 50,985 | 66,968 | |
Anheuser-Busch Cos. LLC | 6.750% | 12/15/27 | 400 | 523 | |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 500 | 683 | |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 11,460 | 14,583 | |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 27,130 | 29,006 | |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 101,955 | 117,885 | |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 17,093 | 18,332 | |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 217,520 | 265,749 | |
7 | Anheuser-Busch InBev SA/NV | 3.250% | 1/24/33 | 400 | 591 |
7 | Anheuser-Busch InBev SA/NV | 2.750% | 3/17/36 | 570 | 780 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 39,000 | 63,490 | |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 9,220 | 14,901 | |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 14,844 | 20,360 | |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 27,995 | 29,113 | |
Ascension Health | 3.945% | 11/15/46 | 5,935 | 6,659 | |
6 | Ascension Health | 4.847% | 11/15/53 | 9,040 | 11,589 |
AstraZeneca plc | 6.450% | 9/15/37 | 49,200 | 68,421 | |
AstraZeneca plc | 4.375% | 11/16/45 | 20,640 | 23,261 | |
Baxalta Inc. | 5.250% | 6/23/45 | 1,000 | 1,161 | |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 22,500 | 28,339 | |
5 | Cargill Inc. | 4.100% | 11/1/42 | 12,800 | 14,032 |
5 | Cargill Inc. | 4.760% | 11/23/45 | 38,584 | 46,332 |
6 | Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 19,000 | 19,488 |
Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 500 | 575 | |
City of Hope | 5.623% | 11/15/43 | 13,480 | 17,841 | |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 5,149 | 5,881 | |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 1,200 | 1,484 | |
Constellation Brands Inc. | 4.750% | 12/1/25 | 90 | 98 | |
7 | DH Europe Finance SA | 2.500% | 7/8/25 | 200 | 257 |
Dignity Health California GO | 4.500% | 11/1/42 | 19,865 | 21,659 | |
Dignity Health California GO | 5.267% | 11/1/64 | 800 | 979 | |
Eli Lilly & Co. | 3.700% | 3/1/45 | 25,970 | 28,369 | |
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 750 | 889 | |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 2,000 | 2,543 | |
Express Scripts Holding Co. | 4.800% | 7/15/46 | 1,000 | 1,074 | |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 12,525 | 14,142 | |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 24,915 | 31,918 | |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 26,555 | 31,105 | |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 24,580 | 27,772 | |
Gilead Sciences Inc. | 4.750% | 3/1/46 | 16,655 | 19,503 | |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 15,000 | 19,054 | |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 39,725 | 58,436 | |
5 | Grupo Bimbo SAB de CV | 4.875% | 6/27/44 | 982 | 1,009 |
Johnson & Johnson | 3.550% | 3/1/36 | 57,310 | 64,735 | |
Johnson & Johnson | 5.950% | 8/15/37 | 1,462 | 2,201 | |
Johnson & Johnson | 4.500% | 12/5/43 | 5,725 | 7,466 | |
Johnson & Johnson | 3.700% | 3/1/46 | 23,260 | 26,968 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 28,625 | 35,010 | |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 7,300 | 11,081 | |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 1,300 | 1,847 | |
5 | Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 1,900 | 2,067 |
6 | Mayo Clinic | 3.774% | 11/15/43 | 12,595 | 13,364 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 2,000 | 2,199 | |
Medtronic Inc. | 4.375% | 3/15/35 | 42,113 | 48,601 | |
Medtronic Inc. | 6.500% | 3/15/39 | 21,200 | 30,389 | |
Medtronic Inc. | 5.550% | 3/15/40 | 1,900 | 2,495 | |
Medtronic Inc. | 4.500% | 3/15/42 | 9,000 | 10,677 | |
Medtronic Inc. | 4.625% | 3/15/44 | 2,000 | 2,415 | |
Medtronic Inc. | 4.625% | 3/15/45 | 81,390 | 99,468 | |
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 4,675 | 5,418 |
84
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 16,535 | 21,188 | |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 10,540 | 11,871 | |
Merck & Co. Inc. | 3.600% | 9/15/42 | 9,067 | 9,583 | |
Merck & Co. Inc. | 4.150% | 5/18/43 | 6,880 | 7,923 | |
Merck & Co. Inc. | 3.700% | 2/10/45 | 50,720 | 54,216 | |
Molson Coors Brewing Co. | 4.200% | 7/15/46 | 4,055 | 4,318 | |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 19,585 | 21,850 | |
New York and Presbyterian Hospital | 4.063% | 8/1/56 | 10,150 | 11,224 | |
New York and Presbyterian Hospital | 4.763% | 8/1/16 | 10,000 | 11,152 | |
Newell Brands Inc. | 5.375% | 4/1/36 | 750 | 905 | |
Newell Brands Inc. | 5.500% | 4/1/46 | 2,000 | 2,496 | |
North Shore-Long Island Jewish Health Care Inc. | |||||
Revenue | 4.800% | 11/1/42 | 8,265 | 9,746 | |
North Shore-Long Island Jewish Health Care Inc. | |||||
Revenue | 6.150% | 11/1/43 | 20,550 | 28,726 | |
Novant Health Inc. | 4.371% | 11/1/43 | 552 | 646 | |
Novartis Capital Corp. | 3.700% | 9/21/42 | 2,000 | 2,237 | |
Novartis Capital Corp. | 4.400% | 5/6/44 | 29,840 | 36,645 | |
NYU Hospitals Center | 4.784% | 7/1/44 | 2,000 | 2,354 | |
PepsiCo Inc. | 5.500% | 1/15/40 | 28,145 | 37,621 | |
PepsiCo Inc. | 4.875% | 11/1/40 | 10,375 | 12,900 | |
PepsiCo Inc. | 4.000% | 3/5/42 | 17,872 | 19,910 | |
PepsiCo Inc. | 3.600% | 8/13/42 | 1,000 | 1,050 | |
PepsiCo Inc. | 4.450% | 4/14/46 | 12,000 | 14,334 | |
Pfizer Inc. | 7.200% | 3/15/39 | 36,212 | 56,083 | |
Pfizer Inc. | 4.300% | 6/15/43 | 7,780 | 8,956 | |
Pharmacia Corp. | 6.750% | 12/15/27 | 2,200 | 3,063 | |
7 | Philip Morris International Inc. | 2.000% | 5/9/36 | 500 | 614 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 32,015 | 45,106 | |
Philip Morris International Inc. | 4.500% | 3/20/42 | 5,000 | 5,823 | |
Philip Morris International Inc. | 4.125% | 3/4/43 | 10,000 | 11,057 | |
Philip Morris International Inc. | 4.875% | 11/15/43 | 22,455 | 27,853 | |
Philip Morris International Inc. | 4.250% | 11/10/44 | 50,495 | 57,257 | |
Procter & Gamble Co. | 5.500% | 2/1/34 | 13,500 | 18,460 | |
Procter & Gamble Co. | 5.550% | 3/5/37 | 10,800 | 15,415 | |
Reynolds American Inc. | 7.000% | 8/4/41 | 5,119 | 6,668 | |
5 | Roche Holdings Inc. | 4.000% | 11/28/44 | 19,605 | 22,857 |
5 | SABMiller Holdings Inc. | 4.950% | 1/15/42 | 4,825 | 5,774 |
5 | SC Johnson & Son Inc. | 4.000% | 5/15/43 | 21,645 | 22,802 |
5 | SC Johnson & Son Inc. | 4.750% | 10/15/46 | 7,695 | 9,407 |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 1,000 | 1,241 | |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 25,090 | 28,008 | |
Teva Pharmaceutical Finance Netherlands III BV | 3.150% | 10/1/26 | 6,420 | 6,563 | |
Teva Pharmaceutical Finance Netherlands III BV | 4.100% | 10/1/46 | 3,705 | 3,815 | |
The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 1,700 | 2,472 | |
Tyson Foods Inc. | 4.875% | 8/15/34 | 2,000 | 2,272 | |
Wyeth LLC | 6.500% | 2/1/34 | 1,310 | 1,808 | |
Wyeth LLC | 6.000% | 2/15/36 | 847 | 1,146 | |
Wyeth LLC | 5.950% | 4/1/37 | 67,685 | 90,795 | |
Energy (4.4%) | |||||
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 12,215 | 14,128 | |
Apache Corp. | 4.750% | 4/15/43 | 11,000 | 11,016 | |
BP Capital Markets plc | 3.119% | 5/4/26 | 13,200 | 13,495 | |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 23,500 | 31,064 | |
ConocoPhillips | 7.000% | 3/30/29 | 10,850 | 13,146 | |
ConocoPhillips | 5.900% | 10/15/32 | 1,400 | 1,670 | |
ConocoPhillips | 6.500% | 2/1/39 | 44,831 | 55,890 | |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 1,500 | 1,767 | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 2,100 | 2,333 | |
ConocoPhillips Co. | 4.300% | 11/15/44 | 15,485 | 15,434 | |
ConocoPhillips Co. | 5.950% | 3/15/46 | 30,450 | 36,836 | |
Devon Energy Corp. | 5.600% | 7/15/41 | 1,500 | 1,443 | |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 1,575 | 1,746 |
85
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Energy Transfer Partners LP | 6.050% | 6/1/41 | 1,500 | 1,502 | |
Energy Transfer Partners LP | 5.150% | 3/15/45 | 7,000 | 6,350 | |
6,9 | Enterprise Products Operating LLC | 8.375% | 8/1/66 | 1,835 | 1,693 |
EOG Resources Inc. | 5.100% | 1/15/36 | 1,985 | 2,310 | |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 12,625 | 13,174 | |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 26,155 | 29,516 | |
Halliburton Co. | 4.850% | 11/15/35 | 30,815 | 33,062 | |
Halliburton Co. | 6.700% | 9/15/38 | 500 | 650 | |
Halliburton Co. | 7.450% | 9/15/39 | 500 | 698 | |
Halliburton Co. | 4.750% | 8/1/43 | 2,450 | 2,625 | |
Halliburton Co. | 5.000% | 11/15/45 | 33,515 | 36,283 | |
Occidental Petroleum Corp. | 4.625% | 6/15/45 | 1,750 | 1,975 | |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 17,220 | 18,887 | |
Petro-Canada | 6.800% | 5/15/38 | 15,483 | 19,925 | |
Phillips 66 Partners LP | 3.605% | 2/15/25 | 80 | 80 | |
Shell International Finance BV | 4.125% | 5/11/35 | 30,515 | 32,973 | |
Shell International Finance BV | 6.375% | 12/15/38 | 33,500 | 44,742 | |
Shell International Finance BV | 5.500% | 3/25/40 | 21,455 | 26,747 | |
Shell International Finance BV | 4.550% | 8/12/43 | 15,590 | 17,543 | |
Shell International Finance BV | 4.375% | 5/11/45 | 52,055 | 56,173 | |
