UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02554
| Name of Registrant: | Vanguard Money Market Reserves |
| Address of Registrant: | P.O. Box 2600 |
| | Valley Forge, PA 19482 |
| Name and address of agent for service: | Anne E. Robinson, Esquire |
| | P.O. Box 876 |
| | Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2019—February 29, 2020
Item 1: Reports to Shareholders
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| Semiannual Report | February 29, 2020 | |
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| Vanguard Money Market Funds |
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Vanguard Prime Money Market Fund Vanguard Federal Money Market Fund Vanguard Treasury Money Market Fund | |
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| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
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| Prime Money Market Fund | 3 |
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| Federal Money Market Fund | 25 |
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| Treasury Money Market Fund | 41 |
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.
Six Months Ended February 29, 2020
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | | | |
| Prime Money Market Fund | | | |
| Investor Shares | $1,000.00 | $1,008.98 | $0.80 |
| Admiral™ Shares | 1,000.00 | 1,009.28 | 0.50 |
| Federal Money Market Fund | $1,000.00 | $1,008.46 | $0.55 |
| Treasury Money Market Fund | $1,000.00 | $1,008.49 | $0.45 |
| Based on Hypothetical 5% Yearly Return | | | |
| Prime Money Market Fund | | | |
| Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
| Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
| Federal Money Market Fund | $1,000.00 | $1,024.32 | $0.55 |
| Treasury Money Market Fund | $1,000.00 | $1,024.42 | $0.45 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund, 0.11%; and for the Treasury Money Market Fund, 0.09%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
Prime Money Market Fund
Fund Allocation1
As of February 29, 2020
| Yankee/Foreign | 61.8% |
| U.S. Treasury Bills | 28.1 |
| Other | 1.8 |
| U.S. Government Obligations | 2.5 |
| U.S. Commercial Paper | 2.3 |
| Certificates of Deposit | 3.5 |
| 1 | Percentage of investments. |
Prime Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| U.S. Government and Agency Obligations (30.6%) | | | |
| | Federal Home Loan Bank Discount Notes | 1.601% | 3/3/20 | 5,968 | 5,968 |
| | Federal Home Loan Bank Discount Notes | 1.538% | 3/12/20 | 555,698 | 555,436 |
| | Federal Home Loan Bank Discount Notes | 1.594% | 3/16/20 | 176,000 | 175,887 |
| | Federal Home Loan Bank Discount Notes | 1.557% | 3/27/20 | 244,000 | 243,726 |
| | Federal Home Loan Bank Discount Notes | 1.557% | 3/31/20 | 186,000 | 185,759 |
| | Federal Home Loan Bank Discount Notes | 1.589% | 4/1/20 | 377,000 | 376,490 |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/3/20 | 385,000 | 384,442 |
| | Federal Home Loan Bank Discount Notes | 1.604% | 4/8/20 | 188,386 | 188,074 |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/13/20 | 194,550 | 194,183 |
| | Federal Home Loan Bank Discount Notes | 1.553% | 4/15/20 | 231,000 | 230,553 |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/17/20 | 50,000 | 49,898 |
| | Federal Home Loan Bank Discount Notes | 1.564% | 4/22/20 | 625,000 | 623,592 |
| | United States Treasury Bill | 1.842% | 3/12/20 | 3,000,000 | 2,998,547 |
| | United States Treasury Bill | 1.534% | 3/17/20 | 1,704,400 | 1,703,241 |
| | United States Treasury Bill | 1.888% | 3/19/20 | 4,000,000 | 3,996,260 |
| | United States Treasury Bill | 1.531% | 3/24/20 | 2,000,000 | 1,998,032 |
| | United States Treasury Bill | 1.811% | 4/2/20 | 2,000,000 | 1,996,809 |
| | United States Treasury Bill | 1.679% | 4/9/20 | 3,000,000 | 2,994,946 |
| | United States Treasury Bill | 1.595% | 4/14/20 | 5,000,000 | 4,990,436 |
| | United States Treasury Bill | 1.633% | 4/16/20 | 2,000,800 | 1,996,889 |
| | United States Treasury Bill | 1.574% | 4/21/20 | 4,000,000 | 3,991,103 |
| | United States Treasury Bill | 1.639% | 4/23/20 | 1,427,200 | 1,423,985 |
| | United States Treasury Bill | 1.623% | 4/30/20 | 2,172,630 | 2,166,812 |
| | United States Treasury Bill | 1.547% | 5/7/20 | 2,500,000 | 2,492,851 |
| | United States Treasury Bill | 1.562% | 5/14/20 | 256,200 | 255,384 |
| | United States Treasury Bill | 1.593% | 5/28/20 | 1,222,000 | 1,217,283 |
| | United States Treasury Bill | 1.570% | 6/25/20 | 745,000 | 741,231 |
| | United States Treasury Bill | 1.572% | 7/2/20 | 1,052,000 | 1,046,393 |
| Total U.S. Government and Agency Obligations (Cost $39,224,210) | | 39,224,210 |
| Commercial Paper (34.4%) | | | | |
| Bank Holding Company (1.6%) | | | | |
| 2 | ABN Amro Funding USA LLC | 1.923% | 3/2/20 | 97,000 | 96,995 |
| 2 | ABN Amro Funding USA LLC | 1.912% | 3/3/20 | 57,000 | 56,994 |
| 2 | ABN Amro Funding USA LLC | 1.690% | 6/8/20 | 150,000 | 149,307 |
| | Cooperatieve Rabobank UA | 2.070% | 3/18/20 | 133,000 | 133,000 |
| | Cooperatieve Rabobank UA | 1.740% | 7/27/20 | 50,000 | 50,000 |
| 3 | Cooperatieve Rabobank UA, 1M USD LIBOR + 0.230% | 1.888% | 3/16/20 | 133,000 | 133,000 |
Prime Money Market Fund | | | | | |
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| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | | ($000) |
| | | | | | |
| 3 | Cooperatieve Rabobank UA, 1M USD LIBOR + 0.230% | 1.888% | 3/17/20 | 133,000 | | 133,000 |
| 3 | Cooperatieve Rabobank UA, 1M USD LIBOR + 0.250% | 1.908% | 4/17/20 | 500,000 | | 500,000 |
| | JP Morgan Securities LLC | 1.875% | 3/2/20 | 323,000 | | 323,000 |
| 2 | JP Morgan Securities LLC | 1.766% | 7/21/20 | 81,000 | | 80,441 |
| 3 | JP Morgan Securities LLC, 1M USD LIBOR + 0.220% | 1.891% | 3/9/20 | 323,000 | | 323,000 |
| 3 | JP Morgan Securities LLC, 1M USD LIBOR + 0.220% | 1.878% | 5/12/20 | 65,000 | | 65,000 |
| | | | | | | 2,043,737 |
| Finance—Auto (0.5%) | | | | | |
| | American Honda Finance Corp. | 1.657% | 5/11/20 | 76,000 | | 75,753 |
| | American Honda Finance Corp. | 1.657% | 5/18/20 | 33,000 | | 32,882 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.080% | 1.738% | 9/9/20 | 131,000 | | 131,000 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.080% | 1.727% | 9/10/20 | 131,000 | | 131,000 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.080% | 1.709% | 9/24/20 | 167,000 | | 167,000 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.110% | 1.772% | 9/4/20 | 99,000 | | 99,000 |
| | | | | | | 636,635 |
| Foreign Banks (25.2%) | | | | | |
| 2 | Australia & New Zealand Banking Group Ltd. | 1.882% | 3/4/20 | 130,000 | | 129,980 |
| 2 | Australia & New Zealand Banking Group Ltd. | 1.939% | 4/20/20 | 55,050 | | 54,903 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.845% | 3/11/20 | 235,000 | | 235,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.838% | 3/12/20 | 331,000 | | 331,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.827% | 5/20/20 | 250,000 | | 249,997 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.848% | 6/5/20 | 269,000 | | 269,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.190% | 1.855% | 6/11/20 | 335,000 | | 335,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.210% | 1.857% | 8/20/20 | 169,000 | | 169,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.240% | 1.869% | 8/21/20 | 470,000 | | 470,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.270% | 1.923% | 7/13/20 | 401,000 | | 401,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.270% | 1.928% | 7/15/20 | 215,500 | | 215,502 |
| 2 | Bank of Nova Scotia | 1.921% | 5/21/20 | 341,000 | | 339,542 |
| 2 | Bank of Nova Scotia | 1.758% | 8/17/20 | 39,000 | | 38,681 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.160% | 1.831% | 3/9/20 | 255,000 | | 255,000 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.170% | 1.783% | 3/27/20 | 155,000 | | 155,000 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.220% | 1.878% | 6/15/20 | 452,500 | | 452,500 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.220% | 1.849% | 6/22/20 | 400,000 | | 400,000 |
| Prime Money Market Fund | | | | |
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| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.220% | 1.867% | 7/20/20 | 458,000 | 458,000 |
| | Barclays Bank UK plc | 1.611% | 3/4/20 | 380,000 | 379,949 |
| | Barclays Bank UK plc | 1.581% | 3/5/20 | 300,000 | 299,947 |
| | Barclays Bank UK plc | 1.601% | 3/12/20 | 145,000 | 144,929 |
| | BNP Paribas SA (New York Branch) | 1.581% | 3/5/20 | 1,000,000 | 999,824 |
| 4 | Caisse d’Amortissement de la Dette Sociale | 1.612% | 5/26/20 | 151,000 | 150,421 |
| 2,4 | Caisse d’Amortissement de la Dette Sociale | 1.634% | 6/17/20 | 167,000 | 166,186 |
| 2,4 | Caisse d’Amortissement de la Dette Sociale | 1.634% | 6/18/20 | 259,000 | 257,722 |
| 2,4 | Caisse d’Amortissement de la Dette Sociale | 1.634% | 6/19/20 | 167,000 | 166,171 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.080% | 1.751% | 8/11/20 | 580,000 | 580,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.170% | 1.838% | 3/5/20 | 340,000 | 340,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.190% | 1.856% | 7/6/20 | 355,000 | 355,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.210% | 1.868% | 3/12/20 | 370,000 | 370,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.210% | 1.837% | 6/25/20 | 370,000 | 370,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.220% | 1.878% | 6/18/20 | 156,000 | 156,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.250% | 1.908% | 5/18/20 | 404,000 | 404,000 |