Shell International Finance BV | 4.000% | 5/10/46 | 27,150 | 27,798 | |
Tosco Corp. | 7.800% | 1/1/27 | 1,500 | 1,976 | |
Tosco Corp. | 8.125% | 2/15/30 | 20,000 | 26,433 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 11,570 | 13,297 | |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 5,000 | 5,363 | |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 5,630 | 6,812 | |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 37,230 | 54,049 | |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 900 | 1,144 | |
Other Industrial (0.8%) | |||||
7 | Hutchison Whampoa Europe Finance 12 Ltd. | 3.625% | 6/6/22 | 329 | 427 |
Massachusetts Institute of Technology | 3.885% | 7/1/16 | 18,335 | 19,058 | |
6 | Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 25,200 | 29,130 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 1,100 | 1,601 | |
6 | Northwestern University Illinois GO | 4.643% | 12/1/44 | 25,315 | 32,677 |
6 | Northwestern University Illinois GO | 3.868% | 12/1/48 | 21,605 | 25,307 |
5 | President & Fellows of Harvard College Massachusetts | ||||
GO | 6.500% | 1/15/39 | 3,865 | 6,233 | |
Trustees of Dartmouth College | 3.474% | 6/1/46 | 5,360 | 5,944 | |
Technology (6.1%) | |||||
Analog Devices Inc. | 5.300% | 12/15/45 | 500 | 541 | |
Apple Inc. | 4.500% | 2/23/36 | 12,705 | 14,293 | |
Apple Inc. | 3.850% | 5/4/43 | 34,955 | 35,695 | |
Apple Inc. | 4.450% | 5/6/44 | 1,250 | 1,374 | |
Apple Inc. | 3.450% | 2/9/45 | 40,860 | 38,628 | |
Apple Inc. | 4.375% | 5/13/45 | 39,930 | 43,526 | |
Apple Inc. | 4.650% | 2/23/46 | 55,280 | 62,950 | |
Apple Inc. | 3.850% | 8/4/46 | 31,720 | 32,150 | |
Applied Materials Inc. | 5.100% | 10/1/35 | 100 | 117 | |
Applied Materials Inc. | 5.850% | 6/15/41 | 1,150 | 1,464 | |
Cisco Systems Inc. | 5.900% | 2/15/39 | 36,425 | 50,507 | |
Cisco Systems Inc. | 5.500% | 1/15/40 | 30,865 | 41,378 | |
5 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 170 | 192 |
5 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 170 | 195 |
Intel Corp. | 4.800% | 10/1/41 | 23,180 | 27,331 | |
Intel Corp. | 4.250% | 12/15/42 | 2,000 | 2,202 | |
Intel Corp. | 4.900% | 7/29/45 | 32,645 | 39,247 | |
Intel Corp. | 4.100% | 5/19/46 | 29,605 | 31,843 | |
International Business Machines Corp. | 4.000% | 6/20/42 | 13,900 | 15,116 | |
International Business Machines Corp. | 4.700% | 2/19/46 | 10,000 | 11,720 | |
Microsoft Corp. | 3.500% | 2/12/35 | 7,835 | 8,191 | |
Microsoft Corp. | 4.500% | 10/1/40 | 1,900 | 2,213 | |
Microsoft Corp. | 5.300% | 2/8/41 | 1,500 | 1,941 | |
Microsoft Corp. | 3.500% | 11/15/42 | 1,750 | 1,737 |
86
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Microsoft Corp. | 3.750% | 5/1/43 | 10,000 | 10,442 | |
Microsoft Corp. | 4.875% | 12/15/43 | 500 | 606 | |
Microsoft Corp. | 3.750% | 2/12/45 | 74,350 | 77,084 | |
Microsoft Corp. | 4.450% | 11/3/45 | 64,300 | 73,699 | |
Microsoft Corp. | 4.000% | 2/12/55 | 10,075 | 10,307 | |
Microsoft Corp. | 4.750% | 11/3/55 | 50,365 | 58,883 | |
Oracle Corp. | 4.300% | 7/8/34 | 3,500 | 3,810 | |
Oracle Corp. | 3.900% | 5/15/35 | 5,500 | 5,751 | |
Oracle Corp. | 3.850% | 7/15/36 | 2,000 | 2,058 | |
Oracle Corp. | 6.500% | 4/15/38 | 35,400 | 48,957 | |
Oracle Corp. | 6.125% | 7/8/39 | 12,129 | 16,163 | |
Oracle Corp. | 5.375% | 7/15/40 | 43,160 | 52,597 | |
Oracle Corp. | 4.125% | 5/15/45 | 17,500 | 18,288 | |
Oracle Corp. | 4.000% | 7/15/46 | 65,295 | 67,450 | |
Oracle Corp. | 4.375% | 5/15/55 | 25,000 | 26,308 | |
QUALCOMM Inc. | 4.650% | 5/20/35 | 21,085 | 23,165 | |
QUALCOMM Inc. | 4.800% | 5/20/45 | 500 | 558 | |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 525 | 747 | |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 2,000 | 2,170 | |
Transportation (2.2%) | |||||
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 15,000 | 20,382 | |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 6,000 | 7,445 | |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 2,266 | 2,777 | |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 17,940 | 20,823 | |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 31,150 | 36,079 | |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 11,200 | 13,162 | |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 26,560 | 33,115 | |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 43,085 | 51,652 | |
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 12,335 | 14,045 | |
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 7,265 | 8,017 | |
5 | ERAC USA Finance LLC | 7.000% | 10/15/37 | 3,650 | 5,081 |
FedEx Corp. | 3.900% | 2/1/35 | 9,070 | 9,574 | |
FedEx Corp. | 4.550% | 4/1/46 | 18,245 | 20,596 | |
7 | Heathrow Funding Ltd. | 1.500% | 2/11/32 | 900 | 1,017 |
Union Pacific Corp. | 3.375% | 2/1/35 | 6,950 | 7,218 | |
Union Pacific Corp. | 4.750% | 9/15/41 | 2,000 | 2,454 | |
Union Pacific Corp. | 4.750% | 12/15/43 | 19,010 | 23,480 | |
Union Pacific Corp. | 4.821% | 2/1/44 | 11,250 | 13,998 | |
Union Pacific Corp. | 4.150% | 1/15/45 | 1,375 | 1,570 | |
Union Pacific Corp. | 4.050% | 3/1/46 | 10,045 | 11,399 | |
Union Pacific Corp. | 4.375% | 11/15/65 | 22,680 | 25,409 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 8,700 | 12,868 | |
United Parcel Service Inc. | 4.875% | 11/15/40 | 2,700 | 3,530 | |
United Parcel Service Inc. | 3.625% | 10/1/42 | 6,790 | 7,374 | |
6,995,223 | |||||
Utilities (13.4%) | |||||
Electric (13.4%) | |||||
Alabama Power Co. | 6.000% | 3/1/39 | 4,875 | 6,554 | |
Alabama Power Co. | 5.500% | 3/15/41 | 26,943 | 34,837 | |
Alabama Power Co. | 5.200% | 6/1/41 | 15,000 | 18,975 | |
Alabama Power Co. | 3.750% | 3/1/45 | 22,325 | 23,789 | |
Appalachian Power Co. | 6.700% | 8/15/37 | 37,500 | 50,292 | |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 1,230 | 1,704 | |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 16,300 | 22,008 | |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 3,000 | 3,952 | |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 12,000 | 15,035 | |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 34,175 | 39,201 | |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 14,775 | 15,496 | |
5 | Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 135 | 149 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,450 | 3,259 | |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 20,805 | 22,314 | |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 12,560 | 15,211 | |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 15,955 | 19,540 |
87
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Commonwealth Edison Co. | 3.700% | 3/1/45 | 15,990 | 16,953 | |
Commonwealth Edison Co. | 3.650% | 6/15/46 | 5,725 | 6,070 | |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 14,500 | 19,904 | |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 940 | 1,095 | |
Connecticut Light & Power Co. | 4.150% | 6/1/45 | 8,445 | 9,637 | |
Consolidated Edison Co. of New York Inc. | 5.100% | 6/15/33 | 730 | 848 | |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 10,000 | 13,230 | |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 12,127 | 16,407 | |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 12,990 | 18,883 | |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 7,050 | 9,047 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 7,995 | 10,591 | |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 9,565 | 10,605 | |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 10,935 | 11,893 | |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 48,300 | 56,381 | |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 6,335 | 7,446 | |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 8,365 | 9,924 | |
Consumers Energy Co. | 4.100% | 11/15/45 | 1,500 | 1,729 | |
Dominion Resources Inc./VA | 4.700% | 12/1/44 | 18,505 | 20,961 | |
DTE Electric Co. | 6.625% | 6/1/36 | 860 | 1,243 | |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 8,200 | 11,333 | |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 51,000 | 68,934 | |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 4,900 | 6,372 | |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 16,200 | 18,648 | |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 41,242 | 45,582 | |
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 5,645 | 6,199 | |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 800 | 1,148 | |
Duke Energy Florida LLC | 5.650% | 4/1/40 | 11,860 | 15,963 | |
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 2,723 | 3,668 | |
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 818 | 1,176 | |
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 10,485 | 15,296 | |
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 14,700 | 16,565 | |
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 28,610 | 35,447 | |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 9,825 | 10,432 | |
Duke Energy Progress LLC | 4.100% | 5/15/42 | 2,250 | 2,515 | |
Duke Energy Progress LLC | 4.100% | 3/15/43 | 13,500 | 15,121 | |
Duke Energy Progress LLC | 4.150% | 12/1/44 | 10,000 | 11,416 | |