| 2 | Commonwealth Bank of Australia | 2.071% | 3/20/20 | 130,000 | 129,859 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% | 1.822% | 6/4/20 | 127,000 | 126,997 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% | 1.828% | 6/5/20 | 148,000 | 147,999 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% | 1.813% | 7/13/20 | 115,000 | 115,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.845% | 3/11/20 | 186,000 | 186,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.833% | 3/13/20 | 157,000 | 157,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.838% | 3/16/20 | 105,000 | 105,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.809% | 4/24/20 | 91,000 | 90,999 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.190% | 1.860% | 7/7/20 | 99,000 | 99,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.210% | 1.880% | 1/7/21 | 107,000 | 107,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.220% | 1.823% | 8/28/20 | 304,000 | 304,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.220% | 1.875% | 9/3/20 | 119,000 | 119,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.230% | 1.892% | 9/4/20 | 304,000 | 304,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.230% | 1.901% | 9/8/20 | 166,000 | 165,991 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.230% | 1.901% | 9/9/20 | 56,500 | 56,501 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.240% | 1.890% | 9/14/20 | 200,000 | 200,000 |
| Prime Money Market Fund | | | | |
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| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.240% | 1.895% | 12/2/20 | 200,000 | 200,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.250% | 1.908% | 11/12/20 | 78,000 | 78,000 |
| 2 | DBS Bank Ltd. | 2.016% | 3/13/20 | 264,000 | 263,825 |
| 2 | DBS Bank Ltd. | 2.031% | 3/16/20 | 134,000 | 133,888 |
| 2 | DBS Bank Ltd. | 2.082% | 3/18/20 | 297,000 | 296,711 |
| 2 | DBS Bank Ltd. | 1.982% | 4/9/20 | 100,000 | 99,787 |
| 2 | DBS Bank Ltd. | 1.867% | 4/24/20 | 99,000 | 98,725 |
| 2 | DBS Bank Ltd. | 1.878% | 5/1/20 | 64,000 | 63,798 |
| 2 | DBS Bank Ltd. | 1.858% | 5/4/20 | 99,000 | 98,676 |
| 2 | DBS Bank Ltd. | 1.878% | 5/5/20 | 187,000 | 186,372 |
| 2 | DBS Bank Ltd. | 1.867% | 5/8/20 | 164,060 | 163,485 |
| 2 | DBS Bank Ltd. | 1.878% | 5/11/20 | 65,000 | 64,762 |
| 2 | DBS Bank Ltd. | 1.878% | 5/15/20 | 100,000 | 99,612 |
| 2 | DBS Bank Ltd. | 1.857% | 5/20/20 | 99,000 | 98,595 |
| 2 | DBS Bank Ltd. | 1.857% | 5/22/20 | 78,000 | 77,673 |
| 2 | DBS Bank Ltd. | 1.867% | 6/4/20 | 72,000 | 71,649 |
| 2 | DBS Bank Ltd. | 1.669% | 6/8/20 | 65,700 | 65,400 |
| 2 | DBS Bank Ltd. | 1.766% | 7/17/20 | 66,000 | 65,557 |
| 2 | DBS Bank Ltd. | 1.745% | 7/24/20 | 33,000 | 32,770 |
| 2 | DBS Bank Ltd. | 1.684% | 8/5/20 | 67,000 | 66,512 |
| 2 | DBS Bank Ltd. | 1.664% | 8/10/20 | 67,000 | 66,503 |
| 2 | DNB Bank ASA | 2.082% | 3/20/20 | 275,000 | 274,701 |
| | European Investment Bank | 1.581% | 3/5/20 | 292,000 | 291,949 |
| | European Investment Bank | 1.581% | 3/6/20 | 167,000 | 166,963 |
| | ING US Funding LLC | 1.852% | 3/3/20 | 186,725 | 186,706 |
| | ING US Funding LLC | 1.852% | 3/4/20 | 500,000 | 499,923 |
| 2 | KFW | 1.684% | 8/5/20 | 97,500 | 96,790 |
| 2 | KFW | 1.638% | 8/12/20 | 131,000 | 130,030 |
| 2 | KFW | 1.639% | 8/19/20 | 192,000 | 190,518 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.100% | 1.766% | 11/6/20 | 335,000 | 335,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.110% | 1.757% | 3/20/20 | 250,000 | 250,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.150% | 1.797% | 4/16/20 | 327,000 | 327,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.180% | 1.833% | 3/13/20 | 550,000 | 550,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.200% | 1.855% | 5/1/20 | 500,000 | 500,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.240% | 1.898% | 8/12/20 | 350,000 | 350,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.260% | 1.907% | 6/19/20 | 199,000 | 199,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.270% | 1.925% | 7/2/20 | 418,000 | 418,000 |
| 2 | Nederlandse Waterschapsbank NV | 1.831% | 3/11/20 | 326,000 | 325,835 |
| 2 | Nederlandse Waterschapsbank NV | 1.637% | 5/26/20 | 274,000 | 272,934 |
| 2 | Nederlandse Waterschapsbank NV | 1.647% | 5/27/20 | 167,000 | 166,338 |
| 2,4 | Nederlandse Waterschapsbank NV | 1.648% | 6/1/20 | 469,000 | 467,034 |
| 2 | Nordea Bank ABP | 1.852% | 5/1/20 | 245,000 | 244,238 |
| 2 | Nordea Bank ABP | 1.763% | 7/8/20 | 208,000 | 206,698 |
| 2 | Nordea Bank ABP | 1.766% | 7/9/20 | 430,000 | 427,283 |
| 2 | NRW Bank | 1.836% | 3/16/20 | 45,400 | 45,365 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2 | NRW Bank | 1.836% | 3/17/20 | 132,000 | 131,893 |
| 2 | NRW Bank | 1.836% | 3/18/20 | 134,000 | 133,885 |
| 2 | NRW Bank | 1.836% | 3/19/20 | 134,000 | 133,878 |
| 2 | NRW Bank | 1.836% | 3/20/20 | 347,000 | 346,666 |
| 2 | NRW Bank | 1.836% | 3/23/20 | 248,000 | 247,723 |
| 2 | NRW Bank | 1.837% | 3/24/20 | 248,000 | 247,711 |
| 2 | NRW Bank | 1.654% | 6/12/20 | 469,000 | 466,793 |
| 2 | NRW Bank | 1.634% | 6/17/20 | 330,000 | 328,391 |
| | Oesterreichische Kontrollbank AG | 1.625% | 5/18/20 | 127,000 | 126,553 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.180% | 1.838% | 3/12/20 | 165,000 | 165,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.180% | 1.830% | 4/14/20 | 290,000 | 290,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.180% | 1.838% | 6/17/20 | 560,000 | 560,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.190% | 1.848% | 3/16/20 | 250,000 | 250,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.210% | 1.876% | 5/6/20 | 594,000 | 594,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.240% | 1.843% | 7/31/20 | 450,000 | 450,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.240% | 1.856% | 8/26/20 | 183,000 | 183,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.250% | 1.908% | 11/18/20 | 252,000 | 252,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.250% | 1.897% | 11/19/20 | 133,000 | 133,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.310% | 1.965% | 10/1/20 | 300,000 | 300,000 |
| 2 | Skandinaviska Enskilda Banken AB | 1.931% | 3/23/20 | 400,000 | 399,532 |
| 2 | Skandinaviska Enskilda Banken AB | 1.929% | 4/21/20 | 550,000 | 548,512 |
| 2 | Skandinaviska Enskilda Banken AB | 1.913% | 4/23/20 | 200,000 | 199,442 |
| 2 | Svenska Handelsbanken AB | 1.851% | 3/5/20 | 122,762 | 122,737 |
| 2 | Svenska Handelsbanken AB | 1.844% | 4/8/20 | 580,000 | 578,880 |
| 2 | Svenska Handelsbanken AB | 1.735% | 7/20/20 | 120,000 | 119,192 |
| | Swedbank AB | 1.571% | 3/5/20 | 500,000 | 499,913 |
| 2 | Toronto-Dominion Bank | 1.879% | 3/3/20 | 200,000 | 199,979 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.180% | 1.838% | 6/16/20 | 35,000 | 35,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.180% | 1.809% | 6/23/20 | 200,000 | 200,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.250% | 1.915% | 12/11/20 | 300,000 | 300,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.250% | 1.915% | 12/11/20 | 150,000 | 150,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.260% | 1.915% | 9/3/20 | 45,000 | 45,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.270% | 1.923% | 11/13/20 | 250,000 | 250,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.300% | 1.929% | 9/23/20 | 100,000 | 100,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.320% | 1.991% | 10/9/20 | 500,000 | 500,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.330% | 1.985% | 10/2/20 | 50,000 | 50,000 |
| Prime Money Market Fund | | | | | |
| | | | | | | |
| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | | ($000) |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.150% | 1.753% | 5/29/20 | 150,000 | | 149,995 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.160% | 1.828% | 6/5/20 | 100,000 | | 99,999 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.160% | 1.828% | 6/5/20 | 111,000 | | 110,997 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.230% | 1.892% | 9/4/20 | 168,000 | | 168,000 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.230% | 1.892% | 9/4/20 | 268,000 | | 268,000 |
| | | | | | | 32,263,876 |
| Foreign Governments (4.6%) | | | | | |
| 2 | Alberta (Province Of) | 1.948% | 3/31/20 | 148,500 | | 148,261 |
| 2 | Alberta (Province Of) | 1.906% | 5/26/20 | 50,000 | | 49,774 |
| 2 | Alberta (Province Of) | 1.817% | 6/9/20 | 225,000 | | 223,875 |
| 2 | Alberta (Province Of) | 1.867% | 6/11/20 | 108,000 | | 107,434 |
| 2 | Alberta (Province Of) | 1.868% | 6/17/20 | 99,000 | | 98,450 |
| 2 | Alberta (Province Of) | 1.735% | 7/6/20 | 95,000 | | 94,424 |
| 2 | Alberta (Province Of) | 1.735% | 7/17/20 | 67,500 | | 67,055 |
| 2 | Alberta (Province Of) | 1.725% | 7/21/20 | 65,000 | | 64,562 |
| 2 | Alberta (Province Of) | 1.715% | 7/23/20 | 111,000 | | 110,256 |
| 2 | Alberta (Province Of) | 1.684% | 8/6/20 | 67,000 | | 66,509 |
| 2 | BNG Bank NV | 1.581% | 3/5/20 | 610,000 | | 609,893 |
| 4 | CDP Financial Inc. | 1.884% | 3/25/20 | 65,000 | | 64,919 |
| 2,4 | CDP Financial Inc. | 0.421% | 4/1/20 | 172,500 | | 172,215 |
| 4 | CDP Financial Inc. | 1.929% | 4/6/20 | 99,000 | | 98,811 |
| 4 | CDP Financial Inc. | 1.938% | 4/8/20 | 100,000 | | 99,797 |
| 4 | CDP Financial Inc. | 1.919% | 4/16/20 | 175,000 | | 174,575 |
| 4 | CDP Financial Inc. | 1.878% | 4/27/20 | 32,500 | | 32,404 |
| 2 | CDP Financial Inc. | 0.591% | 4/28/20 | 32,500 | | 32,403 |