Duke Energy Progress LLC | 4.200% | 8/15/45 | 17,560 | 20,140 | |
5 | Emera US Finance LP | 4.750% | 6/15/46 | 1,000 | 1,095 |
5 | Enel Finance International NV | 6.000% | 10/7/39 | 1,000 | 1,215 |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 770 | 798 | |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 1,105 | 1,186 | |
FirstEnergy Corp. | 4.250% | 3/15/23 | 25 | 27 | |
Florida Power & Light Co. | 5.960% | 4/1/39 | 16,100 | 22,767 | |
Florida Power & Light Co. | 5.690% | 3/1/40 | 700 | 964 | |
Florida Power & Light Co. | 5.250% | 2/1/41 | 21,662 | 28,634 | |
Florida Power & Light Co. | 4.125% | 2/1/42 | 9,000 | 10,427 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 26,975 | 29,996 | |
Florida Power & Light Co. | 4.050% | 10/1/44 | 10,825 | 12,568 | |
Georgia Power Co. | 5.950% | 2/1/39 | 29,827 | 39,467 | |
Georgia Power Co. | 5.400% | 6/1/40 | 10,100 | 12,710 | |
Georgia Power Co. | 4.750% | 9/1/40 | 21,685 | 25,293 | |
Georgia Power Co. | 4.300% | 3/15/42 | 9,982 | 11,020 | |
Georgia Power Co. | 4.300% | 3/15/43 | 1,818 | 2,031 | |
6 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 22,253 | 26,513 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 1,000 | 1,267 | |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 1,000 | 1,221 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 500 | 676 | |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 28,300 | 35,456 | |
MidAmerican Energy Co. | 4.250% | 5/1/46 | 3,895 | 4,593 | |
National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 2,000 | 3,045 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 35,001 | 38,674 | |
Nevada Power Co. | 6.650% | 4/1/36 | 5,830 | 8,197 | |
Nevada Power Co. | 5.375% | 9/15/40 | 18,230 | 23,210 | |
Nevada Power Co. | 5.450% | 5/15/41 | 25,120 | 32,598 |
88
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Northern States Power Co. | 6.200% | 7/1/37 | 27,900 | 39,681 |
Northern States Power Co. | 5.350% | 11/1/39 | 800 | 1,065 |
NSTAR Electric Co. | 4.400% | 3/1/44 | 800 | 939 |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 500 | 594 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 44,041 | 58,830 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 2,900 | 3,837 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 8,192 | 11,425 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 35,905 | 49,972 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 19,495 | 25,240 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 700 | 809 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 1,700 | 2,141 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 25,260 | 30,508 |
PacifiCorp | 5.250% | 6/15/35 | 1,301 | 1,631 |
PacifiCorp | 6.100% | 8/1/36 | 15,000 | 20,655 |
PacifiCorp | 6.250% | 10/15/37 | 7,815 | 10,853 |
PacifiCorp | 6.350% | 7/15/38 | 20,000 | 28,565 |
PacifiCorp | 6.000% | 1/15/39 | 32,446 | 44,614 |
PacifiCorp | 4.100% | 2/1/42 | 22,570 | 25,625 |
Peco Energy Co. | 4.800% | 10/15/43 | 15,530 | 19,400 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,225 | 1,768 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 150 | 242 |
Potomac Electric Power Co. | 4.150% | 3/15/43 | 2,000 | 2,254 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 10,975 | 15,862 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,250 | 1,607 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 15,055 | 15,923 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 22,483 | 24,388 |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 700 | 801 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 200 | 254 |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 1,000 | 1,451 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 500 | 698 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,100 | 1,479 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 18,130 | 24,319 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 1,100 | 1,489 |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 400 | 471 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 34,000 | 46,134 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 10,600 | 14,133 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 300 | 380 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 32,687 | 36,405 |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 300 | 345 |
South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 5,010 | 5,466 |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 19,430 | 21,315 |
Southern California Edison Co. | 6.000% | 1/15/34 | 19,095 | 25,499 |
Southern California Edison Co. | 5.950% | 2/1/38 | 16,100 | 22,234 |
Southern California Edison Co. | 6.050% | 3/15/39 | 845 | 1,185 |
Southern California Edison Co. | 4.500% | 9/1/40 | 12,000 | 14,093 |
Southern California Edison Co. | 3.900% | 12/1/41 | 500 | 545 |
Southern California Edison Co. | 4.050% | 3/15/42 | 800 | 894 |
Southern California Edison Co. | 3.900% | 3/15/43 | 18,480 | 20,295 |
Southern California Edison Co. | 4.650% | 10/1/43 | 27,150 | 33,081 |
Southern Co. | 4.400% | 7/1/46 | 18,755 | 20,754 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 24,055 | 28,312 |
Tampa Electric Co. | 6.150% | 5/15/37 | 32,050 | 43,706 |
Tampa Electric Co. | 4.100% | 6/15/42 | 1,010 | 1,111 |
Union Electric Co. | 3.900% | 9/15/42 | 500 | 549 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 57,330 | 77,749 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 2,000 | 2,818 |
Westar Energy Inc. | 4.125% | 3/1/42 | 1,175 | 1,318 |
Westar Energy Inc. | 4.625% | 9/1/43 | 1,300 | 1,573 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 550 | 709 |
Natural Gas (0.0%) | ||||
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,500 | 1,659 |
Atmos Energy Corp. | 4.125% | 10/15/44 | 1,000 | 1,111 |
Southern California Gas Co. | 5.125% | 11/15/40 | 2,922 | 3,774 |
89
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Other Utility (0.0%) | |||||
American Water Capital Corp. | 6.593% | 10/15/37 | 1,000 | 1,476 | |
2,114,779 | |||||
Total Corporate Bonds (Cost $10,008,812) | 11,875,470 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (1.6%) | |||||
5 | CDP Financial Inc. | 5.600% | 11/25/39 | 15,000 | 20,537 |
5 | CNPC HK Overseas Capital Ltd. | 5.950% | 4/28/41 | 700 | 920 |
Ecopetrol SA | 5.875% | 5/28/45 | 605 | 535 | |
5 | Electricite de France SA | 4.950% | 10/13/45 | 41,390 | 47,623 |
Federative Republic of Brazil | 5.625% | 1/7/41 | 300 | 295 | |
Nexen Energy ULC | 6.400% | 5/15/37 | 1,800 | 2,350 | |
5 | OCP SA | 5.625% | 4/25/24 | 275 | 299 |
6 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 1,125 | 1,135 |
Pertamina Persero PT | 6.000% | 5/3/42 | 650 | 697 | |
5 | Pertamina Persero PT | 6.450% | 5/30/44 | 300 | 339 |
Petrobras Global Finance BV | 6.250% | 3/17/24 | 190 | 177 | |
Petrobras Global Finance BV | 8.750% | 5/23/26 | 360 | 377 | |
Petrobras International Finance Co. SA | 5.750% | 1/20/20 | 350 | 349 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 3,395 | 3,604 | |
5 | Petroleos Mexicanos | 6.375% | 2/4/21 | 365 | 401 |
Province of Ontario | 2.500% | 4/27/26 | 500 | 524 | |
Quebec | 7.500% | 9/15/29 | 11,025 | 16,782 | |
Republic of Colombia | 6.125% | 1/18/41 | 825 | 951 | |
6 | Republic of Colombia | 5.000% | 6/15/45 | 500 | 514 |
7 | Republic of Indonesia | 3.750% | 6/14/28 | 400 | 481 |
5 | Republic of Indonesia | 6.750% | 1/15/44 | 950 | 1,287 |
Republic of Kazakhstan | 4.875% | 10/14/44 | 650 | 645 | |
6 | Republic of Panama | 6.700% | 1/26/36 | 300 | 408 |
Republic of Peru | 5.625% | 11/18/50 | 250 | 318 | |
Republic of Poland | 5.125% | 4/21/21 | 3,200 | 3,644 | |
7 | Republic of Romania | 2.750% | 10/29/25 | 500 | 584 |
Republic of Turkey | 4.875% | 4/16/43 | 2,050 | 1,894 | |
5 | Sinopec Group Overseas Development 2016 Ltd. | 3.500% | 5/3/26 | 20,050 | 20,866 |
State of Israel | 2.875% | 3/16/26 | 155 | 161 | |
State of Israel | 4.500% | 1/30/43 | 4,300 | 4,843 | |
5 | State of Qatar | 4.625% | 6/2/46 | 21,035 | 22,534 |
Statoil ASA | 5.100% | 8/17/40 | 16,835 | 20,312 | |
Statoil ASA | 4.250% | 11/23/41 | 10,630 | 11,559 | |
Statoil ASA | 3.950% | 5/15/43 | 38,995 | 40,954 | |
Statoil ASA | 4.800% | 11/8/43 | 18,740 | 22,317 | |
5 | Temasek Financial I Ltd. | 3.375% | 7/23/42 | 2,900 | 3,198 |
United Mexican States | 4.750% | 3/8/44 | 475 | 511 | |
United Mexican States | 5.750% | 10/12/10 | 300 | 333 | |
Total Sovereign Bonds (Cost $229,712) | 255,258 | ||||
Taxable Municipal Bonds (13.8%) | |||||
Allentown PA Neighborhood Improvement Zone | |||||
Development Authority Revenue | 5.420% | 5/1/21 | 1,000 | 1,055 | |
Allentown PA Neighborhood Improvement Zone | |||||
Development Authority Revenue | 5.620% | 5/1/22 | 1,930 | 2,072 | |
American Municipal Power Ohio Inc. Revenue (Prairie | |||||
State Energy Campus Project) | 6.270% | 2/15/50 | 53,500 | 72,851 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 12,420 | 16,498 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 44,640 | 67,312 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 25,730 | 40,133 | |
Bay Area Toll Authority California Toll Bridge Revenue | |||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 13,775 | 22,967 | |
California GO | 7.500% | 4/1/34 | 16,555 | 25,897 |
90
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
California GO | 7.550% | 4/1/39 | 55,350 | 91,325 | |
California GO | 7.300% | 10/1/39 | 105,545 | 164,881 | |
California GO | 7.350% | 11/1/39 | 3,645 | 5,722 | |
California GO | 7.625% | 3/1/40 | 30,135 | 49,132 | |
California GO | 7.600% | 11/1/40 | 69,320 | 116,818 | |
California Public Works Board Lease Revenue (Various | |||||
Capital Projects) | 8.361% | 10/1/34 | 1,200 | 1,896 | |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 15,710 | 22,941 | |
Chicago IL Transit Authority Transfer Tax Receipts | |||||
Revenue | 6.899% | 12/1/40 | 4,680 | 6,194 | |
Chicago Transit Authority | 6.899% | 12/1/40 | 980 | 1,297 | |
10 | Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 5.197% | 6/1/26 | 19,975 | 23,116 | |
Commonwealth of Massachusetts | 3.277% | 6/1/46 | 8,425 | 8,966 | |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 200 | 298 | |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 755 | 1,032 | |
District of Columbia Water & Sewer Authority Public | |||||
Utility Revenue | 4.814% | 10/1/14 | 2,000 | 2,462 | |
Duke University North Carolina Revenue | 5.850% | 4/1/37 | 30,450 | 43,280 | |
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 3,000 | 3,396 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 42,080 | 58,127 | |
Grand Parkway Transportation Corp. Texas System Toll | |||||
Revenue | 5.184% | 10/1/42 | 1,500 | 2,004 | |
Houston TX GO | 6.290% | 3/1/32 | 23,110 | 29,892 | |
3 | Illinois GO | 5.100% | 6/1/33 | 25,955 | 25,394 |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 19,300 | 26,561 | |
Kansas Development Finance Authority Revenue | 4.727% | 4/15/37 | 2,500 | 2,841 | |
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 26,000 | 30,332 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 5.716% | 7/1/39 | 400 | 546 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.008% | 7/1/39 | 1,200 | 1,649 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.574% | 7/1/45 | 31,480 | 49,552 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.603% | 7/1/50 | 1,900 | 3,077 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 19,500 | 25,457 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 10,815 | 14,637 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 61,235 | 90,410 | |
Los Angeles County CA Metropolitan Transportation | |||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 15,100 | 20,454 | |
Mississippi GO | 5.539% | 10/1/29 | 1,500 | 1,944 | |
11 | New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 25,962 | 32,776 | |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 52,934 | 85,333 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 62,755 | 98,047 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 12,780 | 18,611 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 18,210 | 26,910 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 6,980 | 10,372 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 6.282% | 6/15/42 | 7,225 | 8,447 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 32,580 | 48,484 | |
New York City NY Transitional Finance Authority Future | |||||
Tax Revenue | 5.508% | 8/1/37 | 2,875 | 3,866 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 66,105 | 107,976 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 5,950 | 8,389 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.289% | 3/15/33 | 7,325 | 9,456 |
91
Vanguard® Long-Term Investment-Grade Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.628% | 3/15/39 | 19,595 | 26,558 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.600% | 3/15/40 | 2,000 | 2,770 | |
New York State GO | 5.590% | 3/1/35 | 1,000 | 1,292 | |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 26,971 | 42,669 | |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 12,300 | 15,934 | |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 20,231 | 23,666 | |
Oregon GO | 5.892% | 6/1/27 | 14,590 | 19,245 | |
12 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 10,000 | 11,929 |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 20,335 | 27,845 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 15,250 | 20,831 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 21,245 | 29,020 | |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 2,000 | 2,577 | |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 9,260 | 10,513 | |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 25,005 | 32,559 | |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 31,390 | 38,115 | |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 10,450 | 15,039 | |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 13,370 | 16,370 | |
San Francisco CA City & County Public Utilities | |||||
Commission Water Revenue | 6.950% | 11/1/50 | 1,400 | 2,228 | |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 3,690 | 4,786 | |
University of California | 3.931% | 5/15/45 | 17,840 | 19,622 | |
University of California Regents General Revenue | 4.601% | 5/15/31 | 11,165 | 13,252 | |
University of California Regents Medical Center | |||||
Revenue | 6.548% | 5/15/48 | 25,770 | 38,421 | |
University of California Regents Medical Center | |||||
Revenue | 6.583% | 5/15/49 | 8,695 | 12,965 | |
University of California Revenue | 5.770% | 5/15/43 | 5,155 | 7,144 | |
University of California Revenue | 4.765% | 5/15/44 | 9,290 | 10,239 | |
University of California Revenue | 4.858% | 5/15/12 | 31,025 | 36,044 | |
University of California Revenue | 4.767% | 5/15/15 | 14,875 | 16,928 | |
University of North Carolina at Chapel Hill | 3.327% | 12/1/36 | 9,715 | 10,809 | |
University of Texas System Revenue Financing System | |||||
Revenue | 5.262% | 7/1/39 | 11,500 | 15,945 | |
University of Texas System Revenue Financing System | |||||
Revenue | 4.794% | 8/15/46 | 8,915 | 11,628 | |
Washington GO | 5.481% | 8/1/39 | 900 | 1,244 | |
Washington University Revenue | 4.072% | 10/15/44 | 1,000 | 1,192 | |
10 | Wisconsin GO | 5.700% | 5/1/26 | 2,300 | 2,860 |
Total Taxable Municipal Bonds (Cost $1,665,875) | 2,175,324 | ||||
Shares | |||||
Temporary Cash Investments (4.6%) | |||||
Money Market Fund (2.5%) | |||||
13 | Vanguard Market Liquidity Fund | 0.561% | 391,119,683 | 391,120 | |
Face | |||||
Amount | |||||
($000) | |||||
Repurchase Agreements (2.1%) | |||||
Bank of America Securities, LLC | |||||
(Dated 7/29/16, Repurchase Value $37,901,000, | |||||
collateralized by Government National Mortgage | |||||
Assn. 4.000%, 3/20/46, with a value of $38,658,000) | 0.350% | 8/1/16 | 37,900 | 37,900 |
92
Vanguard® Long-Term Investment-Grade Fund | ||||
Schedule of Investments | ||||
July 31, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of Montreal | ||||
(Dated 7/29/16, Repurchase Value $91,002,000, | ||||
collateralized by Federal Home Loan Bank 2.000%, | ||||
6/30/31, Federal Home Loan Mortgage Corp. | ||||
3.000%-3.750%, 3/27/19-3/1/43, Federal National | ||||
Mortgage Assn. 1.625%-4.000%, 1/21/20-11/1/45, | ||||
Government National Mortgage Assn. 2.500%, | ||||
6/15/27, Federal Farm Credit Bank 1.560%-2.980%, | ||||
7/26/21-11/10/25, and U.S. Treasury Note/Bond | ||||
2.125%,8/15/21, with a value of $92,820,000) | 0.320% | 8/1/16 | 91,000 | 91,000 |
Barclays Capital Inc. | ||||
(Dated 7/29/16, Repurchase Value $51,201,000, | ||||
collateralized by U.S. Treasury Note/Bond 1.750%- | ||||
3.625%, 9/30/19-2/15/44, with a value of | ||||
$52,224,000) | 0.320% | 8/1/16 | 51,200 | 51,200 |
Citigroup Global Markets Inc. | ||||
(Dated 7/29/16, Repurchase Value $66,302,000, | ||||
collateralized by U.S. Treasury Note/Bond 1.125%, | ||||
4/30/20, with a value of $67,626,000) | 0.320% | 8/1/16 | 66,300 | 66,300 |
RBC Capital Markets LLC | ||||
(Dated 7/29/16, Repurchase Value $41,401,000, | ||||
collateralized by Federal Home Loan Mortgage Corp. | ||||
4.000%, 5/1/44, Federal National Mortgage Assn. | ||||
2.500%-3.500%, 6/1/28-7/1/46, and Government | ||||
National Mortgage Assn. 3.500%,10/20/45, with a | ||||
value of $42,228,000) | 0.320% | 8/1/16 | 41,400 | 41,400 |
Wells Fargo & Co. | ||||
(Dated 7/29/16, Repurchase Value $52,602,000, | ||||
collateralized by Federal Home Loan Mortgage Corp. | ||||
3.000%, 10/1/35, and Federal National Mortgage | ||||
Assn. 3.000%,1/1/43, with a value of $53,652,000) | 0.360% | 8/1/16 | 52,600 | 52,600 |
340,400 | ||||
Total Temporary Cash Investments (Cost $731,520) | 731,520 | |||
Total Investments (99.4%) (Cost $13,172,438) | 15,650,662 | |||
Expiration | ||||
Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 9/23/16 | 18 | (5) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $135.00 | 8/26/16 | 44 | (5) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $130.50 | 8/26/16 | 18 | (2) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $132.50 | 8/26/16 | 44 | (19) | |
Total Liability for Options Written (Premiums Received $61) | (31) | |||
Other Assets and Liabilities—Net (0.6%)14 | 87,219 | |||