| 4 | CDP Financial Inc. | 1.837% | 5/4/20 | 45,000 | | 44,854 |
| 4 | CDP Financial Inc. | 1.846% | 5/13/20 | 40,000 | | 39,852 |
| 4 | CDP Financial Inc. | 1.837% | 6/3/20 | 50,000 | | 49,762 |
| 2,4 | CDP Financial Inc. | 0.601% | 6/10/20 | 50,000 | | 49,745 |
| 4 | CDP Financial Inc. | 1.775% | 6/30/20 | 50,000 | | 49,704 |
| 4 | CDP Financial Inc. | 1.805% | 7/8/20 | 50,000 | | 49,685 |
| 4 | CDP Financial Inc. | 1.736% | 7/21/20 | 84,000 | | 83,430 |
| 4 | CDP Financial Inc. | 1.653% | 8/4/20 | 134,000 | | 133,048 |
| 4 | CPPIB Capital Inc. | 1.654% | 8/12/20 | 134,000 | | 132,999 |
| 2,4 | CPPIB Capital Inc. | 1.644% | 8/17/20 | 167,000 | | 165,724 |
| | Export Development Canada | 1.907% | 4/9/20 | 60,300 | | 60,176 |
| | Export Development Canada | 1.924% | 4/17/20 | 128,000 | | 127,682 |
| | Export Development Canada | 1.898% | 4/22/20 | 45,250 | | 45,127 |
| | Export Development Canada | 1.816% | 5/18/20 | 198,000 | | 197,228 |
| | Export Development Canada | 1.654% | 6/3/20 | 67,000 | | 66,712 |
| | Export Development Canada | 1.639% | 6/18/20 | 96,000 | | 95,526 |
| 2 | Hydro-Quebec | 1.674% | 8/4/20 | 335,000 | | 332,590 |
| 2 | Kingdom of Netherlands | 1.640% | 3/2/20 | 140,000 | | 139,994 |
| 4 | Omers Finance Trust | 1.808% | 4/2/20 | 40,000 | | 39,936 |
| | Omers Finance Trust | 1.717% | 4/20/20 | 32,500 | | 32,423 |
| 4 | Ontario Teachers’ Finance Trust | 1.875% | 4/3/20 | 30,000 | | 29,949 |
| 4 | Ontario Teachers’ Finance Trust | 1.876% | 4/13/20 | 19,000 | | 18,958 |
| 4 | Ontario Teachers’ Finance Trust | 1.878% | 5/5/20 | 22,750 | | 22,674 |
| 4 | Ontario Teachers’ Finance Trust | 1.870% | 5/29/20 | 32,000 | | 31,854 |
| Prime Money Market Fund | | | | | |
| | | | | | | |
| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | | ($000) |
| 4 | Ontario Teachers’ Finance Trust | 1.860% | 6/1/20 | 32,500 | | 32,347 |
| 4 | Ontario Teachers’ Finance Trust | 1.858% | 6/15/20 | 50,000 | | 49,729 |
| 4 | Ontario Teachers’ Finance Trust | 1.808% | 7/20/20 | 60,000 | | 59,579 |
| 4 | Ontario Teachers’ Finance Trust | 1.746% | 7/23/20 | 33,500 | | 33,268 |
| 4 | Ontario Teachers’ Finance Trust | 1.644% | 8/27/20 | 67,000 | | 66,457 |
| 4 | Ontario Teachers’ Finance Trust | 1.644% | 8/28/20 | 25,000 | | 24,796 |
| 3,4 | Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.120% | 1.786% | 3/6/20 | 82,000 | | 82,000 |
| 3,4 | Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.200% | 1.813% | 8/24/20 | 95,000 | | 95,000 |
| 2,3,4 | Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.270% | 1.928% | 8/17/20 | 99,000 | | 99,000 |
| | Province of British Columbia | 0.601% | 3/16/20 | 45,800 | | 45,765 |
| | Province of British Columbia | 1.830% | 3/25/20 | 54,400 | | 54,334 |
| | Province of British Columbia | 1.830% | 3/26/20 | 56,475 | | 56,404 |
| | Province of British Columbia | 1.830% | 3/27/20 | 55,000 | | 54,928 |
| | Province of British Columbia | 1.831% | 4/8/20 | 45,465 | | 45,378 |
| | Province of British Columbia | 1.842% | 4/14/20 | 26,700 | | 26,640 |
| | Province of British Columbia | 1.835% | 5/26/20 | 45,300 | | 45,103 |
| | Province of British Columbia | 1.735% | 7/9/20 | 39,000 | | 38,758 |
| | Province of British Columbia | 1.735% | 7/10/20 | 50,000 | | 49,687 |
| 4 | PSP Capital Inc. | 0.551% | 3/11/20 | 99,000 | | 98,945 |
| 4 | PSP Capital Inc. | 2.071% | 3/12/20 | 124,000 | | 123,922 |
| 4 | PSP Capital Inc. | 2.020% | 3/13/20 | 53,000 | | 52,965 |
| 4 | PSP Capital Inc. | 2.061% | 3/17/20 | 36,000 | | 35,967 |
| 4 | PSP Capital Inc. | 2.051% | 3/19/20 | 99,000 | | 98,899 |
| 4 | PSP Capital Inc. | 1.867% | 4/27/20 | 49,500 | | 49,355 |
| 4 | PSP Capital Inc. | 1.649% | 6/10/20 | 67,000 | | 66,692 |
| 4 | PSP Capital Inc. | 1.649% | 6/11/20 | 50,000 | | 49,768 |
| 4 | PSP Capital Inc. | 1.735% | 7/15/20 | 27,000 | | 26,825 |
| | | | | | | 5,917,760 |
| Foreign Industrial (1.3%) | | | | | |
| 2 | BASF SE | 1.717% | 4/14/20 | 67,000 | | 66,860 |
| 2 | Nestle Capital Corp. | 2.052% | 3/24/20 | 99,127 | | 98,998 |
| 2 | Total Capital Canada Ltd. | 1.949% | 4/8/20 | 209,060 | | 208,634 |
| 2 | Total Capital Canada Ltd. | 0.581% | 4/14/20 | 311,000 | | 310,266 |
| 2 | Total Capital Canada Ltd. | 1.636% | 5/4/20 | 42,500 | | 42,377 |
| 2 | Total Capital Canada Ltd. | 1.684% | 8/3/20 | 95,120 | | 94,438 |
| 2 | Total Capital Canada Ltd. | 1.633% | 8/18/20 | 148,000 | | 146,868 |
| 2 | Total Capital SA | 1.581% | 3/4/20 | 328,000 | | 327,957 |
| 2 | Total Capital SA | 1.581% | 3/12/20 | 290,000 | | 289,860 |
| 3 | Toyota Credit Canada Inc., 1M USD LIBOR + 0.230% | 1.892% | 6/4/20 | 49,500 | | 49,500 |
| 3 | Toyota Credit Canada Inc., 1M USD LIBOR + 0.250% | 1.921% | 7/9/20 | 65,000 | | 65,000 |
| | | | | | | 1,700,758 |
| Industrial (1.2%) | | | | | |
| | Exxon Mobil Corp. | 0.380% | 6/22/20 | 500,000 | | 497,457 |
| | Exxon Mobil Corp. | 1.635% | 6/25/20 | 297,000 | | 295,445 |
| | Exxon Mobil Corp. | 0.360% | 6/30/20 | 100,000 | | 99,455 |
| 2 | LVMH Moet Hennessy Louis Vuitton Inc. | 1.639% | 6/16/20 | 84,400 | | 83,991 |
| 2 | LVMH Moet Hennessy Louis Vuitton Inc. | 1.639% | 6/22/20 | 60,000 | | 59,693 |
| 2 | Novartis Finance Corp. | 1.639% | 6/22/20 | 50,500 | | 50,242 |
| 2 | Novartis Finance Corp. | 1.640% | 6/29/20 | 33,500 | | 33,318 |
| Prime Money Market Fund | | | | | |
| | | | | | | |
| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2 | Pfizer Inc. | 1.636% | 5/5/20 | 202,000 | 201,405 |
| 2 | Pfizer Inc. | 0.491% | 5/11/20 | 210,000 | 209,326 |
| | | | | | | 1,530,332 |
| Total Commercial Paper (Cost $44,093,098) | | | | 44,093,098 |
| Certificates of Deposit (33.7%) | | | | | |
| Domestic Banks (4.1%) | | | | | |
| | Citibank NA | 1.830% | 5/4/20 | 385,000 | 385,000 |
| | Citibank NA | 1.810% | 6/1/20 | 300,000 | 300,000 |
| | Citibank NA | 1.840% | 6/5/20 | 114,500 | 114,500 |
| | Citibank NA | 1.820% | 7/2/20 | 495,000 | 495,000 |
| | State Street Bank & Trust Co. | 1.900% | 4/15/20 | 767,000 | 767,000 |
| 3 | State Street Bank & Trust Co., 1M USD LIBOR + 0.220% | 1.891% | 8/10/20 | 697,000 | 697,000 |
| 3 | US Bank NA, 1M USD LIBOR + 0.130% | 1.780% | 7/14/20 | 903,000 | 903,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.150% | 1.803% | 8/13/20 | 267,000 | 267,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.190% | 1.837% | 3/19/20 | 650,000 | 650,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.210% | 1.860% | 4/14/20 | 315,000 | 315,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.230% | 1.885% | 5/1/20 | 154,000 | 154,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.240% | 1.898% | 5/18/20 | 201,000 | 201,000 |
| | | | | | | 5,248,500 |
| Eurodollar Certificates of Deposit (3.6%) | | | | | |
| | ABN AMRO Bank NV | 1.890% | 3/16/20 | 600,000 | 600,000 |
| | ABN AMRO Bank NV | 1.870% | 5/7/20 | 500,000 | 500,000 |
| | ABN AMRO Bank NV | 1.880% | 5/7/20 | 230,000 | 230,000 |
| | ABN AMRO Bank NV | 1.700% | 6/5/20 | 208,000 | 208,000 |
| | ABN AMRO Bank NV | 1.695% | 6/8/20 | 347,000 | 347,000 |
| | ABN AMRO Bank NV | 1.695% | 6/10/20 | 150,000 | 150,000 |
| | ABN AMRO Bank NV | 1.680% | 6/15/20 | 215,000 | 215,000 |
| | ING Bank NV | 1.760% | 5/26/20 | 350,000 | 350,000 |
| | ING Bank NV | 1.690% | 6/8/20 | 1,250,000 | 1,250,000 |
| | ING Bank NV | 1.665% | 6/15/20 | 272,000 | 272,000 |
| | MUFG Bank Ltd. (London Branch) | 1.810% | 4/15/20 | 134,000 | 134,000 |
| | MUFG Bank Ltd. (London Branch) | 1.860% | 5/7/20 | 280,000 | 280,000 |
| | MUFG Bank Ltd. (London Branch) | 1.690% | 6/10/20 | 67,000 | 67,000 |
| | | | | | | 4,603,000 |
| Yankee Certificates of Deposit (26.0%) | | | | | |
| 3 | Australia & New Zealand Banking Group, Ltd. | | | | | |
| | (New York Branch), | | | | | |
| | 1M USD LIBOR + 0.180% | 1.835% | 6/1/20 | 67,000 | 67,000 |
| | Bank of Montreal (Chicago Branch) | 1.670% | 5/18/20 | 168,000 | 168,000 |
| | Bank of Montreal (Chicago Branch) | 1.750% | 7/24/20 | 100,000 | 100,000 |
| | Bank of Montreal (Chicago Branch) | 1.825% | 3/2/20 | 250,000 | 250,000 |
| | Bank of Montreal (Chicago Branch) | 1.880% | 3/2/20 | 150,000 | 150,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.190% | 1.845% | 4/3/20 | 507,000 | 507,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.210% | 1.837% | 6/25/20 | 145,000 | 145,000 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.210% | 1.857% | 7/20/20 | 365,000 | 365,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.220% | 1.875% | 4/2/20 | 383,000 | 383,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.230% | 1.859% | 4/22/20 | 69,000 | 69,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.240% | 1.895% | 5/1/20 | 391,000 | 391,000 |
| 3 | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.170% | 1.828% | 3/16/20 | 103,000 | 103,000 |
| 3 | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.220% | 1.891% | 6/8/20 | 35,000 | 35,000 |
| 3 | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.220% | 1.886% | 7/6/20 | 397,000 | 397,000 |
| | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.230% | 1.877% | 4/20/20 | 213,000 | 213,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/2/20 | 235,000 | 235,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/3/20 | 508,000 | 508,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/4/20 | 584,000 | 584,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/4/20 | 249,000 | 249,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/6/20 | 323,000 | 323,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/9/20 | 243,000 | 243,000 |
| | Canadian Imperial Bank of Commerce (New York Branch) | 1.870% | 5/7/20 | 77,000 | 77,000 |
| 3 | Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.200% | 1.866% | 5/6/20 | 273,000 | 273,000 |
| 3 | Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.230% | 1.843% | 4/27/20 | 255,000 | 255,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.160% | 1.815% | 7/2/20 | 174,000 | 174,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.170% | 1.799% | 4/23/20 | 162,000 | 162,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.180% | 1.848% | 6/5/20 | 170,000 | 170,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.190% | 1.848% | 1/12/21 | 250,000 | 250,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.200% | 1.858% | 3/18/20 | 100,000 | 100,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch) | 2.050% | 3/17/20 | 33,000 | 33,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.836% | 3/6/20 | 198,000 | 198,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.841% | 3/9/20 | 165,000 | 165,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.783% | 3/27/20 | 198,000 | 198,000 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.825% | 4/1/20 | 169,000 | 169,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.200% | 1.865% | 5/11/20 | 99,000 | 99,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.200% | 1.803% | 6/30/20 | 144,000 | 144,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.250% | 1.912% | 5/4/20 | 300,000 | 300,000 |
| | Credit Agricole Corporate & Investment Bank | 1.590% | 3/3/20 | 999,000 | 999,000 |
| | Credit Agricole Corporate & Investment Bank | 1.590% | 3/6/20 | 1,414,000 | 1,414,000 |
| | Credit Suisse AG (New York Branch) | 2.000% | 3/24/20 | 400,000 | 400,000 |
| | Credit Suisse AG (New York Branch) | 2.000% | 3/27/20 | 900,000 | 900,000 |
| | DNB Bank ASA (New York Branch) | 1.585% | 3/2/20 | 1,330,000 | 1,330,000 |
| | DNB Bank ASA (New York Branch) | 1.585% | 3/4/20 | 1,384,000 | 1,384,000 |
| | DNB Bank ASA (New York Branch) | 1.850% | 5/1/20 | 400,000 | 400,000 |
| | DNB Bank ASA (New York Branch) | 1.740% | 7/16/20 | 445,000 | 445,000 |
| | KBC Bank NV (New York Branch) | 1.590% | 3/4/20 | 365,000 | 365,000 |
| | KBC Bank NV (New York Branch) | 1.590% | 3/5/20 | 29,000 | 29,000 |
| | KBC Bank NV (New York Branch) | 1.600% | 3/6/20 | 365,000 | 365,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.590% | 3/2/20 | 235,000 | 235,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.590% | 3/3/20 | 343,000 | 343,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.600% | 3/3/20 | 75,000 | 75,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.600% | 3/4/20 | 300,000 | 300,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.600% | 3/5/20 | 1,000,000 | 1,000,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.610% | 3/9/20 | 1,184,000 | 1,184,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.900% | 3/6/20 | 40,000 | 40,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.760% | 4/30/20 | 66,000 | 66,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.770% | 4/30/20 | 66,000 | 66,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.780% | 4/30/20 | 67,000 | 67,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.780% | 4/30/20 | 66,000 | 66,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.790% | 4/30/20 | 100,000 | 100,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.800% | 4/30/20 | 101,000 | 101,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.830% | 5/11/20 | 133,000 | 133,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.840% | 5/11/20 | 166,000 | 166,000 |
| | Natixis (New York Branch) | 1.570% | 3/5/20 | 375,000 | 375,000 |
| | Natixis (New York Branch) | 1.570% | 3/6/20 | 1,000,000 | 1,000,000 |
| | Nordea Bank ABP (New York Branch) | 1.740% | 6/16/20 | 87,000 | 86,999 |
| 3 | Nordea Bank ABP (New York Branch), 1M USD LIBOR + 0.170% | 1.836% | 7/6/20 | 500,000 | 500,000 |
| 3 | Nordea Bank ABP (New York Branch), 1M USD LIBOR + 0.200% | 1.862% | 6/4/20 | 500,000 | 499,993 |
| 3 | Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.250% | 1.905% | 9/3/20 | 601,000 | 601,000 |
| 3 | Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.200% | 1.855% | 7/2/20 | 300,000 | 300,000 |
| 3 | Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.230% | 1.833% | 5/29/20 | 694,000 | 694,000 |
| 3 | Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.230% | 1.885% | 6/1/20 | 650,000 | 650,000 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch) | 1.912% | 3/4/20 | 53,000 | 53,000 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.080% | 1.748% | 6/5/20 | 313,000 | 312,997 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% | 1.808% | 5/12/20 | 310,000 | 309,994 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200% | 1.855% | 4/3/20 | 245,000 | 244,999 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200% | 1.829% | 4/24/20 | 420,000 | 419,997 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200% | 1.862% | 5/4/20 | 540,000 | 539,995 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.210% | 1.823% | 3/27/20 | 270,000 | 270,000 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.220% | 1.870% | 4/14/20 | 400,000 | 399,997 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% | 1.818% | 6/15/20 | 159,000 | 159,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% | 1.807% | 6/19/20 | 495,000 | 495,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% | 1.763% | 6/30/20 | 395,000 | 395,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.180% | 1.838% | 7/15/20 | 250,000 | 250,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.190% | 1.858% | 5/5/20 | 350,000 | 350,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.200% | 1.847% | 5/19/20 | 250,000 | 250,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.220% | 1.867% | 8/20/20 | 205,000 | 205,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.240% | 1.869% | 11/24/20 | 297,000 | 297,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.240% | 1.895% | 12/2/20 | 254,000 | 253,990 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.290% | 1.919% | 9/24/20 | 335,000 | 335,000 |
| | Toronto-Dominion Bank (New York Branch) | 2.000% | 3/17/20 | 50,000 | 50,000 |
| | Toronto-Dominion Bank (New York Branch) | 1.760% | 7/16/20 | 65,000 | 65,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.200% | 1.871% | 7/7/20 | 540,000 | 540,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.210% | 1.865% | 5/4/20 | 135,000 | 135,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.220% | 1.870% | 5/14/20 | 368,000 | 368,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% | 1.853% | 7/30/20 | 200,000 | 200,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% | 1.853% | 7/31/20 | 325,000 | 325,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% | 1.900% | 8/13/20 | 300,000 | 300,000 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% | 1.818% | 6/5/20 | 50,000 | 49,997 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160% | 1.818% | 6/12/20 | 75,000 | 74,999 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160% | 1.815% | 7/2/20 | 500,000 | 499,992 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230% | 1.895% | 9/11/20 | 67,000 | 67,000 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230% | 1.888% | 9/16/20 | 172,000 | 172,000 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230% | 1.888% | 9/18/20 | 100,000 | 100,000 |
| | | | | | | 33,419,949 |
| Total Certificates of Deposit (Cost $43,271,449) | | | | 43,271,449 |
| Other Notes (1.2%) | | | | |
| | Bank of America NA | 1.870% | 6/4/20 | 162,000 | 162,000 |
| | Bank of America NA | 1.870% | 6/8/20 | 162,000 | 162,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.090% | 1.758% | 9/4/20 | 201,000 | 201,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.150% | 1.821% | 7/10/20 | 100,000 | 100,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.200% | 1.855% | 4/1/20 | 169,000 | 169,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.220% | 1.833% | 4/27/20 | 164,000 | 164,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.220% | 1.875% | 5/1/20 | 325,000 | 325,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.240% | 1.905% | 5/11/20 | 247,500 | 247,500 |
| Total Other Notes (Cost $1,530,500) | | | | 1,530,500 |
| Taxable Municipal Bonds (0.0%) | | | | |
| 5 | Greene County GA Development Authority Revenue VRDO (Cost $6,250) | 1.600% | 3/6/20 | 6,250 | 6,250 |
| Total Investments (99.9%) (Cost $128,125,507) | | | | 128,125,507 |
| Other Assets and Liabilities-Net (0.1%) | | | | 88,972 |
| Net Assets (100%) | | | | 128,214,479 |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| 1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
| 2 | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At February 29, 2020, the aggregate value of these securities was $33,756,933,000, representing 26.3% of net assets. |
| 3 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 4 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the aggregate value of these securities was $3,937,943,000, representing 3.1% of net assets. |
| 5 | Scheduled principal and interest payments are guaranteed by bank letter of credit. |
LIBOR—London Interbank Offered Rate.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount | |
| Assets | | |
| Investments in Securities, at Value (Cost $128,125,507) | 128,125,507 | |
| Investment in Vanguard | 5,571 | |
| Cash | 879 | |
| Receivables for Accrued Income | 75,392 | |
| Receivables for Capital Shares Issued | 1,084,068 | |
| Other Assets | 51,663 | |
| Total Assets | 129,343,080 | |