Net Assets (100%) | 15,737,850 |
1 | Securities with a value of $45,490,000 have been segregated as initial margin for open cleared swap contracts. |
2 | Securities with a value of $358,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
3 | Securities with a value of $11,408,000 have been segregated as initial margin for open futures contracts. |
4 | 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. |
5 | 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, 2016, the aggregate value of these securities was $599,100,000, representing 3.8% of net assets. |
93
Vanguard® Long-Term Investment-Grade Fund
Schedule of Investments
July 31, 2016
6 | 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. |
7 | Face amount denominated in euro. |
8 | Face amount denominated in British pounds. |
9 | Adjustable-rate security. |
10 | Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation). |
11 | Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp. |
12 | Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation). |
13 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
14 | Cash of $3,450,000 have been segregated as initial margin for open futures contracts. GO—General Obligation Bond. |
94
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (2.9%) | |||||
U.S. Government Securities (2.9%) | |||||
United States Treasury Note/Bond | 1.000% | 8/31/16 | 27,750 | 27,763 | |
United States Treasury Note/Bond | 0.875% | 11/30/16 | 169,570 | 169,835 | |
1 | United States Treasury Note/Bond | 0.875% | 2/28/17 | 172,000 | 172,430 |
United States Treasury Note/Bond | 0.625% | 5/31/17 | 186,000 | 186,087 | |
Total U.S. Government and Agency Obligations (Cost $555,537) | 556,115 | ||||
Corporate Bonds (93.0%) | |||||
Finance (10.2%) | |||||
Banking (0.3%) | |||||
Royal Bank of Scotland Group plc | 6.125% | 12/15/22 | 52,705 | 56,171 | |
Finance Companies (7.4%) | |||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 3.750% | 5/15/19 | 47,800 | 49,413 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 4.500% | 5/15/21 | 57,835 | 61,811 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 5.000% | 10/1/21 | 22,830 | 24,913 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 4.625% | 7/1/22 | 18,925 | 20,344 | |
Aircastle Ltd. | 6.250% | 12/1/19 | 11,530 | 12,712 | |
Aircastle Ltd. | 5.125% | 3/15/21 | 1,020 | 1,095 | |
Aircastle Ltd. | 5.500% | 2/15/22 | 25,900 | 27,713 | |
Aircastle Ltd. | 5.000% | 4/1/23 | 41,450 | 43,522 | |
CIT Group Inc. | 5.250% | 3/15/18 | 102,005 | 105,830 | |
2 | CIT Group Inc. | 6.625% | 4/1/18 | 105,655 | 111,994 |
2 | CIT Group Inc. | 5.500% | 2/15/19 | 63,830 | 67,500 |
CIT Group Inc. | 3.875% | 2/19/19 | 33,380 | 33,964 | |
CIT Group Inc. | 5.375% | 5/15/20 | 83,950 | 88,777 | |
CIT Group Inc. | 5.000% | 8/15/22 | 36,429 | 38,342 | |
Homer City Generation LP | 8.734% | 10/1/26 | 115,318 | 38,055 | |
International Lease Finance Corp. | 3.875% | 4/15/18 | 18,585 | 19,096 | |
International Lease Finance Corp. | 5.875% | 4/1/19 | 47,435 | 51,526 | |
International Lease Finance Corp. | 6.250% | 5/15/19 | 70,781 | 77,594 | |
International Lease Finance Corp. | 8.250% | 12/15/20 | 51,121 | 61,729 | |
International Lease Finance Corp. | 4.625% | 4/15/21 | 29,400 | 31,495 | |
International Lease Finance Corp. | 8.625% | 1/15/22 | 29,100 | 36,593 | |
International Lease Finance Corp. | 5.875% | 8/15/22 | 2,605 | 2,970 | |
iStar Financial Inc. | 4.875% | 7/1/18 | 8,955 | 8,910 | |
iStar Financial Inc. | 5.000% | 7/1/19 | 42,440 | 41,485 | |
Navient Corp. | 8.450% | 6/15/18 | 34,385 | 37,437 | |
Navient Corp. | 5.500% | 1/15/19 | 88,795 | 91,126 | |
Navient Corp. | 8.000% | 3/25/20 | 63,325 | 67,758 | |
Navient Corp. | 5.875% | 3/25/21 | 5,000 | 4,950 | |
Navient Corp. | 6.625% | 7/26/21 | 10,230 | 10,332 | |
Navient Corp. | 7.250% | 1/25/22 | 43,900 | 44,888 | |
Navient Corp. | 5.500% | 1/25/23 | 38,420 | 35,731 | |
2 | OneMain Financial Holdings LLC | 6.750% | 12/15/19 | 9,560 | 9,656 |
SLM Corp. | 4.875% | 6/17/19 | 2,000 | 2,020 | |
Springleaf Finance Corp. | 5.250% | 12/15/19 | 6,995 | 6,785 | |
Springleaf Finance Corp. | 8.250% | 12/15/20 | 65,995 | 68,800 | |
Springleaf Finance Corp. | 7.750% | 10/1/21 | 15,910 | 15,771 | |
Insurance (1.7%) | |||||
2 | Liberty Mutual Group Inc. | 7.800% | 3/15/37 | 58,440 | 65,307 |
LifePoint Health Inc. | 5.875% | 12/1/23 | 54,045 | 57,017 | |
Radian Group Inc. | 7.000% | 3/15/21 | 44,865 | 49,351 | |
Unum Group | 7.375% | 6/15/32 | 6,295 | 7,777 | |
3 | Voya Financial Inc. | 5.650% | 5/15/53 | 87,753 | 84,682 |
WellCare Health Plans Inc. | 5.750% | 11/15/20 | 59,950 | 62,048 |
95
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Other Finance (0.3%) | |||||
CNO Financial Group Inc. | 4.500% | 5/30/20 | 4,865 | 5,059 | |
CNO Financial Group Inc. | 5.250% | 5/30/25 | 21,475 | 22,334 | |
2,4 | Lincoln Finance Ltd. | 6.875% | 4/15/21 | 8,805 | 10,632 |
2 | Lincoln Finance Ltd. | 7.375% | 4/15/21 | 15,975 | 17,158 |
Real Estate Investment Trusts (0.5%) | |||||
Felcor Lodging LP | 5.625% | 3/1/23 | 78,105 | 80,058 | |
Felcor Lodging LP | 6.000% | 6/1/25 | 21,640 | 22,289 | |
1,992,520 | |||||
Industrial (79.8%) | |||||
Basic Industry (6.7%) | |||||
AK Steel Corp. | 7.625% | 10/1/21 | 9,925 | 9,627 | |
AK Steel Corp. | 7.500% | 7/15/23 | 13,135 | 13,857 | |
2 | Anglo American Capital plc | 3.625% | 5/14/20 | 23,510 | 23,005 |
2 | Anglo American Capital plc | 4.125% | 4/15/21 | 27,840 | 27,005 |
2 | Anglo American Capital plc | 4.125% | 9/27/22 | 17,150 | 16,464 |
2 | Anglo American Capital plc | 4.875% | 5/14/25 | 43,250 | 42,385 |
ArcelorMittal | 5.125% | 6/1/20 | 9,600 | 9,936 | |
ArcelorMittal | 6.250% | 8/5/20 | 34,015 | 35,461 | |
ArcelorMittal | 6.500% | 3/1/21 | 7,280 | 7,680 | |
ArcelorMittal | 7.250% | 2/25/22 | 18,740 | 20,520 | |
ArcelorMittal | 6.125% | 6/1/25 | 21,830 | 23,194 | |
5,6 | Arch Coal Inc. Bank Loan | 7.500% | 5/16/18 | 108,409 | 48,378 |
5,6,7 | Arch Coal Inc. Bank Loan | 5.000% | 5/16/18 | 25,385 | 25,195 |
Axiall Corp. | 4.875% | 5/15/23 | 7,245 | 7,462 | |
2 | Cascades Inc. | 5.500% | 7/15/22 | 9,990 | 9,940 |
Chemours Co. | 6.625% | 5/15/23 | 85,270 | 73,972 | |
Chemours Co. | 7.000% | 5/15/25 | 16,535 | 14,137 | |
2,4 | Constellium NV | 4.625% | 5/15/21 | 3,745 | 3,524 |
2 | Constellium NV | 8.000% | 1/15/23 | 51,375 | 46,623 |
2 | Constellium NV | 5.750% | 5/15/24 | 15,447 | 12,570 |
Eagle Spinco Inc. | 4.625% | 2/15/21 | 23,555 | 24,262 | |
Freeport-McMoRan Inc. | 3.875% | 3/15/23 | 10,880 | 9,357 | |
Freeport-McMoRan Inc. | 4.550% | 11/14/24 | 31,670 | 27,236 | |
Freeport-McMoRan Inc. | 5.400% | 11/14/34 | 36,280 | 28,571 | |
Freeport-McMoRan Inc. | 5.450% | 3/15/43 | 73,355 | 57,400 | |
Hexion US Finance Corp. | 6.625% | 4/15/20 | 46,735 | 39,491 | |
2,4 | INEOS Group Holdings SA | 5.750% | 2/15/19 | 25,775 | 29,664 |
2 | INEOS Group Holdings SA | 5.875% | 2/15/19 | 41,500 | 42,641 |
2 | New Gold Inc. | 7.000% | 4/15/20 | 8,652 | 8,933 |
2 | New Gold Inc. | 6.250% | 11/15/22 | 3,360 | 3,436 |
Novelis Inc. | 8.375% | 12/15/17 | 40,790 | 41,606 | |
Novelis Inc. | 8.750% | 12/15/20 | 77,187 | 80,467 | |
Steel Dynamics Inc. | 5.125% | 10/1/21 | 41,770 | 43,545 | |
Steel Dynamics Inc. | 5.500% | 10/1/24 | 37,825 | 40,094 | |
Teck Resources Ltd. | 3.750% | 2/1/23 | 9,705 | 7,934 | |
2 | Teck Resources Ltd. | 8.500% | 6/1/24 | 37,555 | 40,747 |
Teck Resources Ltd. | 6.125% | 10/1/35 | 7,765 | 6,057 | |
Teck Resources Ltd. | 6.000% | 8/15/40 | 6,650 | 4,988 | |
Teck Resources Ltd. | 6.250% | 7/15/41 | 21,350 | 16,440 | |
Teck Resources Ltd. | 5.200% | 3/1/42 | 4,850 | 3,389 | |
Teck Resources Ltd. | 5.400% | 2/1/43 | 23,295 | 16,307 | |
United States Steel Corp. | 7.375% | 4/1/20 | 33,106 | 33,106 | |
United States Steel Corp. | 6.875% | 4/1/21 | 26,941 | 25,594 | |
2 | United States Steel Corp. | 8.375% | 7/1/21 | 67,725 | 73,990 |
United States Steel Corp. | 6.650% | 6/1/37 | 13,760 | 10,870 | |
2,4 | VWR Funding Inc. | 4.625% | 4/15/22 | 116,316 | 134,054 |
Capital Goods (9.3%) | |||||
2 | Ardagh Packaging Finance PLC / Ardagh Holdings USA | ||||
Inc. | 7.250% | 5/15/24 | 70,023 | 73,874 | |
2 | Ashtead Capital Inc. | 6.500% | 7/15/22 | 28,180 | 29,730 |
Ball Corp. | 4.375% | 12/15/20 | 27,255 | 29,163 |
96
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ball Corp. | 4.375% | 12/15/23 | 17,385 | 21,603 |
Berry Plastics Corp. | 5.500% | 5/15/22 | 1,940 | 2,027 | |
Berry Plastics Corp. | 5.125% | 7/15/23 | 1,940 | 2,003 | |
Berry Plastics Escrow LLC/Berry Plastics Escrow Corp. | 6.000% | 10/15/22 | 22,195 | 23,555 | |
2 | BlueLine Rental Finance Corp. | 7.000% | 2/1/19 | 29,732 | 27,428 |
Case New Holland Inc. | 7.875% | 12/1/17 | 91,500 | 98,248 | |
2 | Cemex Finance LLC | 6.000% | 4/1/24 | 21,210 | 21,634 |
2 | Cemex SAB de CV | 6.125% | 5/5/25 | 111,200 | 114,119 |
2 | Cemex SAB de CV | 7.750% | 4/16/26 | 24,265 | 26,869 |
Clean Harbors Inc. | 5.250% | 8/1/20 | 62,913 | 64,486 | |
Clean Harbors Inc. | 5.125% | 6/1/21 | 57,864 | 59,238 | |
CNH Industrial Capital LLC | 3.625% | 4/15/18 | 34,260 | 34,603 | |