| Liabilities | | |
| Payables for Capital Shares Redeemed | 1,108,463 | |
| Payables for Distributions | 11,721 | |
| Payables to Vanguard | 8,417 | |
| Total Liabilities | 1,128,601 | |
| Net Assets | 128,214,479 | |
| | | |
| At February 29, 2020, net assets consisted of: | | |
| | | |
| Paid-in Capital | 128,209,965 | |
| Total Distributable Earnings (Loss) | 4,514 | |
| Net Assets | 128,214,479 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 107,647,851,674 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 107,660,517 | |
| Net Asset Value Per Share—Investor Shares | $1.00 | |
| | | |
| Admiral Shares—Net Assets | | |
| Applicable to 20,551,550,172 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,553,962 | |
| Net Asset Value Per Share—Admiral Shares | $1.00 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Operations
| | Six Months Ended | |
| | February 29, 2020 | |
| | ($000) | |
| Investment Income | | |
| Income | | |
| Interest | 1,226,794 | |
| Total Income | 1,226,794 | |
| Expenses | | |
| The Vanguard Group—Note B | | |
| Investment Advisory Services | 2,081 | |
| Management and Administrative—Investor Shares | 73,629 | |
| Management and Administrative—Admiral Shares | 8,605 | |
| Marketing and Distribution—Investor Shares | 8,690 | |
| Marketing and Distribution—Admiral Shares | 731 | |
| Custodian Fees | 275 | |
| Shareholders’ Reports—Investor Shares | 469 | |
| Shareholders’ Reports—Admiral Shares | 41 | |
| Trustees’ Fees and Expenses | 45 | |
| Total Expenses | 94,566 | |
| Net Investment Income | 1,132,228 | |
| Realized Net Gain (Loss) on Investment Securities Sold | 707 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,132,935 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Changes in Net Assets
| | Six Months Ended | | Year Ended | |
| | February 29, | | August 31, | |
| | 2020 | | 2019 | |
| | ($000) | | ($000) | |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net Investment Income | 1,132,228 | | 2,775,871 | |
| Realized Net Gain (Loss) | 707 | | (80) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,132,935 | | 2,775,791 | |
| Distributions1 | | | | |
| Investor Shares | (951,317) | | (2,351,823) | |
| Admiral Shares | (180,692) | | (424,095) | |
| Total Distributions | (1,132,009) | | (2,775,918) | |
| Capital Share Transactions (at $1.00 per share) | | | | |
| Investor Shares | 2,951,197 | | 11,810,567 | |
| Admiral Shares | 1,631,082 | | 2,805,143 | |
| Net Increase (Decrease) from Capital Share Transactions | 4,582,279 | | 14,615,710 | |
| Total Increase (Decrease) | 4,583,205 | | 14,615,583 | |
| Net Assets | | | | |
| Beginning of Period | 123,631,274 | | 109,015,691 | |
| End of Period | 128,214,479 | | 123,631,274 | |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Financial Highlights
Investor Shares
| | Six Months | | | | | | | |
| | | Ended | | | | | | | |
| For a Share Outstanding | February 29, | | Year Ended August 31, |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $1.00 | | $1.00 | $1.00 | $1.00 | | $1.00 | $1.00 |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | .0091 | | .0231 | .0161 | .0081 | | .0032 | .0002 |
| Net Realized and Unrealized Gain (Loss) on Investments | | — | | — | — | — | | — | — |
| Total from Investment Operations | | .009 | | .023 | .016 | .008 | | .0032 | .0002 |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (.009) | | (.023) | (.016) | (.008) | | (.0032) | (.0002) |
| Distributions from Realized Capital Gains | — | | — | — | — | | — | — |
| Total Distributions | | (.009) | | (.023) | (.016) | (.008) | | (.0032) | (.0002) |
| Net Asset Value, End of Period | | $1.00 | | $1.00 | $1.00 | $1.00 | | $1.00 | $1.00 |
| Total Return2 | | 0.90% | | 2.36% | 1.59% | 0.83% | | 0.32% | 0.02% |
| Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $107,661 | | $104,709 | $92,898 | $84,886 | | $100,210 | $105,820 |
| Ratio of Total Expenses to Average Net Assets3 | | 0.16% | | 0.16% | 0.16% | 0.16% | | 0.16% | 0.15% |
| Ratio of Net Investment Income to Average Net Assets | | 1.80% | | 2.33% | 1.59% | 0.82% | | 0.32% | 0.02% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016 and 0.16% for 2015. For the six months ended February 29, 2020, and the years ended August 31, 2019, 2018, and 2017, there were no expense reductions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Financial Highlights
Admiral Shares
| | Six Months | | | | | |
| | Ended | | | | |
| For a Share Outstanding | February 29, | Year Ended August 31, |
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period Investment Operations | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Net Investment Income | .0091 | .0241 | .0161 | .0091 | .004 | .001 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | — | — | — | — | — | — |
| Total from Investment Operations | .009 | .024 | .016 | .009 | .004 | .001 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.009) | (.024) | (.016) | (.009) | (.004) | (.001) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.009) | (.024) | (.016) | (.009) | (.004) | (.001) |
| Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| | | | | | | |
| Total Return2 | 0.93% | 2.42% | 1.66% | 0.89% | 0.38% | 0.07% |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $20,554 | $18,923 | $16,118 | $11,997 | $16,429 | $28,988 |
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
| Ratio of Net Investment Income to Average Net Assets | 1.86% | 2.39% | 1.65% | 0.88% | 0.38% | 0.07% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Notes to Financial Statements
Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management
Prime Money Market Fund
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.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $5,571,000, representing less than 0.01% of the fund’s net assets and 2.23% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Prime Money Market Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 29, 2020, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax cost | 128,125,507 |
| Gross unrealized appreciation | — |
| Gross unrealized depreciation | — |
| Net unrealized appreciation/(depreciation) | — |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $4,284,000 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 August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. Capital share transactions for each class of shares were:
| | | Six Months Ended | | | | | Year Ended | |
| | | February 29, 2020 | | | August 31, 2019 | |
| | | Amount | | Shares | | | Amount | | Shares | |
| | ($000) | | (000) | | | ($000) | | (000) | |
| Investor Shares | | | | | | | | | | |
| Issued | 30,733,138 | | 30,733,372 | | | 67,073,536 | | 67,073,695 | |
| Issued in Lieu of Cash Distributions | 878,886 | | 878,886 | | | 2,176,642 | | 2,176,642 | |
| Redeemed | (28,660,827) | | (28,660,827) | | | (57,439,611) | | (57,439,611) | |
| Net Increase (Decrease)—Investor Shares | 2,951,197 | | 2,951,431 | | | 11,810,567 | | 11,810,726 | |
| Admiral Shares | | | | | | | | | | |
| Issued | 7,642,361 | | 7,642,127 | | | 12,655,596 | | 12,655,436 | |
| Issued in Lieu of Cash Distributions | 165,386 | | 165,386 | | | 392,879 | | 392,879 | |
| Redeemed | (6,176,665) | | (6,176,665) | | | (10,243,332) | | (10,243,332) | |
| Net Increase (Decrease)—Admiral Shares | 1,631,082 | | 1,630,848 | | | 2,805,143 | | 2,804,983 | |
Prime Money Market Fund
F. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
Federal Money Market Fund
Fund Allocation1
As of February 29, 2020
| U.S. Treasury Bills | 32.3 | % |
| Repurchase Agreements | 18.7 | |
| U.S. Government Obligations | 49.0 | |
| 1 | Percentage of investments. |
Federal Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| U.S. Government and Agency Obligations (81.5%) | | | | | |
| 2 | Fannie Mae Discount Notes | 1.566% | 3/4/20 | 321,840 | | 321,798 | |
| 2 | Fannie Mae Discount Notes | 1.554% | 3/13/20 | 33,333 | | 33,316 | |
| 2 | Fannie Mae Discount Notes | 1.606% | 3/19/20 | 98,817 | | 98,738 | |
| 2 | Fannie Mae Discount Notes | 1.556% | 4/1/20 | 220,600 | | 220,306 | |
| 2 | Fannie Mae Discount Notes | 1.556% | 4/8/20 | 99,250 | | 99,088 | |
| 2 | Fannie Mae Discount Notes | 1.556% | 4/22/20 | 833,099 | | 831,232 | |
| 2 | Fannie Mae Discount Notes | 1.576% | 5/14/20 | 63,100 | | 62,897 | |
| 2 | Fannie Mae Discount Notes | 1.567% | 5/21/20 | 1,200,000 | | 1,195,788 | |
| 2 | Fannie Mae Discount Notes | 1.541% | 5/29/20 | 900,000 | | 896,678 | |
| 2 | Fannie Mae Discount Notes | 1.530% | 6/12/20 | 600,000 | | 597,450 | |
| | Federal Home Loan Bank Discount Notes | 1.584% | 3/2/20 | 176,400 | | 176,392 | |
| | Federal Home Loan Bank Discount Notes | 1.592% | 3/4/20 | 205,455 | | 205,428 | |
| | Federal Home Loan Bank Discount Notes | 1.585% | 3/5/20 | 198,000 | | 197,965 | |
| | Federal Home Loan Bank Discount Notes | 1.556% | 3/6/20 | 37,000 | | 36,992 | |
| | Federal Home Loan Bank Discount Notes | 1.585% | 3/10/20 | 200,000 | | 199,921 | |
| | Federal Home Loan Bank Discount Notes | 1.616% | 3/11/20 | 1,523,187 | | 1,522,531 | |
| | Federal Home Loan Bank Discount Notes | 1.581% | 3/13/20 | 942,050 | | 941,560 | |
| | Federal Home Loan Bank Discount Notes | 1.588% | 3/17/20 | 500,000 | | 499,649 | |
| | Federal Home Loan Bank Discount Notes | 1.906% | 3/18/20 | 1,240,000 | | 1,239,002 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 3/19/20 | 500,000 | | 499,607 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 3/20/20 | 3,304,000 | | 3,301,256 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 3/23/20 | 500,000 | | 499,520 | |
| | Federal Home Loan Bank Discount Notes | 1.549% | 3/24/20 | 455,000 | | 454,551 | |
| | Federal Home Loan Bank Discount Notes | 1.588% | 3/25/20 | 2,000,000 | | 1,997,893 | |
| | Federal Home Loan Bank Discount Notes | 1.593% | 3/30/20 | 55,000 | | 54,930 | |
| | Federal Home Loan Bank Discount Notes | 1.589% | 4/1/20 | 594,509 | | 593,702 | |
| | Federal Home Loan Bank Discount Notes | 1.582% | 4/2/20 | 149,100 | | 148,891 | |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/3/20 | 496,075 | | 495,357 | |
| | Federal Home Loan Bank Discount Notes | 1.604% | 4/8/20 | 1,270,553 | | 1,268,461 | |
| | Federal Home Loan Bank Discount Notes | 1.583% | 4/9/20 | 623,000 | | 621,937 | |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/13/20 | 90,000 | | 89,830 | |
| | Federal Home Loan Bank Discount Notes | 1.563% | 4/15/20 | 80,150 | | 79,994 | |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/17/20 | 711,600 | | 710,152 | |
| | Federal Home Loan Bank Discount Notes | 1.576% | 4/24/20 | 450,000 | | 448,940 | |
| | Federal Home Loan Bank Discount Notes | 1.623% | 4/29/20 | 350,000 | | 349,076 | |
| | Federal Home Loan Bank Discount Notes | 1.584% | 5/4/20 | 348,660 | | 347,684 | |
| | Federal Home Loan Bank Discount Notes | 1.596% | 5/5/20 | 24,400 | | 24,330 | |
| | Federal Home Loan Bank Discount Notes | 1.581% | 5/6/20 | 869,308 | | 866,796 | |
| | Federal Home Loan Bank Discount Notes | 1.576% | 5/15/20 | 72,000 | | 71,764 | |
| | Federal Home Loan Bank Discount Notes | 1.586% | 5/20/20 | 177,833 | | 177,214 | |
Federal Money Market Fund
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| | Federal Home Loan Bank Discount Notes | 1.575% | 5/22/20 | 589,000 | | 586,895 | |
| | Federal Home Loan Bank Discount Notes | 1.584% | 5/26/20 | 500,000 | | 498,119 | |
| | Federal Home Loan Bank Discount Notes | 1.539% | 5/27/20 | 1,400,000 | | 1,394,813 | |
| | Federal Home Loan Bank Discount Notes | 1.591% | 5/28/20 | 160,000 | | 159,382 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 6/1/20 | 855,050 | | 851,619 | |
| | Federal Home Loan Bank Discount Notes | 1.571% | 6/5/20 | 100,000 | | 99,584 | |
| | Federal Home Loan Bank Discount Notes | 1.572% | 7/15/20 | 170,000 | | 168,998 | |
| | Federal Home Loan Bank Discount Notes | 1.612% | 7/22/20 | 27,950 | | 27,772 | |
| | Federal Home Loan Banks | 1.570% | 3/2/20 | 300,000 | | 300,000 | |
| | Federal Home Loan Banks | 1.570% | 3/2/20 | 500,000 | | 499,999 | |
| | Federal Home Loan Banks | 1.620% | 3/2/20 | 500,000 | | 500,000 | |
| | Federal Home Loan Banks | 1.570% | 3/5/20 | 750,000 | | 749,998 | |
| | Federal Home Loan Banks | 1.620% | 3/6/20 | 525,000 | | 525,000 | |
| | Federal Home Loan Banks | 1.626% | 3/13/20 | 572,140 | | 572,609 | |
| | Federal Home Loan Banks | 1.600% | 4/1/20 | 171,000 | | 170,998 | |
| | Federal Home Loan Banks | 1.610% | 4/24/20 | 500,000 | | 499,984 | |
| | Federal Home Loan Banks | 1.610% | 4/24/20 | 850,000 | | 849,973 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.000% | 1.659% | 7/15/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.045% | 1.700% | 4/1/20 | 300,000 | | 300,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.045% | 1.711% | 4/6/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.045% | 1.711% | 4/6/20 | 1,500,000 | | 1,500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.050% | 1.663% | 4/27/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.050% | 1.721% | 5/8/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.010% | 1.617% | 3/25/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.010% | 1.617% | 3/25/20 | 1,000,000 | | 999,994 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.627% | 3/20/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.635% | 4/3/20 | 850,000 | | 850,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.635% | 4/3/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.583% | 11/27/20 | 2,000,000 | | 2,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.025% | 1.622% | 4/20/20 | 750,000 | | 750,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.035% | 1.568% | 12/11/20 | 1,650,000 | | 1,650,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.622% | 11/4/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.622% | 11/4/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.618% | 11/12/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.613% | 11/13/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.618% | 11/13/20 | 1,000,000 | | 1,000,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | | |
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.619% | 11/18/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.619% | 11/18/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.618% | 12/18/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.055% | 1.603% | 3/12/20 | 180,000 | | 179,998 | |
| 2 | Federal Home Loan Mortgage Corp. | 2.500% | 4/23/20 | 185,830 | | 186,072 | |
| 2 | Freddie Mac Discount Notes | 1.586% | 3/6/20 | 545,834 | | 545,714 | |
| 2 | Freddie Mac Discount Notes | 1.541% | 3/9/20 | 590,000 | | 589,799 | |
| 2 | Freddie Mac Discount Notes | 1.606% | 3/10/20 | 27,000 | | 26,989 | |
| 2 | Freddie Mac Discount Notes | 1.662% | 3/18/20 | 1,251,599 | | 1,250,631 | |
| 2 | Freddie Mac Discount Notes | 1.571% | 3/20/20 | 972,901 | | 972,097 | |
| 2 | Freddie Mac Discount Notes | 1.575% | 3/23/20 | 344,500 | | 344,170 | |
| 2 | Freddie Mac Discount Notes | 1.557% | 3/25/20 | 400,000 | | 399,587 | |
| 2 | Freddie Mac Discount Notes | 1.557% | 3/26/20 | 1,150,000 | | 1,148,762 | |
| 2 | Freddie Mac Discount Notes | 1.631% | 3/27/20 | 41,864 | | 41,815 | |
| 2 | Freddie Mac Discount Notes | 1.564% | 4/2/20 | 641,215 | | 640,317 | |
| 2 | Freddie Mac Discount Notes | 1.589% | 4/6/20 | 500,000 | | 499,210 | |
| 2 | Freddie Mac Discount Notes | 1.536% | 4/7/20 | 198,554 | | 198,242 | |
| 2 | Freddie Mac Discount Notes | 1.570% | 4/9/20 | 233,685 | | 233,290 | |
| 2 | Freddie Mac Discount Notes | 1.580% | 4/17/20 | 805,024 | | 803,386 | |
| 2 | Freddie Mac Discount Notes | 1.535% | 4/27/20 | 261,754 | | 261,116 | |
| 2 | Freddie Mac Discount Notes | 1.564% | 5/4/20 | 750,000 | | 747,927 | |
| 2 | Freddie Mac Discount Notes | 1.564% | 5/5/20 | 1,250,000 | | 1,246,490 | |
| 2 | Freddie Mac Discount Notes | 1.579% | 5/7/20 | 250,000 | | 249,270 | |
| 2 | Freddie Mac Discount Notes | 1.533% | 5/12/20 | 750,000 | | 747,712 | |
| 2 | Freddie Mac Discount Notes | 1.582% | 5/19/20 | 1,442,582 | | 1,437,738 | |
| 2 | Freddie Mac Discount Notes | 1.602% | 6/1/20 | 400,000 | | 398,376 | |
| 2 | Freddie Mac Discount Notes | 1.560% | 6/8/20 | 153,993 | | 153,333 | |
| 2 | Freddie Mac Discount Notes | 1.557% | 6/10/20 | 350,000 | | 348,479 | |
| 2 | Freddie Mac Discount Notes | 1.560% | 6/17/20 | 650,000 | | 646,977 | |
| | United States Treasury Bill | 1.842% | 3/5/20 | 2,650,000 | | 2,649,482 | |
| | United States Treasury Bill | 1.842% | 3/12/20 | 3,500,000 | | 3,498,235 | |
| | United States Treasury Bill | 1.534% | 3/17/20 | 1,250,000 | | 1,249,150 | |
| | United States Treasury Bill | 1.888% | 3/19/20 | 4,500,000 | | 4,496,287 | |
| | United States Treasury Bill | 1.531% | 3/24/20 | 1,504,000 | | 1,502,512 | |
| | United States Treasury Bill | 1.561% | 3/26/20 | 1,500,000 | | 1,498,380 | |
| | United States Treasury Bill | 1.811% | 4/2/20 | 3,400,000 | | 3,395,064 | |
| | United States Treasury Bill | 1.679% | 4/9/20 | 2,552,365 | | 2,548,162 | |
| | United States Treasury Bill | 1.633% | 4/16/20 | 2,000,000 | | 1,996,090 | |
| | United States Treasury Bill | 1.574% | 4/21/20 | 1,500,000 | | 1,496,664 | |
| | United States Treasury Bill | 1.639% | 4/23/20 | 3,050,000 | | 3,042,988 | |
| | United States Treasury Bill | 1.623% | 4/30/20 | 3,586,040 | | 3,576,496 | |
| | United States Treasury Bill | 1.547% | 5/7/20 | 2,500,000 | | 2,492,796 | |
| | United States Treasury Bill | 1.562% | 5/14/20 | 5,500,000 | | 5,482,476 | |
| | United States Treasury Bill | 1.552% | 5/21/20 | 3,300,000 | | 3,288,554 | |
| | United States Treasury Bill | 1.593% | 5/28/20 | 500,000 | | 498,069 | |
| | United States Treasury Bill | 1.577% | 6/4/20 | 3,000,000 | | 2,987,610 | |
| | United States Treasury Bill | 1.520% | 6/18/20 | 1,000,000 | | 995,307 | |
| | United States Treasury Bill | 1.570% | 6/25/20 | 1,000,000 | | 994,941 | |
| | United States Treasury Bill | 1.572% | 7/2/20 | 2,000,000 | | 1,989,340 | |
| | United States Treasury Bill | 1.522% | 8/20/20 | 1,000,250 | | 993,034 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | | |
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.045% | 1.556% | 10/31/20 | 324,000 | | 323,670 | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.139% | 1.650% | 4/30/21 | 2,417,950 | | 2,416,165 | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.220% | 1.731% | 7/31/21 | 4,500,000 | | 4,497,208 | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.300% | 1.811% | 10/31/21 | 3,329,600 | | 3,330,477 | |
| | United States Treasury Note/Bond | 1.125% | 3/31/20 | 250,000 | | 249,905 | |
| | United States Treasury Note/Bond | 2.250% | 3/31/20 | 500,000 | | 500,268 | |
| | United States Treasury Note/Bond | 1.375% | 4/30/20 | 643,497 | | 643,281 | |
| | United States Treasury Note/Bond | 2.375% | 4/30/20 | 175,000 | | 175,231 | |
| | United States Treasury Note/Bond | 1.500% | 5/15/20 | 240,000 | | 239,966 | |
| | United States Treasury Note/Bond | 3.500% | 5/15/20 | 500,000 | | 501,943 | |