CNH Industrial Capital LLC | 3.875% | 7/16/18 | 22,025 | 22,300 | |
CNH Industrial Capital LLC | 3.375% | 7/15/19 | 8,988 | 9,011 | |
CNH Industrial Capital LLC | 4.375% | 11/6/20 | 76,545 | 78,554 | |
CNH Industrial Capital LLC | 4.875% | 4/1/21 | 38,105 | 40,010 | |
Eagle Materials Inc. | 4.500% | 8/1/26 | 6,305 | 6,400 | |
2 | HD Supply Inc. | 5.250% | 12/15/21 | 33,895 | 35,971 |
2 | HD Supply Inc. | 5.750% | 4/15/24 | 9,300 | 9,881 |
2 | Huntington Ingalls Industries Inc. | 5.000% | 11/15/25 | 12,590 | 13,471 |
Masco Corp. | 7.125% | 3/15/20 | 52,416 | 60,868 | |
Masco Corp. | 7.750% | 8/1/29 | 16,486 | 19,701 | |
Masco Corp. | 6.500% | 8/15/32 | 5,880 | 6,409 | |
Owens Corning | 9.000% | 6/15/19 | 4,142 | 4,761 | |
Owens Corning | 7.000% | 12/1/36 | 5,380 | 6,735 | |
2 | Owens-Brockway Glass Container Inc. | 5.875% | 8/15/23 | 29,295 | 31,565 |
2 | Owens-Brockway Glass Container Inc. | 6.375% | 8/15/25 | 11,675 | 12,813 |
PulteGroup Inc. | 5.500% | 3/1/26 | 34,885 | 36,629 | |
2 | Rexel SA | 5.250% | 6/15/20 | 5,130 | 5,335 |
Reynolds Group Issuer Inc. / Reynolds Group Issuer | |||||
LLC / Reynolds Group Issuer Lu | 5.750% | 10/15/20 | 31,580 | 32,606 | |
Reynolds Group Issuer Inc. / Reynolds Group Issuer | |||||
LLC / Reynolds Group Issuer Lu | 6.875% | 2/15/21 | 38,716 | 40,168 | |
Reynolds Group Issuer Inc. / Reynolds Group Issuer | |||||
LLC / Reynolds Group Issuer Lu | 8.250% | 2/15/21 | 76,690 | 79,949 | |
2 | Reynolds Group Issuer Inc. / Reynolds Group Issuer | ||||
LLC / Reynolds Group Issuer Lu | 5.125% | 7/15/23 | 49,930 | 51,553 | |
2 | Reynolds Group Issuer Inc. / Reynolds Group Issuer | ||||
LLC / Reynolds Group Issuer Lu | 7.000% | 7/15/24 | 14,670 | 15,514 | |
2 | Signode Industrial Group Lux SA/Signode Industrial | ||||
Group US Inc. | 6.375% | 5/1/22 | 35,245 | 35,179 | |
2 | Standard Industries Inc. | 5.500% | 2/15/23 | 9,705 | 10,142 |
2 | Standard Industries Inc. | 5.375% | 11/15/24 | 36,177 | 37,986 |
2 | Standard Industries Inc. | 6.000% | 10/15/25 | 139,715 | 151,067 |
Terex Corp. | 6.000% | 5/15/21 | 44,300 | 44,965 | |
TransDigm Inc. | 6.000% | 7/15/22 | 44,150 | 45,695 | |
TransDigm Inc. | 6.500% | 7/15/24 | 48,165 | 50,212 | |
United Rentals North America Inc. | 7.375% | 5/15/20 | 16,783 | 17,433 | |
United Rentals North America Inc. | 7.625% | 4/15/22 | 50,245 | 53,511 | |
United Rentals North America Inc. | 6.125% | 6/15/23 | 11,580 | 12,145 | |
United Rentals North America Inc. | 4.625% | 7/15/23 | 22,111 | 22,553 | |
United Rentals North America Inc. | 5.500% | 7/15/25 | 33,095 | 34,005 | |
United Rentals North America Inc. | 5.875% | 9/15/26 | 28,765 | 29,844 | |
2 | USG Corp. | 5.500% | 3/1/25 | 8,590 | 9,159 |
Vulcan Materials Co. | 7.150% | 11/30/37 | 7,270 | 8,886 | |
Communication (25.1%) | |||||
2 | Altice Financing SA | 6.625% | 2/15/23 | 47,121 | 47,239 |
2 | Altice US Finance I Corp. | 5.500% | 5/15/26 | 63,145 | 65,118 |
2 | Bankrate Inc. | 6.125% | 8/15/18 | 12,945 | 13,107 |
Belo Corp. | 7.750% | 6/1/27 | 6,820 | 7,280 | |
Belo Corp. | 7.250% | 9/15/27 | 20,515 | 21,489 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.250% | 3/15/21 | 8,380 | 8,715 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.250% | 9/30/22 | 12,635 | 13,109 |
97
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.125% | 2/15/23 | 13,406 | 13,842 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.125% | 5/1/23 | 97,010 | 100,163 |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.750% | 9/1/23 | 33,450 | 35,122 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | 5.750% | 1/15/24 | 4,855 | 5,098 | |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.375% | 5/1/25 | 79,205 | 82,373 |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.750% | 2/15/26 | 47,140 | 49,733 |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.500% | 5/1/26 | 56,250 | 58,500 |
2 | CCO Holdings LLC / CCO Holdings Capital Corp. | 5.875% | 5/1/27 | 24,255 | 25,589 |
2 | CCO Safari II LLC | 6.484% | 10/23/45 | 44,215 | 52,844 |
2 | Cequel Communications Holdings I LLC / Cequel | ||||
Capital Corp. | 5.125% | 12/15/21 | 59,340 | 58,895 | |
2 | Columbus International Inc. | 7.375% | 3/30/21 | 61,345 | 65,409 |
CSC Holdings LLC | 7.875% | 2/15/18 | 9,220 | 9,911 | |
CSC Holdings LLC | 7.625% | 7/15/18 | 41,145 | 44,385 | |
CSC Holdings LLC | 8.625% | 2/15/19 | 25,520 | 28,391 | |
CSC Holdings LLC | 6.750% | 11/15/21 | 48,604 | 51,581 | |
DISH DBS Corp. | 6.750% | 6/1/21 | 152,345 | 161,867 | |
DISH DBS Corp. | 5.875% | 7/15/22 | 94,575 | 94,811 | |
DISH DBS Corp. | 5.000% | 3/15/23 | 15,135 | 14,303 | |
DISH DBS Corp. | 5.875% | 11/15/24 | 8,045 | 7,763 | |
2 | DISH DBS Corp. | 7.750% | 7/1/26 | 78,400 | 81,536 |
Embarq Corp. | 7.995% | 6/1/36 | 23,035 | 23,970 | |
Frontier Communications Corp. | 11.000% | 9/15/25 | 66,715 | 71,302 | |
Gannett Co. Inc. | 5.125% | 7/15/20 | 64,680 | 67,105 | |
2 | Gannett Co. Inc. | 4.875% | 9/15/21 | 12,990 | 13,477 |
Gannett Co. Inc. | 6.375% | 10/15/23 | 66,721 | 71,892 | |
2 | Gannett Co. Inc. | 5.500% | 9/15/24 | 6,880 | 7,276 |
2 | Gray Television Inc. | 5.875% | 7/15/26 | 13,560 | 13,950 |
Hughes Satellite Systems Corp. | 6.500% | 6/15/19 | 43,328 | 46,903 | |
2 | Inmarsat Finance plc | 4.875% | 5/15/22 | 34,230 | 31,848 |
Lamar Media Corp. | 5.000% | 5/1/23 | 33,940 | 35,425 | |
Lamar Media Corp. | 5.375% | 1/15/24 | 3,885 | 4,099 | |
2 | Lamar Media Corp. | 5.750% | 2/1/26 | 5,740 | 6,156 |
Level 3 Escrow II Inc. | 5.375% | 8/15/22 | 75,480 | 79,254 | |
Level 3 Financing Inc. | 5.625% | 2/1/23 | 26,620 | 27,951 | |
Level 3 Financing Inc. | 5.125% | 5/1/23 | 36,380 | 37,562 | |
Level 3 Financing Inc. | 5.375% | 1/15/24 | 13,050 | 13,670 | |
Level 3 Financing Inc. | 5.375% | 5/1/25 | 36,380 | 38,199 | |
2 | Level 3 Financing Inc. | 5.250% | 3/15/26 | 48,500 | 50,804 |
Liberty Interactive LLC | 8.500% | 7/15/29 | 42,553 | 46,808 | |
Liberty Interactive LLC | 8.250% | 2/1/30 | 126,903 | 139,593 | |
MetroPCS Wireless Inc. | 6.625% | 11/15/20 | 70,940 | 73,246 | |
National CineMedia LLC | 6.000% | 4/15/22 | 32,455 | 33,753 | |
2 | NBCUniversal Enterprise Inc. | 5.250% | 3/29/49 | 62,790 | 65,929 |
Netflix Inc. | 5.500% | 2/15/22 | 30,950 | 32,962 | |
Netflix Inc. | 5.875% | 2/15/25 | 96,935 | 103,478 | |
2 | Nielsen Finance LLC / Nielsen Finance Co. | 5.000% | 4/15/22 | 128,155 | 132,320 |
2 | Numericable Group SA | 6.000% | 5/15/22 | 37,955 | 36,911 |
2 | Numericable-SFR SA | 7.375% | 5/1/26 | 51,640 | 51,575 |
Quebecor Media Inc. | 5.750% | 1/15/23 | 79,855 | 83,249 | |
Qwest Corp. | 6.875% | 9/15/33 | 25,162 | 25,162 | |
SBA Communications Corp. | 4.875% | 7/15/22 | 50,220 | 51,601 | |
SBA Telecommunications Inc. | 5.750% | 7/15/20 | 33,911 | 34,928 | |
Sinclair Television Group Inc. | 6.125% | 10/1/22 | 6,795 | 7,135 | |
2 | Sinclair Television Group Inc. | 5.625% | 8/1/24 | 3,880 | 4,016 |
2 | Sinclair Television Group Inc. | 5.875% | 3/15/26 | 90,410 | 94,930 |
2 | Sirius XM Radio Inc. | 4.250% | 5/15/20 | 8,595 | 8,767 |
2 | Sirius XM Radio Inc. | 4.625% | 5/15/23 | 11,110 | 11,096 |
2 | Sirius XM Radio Inc. | 6.000% | 7/15/24 | 38,712 | 41,180 |
2 | Sirius XM Radio Inc. | 5.375% | 4/15/25 | 12,513 | 12,795 |
2 | Softbank Corp. | 4.500% | 4/15/20 | 159,095 | 165,268 |
Sprint Capital Corp. | 8.750% | 3/15/32 | 11,230 | 10,542 | |
Sprint Corp. | 7.250% | 9/15/21 | 83,575 | 77,934 | |
Sprint Corp. | 7.875% | 9/15/23 | 142,640 | 130,516 |
98
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Sprint Corp. | 7.125% | 6/15/24 | 29,945 | 26,614 | |
Sprint Corp. | 7.625% | 2/15/25 | 40,435 | 36,341 | |
2 | Sprint Nextel Corp. | 9.000% | 11/15/18 | 112,545 | 121,971 |
2 | Sprint Nextel Corp. | 7.000% | 3/1/20 | 135,830 | 144,150 |
T-Mobile USA Inc. | 5.250% | 9/1/18 | 10,110 | 10,300 | |
T-Mobile USA Inc. | 6.633% | 4/28/21 | 71,475 | 75,049 | |
Telecom Italia Capital SA | 6.375% | 11/15/33 | 12,326 | 12,480 | |
Telecom Italia Capital SA | 6.000% | 9/30/34 | 33,530 | 33,195 | |
Telecom Italia Capital SA | 7.721% | 6/4/38 | 42,725 | 45,929 | |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 2,050 | 2,294 | |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 65,846 | 71,313 | |
5,6 | Tribune Company Bank Loan | 3.750% | 12/27/20 | 57,769 | 57,793 |
Tribune Media Co. | 5.875% | 7/15/22 | 75,750 | 77,265 | |
2 | Unitymedia Hessen GmbH & Co. KG / Unitymedia | ||||
NRW GmbH | 5.500% | 1/15/23 | 31,060 | 32,613 | |
2 | Univision Communications Inc. | 5.125% | 5/15/23 | 17,900 | 18,392 |
2 | Univision Communications Inc. | 5.125% | 2/15/25 | 126,080 | 129,547 |
2 | UPCB Finance V Ltd. | 7.250% | 11/15/21 | 36,896 | 38,740 |
2 | UPCB Finance VI Ltd. | 6.875% | 1/15/22 | 28,832 | 30,490 |
Videotron Ltd. | 5.000% | 7/15/22 | 97,684 | 100,370 | |
2 | Videotron Ltd. | 5.375% | 6/15/24 | 8,633 | 8,892 |
2 | Virgin Media Secured Finance plc | 5.375% | 4/15/21 | 42,489 | 44,135 |
2 | Virgin Media Secured Finance plc | 5.500% | 1/15/25 | 19,910 | 20,358 |
2 | Virgin Media Secured Finance plc | 5.500% | 8/15/26 | 10,225 | 10,289 |
2 | VTR Finance BV | 6.875% | 1/15/24 | 88,555 | 91,544 |