| | United States Treasury Note/Bond | 1.500% | 5/31/20 | 34,100 | | 34,091 | |
| | United States Treasury Note/Bond | 2.500% | 5/31/20 | 165,000 | | 165,365 | |
| Total U.S. Government and Agency Obligations (Cost $127,531,057) | | | 127,531,057 | |
| Repurchase Agreements (18.7%) | | | | | | |
| | Bank of Nova Scotia | | | | | | |
| | (Dated 2/28/20, Repurchase Value | | | | | | |
| | $200,026,000, collateralized by | | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | | |
| | 0.875%–3.625%, 1/15/27–2/15/49, and | | | | | | |
| | U.S. Treasury Note/Bond 2.375%–8.000%, | | | | | | |
| | 11/15/21–11/15/49, with a value of | | | | | | |
| | $204,000,000) | 1.580% | 3/2/20 | 200,000 | | 200,000 | |
| | Canadian Imperial Bank of Commerce | | | | | | |
| | (Dated 2/28/20, Repurchase Value | | | | | | |
| | $1,250,166,000, collateralized by | | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | | |
| | 0.125%–0.875%, 4/15/21–1/15/29, and | | | | | | |
| | U.S. Treasury Note/Bond 1.375%–3.125, | | | | | | |
| | 12/31/20–8/15/45, with a value of | | | | | | |
| | $1,275,000,000) | 1.590% | 3/2/20 | 1,250,000 | | 1,250,000 | |
| | Credit Agricole Corporate & Investment | | | | | | |
| | Bank NY Branch | | | | | | |
| | (Dated 2/28/20, Repurchase Value | | | | | | |
| | $1,999,263,000, collateralized by | | | | | | |
| | U.S. Treasury Note/Bond 1.500%–3.000%, | | | | | | |
| | 2/28/21–2/15/48, with a value of | | | | | | |
| | $2,038,980,000) | 1.580% | 3/2/20 | 1,999,000 | | 1,999,000 | |
| | Credit Agricole Corporate & Investment | | | | | | |
| | Bank NY Branch | | | | | | |
| | (Dated 2/27/20, Repurchase Value | | | | | | |
| | $1,000,296,000, collateralized by | | | | | | |
| | U.S. Treasury Note/Bond 1.250%–2.875%, | | | | | | |
| | 3/31/21–5/15/26, with a value of | | | | | | |
| | $1,020,000,000) | 1.520% | 3/5/20 | 1,000,000 | | 1,000,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| Credit Agricole Corporate & Investment | | | | | | |
| Bank NY Branch | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,000,309,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 1.000%, 2/15/48, and U.S. Treasury | | | | | | |
| Note/Bond 1.250%–3.125%, | | | | | | |
| 3/31/21–5/15/48, with a value of | | | | | | |
| $1,020,000,000) | 1.590% | 3/6/20 | 1,000,000 | | 1,000,000 | |
| DNB Bank ASA | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,200,159,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.625%, 7/15/21, and U.S. Treasury | | | | | | |
| Note/Bond 1.500%–2.875%, | | | | | | |
| 3/15/21–8/15/28, with a value of | | | | | | |
| $1,224,000,000) | 1.590% | 3/2/20 | 1,200,000 | | 1,200,000 | |
| Federal Reserve Bank of New York | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $87,011,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 5.250%, | | | | | | |
| 11/15/28, with a value of $87,011,000) | 1.500% | 3/2/20 | 87,000 | | 87,000 | |
| Goldman Sachs & Co. | | | | | | |
| (Dated 2/27/20, Repurchase Value | | | | | | |
| $3,000,922,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.375%–3.375%, 7/15/21–2/15/47, and | | | | | | |
| U.S. Treasury Note/Bond 1.125%–2.875%, | | | | | | |
| 2/28/21–8/15/45, with a value of | | | | | | |
| $3,060,000,000) | 1.580% | 3/5/20 | 3,000,000 | | 3,000,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $525,068,000, collateralized by | | | | | | |
| U.S. Treasury Bill 0.000%, 3/5/20–7/2/20, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.201%–5.250%, 3/31/20–2/15/49, | | | | | | |
| with a value of $535,500,000) | 1.550% | 3/2/20 | 525,000 | | 525,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,000,133,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 3.125%–4.750%, | | | | | | |
| 2/15/41–8/15/44, with a value of | | | | | | |
| $1,020,001,000) | 1.590% | 3/2/20 | 1,000,000 | | 1,000,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,000,307,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 1.875%–2.875%, | | | | | | |
| 6/30/26–11/15/46, with a value of | | | | | | |
| $1,020,001,000) | 1.580% | 3/3/20 | 1,000,000 | | 1,000,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/26/20, Repurchase Value | | | | | | |
| $500,155,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 2.750%–3.500%, | | | | | | |
| 2/15/39–8/15/47, with a value of | | | | | | |
| $510,000,000) | 1.590% | 3/4/20 | 500,000 | | 500,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/27/20, Repurchase Value | | | | | | |
| $500,155,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 3.375%, | | | | | | |
| 5/15/44, with a value of $510,002,000) | 1.590% | 3/5/20 | 500,000 | | 500,000 | |
| Mizuho Securities (USA) Inc. | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $500,066,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%, 4/15/22, U.S. Treasury Bill 0.000%, | | | | | | |
| 3/3/20, and U.S. Treasury Note/Bond | | | | | | |
| 1.191%–2.250%, 4/30/20–8/15/49, | | | | | | |
| with a value of $510,000,000) | 1.590% | 3/2/20 | 500,000 | | 500,000 | |
| MUFG Securities | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $2,096,278,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–0.375%, 7/15/26–1/15/27, and | | | | | | |
| U.S. Treasury Note/Bond 1.125%–4.750%, | | | | | | |
| 4/15/21–8/15/49, with a value of | | | | | | |
| $2,137,920,000) | 1.590% | 3/2/20 | 2,096,000 | | 2,096,000 | |
| Nomura International plc | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,500,461,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–3.875%, 1/15/22–2/15/50, and | | | | | | |
| U.S. Treasury Note/Bond 2.125%–2.750%, | | | | | | |
| 12/31/23–4/30/24, with a value of | | | | | | |
| $1,530,000,000) | 1.580% | 3/3/20 | 1,500,000 | | 1,500,000 | |
| RBC Capital Markets LLC NY Branch | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $2,400,737,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–3.875%, 4/15/20–2/15/48, and | | | | | | |
| U.S. Treasury Note/Bond 1.375%–5.375%, | | | | | | |
| 3/31/21–8/15/48, with a value of | | | | | | |
| $2,448,000,000) | 1.580% | 3/3/20 | 2,400,000 | | 2,400,000 | |
| RBC Dominion Securities Inc. | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,095,336,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–0.750%, 4/15/22–2/15/45, and | | | | | | |
| U.S. Treasury Note/Bond 1.125%–6.500%, | | | | | | |
| 10/31/20–2/15/49, with a value of | | | | | | |
| $1,116,900,000) | 1.580% | 3/3/20 | 1,095,000 | | 1,095,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| RBC Dominion Securities Inc. | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,500,464,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–1.250%, 7/15/20–2/15/47, | | | | | | |
| U.S. Treasury Bill 0.000%, 3/26/20–1/28/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.125%–6.500%, 10/31/20–8/15/49, | | | | | | |
| with a value of $1,530,000,000) | 1.590% | 3/6/20 | 1,500,000 | | 1,500,000 | |
| Societe Generale | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,000,309,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–3.875%, 7/15/20–2/15/49, | | | | | | |
| U.S. Treasury Bill 0.000%, 3/24/20–2/25/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.125%–7.875%, 4/15/20–2/15/50, | | | | | | |
| with a value of $1,020,500,000) | 1.590% | 3/3/20 | 1,000,000 | | 1,000,000 | |
| Societe Generale | | | | | | |
| (Dated 2/26/20, Repurchase Value | | | | | | |
| $500,155,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–2.125%, 4/15/20–2/15/42, | | | | | | |
| U.S. Treasury Bill 0.000%, 4/21/20–2/25/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.250%–8.750%, 4/30/20–2/15/50, | | | | | | |
| with a value of $510,000,000) | 1.590% | 3/4/20 | 500,000 | | 500,000 | |
| Societe Generale | | | | | | |
| (Dated 2/27/20, Repurchase Value | | | | | | |
| $1,000,309,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–2.375%, 4/15/20–2/15/48, | | | | | | |
| U.S. Treasury Bill 0.000%, 4/21/20–2/25/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.125%–8.000%, 3/31/20–11/15/49, | | | | | | |
| with a value of $1,020,000,000) | 1.590% | 3/5/20 | 1,000,000 | | 1,000,000 | |
| Sumitomo Mitsui Banking Corp. | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $4,000,507,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 1.125%–2.875%, | | | | | | |
| 7/31/20–2/15/26, with a value of | | | | | | |
| $4,080,000,000) | 1.520% | 3/2/20 | 4,000,000 | | 4,000,000 | |
| TD Securities (USA) LLC | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $200,062,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 1.625%–2.750%, | | | | | | |
| 12/31/20–2/15/27, with a value of | | | | | | |
| $204,000,000) | 1.600% | 3/3/20 | 200,000 | | 200,000 | |
| Federal Money Market Fund | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| TD Securities (USA) LLC | | | | |
| (Dated 2/28/20, Repurchase Value | | | | |
| $200,063,000, collateralized by | | | | |
| U.S. Treasury Note/Bond 1.500%–3.125%, | | | | |
| 7/31/21–2/15/30, with a value of | | | | |
| $204,000,000) | 1.610% | 3/6/20 | 200,000 | | 200,000 | |
| | | | |
| Total Repurchase Agreements (Cost $29,252,000) | | | 29,252,000 | |
| Total Investments (100.2%) (Cost $156,783,057) | | | | 156,783,057 | |
| Other Assets and Liabilities-Net (-0.2%) | | | | (326,056 | ) |
| Net Assets (100%) | | | | 156,457,001 | |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| 1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
| 2 | 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 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
LIBOR—London Interbank Offered Rate.