2 | Wind Acquisition Finance SA | 4.750% | 7/15/20 | 68,850 | 68,506 |
2 | Wind Acquisition Finance SA | 7.375% | 4/23/21 | 65,000 | 64,675 |
2 | WMG Acquisition Corp. | 6.750% | 4/15/22 | 19,890 | 20,884 |
2 | WMG Acquisition Corp. | 5.000% | 8/1/23 | 16,585 | 16,792 |
Zayo Group LLC / Zayo Capital Inc. | 6.000% | 4/1/23 | 104,300 | 108,733 | |
Zayo Group LLC / Zayo Capital Inc. | 6.375% | 5/15/25 | 46,170 | 48,363 | |
Consumer Cyclical (6.7%) | |||||
2 | Activision Blizzard Inc. | 6.125% | 9/15/23 | 48,570 | 53,002 |
American Axle & Manufacturing Inc. | 6.625% | 10/15/22 | 42,625 | 45,183 | |
2 | Carlson Travel Holdings Inc. | 7.500% | 8/15/19 | 25,375 | 25,026 |
2 | Carlson Wagonlit BV | 6.875% | 6/15/19 | 76,610 | 79,291 |
Cedar Fair LP / Canada's Wonderland Co. / | |||||
MagnumManagement Corp. | 5.375% | 6/1/24 | 25,675 | 26,830 | |
Dana Holding Corp. | 5.375% | 9/15/21 | 16,781 | 17,410 | |
Dana Holding Corp. | 5.500% | 12/15/24 | 34,460 | 35,063 | |
5,6 | Delta Alpha Topco Bank Loan | 7.750% | 7/29/22 | 51,730 | 50,652 |
GLP Capital LP / GLP Financing II Inc. | 4.375% | 4/15/21 | 3,475 | 3,614 | |
GLP Capital LP / GLP Financing II Inc. | 5.375% | 4/15/26 | 60,235 | 64,150 | |
Group 1 Automotive Inc. | 5.000% | 6/1/22 | 44,170 | 44,060 | |
2 | Group 1 Automotive Inc. | 5.250% | 12/15/23 | 34,460 | 34,374 |
2 | Hanesbrands Inc. | 4.625% | 5/15/24 | 24,270 | 24,846 |
2 | Hanesbrands Inc. | 4.875% | 5/15/26 | 24,510 | 25,215 |
5,6 | Ion Media Networks Bank Loan | 4.750% | 12/18/20 | 43,382 | 43,508 |
KB Home | 4.750% | 5/15/19 | 25,825 | 26,342 | |
KB Home | 8.000% | 3/15/20 | 3,920 | 4,332 | |
KB Home | 7.000% | 12/15/21 | 5,000 | 5,300 | |
KB Home | 7.500% | 9/15/22 | 6,935 | 7,360 | |
KB Home | 7.625% | 5/15/23 | 41,775 | 44,282 | |
2 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of | ||||
America LLC | 5.000% | 6/1/24 | 27,130 | 28,283 | |
2 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of | ||||
America LLC | 5.250% | 6/1/26 | 25,340 | 26,797 | |
L Brands Inc. | 7.000% | 5/1/20 | 18,505 | 21,165 | |
L Brands Inc. | 6.625% | 4/1/21 | 42,435 | 48,588 | |
5,6 | La Quinta Intermediate Holdings LLC Bank Loan | 3.750% | 4/14/21 | 55,357 | 54,758 |
Lennar Corp. | 4.750% | 4/1/21 | 24,260 | 25,534 | |
Lennar Corp. | 4.875% | 12/15/23 | 19,825 | 20,395 | |
Neiman Marcus Group Inc. | 7.125% | 6/1/28 | 64,195 | 60,664 |
99
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Penske Automotive Group Inc. | 5.750% | 10/1/22 | 12,930 | 13,172 | |
Penske Automotive Group Inc. | 5.375% | 12/1/24 | 27,070 | 26,799 | |
Sally Holdings LLC / Sally Capital Inc. | 5.750% | 6/1/22 | 22,170 | 23,112 | |
Sally Holdings LLC / Sally Capital Inc. | 5.625% | 12/1/25 | 21,380 | 22,930 | |
Service Corp. International | 5.375% | 1/15/22 | 27,630 | 29,012 | |
2 | Shea Homes LP / Shea Homes Funding Corp. | 5.875% | 4/1/23 | 14,550 | 14,841 |
2 | Shea Homes LP / Shea Homes Funding Corp. | 6.125% | 4/1/25 | 14,550 | 14,859 |
Sonic Automotive Inc. | 7.000% | 7/15/22 | 970 | 1,023 | |
Sonic Automotive Inc. | 5.000% | 5/15/23 | 8,780 | 8,670 | |
Toll Brothers Finance Corp. | 4.875% | 11/15/25 | 9,595 | 9,835 | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. | 5.375% | 3/15/22 | 117,525 | 121,051 | |
2 | ZF North America Capital Inc. | 4.500% | 4/29/22 | 15,355 | 15,969 |
2 | ZF North America Capital Inc. | 4.750% | 4/29/25 | 61,220 | 64,128 |
Consumer Noncyclical (11.7%) | |||||
Alere Inc. | 6.500% | 6/15/20 | 15,925 | 15,607 | |
2 | Alere Inc. | 6.375% | 7/1/23 | 37,345 | 37,392 |
Amsurg Corp. | 5.625% | 7/15/22 | 81,010 | 85,060 | |
ARAMARK Corp. | 5.750% | 3/15/20 | 8,992 | 9,251 | |
Aramark Services Inc. | 5.125% | 1/15/24 | 13,015 | 13,438 | |
2 | Aramark Services Inc. | 5.125% | 1/15/24 | 19,420 | 20,051 |
2 | Aramark Services Inc. | 4.750% | 6/1/26 | 19,420 | 19,566 |
2 | Capsugel SA | 7.000% | 5/15/19 | 36,070 | 36,386 |
CHS/Community Health Systems Inc. | 7.125% | 7/15/20 | 33,665 | 30,972 | |
CHS/Community Health Systems Inc. | 5.125% | 8/1/21 | 15,235 | 15,197 | |
CHS/Community Health Systems Inc. | 6.875% | 2/1/22 | 173,590 | 149,721 | |
2 | Endo Finance LLC / Endo Finco Inc. | 6.000% | 2/1/25 | 79,855 | 69,075 |
2 | Endo Finance LLC / Endo Ltd. / Endo Finco Inc. | 6.000% | 7/15/23 | 106,343 | 93,316 |
2 | Envision Healthcare Corp. | 5.125% | 7/1/22 | 86,215 | 87,724 |
Grifols Worldwide Operations Ltd. | 5.250% | 4/1/22 | 50,370 | 52,511 | |
HCA Holdings Inc. | 6.250% | 2/15/21 | 27,980 | 30,358 | |
HCA Inc. | 6.500% | 2/15/20 | 127,050 | 139,755 | |
HCA Inc. | 5.875% | 3/15/22 | 60,405 | 66,445 | |
HCA Inc. | 4.750% | 5/1/23 | 72,500 | 75,581 | |
HCA Inc. | 5.875% | 5/1/23 | 10,000 | 10,725 | |
HCA Inc. | 5.375% | 2/1/25 | 19,375 | 20,247 | |
HCA Inc. | 5.250% | 4/15/25 | 45,000 | 48,037 | |
HCA Inc. | 7.690% | 6/15/25 | 4,510 | 4,984 | |
HCA Inc. | 5.875% | 2/15/26 | 64,000 | 68,480 | |
HCA Inc. | 5.250% | 6/15/26 | 31,895 | 33,888 | |
2 | IMS Health Inc. | 6.000% | 11/1/20 | 93,781 | 95,891 |
Kinetic Concepts Inc / KCI USA Inc | 10.500% | 11/1/18 | 70,000 | 71,487 | |
2 | Kinetic Concepts Inc / KCI USA Inc. | 7.875% | 2/15/21 | 52,240 | 56,615 |
5,6 | Lands' End, Inc. Bank Loan | 4.250% | 3/12/21 | 85,866 | 66,975 |
2 | LifePoint Health Inc. | 5.375% | 5/1/24 | 4,690 | 4,796 |
LifePoint Hospitals Inc. | 5.500% | 12/1/21 | 42,661 | 44,634 | |
2 | MEDNAX Inc. | 5.250% | 12/1/23 | 19,125 | 19,938 |
2 | MPH Acquisition Holdings LLC | 7.125% | 6/1/24 | 9,780 | 10,465 |
2 | Post Holdings Inc. | 5.000% | 8/15/26 | 85,940 | 85,618 |
2 | Quintiles Transnational Holdings Inc. | 4.875% | 5/15/23 | 24,350 | 25,080 |
Revlon Consumer Products Corp. | 5.750% | 2/15/21 | 19,165 | 19,452 | |
5,6,7 | Revlon Consumer Products Corporation Bank Loan | 0.000% | 7/21/23 | 26,645 | 26,612 |
2 | Revlon Escrow Corp. | 6.250% | 8/1/24 | 51,030 | 51,540 |
2 | Sterigenics-Nordion Holdings LLC | 6.500% | 5/15/23 | 50,310 | 52,197 |
Tempur Sealy International Inc. | 5.625% | 10/15/23 | 12,425 | 12,860 | |
Tenet Healthcare Corp. | 5.000% | 3/1/19 | 43,950 | 42,412 | |
Tenet Healthcare Corp. | 5.500% | 3/1/19 | 24,215 | 24,033 | |
Tenet Healthcare Corp. | 4.750% | 6/1/20 | 16,875 | 17,191 | |
Tenet Healthcare Corp. | 4.500% | 4/1/21 | 42,147 | 42,516 | |
Tenet Healthcare Corp. | 4.375% | 10/1/21 | 106,480 | 106,480 | |
Tenet Healthcare Corp. | 8.125% | 4/1/22 | 87,825 | 90,899 | |
THC Escrow Corp. II | 6.750% | 6/15/23 | 18,850 | 18,190 | |
2 | Vizient Inc. | 10.375% | 3/1/24 | 66,512 | 74,992 |
100
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Energy (9.9%) | |||||
AmeriGas Finance LLC / AmeriGas Finance Corp. | 7.000% | 5/20/22 | 47,695 | 50,199 | |
AmeriGas Finance LLC / AmeriGas Finance Corp. | 5.625% | 5/20/24 | 46,910 | 48,552 | |
AmeriGas Finance LLC / AmeriGas Finance Corp. | 5.875% | 8/20/26 | 46,910 | 48,786 | |
Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 4,780 | 5,233 | |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 24,145 | 26,128 | |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 7,915 | 9,154 | |
Antero Resources Corp. | 5.125% | 12/1/22 | 48,330 | 45,068 | |
Concho Resources Inc. | 7.000% | 1/15/21 | 15,256 | 15,752 | |
Concho Resources Inc. | 6.500% | 1/15/22 | 19,940 | 20,339 | |
Concho Resources Inc. | 5.500% | 10/1/22 | 85,170 | 84,105 | |
Concho Resources Inc. | 5.500% | 4/1/23 | 37,775 | 37,303 | |
Continental Resources Inc. | 5.000% | 9/15/22 | 110,959 | 103,747 | |
Continental Resources Inc. | 4.500% | 4/15/23 | 55,805 | 50,225 | |
Continental Resources Inc. | 3.800% | 6/1/24 | 16,770 | 14,338 | |
Continental Resources Inc. | 4.900% | 6/1/44 | 23,196 | 18,441 | |
2 | DCP Midstream LLC | 9.750% | 3/15/19 | 15,000 | 16,575 |
2 | DCP Midstream LLC | 5.350% | 3/15/20 | 11,125 | 11,153 |
DCP Midstream Operating LP | 2.700% | 4/1/19 | 19,675 | 18,986 | |
DCP Midstream Operating LP | 4.950% | 4/1/22 | 45,799 | 45,799 | |
DCP Midstream Operating LP | 3.875% | 3/15/23 | 10,575 | 9,941 | |
DCP Midstream Operating LP | 5.600% | 4/1/44 | 26,895 | 24,474 | |
Energy Transfer Equity LP | 7.500% | 10/15/20 | 76,385 | 82,305 | |
Energy Transfer Equity LP | 5.500% | 6/1/27 | 78,795 | 76,234 | |
Ferrellgas LP / Ferrellgas Finance Corp. | 6.500% | 5/1/21 | 73,031 | 65,728 | |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 32,686 | 37,954 | |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 26,290 | 30,752 | |
Laredo Petroleum Inc. | 5.625% | 1/15/22 | 49,750 | 45,273 | |
Laredo Petroleum Inc. | 7.375% | 5/1/22 | 17,860 | 17,547 | |
Laredo Petroleum Inc. | 6.250% | 3/15/23 | 63,705 | 57,972 | |
Marathon Oil Corp. | 3.850% | 6/1/25 | 39,540 | 35,883 | |
Marathon Oil Corp. | 6.800% | 3/15/32 | 8,295 | 8,461 | |
Marathon Oil Corp. | 6.600% | 10/1/37 | 9,850 | 10,170 | |
Marathon Oil Corp. | 5.200% | 6/1/45 | 13,170 | 11,590 | |
Matador Resources Co. | 6.875% | 4/15/23 | 46,190 | 47,229 | |
2 | MEG Energy Corp. | 6.500% | 3/15/21 | 16,537 | 12,279 |
2 | MEG Energy Corp. | 6.375% | 1/30/23 | 30,650 | 21,838 |
2 | MEG Energy Corp. | 7.000% | 3/31/24 | 47,348 | 34,682 |
2 | MPLX LP | 4.875% | 12/1/24 | 43,935 | 43,496 |