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | | Amount | |
| Assets | | | |
| Investments in Securities, at Value | | | |
| Unaffiliated Issuers (Cost $127,531,057) | | | 127,531,057 | |
| Repurchase Agreements (Cost $29,252,000) | | | 29,252,000 | |
| Total Investments in Securities | | | 156,783,057 | |
| Investment in Vanguard | | | 6,523 | |
| Receivables for Accrued Income | | | 80,649 | |
| Receivables for Capital Shares Issued | | | 1,425,063 | |
| Other Assets | | | 8,891 | |
| Total Assets | | | 158,304,183 | |
| Liabilities | | | | |
| Due to Custodian | | | 735 | |
| Payables for Investment Securities Purchased | | | 1,494,128 | |
| Payables for Capital Shares Redeemed | | | 342,546 | |
| Payables for Distributions | | | 2,454 | |
| Payables to Vanguard | | | 7,319 | |
| Total Liabilities | | | 1,847,182 | |
| Net Assets | | | 156,457,001 | |
| | | | | |
| At February 29, 2020, net assets consisted of: | | | | |
| | | | | |
| Paid-in Capital | | | 156,459,387 | |
| Total Distributable Earnings (Loss) | | | (2,386 | ) |
| Net Assets | | | 156,457,001 | |
| | | | | |
| Net Assets | | | | |
| Applicable to 156,458,876,795 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 156,457,001 | |
| Net Asset Value Per Share | | $ | 1.00 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Operations
| | | Six Months Ended | |
| | | February 29, 2020 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Interest | | | 1,289,123 | |
| Total Income | | | 1,289,123 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 2,387 | |
| Management and Administrative | | | 62,788 | |
| Marketing and Distribution | | | 11,833 | |
| Custodian Fees | | | 299 | |
| Shareholders’ Reports | | | 1,585 | |
| Trustees’ Fees and Expenses | | | 90 | |
| Total Expenses | | | 78,982 | |
| Net Investment Income | | | 1,210,141 | |
| Realized Net Gain (Loss) on Investment Securities Sold | | | 275 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,210,416 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Changes in Net Assets
| | | Six Months Ended | | | Year Ended | |
| | | February 29, | | | August 31, | |
| | | 2020 | | | 2019 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 1,210,141 | | | | 2,616,779 | |
| Realized Net Gain (Loss) | | | 275 | | | | 596 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,210,416 | | | | 2,617,375 | |
| Distributions1 | | | | | | | | |
| Total Distributions | | | (1,210,711 | ) | | | (2,616,749 | ) |
| Capital Share Transactions (at $1.00 per share) | | | | | | | | |
| Issued | | | 54,672,917 | | | | 92,160,373 | |
| Issued in Lieu of Cash Distributions | | | 1,190,766 | | | | 2,571,034 | |
| Redeemed | | | (32,372,299 | ) | | | (62,052,929 | ) |
| Net Increase (Decrease) from Capital Share Transactions | | | 23,491,384 | | | | 32,678,478 | |
| Total Increase (Decrease) | | | 23,491,089 | | | | 32,679,104 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 132,965,912 | | | | 100,286,808 | |
| End of Period | | | 156,457,001 | | | | 132,965,912 | |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Financial Highlights
| | | Six Months
Ended
February 29,
2020 | | | | |
| For a Share Outstanding | | | Year Ended August 31, | |
| Throughout Each Period | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .0081 | | | | .0221 | | | | .0141 | | | | .0061 | | | | .0022 | | | | .0001 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total from Investment Operations | | | .008 | | | | .022 | | | | .014 | | | | .006 | | | | .0022 | | | | .0001 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.008 | ) | | | (.022 | ) | | | (.014 | ) | | | (.006 | ) | | | (.0022 | ) | | | (.0001 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.008 | ) | | | (.022 | ) | | | (.014 | ) | | | (.006 | ) | | | (.0022 | ) | | | (.0001 | ) |
| Net Asset Value, End of Period | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | |
Total Return2 | | | 0.85 | % | | | 2.26 | % | | | 1.42 | % | | | 0.57 | % | | | 0.23 | % | | | 0.01 | % |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $156,457 | | | | $132,966 | | | | $100,287 | | | | $79,452 | | | | $38,804 | | | | $3,325 | |
| Ratio of Total Expenses to Average Net Assets3 | | | 0.11 | % | | | 0.11 | % | | | 0.11 | % | | | 0.11 | % | | | 0.11 | % | | | 0.10 | % |
| Ratio of Net Investment Income to Average Net Assets | | | 1.69 | % | | | 2.24 | % | | | 1.43 | % | | | 0.60 | % | | | 0.27 | % | | | 0.01 | % |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2016 and 0.11% for 2015. For the six months ended February 29, 2020, and the years ended August 31, 2019, 2018, and 2017, there were no expense reductions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a 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.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
Federal Money Market Fund
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. 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.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $6,523,000, representing less than 0.01% of the fund’s net assets and 2.61% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 29, 2020, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
Federal Money Market Fund
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | Amount | |
| | | ($000 | ) |
| Tax cost | | $156,783,057 | |
| Gross unrealized appreciation | | — | |
| Gross unrealized depreciation | | — | |
| Net unrealized appreciation/(depreciation) | | — | |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $2,178,000 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 August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
Treasury Money Market Fund
Fund Allocation1
As of February 29, 2020
��
| U.S. Treasury Bills | | 87.1 | % |
| U.S. Government Obligations | | 12.9 | |
| 1 | Percentage of investments. |
Treasury Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| U.S. Government and Agency Obligations (104.2%) | | | |
| | United States Treasury Bill | 1.420%–1.519% | 3/3/20 | 1,493,227 | 1,493,128 |
| | United States Treasury Bill | 1.566%–1.842% | 3/5/20 | 1,217,145 | 1,216,927 |
| | United States Treasury Bill | 1.519%–1.552% | 3/10/20 | 653,261 | 653,010 |
| | United States Treasury Bill | 1.526%–1.845% | 3/12/20 | 1,552,254 | 1,551,509 |
| | United States Treasury Bill | 1.534% | 3/17/20 | 553,000 | 552,624 |
| | United States Treasury Bill | 1.546%–1.888% | 3/19/20 | 1,988,921 | 1,987,305 |
| | United States Treasury Bill | 1.528%–1.577% | 3/24/20 | 1,793,438 | 1,791,670 |
| | United States Treasury Bill | 1.548%–1.561% | 3/26/20 | 498,852 | 498,314 |
| | United States Treasury Bill | 1.454%–1.554% | 3/31/20 | 2,081,000 | 2,078,489 |
| | United States Treasury Bill | 1.526%–1.811% | 4/2/20 | 684,000 | 683,055 |
| | United States Treasury Bill | 1.551%–1.554% | 4/7/20 | 349,315 | 348,759 |
| | United States Treasury Bill | 1.516%–1.679% | 4/9/20 | 1,610,792 | 1,608,130 |
| | United States Treasury Bill | 1.566%–1.569% | 4/14/20 | 645,000 | 643,766 |
| | United States Treasury Bill | 1.536%–1.633% | 4/16/20 | 689,137 | 687,777 |
| | United States Treasury Bill | 1.555%–1.574% | 4/21/20 | 820,983 | 819,157 |
| | United States Treasury Bill | 1.536% | 4/23/20 | 1,779,000 | 1,774,993 |
| | United States Treasury Bill | 1.536%–1.644% | 4/30/20 | 2,050,425 | 2,045,078 |
| | United States Treasury Bill | 1.536%–1.556% | 5/7/20 | 1,645,250 | 1,640,505 |
| | United States Treasury Bill | 1.548%–1.562% | 5/14/20 | 1,850,807 | 1,844,915 |
| | United States Treasury Bill | 1.548%–1.552% | 5/21/20 | 2,378,454 | 2,370,192 |
| | United States Treasury Bill | 1.498%–1.593% | 5/28/20 | 1,902,000 | 1,894,942 |
| | United States Treasury Bill | 1.577% | 6/4/20 | 349,000 | 347,559 |
| | United States Treasury Bill | 1.572% | 7/2/20 | 353,166 | 351,284 |
| | United States Treasury Bill | 1.522% | 8/20/20 | 250,000 | 248,196 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note, 3M US T-Bill + 0.139% | 1.650% | 4/30/21 | 750,000 | 749,588 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note, 3M US T-Bill + 0.220% | 1.731% | 7/31/21 | 1,075,000 | 1,074,528 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note, 3M US T-Bill + 0.300% | 1.811% | 10/31/21 | 1,152,280 | 1,152,768 |
| | United States Treasury Note/Bond | 1.125% | 3/31/20 | 300,000 | 299,886 |
| | United States Treasury Note/Bond | 2.250% | 3/31/20 | 275,875 | 276,017 |
| | United States Treasury Note/Bond | 1.125% | 4/30/20 | 50,000 | 49,963 |
| | United States Treasury Note/Bond | 1.375% | 4/30/20 | 375,000 | 374,883 |
| | United States Treasury Note/Bond | 2.375% | 4/30/20 | 111,000 | 111,145 |
| | United States Treasury Note/Bond | 3.500% | 5/15/20 | 232,000 | 232,909 |
| Total U.S. Government and Agency Obligations (Cost $33,452,971) | | 33,452,971 |
| Total Investments (104.2%) (Cost $33,452,971) | | | 33,452,971 |
| Treasury Money Market Fund | | | |
| | | | |
| | | Face | Market |
| | Maturity | Amount | Value• |
| | Yield1 | Date | ($000) | ($000) |
| Other Assets and Liabilities-Net (-4.2%) | | | (1,344,772) |
| Net Assets (100%) | | | 32,108,199 |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| 1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
| 2 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value (Cost $33,452,971) | 33,452,971 |
| Investment in Vanguard | 1,375 |
| Receivables for Investment Securities Sold | 584,833 |
| Receivables for Accrued Income | 18,224 |
| Receivables for Capital Shares Issued | 313,637 |
| Cash | 6 |
| Other Assets | 4,614 |
| Total Assets | 34,375,660 |
| Liabilities | |
| Payables for Investment Securities Purchased | 2,082,693 |
| Payables for Capital Shares Redeemed | 180,454 |
| Payables for Distributions | 3,066 |
| Payables to Vanguard | 1,248 |
| Total Liabilities | 2,267,461 |
| Net Assets | 32,108,199 |
| | |
| At February 29, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 32,108,539 |
| Total Distributable Earnings (Loss) | (340) |
| Net Assets | 32,108,199 |
| | |
| Net Assets | |
| Applicable to 32,105,499,831 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 32,108,199 |
| Net Asset Value Per Share | $1.00 |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Operations
| | Six Months Ended |
| | February 29, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest | 270,082 |
| Total Income | 270,082 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 505 |
| Management and Administrative | 10,533 |
| Marketing and Distribution | 2,501 |
| Custodian Fees | 56 |
| Shareholders’ Reports | 41 |
| Trustees’ Fees and Expenses | 8 |
| Total Expenses | 13,644 |
| Net Investment Income | 256,438 |
| Realized Net Gain (Loss) on Investment Securities Sold | 300 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 256,738 |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Changes in Net Assets
| | Six Months Ended | Year Ended |
| | February 29, | August 31, |
| | 2020 | 2019 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 256,438 | 540,071 |
| Realized Net Gain (Loss) | 300 | 306 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 256,738 | 540,377 |
| Distributions1 | | |
| Total Distributions | (256,474) | (540,070) |
| Capital Share Transactions (at $1.00 per share) | | |
| Issued | 13,979,096 | 24,578,573 |
| Issued in Lieu of Cash Distributions | 234,933 | 502,686 |
| Redeemed | (10,534,238) | (15,564,718) |
| Net Increase (Decrease) from Capital Share Transactions | 3,679,791 | 9,516,541 |
| Total Increase (Decrease) | 3,680,055 | 9,516,848 |
| Net Assets | | |
| Beginning of Period | 28,428,144 | 18,911,296 |
| End of Period | 32,108,199 | 28,428,144 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Financial Highlights
| | Six Months | | | | | |
| | Ended | | | Year Ended August 31, |
| For a Share Outstanding | February 29, | | |
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations
| Net Investment Income | .0081 | .0221 | .0141 | .0051 | .0017 | .0001 |
| Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
| Total from Investment Operations | .008 | .022 | .014 | .005 | .0017 | .0001 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.008) | (.022) | (.014) | (.005) | (.0017) | (.0001) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.008) | (.022) | (.014) | (.005) | (.0017) | (.0001) |
| Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| | | | | | | |
Total Return2 | 0.85% | 2.25% | 1.43% | 0.54% | 0.17% | 0.01% |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $32,108 | $28,428 | $18,911 | $15,639 | $12,803 | $9,388 |
| Ratio of Total Expenses to Average Net Assets3 | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.69% | 2.23% | 1.43% | 0.55% | 0.18% | 0.01% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2016 and 0.09% for 2015. For the six months ended February 29, 2020, and years ended August 31, 2019, 2018 and 2017, there were no expense reductions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Notes to Financial Statements
Vanguard Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
5. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date.
Treasury Money Market Fund
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.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $1,375,000, representing less than 0.01% of the fund’s net assets and 0.55% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 29, 2020, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | Amount | |
| | | ($000 | ) |
| Tax Cost | | 33,452,971 | |
| Gross Unrealized Appreciation | | — | |
| Gross Unrealized Depreciation | | — | |
| Net Unrealized Appreciation (Depreciation) | | — | |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $616,000 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 August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
Treasury Money Market Fund
E. Effective April 16, 2020, the fund is closed to all new investors, with the exception of participants who invest in the fund only through defined contribution plans that offer the fund as an existing option. The fund will remain closed until further notice. During the fund’s closed period, all current shareholders may continue to purchase, exchange, or redeem shares of the fund.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
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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.
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, www.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 www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q302 042020
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.
Not applicable.
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: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
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 MONEY MARKET RESERVES
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 17, 2020
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 MONEY MARKET RESERVES
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 17, 2020
VANGUARD MONEY MARKET RESERVES
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: April 17, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.