2 | MPLX LP | 4.875% | 6/1/25 | 87,120 | 86,902 |
Newfield Exploration Co. | 5.750% | 1/30/22 | 10,890 | 10,836 | |
Newfield Exploration Co. | 5.625% | 7/1/24 | 13,045 | 12,817 | |
QEP Resources Inc. | 6.800% | 3/1/20 | 7,370 | 7,425 | |
QEP Resources Inc. | 6.875% | 3/1/21 | 15,540 | 15,618 | |
QEP Resources Inc. | 5.375% | 10/1/22 | 7,620 | 7,315 | |
QEP Resources Inc. | 5.250% | 5/1/23 | 14,855 | 14,075 | |
Rice Energy Inc. | 7.250% | 5/1/23 | 31,365 | 31,365 | |
2 | Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 41,960 | 42,799 |
SM Energy Co. | 6.500% | 11/15/21 | 3,485 | 3,058 | |
SM Energy Co. | 6.125% | 11/15/22 | 30,015 | 25,438 | |
SM Energy Co. | 6.500% | 1/1/23 | 2,525 | 2,146 | |
SM Energy Co. | 5.000% | 1/15/24 | 69,110 | 55,288 | |
SM Energy Co. | 5.625% | 6/1/25 | 16,020 | 13,136 | |
2 | Southern Star Central Corp. | 5.125% | 7/15/22 | 14,790 | 14,679 |
Tesoro Corp. | 5.125% | 4/1/24 | 31,790 | 32,187 | |
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | 5.500% | 10/15/19 | 5,220 | 5,533 | |
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | 6.250% | 10/15/22 | 35,901 | 37,696 | |
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | 6.375% | 5/1/24 | 26,850 | 28,293 | |
WPX Energy Inc. | 6.000% | 1/15/22 | 71,165 | 64,404 | |
WPX Energy Inc. | 5.250% | 9/15/24 | 102,100 | 87,295 | |
Technology (8.5%) | |||||
Alcatel-Lucent USA Inc. | 6.500% | 1/15/28 | 56,315 | 59,694 | |
Alcatel-Lucent USA Inc. | 6.450% | 3/15/29 | 85,000 | 90,313 |
101
Vanguard® High-Yield Corporate Fund | |||||
Schedule of Investments | |||||
July 31, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CDW LLC / CDW Finance Corp. | 6.000% | 8/15/22 | 118,945 | 126,974 | |
CDW LLC / CDW Finance Corp. | 5.000% | 9/1/23 | 23,480 | 24,126 | |
CDW LLC / CDW Finance Corp. | 5.500% | 12/1/24 | 15,155 | 15,799 | |
Equinix Inc. | 5.375% | 4/1/23 | 20,864 | 21,959 | |
2 | First Data Corp. | 5.375% | 8/15/23 | 73,250 | 75,264 |
2 | First Data Corp. | 7.000% | 12/1/23 | 181,545 | 186,538 |
2 | First Data Corp. | 5.000% | 1/15/24 | 48,800 | 49,166 |
2 | First Data Corp. | 5.750% | 1/15/24 | 121,970 | 123,037 |
5,6 | First Data Corp. Bank Loan | 4.488% | 3/23/18 | 43,608 | 43,786 |
5,6 | First Data Corp. Bank Loan | 4.238% | 7/8/22 | 41,745 | 41,916 |
Flextronics International Ltd. | 4.625% | 2/15/20 | 16,915 | 17,930 | |
Flextronics International Ltd. | 5.000% | 2/15/23 | 29,175 | 31,509 | |
2 | Freescale Semiconductor Inc. | 6.000% | 1/15/22 | 22,130 | 23,319 |
2 | Infor Software Parent LLC | 7.125% | 5/1/21 | 5,095 | 4,789 |
Infor US Inc. | 6.500% | 5/15/22 | 97,200 | 96,471 | |
2,8 | Iron Mountain Europe plc | 6.125% | 9/15/22 | 24,430 | 33,672 |
Iron Mountain Inc. | 5.750% | 8/15/24 | 22,675 | 23,327 | |
2 | MSCI Inc. | 5.250% | 11/15/24 | 12,975 | 13,786 |
2 | MSCI Inc. | 5.750% | 8/15/25 | 51,525 | 56,008 |
NCR Corp. | 4.625% | 2/15/21 | 72,024 | 73,284 | |
NCR Corp. | 5.875% | 12/15/21 | 4,855 | 5,049 | |
NCR Corp. | 6.375% | 12/15/23 | 15,145 | 15,751 | |
Nokia Oyj | 6.625% | 5/15/39 | 58,770 | 64,500 | |
2 | NXP BV / NXP Funding LLC | 3.750% | 6/1/18 | 34,595 | 35,460 |
2 | NXP BV / NXP Funding LLC | 4.125% | 6/15/20 | 17,445 | 18,132 |
2 | NXP BV / NXP Funding LLC | 4.625% | 6/15/22 | 34,720 | 35,762 |
2 | NXP BV / NXP Funding LLC | 5.750% | 3/15/23 | 19,648 | 20,937 |
2 | NXP BV / NXP Funding LLC | 4.625% | 6/1/23 | 34,585 | 35,738 |
2 | Open Text Corp. | 5.625% | 1/15/23 | 30,770 | 31,693 |
2 | Sensata Technologies BV | 5.625% | 11/1/24 | 19,290 | 20,447 |
2 | Sensata Technologies BV | 5.000% | 10/1/25 | 52,315 | 54,146 |
2 | Sensata Technologies UK Financing Co. plc | 6.250% | 2/15/26 | 49,705 | 53,992 |
SS&C Technologies Holdings Inc. | 5.875% | 7/15/23 | 29,280 | 30,378 | |
Transportation (1.9%) | |||||
2 | Avis Budget Car Rental LLC / Avis Budget Finance Inc. | 5.125% | 6/1/22 | 77,088 | 75,932 |
Avis Budget Car Rental LLC / Avis Budget Finance Inc. | 5.500% | 4/1/23 | 59,036 | 58,741 | |
2 | Avis Budget Car Rental LLC / Avis Budget Finance Inc. | 6.375% | 4/1/24 | 19,125 | 19,507 |
3 | Continental Airlines 2007-1 Class B Pass Through Trust | 6.903% | 4/19/22 | 12,549 | 13,208 |
Hertz Corp. | 4.250% | 4/1/18 | 12,745 | 13,159 | |
Hertz Corp. | 6.750% | 4/15/19 | 82,360 | 83,801 | |
Hertz Corp. | 5.875% | 10/15/20 | 42,430 | 43,809 | |
Hertz Corp. | 7.375% | 1/15/21 | 60,490 | 63,061 | |
15,609,338 | |||||
Utilities (3.0%) | |||||
Electric (3.0%) | |||||
AES Corp. | 8.000% | 6/1/20 | 19,980 | 23,426 | |
AES Corp. | 4.875% | 5/15/23 | 25,000 | 25,375 | |
AES Corp. | 5.500% | 3/15/24 | 119,951 | 124,149 | |
2 | Calpine Corp. | 6.000% | 1/15/22 | 16,165 | 16,892 |
Calpine Corp. | 5.375% | 1/15/23 | 34,775 | 34,601 | |
2 | Calpine Corp. | 5.875% | 1/15/24 | 9,230 | 9,715 |
Calpine Corp. | 5.750% | 1/15/25 | 119,130 | 118,832 | |
GenOn Energy Inc. | 7.875% | 6/15/17 | 19,175 | 16,299 | |
GenOn Energy Inc. | 9.500% | 10/15/18 | 54,525 | 44,165 | |
GenOn Energy Inc. | 9.875% | 10/15/20 | 24,755 | 17,824 | |
NRG Energy Inc. | 7.875% | 5/15/21 | 5,810 | 6,028 | |
NRG Energy Inc. | 6.250% | 7/15/22 | 51,835 | 52,224 | |
NRG Energy Inc. | 6.625% | 3/15/23 | 10,000 | 10,075 | |
NRG Energy Inc. | 6.250% | 5/1/24 | 47,355 | 47,237 |
102
Vanguard® High-Yield Corporate Fund | ||||
Schedule of Investments | ||||
July 31, 2016 | �� | |||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
2 NRG Energy Inc. | 7.250% | 5/15/26 | 47,920 | 49,358 |
596,200 | ||||
Total Corporate Bonds (Cost $17,929,074) | 18,198,058 | |||
Shares | ||||
Preferred Stocks (0.9%) | ||||
GMAC Capital Trust I Pfd. | 6.411% | 4,743,200 | 120,430 | |
Hartford Financial Services Group Inc. Pfd. | 7.875% | 1,693,900 | 53,002 | |
Total Preferred Stocks (Cost $166,125) | 173,432 | |||
Other (0.0%) | ||||
MediaNews Group Inc. Warrants Exp. 03/19/2017 (Cost $27,348) | 73,622 | 1,575 | ||
Temporary Cash Investments (3.3%) | ||||
Face | ||||
Amount | ||||
($000) | ||||
Repurchase Agreements (3.3%) | ||||
Bank of America Securities, LLC (Dated 7/29/16, | ||||
Repurchase Value $133,404,000, collateralized by | ||||
Government National Mortgage Assn. 4.000%, | ||||
10/20/45, with a value of $136,068,000) | 0.350% | 8/1/16 | 133,400 | 133,400 |
Bank of Montreal (Dated 7/29/16, Repurchase Value | ||||
$202,105,000, collateralized by Federal Farm Credit | ||||
Bank 1.560%-2.940%, 7/26/21- 10/27/25, Federal | ||||
Home Loan Bank 1.000%-5.000%, 5/16/18- 6/15/26, | ||||
Federal Home Loan Mortgage Corp. 1.100%-7.000%, | ||||
2/28/18- 2/1/46, Federal National Mortgage Assn. | ||||
1.625%-5.500%, 11/27/18- 12/1/45, Government | ||||
National Mortgage Assn. 2.000%-3.500%, 4/15/27- | ||||
11/15/45, and U.S. Treasury Note/Bond 1.500%, | ||||
10/31/19, with a value of $206,142,000) | 0.320% | 8/1/16 | 202,100 | 202,100 |
RBC Capital Markets LLC (Dated 7/29/16, Repurchase | ||||
Value $178,905,000, collateralized by Federal Home | ||||
Loan Mortgage Corp. 3.500%-4.000%, 5/1/44- | ||||
8/1/46, Federal National Mortgage Assn. 2.614%- | ||||
5.000%, 1/1/29- 5/1/46, and Government National | ||||
Mortgage Assn. 3.500%-5.000%, 4/20/39-7/20/46, | ||||
with a value of $182,478,000) | 0.320% | 8/1/16 | 178,900 | 178,900 |
TD Securities (USA) LLC (Dated 7/29/16, Repurchase | ||||
Value $137,404,000, collateralized by Federal Home | ||||
Loan Mortgage Corp. 3.500%-4.500%, 5/1/29- | ||||
4/1/46, Federal National Mortgage Assn. 2.500%- | ||||
5.000%, 1/1/25- 4/1/46, Government National | ||||
Mortgage Assn. 4.000%-4.500%, 5/20/45-10/15/45, | ||||
and U.S. Treasury Note/Bond 0.000%-2.375%, | ||||
5/25/17-1/31/23, with a value of $140,148,000) | 0.350% | 8/1/16 | 137,400 | 137,400 |
651,800 | ||||
Total Temporary Cash Investments (Cost $651,800) | 651,800 | |||
Total Investments (100.1%) (Cost $19,329,884) | 19,580,980 | |||
Other Assets and Liabilities—Net (-0.1%) | (13,030) | |||
Net Assets (100%) | 19,567,950 |
103
Vanguard® High-Yield Corporate Fund
Schedule of Investments
July 31, 2016
1 | Securities with a value of $9,333,000 have been segregated as initial margin for open cleared swap contracts. |
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, 2016, the aggregate value of these securities was $6,396,266,000, representing 32.7% of net assets. |
3 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
4 | Face amount denominated in euro. |
5 | Adjustable-rate security. |
6 | 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, 2016, the aggregate value of these securities was $459,573,000, representing 2.3% of net assets. |
7 | Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of July 31, 2016. |
8 | Face amount denominated in British pounds. |
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105
© 2016 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA392_092016
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 16, 2016 |
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 16, 2016 |
VANGUARD FIXED INCOME SECURITIES FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: September 16, 2016 |
* 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.